Investor Presentation - CNP Assurances Corporate Bond Portfolio and SCR Coverage Ratio
A consolidated SCR coverage ratio of 230%
Consolidated SCR coverage ratio¹
217%
(5)
(2)
(3)
18
Sensitivities (2022 vs 2021)
(%)
Interest rates
+50bps
- 6 pts
(+14 pts)
Interest rates
+
- 50bps
4 pts
(-18 pts)
Sovereign spreads
+50bps
13 pts
(-11 pts)
230%
Corporate spreads
+50 bps
- 7 pts
(+3 pts)
Share prices
-25%
-
- 20 pts
(0 pts)
2
Volatility adjustment
O bp
- 7 pts
(-3 pts)
3
Rating migration (-20%)
- 3 pts
(-3 pts)
Coverage
ratio at
31/12/2021
Market
changes
reserve
Policyholders' Net profit,
surplus
net of
dividend
Reduction Subordinated Coverage
in Ultimate debt
ratio at
Forward
31/12/2022
Rate
CNP
assurances
Utilisation of eligible policyholders' surplus reserve for €0.6bn. The policyholders' surplus reserve is qualified as Tier 1 capital for the calculation of the
SCR coverage ratio (for €9.8bn, included in surplus own funds)
Attributable profit net of planned dividend of €1.38 per share (50% payout rate)
Neutral FRPS impact. The effect of market changes in 2022 offset the expected gain in solvency when the FRPS was created on 1 January 2022
The ratio does not include the €500m Tier 2 sustainable subordinated debt issue carried out in January 2023
1. Standard formula without transitional measures except grandfathering of subordinated securities / 2. Recalibration of the volatility adjustment / 3. Sensitivity to
a one-notch ratings downgrade applied to 20% of the bonds in the portfolio
Investor Presentation
March 23 |
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