(Only in Italian)
The determination of the indirect exposure values to a client arising from derivative and credit derivative contracts for large exposures purposes should differ from the calculation method of the exposure value used for risk-based capital requirements set out in Regulation (EU) No 575/2013 because a default of the underlying instrument could lead to a profit instead of a loss.
The indirect exposure value should therefore be dependent on the loss (i.e. positive exposure value) or gain (i.e. negative exposure value) that would result from a potential default of its underlying instrument.
The overall net exposure to an individual client is only considered if positive.
Similarly, the overall net exposure to a given client, after the inclusion of the indirect exposures to that client arising from derivative or credit derivative contracts allocated to the trading book, should only be considered if positive
In particular, the Regulation states that:
  • in order to avoid offsetting indirect exposures arising from derivative contracts or credit derivative contracts allocated to the non-trading book, the negative value of the indirect exposure will be zeroed out;
  • to correctly recognise the default risk, the value of the indirect exposure of options will depend on the change in option prices resulting from the default of the respective underlying instrument;
  • indirect exposures must be considered equal to the market value of the credit derivative contract, with an adjustment to the amount expected from the counterparty in the event of default of the issuer of the underlying debt instrument;
For consistency with the large exposure rules applicable to transactions with underlying asset exposures, Article 6 of Delegated Regulation (EU) No 1187/2014 applies to assign exposures to the identified client, separate client or the unknown client.
ESMA has published a letter to the European Commission providing its findings from the Call for Evidence to gather information on the market structure for ESG rating providers in the European Union.

ESMA received a total of 154 responses and found 59 ESG rating providers currently active in the EU.
The analysis of the responses further indicated several characteristics and trends as follows:
  • ESG rating providers – the structure of the market shows that there is a small number of very large non-EU providers, and a large number of significantly smaller EU entities. While the legal entities of respondents are spread out across almost half of the EU Member States, a large number of these are clustered in a small number of Member States;
  • Users of ESG ratings are typically contracting for these products on an investor-pays basis from several providers simultaneously. Their reasons for selecting several providers are to increase coverage, either by asset class or geographically, or in order to receive different nature of ESG assessments. The most common shortcomings identified by the users were a lack of coverage of a specific industry or a type of entity, insufficient granularity of data, and a lack of transparency around methodologies used by ESG rating providers. However, the provision of ESG ratings on an issuer-pays basis was also evidenced and more prevalent than anticipated; and
  • Entities covered by ESG ratings dedicate at least some level of resourcing to their interactions with ESG rating providers, although the amount largely depends on the size of the rated entity itself. Most respondents highlighted some degree of shortcoming in their interactions with the rating providers, most notably on the level of transparency as to the basis for the rating, the timing of feedback or the correction of errors.
The feedback received is indicative of an immature but growing market which, following several years of consolidation, has seen the emergence of a small number of large non-EU headquartered providers.