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Atlas Holdings Limited (“Atlas Group”) Solvency and Financial Condition Report

for the Financial Year ended 31 December 2016

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TABLE OF CONTENTS

1. Executive summary ........................................................................................................................... 4

1.1 Business and Performance ....................................................................................................................... 5

1.2 System of Governance ............................................................................................................................ 13

1.3 Risk Profile .............................................................................................................................................. 14

1.4 Valuation of Assets and Liabilities .......................................................................................................... 16

1.5 Capital Management .............................................................................................................................. 18

2. Business and Performance ............................................................................................................ 19

2.1 Business .................................................................................................................................................. 19

2.1.1 Corporate form, Regulatory Supervision and Beneficial Owners ........................................................... 19

2.1.2 Review of the Business ........................................................................................................................... 20

2.1.3 Atlas Group Income Statement .............................................................................................................. 21

2.2 Investment Performance ........................................................................................................................ 28

2.3 Performance of other activities .............................................................................................................. 29

3. System of Governance .................................................................................................................... 30

3.1 General Information on the system of governance ............................................................................... 30

3.2 Responsibilities, reporting lines and allocation of functions .................................................................. 32

3.2.1 Responsibilities and reporting lines ........................................................................................................ 32

3.2.2 Group structure and allocation of responsibilities ................................................................................. 33

3.2.3 Board committees ................................................................................................................................ 335

3.3 Fit and proper requirements .................................................................................................................. 40

3.3.1 Applicability ............................................................................................................................................ 40

3.3.2 Requirement of fitness and properness and implementation ............................................................... 40

3.4 Risk management system, including the Own Risk and Solvency Assessment ...................................... 44

3.4.1 Governance framework .......................................................................................................................... 44

3.4.2 Risk register ............................................................................................................................................ 46

3.4.3 Risk evaluation ........................................................................................................................................ 47

3.4.4 Risk appetite ........................................................................................................................................... 47

3.4.5 Reporting processes for the risk management system .......................................................................... 48

3.4.6 Own Risk and Solvency Assessment ....................................................................................................... 48

3.4.7 Risk management strategies, objectives and processes......................................................................... 49

3.5 Internal control system .......................................................................................................................... 50

3.6 Internal audit function ............................................................................................................................ 52

3.7 Actuarial Function................................................................................................................................... 53

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3.8 Outsourcing ............................................................................................................................................ 55

3.9 Any other information ............................................................................................................................ 57

4. Risk profile .......................................................................................................................................... 58

4.1 Underwriting risk .................................................................................................................................... 58

4.1.1 Insurance contracts - general business .................................................................................................. 58

4.1.2 Reinsurance contracts held .................................................................................................................... 59

4.1.3 Receivables and payables ....................................................................................................................... 60

4.1.4 Management of insurance risk ............................................................................................................... 60

4.2 Financial risk ........................................................................................................................................... 65

4.2.1 Market risk .............................................................................................................................................. 65

4.2.2 Credit risk ................................................................................................................................................ 67

4.2.3 Liquidity risk ............................................................................................................................................ 68

4.3 Operational risk ...................................................................................................................................... 69

4.4 Other material risk .................................................................................................................................. 71

4.5 Any other information ............................................................................................................................ 72

5. Valuation of assets and liabilities for solvency purposes ................................................... 73

5.1 Assets ...................................................................................................................................................... 74

5.2 Total liabilities......................................................................................................................................... 77

5.2.1 Technical provisions ............................................................................................................................... 79

5.2.2 Other liabilities ....................................................................................................................................... 84

5.3 Alternative methods for valuation ......................................................................................................... 86

6. Capital management ....................................................................................................................... 88

6.1 Own Funds .............................................................................................................................................. 89

6.2 Solvency capital requirement and minimum capital requirement ......................................................... 94

6.3 Use of the duration-based equity risk sub-module in the calculation of

Solvency Capital Requirement ................................................................................................................ 97

6.4 Differences between the Standard Model and any Internal Model used .............................................. 98

6.5 Non-compliance with the Minimum Capital Requirement and non-compliance with the

Solvency Capital Requirement ..................................................................................