Question ID: 3061
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, FC.07, FC.08
Status: Final
Date of submission: 03 Apr 2024
Question
For the purpose of completing the reporting of significant risk concentration under Commission Implementing Regulation (EU) 2022/2454:
Question A: for the completion of templates FC.07 and FC.08 related to concentration, how should non-significant concentration be considered?
Question B: could you clarify how the exposures exempted under banking and insurance sectoral rules shall be considered in templates “FC.06 Risk Concentration - Exposure by counterparties”, “FC.07 Risk Concentration – Exposure by currency, sector, country” and “FC.08 Risk Concentration – Exposure by asset class and rating”?
Background of the question
Confirmation is sought on the possible threshold to be applied for the reporting of sectoral, geographical, currency and asset class concentration and how shall the exemption provided under sectoral rules be applied, including for single name exposures.
EIOPA answer
Question A: while regarding exposure to counterparty (FC.06) only significant concentration shall be reported as requested by the coordinator after consulting the relevant competent authorities :
- For template FC.07, the instruction provided under section 8 of Annex II of Regulation (EU) 2022/2454 specifies that “if the country, sector or currency is not relevant, the figures may be reported under an ‘Other’ category”. Therefore, if the coordinator after consulting the relevant competent authorities request it, the exposures to currencies, sectors and countries that are below the threshold it has set should be reported under the ‘Other’ category” on an aggregated basis.
- For the templates FC.08, the amount reported shall be based on all equity and bonds held by the financial conglomerate. Regarding the bonds asset class, the exposures related to non-rated issuers or non rated bonds shall not be reported in a dedicated line but shall be considered in the total as follow (situation of a financial conglomerate that holds bonds for an amount of 1000, with 100 AAA, 400 AA, 100 below BBB and 400 of non-rated):
|
Rating |
Exposure |
% |
|
AAA |
100 |
10% |
|
AA |
400 |
40% |
|
A |
|
|
|
BBB |
|
|
|
Non investment grade |
100 |
10% |
|
Total |
1000 |
100,00% |
Question B: the treatment of exempted exposures under applicable sectoral rules shall be reported in accordance with instructions of Regulation (EU) 2022/2454 :
- For template FC06 (single name), the amount before and after applying the exemptions as well as the amount exempted shall be reported :
o The amount of exposures reported in column FC0110 to FC0170 shall not take into account the exemptions;
o The amount exempted under applicable sectoral rules (i.e. under article 400 of Regulation (EU) No 575/2013 for banking sector or article 187 of Commission Delegated Regulation (EU) 2015/35 for insurance sector) shall be reported in column FC0270;
o The amount of exposure after applying exemption (and credit risk mitigation techniques) shall be reported in column FC0280;
- For template FC07 and FC08, the instructions provided under sections 8 and 9 of Annex II of Regulation (EU) 2022/2454 specify that those tables shall be based “on all the exposures [***] after credit or insurance risk mitigation technique and exemptions (net amount)”. The amount shall therefore be reported after applying exemption and risk mitigation techniques.