Section 1: Solvency requirements

The projection according to the scenario mentioned in a of I of article R. 385-4 is carried out over the ten financial years following the end of the previous financial year and according to the following assumptions:

1° The projected premiums correspond to the average premiums collected over the last three financial years. However, if the supplementary occupational pension fund justifies the coherence of this choice, it may project the premiums corresponding to periodic and programmed payments as well as to prudently estimated free payments which it cannot refuse;

2° The projected management fees are estimated in a manner consistent with the fee assumptions used to calculate the management provision referred to in 4° of Article R. 343-3 ;

3° The allocation of assets, valued in accordance with articles R. 343-9 and R. 343-10, is unchanged for the entire projected period;

4° The amortisable securities, valued in accordance with article R. 343-9, are, subject to the application of 3°, held until maturity and reinvested in bonds with maturities consistent with the duration of the commitments, but not exceeding 15 years. The level of annual coupons on these bonds is equal to the annual average, over the financial year preceding the test, of the level of the TECn index published by the Banque de France, where n corresponds to the maturity of the new bond. Where the maturity of the new bond does not correspond to an available TECn index, a linear interpolation is performed between the two available TECn indices that correspond as closely as possible to the chosen maturity;

5° Non-amortisable securities, valued for accounting purposes in accordance with Article R. 343-10, generate an annual yield equal to the annual average, over the financial year preceding the test, of the average rate on French government bonds, plus a risk premium of 250 basis points;

6° The projected mortality rate is consistent with the assumptions used to calculate the mathematical provisions, valued in accordance with Article R. 343-4;

7° The results of the supplementary occupational pension fund are taxed under the conditions in force on the closing date of the financial year preceding the test, and any tax credits are only recognised if taxable profits allow them to be offset in subsequent financial years up to the projection horizon;

8° Participation in profits is valued in accordance with the conditions in force on the closing date of the financial year preceding the test;

9° The valuation of the technical provisions required to estimate the solvency margin and the minimum required solvency margin for each financial year is based on the following assumptions:

a) For all projected financial years, the amount of the provision for financial contingencies referred to in 5° of Article R. 343-3 is zero;

b) For mathematical provisions relating to commitments giving rise to the constitution of a diversification provision, the TECn indices used are those mentioned in article A. 132-18 and published by the Banque de France on the date of the closing of the accounts for the financial year preceding the test;

c) For guarantees expressed in units of annuity corresponding to operations governed by Chapter I of Title IV of Book IV of this Code, Chapter II of Title II of Book II of the Mutual Code and Section 4 of Chapter 2 of Title 3 of Book 9 of the Social Security Code, the risk-free rate curve referred to in Article A. 441-4 corresponds to the curve with correction for volatility published by the European Insurance and Occupational Pensions Authority in force on the same date;

d) For other commitments that are not provisioned at the historical rate, the average government bond rate referred to in Article A. 132-1 is that observed on the same date;

10° Margin components corresponding to subordinated loans mentioned in 1 of II of Article R. 385-1 are assumed to remain unchanged for the entire projected period. If, for one of the loans concerned, the redemption date or first early redemption date is covered by the projected period, the loan is assumed to be replaced by a loan of the same type and with the same characteristics.