ifrs9-disclosure

IFRS 7 ECL DISCLOSURE REQUIREMENTS — COMPLETE LIST

Qualitative Disclosures (always required)

1. SICR assessment methodology — quantitative and qualitative criteria used
2. Definition of default — the bank's specific definition and why it was chosen
3. Write-off policy — when exposures are derecognised (written off)
4. Macroeconomic scenario descriptions — narrative for each scenario
5. ECL model methodology — overview for each major portfolio segment
6. PMA rationale — types and reasons for post-model adjustments

Quantitative Disclosures (always required)

7. Stage distribution table — gross carrying amount and ECL by stage, by product
8. Stage migration table — movements during the period with ECL impact
9. Credit quality table — gross carrying amounts by internal credit grade
10. Macroeconomic variables — key variables and their values in each scenario
11. Scenario weights — probability assigned to each scenario
12. Sensitivity analysis — ECL under each scenario individually (IFRS 7.35G)
13. PMA amounts — aggregate PMA by direction (add/release) with rationale
14. Modified financial assets — amounts restructured, conditions, Stage post-modification
15. Collateral — types held, LTV distributions for mortgage portfolios
16. Concentration risk — geographic and industry concentrations

For Stage 3 Specifically

17. Gross carrying amount vs. ECL provision by product (coverage ratio)
18. Write-offs during the period
19. Recoveries on previously written-off amounts

TEMPLATE: STAGE DISTRIBUTION TABLE

	Stage 1	Stage 2	Stage 3	Total
Gross carrying amount (M)
ECL provision (M)
Net carrying amount (M)
ECL coverage ratio %
Number of facilities

Repeat for each major product category (mortgages, SME, corporate, consumer, etc.)

TEMPLATE: STAGE MIGRATION TABLE

Movement	Gross Amount (M)	ECL Impact (M)
Opening balance — Stage 1
Opening balance — Stage 2
Opening balance — Stage 3
New financial assets originated (all Stage 1)	+	+
Transfers: Stage 1 to Stage 2	reclassify	+ (lifetime vs. 12-mo ECL)
Transfers: Stage 1 to Stage 3	reclassify	+
Transfers: Stage 2 to Stage 3	reclassify	+
Transfers: Stage 3 to Stage 2 (cures)	reclassify	-
Transfers: Stage 2 to Stage 1 (cures)	reclassify	-
Repayments / maturities	-	- (ECL released)
Write-offs	-	- (matched derecognition)
Changes in model parameters	--	+/-
Changes in macroeconomic scenarios	--	+/-
PMA movements	--	+/-
Closing balance — Stage 1
Closing balance — Stage 2
Closing balance — Stage 3

TEMPLATE: CREDIT QUALITY TABLE

Internal Grade	Description	Gross Amount (M)	ECL (M)	Coverage %
1 -- Minimal risk	AAA-AA equivalent
2 -- Low risk	A equivalent
3 -- Standard	BBB equivalent
4 -- Watch	BB equivalent, SICR approaching
Stage 2 -- SICR	Various
Stage 3 -- Default	Various

TEMPLATE: COLLATERAL AND LTV DISTRIBUTION TABLE (IFRS 7.35K)

LTV Band	Gross Amount (M)	ECL (M)	Coverage %	% of Mortgage Book
<= 50%
50-60%
60-70%
70-80%
80-90%
90-100%
> 100% (negative equity)
Total

Collateral types to disclose: residential property, commercial property, cash collateral, financial guarantees, credit insurance, receivables. For each type: fair value, frequency of revaluation, methodology for valuation.

TEMPLATE: CONCENTRATION RISK TABLE (IFRS 7.35M)

Dimension	Segment	Gross Amount (M)	% of Total	ECL (M)	Coverage %
Geography	UK
Geography	Europe (ex-UK)
Geography	North America
Geography	Asia Pacific
Geography	Middle East
Industry	Financial services
Industry	Real estate
Industry	Manufacturing
Industry	Retail/Consumer

SENSITIVITY ANALYSIS FORMAT (IFRS 7.35G REQUIREMENT)

"If the [upside / adverse / severe] macroeconomic scenario were applied with a 100% weighting, the Group's ECL provision would be [X higher / X lower], representing a [Y%] [increase / decrease] from the reported provision of [Z]."

Calculate and disclose for each named scenario. This is one of the most scrutinised disclosures in bank annual reports.

Extended Sensitivity Disclosure (Best Practice)

In addition to single-scenario sensitivity, disclose:

• ECL impact of a 10% shift in scenario weights (e.g., 10% from base to severe)
• ECL impact of a 1pp increase in unemployment across all scenarios
• ECL impact of a 10% decline in HPI across all scenarios These additional sensitivities help investors and analysts assess model responsiveness.

DRAFTING STANDARDS FOR ECL NOTES

• Use plain English alongside technical terms
• Quantify every disclosure where possible (avoid "significant" without a number)
• Cross-reference to the accounting policy note for IFRS 9 classification and measurement
• Distinguish clearly between performing (Stage 1/2) and non-performing (Stage 3)
• Auditors will check every number in the disclosure ties to the ECL model output
• Ensure year-on-year comparatives are presented for all quantitative tables
• Changes from prior period must be explained narratively, not just shown numerically

OUTPUT FORMAT — DISCLOSURE NOTE DRAFT

IFRS 7 ECL DISCLOSURE NOTE
Entity:             [Bank / Group name]
Reporting Period:   [YYYY-MM-DD to YYYY-MM-DD]

SECTION 1: QUALITATIVE
  SICR methodology:      [Summary of quantitative and qualitative criteria]
  Definition of default: [Bank's definition with rationale]
  Write-off policy:      [When exposures are derecognised]
  ECL model overview:    [Summary by portfolio segment]
  PMA rationale:         [Types applied and reasons]

SECTION 2: QUANTITATIVE
  [Stage distribution table — by product]
  [Stage migration table — with ECL impact]
  [Credit quality table — by rating grade]
  [Sensitivity analysis — per IFRS 7.35G]
  [Scenario weights and key variables]
  [PMA aggregate amounts]
  [Collateral / LTV distribution]
  [Concentration risk — geographic and industry]

SECTION 3: STAGE 3 DETAIL
  Stage 3 coverage ratios by product
  Write-offs during period
  Recoveries on prior write-offs

NEVER DO THESE

• NEVER draft disclosure tables from a stale risk system extract — all numbers must tie to the approved ECL model output for the reporting date; stale extracts are the most common source of disclosure restatements
• NEVER omit the IFRS 7.35G sensitivity analysis — regulators and auditors treat this as a mandatory disclosure; omission will result in a qualified audit opinion or regulatory finding
• NEVER present ECL disclosure without year-on-year comparatives — IFRS 7 requires comparative information, and omission raises immediate auditor concern
• NEVER use vague language ("significant increase", "material amount") without quantification — every qualitative descriptor must be supported by a number
• NEVER disclose scenario weights that do not sum to 100% — this is an immediate credibility issue and will be flagged by both auditors and analysts

ALL OUTPUTS REQUIRE REVIEW BY A QUALIFIED PROFESSIONAL BEFORE USE IN REGULATORY FILINGS OR BUSINESS DECISIONS.