Guidelines on the loss-absorbing capacity of technical provisions and deferred taxes states that SCRdiversified is to be calculated according to article DA 336.a. Answers to questions 387 and 388 further elaborate the method stating that SCRdiversified is to be calculated with intra group transactions. But what to do with exposures handled according to 336.d and 336.e on group level? According to the current guidelines and answers they are excluded from SCRdiversified. This leads to situation where solo level quantities and SCRdiversified are not comparable. All solo level quantities (SCRs, Adj_TPs and Adj_DTs) include intra group transactions and exposures handled separately in group SCR calculation (articles 336.d and 336.e) whereas SCRdiversified doesn’t include separate exposures. Therefore, diversification ratio (meaning relation SCRdiversified** / (a_solo1*SCR_solo1** + … + a_soloN*SCR_soloN**) using GL 22 notation) is artificially lower since part of it is due to simply excluding exposures of 336.d and 336.e from the numerator and including them in the denominator. Also, as the idea of calculation of loss absorbing capabilities in group level is to evaluate the effect that consolidated SCR-loss has on solo level, excluding exposures of 336.d and 336.e from calculation of SCRdiversified is as though those losses wouldn’t cause a tax or TP effect on an undertaking level.

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SCR_diversified is to be calculated on the basis of the consolidated data in accordance with Article 336(a) of Commission Delegated Regulation (EU) 2015/35 (DR). Answers to Q&As 387 and 388 state that the SCR at solo level is to be calculated gross of intra-group transactions.

SCR_diversified at the numerator is calculated on the basis of the consolidated data as referred to in Article 335(1)(a), (b) and (c) DR and the data of the collective investment undertakings and investments packaged as funds which are subsidiaries in accordance with Article 336(a) DR. 

Therefore, SCR_diversified does not include exposures to entities referred to in Article 336(d) and (e). At the same time in the calculation of the denominator, the SCRs at solo level include these exposures.

The same approach applies consistently throughout the whole group solvency calculation, including  the alternative calculation of LAC TP (Guideline 21) and calculation of LAC DT (Guideline 22).