CNP Assurances - Investor Presentation
CONSOLIDATED
SCR COVERAGE RATIO (1)
CNP Assurances - Investor Presentation - March 2020
SENSITIVITIES
+ 60 pts
+ 6 pts
(%)
+ 4 pts
+7 pts
- 3 pts
Interest rates
+ 50bps
Interest rates
- 50bps
+ 20 pts
- 23 pts
- 34 pts
Ultimate forward rate
- 50bps
- 5 pts
227%
Sovereign spreads (2)
+ 50bps
- 7 pts
187%
Corporate spreads (2)
+ 50 bps
+ 8 pts
Share prices
25%
- 7 pts
-
Volatility adjustment
- 8 pts
0 bp
Coverage ratio Net profit, net Addendum
31 Dec. 2018
Brazilian
agreement
of dividend
Subordinated
notes issue
Market
changes
Policyholders' Other impacts Coverage ratio
surplus
31 Dec. 2019
reserve
Policyholders' surplus reserve is included in Tier 1 capital for the calculation of the SCR coverage ratio
(€9.1bn out of a total €13.8bn)
The ratio includes the €750m Tier 2 debt issue in November 2019 and the €250m Tier 3 debt issue in
December 2019
It also reflects early recognition of the BRL7bn payment to roll over distribution agreements in Brazil
(1) Standard formula without applying transitional measures (except for grandfathering of subordinated debt)
(2) After recalibrating the volatility adjustment
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