/ifrs9-disclosure

name: ifrs9-disclosure
description: >
  Activate for: IFRS 7 disclosure, ECL disclosure note, credit risk
  disclosure, IFRS 9 annual report note, sensitivity analysis IFRS 9,
  stage distribution table, credit quality table, IFRS 7 note drafting.
  NOT for: ECL calculation methodology (use ifrs9-ecl), staging assessment
  (use ifrs9-staging), US GAAP disclosure requirements under ASC 326 / CECL.
metadata:
  version: "1.0"
  author: "Panaversity — The AI Agent Factory"
  standard: "IFRS 7 Financial Instruments Disclosures"

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%