Introducing Enhanced Surveillance Reports on Percent

When Percent launched the Surveillance Reports in May 2020 to provide investors with enhanced levels of transparency and the ability to identify any critical trends in performance levels of our note programs, we have since constantly worked to enhance the contents of the surveillance reports.

Recently, the Percent team added new performance analytics views in our surveillance reports to offer investors additional insightful tools to monitor and compare performance metrics across different notes, originators, and asset classes. Read on to learn more about the new performance analytics views added to our reports.

Asset Test Ratio Analysis

To provide investors with insights into how the asset ratio tests are computed, we expanded the Asset Test Ratio section to include the inputs and ratio formula, allowing investors to quickly identify major driving factors of the asset test ratio performance. For example, by monitoring the movement in the formula components such as the Participated Eligible Collateral Balance and the Delinquency Haircut Amount, investors can detect which element of the asset ratio test formula has led to the improvement/deterioration in the test performance. We also highlight whether the asset ratio test is currently passing or failing. Please note that these inputs are also defined more thoroughly in our surveillance report data presentation guide, which is linked at the top of every report and can be found here.

The Asset Test Ratio Analysis section of the surveillance report

At a Glance

We have added three additional portfolio concentration metrics under this section as listed below to allow investors to assess the underlying participation portfolio’s concentration risk to the largest loans and obligors:

  • Largest Exposure as a % of Portfolio
  • Largest Obligor as % of Portfolio
  • Largest 10 Obligors as % of Portfolio
The "At a Glance" section of the surveillance reports

Other Credit Features

This new section displays the outstanding cash reserve account balance, if any, which is a form of credit enhancement for certain Percent notes. In addition to providing notes with credit protection against losses in the underlying participation portfolio, the reserve account balance provides liquidity that can be used to meet note interest and principal payments if proceeds from the underlying assets are not enough to cover the required note payments. Furthermore, the Payment-In-Kind (PIKable) nature of a corresponding program’s note is shown under this section. PIKable interest, where applicable, is a payment structure where unpaid interest is permitted to accrue in the form of increased outstanding note principal balance. PIKable notes help originators manage uncertainty in the cash inflows’ timing by extending the payment due dates of the required note interest payments to a later date. When PIKable interest applies to a transaction, typically a predetermined set maximum number of months are allowed for the interest to PIK.

Other Credit Features

See Percent’s Updated Surveillance Reports

To see the most up-to-date surveillance reports for Percent originators, sign in to your Percent account and click on the Originators tab.

Jenny Ahn
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Jenny Ahn
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