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Report On the application of the IFRS 7 and IFRS 9 requirements regarding banks' expected credit losses (ECL). 15 December 2021 | ESMA32-339-169. Table of Contents 1 Executive Summary .. 2. 2 List of acronyms .. 6. 3 Background .. 8. 4 Objectives .. 9. 5 Scope and methodology .. 9. 6 Analysis of selected subtopics ..11. General aspects of credit risk management ..11. Assessment of significant increase in credit risk (SICR) ..20. Forward-looking information (FLI)..25. Explanation of changes in loss allowances ..32. Transparency of disclosures on credit risk exposures ..37. Expected credit losses (ECL) sensitivity disclosures ..43. 7 Next steps ..47. 8 Appendix: Examples of disclosures ..48. 1. 1 Executive Summary This Report by the European Securities and Markets Authority (ESMA) provides an overview of the application of the principles and requirements of IFRS 7 Financial Instruments: Disclosures and IFRS 9 Financial Instruments related to the measurement and disclosure of expected credit losses (ECL) by European banks with the objective of assessing their level of compliance, transparency and comparability.

purposes (if applicable) . ESMA emphasise the importance of explaining the quantitative and qualitative factors applied, including the length of the “cure” period, and any material differences in the application of the factors across portfolios. Banks that grouped financial

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