CNP Assurances has today published its Solvency and Financial Condition Reports (SFCRs) in French, as required by the regulations. These 2019 reports were approved by CNP Assurances’ Board of Directors at its meeting on 7 April 2020. 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 have been 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 these reports are as follows:
• The Group and its main subsidiaries enjoy a comfortable solvency position.
• At 31 December 2019, the Group had €34.8 billion of eligible own-funds for group SCR calculations, including a policyholder surplus reserve of €9.1 billion calculated using the method recommended by the insurance supervisor (ACPR). The main subsidiaries have a further €3.2 billion of surplus own-funds that are not recognised by the supervisor at Group level.
• Group SCR amounted to €15.3 billion at 31 December 2019, of which 53% for market risks and 31% for underwriting risks. Risks are mitigated by the diversification effect, estimated at 27% at end-2019.
• The Group SCR coverage ratio stood at 227% at 31 December 2019.
• The Company's solo SCR coverage ratio at the same date was 243%.
In 2020, the spread of the Covid-19 pandemic has revealed a certain number of risks affecting the Group’s solvency coverage ratio and earnings. As of 31 March 2020, CNP Assurances’ financial strength, resulting from a very conservative risk management policy in line with our long-term strategy, was not compromised and the consolidated solvency coverage ratio remained very high.
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 has chosen to calculate its SCR coverage ratio using the Standard Formula without measuring any equivalent capital requirement and without applying transitional measures, except for grandfathering 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 2019:
Eligible own-funds for group SCR calculations now include the policyholder surplus reserve (€9.1 billion at 31 December 2019) qualified as Tier 1 own-funds.
The Group SCR coverage ratio is calculated on the basis of 100% of the SCR 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 2019, these surplus own-funds represented €3.2 billion including non-controlling interests or 21% 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.
CNP Assurances’ solo SCR coverage ratio at 31 December 2019 represented 243%. This was even better than the Group's 227% ratio, reflecting the fact that CNP Assurances SA's eligible own-funds are not affected by the unfungibility rules unlike those of the Group. The SCR coverage ratios of the main Group subsidiaries were also comfortably above 100% at 31 December 2017.
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 2019:
The Group MCR coverage ratio was 388% at 31 December 2019.
CNP Assurances’ solo MCR coverage ratio at the same date was 463%. The MCR coverage ratios of the main Group subsidiaries were also comfortably above 100% at 31 December 2019.
3. Impact of the volatility adjustment and transitional measures on technical reserves and interest rates
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.
A static volatility adjustment (VA) has been applied to correct the risk-free interest rate curve used to measure technical reserves.
The following table presents the impact of these measures on the Group's solvency indicators at 31 December 2019:
To obtain our SFCR reports:
- Visit the CNP Assurances website, The CNP Assurances Group / Newsroom / Publications / Finance
- Contact a dedicated correspondent at infofi@cnp.fr (see the “Contacts” section below)
Investor Calendar
- Annual General Meeting: Friday, 17 April 2020
- First-quarter 2020 results indicators: Friday, 15 May 2020 at 7:30 a.m.
- First-half 2020 premium income and profit: Monday, 3 August 2020 at 7:30 a.m.
- Nine-month 2020 results indicators: Thursday, 19 November 2020 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.
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. Caixa Seguradora's SCR coverage ratio has no regulatory impact for the Brazilian insurance undertakings
3 Of which €2.2 billion of surplus own-funds in Brazil
4 CNP Assurances applies Solvency II to Caixa Seguradora, without using the Brazilian solvency regulation, solely for the purpose of Group solvency calculations. Caixa Seguradora's MCR coverage ratio has no regulatory impact for the Brazilian insurance undertakings