Differences in Draft and Final Delegated Acts (Solvency II)

The Solvency II Delegated Acts have been published by the EU commission yesterday. My last draft version was from July of this year, so I wanted to compare the versions for any differences. I exported the text from PDF to .txt files and uploaded them into a gist as revision 1 and 2. The github diff stops at a certain point, so you would have to download the text versions and use your own diff software.

On the whole, this version has only very minor changes, with the exception of the treatment of securitisations in the spread risk module. On first glance it seems to be that the defintition of type 1 securitisations has been tightend, and the capital charge for this type has been reduced, which would fit to the recitals 91 and 92.

If anybody wants to diff the more widely circulated March version of the draft with the final version, I would suggest to save that work and just use the annotated pdf available on Petter Svensons site for the July version.

Here are the material differences that I can spot:

  • Added explanatory memorandum
  • New recital 67: Rationalization for the operation risk module of the standard formula.
  • Enhanced recital 91 (former 90) and new recital 92: Stressing importance of regulating use of securisitations.
  • Art. 13, new point 6 – allowing for valuation of related undertakings according to local gaap under conditions.
  • Article 177: Fine-tuning, which securitisations belong to type 1 or type 2.
  • Article 178: Lowering spread risk for securitisation type 1 with CQS 2 or 3.
  • Article 204: Technical Provisions can be adjusted for transitional adjustments when calculating OpRisk.
  • Article 250, 251: Technical Provisions can be adjusted for transitional adjustments when calculating linear component of MCR.