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On first use: Read ../../CLAUDE.md to obtain macro factor definitions/scenario weights/adjustment methods.
/macro-forward-adjustment — Macro forward-looking adjustment
Step 1: Determine macro factors and scenarios
□ 宏观因子选择（来自 CLAUDE.md）：
□ 因子 1：GDP 增速 — 基准 [X]%，乐观 [+X]%，悲观 [-X]%
□ 因子 2：[房价指数 / 行业指数] — 基准 [X]%，乐观 [+X]%，悲观 [-X]%
□ 因子 3：[失业率 / 利率] — 基准 [X]%，乐观 [-X]%，悲观 [+X]%
□ Macro data sources: □ GDP: [National Bureau of Statistics / IMF / World Bank] □ Property prices: [National Bureau of Statistics / China Index Academy] □ Industry default rate: [Moody's / S&P / Industry association]
□ Scenario weights (from CLAUDE.md): □ Optimistic scenario: [X]% □ Base scenario: [X]% □ Pessimistic scenario: [X]% □ Total weight: [X]% — [✅ = 100% / ⚠️ must be adjusted]
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## 第二步：映射宏观因子至 PD / LGD
□ Macro factor → PD adjustment coefficient: □ GDP +1% → PD decreases [X]% (macro improvement) □ GDP -1% → PD increases [X]% (macro deterioration)
□ Calculate the adjusted PD under each scenario: □ Optimistic scenario: PD_adj = PD_base × (1 - [X]% × ΔGDP_optimistic) □ Base scenario: PD_adj = PD_base × (1 - [X]% × ΔGDP_base) □ Pessimistic scenario: PD_adj = PD_base × (1 - [X]% × ΔGDP_pessimistic)
□ PD sensitivity to macro adjustments: □ GDP +1%: PD decreases by about [X]% □ GDP -1%: PD increases by about [X]%
□ Apply separately to Stage 1 / Stage 2 / Stage 3 (Stage 3 PD=100% is not adjusted)
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## 第三步：计算三情景 ECL
□ Optimistic scenario ECL: □ Stage 1 ECL (optimistic): [X] ten thousand yuan □ Stage 2 ECL (optimistic): [X] ten thousand yuan □ Stage 3 ECL (optimistic): [X] ten thousand yuan (not adjusted) □ Total optimistic ECL: [X] ten thousand yuan
□ Base scenario ECL: □ Total base ECL: [X] ten thousand yuan (from ecl-calculation results)
□ Pessimistic scenario ECL: □ Stage 1 ECL (pessimistic): [X] ten thousand yuan □ Stage 2 ECL (pessimistic): [X] ten thousand yuan □ Stage 3 ECL (pessimistic): [X] ten thousand yuan (not adjusted) □ Total pessimistic ECL: [X] ten thousand yuan
□ Three-scenario comparison: □ Optimistic [X] ten thousand → Base [X] ten thousand → Pessimistic [X] ten thousand □ Pessimistic vs optimistic gap: [X] ten thousand yuan — [✅ gap is reasonable / ⚠️ gap is too large]
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## 第四步：加权 ECL 计算
□ Weighted ECL calculation: □ Weighted ECL = optimistic ECL × [X]% + base ECL × [X]% + pessimistic ECL × [X]%
□ Calculation: □ = [X] ten thousand × [X]% + [X] ten thousand × [X]% + [X] ten thousand × [X]% □ = [X] ten thousand yuan
□ Impact of forward-looking adjustment: □ ECL before adjustment (base): [X] ten thousand yuan □ ECL after adjustment (weighted): [X] ten thousand yuan □ Net adjustment: [±X] ten thousand yuan / [±X]%
□ Adjustment direction: [✅ increase ECL (high pessimistic weight) / ⚠️ decrease ECL (high optimistic weight)]
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## 第五步：合理性验证
□ Comparison with market consensus: □ Base GDP assumption [X]% vs central bank forecast [X]% — [✅ consistent / ⚠️ deviation] □ Property price assumption [X]% vs market consensus expectation [X]% — [✅ consistent / ⚠️ deviation]
□ Comparison with peers (if available): □ Peer forward-looking adjustment magnitude: [±X]% — [✅ within a reasonable range / ⚠️ relatively large deviation]
□ Mistakes to avoid: □ 🔴 Zero forward-looking adjustment (explicitly prohibited by IFRS 9) □ 🔴 Using only historical data with no forward-looking element □ 🔴 A single macro factor □ 🔴 Subjective and arbitrary scenario weights
□ Sensitivity analysis: □ Pessimistic scenario weight +10% → ECL increases by [X] ten thousand yuan □ GDP assumption lowered by 1% → ECL increases by [X] ten thousand yuan
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## 输出格式
═══════════════════════════════════════ Macro Forward-Looking Adjustment Report Assessment cutoff date: [YYYY-MM-DD] ═══════════════════════════════════════
[Macro Factors and Scenarios]
| Factor | Optimistic | Base | Pessimistic |
|---|---|---|---|
| GDP growth rate | [+X]% | [X]% | [-X]% |
| Housing price index | [+X]% | [X]% | [-X]% |
| [Industry index] | [+X]% | [X]% | [-X]% |
[Three-Scenario ECL Results]
| Scenario | Weight | Stage 1 | Stage 2 | Stage 3 | Total |
|---|---|---|---|---|---|
| Optimistic | [X]% | [X] ten thousand | [X] ten thousand | [X] ten thousand | [X] ten thousand |
| Base | [X]% | [X] ten thousand | [X] ten thousand | [X] ten thousand | [X] ten thousand |
| Pessimistic | [X]% | [X] ten thousand | [X] ten thousand | [X] ten thousand | [X] ten thousand |
[Weighted ECL]
□ ECL before adjustment (Base): [X] ten thousand yuan □ ECL after adjustment (Weighted): [X] ten thousand yuan □ Forward-looking adjustment impact: [±X] ten thousand yuan / [±X]%
[Reasonableness Verification]
□ GDP assumption vs central bank forecast: [✅ Consistent / ⚠️ Deviation] □ Housing price assumption vs market expectations: [✅ Consistent / ⚠️ Deviation] □ Peer comparison: [✅ Within a reasonable range / ⚠️ Significant deviation]
[Sensitivity Analysis]
□ Pessimistic weight +10% → ECL increases by [X] ten thousand yuan □ GDP -1% → ECL increases by [X] ten thousand yuan
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