FRR 2016 ANNUAL REPORT18
The FRR s estimated liabilities and assets (EUR billion)
CADES annual payment Estimated net assed value in 2024
2017 2018 2019 2020 2021 2022 2023 2024
In line with this initial objective, a second aim consists in maximising the value of the surplus over time. In particular, the FRR must create value for the State, by delivering a performance in excess of the cost of the French debt.
Main objective: to service the FRR s liabilities
Compliance with this objective is assessed by means of several risk metrics applied to the surplus.
Interest rate risk is linked to the hedging of lia- bilities. The hedging assets enable the FRR to ensure that it is in a position to fully honour its annual liability payments. To that end, even in an extremely low interest rate environment, they must represent a substantial proportion of liabilities. The hedging assets include «OAT» (French Treasury Bonds)4 delivering an income stream (from maturing issues and coupons), in proportion to the amount of the FRR s liabilities, as well as euro or dollar-denominated invest- ment grade corporate bonds (rated at least BBB-).
4 Held until maturity.
SURPLUS EUR 14.23
LIABILITIES EUR 16.91
LIABILITY HEDGING ASSETS
EUR 15.26 billion
PERFORMANCE SEEKING ASSETS
EUR 15.88 billion