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On first use: Read ../../CLAUDE.md to obtain exemption conditions/disclosure format requirements.
/ecl-disclosure — IFRS 9 / IFRS 7 credit risk disclosures
Step 1: ECL movement table (required by IFRS 7)
□ 期初 → 期末 ECL 变动分解：
期初 ECL（[YYYY-MM-DD]）：[X] 万元
□ Net increase (decrease) for the period: □ New exposures (none at beginning → present at end): [X] ten thousand yuan □ Changes in ECL for existing exposures (model reassessment): [X] ten thousand yuan □ Impact of Stage transfers: → Stage 1 → 2: [X] ten thousand yuan (increase in provision) → Stage 2 → 3: [X] ten thousand yuan (increase in provision) → Stage 2 → 1: [X] ten thousand yuan (decrease in provision) □ Recoveries/write-offs: [X] ten thousand yuan □ Macro adjustments: [X] ten thousand yuan
Ending ECL ([YYYY-MM-DD]): [X] ten thousand yuan
□ Movement reconciliation: □ Beginning [X] + net increase [X] = ending [X] — [✅ Reconciliation correct / ⚠️ Difference X ten thousand yuan]
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## 第二步：Stage 转移披露
□ Summary of Stage transfers for the period:
| Transfer direction | Exposure (ten thousand) | Proportion |
|---|---|---|
| Stage 1 → Stage 2 | [X] | [X]% |
| Stage 1 → Stage 3 | [X] | [X]% |
| Stage 2 → Stage 1 | [X] | [X]% |
| Stage 2 → Stage 3 | [X] | [X]% |
| Stage 3 → Stage 2 | [X] | [X]% |
□ Explanation of main reasons for transfers (required by IFRS 7): □ Stage 1 → Stage 2: [X] customers transferred, main reason [PD rating downgrade / 30 days past due / Watch List] □ Stage 2 → Stage 3: [X] customers transferred, main reason [90 days past due / default]
□ Whether significant transfers must be disclosed separately: [✅ Yes / ⚠️ No] □ Definition of significant transfer: exposure > [X]% of total exposure or ECL impact > [X] ten thousand yuan □ Requiring separate disclosure: [X] customers — [description]
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## 第三步：宏观调整披露
□ Explanation of macro adjustment methodology: □ Macro factors: [GDP growth / house price index / industry index] □ Scenario weights: [optimistic X]% / [base X]% / [pessimistic X]% □ Impact of macro adjustments on ECL: [±X] ten thousand yuan
□ Comparison of macro assumptions with actual data: □ Assumed GDP [X]% vs actual [X]% — [✅ Close / ⚠️ Deviation] □ Assumed house prices [X]% vs actual [X]% — [✅ Close / ⚠️ Deviation]
□ Disclosure location: IFRS 7 credit risk disclosure notes — explanation of macro adjustments
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## 第四步：敏感性分析披露
□ Sensitivity of key parameters (required by IFRS 7):
□ PD sensitivity: □ PD +10% → ECL increases by [X] ten thousand yuan □ PD -10% → ECL decreases by [X] ten thousand yuan
□ LGD sensitivity: □ LGD +10% → ECL increases by [X] ten thousand yuan □ LGD -10% → ECL decreases by [X] ten thousand yuan
□ Macro scenario sensitivity: □ Pessimistic scenario weight +10% → ECL increases by [X] ten thousand yuan
□ Sensitivity disclosure conclusion: □ Overall ECL is most sensitive to [PD / LGD / macro] □ Main driver: [variable name]
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## 第五步：模型假设披露
□ Disclosure of model assumptions (required by IFRS 9):
□ PD assumptions: □ Internal rating mapping method: [...] □ Historical data observation period: [X] years □ Forward-looking adjustment method: [scenario weighting / benchmark mapping / ...] □ Whether PD assumptions have changed: [Yes/No — details of changes: ...]
□ LGD assumptions: □ Collateral haircut rate: [X]% (presented separately by collateral type) □ Recovery period assumption: [X] months □ Whether LGD assumptions have changed: [Yes/No — details of changes: ...]
□ EAD assumptions: □ Off-balance-sheet exposure CCF: [X]% (by product type) □ Whether CCF assumptions have changed: [Yes/No — details of changes: ...]
□ Exemption conditions applied (if applicable): □ Low credit risk exemption: [X] exposures — rating [A- and above] □ Disclosed in the notes: [✅ Yes / ⚠️ No]
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## 第六步：审计配合与审批
□ Matters requiring audit submission: □ ECL movement schedule: [✅ Provided / ☐ Pending] □ Stage transfer explanation: [✅ Provided / ☐ Pending] □ Macro adjustment methodology: [✅ Provided / ☐ Pending] □ Sensitivity analysis: [✅ Provided / ☐ Pending] □ Model assumption changes: [✅ Provided / ☐ Pending]
□ Audit adjustment opinion: □ Audit adjustment: [X] ten thousand yuan ([increase/decrease] ECL) □ Reason for adjustment: [...] □ Whether the model must be modified: [Yes/No]
□ Approval record: □ Chief Risk Officer (CRO) approval: [✅ Approved / ☐ Pending approval] □ CFO approval: [✅ Approved / ☐ Pending approval]
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## 输出格式
═══════════════════════════════════════ IFRS 9 Credit Risk Disclosure Package Reporting period: [YYYY Quarter X / Annual] Reporting date: [YYYY-MM-DD] ═══════════════════════════════════════
[I. ECL Movement Schedule] (IFRS 7)
□ ECL at beginning of period: [X] ten thousand yuan □ Net increase for the period: [X] ten thousand yuan □ New exposures: [X] ten thousand yuan □ Impact of stage transfers: [X] ten thousand yuan □ Macro adjustments: [X] ten thousand yuan □ Recoveries/write-offs: [X] ten thousand yuan □ ECL at end of period: [X] ten thousand yuan
[II. Stage Transfer Explanation]
□ Stage 1 → 2: [X] items / [X] ten thousand yuan □ Stage 2 → 3: [X] items / [X] ten thousand yuan □ Main reasons for transfer: [description]
[III. Macro Adjustment Disclosure]
□ Macro factors: [...] □ Scenario weights: [Optimistic X]% / [Base X]% / [Pessimistic X]% □ Impact of forward-looking adjustments: [±X] ten thousand yuan
[IV. Sensitivity Analysis]
□ PD +10% → ECL increases by [X] ten thousand yuan □ LGD +10% → ECL increases by [X] ten thousand yuan □ Pessimistic weight +10% → ECL increases by [X] ten thousand yuan
[V. Model Assumption Changes]
□ PD assumption change: [Yes/No] □ LGD assumption change: [Yes/No] □ EAD/CCF assumption change: [Yes/No] □ Impact of changes on ECL: [±X] ten thousand yuan
[VI. Audit Matters]
□ Audit adjustment: [X] ten thousand yuan □ Audit qualified opinion: [Yes/No]
═══════════════════════════════════════ Prepared by: [Risk Manager] Reviewed by: [CRO / CFO] Submission date: [YYYY-MM-DD] ═══════════════════════════════════════