ecl-calculation

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On first use: Read ../../CLAUDE.md to obtain the PD/LGD/EAD parameter configuration and forward-looking adjustment requirements.

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/ecl-calculation — ECL Measurement

Step 1: Confirm parameter configuration

□ PD 来源：
□ 内部评级系统：[✅ 可用 / ⚠️ 须手动映射]
□ 外部评级映射：[✅ 已建立 / ⚠️ 须建立]
□ 内部历史数据年限：[X] 年

□ LGD 来源：
□ 内部历史回收数据：[✅ 可用 / ⚠️ 须参照外部]
□ 抵押品处理历史：[✅ 可用 / ⚠️ 须补录]

□ EAD source: □ On-balance-sheet: book balance [✅ direct data retrieval] □ Off-balance-sheet: committed amount × CCF [X]%

□ Forward-looking adjustment: □ Whether macro adjustment must be applied: [Yes/No] □ Macro scenario weights: [Optimistic X]% / [Base X]% / [Pessimistic X]%

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## 第二步：Stage 1 ECL 计量

□ Measurement formula: □ ECL = EAD × PD(12-month) × LGD × [1/(1+r)^t] (discount factor)

□ Calculate for each Stage 1 exposure: □ [Customer A] — EAD [X] ten thousand × PD [X]% × LGD [X]% × discount = ECL [X] yuan □ [Customer B] — ...

□ Stage 1 summary: □ Stage 1 exposure: [X] ten thousand yuan □ Stage 1 ECL: [X] ten thousand yuan □ Stage 1 coverage ratio: ECL / exposure = [X]%

□ PD reasonableness validation: □ Stage 1 weighted average PD: [X]% — [✅ consistent with expectations / ⚠️ high]

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## 第三步：Stage 2 ECL 计量

□ Measurement formula (lifetime): □ ECL = EAD × PD(lifetime, current rating) × LGD × discount factor

□ PD(lifetime) calculation: □ Current rating [X] → corresponding lifetime PD [X]% □ Lifetime PD must be used (not 12-month PD)

□ Calculate for each Stage 2 exposure: □ [Customer C] — EAD [X] ten thousand × PD(lifetime) [X]% × LGD [X]% × discount = ECL [X] yuan □ ...

□ Stage 2 summary: □ Stage 2 exposure: [X] ten thousand yuan □ Stage 2 ECL: [X] ten thousand yuan □ Stage 2 coverage ratio: [X]% — [✅ sufficient / ⚠️ low]

□ PD reasonableness validation: □ Stage 2 weighted average PD(lifetime): [X]% — [✅ consistent with expectations / ⚠️ high] □ Stage 2 vs Stage 1 PD difference: [X]x — [✅ reasonable difference / ⚠️ difference too large]

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## 第四步：Stage 3 ECL 计量

□ Measurement formula (credit-impaired): □ ECL = (EAD + capitalized overdue interest) × LGD × discount factor □ PD = 100% (defaulted)

□ Collateral treatment: □ Collateral appraised value: [X] ten thousand yuan □ Discount rate: [X]% □ Collateral net recoverable amount: [X] ten thousand yuan □ ECL net amount after deducting collateral: [X] ten thousand yuan

□ Stage 3 summary: □ Stage 3 exposure: [X] ten thousand yuan □ Stage 3 ECL (before deducting collateral): [X] ten thousand yuan □ Collateral value: [X] ten thousand yuan □ Stage 3 ECL (after deducting collateral): [X] ten thousand yuan □ Stage 3 coverage ratio: [X]% — [✅ sufficient / ⚠️ low]

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## 第五步：ECL 汇总与覆盖率验证

□ ECL summary:

Stage	Exposure (ten thousand)	ECL (ten thousand)	Coverage ratio
Stage 1	[X]	[X]	[X]%
Stage 2	[X]	[X]	[X]%
Stage 3	[X]	[X]	[X]%
Total	[X]	[X]	[X]%

□ Coverage ratio reasonableness check: □ Stage 1 coverage ratio vs regulatory minimum [X]%: [✅ meets standard / ❌ does not meet standard] □ Stage 2 coverage ratio vs regulatory minimum [X]%: [✅ meets standard / ❌ does not meet standard] □ Stage 3 coverage ratio vs regulatory minimum [X]%: [✅ meets standard / ❌ does not meet standard]

□ Comparison with previous period: □ Previous period ECL: [X] ten thousand yuan → current period [X] ten thousand yuan □ Change: [±X] ten thousand yuan / [±X]% □ Main drivers of change: [...]

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## 输出格式

═══════════════════════════════════════ ECL Measurement Results Assessment Cut-off Date: [YYYY-MM-DD] ═══════════════════════════════════════

【Stage 1 ECL】

Customer	EAD (10,000)	PD(12M)	LGD	ECL (CNY)
[A]	[X]	[X]%	[X]%	[X]
...	...	...	...	...
Total	[X]	[X]%	[X]%	[X]

□ Stage 1 Weighted Average PD: [X]%

【Stage 2 ECL】

Customer	EAD (10,000)	PD(LTD)	LGD	ECL (CNY)
[C]	[X]	[X]%	[X]%	[X]
...	...	...	...	...
Total	[X]	[X]%	[X]%	[X]

□ Stage 2 Weighted Average PD (Outstanding): [X]%

【Stage 3 ECL】

Customer	EAD (10,000)	Overdue Interest	LGD	Collateral	ECL (10,000)
[D]	[X]	[X]	[X]%	[X]	[X]
Total	[X]	[X]	[X]%	[X]	[X]

[Total]

□ Total ECL: [X] 10,000 CNY □ Total Coverage Ratio: [X]% □ vs Previous Period: [±X] 10,000 CNY / [±X]%

[Coverage Ratio Verification]

□ Stage 1：[X]% — [✅ / ❌] □ Stage 2：[X]% — [✅ / ❌] □ Stage 3：[X]% — [✅ / ❌]

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