The Mosaic forward-looking CECL Solution involves a multi-faceted process. The process estimates conditional monthly probabilities of default using a regression analysis on several variables of historical data. The variables include loan-level information such as interest rates, borrower-level information such as FICO score, collateral-level information such as the loan-to-value ratio, institution-level information such as whether or not the credit union is employment based, micro-economic data such as the local unemployment rate in the borrower’s metropolitan statistical area (MSA), and macro-economic information such as interest rates.
This CECL Solution takes into account different asset class and loan profiles. Some of the specific segments include: