CNP Assurances - Investor Presentation
HEDGING
STRATEGY
HEDGED RISK
CNP Assurances - Investor Presentation - March 2020
Options set up in 2019
Outstanding options
Type of
hedge
Hedge
maturity
at 31 Dec. 2019
Option Notional
premiums amount
Fair value
Notional
amount
EQUITY
Protects equity portfolio
Put
< 7 years
€113m
€2m
€255m
€13bn
RISK
against a falling market
Protects profit dividended up
Put
< 2 years
€5.5m
R$1.1bn
€16m*
R$1.3bn*
to parent by Caixa Seguradora
CURRENCY
RISK
Financing for the payment made
to roll over distribution
Call
< 1 year
-€6.2m
R$3.0bn
€23m
R$3.0bn
agreements in Brazil
Protects traditional savings
INTEREST
RATE RISK
portfolio against rising interest
rates
Сар
< 10 years
€118m
€35m
€93m
€100bn
CREDIT
RISK
Protects bond portfolio against
wider corporate spreads
Put
1 year
€9m
€1m
€0m
€1bn
Equity hedging strategy stepped up in
2019
At 31 December 2019, portfolio of CAC 40 and
Eurostoxx 50 index options (puts). Total notional
amount: €12.5bn; average remaining life:
2 years; average strike prices: 3,546 pts (CAC
40) and 2,690 pts (Eurostoxx 50)
Unaudited management reporting data
> Hedging programme pursued in order to
protect against risk of an increase in
interest rates
At 31 December 2019, portfolio of caps on total
notional amount of €99.5bn; average remaining
life: 4.8 years; average strike price: 10-year euro
swap rate plus 3.1%
* Notional amount at 31 January 2020: the 2020 profit hedging programme is complete as of the date of this document
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