Question ID: FICOD030 - 3141
Regulation Reference: (EU) 2022/2454 - ITS with regard to supervisory reporting of risk concentrations and intra-group transactions (FICOD, (EU) 2023/894 - ITS with regard to the templates for the submission of information necessary for supervision
Topic: Reporting templates on risk concentrations and intra-group transactions for conglomerates (FICOD)
Template: FC.06, FC.07, FC.08, S.37.01, S.37.02, S.37.03
Status: Final
Date of submission: 19 Aug 2024
Question
1. What is the total assets in the context of share of total assets (e.g. denominator in column C0040 S.37.02.04.01) – is it the total assets exposure after insurance risk mitigation technique and exemptions? And do we use the same total assets in the denominator when calculating share of total assets for all similar sheets e.g. S.37.03.04.02 Bonds when calculating share of total assets?
2. How do we deal with assets where for example sector code, country is unknown? There seems to be no way of including these in their respective sheets (e.g. S.37.02.04.01). So, we must exclude this from sheet S.37.02.04.04 where you list total exposure by attribute since there seems to be a validation rule which crosschecks the sums with the sum in respective sheet.
3. How do we deal with funds in general. Let’s say we have a private equity fund which we cannot look through, what should the country, currency etc be? Unknown?
EIOPA answer
Question 1: For both S.37.02.04 and S.37.03.04 templates (FC.07 and FC.08 templates for financial conglomerates reporting in accordance with regulation (EU) 2022/2454), instruction provides that reporting shall be based on all the exposures within the specified classes, after credit or insurance risk mitigation technique and exemptions. Regarding the denominator:
- Within S.37.02.04 (FC.07) the denominator should be the same for all tables (i.e. reporting is based on the full balance sheet);
- Within S.37.03.04 (FC.08) it is only for equity that such denominator is the total assets. For templates related to bonds asset classes, denominator for calculating percentage is the total amount of the bonds of the specified asset class covered by the concerned table, i.e. national government, international financial organisation and central banks bonds rated AAA shall be expressed in column “%” as a share of the total amount of national government, international financial organisation and central banks bonds.
Question 2: For the reporting of concentration by currency, by sector or by country, exposures for which the currency, the sector or the country is unknown, as applicable, shall be aggregated and reported in a dedicated line labelled “unknown exposure” if such aggregated amount of “unknown exposure” is exceeding the significance threshold defined by the coordinator, after consultation with the other relevant competent authorities or that applies under national law.
Question 3: When the financial conglomerate cannot obtain information on funds underlying exposures, the exposure on the fund shall be considered as an “unknown exposure” and aggregated with other “unknown exposure” and reported on a aggregated basis in a dedicated line labelled “unknown exposure” if the total amount of “unknown exposure” exceed the significance threshold defined by the coordinator, after consultation with the other relevant competent authorities or that applies under national law.