Question ID: 3060
Regulation Reference: (EU) 2022/2454 - ITS with regard to supervisory reporting of risk concentrations and intra-group transactions (FICOD
Topic: Reporting templates on risk concentrations and intra-group transactions for conglomerates (FICOD)
Article: Annex II
Template: FC.06
Status: Final
Date of submission: 03 Apr 2024
Question
For the completion of template “FC.06 Risk Concentration - Exposure by counterparties”, could you clarify which methodology shall be used for determining the value of exposure to be reported, in particular for repo / reverse repo and derivatives?
Background of the question
Confirmation is sought on which sectoral rules shall apply to for determining the amount of exposures.
EIOPA answer
In accordance with paragraph 1.4 of the Part I of the Annex II of Commission Implementing Regulation 2022/2454 and for the completion of reporting, the value of the item shall be stated in accordance with the sectoral rules of the entity within the group unless otherwise specified. For
derivatives especially, the instruction provided for cell FC0140 provides that “the derivatives shall be reported at their replacement cost” and that “the replacement cost shall be consistent with the one used under sectoral rules”.
In accordance with those provisions, for the purpose of reporting significant risk concentration under Commission Implementing Regulation (EU) 2022/2454 and as a principle, the exposure value related to banking sector entities shall be determined in accordance with article 389 of Regulation (EU) 575/2013 and the exposure related to insurance sector entities shall be aligned with the exposure value as calculated according to Article 75 of the Directive 2009/138/EC.
For derivatives transactions, the instruction of Regulation (EU) 2022/2454 given for FC0140 specifies that “the derivatives shall be reported at their replacement cost. The replacement cost shall be consistent with the one used under sectoral rules”. For derivatives entered into by entities belonging to the banking sector, the replacement costs shall therefore be calculated in accordance with article 390(4) of Regulation (EU) 575/2013. The exposure related to insurance sector entities shall be aligned with the exposure value as calculated according to Article 75 of the Directive 2009/138/EC.
For repo and reverse repo and more generally, for the consideration of collateral, the financial conglomerate shall apply the provisions of the applicable sectoral regulation. For banking sector entities, the value of the exposure to the issuer of the collateral received to be reported in cell FC0260 shall be calculated in accordance with the article 399 of Regulation (EU) 575/2013. The exposure related to insurance sector entities shall be aligned with the exposure value as calculated according to Article 75 of the Directive 2009/138/EC. It is also reminded that in accordance with the instruction of Regulation (EU) 2022/2454 given for cell FC0220, “The protected reference original exposure (direct exposure) shall be deducted from the exposure to the original borrower in the columns of ‘Eligible credit or insurance risk mitigation techniques’. The indirect exposure shall increase the exposure to the guarantor or issuer of collateral using the substitution effect”.