Group Solvency and Financial ... - collingwood.eu.com Group... · Collingwood Solvency and Financial Condition Report. Terms of Reference describe the purpose, responsibilities, membership

Address

Collingwood Insurance

Company Limited

7.02 World Trade Center,

Bayside Road.

Gibraltar.

Telephone: 00350 216 222 00

Fax: 00350 216 222 01

Email: [email protected]

Group Solvency and Financial Condition Report

31st March 2017

Collingwood Holdings (Gibraltar) Limited Collingwood Insurance Company Limited

(

Consistent

Reliable

Professional and

Ethical

Our aim is to offer flexible and adaptable

systems to react quickly to consider

and deliver on new propositions.

Executive Summary 5

Business and Performance 6

A.1 Business 6

A.2 Underwriting Performance 7

A.3 Investment Performance 8

A.4 Performance of Other Activities 8

A.5 Any Other Information 8

System of Governance 9

B.1 General Information on the System of Governance 9

B.2 Fit and Proper Requirements 16

B.3 Risk Management System Including the Own Risk and Solvency Assessment ‘ORSA’ 17

B.4 Internal Control System 19

B.5 Internal Audit Function 20

B.6 Actuarial Function 20

B.7 Outsourcing 21

B.8 Any Other Information 21

Risk Profile 22

C.1 Underwriting Risk 22

C.2 Market Risk 23

C.3 Credit Risk 24

C.4 Liquidity Risk 25

C.5 Operational Risk 26

C.6 Other material Risks 26

C.7 Any other Information 27

Valuation for Solvency Purposes 28

D.1 Assets 28

D.2 Technical Provisions 31

D.3 Other Liabilities 35

D.4 Alternative Methods for Valuation 35

D.5 Any Other Information 35

Capital Management 36

E.1 Own Funds 36

E.2 Solvency Capital Requirement and Minimum Capital Requirement 38

E.3 Use of the Duration Based Equity Risk Sub-module 40

E.4 Differences between the Standard Formula and Internal Model 40

E.5 Non-compliance with the SCR and MCR 40

E.6 Any Other Information 40

Quantitative Reporting Templates ‘QRTs’ 41

Glossary 60

Quantitative Reporting Templates ‘QRTs’ 41

Collingwood Insurance Company Limited ‘QRTs’ 41

S.02.01.02 - Balance Sheet 41

S.05.01.02 - Premium, claims and expenses by line of business 43

S.05.02.01 - Premium, claims and expenses by country 44

S.17.01.02 - Non-Life Technical Provisions 45

S.19.01.21 - Non-Life insurance claims information 46

S.23.01.01 - Own Funds 47

S.25.01.21 - Solvency Capital Requirement - for undertakings on Standard Formula 49

S.28.01.01 - Minimum Capital Requirement - Only life or only non-life insurance or reinsurance activity 50

Collingwood Holdings (Gibraltar) Limited 51

S.32.01.22 - Undertakings in the scope of the Group 51

S.02.01.02 - Balance Sheet 52

S.05.01.02 - Premiums, Claims and Expenses by Line of Business 54

S.05.02.01 - Premiums, claims and expenses by country 55

S.23.01.22 - Own Funds 56

S.25.01.22 - Solvency Capital Requirement - for Groups on Standard Formula 59

Executive Summary CICL is a specialist motor insurer with a strong track record of underwriting niche motor insurance products. In the past financial year the Group made an operating profit of £3.346m, which continues the positive performance of previous years, reflecting both the strategic focus of CICL and the skills and experience of its staff.

The harmonised EU-wide regulatory regime for Insurance Companies, known as Solvency II, came into force on 1st January 2016. The regime requires reporting and public disclosure arrangements to be implemented by insurers, and their Groups where applicable, some of the disclosures must be displayed on the insurer’s website and this document represents the first version of the Solvency and Financial Condition Report (“SFCR”) to be published by the Company.

Collingwood Holdings (Gibraltar) Limited ‘CHGL’ is a Gibraltar registered Holding Company and the sole parent of Collingwood Insurance Company Limited ‘CICL’. The aforementioned entities were incorporated in 2003 and form the Collingwood Group.

Purpose and Content

Business and PerformanceA description of the Collingwood Group, its business and external environment, as well as any significant changes during the reporting period.

System of GovernanceDetails of the Group’s governance structure, lines of accountability, remuneration policy and information about material transactions during the reporting period.

Risk ProfileHaving been specifically considered, information, where applicable, in relation to the exposures, concentrations, mitigations and sensitivities regarding each material risk category facing the Collingwood Group.

Valuation for Solvency Purposes

Information on the Group’s solvency balance sheet valuation, including a description, separately for assets, technical provisions and otherliabilities, of the bases and methods used for their valuation, together with a quantitative and qualitative explanation on any major differences in the valuation bases and methods used in the financial statements.

Capital Management

A description of the Group’s approach to capital management, including details of interactions with the Risk Management Function, information on the planning horizon used, capital management methods employed, and any material changes from the previous reporting period.

The ultimate Administrative Body with responsibility for these matters is CICL’s Board of Directors.

The Boards of both CHGL and CICL have created robust governance structures, ensuring the firms deliver their core cultural ethos as well as adhere to key regulatory requirements. Their Risk Profiles have remained consistent and are managed according to a focused and effective Risk Management framework.

No changes are anticipated to CICL’s material lines of business nor to the Group firms’ Risk Appetites or the Risks faced by the Group companies.

The Group has always been, and is projected to remain, significantly above its Solvency Capital Requirement ‘SCR’. As at 31st March 2017, Collingwood’s Own Funds as a proportion of its SCR were 153.8%.

This report covers the following sections, the content of which are summarised for ease of reference:

SOLVENCYOWN FUNDS £38.907M

SCR £25.297M*

COVERAGE (%) 153.8%

*Covered in its entirety by Tier 1 funds.

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Collingwood Solvency and Financial Condition Report

1.4 Collingwood Holdings (Gibraltar) Limited ‘CHGL’ is the 100% owner and sole parent of Collingwood Insurance Company Limited ‘CICL’. The aforementioned entities form the Collingwood Group.

CICL is licensed by the Gibraltar Financial Services Commission under the Financial Services (Insurance Companies) Act to carry on insurance business in Gibraltar. Its sole material line of business is Motor Insurance, which is geographically restricted to the United Kingdom.

A.1 Business

1.1 Collingwood Insurance Company Limited ‘CICL’ is a company limited by shares, which is authorised and regulated by:

Gibraltar Financial Services Commission, PO Box 940 Suite 3, Atlantic Suites,Gibraltar

Tel: +350 200 40283 www.gfsc.gi

1.2 The Collingwood Group’s external Auditor is:

EYRegal HouseQueenswayGX111AAGibraltar

Tel: +350 200 13 200www.ey.com/gi

1.3 Collingwood Holdings (Gibraltar) Limited ‘CHGL’ shareholders with qualifying holdings are:

JZ INTERNATIONAL FUND III LP AND ASSOCIATED CO-INVESTORS 60 %

ALAN BEENSHILL 40 %

Business and Performance


6

A.1 Business Continued1.5 During the reporting period, the following external events arose:

Notice to leave the European Union as required under Article 50 of the Lisbon Treaty was provided by the UK government to the European Council.

The effects of ‘Brexit’ will not be known for some time however any impacts upon the Collingwood Group are not considered material. This topic is considered below.

Delays to Whiplash reforms (a disincentive to minor, exaggerated and fraudulent road traffic accident related soft tissue injury claims) are anticipated as a result of the recent UK General Election. Whilst the legislative amendments will be positive for the Motor Insurance industry, such delays do not affect CICL given the present status quo is unaffected.

Ogden discount rate changes. Whilst under longer term review, the Ministry of Justice announced in March 2017 that the Ogden rate was cut from 2.5% to -0.75%, as of 20th March 2017.

When a personal injury claim occurs and a lump sum is paid as compensation for life-changing injuries, the amount awarded is adjusted to compensate for the amount of interest the claimant can expect to earn by investing it to ensure that they are never under, or over, compensated. The amount by which this is adjusted is known as the Discount Rate. It is applied by the courts to an amount calculated to cover loss of earnings and any care costs for claimants.

Due to the company’s strong reserving approach and the Reinsurance arrangements it has in place (Excess of Loss with a minimal retention for each and every loss and an Appetite for a panel of Reinsurers with a minimum ‘A’ rating), the recent Ogden discount rate changes have had no impact on net Underwriting Profitability or historic reported profit.

A.2 Underwriting Performance2.1 As noted above, CICL’s material line of business is Motor Insurance, which is provided on a services basis into the United Kingdom only.

During the year ended 31st March 2017, CICL wrote £65.6m of gross premium, which is an increase of £16.7m from its 2016 year ending figure of £48.9m.

Underwriting performance has been positive with technical profits reported in the year-end financial statements as follows:

Gross Written Premium

GBP (000’s)

Net Written Premium

GBP (000’s)

Net Earned Premium

GBP (000’s)

Net Claims Incurred

GBP (000’s)

Other Technical Income & Expenses

GBP (000’s)

Technical Profit

GBP (000’s)

£65,755 £57,023 £51,063 £32,403 £13,168 £5,492

Gross Written Premium

GBP (000’s)

Net Written Premium

GBP (000’s)

Net Earned Premium

GBP (000’s)

Net Claims Incurred

GBP (000’s)

Other Technical Income & Expenses

GBP (000’s)

Technical Profit

GBP (000’s)

£48,865 £43,907 £42,501 £26,394 £11,972 £4,135

2016/2017

2015/2016

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A.3 Investment Performance3.1 CICL’s investment Appetite and approach are conservative. Investments comprise predominantly cash or cash equivalents and its asset portfolio does not, for example, include any securitised investments:

3%15.5%80%PropertyBonds & other

debt instrumentsCash &

Cash Equivalents

1.5%Equities

Mar-17Income£’000’s

Mar-17Gain/Loss

£’000’s

Mar-16Income£’000’s

Mar-16Gain/Loss

£’000’s

Property 7 (207) 28 (262)

Cash & Cash Equivalents 226 - 198 -

Bonds & other debt instruments 184 100 149 (156)

Equities 172 (26) 49 (141)

Total 589 (133) 424 (559)

A.4 Performance of Other Activities4.1 CICL does not receive any material income or incur any material expenses other than from its underwriting and investment activities.

A.5 Any Other Information5.1 There are no further disclosures


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A.4 Performance of Other Activities

1.1 CHGL carries ultimate responsibility for Group governance but CICL governs itself and the activities it undertakes as an authorised insurance company in a manner that is suitable to legal, regulatory and operational requirements.

Both Boards of Directors contain a mixture of Executive and Non-Executive Directors, with some Directors common to both Boards. Terms of Reference detail the purpose, responsibilities, membership and authority of each Board.

1.2 CHGL Board of Directors

B.1 General Information on the System of Governance

Alan Beenshill Executive Director

Sharon Webber Executive Director

Martin Wright Non-Executive Director

Andrew Gibson Non-Executive Director

Hamish Mair Non-Executive Director

Miguel Rueda Non-Executive Director

1.3 CICL Board of Directors

Alan Beenshill Chief Executive Officer

Sharon Webber Executive Finance Director

Martin Wright Non-Executive Director

Andrew Gibson Non-Executive Director

Michael Oliver Non-Executive Director

Craig Fortunato Non-Executive Director

System of Governance9


Terms of Reference describe the purpose, responsibilities, membership and authority delegated from the Board to each Committee. Attendees are invited to Committees as determined by the Committee according to their expertise or experience, for example Legal, Regulatory or Investment knowledge.

Each of the CHGL and CICL Board of Directors has a duty to supervise the management of the business and affairs of the Company. The Boards, directly (and in relation to CICL through its Sub Committees), provide direction in pursuit of the best interests of the Companies.

The Boards set Risk Appetites and Tolerances (individual and in aggregate), and are responsible for the identification of principal Risks. They are also responsible for the implementation of appropriate systems to effectively monitor and manage such principal risks with a view to their long-term viability and achievement of a proper balance between the risks incurred and potential return to the Company’s shareholders.

CICL’s Board and Board Sub-Committee structure is displayed below, with core roles and responsibilities specifically identified. This is followed by the diagrammatic arrangement of CICL’s Key Functions structure, which includes a description of the roles within, and responsibilities for, each Key Function.

1.4 CICL Board & Sub-Committee Structure

CICL Board

Risk & Compliance Sub

Committee

Audit

Sub Committee

Investment Sub

Committee

Reinsurance Sub

Committee

Service Level Review

(Management) Meetings

Underwriting Performance

(Management) Meetings


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CICL Board of Directors

Alan Beenshill - CEOSharon Webber - FDMartin Wright – NED

Andrew Gibson – NEDMichael Oliver – NED

Craig Fortunato – NED

Risk & Compliance Sub Committee

Chair: NEDResponsibilities include ensuring CICL is taking:

appropriate measures

to identify, assess and

monitor compliance with the

requirements of all applicable

statutes and regulations

to which the operations of

the business is subject in

all jurisdictions in which it

operates

appropriate measures to

identify, assess, monitor,

control and mitigate risks

(a)

(b)

Audit Sub Committee

Chair: NEDResponsibilities include:

Reviewing Financial

Statements (as well as

influences or impacts thereon)

Considering and reviewing the

Internal Control framework

Reviewing the plans, activities

and structure of Internal Audit

Reviewing external auditors,

proposed scope, approach

and performance, including

coordination of audit effort with

Internal Audit

(a)

(b)

(c)

(d)

Investment Sub Committee

Chair: FDResponsibilities include:

Reinsurance Sub Committee

Chair: CEOResponsibilities include producing

a Reinsurance strategy that:Recommending Investment

Policy (including changes) to

the Board

Overseeing ongoing

implementation of Investment

Policy

Considering and recommending

ideas for new investment

opportunities to the Board

Monitoring all aspects of

investment performance

Making recommendations

regarding any outsourced

Investment Manager

(a)

(b)

(c)

(d)

Meets CICL’s business plan as

agreed with shareholders

Reflects risk appetite

Meets regulatory and budgetary

requirements

Ensures Reinsurance is

purchased and monitored in

accordance with internal and

regulatory requirements

Monitoring ‘large losses’

(a)

(b)

(c)

(d)

(e)

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CICL BOARD (KEY FUNCTIONS STRUCTURE)

Risk Function

Holder - Alan Beenshill (CEO)

Performer - Peter Guillan (Head of Risk &

Compliance)

assistance is provided to the business in the identification, control and management of RisksIndividual Risks sit with the relevant business areas, with each area required to evidence the suitability and effectiveness of controlsa quarterly Sub-Committee meeting is held to discuss business performance (in the management of Risk)

•

•

•

BOARD RISK & COMPLIANCE

SUB-CO

BOARD AUDIT SUB-CO

Compliance Function

Holder - Alan Beenshill (CEO)

Performer - Peter Guillan (Head of Risk &

Compliance)

Actuarial Function

Holder - Sharon Webber (FD)

Performer and support to Holder - Mazars (External Actuarial expertise)

Internal Audit Function

Holder - Sharon Webber (FD)

Performer - Peter Guillan (Head of Risk & Compliance)

advice and guidance is provid-ed on the legal and regulatory landscape facing the firmasistance is provided to help the firm identify, create and manage internal policies that will enable it to achieve and maintain compliance with legal and regulatory requirements

•

•

assurance is provided to the Board and Senior Management in relation to the protection of assets, reputation and sustain-ability of the organisation Audit methodology is specifically documented prior to the beginning of each business year a Risk based Audit plan is created prior to the beginning of each business year containing resource requirements, the high level scope of each Audit and relevant prioritisation based on Plan scoring a quarterly Sub-Committee meeting is held to discuss actual -v- planned Audits undertaken, issues identified in following the plan,Audit Report ratings (R/A/Y/G),Recommendations made (by priority),Recommendations outstanding (by priority),business performance in closing Recommendations i.e. average timescales

•

•

•

•

------

As the Head of Risk & Compliance will not be involved in operational-specific activities, Conflicts of Interest will not arise i.e. Audits will not review tasks in which the Head of Risk & Compliance is involvedCICL’s Board or Board Audit Sub-Committee will not provide input to the methodology or planning process, nor will they approve such processes or documentsThe Head of Risk & Compliance will be provided with unfettered access to any records or information relevant to the Audit in questionAs long as Audit findings are accurate i.e. they cannot be challenged through the presentation of contrary evidence, all Recommendations will be accepted and implemented without question (the cost –v- reward aspect of implementing such Recommendations will be discussed at Audit debriefings i.e. before the Final Report is produced) Terms of Reference will be produced for each Audit before it takes placeReports will be produced following the completion of every Audit and a debrief

•

•

•

•

••

A formal Risk & Compliance Report is produced for discussion during each Sub-Committee meeting

A formal Audit Report is produced for discussion during each Sub-Committee meeting


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1.5 Key Functions (applicable to CICL only)

The Solvency II Directive defines a ‘Function’ as the internal capacity to undertake practical tasks and requires the establishment of at least 4 ‘Key Functions’ (listed below). All of the Functions have core duties.

1.5.1 Duties of CICL’s Key Functions

• Risk Function

(a) Assist in the identification of Risks;(b) Assist in the design and implementation of internal controls;(c) Monitor on the effectiveness of those controls;(d) Report to the Board on the activities as well as other specific areas of Risk both on its own initiative and following requests from the Board.

• Compliance Function

(a) Identify and monitor legal & regulatory developments;(b) Provide advice to the Board and internal business units on legal & regulatory developments and industry best practice;(c) Monitor business performance against legal & regulatory requirements;(d) Resolve compliance difficulties as they occur; (e) Report to the Board on business performance against legal, regulatory and internal requirements.

• Internal Audit Function

(a) Establish, implement and maintain an audit plan setting out the audit work to be undertaken across the planning horizon, taking into account all activities and the complete system of governance:(b) Take a risk based approach in deciding Audit priorities; (c) Produce a report containing the findings and recommendations for Executive Management following the completion of each Audit; (d) Report details of, and performance against, the audit plan to the Board via the Audit Sub-Committee on a quarterly basis; and(e) Report details of, and performance against, all recommendations, envisaged timescales to remedy any shortcomings, and information on the achievement of their completion to the Board via the Audit Sub-Committee on a quarterly basis.

• Actuarial Function

(a) Co-ordinate the calculation of technical provisions;(b) Provide a view on data availability and quality;(c) Compare best estimates against experience;(d) Provide an opinion on underwriting policy and reinsurance arrangements, taking into consideration the interrelations between them and the technical provisions; (e) Report to the Board in writing at least annually;(f) Contribute to the effective implementation of the firm’s Risk Management programme.

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1.5.2 Responsibilities for, and Roles within, Key Functions

CICL allocates personal responsibility for each Key Function thus providing clear ownership. Its approach to the individual’s allocated such responsibility ensures there is independence from the performance of activities within those Functions.

1.5.2.1 Key Function Holders

Alan Beenshill, the Chief Executive Officer (Risk and Compliance) and Sharon Webber, the Finance Director (Internal Audit and Actuarial) are CICL’s Key Functions Holders.

1.5.2.2 Key Function Performers

Risk, Compliance and Internal Audit Functions are operated and managed by the Head of Risk & Compliance.

Actuarial activities are split between several individuals, including Actuarial services obtained from a professional firm of Actuaries.

1.6 CHGL and CICL follow strict Remuneration Policies, which remain the responsibility of the relevant Board.

CHGL has no employees. Its Executive Board members are not salaried, nor do they receive financial bonuses.The firm’s Non-Executive Directors are appointed for specific, renewable, periods under service contracts for which a set fee is payable.CICL recognises the concept of variable remuneration and believes that properly crafted packages play a role in aligning the interests of management, business partners and owners. The firm focuses on ensuring sound and effective Risk Management through:

• a governance structure for setting goals and communicating such goals to employees and business partners, as applicable in the circumstances;• alignment with business strategy, key priorities and long-term objectives;• alignment with the protection of customers, and avoidance of conflicts of interests;• ensuring that any remuneration pool does not undermine the firm’s capital base.

CICL’s Board understands its duties towards the firm’s shareholders and customers. It therefore seeks to avoid any conflicts between such duties and the attraction/ongoing retention of quality personnel in the firm.


14

The Board: Board remuneration ensures the firm can attract and retain the most qualified members and to provide a solid basis for succession planning. In connection with regular assessments of the remuneration of the Executive Board, developments in market practice are assessed systematically.In the event a bonus is considered available for consideration i.e. a bonus may not always be awarded, it will be allocated as a percentage of salary, taking into account market conditions and actual -v- budgeted profit.

The Staff:At annual performance and appraisal interviews, performance in the previous year will be reviewed by the individual’s Line Manager, who may set new goals. Decisions on the adjustment, if any, of the individual’s remuneration are made on the basis of this appraisal. Various remuneration components are combined to ensure an appropriate and balanced remuneration package is achieved. They are determined by the role and position of the individual employee, including professional experience, responsibility and job complexity.

The specific remuneration components are: - Salary and/or Bonus, and- Benefits in kind

Decisions surrounding bonuses (a percentage of salary) and any other form of remuneration are made by CICL’s CEO and/or Finance Director, taking into account individual performance, market conditions and actual -v- budgeted profit.

1.7 Directors fees were paid to the Executive and Non-Executive Board in 2016/17 totalling £410,733.

CICL pays a management fee of 3% of EBITDA to JZI Asset Management LLC.

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B.2 Fit and Proper Requirements2.1 Neither CHGL nor CICL appoint or employ individuals without the knowledge, skills and expertise necessary to discharge the responsibilities allocated, or to be allocated, to them in their role. Documented policies direct the necessary approaches to ensure such a philosophy is strictly applied.

The firms will consider a number of factors when assessing the fitness and propriety of a person to perform a particular role, in particular where this involves a senior position within the organisation, for example the Board and ‘Heads of’ departments. Such factors are identified through pre-appointment checks e.g. references and background vetting, supported by ongoing annual self-certification accompanied by random sampling. The most important considerations will be the individual’s:

(1) Honesty, integrity and reputation

In determining a person’s honesty, integrity and reputation, CHGL and CICL will have regard to all relevant matters including, but not limited to, criminal convictions or regulatory sanctions.

(2) Competence and capability

In determining a person’s competence and capability, the firms will have regard to all relevant matters including but not limited to:

(a) Whether the person has demonstrated by experience and training that he/she is suitable to perform their role, or

(b) In relation to Board roles, whether the person has adequate time to perform his/her Board activities and meet his/her responsibilities.

(3) Financial soundness

In determining a person’s financial soundness, CHGL and CICL will have regard to any factors including, but not limited to:

(a) Whether the person has been the subject of any judgment debt or award that remains outstanding or was not satisfied within a reasonable period, or

(b) Whether, the person has made any arrangements with his/her creditors, filed for bankruptcy, had a bankruptcy petition served on him/her, been adjudged bankrupt, been the subject of a bankruptcy restrictions order (including an interim bankruptcy restrictions order), offered a bankruptcy restrictions undertaking, had assets sequestrated, or been involved in proceedings relating to any of the preceding topics.

If a matter comes to the relevant firm’s attention which suggests that the person might not be fit and proper, this will be immediately escalated to the Board which will take into account the matter’s relevance and importance.


16

B.2 Fit and Proper Requirements B.3 Risk Management System Including the Own Risk and Solvency Assessment ‘ORSA’3.1 CHGL and CICL have developed Risk Management programmes that are embedded into the corporate fabric, ensuring the businesses, shareholders and employees, where applicable, are not unduly exposed to Risk.

The relevant Board is responsible for Risk identification, measurement, monitoring and reporting so it is effectively positioned to take suitable decisions in the eradication or mitigation of the Risks they face.

CHGL outsources the day to day management of its Risk framework to CICL’s Risk Function via an Intra-Group Agreement, thus utilising its core expertise and experience.

CICL’s Board is assisted in fulfilling its oversight responsibilities by the Risk & Compliance Sub-Committee, which works under a delegated and controlled Terms of Reference.

3.2 Risk Appetite

Risk Appetites have been assessed and agreed by the CHGL and CICL Boards, at individual Risk level and in Aggregate.

3.3 Both CHGL and CICL retain Risk Registers, recording the key Risks to which the firms are exposed. An individual owner is allocated to each Risk, who is responsible and accountable for the Risk including evidencing controls.

CICL’s Risk Function challenges Risk owners on the adequacy of evidence available and the performance of the area to which the Risk relates, through a regular Assessment process.

3.4 CICL’s Head of Risk & Compliance regularly reports to CICL’s Risk & Compliance Sub-Committee and the Group’s Boards. Such reports detail, amongst other topics, performance against Appetite, accompanying the latest versions of the Risk Registers.

3.5 The Own Risk and Solvency Assessment ‘ORSA’ has a twofold purpose:

(a) To be an integral part of the Group, embedding such Assessments into strategic decisions on an ongoing basis; and

(b) As a supervisory tool for the Financial Services Commission ‘FSC’ (it is informed of the results of Assessments through an agreed reporting framework).

3.6 CHGL and CICL do not consider the ORSA to be an exercise that only takes place at specific times of the year, they ensure all relevant areas feed into the Assessment throughout an ongoing process. Whilst Assessments culminate in a Report that is scrutinised by the FSC, the ORSA is viewed as a management tool to run the businesses more effectively over the planning period.

Each Assessment commences with the Business Plan, looking forward across the planning horizon (the process flow is displayed on the following page). Finance, Underwriting, Risk and Compliance all provide ongoing input, with further support and control provided by the Actuarial Function.

CICL’s Board Sub-Risk & Compliance Committee monitors and manages the ORSA framework, for example, the creation of Group policy and both firms’ overall Risk Frameworks.

The above Board Sub-Risk & Compliance Committee operates within a defined Terms of Reference as noted in Section B1.4 above.

17


COLLINGWOOD GROUP ORSA PROCESS

Business Planning(Board(s))

Risk Profiles

Stress Testing and Scenario Analyses

Capital Management

SCR/MCR Calculations

Challenges to SCR - Standard Model Assumptions

Actuarial Review

Draft ORSA Report (Board challenges)

Final ORSA Report and regulatory submission

Results (quantitative & qualitative)


Results(quantitative)



End ofProcess


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B.4 Internal Control System

3.7 Assessments are ongoing throughout each and every Accounting Year however a report is produced and submitted to the FSC at least annually.

The following non-exhaustive list identifies when an interim ad hoc Assessment may be undertaken (the general ORSA process shall be invoked but will be followed by a report comparing, contrasting and identifying differences to the most recent preceding Assessment):

- launching a new product not already incorporated into CICL’s existing business plan (in terms of anticipated GWP or moving into a new business line);- entering or changing material outsourcing arrangements;- material changes to CHGL or CICL business Risk profiles;- significant negative deviations in product performance.

3.8 Collingwood continually monitors its exposure to Risks in order to ensure that it does not breach its agreed Risk Appetite. Collingwood accepts appropriate underwriting risk to ensure an acceptable underwriting gain is generated, while minimising other risks. The Group’s Risk Profile is demonstrated nu-merically through its Solvency Capital Requirement (“SCR”), which is calculated on the basis of the Standard Formula. The proportionate Risks presented in the SCR are considered to presently accurately represent the Risks to which the Collingwood Group is exposed.

4.1 CHGL’s and CICL’s Boards are responsible for Internal Control of the Group, including determination of Appetite, Controls to manage performance against Appetite and to ensure that an appropriate culture has been embedded throughout the organisations

It is the role of the Boards to ensure Internal Control systems are robust and effective and take account of the Risks the businesses face.

4.2 As noted in Section 3.1, CHGL outsources the management of Risk to CICL’s Risk Function via an Intra-Group Agreement to utilise the expertise and experience contained therein.

Section 1.5.1 also outlines the purpose of the Risk and Compliance Functions, which have been embedded into the business. Both Functions contribute to the creation, assessment and performance monitoring of internal Controls that underpin the Risk Management Frameworks for CHGL and CICL.

Section 3.4 confirms the relevant lines of performance reporting under the Internal Control system(s) by CICL’s Head of Risk & Compliance.

4.3 By understanding the nature of the Group’s Risk Universe, CHGL and CICL have implemented a framework that is based upon the following principles:

• design and implementation of appropriate Risk Management and internal control systems through

- the identification of key Risks;

- determination of the extent to which those key Risks will be tolerated in the achievement of strategic objectives (Appetite); - ensuring appropriate culture and reward systems have been embedded throughout the organisations where applicable;

- agreeing how identified key Risks should be managed or mitigated to reduce the likelihood of their occurrence or subsequent impact if materialization occurs; and

- monitoring and reviewing Internal Controls, satisfying itself that they are functioning effectively and corrective action is being taken where necessary.

19


• ensuring sound internal and external information and communication processes and taking responsibility for external communication on Risk Management and Internal Control.

On the basis of the above, the Group has implemented and embedded a 3 Lines of Defence model reflecting:

(a) Operational areas (generally creators and users of Internal Controls); (b) Central oversight (Risk Management and Compliance Functions);(c) Assurance (Internal Audit Function).

This structure, alongside internal policies covering all Risk types and exposures relevant to the Group as well as reporting lines through to CICL’s Audit and Risk & Compliance Committee Sub-Committees plus the Boards themselves, ensure the Group’s Enterprise Risk Management is proportionate and effective.

B.6 Actuarial Function6.1 CICL has appointed an internal Actuarial Function Holder, supported by a professional firm of Actuaries. The Actuarial Function:

- Co-ordinates the calculation of technical provisions;- Provides a view on data availability and quality;- Compares best estimates against experience;- Provides an opinion on underwriting policy and reinsurance arrangements, taking into consideration the interrelations between them and the technical provisions; - Reports to the Board in writing at least annually.

The Function links with the Risk and Compliance Functions, enabling key Risks to be managed and regulatory requirements delivered compliantly. It naturally weaves into the ORSA process and contributes to the creation of resultant reports that are submitted to the FSC.

B.5 Internal Audit Function5.1 CHGL outsources its Internal Audit requirements to CICL via an Intra-Group Agreement. CICL has implemented an Internal Audit Function that is independent from the businesses it Audits, supported by an Internal Audit Policy, Audit planning methodology and Audit Plan (covering a 3 year rolling period that reflects the Group’s planning horizon).

5.2 Having appointed an individual internally to assume the responsibility of Internal Audit Function Holder, the Function’s duties are to:

(a) Establish, implement and maintain an audit plan setting out the audit work to be undertaken across the planning horizon, taking into account all activities and the complete system of governance:

(b) Take a risk based approach in deciding Audit priorities;

(c) Produce a report containing the findings and recommendations for Executive Management following the completion of each Audit;

(d) Report details of, and performance against, the audit plan to the Board via the Audit Sub-Committee on a quarterly basis; and

(e) Report details of, and performance against, all recommendations, envisaged timescales to remedy any shortcomings, and information on the achievement of their completion to the Board via the Audit Sub-Committee on a quarterly basis.

5.3 The Internal Audit Function is free from any Board, or other, interference in conducting its duties.


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B.7 Outsourcing7.1 Both CHGL and CICL pay particular attention to this topic and the Risks associated with such activities.

Appetite for outsourcing remains low and is restricted to those areas deemed necessary and where control can be retained through robust oversight. CHGL therefore limits its outsourcing to an intra-group agreement with CICL for the provision of Risk Management and Audit expertise, whilst CICL minimises its exposure to Risks surrounding outsourcing by restricting outsourcing to the following key areas and partners:

• Marketing, Distribution, Finance and Policy Administration (Collingwood Insurance Services (UK) Limited ‘CISL’);

• Claims handling services (Collingwood Business Solutions Limited ‘CBSL’);

• Information Technology (Collingwood Business Solutions Limited ‘CBSL’); and

• Approved garages network (Fleet Accident Repair Group ‘FARG’)

All of the above firms have been partners of CICL for many years. Relationships are managed by a written Agreement containing key requirements (including the provision of Management Information ‘MI’) and responsibilities. The Agreements also contain termination clauses, exit strategies and rights of ownership.Outsourcing is managed by the firms’ Material Outsourcing Policies and Checklists.Risks associated with Outsourcing are managed in the same manner as any other facing the businesses, in accordance with their core (documented) Risk Management Policies.

All material outsourcing arrangements will only be implemented:

• once the relevant Board has considered the appropriateness of outsourcing a particular activity;

• following suitable due diligence of the chosen partner (this includes completion of the Material Out sourcing Checklist, which covers selection, pre-launch and post-launch activities. Any evidence associated with a Material Outsourcing arrangement will be retained indefinitely or until 7 years after the termination of such an arrangement);

• after the FSC are aware of the firm’s proposals; and

• after contracts are agreed and signed, which contain suitably robust clauses enabling the firm to maintain and manage its business (in CICL’s case, as a regulated entity).

All material outsourcing arrangements are:

• measured through suitable, and regular MI;

• reviewed on an ongoing basis to ensure such an arrangement remains suitable and the chosen partner is performing as expected; and

• periodically monitored or audited using a risk-based methodology and approach.

B.8 Any Other Information8.1 The Group’s Boards consider that the systems of governance in place are suitably robust to ensure the Collingwood Group is managed in a way that takes into consideration the needs of all stakeholders, while ensuring that the Group’s capital position and profitability remain strong. Further, the Boards consider the Group’s governance to be adequate and relevant to the nature, scale and complexity of the businesses. There is no material risk within the Group outside CICL.

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Introduction

As an Insurance Company Underwriting Insurance business, holding core assets and trading investments, items C.1 – C.6 affect CICL only. CHGL holds a minimal amount of cash on deposit to operate. CICL recognises the uncertainty and potential fragility of financial markets and Institutions, and therefore commits to annual Stress and Scenario Testing (across a number of Risk types, not Financial Risks in isolation). Such Testing is controlled by the firm’s Stress Testing policy and generally agreed in the Risk & Compliance Sub-Committee to ensure relevant Tests are undertaken reflecting current conditions and identified Risk exposures, including during the ORSA process.

1.1 Underwriting Risk generally refers to the risk of loss on Underwriting activity and can materialise through cash inflows and/or outflows:

Inflows• Pricing• Investment• General claim recoveries• Reinsurance recoveries

Outflows• Claim payments• Reinsurance placement

Risk identification and management take place through the frequent monitoring of Management information followed by regular detailed reviews during Underwriting Performance meetings and the Investment, Risk & Compliance and Reinsurance sub-committee meetings. This framework ultimately feeds into the Board.

CICL operates within niche Personal Lines and Commercial Motor Insurance markets. Its Risk Appetite is conservative, concentrating on the delivery of profitable Underwriting results. Whilst business is generated through a network of Insurance Intermediaries, this is managed though a robust Agreement that does not provide delegated Underwriting authority, structures responsibilities appropriately and controls premium payment.

Claims Handling activities are undertaken by a specialist partner, Collingwood Business Solutions Limited, with whom CICL has a long standing relationship and which is subject to a robust written Agreement and regular performance review.

Although the company is naturally exposed to Catastrophe Risk, such exposure is significantly mitigated by the bespoke Reinsurance arrangements the firm has in place, containing an Excess of Loss programme that is subject to a suitable retention limit for all individual claims.

Reserving Risk (the Risk that claims reserves are insufficient to meet insurance liabilities) is mitigated by:

• a documented Policy for the Reserving of claims covering initial notification through to claim development;

• regular Underwriting reviews of claims reserves, particularly large loss claims, to ensure they follow Reserving Policy and are adequate;

• the assessment of data quality and methodology used in calculating reserves; and• annual external Actuarial reviews to independently assess claims reserves. CICL’s balanced approach to the lines of business it writes, the geographic locations and customer profiles to which it is exposed as well as the channels through which this is achieved, ensure Risk concentration is mitigated.

Risk Profile

C.1 Underwriting Risk


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Risk Profile

C.1 Underwriting Risk

C.2 Market Risk2.1 The Group’s key exposures lie with CICL as CHGL holds a minimum amount of funds in cash deposits with which to operate.

CICL’s Board delegates day to day management of the Company’s investment strategy to the Finance Director, with oversight from the Investment Committee, which meets on a quarterly basis.

The Finance Director may appoint and remove Investment Managers, in accordance with authority limits contained within agreed authority limits, to assist in the management of CICL’s investments subject to the scope of the investment mandate set out in the firm’s Investment Policy, and in accordance with regulatory requirements relating to admissibility, security and counterparty exposure.

Key Risks associated with Market Risk are:

2.1.1 Interest Rates

For CICL, the effect of a change in value of an asset or liability due to an alteration in the term structure of interest rates or interest rate volatility is negligible (£121k).

2.1.2 Equity

The effect of a change in value of an asset or liability due to fluctuations in the level or volatility of the market prices for equities is negligible to CICL, for which its equity portfolio is only a small proportion of the firm’s assets (1.5% of invested assets).

2.1.3 Currency

To date, changes in the level or volatility of currency exchange rates have been immaterial to CICL as all live policy premiums and liabilities are in GBP. An amount of €15m Subordinated debt has recently been secured creating an exposure to currency risk. CICL’s currency position is monitored at least quarterly by the Finance Director and it is currently matched. In the event this situation changes, sterling will be converted to Euros to maintain the firm’s position.

2.1.4 Property

CICL possesses a very small property portfolio (three properties) and the impact of changes to market prices are insignificant.

2.1.5 Spread

This is a relatively insignificant risk for CICL in relation to the bonds and structured notes the Company holds (15.5% of overall assets).

2.1.6 Concentration

CICL’s exposure relates to investments in individual counterparties and single name exposures. All of CICL’s structured products are held with Credit Suisse however they are ‘A’ rated. The firm diversifies its investments, with structured products forming 13.2% of overall assets.

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3.1 In this context, ‘Credit Risk’ means the risk of loss, or of adverse change, in the financial situation, resulting from fluctuations in the credit standing of issuers of securities, counterparties and any debtors to which an Insurer is exposed, in the form of counterparty default risk.

As noted in Section 2.1 above, the Group’s key exposures lie with CICL as CHGL holds a minimum amount of funds in cash deposits with which to operate.

3.2 CICL may be exposed to the following (the following is restricted to those contracts, channels and investment areas where the firm may be exposed, not the marketplace generally, which may include investment of assets in vehicles not utilised by CICL):

3.2.1 Risk mitigating contracts such as Reinsurance arrangements

CICL will only consider ‘A’ rated (or higher) Reinsurers on its panel. The panel (which supports the reduction of Contagion Risk exposure), alongside CICL’s Reinsurance contract requirements and the panel’s performance, are reviewed regularly.

Regular Underwriting meetings consider and review claims performance, including Reinsurance recoveries.

3.2.2 Receivables from Intermediaries and Policyholders

The Risk associated with premium debtors is, in reality, very low. CICL attracts very little policyholder debt due to the nature of its policies i.e. a significant number of short term contract durations, plus payment in advance.

CICL conducts Intermediary pre-appointment due diligence such as checks related to Credit and Regulatory status. Contracts CICL has in place with appointed Brokers also supports premium collection under all insurance contract types as they are responsible for any customer non-payment. The debt CICL holds with Brokers is tightly managed and actual debt is minimal.

3.2.3 Any other credit exposures e.g. Cash at Bank

CICL deposits are split between a number of large suitably rated banks. There is a significant spread of deposits to manage any potential default.

Regular Investment Committee meetings consider, review and comment on Investments held, their performance and adherence to internal policy. Alongside regular oversight by the firm’s Finance Director with support from Investment Managers where necessary, CICL manages its obligations towards the Prudent Person Principle whereby assets held for regulatory purposes e.g. to cover expected liabilities and capital requirements ensure the security, quality, liquidity and profitability of investment portfolios as a whole, which includes adequate diversification.

C.3 Credit Risk


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C.3 Credit Risk C.4 Liquidity Risk4.1 Liquidity Risk reflects the available resources and capacity of an insurer to manage its financial flows to ensure it is able to meet its responsibilities when they fall due.

4.2 CICL Motor Insurance policies are written with a maximum 12 months’ duration. The greatest threat to liquidity may occur during a catastrophe when a significantly large single claim or large numbers of multiple claims are received. For these situations, reinsurance cover is in place, with a restricted portion of the risk being retained by CICL.

In a number of cases the full amount is not paid for a period after the event anyway (until losses are fully adjusted) giving additional time to liquidate assets and avoiding a liquidity crunch in the short term.

Overall, catastrophic events are rare and CICL concentrates on managing vulnerability to such events, thus containing its exposure to Liquidity Risk within Insurance, Investment or Credit Risk.

4.3 As at 31st March 2017, the total amount of expected profit included in future premiums was £1.199m

4.4 Mismatches in the timing of cash flows relating to assets and liabilities could result in an insurer being unable to meet claims under its policies.

4.5 CICL has minimal Appetite for Risks that could affect its ability to meet liabilities of any type, particularly under Contracts of insurance it provides to customers. Its largest liabilities are claims payments under the policies it Underwrites.

The firm therefore prices individual Insurance risks according to a defined Underwriting Strategy, investing resultant premium income in secure instruments that are predominantly immediately liquid or may be liquidated at short notice, with no loss of initial capital.

Assets are invested in a way that optimises the liability (cash needs) profile of the business. The Finance Director ensures adequate Asset-Liability matching (business type and currency exposure). CICL possesses a larger amount of cash on deposit (sufficiently widely spread across Banking Institutions) than claim Reserves at any given time, thus mitigating Asset-Liability mismatches and Liquidity Risk.

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5.1 As a Holding Company, and Parent of CICL, CHGL has no direct operational capacity nor does it employ any staff. It’s exposure to Operational Risk is therefore negligible.

5.2 CICL’s key Operational Risk exposures arise in the following areas but are robustly controlled (individually) as indicated. The Group’s wider Risk Management framework ensures Risk exposures are identified, measured, controlled and monitored in accordance with internal policies, with oversight and reporting to the relevant Board. CICL’s Board and Sub-Committee structure is set out in Section 1.4 above:

(a) Business Continuity/Disaster Recovery, for example loss of systems or a building from which to operate effectively.

This Risk includes disruption to Material Outsourced activities as well as internal operations. Incidents naturally arise, for example loss of power, however a robust balance of Controls exist to manage this Risk (Business Continuity and Disaster Recovery Policies that must be periodically tested, alternative sites in which to relocate temporarily and [minimum] quarterly reviews of service and service standards).

(b) The loss of key individuals such as those responsible for, and performing, Key Functions, or a lack of ongoing knowledge/expertise in sufficient numbers.

A mixture of Controls are in place to prevent or manage Risk Materialisation, for example Remuneration that is commensurate with individual roles and responsibilities, mentoring and a succession Plan.

(c) Financial Crime (Fraud), which is Risk for all firms, particularly in a Financial Services environment.

A robust mix of Controls ensures the probability and impact of Risk materialisation are mitigated, for example internal Policies, system security, Claim Fraud indicators etc.

The above Risks are monitored, recorded and updated within the Risk Register on an ongoing basis. Assurance is obtained through internal Controls testing, regular Management Information ‘MI’, responses to live events (for example Business Continuity Incidents), and Internal Audits.

C.5 Operational Risk

6.1 Reputation Risk (the trustworthiness of a firm resulting in loss of revenues or destruction of shareholder value):

This is a Risk affecting all firms with a wide variety of permutations in relation to scenarios and results. CHGL and CICL are acutely aware of the importance of the Collingwood reputation and manages Risk materialisation through contractual clauses limiting use of the Collingwood Brand, internal approvals of public material and robust processes for the handling of complaints and subsequent root cause analysis.

6.2 Legal, Political and Regulatory Environment Risk (legislative, political and regulatory changes):

The Group employs individuals with appropriate qualifications and significant experience in various legal and regulatory environments. CICL is also a member of various trade organisations such as the Association of British Insurers.

C.6 Other Material Risk


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C.5 Operational Risk

C.6 Other Material Risk

C.7 Any Other Information7.1 CICL products are sold exclusively in the United Kingdom, whilst underwritten in the firm’s Home State of Gibraltar.

By virtue of the Financial Services and Markets Act 2000 (Gibraltar) Order 2001 (the ‘Gibraltar Order’), Gibraltar based insurers are permitted to provide insurance products to United Kingdom customers. This is unconnected to the United Kingdom’s membership of the European Union.

CICL continually considers the relationship between its business plan, Risk Management and the financial resources it has available.

Stress Tests (including Reverse Stress Testing and Scenario Analyses) are considered a fundamental element of CICL’s overall Risk management framework, rather than being viewed simply as a helpful tool for capital allocation purposes or as a way to monitor performance. It commits to annual Stress Testing and Scenario Analyses (as a minimum. If significant changes to its Risk Profile arises, further Tests and Analyses will be undertaken).

Stress Testing and Scenario Analyses may involve a review of many different conditions or incidents therefore not all Tests or Scenarios scrutinise Risks contained on the Risk Register at any given point in time, for example CICL may decide to stress or analyse any of the Emerging Risks it has recorded for future monitoring or which has recently been published by the regulatory community.

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1.1 CICL prepares its financial statements in compliance with Gibraltar Financial Reporting Standard (‘FRS’) 102 and FRS 103, being applicable Gibraltar Generally Accepted Accounting Practice (‘Gibraltar GAAP’). Gibraltar legislation applied in the preparation of these financial statements is the Insurance Companies (Accounts Directive) Regulations 1997.

The financial statements are prepared under the historical cost convention except for the investments in land and buildings and certain financial investments which are measured at fair value.

CICL exercises judgement in selecting its accounting policies. The preparation of the financial statements requires management to make judgements, estimates and assumptions that affect the amounts reported for assets and liabilities as at the balance sheet date and the amounts reported for income and expenses during the year. CICL has followed a consistent approach in selecting its valuation approach to Solvency II. These judgements and estimates are based on management knowledge of historic results, current factors and predictions of future events and actions. However, the nature of estimation means that actual outcomes could differ from those estimates, possibly significantly.

The following sections described the valuation approaches used by CICL for valuing its assets and liabilities:

CICL

Valuation for Solvency PurposesD.1 Assets

Assets

Assets GAAPAccounts

Reclassificationfor Solvency II

Valuation Adjfor Solvency II Solvency II Value

ValueIntangible fixed assets 58,750 (58,750) 0Property 2,525,000 2,525,000Tangible fixed assets 122,857 122,857Equities 1,270,217 1,270,217Collective Investment undertakings 1,962,334 1,962,334Debt and other fixed income securities 13,128,913 (1,962,334) 11,166,580Cash and cash equivalents 67,359,008 56,468 67,415,476Reinsurers share of unearned premium 3,628,591 (3,628,591) 0Reinsurers share of outstanding claims 15,824,452 2,556,171 4,608,014 22,988,637Premium Debtors 7,143,351 (7,143,351) 0Other debtors 204,758 (56,154) 148,604Deferred acquisition costs 3,362,790 (3,362,790) 0Other deferred costs 1,415,665 (1,415,665) 0

Total 116,044,352 (4,587,180) (3,857,468) 107,599,704


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Valuation for Solvency PurposesD.1 Assets

Group

1.2 Valuations of the following assets are consistent with those used in the GAAP accounts:

1.2.1 Property

CICL has two residential properties in Gibraltar and one investment property in the UK, valued on the basis of the most recent external valuation report. Properties are valued at least every three years.

1.2.2 Tangible fixed assets

Company cars plus fixtures and fittings (properties), valued at the lower of their amortised cost or net realisable value.

1.2.3 Equities

Small portfolio of shares, mainly in FTSE 100 Companies, valued at market value as they are all listed Companies.

1.2.4 Bonds and Structured notes

Two small bond portfolios with Black Rock and three structured notes with Credit Suisse, quoted instruments in active markets and therefore included at market value per the Credit Suisse statement.

1.2.5 Cash and Cash Equivalents

Accounts and fixed deposits with RBS Group, Lloyds and Barclays, valued at the amount held per the bank statements, translated using the period-end exchange rate if appropriate.

1.2.6 Other assets

Prepayments and accrued income on fixed bank deposits, valued at the best estimate of the recoverable amounts or realisable value.

AssetsGAAP

AccountsValue


Valuation Adjfor Solvency II

Solvency II Value

Intangible fixed assets 58,750 (58,750) 0Property 2,525,000 2,525,000Tangible fixed assets 122,857 122,857Equities 1,270,217 1,270,217Collective Investment undertakings 1,962,334 1,962,334Debt and other fixed income securities 13,128,913 (1,962,334) 11,166,580Cash and cash equivalents 67,376,626 56,468 67,433,094Reinsurers share of unearned premium 3,628,591 (3,628,591) 0Reinsurers share of outstanding claims 15,824,452 (2,556,171) 4,608,014 17,876,295Premium Debtors 7,143,351 (7,143,351) 0Other debtors 205,298 (56,154) 149,144Deferred acquisition costs 3,362,790 (3,362,790) 0Other deferred costs 1,415,665 (1,415,665) 0Total 116,062,510 (9,699,522) (3,857,468) 102,505,520

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1.3 Assets disallowed under Solvency II

• Reinsurers share of unearned premium• Reinsurers share of deferred costs• Deferred acquisition costs• Other deferred costs• Intangible fixed assets (goodwill and intellectual property rights)

1.4 Valuation of liabilities are consistent with Gibraltar GAAP

1.4.1 Subordinated debt

€15m debt taken over a 10 year term in September 2016. Balance as monies due, converted at the period-end exchange rate.

1.4.2 Other creditors

Claims handling, IPT, MIB and sundry accruals, valued at GAAP amount with no adjustments.

1.5 Assets/Liabilities reclassified under Solvency II

1.5.1 Intermediary recoverables

Premium debtors due from policyholders/brokers, valued at the best estimate of the recoverable amounts. Recovery is all due in less than one year so not discounted to present value. Reclassified to net-off technical provisions.

1.5.2 Unearned premium

Proportion of the insurance premium that applies to the unused part of the period for which the premium has been charged. This tends to be lower for CICL than other motor insurers due to the Company writing a large proportion of short duration policies.

There is no difference between the GAAP and Solvency II for this balance. This is reclassified to technical provisions.

1.5.3 Reinsurance payables Monies due to reinsurers. There is no difference between the GAAP and Solvency II for this balance. This is reclassified to net-off reinsurance recoveries.

Liabilities

LiabilitiesGAAP

AccountsValue


Valuation Adjfor Solvency II Solvency II Value

Technical Provisions 69,775,847 (27,116,908) 15,812,207 58,471,146Risk Margin 1,921,294 1,921,294Subordinated debt 12,439,386 12,439,386Reinsurance payable 2,556,171 (2,556,171) 0Other creditors 3,604,441 (428,512) 3,175,929Total 88,375,845 (29,673,079) 17,304,989 76,007,755


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1.6 Deferred tax

Deferred tax balances are determined by reference to the difference between the Solvency II balance sheet and the values per statutory accounts. A positive value is only ascribed to deferred tax assets where it is probable that future taxable profits will lead to the realisation of that deferred tax asset.

A deferred tax asset has not been recognised as CICL’s Board considers the amount to be insignificant.

1.7 Provisions

As at 31st March 2017 the Company has no provisions (other than technical provisions) in its financial statements or on its Solvency II balance sheet.

1.8 Contingent liabilities/Employee benefits

The Company did not consider that any contingent liabilities or employee benefits liabilities existed as at 31st March 2017.

1.9 Aggregation of liabilities

The Company does not aggregate liabilities into material classes other than those reported in QRT

D.2 Technical Provisions Introduction

The GAAP accounts of both the Group and CICL ‘the Company’ include the best estimate of incurred claims (including incurred but not reported claims) on the earned premium. The Group and the Company also considers any amounts recoverable from reinsurance contracts in respect of these claims. All the data included in this section refers to both the Group and the Company.

Best estimates are calculated initially by the Company from an internal actuarial report (prepared by the service company’s data analyst team). The data analysts are not actuaries but understand actuarial principles and use the chain ladder method as the basis for their calculations.

The calculations are considered by the Chief Executive Officer and Finance Director of the Company from the GAAP accounts unless they consider the statistically driven figure to be inappropriate, for example if they would cause a reserve to be created on a closed year of account or if the figure is too low given the directors knowledge of a specific claim or an event which has occurred since the period end data was prepared.

This report forms the basis of the review by Mazars, an external firm of professional Actuaries. The two reports are compared, with the Company’s GAAP accounts reflecting the higher of the two best estimates. This full review takes place annually following the Company’s financial year-end, with ad hoc mid-year supplementary reviews considering movements since year-end.

CICL previously wrote a book of Employers and Public Liability business in Ireland (class 5). The last policy was written in December 2010. At 31st March 2017 there were 15 policies with outstanding reserves which are included in the technical provisions. All are expected to be settled within the next 12 months.

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2.2 Calculation of technical provisions

CICL holds technical provisions to represent the current amount it would have to pay for an immediate transfer of its obligations to another insurer. The technical provisions are comprised of two key elements:

(i) Best Estimated Liabilities (BEL) are the probability weighted average of future cash flows, discounted back to the balance sheet date using the risk-free discount rates. This includes all relevant cash inflows and outflows which CICL is obligated to at this date.

(ii) The risk margin represents an allowance for the cost of capital necessary to support the policies of CICL over their lifetime. This is calculated based on cost of capital of 6% (As prescribed by EIOPA).

2.3 Changes in provisions from GAAP to Solvency II:

80,000

70,000

60,000

50,000

40,000

30,000

20,000

10,000

-

GA

AP

Une

arne

dP

rem

ium

Res

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Futu

re P

rem

ium

In

com

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Une

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d R

isks

Run

off

Pro

visi

on

Dis

coun

ting

Tech

nica

l P

rovi

sion

s

Ris

k M

argi

n

Line of BusinessTechnical provisions

(excluding risk margin)£’000’s

Risk Margin£’000’s

Technical Provisions£’000’s

Motor vehicle liability 45,971 1,520 47,491Motor vehicle other 11,493 380 11,873General liability 1,007 33 1,040Total 58,471 1,933 60,404

2.1 The technical provisions by line of business are as follows:


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2.4 Uncertainty associated with the value of technical provisions

2.4.1 There are a number of key areas of uncertainty around the calculation of the technical provisions:

2.4.1.1 Estimation of outstanding loss reserves

This is made more difficult and subjective due to changing legal and economic environments that impact the development of claims. These can be internal, such as claims handling, terms and conditions and underlying pricing policy, or external, such as medical inflation, social trends and the regulatory environment.

2.4.1.2 Estimation of the losses relating to claims which have been incurred but not reported (IBNR)

Actuarial techniques are used to calculate the IBNR however these are based on historic trends regarding development which will not necessarily follow the same patterns in the future.

2.4.1.3 Estimation of claims arising on business which has not yet expired

This is subject to the same uncertainties as the calculation of the IBNR.

2.4.1.4 Run off expenses

This estimation is uncertain due to the potential length of the run off and inflation rates.

2.4.1.5 Risk Margin

Being the margin payable to transfer the business to another insurer that suffers from the same uncertainties as the run off expenses mentioned above.

2.4.1.6 Catastrophic events

For both man-made and natural disasters the frequency and severity of catastrophe losses are inherently unpredictable.

2.4.1.7 Market environment

Changes in the market environment increase the inherent uncertainty affecting the business, for example claims inflation, settlement of claims though periodic payment orders and more recently the change in the Odgen discount rate.

2.4.1.8 Events not in data ‘ENIDs’

Estimating ENIDs is inherently difficult due to the fact that they have not yet been observed (see 2.5.4 below).

2.4.2 CICL and the Group manage such uncertainties in the following ways:

2.4.2.1 Ongoing monitoring of claims, including detailed monthly management information reviewed at both committee and Board level. This also includes key performance targets which must be adhered to by service providers.

2.4.2.2 Both regular internal and external actuarial reviews, which are performed a minimum of twice a year. This allows CICL to assess the reserve adequacy of the IBNR.

2.4.2.3 Internal controls through CICL’s various committees, including Underwriting and Risk and Compliance, where changes in legislation, regulatory requirements and consideration of market trends are analysed quarterly.

2.4.2.4 Purchase of excess of loss reinsurance protects CICL against large/catastrophic events.

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2.5 Claims element

2.5.1 Claims provisions

CICL and the Group make no adjustments to claims provisions used in the GAAP accounts to those used under Solvency II (calculated as described above). Due to the nature of its products CICL does not consider that any adjustments are required for contract boundaries. The claims provision as at 31st March 2017 was £49.802m.

2.5.2 Unexpired risks

Are estimated using the expected loss ratio on the unearned premium per the GAAP accounts (sometimes called the premium provision). The premium provision as at 31 March 2017 was £13.981m.

2.5.3 Intermediary recoverables

The premium debtor per the GAAP accounts is netted off the technical provisions for solvency purposes. The net insurance receivables as at 31st March 2017 was £7.143m.

2.5.4 Events not in data loading

The technical provision is required to allow for all possible events, including those that may not have historically been realised before. The Group has undertaken an assessment of previously unobserved events for each line of business and sought to consider the probability weighted effect of such events, and believe that such events are unlikely. The ENID loading at 31st March 2017 was £665k.

2.5.5 Run off provision

An allowance has to be made within CICL’s technical provisions for servicing its insurance obligations. This relates to the expenses required to “run off” existing claims. The Group and the Company considers the run off period to be 7 years and has used a rate of 1.5%, along with a minimum cost level. The run off provision applied at 31st March 2017 was £1.801m.

2.5.6 Risk Margin – Discounting

This is applied to the technical provision based on the sterling yield curve as issued by EIOPA, updated at the end of each quarter and amounted to £635k.


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2.6 Reinsurance element

2.6.1 Reinsurance share of claims provision

CICL makes no adjustment to its reinsurance recoveries per the GAAP accounts for Solvency II purposes. Reinsurers share of claims provisions as at 31st March 2017 was £15.824m.

2.6.2 Reinsurance share of unexpired risks

CICL estimates the amounts recoverable on the unexpired risks included in the claims element. The reinsurers share of the premium provisions as at 31st March 2017 was £4.818m.

2.6.3 Reinsurance payables

CICL makes no adjustments to its reinsurance payables per the GAAP accounts. These are netted off the reinsurance recoveries for Solvency II. The net reinsurance payables as at 31st March 2017 was £2.556m.

2.6.4 Counterparty default provision

CICL has considered a provision for the default of one its reinsurers. The provision is based on the total exposure to that counterparty and its credit rating. Given that the Company has an excellent reinsurance panel with a minimum ‘A’ rating, this figure is very small. The counterparty default adjustment at 31st March 2017 was £9k.

2.6.5 Discounting

Has been applied in the technical provisions based on the sterling yield curve as at 31st March 2017 as issued by EIOPA. The impact of discounting on the reinsurers share of technical provisions was £201k.

2.7 Exclusions from technical provisions

2.7.1 Matching adjustment

CICL does not use the matching adjustment within the calculation of technical provisions.

2.7.2 Volatility adjustment

The volatility adjustment to the risk-free rates is not used by CICL in the calculation of its technical provisions.

2.7.3 Transitional measures applied to technical provisions

CICL does not apply any transitional arrangements to the technical provisions.

D.3 Other Liabilities

D.4 Alternative Methods for Valuation

D.5 Any Other Information

3.1 See section D1.4 above.

4.1 Both the Group and the Company use the same bases, methods and assumptions for the valuation for solvency purposes of the Groups assets, technical provisions and other liabilities.

5.1 There are no further disclosures.

35


Introduction

The Collingwood Group is required to hold a solvency margin to cover the risk of its assets being insufficient to meet its liabilities. Under Solvency II the main capital requirement is the Solvency Capital Requirement (SCR). There is also a lower Minimum Capital Requirement (MCR). Own funds are divided into ‘basic own funds’ e.g. on balance sheet amounts and ‘ancillary own funds’, such as letters of credit and guarantees, which require supervisory approval.

The MCR is first calculated in accordance with a specific formula and then adjusted if necessary to fall within 25% - 45% of the SCR. As a standard, rather than internal model firm, CICL’s SCR is calculated in accordance with the European standard formula. Whilst not an exact match across all of the Risk sub-modules, CICL believes this Model is appropriate to its profile.

‘Own funds’ are divided into 3 ‘Tiers’ (Tier 1 being the highest quality) based on loss absorbency.There are limits to the amount of Tier 1, Tier 2 and Tier 3 own funds that can be used towards the SCR and MCR:

- ‘Own funds’ covering the MCR are the most restrictive. ‘Ancillary own funds’ i.e. requiring supervisory approval cannot be used to cover the MCR and neither can Tier 3 ‘own funds’ items

- 80% of ‘basic own funds’ used to cover the MCR will need to be Tier 1 rated

- in terms of the SCR 50% of ‘own funds’ will need to be Tier 1 rated

- at least 80% of Tier 1 items should be unrestricted, with no more than 20% being restricted Tier 1

- Tier 2 can be up to 50% and Tier 3 can be no more than 15% of eligible ‘own funds’

- if a limit for one Tier is exceeded, the item may still be capable of being counted in a lower Tier

CICL ensures that the durations of instruments are consistent with the average duration of its liabilities. This principle forms part of its Risk Management programme i.e. Liquidity Risk Management and Investment Policies as well as the firm’s Capital Management Plan.

Appetite for Solvency is expressed as a percentage of the SCR, namely 125%, subject to a Tolerance of 110% (of the SCR).

1.1 Historically the Group’s basic own fund items have all been Tier 1 quality however in September 2016 CICL secured €15m of Subordinated debt to strengthen the firm’s existing solvency position and support future organic growth. The Notes are categorised as Tier 2 Own Funds regulatory capital, are repayable in 2026 and are direct, unconditional, unsecured and subordinated obligations. This is the only change to own funds during the reporting period.

The Group does not possess, nor does it plan to possess ancillary own fund items, which would require regulatory approval.

CICL is aware that Tier 2 capital may only comprise up to 50% of the firm’s SCR at any given time, which will be maintained throughout its planning horizon and beyond however its SCR is already covered 100% by Tier 1 funds.

Capital ManagementE.1 Own Funds


36

The type and quantity of unencumbered own fund items ensure there is no potential for incorrect classification.

CICL review its own funds against the MCR and SCR requirements every quarter. In the event capital issuance was considered (there are no plans to do so), FSC/legal opinion would be sought to ensure funds are correctly classified and where applicable, FSC approval obtained (ensuring the requirements surrounding quality of own fund items relevant to the firm’s SCR and MCR would be met i.e. percentages of Tiers 1 – 3).

Dividends have not been issued for over 9 years as the building of Reserves has been considered a priority, maintaining a solvency surplus. Capital resources will continue to be managed carefully.

Given the type and quality of own fund items the Group holds, detailed ongoing contractual, statutory or legal provisions governing items are unlikely to arise and it anticipates exposure to Risk in this area is low (minimal).

CICL has not applied to use any transitional measures for the calculation of own funds. Grandfathering is not required because all own fund items meet the Solvency II classification criteria.

The Groups own funds are as follows (as at 31st March 2017):

Group –

CICL –

Own fund items Tier £’000’s %

Share capital and share premium 1 8477 21.78%Capital redemption reserve 1 19 0.05%Reconciliation reserve 1 17,983 46.21%Subordinated debt 2 12,439 31.96%Total 38,918 100%

Own fund items Tier £’000’s %

Share capital and share premium 1 9,486 24.38%Reconciliation reserve 1 16,982 43.65%Subordinated debt 2 12,439 31.97%Total 38,907 100%

37


2.1 Calculation of the Solvency Capital Requirement ‘SCR’

The Company and Group are exposed to market risk which is the risk of loss or adverse change in its financial situation resulting from changes in the value of its assets and liabilities caused by the volatility of market prices of assets, liabilities and financial instruments.

E.2 Solvency Capital Requirement and Minimum Capital Requirement

The Company and Group are exposed to the risk that a counterparty to a transaction or contract will default (fail to perform) on its obligation under the contract. This is in the form of cash deposits and recoverables from reinsurers (type 1) and receivables from intermediaries and policyholders (type 2).

Underwriting risk is the largest element of the SCR calculation and relates to the volatility of actual claims payments from the expected amount of claims payments.

Market Risk CICL£’000’s

Group£’000’s

Interest rate risk 96 96Spread risk 431 431Equity risk 513 513Currency risk 1,123 1,123Property risk 631 631Concentration risk 2,244 2,244Diversification (1,983) (1,983)Total 3,055 3,055

Counterparty risk CICL£’000’s

Group£’000’s

Type 1 risk 4,437 4,438Type 2 risk 1,056 1,056Diversification (217) (217)Total 5,276 5,277

Non-life Underwriting risk CICL£’000’s

Group£’000’s

Premium and reserve risk 19,211 19,211Catastrophe risk 760 760Diversification (556) (556)Total 19,415 19,415


38

The above elements are then added together to create the Basic SCR, to which the Operational Risk formula is added. This generates the final SCR.

2.2 Calculation of the Minimum Capital Requirement ‘MCR’

The inputs applied to the calculation of the MCR are made up of technical provisions (excluding the risk margin) and the net written premiums over the last 12 months (by class of business), together with the prescribed minimum (the ‘absolute floor’) and the most recently calculated SCR.

The absolute MCR/SCR figures, which Collingwood has significantly outperformed, have increased appreciably as it has taken advantage of market conditions, its operational skills and financial strength to grow its core business.

Neither the Group nor the Company have utilised simplification calculations in applying the standard model and there has been no use of undertaking specific parameters. This is the first period that the SCR and MCR have been reported so there are no comparative figures.

SCR CICL£’000’s

Group£’000’s

Market risk 3,055 3,055Counterparty risk 5,276 5,277Non-life underwritng risk 19,415 19,415Basic SCR diversification (4,203) (4,204)Operational 1,754 1,754Total SCR requirement 25,297 25,297Own funds 38,907 38,918Excess over SCR 13,610 13,621% coverage 153.80% 153.84%

Line of business

Net (of reinsurance) bestestimate and technical

provisions calculated as a whole£’000’s

Net (of reinsurance)written premiums inthe last 12 months

£’000’s

Motor vehicle liability 31,909 45,457Other motor 7,977 11,364General liability 709 -

MCR 8,509Eligible own funds for MCR 28,170% coverage 331.06%

39


3.1 Not Applicable.

E.3 Use of the duration based equity Risk sub-module

4.1 Not Applicable.

E.4 Differences between the Standard Formula and Internal Model

5.1 CICL and the Group have maintained capital significantly above both the SCR and MCR throughout the reporting period of this report.

It has not been necessary to seek, and therefore the Group has not applied for, any transitional arrangements.

E.5 Non-compliance with the SCR and MCR

6.1 There are no further disclosures.

E.6 Any Other Information


40

Quantitative Reporting Templates ‘QRTs’

S.02.01.02 - Balance Sheet Solvency II value

C0010

Assets

R0030 Intangible assets 0R0040 Deferred tax assets 0R0050 Pension benefit surplus 0R0060 Property, plant & equipment held for own use 123R0070 Investments (other than assets held for index-linked and unit-linked contracts) 35,860R0080 Property (other than for own use) 2,525R0090 Holdings in related undertakings, including participations 0R0100 Equities 1,270R0110 Equities - listed 1,270R0120 Equities - unlisted 0R0130 Bonds 11,167R0140 Government Bonds 0R0150 Corporate Bonds 0R0160 Structured notes 11,167R0170 Collateralised securities 0R0180 Collective Investments Undertakings 1,962R0190 Derivatives 0R0200 Deposits other than cash equivalents 18,936R0210 Other investments 0R0220 Assets held for index-linked and unit-linked contracts 0R0230 Loans and mortgages 0R0240 Loans on policies 0R0250 Loans and mortgages to individuals 0R0260 Other loans and mortgages 0R0270 Reinsurance recoverables from: 17,876R0280 Non-life and health similar to non-life 17,876R0290 Non-life excluding health 17,876R0300 Health similar to non-life 0R0310 Life and health similar to life, excluding health and index-linked and unit-linked 0R0320 Health similar to life 0R0330 Life excluding health and index-linked and unit-linked 0R0340 Life index-linked and unit-linked 0R0350 Deposits to cedants 0R0360 Insurance and intermediaries receivables 0R0370 Reinsurance receivables 0R0380 Receivables (trade, not insurance) 1R0390 Own shares (held directly) 0R0400 Amounts due in respect of own fund items or initial fund called up but not yet paid in 0R0410 Cash and cash equivalents 48,479R0420 Any other assets, not elsewhere shown 148R0500 Total assets 102,487

Collingwood Insurance Company Limited

41


S.02.01.02 - Balance Sheet Continued Solvency II valueC0010

Liabilities

R0510 Technical provisions – non-life 60,404

R0520 Technical provisions – non-life (excluding health) 60,404

R0530 Technical provisions calculated as a whole 0

R0540 Best Estimate 58,471

R0550 Risk margin 1,933

R0560 Technical provisions - health (similar to non-life) 0


R0580 Best Estimate 0

R0590 Risk margin 0

R0600 Technical provisions - life (excluding index-linked and unit-linked) 0

R0610 Technical provisions - health (similar to life) 0



R0640 Risk margin 0

R0650 Technical provisions – life (excluding health and index-linked and unit-linked) 0



R0680 Risk margin 0

R0690 Technical provisions – index-linked and unit-linked 0



R0720 Risk margin 0

R0740 Contingent liabilities 0

R0750 Provisions other than technical provisions 900

R0760 Pension benefit obligations 0

R0770 Deposits from reinsurers 0

R0780 Deferred tax liabilities 0

R0790 Derivatives 0

R0800 Debts owed to credit institutions 0

R0810 Financial liabilities other than debts owed to credit institutions 0

R0820 Insurance & intermediaries payables 75

R0830 Reinsurance payables 0

R0840 Payables (trade, not insurance) 2,201

R0850 Subordinated liabilities 12,439

R0860 Subordinated liabilities not in Basic Own Funds 0

R0870 Subordinated liabilities in Basic Own Funds 12,439

R0880 Any other liabilities, not elsewhere shown 0

R0900 Total liabilities 76,019

R1000 Excess of assets over liabilities 26,468


42

S.05.01.02 - Premium, claims and expenses by line of business

Line of Business for: non-life insurance and reinsurance obligations (direct business and accepted proportional reinsurance)

TotalMotor vehicle

liability insuranceOther motor insurance

General liability insurance

C0040 C0050 C0080 C0200

Premiums written

R0110 Gross - Direct Business 52,604 13,151 0 65,755R0120 Gross - Proportional reinsurance accepted 0 0 0 0R0130 Gross - Non-proportional reinsurance accepted 0 0 0 0R0140 Reinsurers’ share 7,147 1,787 0 8,933R0200 Net 45,457 11,364 0 56,822

Premiums earnedR0210 Gross - Direct Business 45,939 11,485 0 57,424R0220 Gross - Proportional reinsurance accepted 0 0 0 0R0230 Gross - Non-proportional reinsurance accepted 0 0 0 0R0240 Reinsurers’ share 5,148 1,287 0 6,434R0300 Net 40,792 10,198 0 50,990

Claims incurred

R0310 Gross - Direct Business 35,495 8,874 272 44,641R0320 Gross - Proportional reinsurance accepted 0 0 0 0R0330 Gross - Non-proportional reinsurance accepted 0 0 0 0R0340 Reinsurers’ share 11,288 2,822 -23 14,087R0400 Net 24,208 6,052 295 30,554

Changes in other technical provisions

R0410 Gross - Direct Business 0 0 0 0R0420 Gross - Proportional reinsurance accepted 0 0 0 0R0430 Gross - Non- proportional reinsurance accepted 0 0 0 0R0440 Reinsurers’share 0 0 0 0R0500 Net 0 0 0 0R0550 Expenses incurred 10,324 2,581 0 12,905R1200 Other expenses 0 0 0 2,113R1300 Total expenses 0 0 0 15,017 43


S.05.02.01 - Premium, claims and expenses by country

Country (by amount of gross premiums written)

Top 5 and home country

C0020 C0030 C0070GB IE

C0090 C0100 C0140Premiums written

R0110 Gross - Direct Business 65,755 65,755R0120 Gross - Proportional reinsurance accepted 0 0 0R0130 Gross - Non-proportional reinsurance accepted 0 0 0R0140 Reinsurers’ share 8,933 8,933R0200 Net 56,822 0 56,822

Premiums earnedR0210 Gross - Direct Business 57,424 0 57,424R0220 Gross - Proportional reinsurance accepted 0 0 0R0230 Gross - Non-proportional reinsurance accepted 0 0 0R0240 Reinsurers’ share 6,434 0 6,434R0300 Net 50,990 0 50,990

Claims incurredR0310 Gross - Direct Business 44,332 309 44,641R0320 Gross - Proportional reinsurance accepted 0 0 0R0330 Gross - Non-proportional reinsurance accepted 0 0 0R0340 Reinsurers’ share 14,110 -22 14,087R0400 Net 30,223 331 30,554

Changes in other technical provisionsR0410 Gross - Direct Business 0 0 0

R0420 Gross - Proportional reinsurance accepted 0 0 0

R0430 Gross - Non-proportional reinsurance accepted 0 0 0

R0440 Reinsurers’ share 0 0 0

R0500 Net 0 0 0

R0550 Expenses incurred 12,905 0 12,905

R1200 Other expenses 0 0 2,113

R1300 Total expenses 0 0 15,017


44

S.17.01.02 - Non-Life Technical Provisions Direct business and accepted proportional reinsuranceTotal Non-Life

ObligationMotor vehicle liability insurance

Other motor insurance

General liability insurance

C0050 C0060 C0090 C0180R0010 Technical provisions calculated as a whole 0 0 0 0R0050 Total Recoverables from reinsurance/SPV and Finite Re after the adjust-

ment for expected losses due to counterparty default associated to TP calculated as a whole

0 0 0 0

Technical provisions calculated as a sum of BE and RM

Best estimate 0 0 0 0Premium provisions 0 0 0 0

R0060 Gross - Total 11,626 2,906 0 14,533R0140 Total recoverable from reinsurance/SPV and Finite Re after

the adjustment for expected losses due to counterparty default

3,234 809 0 4,043

R0150 Net Best Estimate of Premium Provisions 8,392 2,098 0 10,490

Claims provisions

R0160 Gross - Total 34,345 8,586 1,007 43,938R0240 Total recoverable from reinsurance/SPV and Finite Re after

the adjustment for expected losses due to counterparty default

10,828 2,707 298 13,833

R0250 Net Best Estimate of Claims Provisions 23,517 5,879 709 30,105R0260 Total Best estimate - gross 45,971 11,493 1,007 58,471R0270 Total Best estimate - net 31,909 7,977 709 40,595R0280 Risk margin 1,520 380 33 1,933

Amount of the transitional on Technical Provisions

R0290 TP as a whole 0 0 0 0R0300 Best estimate 0 0 0 0R0310 Risk margin 0 0 0 0

Technical provisions - total

R0320 Technical provisions - total 47,491 11,873 1,040 60,404R0330 Recoverable from reinsurance contract/SPV and Finite Re

after the adjustment for expected losses due to counterparty default - total

14,063 3,516 298 17,876

R0340 Technical provisions minus recoverables from reinsurance/SPV and Finite Re- total 33,428 8,357 743 42,528

45


Development year

Year 0 1 2 3 4 5 6 7 8 9 10 & + Year end (discounted

data)C0200 C0210 C0220 C0230 C0240 C0250 C0260 C0270 C0280 C0290 C0300 C0360

R0100 Prior 251 221

R0160 N-9 267 247R0170 N-8 633 577R0180 N-7 -163 (153)R0190 N-6 455 681R0200 N-5 9,325 8,961R0210 N-4 665 646R0220 N-3 3,024 2,964R0230 N-2 5,186 5,122R0240 N-1 10,702 10,635R0250 N 14,303 14,277R0260 Total 44,178

Development year

Year 0 1 2 3 4 5 6 7 8 9 10 & + In Current year

Sum of all years

(cumulative)C0010 C0020 C0030 C0040 C0050 C0060 C0070 C0080 C0090 C0100 C0110 C0170 C0180

R0100 Prior 22 22 22

R0160 N-9 1,875 2,431 1,085 547 188 107 39 2 0 0 0 6,274

R0170 N-8 2,544 3,393 1,342 1,024 1,943 326 124 2 64 64 10,762

R0180 N-7 4,274 6,559 2,200 1,440 568 454 96 289 289 15,880

R0190 N-6 6,065 6,561 2,088 881 769 674 4,325 4,325 21,363

R0200 N-5 6,215 6,630 2,166 1,068 515 1,496 1,496 18,090

R0210 N-4 4,818 6,656 1,832 1,020 473 473 14,799

R0220 N-3 5,143 7,321 2,294 1,314 1,314 16,072

R0230 N-2 5,238 8,149 3,417 3,417 16,804

R0240 N-1 7,140 11,620 11,620 18,760

R0250 N 8,646 8,646 8,646

R0260 Total 31,666 147,472

Gross Claims Paid (non-cumulative)(absolute amount)

Gross undiscounted Best Estimate Claims Provisions(absolute amount)

S.19.01.21 - Non-Life insurance claims information


46

S.23.01.01 - Own Funds Total Tier 1 - unrestricted Tier 2

C0010 C0020 C0040

Basic own funds before deduction for participations in other financial sector as foreseen in article 68 of Delegated Regulation 2015/35

R0010 Ordinary share capital (gross of own shares) 70 70 0

R0030 Share premium account related to ordinary share capital 9,416 9,416 0

R0040 Initial funds, members› contributions or the equivalent basic own - fund item for mutual and mutual-type undertakings 0 0 0

R0050 Subordinated mutual member accounts 0 0 0

R0070 Surplus funds 0 0 0

R0090 Preference shares 0 0 0

R0110 Share premium account related to preference shares 0 0 0

R0130 Reconciliation reserve 16,982 16,982 0

R0140 Subordinated liabilities 12,439 0 12,439

R0160 An amount equal to the value of net deferred tax assets 0 0 0

R0180 Other own fund items approved by the supervisory authority as basic own funds not specified above 0 0 0

Own funds from the financial statements that should not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds

R0220 Own funds from the financial statements that should not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds

0 0 0

Deductions

R0230 Deductions for participations in financial and credit institutions 0 0 0

R0290 Total basic own funds after deductions 38,907 26,468 12,439

Ancillary own funds

R0300 Unpaid and uncalled ordinary share capital callable on demand 0 0 0

R0310 Unpaid and uncalled initial funds, members› contributions or the equivalent basic own fund item for mutual and mutual - type undertakings, callable on demand 0 0 0

R0320 Unpaid and uncalled preference shares callable on demand 0 0 0

R0330 A legally binding commitment to subscribe and pay for subordinated liabilities on demand 0 0 0

R0340 Letters of credit and guarantees under Article 96(2) of the Directive 2009/138/EC 0 0 0

R0350 Letters of credit and guarantees other than under Article 96(2) of the Directive 2009/138/EC 0 0 0

R0360 Supplementary members calls under first subparagraph of Article 96(3) of the Directive 2009/138/EC 0 0 0

R0370 Supplementary members calls - other than under first subparagraph of Article 96(3) of the Directive 2009/138/EC 0 0 0

R0390 Other ancillary own funds 0 0 0

R0400 Total ancillary own funds 0 0 0

Available and eligible own funds

R0500 Total available own funds to meet the SCR 38,907 26,468 12,439

R0510 Total available own funds to meet the MCR 38,907 26,468 12,439

R0540 Total eligible own funds to meet the SCR 38,907 26,468 12,439

R0550 Total eligible own funds to meet the MCR 28,170 26,468 1,702

R0580 SCR 25,297 0 0

R0600 MCR 8,509 0 0

R0620 Ratio of Eligible own funds to SCR 0 0 0

R0640 Ratio of Eligible own funds to MCR 0 0 0

47


Reconciliation reserve C0060R0700 Excess of assets over liabilities 26,468R0710 Own shares (held directly and indirectly) 0R0720 Foreseeable dividends, distributions and charges 0R0730 Other basic own fund items 9,486R0740 Adjustment for restricted own fund items in respect of matching adjust-

ment portfolios and ring fenced funds0

R0760 Reconciliation reserve 16,982Expected profits

R0770 Expected profits included in future premiums (EPIFP) - Life business 0R0780 Expected profits included in future premiums (EPIFP) - Non-life business 0R0790 Total Expected profits included in future premiums (EPIFP) 0


48

S.25.01.21 - Solvency Capital Requirement - for undertakings on Standard Formula Gross solvency capital requirement

C0110R0010 Market risk 3,055R0020 Counterparty default risk 5,276R0030 Life underwriting risk 0R0040 Health underwriting risk 0R0050 Non-life underwriting risk 19,415R0060 Diversification (4,203)R0070 Intangible asset risk 0R0100 Basic Solvency Capital Requirement 23,543

Calculation of Solvency Capital RequirementC0100

R0130 Operational risk 1,754R0140 Loss-absorbing capacity of technical provisions 0R0150 Loss-absorbing capacity of deferred taxes 0R0160 Capital requirement for business operated in accordance with Art. 4 of Directive 2003/41/EC 0R0200 Solvency Capital Requirement excluding capital add-on 25,297R0210 Capital add-on already set 0R0220 Solvency capital requirement 25,297

Other information on SCR

R0400 Capital requirement for duration-based equity risk sub-module 0R0410 Total amount of Notional Solvency Capital Requirements for remaining part 0R0420 Total amount of Notional Solvency Capital Requirements for ring fenced funds 0R0430 Total amount of Notional Solvency Capital Requirements for matching adjustment portfolios 0R0440 Diversification effects due to RFF nSCR aggregation for article 304 0

49


S.28.01.01 - Minimum Capital Requirement - Only life or only non-life insurance or reinsurance activity

Linear formula component for non-life insurance and reinsurance obligations

C0010R0010 MCRNL Result 8,508,879

Net (of reinsurance/SPV) best estimate

and TP calculated as a whole

Net (of reinsur-ance) written

premiums in the last 12 months

C0020 C0030R0020 Medical expense insurance and proportional reinsurance 0 0R0030 Income protection insurance and proportional reinsurance 0 0R0040 Workers› compensation insurance and proportional reinsurance 0 0R0050 Motor vehicle liability insurance and proportional reinsurance 31,909 45,457R0060 Other motor insurance and proportional reinsurance 7,977 11,364R0070 Marine, aviation and transport insurance and proportional reinsurance 0 0R0080 Fire and other damage to property insurance and proportional reinsurance 0 0

R0090 General liability insurance and proportional reinsurance 709 0R0100 Credit and suretyship insurance and proportional reinsurance 0 0R0110 Legal expenses insurance and proportional reinsurance 0 0R0120 Assistance and proportional reinsurance 0 0R0130 Miscellaneous financial loss insurance and proportional reinsurance 0 0R0140 Non-proportional health reinsurance 0 0R0150 Non-proportional casualty reinsurance 0 0R0160 Non-proportional marine, aviation and transport reinsurance 0 0R0170 Non-proportional property reinsurance 0 0

Overall MCR calculationC0070

R0300 Linear MCR C0070R0310 SCR 8,509R0320 MCR cap 25,297R0330 MCR floor 11,384R0340 Combined MCR 6,324R0350 Absolute floor of the MCR 8,509

2,251C0070

R0400 Minimum Capital Requirement 8,509


50

Criteria of influenceInclusion in the scope of Group

supervision

Group solvency calculation

Country Identification code of the undertaking

Type of code of the ID of the undertaking

Legal name of the under-taking

Type of undertaking

Legal form

Category (mutual/non mutual)

Super-visory Authority

% capital share

% used for the estab-lishment of consol-idated accounts

% voting rights

Other criteria

Level of influence

Proportional share used for group solvency calculation

YES/NO

Date of decision if art. 214 is applied

Method used and under method 1, treatment of the undertaking

C0010 C0020 C0030 C0040 C0050 C0060 C0070 C0080 C0180 C0190 C0200 C0210 C0220 C0230 C0240 C0250 C0260

GB 2138009HK-3FYRUTXKU89

LEI Collingwood Holdings (Gibraltar) Limited

5 2 1 1

GB 2138008WKP-J4N83T4P71

LEI Collingwood Insurance Company Limited

2 Limited by shares

2 Gibraltar Financial Services Commis-sion

1.0000 1.0000 1.0000 1 1.0000 1 1

S.32.01.22 - Undertakings in the scope of the Group

Collingwood Holdings (Gibraltar) Limited51

Solvency II value

CHM Assets C0010

R0030 Intangible assets 0

R0040 Deferred tax assets 0

R0050 Pension benefit surplus 0

R0060 Property, plant & equipment held for own use 123

R0070 Investments (other than assets held for index-linked and unit-linked contracts) 35,860

R0080 Property (other than for own use) 2,525

R0090 Holdings in related undertakings, including participations 0

R0100 Equities 1,270

R0110 Equities - listed 1,270

R0120 Equities - unlisted 0

R0130 Bonds 11,167

R0140 Government Bonds 11,167

R0150 Corporate Bonds 0

R0160 Structured notes 0

R0170 Collateralised securities 0

R0180 Collective Investments Undertakings 1,962

R0190 Derivatives 0

R0200 Deposits other than cash equivalents 18,936

R0210 Other investments 0

R0220 Assets held for index-linked and unit-linked contracts 0

R0230 Loans and mortgages 0

R0240 Loans on policies 0

R0250 Loans and mortgages to individuals 0

R0260 Other loans and mortgages 0

R0270 Reinsurance recoverables from: 17,876

R0280 Non-life and health similar to non-life 17,876

R0290 Non-life excluding health 17,876

R0300 Health similar to non-life 0

R0310 Life and health similar to life, excluding health and index-linked and unit-linked 0

R0320 Health similar to life 0

R0330 Life excluding health and index-linked and unit-linked 0

R0340 Life index-linked and unit-linked 0

R0350 Deposits to cedants 0

R0360 Insurance and intermediaries receivables 0

R0370 Reinsurance receivables 0

R0380 Receivables (trade, not insurance) 1

R0390 Own shares (held directly) 0

R0400 Amounts due in respect of own fund items or initial fund called up but not yet paid in 0

R0410 Cash and cash equivalents 48,497

R0420 Any other assets, not elsewhere shown 148

R0500 Total assets 102,505

S.02.01.02 - Balance Sheet


52

Solvency II value

CHM Liabilities C0010

R0510 Technical provisions – non-life 60,404

R0520 Technical provisions – non-life (excluding health) 60,404

R0530 TP calculated as a whole 0

R0540 Best Estimate 58,471

R0550 Risk margin 1,933

R0560 Technical provisions - health (similar to non-life) 0



R0590 Risk margin 0

R0600 Technical provisions - life (excluding index-linked and unit-linked) 0

R0610 Technical provisions - health (similar to life) 0



R0640 Risk margin 0

R0650 Technical provisions – life (excluding health and index-linked and unit-linked) 0



R0680 Risk margin 0

R0690 Technical provisions – index-linked and unit-linked 0



R0720 Risk margin 0

R0740 Contingent liabilities 0

R0750 Provisions other than technical provisions 900

R0760 Pension benefit obligations 0

R0770 Deposits from reinsurers 0

R0780 Deferred tax liabilities 0

R0790 Derivatives 0

R0800 Debts owed to credit institutions 0

R0810 Financial liabilities other than debts owed to credit institutions 0

R0820 Insurance & intermediaries payables 75

R0830 Reinsurance payables 0

R0840 Payables (trade, not insurance) 2,201

R0850 Subordinated liabilities 12,439

R0860 Subordinated liabilities not in Basic Own Funds 0

R0870 Subordinated liabilities in Basic Own Funds 12,439

R0880 Any other liabilities, not elsewhere shown 0

R0900 Total liabilities 76,019


S.02.01.02 - Balance Sheet Continued

53


Line of Business for: non-life insurance and reinsurance obligations (direct business and accepted proportional reinsurance)

TotalMotor vehicle liability

insuranceOther motor insurance General liability

insuranceCHM C0040 C0050 C0080 C0200

Premiums writtenR0110 Gross - Direct Business 52,604 13,151 0 65,755R0120 Gross - Proportional reinsurance accepted 0 0 0 0R0130 Gross - Non-proportional reinsurance accepted 0R0140 Reinsurers’ share 7,147 1,787 0 8,933R0200 Net 45,457 11,364 0 56,822

Premiums earnedR0210 Gross - Direct Business 45,939 11,485 0 57,424R0220 Gross - Proportional reinsurance accepted 0 0 0 0R0230 Gross - Non-proportional reinsurance accepted 0R0240 Reinsurers’ share 5,148 1,287 0 6,434R0300 Net 40,792 10,198 0 50,990

Claims incurredR0310 Gross - Direct Business 35,495 8,874 0 44,369R0320 Gross - Proportional reinsurance accepted 0 0 0 0R0330 Gross - Non-proportional reinsurance accepted 0R0340 Reinsurers’ share 11,288 2,822 0 14,110R0400 Net 24,208 6,052 0 30,260

Changes in other technical provisionsR0410 Gross - Direct Business 0 0 0 0R0420 Gross - Proportional reinsurance accepted 0 0 0 0R0430 Gross - Non- proportional reinsurance accepted 0R0440 Reinsurers’share 0 0 0 0R0500 Net 0 0 0 0R0550 Expenses incurred 10,324 2,581 0 12,905R1200 Other expenses 2,113R1300 Total expenses 15,017

S.05.01.02 - Premiums, Claims and Expenses by Line of Business


54

Home Country Top 5 countries (by amount of gross premiums written) - non-life obligations Total Top 5 and home country

CHM C0010 C0020 C0030 C0040 C0050 C0060 C0070R0010 GB IECHM C0080 C0090 C0100 C0110 C0120 C0130 C0140

Premiums writtenR0110 Gross - Direct Business 0 65,755 0 0 0 0 65,755R0120 Gross - Proportional reinsurance accepted 0 0 0 0 0 0 0R0130 Gross - Non-proportional reinsurance accepted 0 0 0 0 0 0 0R0140 Reinsurers’ share 0 8,933 0 0 0 0 8,933R0200 Net 0 56,822 0 0 0 0 56,822

Premiums earnedR0210 Gross - Direct Business 0 57,424 0 0 0 0 57,424R0220 Gross - Proportional reinsurance accepted 0 0 0 0 0 0 0R0230 Gross - Non-proportional reinsurance accepted 0 0 0 0 0 0 0R0240 Reinsurers’ share 0 6,434 0 0 0 0 6,434R0300 Net 0 50,990 0 0 0 0 50,990

Claims incurredR0310 Gross - Direct Business 0 44,332 309 0 0 0 44,641R0320 Gross - Proportional reinsurance accepted 0 0 0 0 0 0 0R0330 Gross - Non-proportional reinsurance accepted 0 0 0 0 0 0 0R0340 Reinsurers’ share 0 14,110 -22 0 0 0 14,087R0400 Net 0 30,223 331 0 0 0 30,554

Changes in other technical provisionsR0410 Gross - Direct Business 0 0 0 0 0 0 0R0420 Gross - Proportional reinsurance accepted 0 0 0 0 0 0 0R0430 Gross - Non- proportional reinsurance accepted 0 0 0 0 0 0 0R0440 Reinsurers’share 0 0 0 0 0 0 0R0500 Net 0 0 0 0 0 0 0R0550 Expenses incurred 0 12,905 0 0 0 0 12,905R1200 Other expenses 2,113R1300 Total expenses 15,017

S.05.02.01 - Premiums, claims and expenses by country

55


Total Tier 1 - unrestricted Tier 2

CHM C0010 C0020 C0040

Basic own funds before deduction for participations in other financial sector


R0020 Non-available called but not paid in ordinary share capital at group level 0 0 0


R0040 Iinitial funds, members› contributions or the equivalent basic own - fund item for mutual and mutual-type undertakings

0 0 0

R0050 Subordinated mutual member accounts 0 0

R0060 Non-available subordinated mutual member accounts at group level 0 0

R0070 Surplus funds 0 0

R0080 Non-available surplus funds at group level 0 0

R0090 Preference shares 0 0

R0100 Non-available preference shares at group level 0 0

R0110 Share premium account related to preference shares 0 0

R0120 Non-available share premium account related to preference shares at group level

0 0

R0130 Reconciliation reserve 18,009 18,009

R0140 Subordinated liabilities 12,439 12,439

R0150 Non-available subordinated liabilities at group level 0 0

R0160 An amount equal to the value of net deferred tax assets 0

R0170 The amount equal to the value of net deferred tax assets not available at the group level

0

R0180 Other items approved by supervisory authority as basic own funds not specified above

0 0 0

R0190 Non available own funds related to other own funds items approved by supervisory authority

0 0 0

R0200 Minority interests (if not reported as part of a specific own fund item) 0 0 0

R0210 Non-available minority interests at group level 0 0 0



0

Deductions

R0230 Deductions for participations in other financial undertakings, including non-regulated undertakings carrying out financial activities

0 0 0

R0240 whereof deducted according to art 228 of the Directive 2009/138/EC 0 0 0

R0250 Deductions for participations where there is non-availability of information (Article 229)

0 0 0

R0260 Deduction for participations included by using D&A when a combination of methods is used

0 0 0

R0270 Total of non-available own fund items 0 0 0

R0280 Total deductions 0 0 0


S.23.01.22 - Own Funds


56


CHM C0010 C0020 C0040

Basic own funds before deduction for participations in other financial sector


R0020 Non-available called but not paid in ordinary share capital at group level 0 0 0


R0040 Iinitial funds, members› contributions or the equivalent basic own - fund item for mutual and mutual-type undertakings

0 0 0

R0050 Subordinated mutual member accounts 0 0

R0060 Non-available subordinated mutual member accounts at group level 0 0

R0070 Surplus funds 0 0

R0080 Non-available surplus funds at group level 0 0

R0090 Preference shares 0 0

R0100 Non-available preference shares at group level 0 0

R0110 Share premium account related to preference shares 0 0

R0120 Non-available share premium account related to preference shares at group level

0 0

R0130 Reconciliation reserve 18,009 18,009

R0140 Subordinated liabilities 12,439 12,439

R0150 Non-available subordinated liabilities at group level 0 0

R0160 An amount equal to the value of net deferred tax assets 0

R0170 The amount equal to the value of net deferred tax assets not available at the group level

0

R0180 Other items approved by supervisory authority as basic own funds not specified above

0 0 0

R0190 Non available own funds related to other own funds items approved by supervisory authority

0 0 0

R0200 Minority interests (if not reported as part of a specific own fund item) 0 0 0

R0210 Non-available minority interests at group level 0 0 0



0

Deductions

R0230 Deductions for participations in other financial undertakings, including non-regulated undertakings carrying out financial activities

0 0 0

R0240 whereof deducted according to art 228 of the Directive 2009/138/EC 0 0 0

R0250 Deductions for participations where there is non-availability of information (Article 229)

0 0 0

R0260 Deduction for participations included by using D&A when a combination of methods is used

0 0 0

R0270 Total of non-available own fund items 0 0 0

R0280 Total deductions 0 0 0



Ancillary own funds

R0300 Unpaid and uncalled ordinary share capital callable on demand 0 0

R0310 Unpaid and uncalled initial funds, members› contributions or the equivalent basic own fund item for mutual and mutual - type undertakings, callable on demand

0 0

R0320 Unpaid and uncalled preference shares callable on demand 0 0

R0330 A legally binding commitment to subscribe and pay for subordinated liabili-ties on demand

0 0

R0340 Letters of credit and guarantees under Article 96(2) of the Directive 2009/138/EC

0 0

R0350 Letters of credit and guarantees other than under Article 96(2) of the Direc-tive 2009/138/EC

0 0

R0360 Supplementary members calls under first subparagraph of Article 96(3) of the Directive 2009/138/EC

0 0

R0370 Supplementary members calls - other than under first subparagraph of Article 96(3) of the Directive 2009/138/EC

0 0

R0380 Non available ancillary own funds at group level 0 0

R0390 Other ancillary own funds 0 0

R0400 Total ancillary own funds 0 0

Own funds of other financial sectors

R0410 Credit Institutions, investment firms, financial insitutions, alternative invest-ment fund manager, financial institutions

0 0 0

R0420 Institutions for occupational retirement provision 0 0 0

R0430 Non regulated entities carrying out financial activities 0 0 0

R0440 Total own funds of other financial sectors 0 0 0

Own funds when using the D&A, exclusively or in combination of method 1

R0450 Own funds aggregated when using the D&A and combination of method 0 0 0

R0460 Own funds aggregated when using the D&A and a combination of method net of IGT

0 0 0

R0520 Total available own funds to meet the consolidated group SCR (excluding own funds from other financial sector and from the undertakings included via D&A )

38,925 26,485 12,439

R0530 Total available own funds to meet the minimum consolidated group SCR 38,925 26,485 12,439

R0560 Total eligible own funds to meet the consolidated group SCR (excluding own funds from other financial sector and from the undertakings included via D&A )

26,486 26,485 1

R0570 Total eligible own funds to meet the minimum consolidated group SCR 28,187 26,485 1,702

Consolidated Group SCR

R0610 Minimum consolidated Group SCR 8,509

R0630 Ratio of Eligible own funds to the consolidated Group SCR (excluding other financial sectors and the undertakings included via D&A )

R0650 Ratio of Eligible own funds to Minimum Consolidated Group SCR 4.5746

R0660 Total eligible own funds to meet the group SCR (including own funds from other financial sector and from the undertakings included via D&A )

26,486 26,485 1

R0670 SCR for entities included with D&A method

R0680 Group SCR 25,216

R0690 Ratio of Eligible own funds to group SCR including other financial sectors and the undertakings included via D&A

1.0504

S.23.01.22 - Own Funds Continued

57



Reconciliation reserve C0060


R0710 Own shares (held directly and indirectly) 0

R0720 Forseeable dividends, distributions and charges 0

R0730 Other basic own fund items 8,477

R0740 Adjustment for restricted own fund items in respect of matching adjustment portfolios and ring fenced funds

0

R0750 Other non available own funds 0

R0760 Reconciliation reserve before deduction for participations 18,009

Expected profits

R0770 Expected profits included in future premiums (EPIFP) - Life business 0

R0780 Expected profits included in future premiums (EPIFP) - Non- life business 0

R0790 Total Expected profits included in future premiums (EPIFP) 0

S.23.01.22 - Own Funds Continued


58

Gross solvency capital requirement USP Simplifications

CHM C0110 C0080 C0090R0010 Market risk 3,055R0020 Counterparty default risk 5,276R0030 Life underwriting risk 0R0040 Health underwriting risk 0R0050 Non-life underwriting risk 19,332R0060 Diversification -4,201R0070 Intangible asset risk 0R0100 Basic Solvency Capital Requirement 23,462

CHM Calculation of Solvency Capital Requirement C0100R0130 Operational risk 1,754R0140 Loss-absorbing capacity of technical provisions 0R0150 Loss-absorbing capacity of deferred taxes 0R0160 Capital requirement for business operated in accordance with Art. 4 of Directive 2003/41/EC 0R0200 Solvency capital requirement excluding capital add-on 25,216R0210 Capital add-on already set 0R0220 Solvency capital requirement 25,216

Other information on SCRR0400 Capital requirement for duration-based equity risk sub-module 0R0410 Total amount of Notional Solvency Capital Requirements for remaining part 0R0420 Total amount of Notional Solvency Capital Requirements for ring fenced funds 0R0430 Total amount of Notional Solvency Capital Requirements for matching adjustment portfolios 0R0440 Diversification effects due to RFF nSCR aggregation for article 304 0R0470 Minimum consolidated group solvency capital requirement 8,509

Information on other entitiesR0500 Capital requirement for other financial sectors (Non-insurance capital requirements) 0R0510 Capital requirement for other financial sectors (Non-insurance capital requirements) - Credit

institutions, investment firms and financial institutions, alternative investment funds managers, UCITS management companies

0

R0520 Capital requirement for other financial sectors (Non-insurance capital requirements) - Institutions for occupational retirement provisions

0

R0530 Capital requirement for other financial sectors (Non-insurance capital requirements) - Capital requirement for non- regulated entities carrying out financial activities

0

R0540 Capital requirement for non-controlled participation requirements 0R0550 Capital requirement for residual undertakings 0

Overall SCRR0560 SCR for undertakings included via D and A 0R0570 Solvency capital requirement 25,216

S.25.01.22 - Solvency Capital Requirement - for Groups on Standard Formula

59


GlossaryWord or phrase Definition

Collingwood Holdings (Gibraltar) Limited ‘CHGL’ A Holding Company incorporated in Gibraltar and the sole shareholder of Collingwood Insurance Company Limited ‘CICL’

Collingwood Insurance Company Limited ‘CICL’A general insurer incorporated in Gibraltar under the Financial Services (Insurance Companies) Act and the subsidiary of Collingwood Holdings (Gibraltar) Limited ‘CHGL’

EBITDA (earnings before interest, tax, depreciation and amortization)

A method of evaluating a company’s operational performance through the removal of financing & accounting decisions and tax environments. EBITDA can be used to analyze and compare profitability between companies and industries.

European Standard Formula A basic, European wide, calculation method that insurers can use to determine their solvency capital requirement (SCR)

Financial Services Commission ‘FSC’A statutory body corporate established by the Gibraltar Financial Services Commission Act 2007 and the financial services regulator in Gibraltar

Minimum Capital Requirement ‘MCR’

The lower of the two capital levels required by Solvency II (Minimum Capital Requirement and Solvency Capital Requirement). It represents the minimum level of capital required to be held by an insurer before regulatory intervention is triggered.

The MCR is based on a formula representing between 25% and 45% of the Solvency Capital Requirement

Own Funds

Previously referenced ‘capital’ under Solvency I, they are funds covering the solvency margin or ‘buffer’ that mitigates the risk of a firm’s assets being inadequate to cover its liabilities.

Such funds are divided between ‘basic own funds’ e.g. on balance sheet amounts and ‘ancillary own funds’ (requiring supervisory approval) e.g. letters of credit and guarantees.

Own funds are classified into Tiers 1, 2 and 3 according to their availability i.e. ability to be realised in a timely manner and to absorb losses. Tier 1 is deemed the most liquid and absorbing.

Own Risk and Solvency Assessment ‘ORSA’

A regular assessment of an insurer’s overall solvency needs with a view to its specific risk profile. The main aim of the ORSA is to identify whether the particular risk profile of the firm deviates from the assumptions underlying the regulatory capital calculation of the European Standard Formula or a firm’s internal model that has been approved by the firm’s regulator. The ORSA is twofold in nature. It is an internal assessment process within an insurer and as such is embedded in the strategic decisions of the firm. It is also a supervisory tool for the supervisory authorities, which must be informed about the results of the ORSA via a regular report.

Quantitative Reporting Templates ‘QRTs’

Common reporting documents providing information to National Regulators in an agreed manner. The templates include reporting on technical provisions, reinsurance, variation analysis, SCR, MCR, balance sheet, own funds and assets.

Solvency Capital Requirement ‘SCR’

A Value-at-Risk measure calibrated to a 99.5% confidence level over a 1-year time horizon. The SCR covers all risks that an insurer faces (e.g. insurance, market, credit and operational risk) and will take full account of any risk mitigation techniques applied by the insurer e.g. reinsurance. The SCR may be calculated using either a European Standard Formula or an internal model validated by the supervisory authorities.


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