Cascade Debt Knowledge Base

Data Definitions & Schema

Definition Library

Cohort Pool means all Eligible Assets that were originated in the same [•].

Calendar Month
Weekly
Rolling Three Calendar Month
Calendar Quarter (Jan-Mar, April-June, etc.)
Monthly based on credit limit increase or original disbursement (if based on credit limit increase, all balance is moved to new cohort)

Cohort Payment Pool means all Eligible Assets that have their first payment in the same [•].

Calendar Month
Weekly
Rolling Three Calendar Month
Calendar Quarter (Jan-Mar, April-June, etc.)

Minimum Cohort Pool means to the extent the aggregate Original Principal Balance of all Assets in such Cohort Pool does not equal or exceed $[x] in the aggregate, such Assets shall be deemed to be included in the immediately following Cohort Pool until such time as the aggregate Original Principal Balance equals or exceeds $[x] (and each such Cohort Pools shall thereafter be deemed to constitute one Cohort Pool); provided, further, however, and for the avoidance of doubt, no Asset may be included in more than one Cohort Pool.

Trailing Period means the period that is [x]

current month
previous 3 months
previous 6 months

Asset means the loan originated by the originator to customers (the underlying loans)

Eligible Assets means all Assets as described by these characteristics [•]

requires characteristics to be included in an annex

Eligible Customers means all customers with at least one Asset with an Outstanding Principal Balance greater than 0 that is assigned to [x] credit facility.

Bad Definition means days past due equal or greater to [•]

1
15
30
60
90
1 installments
2 installments
3 installments

Common Age means, for any Eligible Asset, with respect to any Cohort Pool or Test Group, the highest month on book reached by all the Eligible Asset included in such Cohort Pool or Test Group.

Trigger Table means

Trigger	Rate
Trigger 1	[x]
Trigger 2	[x]

Original Principal Balance means the original principal balance, which is expected to be repaid by the obligor relating to an Asset at the time of disbursement.

Calculation: sum of all to_principal (schedule)

Original Principal Balance Excluding Writeoffs means the Original Principal Balance minus Writeoffs relating to an Asset as of [x].

Beginning of Period
End of Period
End of Period daily_end_balance
End of Period daily_end_balance_min0
End of Period Amount Owed per Cycle

Outstanding Principal Balance means the outstanding principal balance, which is expected to be repaid by the obligor relating to an Asset as of [x].

End of period
Beginning of Period
End of Period daily_end_balance
End of Period daily_end_balance_min0
End of Period Amount Owed per Cycle

Calculation: Original Principal Balance minus sum of all to_principal (payments)

Adjusted Outstanding Principal Balance means the outstanding principal balance, which is expected to be repaid by the obligor relating to an Asset as of the date of calculation plus (i) Original Principal Balance of loans that were disbursed and paid off in the same month as the calculation and (ii) principal paid in the same months for loans that are fully paid off.

Gross Book Value means the Outstanding Principal Balance and any Real NonPrincipal Payments that are past due.

Defaulted Outstanding Principal Balance means any Outstanding Principal Balance which have any portion of the scheduled payment greater than the Bad Definition of delinquent which is expected to be repaid by the obligor relating to an Asset as of [x].

Beginning of Period
End of Period
End of Period daily_end_balance
End of Period daily_end_balance_min0
End of Period Amount Owed per Cycle

Defaulted Original Principal Balance means the Original Principal Balance for any Asset that has any portion of the scheduled payment greater than the Bad Definition of delinquent which is expected to be repaid by the obligor as of [x]

Beginning of Period
End of Period

Schedule Payments means all scheduled payments, both principal and non-principal payments that are expected by the obligor relating to an Asset for a specific period excluding tax

Calculation: sum of to_principal (schedules) + to_interest (schedules) + to_fees (schedules) + to_other (schedules)

Schedule Payments Writeoffs means all Schedule Payments that relate to an Asset where the Asset is a Writeoff based on [x]

the beginning of the period
the end of the period

Scheduled Payments Excluding Writeoffs means all scheduled payments, both principal and non-principal payments that are expected by the obligor relating to an Asset for a specific period excluding tax and any schedule payments that relate to an Asset where the Asset is a Writeoff based on [x]

the beginning of the period
the end of the period

Calculation: sum of to_principal (schedules) + to_interest (schedules) + to_fees (schedules) + to_other (schedules) - to_rebate (schedules)

Original Schedule Payments means all original Schedule Payments that are expected by the obligor relating to an Asset on the disbursed date.

Real Principal Payments means the aggregate of all real principal payments paid by the obligor relating to an Asset as of [x].

End of period
Beginning of Period

Calculation: sum of to_principal (payments)

Real Principal Payments Writeoffs means the aggregate of all real principal payments paid by the obligor during the Trailing Period for Assets that were previously Writeoffs.

Real Payments means all payments, both principal and non-principal, excluding VAT or other forms of tax, paid by the obligor relating to an Asset as of the date of calculation.

Calculation: sum of to_principal (payments) + to_interest (payments) + to_fees (payments) + to_other (payments) - to_rebate (payments)

Real Expected Payments means all payments, both principal and non-principal, excluding VAT or other forms of tax, paid by the obligor relating to an Asset that was Scheduled to be paid in the period. Do not include payments from loans that are written off

Real Expected NonPrincipal Payments means all non-principal, excluding VAT or other forms of tax, paid by the obligor relating to an Asset that was Scheduled to be paid in the period.

Delinquent Real Payments means all Real Payments that were paid after [x] days or more after they were originally expected

Prepayment means a Real Principal Payment was received ahead of the expected payment date for at least one extra payment.

Delinquent Real Payments Excluding Writeoffs means all Real Payments that were paid after [x] days or more after they were originally expected excluding all payments from Writeoffs.

Real NonPrincipal Payments means all non-principal payments received (interest, fees, etc.), excluding VAT or other forms of tax, paid by the obligor relating to an Asset as of the date of calculation.

Calculation: sum of to_interest (payments) + to_fees (payments) + to_other (payments)

(do not include add balance or reduce balance)

Real Interest Payments means all interest payments received, paid by the obligor relating to an Asset as of the date of calculation.

Original NonPrincipal Payments means the aggregate of all original expected non-principal payments (interest, fees, etc.) minus any scheduled rebates, excluding VAT or other forms of tax, expected to be received relating to an Asset at the time of disbursement.

Calculation: sum of to_interest (schedules) + to_fees (schedules) + to_other (schedules) - to_rebate (schedules)

Outstanding NonPrincipal Payments means the aggregate of all outstanding expected non-principal payments minus any outstanding scheduled rebates, excluding VAT or other forms of tax, expected to be received relating to an Asset as of the date of calculation.

Calculation:

sum of to_interest (schedules) + to_fees (schedules) + to_other (schedules) - to_rebate (schedules)
minus sum of to_interest (payments) + to_fees (payments) + to_other (payments) - to_rebate (payments)

Annual Funding Cost means the annual cost associated with funding the debt facility (interest payments, backup service provider fees, data agent fees, hedging fees or any other fees associated with the facility) expressed as [•]%

[•]% =

Cohort Funding Cost means the quotient of (a) Annual Funding Cost and (b) number of Cohort Pools in a calendar year (unless a rolling Cohort Pool is used in which case the rolling period divided by 12)

NonPrincipal Payment Cohort Ratio means with respect to a Cohort Pool the quotient of (a) sum of Original NonPrincipal Payments and (b) sum of Original Principal Balance:

Test Cohort Date means [x] days after the close of the cohort for which the covenant can first be tested for a breach.

Default Cohort Ratio means with respect to all Eligible Assets of a Common Age within a Cohort Pool, the ratio calculated as of the end of each calendar month which shall be equal to the quotient of (a) an aggregate amount equal to the Defaulted Outstanding Principal Balance in such Cohort Pool and (b) an aggregate amount equal to the Original Principal Balance in such Cohort Pool.

Expected Rebates means the aggregate of all expected negative payments the originator has agreed to credit the obligor relating to an Asset as of the date of disbursement.

Real Rebates means the real negative payments the originator has paid to the obligor relating to an Asset.

Accrued Customer Rebates means the sum of all accrued Expected Rebates related to an Eligible Customer.

Target Account means the account [•] belonging to the Target.

[Account Name] | [Account Number] | [Bank]

FX Rate means the exchange rate as of [•] or the previous business day, as reported by [x].

End of previous day
End of previous month
The previous Friday
The latest of 1st or 15th of the current month

Percent NonPrincipal Payments means with respect to a Cohort Pool the quotient of (a) the aggregate of the Original NonPrincipal Payments and (b) the aggregate of the Original Principal Balance.

Cash Collection Cohort Ratio means with respect to all Eligible Assets of a Common Age within a Cohort Pool, the ratio calculated as of the end of each calendar month and shall be equal to the quotient of (a) the aggregated Real Payments received relating to Eligible Assets in such Cohort Pool and (b) the aggregate Original Principal Balance for the Eligible Assets in such Cohort Pool.

Default Rate means with respect to all Eligible Assets that have at least a Month on Books equal or greater than 6 (6 MoB) the quotient of (a) an aggregate amount equal to the Defaulted Outstanding Principal Balance and (b) the aggregate amount equal to the Original Principal Balance.

Outstanding Default Ratio means with respect to all Eligible Assets, the ratio calculated which shall be equal to the quotient of (a) an aggregate amount equal to the Defaulted Outstanding Principal Balance Excluding Writeoffs and (b) an aggregate amount equal to the Outstanding Principal Balance Excluding Writeoffs.

Outstanding Principal Balance New Writeoffs means the Outstanding Principal Balance of Assets that have become Writeoffs in the Trailing Period.

Outstanding Principal Balance New Defaults means the Outstanding Principal Balance which have any portion of the scheduled payment greater than the Bad Definition of delinquent which is expected to be repaid by the obligor relating to an Asset as of [x] that have become delinquent in the Trailing Period. If a loan goes below the Bad Definition of delinquent and then goes above the bad definition again in the future it will be counted again.

Portfolio at Risk (PAR) means the Outstanding Default Ratio as a snapshot on a given date (last day of the month).

Defaulted Outstanding Principal Balance Excluding Writeoffs means the Outstanding Principal Balance minus Writeoffs which have any portion of the scheduled payment greater than the Bad Definition of delinquent which is expected to be repaid by the obligor relating to an Asset as of [x].

Beginning of Period
End of Period
End of Period daily_end_balance
End of Period daily_end_balance_min0
End of Period Amount Owed per Cycle

Outstanding Principal Balance Excluding Writeoffs means the Outstanding Principal Balance, which is expected to be repaid by the obligor relating to an Asset as of [x] minus Writeoffs.

Beginning of Period
End of Period
Daily Average
End of Period Daily Balance
End of Period Daily Balance Min. 0
End of Period Outstanding Payment

Outstanding Principal Balance Eligible Balance means the Outstanding Principal Balance, which is expected to be repaid by the obligor relating to an Asset as of the beginning of the Trailing Period minus Writeoffs.

Adjusted Defaulted Outstanding Principal Balance Excluding Writeoffs means the Adjusted Outstanding Principal Balance minus Writeoffs which have any portion of the scheduled payment greater than the Bad Definition of delinquent which is expected to be repaid by the obligor relating to an Asset as of the date of calculation.

Adjusted Outstanding Principal Balance Excluding Writeoffs means the Adjusted Outstanding Principal Balance which is expected to be repaid by the obligor relating to an Asset as of the date of calculation minus Writeoffs.

Writeoffs means the Outstanding Principal Balance of any Asset that has any portion of the schedule payment greater than [x] in delinquent as of the date of the calculation.

45 days
90 days
120 days
180 days
360 days
3 installments
4 installments
5 installments
6 installments

Total Unique Clients means the number of unique clients the company has had between two points of time (typically beginning of operations to current date).

Calculation: Total count of unique customer_id from beginning date to end date.

Why Include: To see how many clients the company has served over time.

Total Loans means the total number of loans disbursed by the company between two points of time (typically beginning of operations to current date)

Calculation: Total count of unique loan_id from beginning date to end date

Why Include: To see how many loans the company has disbursed over time.

Monthly Volume means the sum of all Original Principal Balance for loans disbursed in a monthly period.

Why Include: To see how much money the company is disbursing to clients each month.

Outstanding Portfolio means the Outstanding Principal Balance Excluding Writeoff where Writeoff is set to 180 days unless otherwise adjusted by the company.

Annual Percentage Rate (APR) of Outstanding Loans means the annualized cost of a loan that is still outstanding including origination fees.

Nominal Interest Rate means the interest rate on a loan, without taking into account any fees or compounding of interest.

Effective Interest Rate (EIR) means the cost of a loan when including the frequency and timing of payments and thus the cost of compounding. Does not include origination fees, only repeating costs like interest.

i = Nominal Interest Rate

n = number of compounding periods (Eg. For a 9-month loan with monthly payments, n=9. For a 6 month loan with bi-weekly payments, n=12.

Term means the total length of a loan is expected to be outstanding before maturing and being fully paid, measured in days.

Term in Months:

Payoff Term means the total length a loan actually takes to be fully paid measured in days.

Payoff Term in Months

Outstanding Term means the total length a loan has left to be fully repaid, measured in days.

Adjusted Portfolio at Risk means the Outstanding Default Ratio as a snapshot on a given date (last day of the month) and includes in the denominator the (i) Original Principal Balance of loans that were disbursed and paid off in the same month as the calculation and (ii) principal paid in the same months for loans that are fully paid off. The adjustment is relevant for lenders that do short-term financing as the Portfolio at Risk calculation is completed at the end of the month and would not take into consideration loans that were disbursed and paid off in the same month.

Months On Book (MoB) means the number of months since the disbursement date of a loan.

Days on Book means the number of days since the disbursement date of a loan.

Delinquency Bucket means the sum of the Defaulted Outstanding Principal Balance placed into buckets based on the Bad Definition of the bucket as a percent of the sum of the Outstanding Principal Balance.

First Payment Default Writeoff means the Original Principal Balance of a loan that did not make any payment and is now a Writeoff.

First Payment Default Schedule Payment means the first Scheduled Payment of a loan that did not make 100% of the first amount due.

Net Yield means the net profits a loan portfolio is generating each month.

Where the aggregate of Real Non Principal Payments is for a month period

Where the aggregate of Writeoffs is all writeoffs in the month period

Where the aggregate of Outstanding Principal Balance is as of the end of the month

Target means the:

Borrower
Guarantor
Originator
Consolidated Financials [Entity Name]

Cash EBITDA means all consolidated earnings before deduction of taxes, depreciation, amortization and other non cash charges of the Target which, in accordance with applicable local accounting standards and on a basis consistent with prior periods, would be classified as consolidated earnings upon the balance sheet of the Target as of such date, minus cash payments, non-recurring items, restructuring costs, stock-based compensation, asset sales & dispositions.

Total Liabilities means all liabilities of the Target which, in accordance with applicable local accounting standards and on a basis consistent with prior periods, would be classified as liabilities upon the balance sheet of the Target as of such date.

Trailing Twelve-Month EBITDA means the EBITDA for the twelve (12) month period most recently ended.

Calculation Date means [•]. If the Calculation Date is a non-business day, the calculation will occur on the next business day.

Every Friday
Any day
First of each Month
1st and 15th of the month

Total Current Assets means all assets that can be liquidated within 12 months.

Total Long-term Assets means all assets that would likely take more than 12 months to liquidate into cash.

Total Assets means all assets owned by the company.

Total Current Liabilities means all liabilities that need to be repaid within 12 months.

Total Long-term Liabilities means all liabilities that need to be repaid beyond 12 months.

Total Liabilities means all liabilities of the entity.

Operating Expenses means all expenses associated with operating the business and does not include Cost of Goods Sold.

Net Income means an entity's income minus cost of goods sold, expenses, depreciation and amortization, interest, and taxes for an accounting period.

Cash means either Cash and Cash Equivalents taken from the Balance Sheet or if a direct banking integration is complete with all of the entities banking accounts is pulled direct from the bank accounts and is the aggregate of all accounts.

Net Worth is the equity of the business.

Gross Burn Rate means the aggregate of all Operating Expenses of the Target as reported on the profit and loss statement of the Target calculated in accordance with local accounting standard.

Net Burn Rate means the Net Income of the Target as reported on the profit and loss statement of the Target calculated in accordance with local accounting standard.

Cash Burn Rate means the for any monthly period, the sum of (i) Consolidated Cash Balance as of the beginning of such month less (ii) the Consolidated Cash Balance as of the end of such month.

Cash Runway Gross Burn Rate means the amount which is the product of (i) [Insert Definition] and (ii) Trigger Table

Last Month Gross Burn Rate means the absolute value of the Gross Burn Rate of the Target for the previous calendar month calculated in accordance with local accounting standards.
Average 12 Month Gross Burn Rate the absolute value of the average monthly Gross Burn Rate of the Target for the 12 month period immediately preceding such calendar month, calculated in accordance with local accounting standard.
Average 6 Month Gross Burn Rate the absolute value of the average monthly Gross Burn Rate of the Target for the 6 month period immediately preceding such calendar month, calculated in accordance with local accounting standard.
Average 3 Month Gross Burn Rate the absolute value of the average monthly Gross Burn Rate of the Target for the 3 month period immediately preceding such calendar month, calculated in accordance with local accounting standard.

Cash Runway Net Burn Rate means the amount which is the product of (i) [Insert Definition] and (ii) Trigger Table

Last Month Net Burn Rate means the absolute value of the Net Burn Rate of the Target for the previous calendar month calculated in accordance with local accounting standards.
Average 12 Month Net Burn Rate the absolute value of the average monthly Net Burn Rate of the Target for the 12 month period immediately preceding such calendar month, calculated in accordance with local accounting standard.
Average 6 Month Net Burn Rate the absolute value of the average monthly Net Burn Rate of the Target for the 6 month period immediately preceding such calendar month, calculated in accordance with local accounting standard.
Average 3 Month Net Burn Rate the absolute value of the average monthly Net Burn Rate of the Target for the 3 month period immediately preceding such calendar month, calculated in accordance with local accounting standard.

Cash Burn Runway Rate means the amount which is the product of (i) [Insert Definition] and (ii) Trigger Table

Last Month Cash Burn Rate means the absolute value of the Cash Burn Rate of the Target for the previous calendar month calculated in accordance with local accounting standards.
Average 12 Month Cash Burn Rate the absolute value of the average monthly Cash Burn Rate of the Target for the 12 month period immediately preceding such calendar month, calculated in accordance with local accounting standard.
Average 6 Month Cash Burn Rate the absolute value of the average monthly Cash Burn Rate of the Target for the 6 month period immediately preceding such calendar month, calculated in accordance with local accounting standard.
Average 3 Month Cash Burn Rate the absolute value of the average monthly Cash Burn Rate of the Target for the 6 month period immediately preceding such calendar month, calculated in accordance with local accounting standard.

Customized Burn Rate means [a) Insert Definition] [b)plus/minus] [c)Insert Definition]

Debt to Equity means the ratio calculated by Total Equity divided by Total Liabilities.

Runway means Cash divided by Gross Burn Rate for the given average period.

Consolidated Cash Balance means the sum of the cash held in the Target Accounts.

Base Merchant Advance Amount means the Original Principal Balance relating to a deal.

Base Merchant Payback Amount means the sum of all Schedule Payments relating to a deal.

MCA Net Margin Percentage means

Initial Eligible Receivable Balance means:

	Base Merchant Advance Amount
plus	Commissions & Sales Charges
minus	Origination Fee

Eligible Receivable Balance means

	Base Merchant Advance Amount
plus	Commissions & Sales Charges
minus	Origination Fee
minus	(Real Payments) * (1 - MCA Net Margin Percentage)

Percent of Expected Payments means for any [x] day period prior to date of determination, the percentage of total collected payments is less than [y]% of the expected payments. Total collected payments is based on:

If the loan is past due and there are no scheduled payments, the final [x] days of scheduled payments from the original schedule will be used as the denominator.

[x] day
[y]%

Factor Rate Base Merchant means

Factor Rate means

Base Merchant Collection Percent means the quotient (a) Real Payments and (b) Schedule Payments due in the past [x] days.

Count of Missed Consecutive Payments means the number of missed consecutive payment that an Asset has missed.

Outstanding Net Book Value means for any Asset the following:

Approved Purchase Price means the following:

Product	Approved Purchase Price	Economic Life
A	x	y
B	xx	yy

Gross Depreciation Amount Of Approved Purchase Price means in relation to an Asset the cumulative depreciation value that accrues on the Asset on a monthly and linear basis over the agreed economic life by the following:

each month until the Gross Depreciation Amount Of Approved Purchase Price equals the Approved Purchase Price

Outstanding Net Book Value Writeoffs means the Outstanding Net Book Value of Assets that have become Writeoffs in the Trailing Period.

Defaulted Outstanding Net Book Value means any Outstanding Net Book Value which have any portion of the scheduled payment greater than the Bad Definition of delinquent which is expected to be repaid by the obligor relating to an Asset as of [x].

Beginning of Period
End of Period

Total Net Advances means the aggregate of all capital advances disbursed less prepayment by the lender to the borrower prior to the date of calculation.

Permitted Indebtedness means the current outstanding debt of the following on the calculation date:

Permitted Indebtedness Name	Maximum Indebtedness
[name]	[value]
[name]	[value]

Senior Permitted Indebtedness means the current outstanding debt that ranks senior to the facility:

Senior Permitted Indebtedness	Maximum Indebtedness

Pari Passu Permitted Indebtedness means the current outstanding debt that ranks Pari Passu to the facility:

Pari Passu Permitted Indebtedness	Maximum Indebtedness

Subordinated Permitted Indebtedness means the current outstanding debt that ranks subordinated to the facility:

Subordinated Permitted Indebtedness	Maximum Indebtedness

Total Paid Up Share Capital means the total amount of money shareholders have paid for shares at the initial issuance

Total Retained Earnings means the amount of net income left over for the business after it has paid out dividends to its shareholders.

Elapsed Time means the current date minus disbursement date.

Excess Dollar Spread means the aggregate value for Assets:

Plus/Minus	Definition	Input
(+)	Real NonPrincipal Payments
(-)	Accrued Lender Interest
(-)	Servicing Fees
(-)	Backup Servicing Fees
(-)	Custodial Fees
(-)	Data Agent
(-)	Bank Fees
(-)	Outstanding Principal Balance New Writeoffs

Internal Rate of Return (IRR) is the discount rate that makes the net present value of all cash flows equal to zero in a discounted cash flow analysis

Ct = Net cash inflow during the period t (Real Payments)

C0 = Total intial investment costs (Original Principal Balance)

t = the number of time periods

Expected IRR is the IRR where the net cash inflow for each month is the sum of the Schedule Payments relating to the asset calculated on the day the loan is disbursed.

Interest Coverage Ratio. means the ratio of (i) Real NonPrincipal Payments and (ii) the sum of the (x) Lender Interest Expense and (y) Facility Fees collected and paid in [x] period.

Month
Quarter
Year

Facility Fees means [x].

Backup Servicing Fee
Legal Fees
Data/Verification Fees

Lender Interest means the sum of the interest payments made to the lender(s) of the facility being monitored.

Adjusted Lease Balance means:

Remaining Lease Balance Shall mean an amount equal to the sum of (i) the product of the monthly lease payment amount and the remaining number of lease payments, and (ii) the residual payment.

Original Lease Balance means the sum of all original scheduled payments

Lease to Cost Ratio means:

Net Collateral Cost means

Residual Payment Percent by Collateral Value means

*Residual Value excluding taxes

Customer Max DPD means the maximum DPD of a customer across all loans outstanding

Customer Max DPD All Time means the maximum DPD of a customer across all loans

Adjusted Net Equipment Cost means: