Surveillance Report Data Presentation Guide

Outstanding Note Ticker(s)

Ticker of the outstanding note.

Note Close Date

Close date of the outstanding note.

Note Investment Term

Investment Term (in months) of the outstanding note.

Initial Note Balance

Initial outstanding note principal balance.

Outstanding Note Balance

Total outstanding note principal balance due to the noteholders.

Outstanding Collateral Balance

The outstanding principal balance 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 any cash.

Participation Percentage

Purchased percentage of the originator’s total existing portfolio.

Participated Outstanding Collateral Balance

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

Minimum Threshold Overcollateralization (OC)

The minimum OC required level, which if breached, requires the originator to stop reinvesting cash flows from collateral received into new collateral.

Excess Threshold Overcollateralization (OC)

The threshold OC level which, if exceeded, allows the originator to leak cash flows received from collateral back to the company up to the level that the Current OC remains above the Excess OC level after the leak.

Current Overcollateralization (OC)

The current overcollateralization level.

Historical Overcollateralization (OC) Analysis

Historical OC levels of the portfolio

Outstanding loans/advances (#)

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

Outstanding secured loans/advances (# / $)

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

Outstanding unsecured loans/advances (# / $)

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

WA Original Term by Outstanding Principal

The average original term of the outstanding portfolio, weighted by the outstanding principal balance.

WA MOIC by Outstanding Principal

The average Multiple on Invested Capital(MOIC) of the outstanding portfolio, weighted by the outstanding principal balance. MOIC is representative of the return on invested capital as a multiple of the invested capital.

WA Interest Rate by Outstanding Principal

The average interest rate of the outstanding portfolio, weighted by the outstanding principal balance.

WA Credit Score by Outstanding Principal

The average credit score of the outstanding portfolio, weighted by the outstanding outstanding principal balance.

WA Original Term by Original Funded Amount

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

WA MOIC by Original Funded Amount

The average Multiple on Invested Capital(MOIC) of the outstanding portfolio, weighted by the original funded amount. MOIC is representative of the return on invested capital as a multiple of the invested capital.

WA Interest Rate by Original Funded Amount

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

WA Credit Score by Original Funded Amount

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

Original WA LTV

The original average loan to value(LTV) of the secured assets in the outstanding portfolio, weighted by the outstanding principal balance.

Current WA LTV

The average current loan to value(LTV) of the secured assets in the outstanding portfolio, weighted by the outstanding principal balance.

Paid off 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 + Cash

The principal balance of the largest loan and/or advance as a percentage of the sum of the Outstanding Collateral Balance and cash balance held in the bank account associated with the Originator SPV multiplied by Participation Percentage.

Largest 10 Exposures as % of Portfolio + Cash

The total principal balance of the largest 10 loans and/or advances as a percentage of the sum of the Outstanding Collateral Balance and cash balance held in the bank account associated with the Originator SPV multiplied by Participation Percentage.

Largest Exposure as % of Portfolio

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

Largest 10 Exposures as % of Portfolio

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

Largest Obligor as % of Portfolio

The principal balance of the largest obligor as a percentage of the Outstanding Collateral Balance.

Largest 10 Obligors as % of Portfolio

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

Days Past Due: 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.

Portfolio Repayment Rate Analysis

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 (SIC Industry)

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

Days Past Due by Industry (NAICs Sector)

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

Days Past Due by Industry (Internal Classification)

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

Days Past Due by Industry (Merchant Category Code)

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

Days Past Due by Geography (Country)

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

Days Past Due by Geography (Province)

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

Days Past Due by Geography (State)

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

Days Past Due by Geography (City)

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

Historical Days Past Due Trending Analysis

Historical tracking of the portfolio stratified by days past due.

Industry Concentration Analysis (SIC Industry)

The percentage of outstanding collateral balance stratified by industry (SIC Industry)

Industry Concentration Analysis (NAICs Sector)

The percentage of outstanding collateral balance stratified by industry (NAICs Sector)

Industry Concentration Analysis (Internal Classification)

The percentage of outstanding collateral balance stratified by industry (Internal Classification)

Industry Concentration Analysis (Merchant Category Code)

The percentage of outstanding collateral balance stratified by industry (Merchant Category Code)

Geography Concentration Analysis (Country)

The percentage of outstanding collateral balance stratified by country.

Geography Concentration Analysis (Province)

The percentage of outstanding collateral balance stratified by province.

Geography Concentration Analysis (State)

The percentage of outstanding collateral balance stratified by state.

LTV Concentration Analysis

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

Obligor Concentration Analysis

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

Credit Score Concentration Analysis

The percentage of outstanding collateral balance stratified by credit score.

Funding Position Concentration Analysis

The percentage of outstanding collateral balance stratified by funding position.

Years in Industry Concentration Analysis

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

Counterparty Platform Concentration Analysis

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

Customer Type Concentration Analysis

The percentage of outstanding collateral balance stratified by customer type (repeat vs. new).

Underlying APY/APR Bucket Concentration Analysis

The percentage of outstanding collateral balance stratified by APR or APY buckets of the underlying loans and/or advances.

Case Type Concentration Analysis (for litigation finance transactions)

The percentage of outstanding collateral balance stratified by the case type of the underlying advance.

Origination Source Concentration Analysis (for litigation finance transactions)

The percentage of outstanding collateral balance stratified by the origination source (broker vs. organic vs. attorney referral) of the underlying advance.

Law Firm Concentration Analysis (for litigation finance transactions)

The percentage of outstanding collateral balance stratified by the law firm handling the underlying case. 

Active, Won and Cancelled Cases / Active, Resolved and Charged off Cases (for litigation finance transactions)

The percentage of outstanding collateral balance stratified by the latest available status  of the underlying case.

Weighted Average Credit Score by Vintage

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

Origination volumes by vintage (# / $)

The funded amount of total originations for each historical vintage along with the number of loans and/or advances originated for each historical vintage.

Collections to date by vintage (% of Funded Amount)

The total payments collected divided by the total amount originated (funded amount) per historical vintage.

Collections to date by vintage (% of Scheduled Collections)

The total payments collected divided by the total amount expected to be collected per historical vintage as of the report date.

Outstanding Funded Amount by Anticipated Payoff Date

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