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  • Page 1 of 100

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

    for the Financial Year ended 31 December 2016

  • Page 2 of 100

    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

  • Page 3 of 100

    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 ..................................................................................

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