CNP ASSURANCES (EPA:CNP) - CNP Assurances publishes its Solo and Group SFCRs at 31 December 2020

Transparency directive : regulatory news

08/04/2021 18:17

Press Release

Paris, 8 April 2021

     CNP Assurances publishes its Solo and Group SFCRs at 31 December 2020

CNP Assurances has today published its Solvency and Financial Condition Reports
(SFCRs) in French, as required by the regulations. These 2020 reports were
approved by CNP Assurances' Board of Directors at its meeting on 8 April 2021.
The English-language versions of these reports will soon be available online.

The SFCR is a narrative report intended for public disclosure that insurance
undertakings have been required to prepare annually since 2016 in application
of the Solvency II directive. Two reports are prepared:

* A Group SFCR providing consolidated information for CNP Assurances SA and its
  main French and international subsidiaries.
* A solo SFCR providing information for CNP Assurances SA only, without
  consolidating the operations of its subsidiaries.

The key points in the 2020 reports are as follows:

Despite the unprecedented health crisis, the consolidated SCR coverage ratio of
CNP Assurances and its subsidiaries remained high in 2020. The Group's
financial strength is the result of a healthy and conservative risk management
policy aligned with its long-term strategy.

The main indicators underpinning the solvency of the Group and its consolidated
entities are as follows:

* At 31 December 2020, the Group had EUR34.1 billion of eligible own funds for
  Group SCR calculations. Of this amount, EUR12.6 billion corresponds to
  policyholder surplus reserves included in accordance with the method
  recommended by the insurance supervisor (ACPR). The main subsidiaries have a
  further EUR2.2 billion of surplus own funds that are not recognised by the
  supervisor at Group level.

* Group SCR amounted to EUR16.4 billion at 31 December 2020, of which 56% for
  market risks and 32% for underwriting risks. Risks are mitigated by the
  diversification effect, estimated at 25% at end-2020.

* The Group SCR coverage ratio stood at 208% at 31 December 2020.

* The Company's solo SCR coverage ratio at the same date was 221%.

1. SCR coverage ratio

The SCR coverage ratio is the estimated amount of own funds needed to absorb
significant losses and provides reasonable assurance to policyholders and
beneficiaries that payments will be made as they fall due.

CNP Assurances calculates its SCR coverage ratio using the Standard Formula
without measuring any equivalent capital requirement and without applying
transitional measures, except for grandfathering (1) of subordinated debt.
Solvency II is applied to all of the subsidiaries included in the Solvency II
scope of consolidation, including those in Brazil, so that risks are measured
in the same way throughout the Group.

The SCR coverage ratios of the main Group subsidiaries were as follows at 31
December 2020:

Country           Scope    Eligible own    SCR   SCR coverage   SCR coverage
                           funds for SCR  (EURbn) ratio at       ratio at
                           calculations          31 Dec. 2020   31 Dec. 2019
                           (EUR bn)

Group  CNP Assurances Group     34.1       16.4      208%           227%
France CNP Assurances SA        35.3       16.0      221%           243%
Brazil
(2)   Caixa Seguros Holding
             (CSH)               1.0        0.5      190%           231%
Brazil Holding XS1 (new joint
(2)     venturewith CEF)         1.6        0.6      283%            -
Italy   CNP UniCredit Vita       0.9        0.4      203%           229%
Ireland CNP Santander Insurance
                 Life            0.2        0.1      182%           171%
Ireland CNP Santander Insurance
                Europe           0.3        0.1      185%           161%

Since 31 December 2019, eligible own funds for Group  SCR calculations include
the policyholder surplus  reserve (EUR12.6 billion at 31 December 2020)
qualified as Tier 1 own funds.

The Group SCR coverage ratio is calculated on the basis of 100% of the solvency
capital of the Group's main subsidiaries, even those that are not wholly owned
by CNP Assurances (CNP UniCredit Vita in Italy is 57.5%-owned and CNP Santander
in Ireland is 51.0%-owned). It does not include the surplus own funds of the
main subsidiaries over and above their contribution to the Group SCR, which are
not recognised by the supervisor at Group level due to the unfungibility rules.
At 31 December 2020, these surplus own funds represented EUR2.2 billion
including non-controlling interests(3) or 13% of the Group SCR. The effect of
excluding these funds is to treat the subsidiaries as having a 100% SCR
coverage ratio for the purpose of calculating the Group ratio.

(1) Subordinated notes issued before Solvency II came into effect are included
in Tier 1 capital (undated notes) and Tier 2 capital (dated notes) for a period
of ten years ending on 1 January 2026
(2) CNP Assurances applies Solvency II to Caixa Seguradora, without using the
Brazilian solvency regulation, solely for the purpose of Group solvency
calculations. The SCR coverage ratios of the Caixa Seguros and XS1 holding
companies have no regulatory impact for the Brazilian insurance undertakings.
(3) Of which EUR1.2 billion of surplus own funds in Brazil

CNP Assurances' solo SCR coverage ratio at 31 December 2020 was 221%. This was
even better than the Group's ratio, which includes the surplus own funds of the
main subsidiaries in proportion to their equity interest. In addition, the
subsidiaries' SCR is less than that of the Group, representing 22% of their
total own funds.

2. MCR coverage ratio

The MCR is the amount of eligible own funds below which the insurer may have
its authorisation withdrawn.

CNP Assurances calculates its MCR in accordance with Solvency II. MCR is a
metric based on premiums, claims and benefits, and capital at risk. Each
subsidiary's MCR represents between 25% and 45% of its SCR. The Group MCR is
determined by consolidating the MCRs of all the subsidiaries without taking
into account any inter-subsidiary diversification benefits.

The MCR coverage ratios of the main Group subsidiaries were as follows at 31
December 2020:

Country           Scope    Eligible own    SCR   SCR coverage   SCR coverage
                           funds for SCR  (EURbn) ratio at       ratio at
                           calculations          31 Dec. 2020   31 Dec. 2019
                           (EURbn)
Group   CNP Assurances Group      28.8       8.2       351%          388%
France  CNP Assurances SA         29.8       7.2       414%          463%
Brazil  Caixa Seguros Holding      1.0       0.1       762%          923%
(4)             (CSH)
Brazil(4) Holding XS1 (new
      joint venture with CEF)      1.6       0.3       628%           -
Italy CNP UniCredit Vita           0.9       0.2       444%          524%
Ireland CNP Santander Insurance
                 Life              0.2       0.0       520%          498%
Ireland  CNP Santander Insurance
                Europe             0.3       0.0       639%          561%

The Group MCR coverage ratio was 351% at 31 December 2020.

CNP Assurances' solo MCR coverage ratio at the same date was 414%. The MCR
coverage ratios of the main Group subsidiaries were also comfortably above 100%
at 31 December 2020.

(4) CNP Assurances applies Solvency II to Caixa Seguradora, without using the
Brazilian solvency regulation, solely for the purpose of Group solvency
calculations.

3. Impact of the volatility adjustment and transitional measures on technical
reserves and interest rates

A static volatility adjustment (VA) has been applied to correct the risk-free
interest rate curve used to measure technical reserves.

The Solvency II directive includes transitional measures to allow insurance
undertakings time to adapt to the new regulations and smooth the financial
impacts over time. The CNP Assurances Group has not applied the transitional
measures concerning interest rates and technical reserves.

The following table presents the impact of these measures on the Group's
solvency indicators at 31 December 2020:

                Impact of     Impact of       Impact of        Impact of
                transitional  transitional    the volatility   the volatility
                measures      measures on     adjustment       adjustment
                on technical  interest rates  at 31 Dec. 2020  at 31 Dec. 2019
                reserves

Group SCR
coverage ratio       n/a          n/a            +9 pts            +8 pts
Group SCR (EURbn)    n/a          n/a             -0.3              -0.3
Eligible own funds
for SCR calculations
(EURbn)              n/a          n/a             +0.9              +0.6

To obtain our SFCR reports:

- Visit the CNP Assurances website (The CNP Assurances Group / Newsroom /
Publications / Finance)

o  https://www.cnp.fr/en/the-cnp-assurances-group/newsroom/publications

- Contact a dedicated correspondent at infofi@cnp.fr (see the "Contacts"
section below)

Investor Calendar

- Annual General Meeting: Friday, 16 April 2021 at 2:30 p.m.
- First-quarter 2021 results indicators: Wednesday, 12 May 2021 at 5:45 p.m.
- First-half 2021 premium income and profit: Wednesday, 28 July 2021 at 7:30
  a.m.
- Nine-month 2021 results indicators: Friday, 19 November 2021 at 7:30 a.m.

This press release, along with all of CNP Assurances' regulated information
published in accordance with Article L.451-1-2 of the French Monetary and
Financial Code and Articles 222-1 et seq. of the Autorité des Marchés
Financiers' General Regulations, is available on the Group's investor
information website at www.cnp.fr/en/investor-analyst.

About CNP Assurances

A benchmark player in the French personal insurance market, CNP Assurances is
active in 19 countries in Europe, notably in Italy, and in Latin America, with
a significant presence in Brazil, its second largest market.

Acting as an insurer, co-insurer and reinsurer, it has more than 36  million
personal  risk/protection  insureds worldwide and more than 12 million
savings/pensions policyholders. In line with its business model, the Group's
solutions are distributed by multiple partners. The solutions are aligned with
each partner's physical or digital distribution model, while also being
tailored to local clients'  lifelong  protection and support needs in each
country.

CNP Assurances has been listed on the Paris Bourse since October 1998 and is a
subsidiary of La Banque Postale. The Group reported net profit of EUR1,350
million in 2020.

Press contacts

Florence de Montmarin  +33 (0)1 42 18 86 51
Tamara Bernard         +33 (0)1 42 18 86 19
Caroline Ceintrey      +33 (0)1 42 18 85 73
servicepresse@cnp.fr

Investors and analysts

Khalil Tabbi      +33 (0)1 42 18 65 95
Jean-Yves Icole   +33 (0)1 42 18 86 70
Typhaine Lissot   +33 (0)1 42 18 83 66
infofi@cnp.fr

Follow us on : Twitter, Linkedin, Facebook

Disclaimer:

Some of the statements contained in this document may be forward-looking
statements referring to projections, future events, trends or objectives that,
by their very nature, involve inherent risks and uncertainties that may cause
actual results to differ materially from those currently anticipated in such
statements. These risks and uncertainties may concern factors such as changes
in general economic conditions and financial market performance, legal or
regulatory decisions or changes, changes in the frequency and amount of insured
claims, changes in interest rates and foreign exchange rates, changes in the
policies of central banks or governments, legal proceedings, the effects of
acquisitions and divestments, and general factors affecting competition.
Further information regarding factors which may cause results to differ
materially from those projected in forward-looking statements is included in
CNP Assurances' filings with the Autorité des Marchés Financiers. CNP
Assurances does not undertake to update any forward-looking statements
presented herein to take into account any new information, future event or
other factors.

Certain prior-period information may be reclassified on a basis consistent with
current year data. The sum of the amounts presented in this document may not
correspond exactly to the total indicated in the tables and the text.
Percentages and percentage changes are calculated based on unrounded figures
and there may be certain minor differences between the amounts and percentages
due to rounding. CNP Assurances' final solvency indicators are submitted
post-publication to the insurance supervisor and may differ from the explicit
and implicit estimates contained in this document.

This document may contain alternative performance measures (such as EBIT) that
are considered useful by CNP Assurances but are not recognised in the IFRSs
adopted for use in the European Union. These measures should be treated as
additional information and not as substitutes for the balance sheet and income
statement prepared in accordance with IFRS. They may not be comparable with
those published by other companies, as their definition may vary from one
company to another.

Press release ? Publication of the 2020 Solo and Group SFCRs at 31 December
2020
CNP Assurances / Headquarters: 4, place Raoul Dautry 75716 Paris cedex 15,
France / 00 33 1 42 18 88 88 / www.cnp.fr
French public limited company (société anonyme) with paid-up share capital of
EUR686,618,477 / Registered in Paris, RCS 341 737 062 ? Company governed by
the French Insurance Code (Code des assurances

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