Group Solvency Requirement

When calculating group SCR, some of the solo-level exposures are removed from group level diversification according to articles DA 336(d) and 336(e). Their capital requirement calculated on an individual exposure level is added to the final group SCR. Should these exposures be included within appropriate risk modules in group SCRs when calculating group LAC of TP and DT?

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.