Investor Presentation - CNP Assurances Corporate Bond Portfolio and SCR Coverage Ratio
Hedging strategy
Type of hedge
Hedge
maturity
Outstanding options at
Options set up in 2022
30 December 2022
Option
premiums
Notional
amounts
Fair value
Notional
amounts
EQUITY RISK
Protects equity portfolio against a falling
market
Put
< 7 years
€129m
€1.5bn
€343m
€10.4bn
CURRENCY RISK
Protects Caixa Seguradora's profit and
dividends paid to CNP Assurances
Put
< 2 years
€10m
€137m
€0m
€137m
Protects traditional savings portfolio
against rising interest rates
Cap
< 10 years
€115m
€7.6bn
€2,935m
€118.8bn
INTEREST RATE RISK
Protects funds reinvested in traditional
savings portfolio against falling interest
rates
Floor
< 10 years
€71m
€16.8bn
€45m
€16.8bn
CREDIT RISK
Protects bond portfolio against wider
corporate spreads
Put
1 year
€8m
€1.5bn
€3m
€1.5bn
CNP
assurances
The 2022 hedging programme covered all market risks
Equity portfolio hedging strategy scaled back
Brazilian real hedging strategy maintained
Interest rate hedging strategy stepped up (risk of rising interest rates)
Credit spread risk hedging strategy expanded
Unaudited management reporting data
Investor Presentation
March 23
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