Further to a question from a financial analyst concerning CNP Assurances's exposure to sub-prime mortgages and to CDOs, we gave the following information:

• CNP Assurances's total exposure to CDOs is €2.5 billion, representing roughly 1% of our total assets.
• We do not have any direct exposure to the US sub-prime market. Our identifiable indirect exposure to sub-prime mortgages (through funds of funds) is limited to a single digit million exposure.
• The CDOs in the portfolio are rated AAA (44%), AA (20%), A (13%) BBB (21%) and non-investment grade (2%). The CDOs are managed CDOs backed primarily by investment grade corporate debt obligations:
  • Among the 2.0% not rated investment grade: Just under half consist of CLOs, for which 90% of the principal at maturity is secured by zero-coupon government bonds.
  • The 21.4% (€535 million) rated BBB comprise:
    • 21.0% (€525 million) with a capital guarantee (AAA or AA rating). Our exposure on these CDOs only concerns interest payments, which are indexed to the CDO's performance. There is no risk of any loss of principal.
    • 0.4% (€10 million) with a tranche rated AA by S&P and Baa2 by Moody’s.
  • Among the 12.9% (€322 million) rated A:
    • 6.2% (€155 million) have a capital guarantee (AAA or AA rating). Our exposure on these CDOs only concerns interest payments, which are indexed to the CDO's performance. There is no risk of any loss of principal.
    • 0.9% (€22 million) comprise a tranche rated AAA by S&P and A2 by Moody's.