Article 444 Disclosure of the Use of the Standardised Approach
Institutions calculating their risk-weighted exposure amounts in accordance with Chapter 2 of Title II of Part Three shall disclose the following information for each of the exposure classes set out in Article 112:
- (a) the names of the nominated ECAIs and export credit agencies and the reasons for any changes in those nominations over the disclosure period;
- (b) the exposure classes for which each ECAI or export credit agency is used;
- (c) a description of the process used to transfer the issuer and issue credit ratings onto items not included in the trading book;
- (d) the association of the external rating of each nominated ECAI or export credit agency with the risk weights that correspond to the credit quality steps as set out in Chapter 2 of Title II of Part Three taking into account that it is not necessary to disclose that information where the institutions comply with the standard association published by the competent authority;
- (e) the exposure values and the exposure values after credit risk mitigation associated with each credit quality step as set out in Chapter 2 of Title II of Part Three, by exposure class, as well as those deducted from own funds.
[Note: This rule corresponds to Article 444 of the CRR as it applied immediately before revocation by the Treasury.]
- 01/01/2022