Paragraph 23(b) of the Guidelines on materiality, proprietary, confidentiality and disclosure frequency (EBA/GL/2014/14) under Pillar 3 states that institutions meeting one of the indicators specified in paragraph 18 of those Guidelines should pay particular attention to the possible need to provide information required by points (c) to (f) in Article 438 of Regulation (EU) No 575/2013 (CRR). This information is further specified by reference to the amounts of risk-weighted assets and capital own funds requirements by type of risks specified in Article 92(3) of the same Regulation.

Points (c) to (f) of Article 438 require disclosure of a subset of the risk weighted exposure amounts and own funds requirements set out in Article 92(3). It covers credit risk under the Standardised approach (point (c)), credit risk under the IRB approach (point (d)), market risk under the Standardised and in the internal model approach, own funds requirements calculated in accordance with points (b) and (c) of Article 92(3) of CRR  (point (e)) and operational risk under the Basic indicator approach, the Standardised approach and the Advanced measurement approaches (point (f)). Article 438 of CRR does not explicitly refer to counterparty credit risk, which is however, in accordance with Article 107(1) of CRR, a component of the calculation of credit risk under the Standardised and the IRB approaches set out respectively in Chapter 2 and Chapter 3 of Title II of Part Three of CRR. Therefore, the disclosures requested under points (c) and (d) of Article 438 of CRR may include a combined information or a separate information on the component of credit risk and counterparty credit risk. Other specific information on exposure to counterparty credit risk is rather explicitly required under Article 439 of CRR.

In accordance with the second subparagraph of Article 431(3), where disclosures do not convey an institution’s risk profile comprehensively to markets participants, institutions shall publicly disclose the information necessary in addition to that required in accordance with Article 431 (1). Therefore, when disclosures on capital requirements provided in accordance with Article 438 are insufficient to convey their appropriate risk profile to market participants, institutions shall supplement them with additional information. Where this applies to risks not explicitly identified in Article 438 (such as those related to securitisation, counterparty credit risk and CVA risk) disclosures made in accordance with the second subparagraph of Article 431 (3) should be provided in a way that ensures comparability with those required under Article 438 CRR.

Where institutions provide additional information on counterparty credit risk on the aforementioned basis of Article 431(3) CRR, such information should also be subject to additional interim disclosure under paragraph 24 of EBA/GL/2014/14 where the assessment for the need to provide disclosures in Part Eight of CRR more frequently than annually shows that this additional information is necessary to convey the institutions’ comprehensive risk profile to market participants.