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Surveillance Report Data Presentation Guide

This guide represents the data presentations found throughout all surveillance reports on the Percent platform. While some of the below views may not be available in all surveillance reports, they may get incorporated in the future upon any data modifications.

Outstanding Collateral Balance

The outstanding funded amount of any loans and/or advances in the portfolio. (This is synonymous with “portfolio” or “outstanding funded amount” throughout the report and rest of the guide.) The outstanding collateral balance does not include cash that may be in the originator’s collections account, cash that may be retained by Percent as a cash reserve supporting the offering, or cash that may be retained by Percent held in a prefunding account until sufficient collateral is originated. The monitoring of cash levels is tracked for those originators with asset test ratios via an overcollateralization test.

Participation Percentage

Percentage of total assets purchased by Percent from the originators existing portfolio.

Participated (Eligible) Collateral Balance

Outstanding Collateral Balance multiplied by Participation Percentage. (See above.)

Subsequent Interest Payment Amount

Total amount of interest due to the Percent noteholders in the subsequent payment period

Outstanding Note Balance Due

Total principal outstanding note balance due to the Percent noteholders.

Participated Cash in Collection Account

Cash balance held in the bank account associated with the Originator SPV multiplied by Participation Percentage.

Delinquency Haircut Amount

The total funded amount of the loans and/or advances that are excluded from eligible collateral due to elevated delinquency levels, which is typically set at 30 or 60 days past due depending on the program.

Collection Account Balance

Cash balance held in the bank account associated with the Originator SPV consisting of cash proceeds from the underlying assets.

Prefunding Account Balance

Cash balance retained in the bank account associated with Percent SPV shortly after the note closing date. This consists of principal proceeds from noteholder investments. The cash balance is temporarily held in this bank account and distributed to the originator only when sufficient advances are placed into the SPV as collateral.

Cash Reserve Account

A cash reserve supports a deal by providing further credit protection against losses and providing liquidity that can be used to meet note interest or principal payments if proceeds from the underlying assets are not enough to cover the required note payments. The cash is held in the bank account associated with the Percent SPV.

Minimum Overcollateralization (OC)

The OC floor, which if breached, requires the originator to not reinvest cash flows from collateral received into new collateral.

Excess Overcollateralization (OC)

The OC level, which if breached, allows the originator to leak cash flows received from collateral back to the company as long as the OC level remains above the Excess OC level after the leak.

Trending Overcollateralization (OC) Level Analysis

Historical OC levels of the portfolio reported on a daily or weekly basis.

PIKable Interest

PIKable (Payment-in-kind) Interest is a form of payment where accrued interest is satisfied through a corresponding increase to the outstanding Unsecured Note balance.

# of outstanding Loans/Advances

The number of outstanding loans and/or advances in the portfolio.

# / $ of outstanding secured loans/advances

The number and dollar amount of secured outstanding loans and/or advances in the portfolio.

# / $ of outstanding unsecured loans/advances

The number and dollar amount of unsecured outstanding loans and/or advances in the portfolio.

WA Term

The average original term of the outstanding portfolio, weighted by the outstanding funded amount.

WA Credit Score

The average credit score of the outstanding portfolio, weighted by the outstanding funded amount.

WA Loan to Value

The average loan to value of the secured assets in the outstanding portfolio, weighted by the outstanding funded amount.

Paid off loans/advances

The total funded amount of loans and/or advances that have been repaid.

Collections on paid off advances

The total collections received on loans and/or advances that have been repaid.

Largest Exposure as % of Portfolio

The funded amount of the largest loan and/or advance as a percentage of the Outstanding Collateral Balance.

Largest 10 Exposures as % of Portfolio

The total funded amount of the largest 10 loans and/or advances as a percentage of the Outstanding Collateral Balance.

Largest Obligor as % of Portfolio

The funded amount of the largest obligor as a percentage of the Outstanding Collateral Balance.

Largest 10 Obligor as % of Portfolio

The total funded amount of the top 10 obligors’ loans and/or advances as a percentage of the Outstanding Collateral Balance.

Days Past Due of Overall Portfolio

The outstanding collateral balance stratified by days past due (DPD) buckets. The methodology used to calculate DPD of a singular loan and/or advance varies by originator.

Percentage of Portfolio Repaying

The percentage of the outstanding collateral balance that is actively repaying their loans and/or advances. The calculation compares the underlying payment schedule of each loan or advance to the last payment date of each obligor to determine such status.

Days Past Due by Industry

The outstanding collateral balance stratified by industry and days past due.

Days Past Due by Geography

The outstanding collateral balance stratified by geography and days past due.

Days Past Due Trending Analysis

Historical tracking of the portfolio stratified by days past due.

Portfolio Concentration Analysis by Industry

The outstanding collateral balance stratified by industry.

Portfolio Concentration Analysis by Modality

The outstanding collateral balance stratified by modality.

Portfolio Concentration Analysis by Geography

The outstanding collateral balance stratified by geography.

Portfolio Concentration Analysis by LTV

The outstanding collateral balance stratified by loan to value buckets. The loan to value is representative of the outstanding loan or advance balance divided by the current collateral value.

Portfolio by Obligor, Receivable Seller, Merchant, or Customer

The percentage of the outstanding collateral balance that the top obligors, receivable sellers, merchants, or customers represents.

Portfolio by Credit Score

The outstanding collateral balance stratified by credit score buckets.

Portfolio by Years in Industry

The outstanding collateral balance stratified by years in industry of the underlying borrowers.

Portfolio by Counterparty Platform

The outstanding collateral balance stratified by exposure to various counterparty platforms.

Portfolio by Customer Type

The outstanding collateral balance stratified by new or repeat customers.

Portfolio by Underlying APY/APR Bucket

The portfolio size stratified by APR or APY buckets of the underlying loans and/or advances.

Weighted Average Credit Score by Vintage

The weighted average credit score by funded amount for each historical vintage.

Origination Volumes ($)

The dollar amount of total originations for each historical vintage.

Origination Volumes (#)

The number of loans and/or advances originated for each historical vintage.

Collections to date by vintage (% of Funded Amount)

The total payments collected per vintage divided by the total amount originated per vintage.

Collections to date by vintage (% of Expected Collections)

The total payments collected per vintage divided by the total amount expected to be collected per vintage.

Outstanding Funded Amount by Anticipated Payoff Date

The outstanding collateral balance stratified by the vintages of the anticipated payoff date.

Moving Average Accruals vs. Collections

The comparison of the 7-day moving average of the amounts due from the underlying borrowers (accruals) and the 7-day moving average of the amounts collected from the underlying borrowers (collections).

Shortfall % (Collections less accruals)

The difference between the 7-day moving average collections and 7-day moving average accruals divided by the 7-day average accruals.

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