CNP Assurances : MCEV Report (embedded value) 2021

SUMMARY

1	INTRODUCTION.............................................	3
1.1	Preparation bases & key principles ..........................................................	4
1.2	Content and perimeter.......................................................................................	5
2	RESULTS AT 31 DECEMBER 2021.......	6
2.1	Introduction................................................................................................................	7
2.1.1 Main events in the year....................................................................................	7
2.1.2 Overall results.........................................................................................................	8
2.2	Value of New Business......................................................................................	9
2.3	MCEV© at 31 December 2021....................................................................	12
2.3.1 Adjusted Net Asset Value............................................................................	13
2.3.2 Analysis of change in MCEV©..................................................................	14
2.3.3 Analysis of change in Free Surplus.......................................................	16
2.4	Implied Discount Rate ......................................................................................	17
2.5	Sensitivities ...............................................................................................................	18

3 RESULTS DETAILED BY

GEOGRAPHIC AREA	........................................19
3.1	Overview...................................................................................................................	20
3.2	France..........................................................................................................................	22
3.2.1 Value of New Business.................................................................................	22
3.2.2 Operating Free Cash Flow..........................................................................	23
3.3	Latin America .........................................................................................................	24
3.3.1 Value of New Business.................................................................................	24
3.3.2 Operating Free Cash Flow..........................................................................	25
3.4	Europe excluding France..............................................................................	26
3.4.1 Value of New Business.................................................................................	26
3.4.2 Operating Free Cash Flow..........................................................................	27
4	METHOD ..........................................................	28
4.1	Adjusted Net Asset Value.............................................................................	29
4.1.1 Required capital.................................................................................................	29
4.1.2 Free Surplus..........................................................................................................	29
4.2	Value of In Force (VIF) ....................................................................................	30

4.2.1 Present Value of Future Profits (PVFP).............................................	30
4.2.2 Time Value of Options and Guarantees (TVOG) ........................	30
4.2.3 Frictionnal Cost of Required Capital (FCRC)..................................	31
4.2.4 Cost of Residual Non-Hedgeable Risks (CRNHR).....................	31
4.3 Value of New Business (VNB) ...................................................................	32
4.3.1 Definition of New Business .......................................................................	32
4.3.2 Valuation method.............................................................................................	32
4.4 Sensitivities..............................................................................................................	33

5	ASSUMPTIONS ............................................	34
5.1	Economic assumptions...................................................................................	35
5.1.1		Interest rate reference curve....................................................................	35
5.1.2	Calibrating the rate model.........................................................................	36
5.1.3	Calibrating the equity model ...................................................................	36
5.1.4		Calibrating the other diversified index...............................................	37
5.1.5		Calibrating the corporate credit spread model...........................	37
5.1.6	Exchange rate ......................................................................................................	37
5.1.7		Tax rate ....................................................................................................................	38
5.1.8	Cost of capital allocated to Residual Non-Hedgeable risks. 38
5.1.9 Subordinated securities finance rate.................................................	38
5.2 Non economic assumptions ......................................................................	39
5.2.1 Expenses assumptions.................................................................................	39
5.2.2 Claims and persistence assumptions................................................	39
5.2.3 Future management decisions ..............................................................	39

6 CHANGES IN MCEV© SINCE 2016 .40

6.1	VNB history (€M and margin rate as %) ..............................................	41
6.2	MCEV© history (€M).........................................................................................	41

7 EXTERNAL OPINION ON MARKET-

CONSISTENT EMBEDDED VALUE ........	42
8	APPENDICES .................................................	44
8.1	Appendix A : Glossary ......................................................................................	45
8.2	Appendix B : Perimeter ...................................................................................	47

EMBEDDED VALUE REPORT - 31 DECEMBER 2021 - CNP ASSURANCES

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1

INTRODUCTION

1.1	Preparation bases & key principles ................................................................................	4
1.2	Content and perimeter.............................................................................................................	5

Introduction 1

Preparation bases & key principles

1.1 PREPARATION BASES & KEY PRINCIPLES

Presentation of the report

This report presents the results, methods and assumptions used to determine the Embedded Value of the CNP Assurances Group (the "Group") at 31 December 2021. The Embedded Value (referred to variously by the terms "Market-Consistent Embedded Value", "MCEV©", "Embedded Value" or "EV") is established in accordance with the "European Insurance CFO Forum Market-Consistent Embedded Value© Principles" (the "MCEV© principles") published in June 2008, amended in October 2009 then updated in April 2016.

The report contains a reconciliation between the Group's IFRS equity and the Group's EV at 31 December 2021. However, the information contained in this report is not directly comparable to the financial information produced in accordance with the IFRS standards. It is not a valuation of the Group or of a part of the Group as might be established in the context of an acquisition: other valuation methods could then be used.

The Group nevertheless considers that the information on Embedded Value is such as to provide valuable components to analyse the Group's economic performance in the financial year.The different terms used in this report to analyse the Group's activities may differ from the definition used by other insurance companies or groups. A glossary at the end of the document (Appendix A) gives details on the definition of the main terms used in this report.

The methodology, assumptions and results of the 2021 MCEV© have been reviewed jointly by auditors PwC and Mazars, which also audit CNP Assurances's financial reports and whose opinion is appended at the end of the report.

Presentation of MCEV©

The Market-Consistent Embedded Value is a measure of the economic value of life insurance activities and related activities, on the basis of a fair value valuation of assets and liabilities. It comprises on the one hand the adjusted value of shareholders' equity and on the other hand the value of the portfolio of policies at the financial year-end. This last component is estimated using projection models and is the present value of future distributable profits after making sufficient allowance for risks and constraints related to insurance activities in a market-consistent financial environment. In particular, it takes into account:

• The Cost of Time Value of Options and Financial Guarantees given to policyholders ("TVOG") in addition to their embedded value;
• The Frictional Cost of Required Capital ("FCRC"), arising from the obligation to permanently maintain the Required Capital;
• The Cost of Residual Non-Hedgeable Risks not fully valued elsewhere ("CRNHR").

The Adjusted Net Asset Value ("ANAV") breaks down into Required Capital ("CR") and Free Surplus ("FS"). The Required Capital is the market value of the assets that the insurer must hold in respect of its business, whose distribution to shareholders is restricted. The Free Surplus refers to the surpluses available. The "Operating Free Cash-Flow" indicator ("OFCF") shows the release of Free Surplus related to operating activities. This release can be used to pay dividends and develop business via marketing New Business or through external growth operations.

The contribution to MCEV© from new policies in the current year (referred to variously by the terms "Value of New Business" or "VNB") is analysed specifically, and is a measure of the performance of the Group's underwriting activity.

The MCEV© and VNB are calculated net of minority interests, net of reinsurance and net of tax.

EMBEDDED VALUE REPORT - 31 DECEMBER 2021 - CNP ASSURANCES

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Introduction 1

Content and perimeter

1.2 CONTENT AND PERIMETER

Description of the report

This report presents the results, methods and assumptions used to calculate the Group's Embedded Value at 31 December 2021. It is structured around the following sections:

Section 1	: Preparation bases & key principles
Section 2	: Group results at 31 December 2021
Section 3	: Results detailed by geographic area
Section 4	: Methodology
Section 5	: Assumptions
Section 6	: Changes in MCEV© since 2016
Section 7	: External opinion on Market-Consistent Embedded Value
Appendices

Scope

The Group's business is concentrated on life insurance in the three geographic areas: France, Latin America and Europe excluding France. The main products are:

• Individual Traditional Savings and unit linked accounts;
• Capital accumulation products;
• Pension products including immediate and deferred annuities;
• Credit Insurance (Consumer Credit and Mortgage);
• Protection and health products;
• Other products linked to the above products.

The business covered by MCEV© concerns all Group entities' life insurance business and related business that contributes significantly to the value. The scope covered and changes to it compared to the MCEV© scope at 31 December 2020 are detailed in Appendix B.

EMBEDDED VALUE REPORT - 31 DECEMBER 2021 - CNP ASSURANCES

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