Halden reportsOverview
Halden report · OverviewCan we survive the bad years?
Yes: Halden's solvency coverage is 152% today, and no stress tested takes it below 116%.
CoVi · Own risk and solvency assessmentFictitious
ORSA 2026
Halden's own risk and solvency assessment (ORSA) for 2026, built by Context Visualised. Capital in £m.
- 152%Solvency coverage todayCapital £678m vs requirement £446m (uSCR £330m plus 35% Lloyd's uplift)
- 148%Coverage in 2027 planStays above 145% to 2029
- 116%Worst stress resultHurricane and market shock
- £232mLoss that breaks usReverse stress test
The assessment in one view
The 2027 plan grows premium 10% while staying inside appetite. Capital stays above 145% in every plan year. The biggest threats are a major US hurricane, long-tail casualty reserves and a Gulf escalation; only a hurricane combined with a market shock pushes us outside appetite, and two management actions bring it back.
Capital over the plan
£m · coverage- 2026Actual152%
- 2027Plan148%
- 2028Plan150%
- 2029Plan155%
- Capital held
- Requirement (ECA: uSCR plus 35% uplift)
Risk profile against appetite
10 KRIs green, 7 amber, 3 red. The reds are the large loss ratio, out-of-authority binding and unapproved wordings. None of them threatens solvency, but all three have actions with owners and dates.
Capital by risk
- Insurance 74%
- Credit 9%
- Operational 9%
- Market 8%
Insurance 74% (premium 26, cat 24, reserve 22) · credit 9% · operational 9% · market 8% of the £330m ultimate SCR.
Coverage after each stress
From 152%Red below the 120% limit, amber below the 135% appetite. The ring marks 152% today; the dot marks coverage after the stress.
- 1-in-200 US hurricaneTwo property cat layers exhausted; reinstatement premium paid123%−£130mApproaching
- Casualty reserves deteriorate 15%US E&S and D&O, 2022 to 2025 years; social inflation continues137%−£65mWithin
- Systemic cloud outageThree-day outage at a major cloud provider across the cyber book140%−£55mWithin
- Gulf escalationPolitical violence, marine cargo and offshore energy losses together136%−£70mWithin
- Market shockCredit spreads +200bp, equities −30%, USD +10%145%−£30mWithin
- Hurricane and market shock togetherThe two largest independent stresses in the same year116%−£160mOutside
Reverse stress test
It takes a £232m net loss to bring coverage to 100%. The most plausible route: two major US hurricanes in one season, followed by a 15% casualty reserve strengthening. We judge this around a 1-in-400 year outcome.
Conclusions
- 1Capital is sufficient for the 2027 plan, with coverage at or above 148% in every plan year.
- 2Catastrophe and long-tail casualty reserves are the main threats to capital, accounting for most of the stress losses.
- 3Only the combined hurricane and market stress breaches appetite; the actions below restore coverage within 12 months.
- 4Delegated authority oversight and the large loss trend need attention, but they do not threaten solvency.
Management actions if stressed
- Buy a fifth cat layer£50m xs £275m, about £6m premium+9 pts
- Slow US E&S growthHold 2027 casualty premium flat+5 pts
- Call additional capitalFrom members and third-party capital on 9147+12 pts
- Reduce distributionsRetain 2026 profit+6 pts
Points of solvency coverage each action restores.
Sign-off
- 21 OctReserving committee signs off reservesDone
- 4 NovRisk & capital committee reviews draftNext
- 12 NovBoard approves the ORSAPlanned
- 30 NovSubmitted to Lloyd's and the PRAPlanned
Each bar shows solvency coverage after one stress. The lines mark the appetite level and the limit below it.
Source: ORSA 2026, Lloyd's Capital Return (uSCR) and the 2027 business plan.
What it tells us
What it tells us this quarter
- 123%
In the ORSA, a 1-in-200 US hurricane alone takes coverage to 123%, below the 135% target but above the 120% limit.
- 116%
Only the hurricane and market shock together, a £160m loss, take coverage outside appetite, to 116%.
- £232m
It takes a £232m net loss to bring coverage to 100%, which Halden judges about a 1-in-400 year outcome.
What we did
What we did about it
Management actions if stressed, from Halden's ORSA.
- Buy a fifth catastrophe layer, £50m xs £275m: +9 points
- Slow US E&S growth, holding 2027 casualty premium flat: +5 points
- Call more capital on Syndicate 9147: +12 points
- Retain the 2026 profit: +6 points
The Risk & capital committee reviews the draft on 4 November, and the board is due to approve the ORSA on 12 November.
Sources
Where the numbers come from
The requirement follows the Lloyd's Capital Return, and the balance sheet the quarterly solvency return (QSR). The PRA's SS19/16 (May 2026 update) asks boards to show they own and challenge the ORSA, and it encourages ORSA dashboards.
- Board dataORSA 2026, Lloyd's Capital Return (uSCR) and the 2027 business plan
Follow the data
Related reports
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Halden is fictitious. Its numbers are illustrative.