Overview - Summary Metrics by platform or region This function provides a summary view of the major drivers of lending performance including: - Net return - Gross origination - Net lending - Cumulative origination - Outstanding principal - Outbound interest rates - Net loss - Term - Arrears When viewing a region the segments represent Individual originators. When viewing an individual originator the segments represent the risk bands, or other identifier, provided by that originator. Return - Equal Time Weighted Constant Portfolio net return This function illustrates the net return delivered by a uniform vintage portfolio made up of a perfectly diversified exposure to a particular originator, or industry benchmark. 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. This return can be compared between originators on a like for like basis. A further explanation of the AltFi Data Uniform Vintage Methodology can be found here. ALTFI DATA LIMITED 1
Origination - Aggregate, segmented and cumulative origination This function illustrates gross loans originated by period. Analysis can be segmented by originator, originator risk band, borrower type, security type. Net Lending - Aggregate and segmented net lending This function illustrates net lending by period. i.e. the net amount represented by gross lending less redemptions (repayments, and defaults). Net lending also represents the increase/decrease in outstanding principal for a particular period. Analysis can be segmented by originator, originator risk band, borrower type, security type. ALTFI DATA LIMITED 2
Outstanding Principal - Aggregate and segmented outstanding principal This function illustrates NAV outstanding or size of loan book. Analysis can be segmented by originator, originator risk band, borrower type, security type. Interest Rate - Weighted average outbound interest rate This function illustrates the weighted average outbound interest rate through time. Analysis can be segmented by originator, originator risk band, borrower type, security type. ALTFI DATA LIMITED 3
Loss - Cumulative net loss This function illustrates the evolution of the cumulative net loss of a cohort over time. i.e. it accounts for both losses and recoveries. Analysis can be segmented by annual or quarterly cohort, and by originator, originator risk band, borrower type, security type. Term - Weighted average loan term This function illustrates the length of the term of the loans originated in a period. Analysis can be segmented by originator, originator risk band, borrower type, security type. ALTFI DATA LIMITED 4
Arrears - Proportion of principal in arrears This function illustrates the proportion of outstanding principal that is late with a payment. Late payments are bucketed by degree of lateness and analysis can be segmented by originator, originator risk band, borrower type, security type. Market Watch Overview - Whole market origination This function provides origination volumes for all platforms who provide data to the public AltFi Data Market Data pages. Analysis can be segmented by originator, originator risk band, borrower type, security type. ALTFI DATA LIMITED 5
Market Watch Regional Detail - Whole market origination by region This function provides origination volumes for all platforms who provide data to the public AltFi Data Market Data pages. Analysis is grouped by region. Analysis can be segmented by originator, originator risk band, borrower type, security type. Risk by Platform - Underlying drivers of net return This function illustrates the yield and net loss delivered by a uniform vintage portfolio made up of a perfectly diversified exposure to a particular originator, or industry benchmark. This enables the drivers of net return to be compared between originators on a like for like basis. A further explanation of our Uniform Vintage Methodology can be found here. ALTFI DATA LIMITED 6
Risk Comparison - Risk adjusted return analysis This function deconstructs net return into the constituent parts of interest income and net loss. This creates a measure of how well interest income covers net losses to create loss coverage and provides a like for like comparable measure of risk. Stratification Tables - Stratification analysis of outstanding principal This function segments outstanding principal by the following characteristics: - Outstanding balance - Interest Rate - Term Remaining ALTFI DATA LIMITED 7
Risk Management - PD and LGD by vintage / risk band This function provides reference data for risk management by providing historic Probability of Default and Loss Given Default metrics. ALTFI DATA LIMITED 8