Investor Presentation - CNP Assurances Corporate Bond Portfolio and SCR Coverage Ratio
CSM, BE and RA calculation methods
The main assumptions used to calculate technical reserves are as follows:
CNP
assurances
Transition-specific methods
Other methodological choices
Initial application of FVA, FRA and MRA:
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Fair value approach (FVA) for the majority of contracts within the scope
inspired by the Mandarine¹ valuation covering more than 70% of the CSM.
Full retrospective approach (FRA) for 2021 term creditor insurance cohorts
Modified retrospective approach (MRA) for the BPCE term creditor
insurance portfolio and certain Brazilian portfolios
VFA method (with carve out²) used in the majority of cases (95% of
contracts within the scope in terms of technical reserves net of reinsurance)
Bottom up approach a Solvency II-inspired yield curve: risk-free rate +
liquidity premium (e.g., on initial application in France: a volatility adjustment³
at 64 bps)
Different modelling approaches compared to Solvability 2: measurement of
future cash flows from Savings/Pensions contracts; attributable costs.....
Risk adjustment: quantile approach based on 80% confidence level
OCI option activation to the liabilities balance sheet in VFA and BBA
1- Mandarine transaction: value attributed to CNP Assurances SA for the purposes of the sale of CDC's interest in the company to LBP on 4 March 2020
2-Option avoiding to distinguish the cohorts in VFA
3- a measure to ensure the appropriate treatment of insurance products with long-term guarantees under Solvency II. The volatility adjustment shall apply only to the relevant risk-free interest rates of the term structure
Investor Presentation
March 23
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