Today, the CNP Assurances Group published the Group Solvency and Financial Condition Report (SFCR) and CNP Assurances SA published its solo SFCR at 31 December 2023, in accordance with the company's regulatory requirements under Solvency II.
The reports were approved respectively by the Boards of Directors of CNP Assurances Holding and CNP Assurances SA at their meetings on 22 March 2024. Only the French versions of the documents have been published; the English versions will be posted online on Friday, 17 May 2024 at www.cnp.fr.
The SFCR is a narrative report addressing the general public as required by the Solvency II Directive since 2016. Two versions are published annually:
- A “Group” version for CNP Assurances Group, covering the consolidated activity of CNP Assurances SA and its subsidiaries as well as the insurance activities of La Banque Postale, which are now part of the CNP Assurances Group (CNP Assurances IARD, CNP Assurances Prévoyance, CNP Assurances Santé Individuelle and CNP Assurances Conseil & Courtage).
- A “Solo” version for CNP Assurances SA, covering the business activity of CNP Assurances SA excluding that of its subsidiaries.
Key points of the Group SFCR and Solo SFCR at 31 December 2023
The CNP Assurances Group's SCR1 coverage ratio stood at 253% at end-2023 (+21 points2 compared with year-end 2022), bolstered primarily by a positive market effect. The increase can notably be attributed to the integration of profit for the period net of expected dividends (+5 points), the upward market trend in 2023 (+28 points), the positive impact of asset allocation (+3 points), changes in subordinated debt (+3 points), a reversal of the surplus participation provision (-4 points), the payment of an exceptional dividend of €1.2 billion (-8 points) and the capping of subordinated debt not available at the level of CNP Assurances Group (-6 points).
This financial strength comes from a sound and cautious risk management policy that is consistent with the company’s long-term strategy.
The other solvency indicators were as follows:
- Own funds eligible for inclusion in the CNP Assurances Group SCR calculation totalled €38.1 billion at end-2023, including a surplus participation provision for €9.6 billion calculated using the method recommended by the ACPR (French Prudential Supervision and Resolution Authority).
- The CNP Assurances Group SCR amounted to €15.1 billion at year-end 2023, with 44% for market risk and 45% for underwriting risk. Risk diversification benefits are estimated at 29%.
- The CNP Assurances SA Solo SCR coverage ratio stood at 270% at year-end 2023.
1. SCR coverage ratio
The SCR is the amount of own funds required to absorb material losses and provide reasonable assurance that commitments to insureds and beneficiaries will be honoured as they fall due.
CNP Assurances Group calculates its SCR coverage ratio using the standard formula, without applying prudential equivalence or transitional measures except for the grandfathering3 of subordinated debt. The Group applies Solvency II requirements to all the subsidiaries included in the prudential consolidation scope, including the Brazilian subsidiary, so as to present consistent risk measurements across the Group.
At 31 December 2023, own funds eligible for inclusion in the SCR coverage ratio at CNP Assurances Group level amounted to €38.1 billion, and the SCR stood at €15.1 billion.
Own funds eligible for inclusion in the Group SCR coverage ratio include €30.9 billion in Tier 1 capital, including €9.6 billion in the surplus participation provision (which has been recognised in eligible own funds since the end of 2019).
The Group SCR coverage ratio includes 100% of the SCRs of subsidiaries, including those that are not fully consolidated (Arial CNP Assurances, CNP Retraite, XS5 Administradora de consorcios S.A., Wiz Soluções e Corretagem de Seguros S.A.). It does not include the subsidiaries’ surplus own funds beyond the SCR contributions (€6.5 billion including minority interests4, or 43% of the Group SCR at 31 December 2023), as these are not recognised by the regulator at Group level under non-fungibility rules.
The CNP Assurances SA Solo SCR coverage ratio stood at 270% at year-end 2023, higher than the Group’s ratio. This includes the subsidiaries’ surplus own funds in proportion to CNP Assurances SA’s ownership percentage.
2. MCR coverage ratio5
The MCR is the minimum amount of own funds that can be held by an insurer, failing which its operating licence may be withdrawn.
CNP Assurances Group calculates its MCR in accordance with the Solvency II Directive. The MCR is a metric based on the volume of premiums, benefits and capital at risk. The MCR for each entity must fall between 25% and 45% of the SCR. The Group MCR corresponds to the sum of all the entity MCRs, without taking into account any diversification benefits between subsidiaries.
At 31 December 2023, own funds eligible for the Group MCR coverage ratio came to €32.0 billion, including €27.8 billion in unrestricted Tier 1 capital. The Group’s MCR amounted to €7.7 billion.
The Group MCR coverage ratio stood at 471% at the end of 2023.
The CNP Assurances SA Solo MCR coverage ratio stood at 530% at end-2023. The MCR coverage ratios of the other Group entities were also substantially higher than 100%.
3. Impact of the volatility adjustment and transitional measures on technical provisions and interest rates
CNP Assurances Group uses the volatility adjustment (VA), which adjusts the risk-free discount curve used to measure technical provisions.
The Solvency II prudential framework includes transitional measures to give insurance companies time to adapt before fully applying the new requirements and to spread out the impact over time. The CNP Assurances Group does not use transitional measures on interest rates or technical provisions.
The impact of transitional measures on the Group’s solvency indicators at 31 December 2023 was as follows:
| Impact of the volatility adjustment | 31/12/2023 | 31/12/2022 |
|---|---|---|
| On the Group SCR coverage ratio | +9 pts | +7 pts |
| On the Group SCR | -€0.3bn | -€0.3bn |
| On the own funds eligible for the Group SCR coverage ratio | +€0.5bn | +€0.5bn |
The CNP Assurances Group and CNP Assurances SA Solo SFCRs are available:
- On the CNP Assurances website, tab: Financial Reports
- By contacting one of your dedicated contact persons at infofi@cnp.fr
Investor calendar
- Publication of financial indicators under IFRS 17 at 30 June 2024: 31 July 2024
This press release and all regulated information published by CNP Assurances Group pursuant to Article L. 451-1-2 of the French Monetary and Financial Code and Articles 222-1 et seq of the General Regulation of the AMF (French Financial Markets Authority) are available on the investor relations website at https://www.cnp.fr/en/the-cnp-assurances-group/investors.
1 Solvency Capital Requirement (SCR).
2 +23 pts compared to the SCR for CNP Assurances SA and its subsidiaries (scope before creation of the holding company).
3 Subordinated notes issued before the application of Solvency II are treated as either Tier 1 capital (for perpetual subordinated notes) or Tier 2 capital (for dated notes) for a period of ten years ending on 1 January 2026.
4 Representing €2.4 billion in minority interests not available at Group level at 31 December 2023.
5 Minimum Capital Requirement (MCR).