Curtis Banks : Suffolk Life Annuities Limited Solvency and Financial Report 2020

SUFFOLK LIFE ANNUITIES LIMITED SOLVENCY AND FINANCIAL CONDITION REPORT (SFCR) YEAR

SUFFOLK LIFE ANNUITIES LIMITED SFCR YEAR END 2020

Contents
Summary..............................................................................................................................		5
Business Performance ............................................................................................................	5
Systems of Governance ..........................................................................................................	5
Risk Profile ........................................................................................................................	5
Valuation for Solvency Purposes................................................................................................	6
Capital Management .............................................................................................................	6
Directors Statement.................................................................................................................	8
Section A Business and Performance .............................................................................................	9
A1 Business ........................................................................................................................	9
A1.1	Name and legal form of the undertaking ............................................................................	9
A1.2	Name and contact details of the supervisory authority............................................................	9
A1.3	Name and contact details of the external auditor .................................................................	9
A1.4	Qualifying holdings in the undertaking ...............................................................................	9
A1.5	Solvency II reporting currency.........................................................................................	9
A1.6	Reporting period ........................................................................................................	9
A1.7	SLA position within the legal structure of the group ..............................................................	10
A1.8	Any significant business or other events over the reporting period.............................................	10
A2 Underwriting performance .................................................................................................	12
A3 Investment performance....................................................................................................	13
A3.1	Information on income and expenses arising from investments over the reporting period ..................	14
A3.2	Information about any gains and losses recognised directly in equity over the reporting period...........	14
A3.3	Information about any investments in securitisation over the reporting period ..............................	14
A4 Performance of other activities............................................................................................	15
A5 Any other information.......................................................................................................	15
Section B System of Governance .................................................................................................	16
B1 General information on the system of governance......................................................................	16
B1.1	Structure of the SLA System of Governance ........................................................................	16
B1.2	SLA System of Governance ............................................................................................	16
B1.3	SLA Governance changes over the period...........................................................................	21
B1.4	Remuneration policies .................................................................................................	21
B1.5	Material transactions over the period ...............................................................................	21
B1.6	Adequacy of systems of governance .................................................................................	22
B2 Policies and processes to ensure persons in the key functions are fit and proper ..................................	23
B2.1	Overview ................................................................................................................	23
B2.2	Determining an individual's Fitness and Propriety ................................................................	23

Suffolk Life Annuities Limited is authorised by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and the Prudential Regulation Authority (number 110468) and is registered in England and Wales (number 1011674). The registered office of both companies is 153 Princes Street, Ipswich, Suffolk, IP1 1QJ, United Kingdom. Tel: [phone] Fax: [phone]. We may record and monitor calls. Call charges will vary.

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B2.3	Outsourced Key Functions.............................................................................................	23
B3 Risk management system including own risk and solvency assessment ..............................................	24
B3.1	Risk Management System Overview..................................................................................	24
B3.2	Risk Governance ........................................................................................................	24
B3.3	Risk Strategy, Appetite and Policy ...................................................................................	24
B3.4	Risk Identification and Assessment ..................................................................................	24
B3.5	Risk Management, Monitoring and Assurance ......................................................................	25
B3.6	Risk Reporting and Escalation ........................................................................................	25
B3.7	Risk Management Culture .............................................................................................	26
B4 Internal Control System .....................................................................................................	27
B4.1	Risk & Compliance .....................................................................................................	27
B4.2	Compliance Function ..................................................................................................	27
B5 Internal Audit Function .....................................................................................................	28
B6 Actuarial function............................................................................................................	28
B7 Outsourcing ...................................................................................................................	28
B8 Any other information .......................................................................................................	29
B9 Own Risk and Solvency Assessment (ORSA)...............................................................................	29
Section C Risk Profile ..............................................................................................................	31
C1 Life Underwriting risk .......................................................................................................	33
C1.1	Underwriting risk at 31 December 2018.............................................................................	33
C1.2	Change in the underwriting risk over the period to the 31 December 2019 ...................................	33
C1.3	Risk appetite and tolerance statement .............................................................................	33
C2 Market risk ....................................................................................................................	34
C2.1	Market risk at 31 December 2019 ....................................................................................	34
C2.2	Change in the market risk over the period to 31 December 2019 ...............................................	34
C2.3	Risk appetite and tolerance statement .............................................................................	34
C3 Credit risk.....................................................................................................................	35
C3.1	Counterparty Default Risk ............................................................................................	35
C3.2	Change in the counterparty Default risk over the period to 31 December 2019 ..............................	35
C3.3	Risk appetite and tolerance statement .............................................................................	35
C4 Liquidity risk..................................................................................................................	35
C4.1	Risk appetite and tolerance statement .............................................................................	35
C5 Operational risk ..............................................................................................................	36
C5.1	Risk appetite and tolerance statement .............................................................................	36
C6 Other material risks .........................................................................................................	36
C6.1	Regulatory Risk .........................................................................................................	36
C6.2	Material Risk concentrations .........................................................................................	36
C6.3	Stress Testing ...........................................................................................................	37
C6.4	Adherence to the Prudent Person Principle ........................................................................	37
C7 Any other information.......................................................................................................	38
C7.1	Standard formula appropriateness...................................................................................	38
Section D Valuation for Solvency Purposes .....................................................................................	39

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D1 Bases, methods and main assumptions used for the valuation for solvency purposes for each material class of
assets and the nature of differences with UK GAAP accounting policies ................................................	39
D2 Bases, methods and main assumptions used for the valuation for solvency purposes for each material class of
liabilities and the nature of differences with UK GAAP accounting policies ............................................	42
	D2.1 Bases, methods and main assumptions used for its valuation of liabilities for solvency purposes..........	42
	D2.2 Uncertainty associated with the value of Technical Provisions..................................................	46
	D2.3 Differences between the bases, methods and main assumptions used for the valuation for solvency
	purposes and those used for valuation in financial statements........................................................	46
D3 Bases, methods and main assumptions used for the valuation for solvency purposes for each material class of
other liabilities and the nature of differences with UK GAAP accounting policies .....................................	47
	D3.1 Contingent liabilities ..................................................................................................	47
	D3.2 Provisions, other than Technical Provisions ........................................................................	47
D4 Alternative methods for valuation ........................................................................................	47
D5 Any other information.......................................................................................................	48
Section E Capital Management ...................................................................................................	49
E1	Own Funds ....................................................................................................................	49
	E1.1	Management of the Own Funds.......................................................................................	49
	E1.2	Analysis of change from FRS 101 of UK GAAP equity to Basic Own Funds ......................................	50
E2	Solvency Capital Requirements and Minimum Capital Requirement ..................................................	51
	E2.1	Detail on the capital requirements for SLA .........................................................................	51
	E2.2	Calculation of MCR .....................................................................................................	51
	E2.4	Simplifications and parameters used in deriving the Solvency Capital Requirement .........................	52
	E2.5	Disclosure of capital add-ons to SCR.................................................................................	52
E3	Duration based equity sub module ........................................................................................	52
E4	Differences between Standard Formula and any Internal Model used ................................................	52
E5	Non-compliance with the MCR and non-compliance with the SCR ....................................................	52
E6	Any other information .......................................................................................................	52
Appendix 1 - Quantitative Reporting Templates ...............................................................................	53

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SUMMARY

The purpose of the Solvency Financial and Condition Report (SFCR) is to provide information about the capital position at 31 December 2020 of Suffolk Life Annuities Limited (SLA) based on the Solvency II requirements.

This report sets out different aspects of SLA's business and performance, risk profile, valuation methods used for solvency purposes and its capital management practices.

Business Performance

SLA is a limited company incorporated and domiciled in the UK, and is a subsidiary of Curtis Banks Group Plc. SLA provides long-term linked life insurance products in the form of Self Invested Personal Pensions and other self invested products.

For the year ended 31 December 2020 SLA made a profit after tax of £464k (31 December 2019: £223k).

Systems of Governance

SLA's system of governance encompasses the overall framework and structure adopted to ensure it meets the requirements of a robust risk management function. This section of the report aims to provide details of the overarching risk management framework, alongside the key roles, responsibilities and committees providing oversight and direction to the SLA Board.

Roles and responsibilities for risk management comprise of a three lines of defence model. The risk governance framework enables the various group Boards to be satisfied that the embedded risk culture is effectively dealing with risks to which the Group may be exposed. The key elements of the framework include:

• Focussed risk appetite statements
• Risk Management Framework, Policies and Procedures
• Regular analysis of material risk exposures via the robust governance structure

Further details on our Systems of Governance are detailed in Section B.

Risk Profile

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