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)

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

For Stage 3 Specifically

1. Gross carrying amount vs. ECL provision by product (coverage ratio)
2. Write-offs during the period
3. 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 d