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The CEA submitted its response to the Commission’s Draft Call for Advice on QIS4. CEA notes that the industry does not support the concept of tiering and eligibility limits. The CEA provided suggestions and comments on Section 2 – Own Funds of the draft QIS4 Technical Specifications to try to make the QIS4 exercise as appropriate as possible and to reduce the difficulties that might otherwise arise to avoiding diminishing the value of the QIS4 exercise.
Rather, the CEA believes that if limits are to be applied they should be set on economic basis rather than on an arbitrary basis.
The same holds for the simplifications and simplification criteria put forward in the draft QIS4 Technical Specifications (including the level of the proposed absolute and relative thresholds). The industry believes further work is required to determine the appropriateness of these approaches, but for the purpose of an informed dialogue on proportionality, supports the testing of different approaches in QIS4.
CEA Response to EU Commission’s Draft Call for Advice on QIS4
CEA detailed comments and re-drafting suggestions on QIS4 Draft TS
CEA Marketability Paper
CEA Guidance on duration approach for the QIS4 interest risk sub-module
CEA Simplifications for calculating risk margins using the cost-of-capital approach