Glossary of Functions

Origination

Aggregate Origination

Illustrates gross loans originated by period as a bar chart.

Segmented Origination

Illustrates gross loans originated by period as a line chart.

Cumulative Origination

Illustrates cumulative gross loans originated as a line chart

Net Lending

Aggregate Net Lending

Illustrates net lending originated by period as a bar chart.

Segmented Net Lending

Illustrates net lending originated by period as a line chart.

Outstanding Principal

Aggregate Outstanding Principal

Illustrates principal of loans outstanding by period as a bar chart.

Segmented Outstanding Principal

Illustrates principal of loans outstanding by period as a line chart.

Net Return

Time Weighted Net Return

Illustrates the 12month trailing net return delivered by a portfolio of loans. The return shown is the cash return after all fees, defaults and recoveries. i.e. the actual return accrued to an investor over the preceding 12 month period. For the time weighted net return the portfolio has an equal time weighted exposure to all vintages i.e. the same amount of notional capital has been deployed in each month.

Money Weighted Net Return

Illustrates the 12month trailing net return delivered by a portfolio of loans. The return shown is the cash return after all fees, defaults and recoveries. i.e. the actual return accrued to an investor over the preceding 12 month period. For the money weighted net return the portfolio’s weighting in each vintage is a function of the principal originated i.e. the amount of notional capital deployed in each month varies in line with the amount originated.

Cumulative Net Loss

Cumulative net loss illustrates the evolution of losses in a cohort over time accounting for both losses and recoveries.

Net Annualized Return

Net Annualized Return (NAR) illustrates the cumulative, annualized net return of a cohort of loans over the life of those loans.

Return Components

Trailing 12month yield/loss/return

Illustrates the 12month trailing net return delivered by a portfolio of loans segmented into the underlying drivers of yield and net loss. The return shown is the cash return after all fees, defaults and recoveries. i.e. the actual return accrued to an investor over the preceding 12 month period. The annualised yield, net loss and net return are based on a portfolio that has an equal time weighted exposure to all vintages i.e. the same amount of notional capital has been deployed in each month.

Loss Coverage

Illustrates how well interest income covers net losses to create a simple measure of risk.

Arrears

Illustrates the proportion of outstanding principal or loan count that is late with a payment. Late payments are bucketed by degree of delinquency.

Stratification Tables

Outstanding Balance Buckets

A segmentation of outstanding principal by outstanding balance.

Interest Rate Buckets

A segmentation of outstanding principal by interest rate.

Term Remaining Buckets

A segmentation of outstanding principal by term remaining.

Recovery Performance

Illustrates the evolution of recovery rates segmented by asset type. N.B. The prevailing recovery rate is used as the assumption behind the impairment methodology used in other performance metrics.

Outbound Interest Rate

Illustrates the weighted average outbound interest rate through time.

Term

Illustrates the length of the term of the loans originated by period with the chart showing the average at that time and the matrix showing the proportions by vintage.

Roll Rates

Transition Chart

The transition chart illustrates visually how the delinquency status of a cohort evolves over time.

Transition Matrix

The transition matrix illustrates numerically how the delinquency status of a cohort evolves over time.

Risk Management

PD

Illustrates historic rates of default over time.

LGD

Illustrates historic rates of loss given default over time.

Cohort Analysis

Prepayment

Illustrates the proportion of a cohort that prepays over time measured in months since origination.

Interest

Illustrates cumulative interest paid as a proportion of the original principal amount.

Default

Illustrates the cumulative defaulted amount as a proportion of the original principal amount.

Recovery

Illustrates the cumulative recovered amount as a proportion of the cumulative defaulted amount.

Real Estate

Origination by Region

Illustrates gross loans originated by period as a bar chart with real estate specific detail relating to geographic region. Origination by Loan Type Illustrates gross loans originated by period as a bar chart with real estate specific detail relating to loan type.

Origination by Asset Type

Illustrates gross loans originated by period as a bar chart with real estate specific detail relating to security type.

LTV

Illustrates the loan amount at drawdown relative to the valuation of the property. For mortgage originators this represents the total size of the loan i.e. the total amount on which interest will be charged. For development lenders this reflects only the amount of the loan drawn down initially. The valuation is provided by the platform and must be independent, use a Royal Institution of Chartered Surveyors (RICs) accredited surveyor, and be relevant on the origination date (i.e. no more than 3 months before the loan origination).

LTGDV

This function illustrates the total capital facility to be loaned across all drawdowns over the duration of the project divided by the RICS assessed Gross Development Value (GDV).