Assume a European Insurance Group which contains a reinsurance company that owns a Lloyds corporate capital vehicle (CCV) with a Lloyds Syndicate. The Insurance group is carrying out the Group SCR calculation with the Standard Formula using the Method 1 consolidation method. What is the proper treatment of the corporate capital vehicle and the Syndicate in this set-up?
Is it to
a) Classify the CCV as an ‘other related undertaking’ (Delegated Act 2015/35, article 335(1)(f)), value the CCV as an equity investment and subject it to the market equity stress test in the standard formula and include the SII market value of the CCV in the group own funds;
b) Consolidate the Syndicate in the consolidated group solvency II balance sheet and apply the standard formula on the consolidated data as if the syndicate was an (re-)insurance undertaking;
c) Some other approach