How to change PHD sponsored by Marie Skłodowska-Curie Fellowship
Since you consider changing supervisors, subject and the place where PhD is carried out, it looks to me that you in fact consider quitting your current PhD and start a new one. You need to check your offer and contract which you signed when you accepted the PhD, but it is very unlikely that you can take this funding with you.

Seeing that you're having difficulties locating the ERC website, it is clear that you were not yourself applying for the funding. I suspect that the University where you are studying applied for ITN and you have got a place in this network. This is technically not your funding, hence you most likely can not take it with you.