PILLAR 3 DISCLOSURES | MAY 2020 Contents 1 EXECUTIVE SUMMARY .......................................................................................................................................................... 3 1.1 MATTIOLI WOODS GROUP, ICAAP AND PILLAR 3 DISCLOSURES ....................................................................................................................................... 3 1.2 CAPITAL RESOURCE REQUIREMENT AND CAPITAL SURPLUS ................................................................................................................................................... 4 1.3 NON-MATERIAL, PROPRIETARY OR CONFIDENTIAL INFORMATION....................................................................................................................................... 4 1.4 FREQUENCY OF DISCLOSURE ....................................................................................................................................................................................................... 5 1.5 MEANS OF DISCLOSURE ............................................................................................................................................................................................................... 5 2 BACKGROUND ....................................................................................................................................................................... 6 2.1 KEY BUSINESS ACTIVITIES ............................................................................................................................................................................................................. 6 2.2 INDUSTRY OVERVIEW .................................................................................................................................................................................................................... 7 2.3 PRUDENTIAL CATEGORY ............................................................................................................................................................................................................... 8 3 CORPORATE GOVERNANCE AND RISK MANAGEMENT ................................................................................................. 10 3.1 CORPORATE GOVERNANCE ARRANGEMENTS ......................................................................................................................................................................... 10 3.1.1 Overview ...................................................................................................................................................................................................................... 10 3.1.2 Corporate governance code ............................................................................................................................................................................... 10 3.1.3 Operation of the Board ......................................................................................................................................................................................... 11 3.1.4 Board directorships ................................................................................................................................................................................................. 11 3.1.5 Board committees ................................................................................................................................................................................................... 12 3.1.6 Induction, training and performance evaluation ....................................................................................................................................... 15 3.1.7 Evaluation of the Board’s performance ......................................................................................................................................................... 15 3.1.8 Retirement and re-election ................................................................................................................................................................................. 15 3.1.9 Communications with shareholders ................................................................................................................................................................ 16 3.1.10 Internal control and risk management .......................................................................................................................................................... 16 3.1.11 Governance arrangements of active subsidiaries ..................................................................................................................................... 16 3.1.12 Diversity ....................................................................................................................................................................................................................... 16 3.2 RISK MANAGEMENT FRAMEWORK ............................................................................................................................................................................................ 17 3.2.1 Risk appetite .............................................................................................................................................................................................................. 17 3.2.2 Risk identification and management .............................................................................................................................................................. 18 4 CAPITAL RESOURCES .......................................................................................................................................................... 22 4.1 BACKGROUND .............................................................................................................................................................................................................................. 22 4.2 REGULATORY CAPITAL CALCULATIONS .................................................................................................................................................................................... 23 5 PILLAR 1 RISKS AND CALCULATION METHODOLOGIES ................................................................................................ 24 5.1 OVERVIEW .................................................................................................................................................................................................................................... 24 5.2 PILLAR 1 CALCULATIONS ............................................................................................................................................................................................................ 24 5.3 CREDIT RISK .................................................................................................................................................................................................................................. 24 5.4 MARKET RISK ................................................................................................................................................................................................................................ 27 5.5 FIXED OVERHEAD REQUIREMENT ............................................................................................................................................................................................. 28 6 REMUNERATION DISCLOSURES ........................................................................................................................................ 30 6.1 REMUNERATION POLICY ............................................................................................................................................................................................................. 30 6.2 SINGLE TOTAL FIGURE OF REMUNERATION FOR EACH DIRECTOR........................................................................................................................................ 31 6.3 SALARY, FEES AND BENEFITS ...................................................................................................................................................................................................... 32 6.4 BONUS .......................................................................................................................................................................................................................................... 32 6.5 LONG-TERM INCENTIVE PLAN ................................................................................................................................................................................................... 33 6.6 SERVICE CONTRACTS................................................................................................................................................................................................................... 35 6.7 DIRECTORS’ SHAREHOLDINGS ................................................................................................................................................................................................... 35 APPENDIX 1 – FCA CLASSIFICATIONS 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