The new guidelines for loan loss reserves, current expected credit loss (CECL), were initially proposed so that lenders’ loss reserves would be forward-looking. Some recent studies have suggested that CECL could be procyclical, meaning that loss reserves would peak at the peak of a crisis. Although it is better than seeing failure only after it has happened, being required to raise liquidity at the peak of a crisis could still fail to save the lender from collapse, and it may even facilitate the latter. However, previous procyclicality studies have explained all losses using macroeconomic factors, ignoring the changes in credit risk and other portfolio drivers that preceded the recession. The current work looks at a wide range of models to test the degree to which CECL is procyclical for different types of model. The tests were also run using real historical macroeconomic scenarios, flat scenarios or mean-reverting scenarios. All tests were conducted on publicly available data from Fannie Mae and Freddie Mac using publicly disclosed models. Our study found that CECL lifetime losses timates were only marginally sensitive to the quality of the economic scenario but changed dramatically with different modeling techniques. Some methods predicted increased loss reserve requirements as early as 2006, while others only saw the recession as it happened or even afterward. Therefore, procyclicality under CECL will be strongly influenced by the choices of the lender.

中文翻译：

---

当前预期信用损失顺周期性：取决于模型

贷款损失准备金的新指南，即当前预期信用损失 (CECL)，最初是为了使贷方的损失准备金具有前瞻性而提出的。最近的一些研究表明，CECL 可能是顺周期性的，这意味着损失准备金将在危机高峰期达到峰值。虽然总比事后才看到失败要好，但被要求在危机高峰期提高流动性仍然无法使贷方免于倒闭，甚至可能为后者提供便利。然而，之前的顺周期性研究使用宏观经济因素解释了所有损失，而忽略了衰退前信用风险和其他投资组合驱动因素的变化。目前的工作着眼于广泛的模型，以测试 CECL 对不同类型模型的顺周期程度。测试还使用真实的历史宏观经济情景、平坦情景或均值回归情景进行。所有测试均使用公开披露的模型根据房利美和房地美的公开数据进行。我们的研究发现，CECL 生命周期损失时间对经济情景的质量仅略微敏感，但随着不同的建模技术发生了巨大变化。一些方法预测早在 2006 年就会增加损失准备金要求，而另一些方法则只看到衰退发生时甚至之后。因此，CECL 下的顺周期性将受到贷方选择的强烈影响。我们的研究发现，CECL 生命周期损失时间对经济情景的质量仅略微敏感，但随着不同的建模技术发生了巨大变化。一些方法预测早在 2006 年就会增加损失准备金要求，而另一些方法则只看到衰退发生时甚至之后。因此，CECL 下的顺周期性将受到贷方选择的强烈影响。我们的研究发现，CECL 生命周期损失时间对经济情景的质量仅略微敏感，但随着不同的建模技术发生了巨大变化。一些方法预测早在 2006 年就会增加损失准备金要求，而另一些方法则只看到衰退发生时甚至之后。因此，CECL 下的顺周期性将受到贷方选择的强烈影响。