Financial Conglomerates: Mismatch between ITS and DPM 3.5 – ID v22748_u - T1 L 06.00, column c0020.

We are seeking clarification about a possible mismatch between ITS and DPM 3.5 (ID v22748_u - T1 L 06.00, column c0020) as part of the compilation of the template FC.06 Template - “Risk Concentration - Exposure by counterparties" within the FiCod. supervisory reporting. The Commission Implementing Regulation (EU) 2022/2454 of 14 December 2022 states that, within the Template FC.06 - “Risk Concentration - Exposure by counterparties", the exposures must be reported for each individual legal entity belonging to the financial conglomerate, whereas the DPM 3.5 only permit reporting a unique value of the identification code of the external counterparty. This also determines the impossibility of representing separately the exposures held towards the same external counterparty but denominated in different currencies. We therefore ask what is the correct way to represent - inside the FC.06 Template- the cases in which multiple entities belonging to the conglomerate have exposures towards the same external counterparty and for the cases in which, for each external counterparty, there are exposures denominated in different currencies.

The Commission Implementing Regulation (EU) 2022/2454 of 14 December 2022 (the “Regulation”) states that, within the Template FC.06 - “Risk Concentration - Exposure by counterparties", the exposures must be reported for each individual legal entity belonging to the financial conglomerate. In particular, within the aforementioned Regulation, ANNEX II - Instructions on reporting on intra-group transactions and risk concentration, PART II - TEMPLATE-RELATED INSTRUCTIONS, paragraph 7. - FC.06 Risk Concentration - Exposure by counterparties, point 7.1. - General remarks, it is specified that: “The aim is to list the significant exposures (value of the exposures in each kind of instrument listed in the template) by individual counterparty outside the scope of the financial conglomerate. IF MORE THAN ONE ENTITY OF THE FINANCIAL CONGLOMERATE IS INVOLVED, A SEPARATE LINE IS NECESSARY FOR EACH ENTITY”. Furthermore, within the same paragraph, it is further specified that:  “Data are to be reported by legal entity”. On the contrary, the DPM 3.5 (ID v22748_u - T1 L 06.00, column c0020) only permit reporting a unique value of the identification code of the external counterparty. In other words, following DPM 3.5 the FC0020 column “Identification code of the external counterparty”, which can contain LEI codes or specific codes, must be filled only with unique values. This determines the following: In cases where multiple legal entities belonging to the financial conglomerate have an exposure to the same external counterparty, such exposures cannot be represented separately and must be collapsed into a single legal entity. However, the Regulation literally states that “ if more than one entity of the financial conglomerate is involved, a separate line is necessary for each entity ” and that " data are to be reported by legal entity " (please refer to the same references above). In cases where there are exposures denominated in different currencies for the same external counterparty, these cannot be represented separately and have to be collapsed into a single currency. However, the aforementioned Regulation, ANNEX II - Instructions on reporting on intra-group transactions and risk concentration, PART II - TEMPLATE-RELATED INSTRUCTIONS, paragraph 7. - FC.06 Risk Concentration - Exposure by counterparties, point 7.2. - Instructions concerning specific positions, specifies for the item FC0240 - "Currency" that it represent “the ISO 4217 alphabetic code of THE CURRENCY OF THE EXPOSURE” . We believe that the “exposures” therefore refer to those held by the individual entities belonging to the financial conglomerate towards the same external counterparty and that, if denominated in different currencies, they should be represented separately within the FC.06 Template.