RWA Report 2021-09

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RWA Report 2021-09

The following report is provided as an August month end snapshot.

The report is split into two overarching groupings: Centrifuge RWAS and Non-Centrifuge RWAs. Within each group, individual asset pools are observed separately. A higher level RWA group summary is also provided.

For each asset pool the report is organised as follows:

  1. Pool overview
  2. Pool series summary data
  3. Performance statistics
  4. Covenant management observations

Centrifuge RWAs

Highlight summary:

  • NewSilver is the only tinlake pool with funds drawn from Maker Vaults.
  • Fortunafi, HarborTrade and ConsolFreight have active Maker Vaults but no debt limit utilisation.
  • NewSilver Vault debt utilisation is steady. Maker’s debt share has grown from 47% to 56% in one month.
  • Fortunafi existing asset pool is under close monitoring (see FF covenant section). A pre-onboarding assessment of Pipe will be done. Further risk mitigation actions from recent audit is under consideration.
  • Harbor Trade new SCF buyer programs are close to launch. So is its Vault limit utilisation.
  • ConsolFreight concentration limits are under review regarding single counterparties Vault utilisation thresholds.

New Silver

As at Aug end: based on data reported by New Silver

Pool overview:

New Silver had a significant amount of new originations in the last reporting month. As Vault utilisation limit grows, NS is bringing concentration limits closer to expectations (e.g. maximum single state exposure, LTV/LTC/ARV ratios).

Pool series summary:

  • Collateral: Commercial purpose real estate bridge loans
  • Total loans outstanding (#): 63
  • Total loans outstanding ($): $13,629,450.00
  • New loans originated ($): $2,820,095.00
  • Avg loan amount outstanding ($): $216,340.48
  • Avg maturity (t): 12.38m
  • Maker share of debt (%): 56.6%

Performance:

  • Closed/Paid loans ($): $1,168,000.00
  • Paid off rate (%): 7.89%
  • In arrears ($): N/A
  • Charge offs ($): N/A
  • Delinquency rate (%): 0
  • Charge off rate (%): 0
  • Default rate (%): N/A
  • Cured rate (%): N/A
  • Recovery rate (%): N/A
  • Payment rate (%): N/A

Covenant management:

No covenant breach has been observed. We are closely monitoring the following:

  • Co-investors ratio: 29.06% (> 25%)
  • Maximum single loan: 3.83% / 521K (< 10% of debt or 500K)
  • Maximum state exposure: 27.91% (< 30% of book)

Note:

For maximum single loan the metric was setup when DC was at 5M. As DC was increased, % of debt outstanding is a more appropriate concentration threshold.


Key ratios:

  • SPV CR: 117.24%
  • Vault CR: 106.00%
  • Vault Underlying CR: 124.27%
  • Avg LTV: 70.37%
  • Avg ARV: 69.71%

Fortunafi

As at Aug end: based on data reported by Fortunafi from mid-July.

Pool overview:

Fortunafi has currently only one asset originator underwritting RSA contracts (Corl). The asset manager (FF) is looking to bring Pipe as a second originator in the near future, subject to pre-onboarding review of Pipe’s performance and credit origination/collection processes. See further comments under covenant management.

Pool series summary:

  • Collateral: Revenue based financing RSA agreements
  • Total loans outstanding (#): 6
  • Total loans outstanding ($): $1,250,000
  • New loans originated ($): 0
  • Avg loan amount ($): $250,000
  • Avg maturity (t): 23.2m
  • Maker share of debt (%): 0%

Performance:

  • Closed/Paid loans ($): 0
  • Paid off rate (%): 0
  • In arrears ($): N/A
  • Charge offs ($): N/A
  • Delinquency rate (%): 0
  • Charge off rate (%): 0
  • Default rate (%): N/A
  • Cured rate (%): N/A
  • Recovery rate (%): N/A
  • Payment rate (%): N/A

Covenant management:

No covenant breach has been observed as the pool is unutlised. However, we are closely monitoring the following which would be in breach of “soft” covenants in place: (mid-July data)

  • Min annualized revenue (SaaS): $739,620.00 (L6M >= 1M)
  • Min YoY growth rate (sub 5M): -19.87% (>= 20%)

Explanations (provided by Fortunafi):

  • On annualized revenue (SaaS): the main entity in breach is performing. It has a positive growth trajectory and more than 100K of short term cash on hand and no other obligations than a small PPP loan.
  • On YoT growth rate (sub 5M): COVID’s impact on the global supply chain has had an impact on some of the businesses (inventory delays). Also, there is some volatility in the businesses that receive large contractual payments on specific months. This can create mismatches when comparing months YoY.

Team observation:

More granular data is being requested to get access to underlying trends on RSA obligors. This will inform if the above are systemic or conjectural issues of underwritten assets in the pool.

We also recommend a more thorough monthy report from Fortunafi to pro-actively demonstrate risk management of assets.

Further risk mitigation actions will be made following Fortunafi audit


Key ratios:

  • SPV CR: 123.47%
  • Vault CR: N/A
  • Vault Underlying CR: N/A
  • Max single investee: 3% of DC
  • Max ratio of non-SaaS/RR (Corl): 4.33% of DC

Harbor Trade

As at Aug end: based on data reported by Harbor Trade

Pool overview:

Harbor Trade Credit is well setup to utilise Maker Vaults. Delays related to COVID and contractual negotiations with its new SCF buyers explain the current limit utilisation of Vaults. The team has reviewed financial statements and memos from upcoming buyer programs. New programs will allow HTC to diversify outstanding pool balance away from its current borrower concentration setup.

Pool series summary:

  • Collateral: Trade Invoices (SCF)
  • Total loans outstanding (#): 13
  • Total loans outstanding ($): $1,475,139
  • New loans originated ($): $439,726
  • Avg loan amount ($): $113,472
  • Avg maturity (t): 120d
  • Maker share of debt (%): 0%

Performance:

  • Closed/Paid loans ($): $1,952,960
  • Paid off rate (%): 58.75%
  • In arrears ($): N/A
  • Days-beyond-terms (avg): 0
  • Charge offs ($): N/A
  • Delinquency rate (%): 0
  • Charge off rate (%): 0
  • Default rate (%): N/A
  • Cured rate (%): N/A
  • Recovery rate (%): N/A
  • Payment rate (%): N/A

Covenant management:

No covenant breach has been observed. Vaul debt is unutilised.


Key ratios:

  • SPV CR: 132.52%
  • Vault CR: N/A
  • Vault Underlying CR: N/A
  • Maximum single loan: $247,380 (< 500k)
  • Maximum borrower exposure: 21.07% (< 30% of DC)

ConsolFreight

As at Aug end: based on data reported by ConsolFreight

Pool overview:

ConsolFreight is the longest performing pool in tinlake. More than 320 loans have been underwritten to date. It is well setup to utilise Maker Vault debt ceilings. The team has been negotiating bigger contracts with single counterparties lately. The CU is evaluating so these do not breach agreed covenant thresholds.

Pool series summary:

  • Collateral: Cargo invoices (B/L) and freight forwarder factoring invoices
  • Total loans outstanding (#): 53
  • Total loans outstanding ($): $833,257
  • New loans originated ($): $314,060
  • Avg loan amount ($): $15,722
  • Avg maturity (t): 60.4d
  • Maker share of debt (%): 0%

Performance:

  • Closed/Paid loans ($): $2,764,326
  • Paid off rate (%): 76.84%
  • In arrears ($): N/A
  • Days-beyond-terms (avg): N/A
  • Charge offs ($): N/A
  • Delinquency rate (%): N/A
  • Charge off rate (%): N/A
  • Default rate (%): N/A
  • Cured rate (%): N/A
  • Recovery rate (%): N/A
  • Payment rate (%): N/A

Covenant management:

No covenant breach has been observed. Vaul debt is unutilised.


Key ratios:

  • SPV CR: 135.49%
  • Vault CR: N/A
  • Vault Underlying CR: N/A
  • Maximum single loan: 7.43% (< 15% of DC or $300k)
  • Maximum borrower exposure: 20.02% (< 30% of DC)
  • Maximum country exposure: 26.64% (< 40% of DC or 800K)

People’s Company

No data available as at Aug month end.


Non-Centrifuge RWAs

Highlight summary:

  • No reporting available as at Aug month end.

6s Capital

No data available as at Aug month end.

SolarX

No data available as at Aug month end.


Next steps & enhancements

We plan to publish these reports on a monthly basis with month end snapshots. As the dataset grows and becomes more granular we plan to:

  • Enrich key ratios reported by securitisation type and originator/asset manager
  • Monitor reported variables and statistics with timeseries data
  • Develop industry benchmarks by securitisation groupings (ABS, MBS, CLOs etc)
  • Publish deep dives on asset pools and across the portfolio (e.g. cohort analysis, sensitivity analysis, portfolio stress tests)
  • Host dashboards with aggregate pool performance statistics (scramble data under NDA)

Under assessment

The following RWAs are currently undergoing onboarding assessment by the Core Unit, post MIP6 greenlight pool.

Centrifuge RWAs

Non-Centrifuge RWAs

5 Likes

What progress (if any) is being made on the possible buying of US Treasury Notes using the Cayman Island solution?

Also - any progress on putting some legal framework around Centrifuge assets?

1 Like

RWA Foundation is being created as we speak following some KYC clearance. We then have to onboard the crypto-broker and check that everything is fine. While this is for SolarX, the same will apply to such investment.

Per the poll, short term investment-grade bonds were favored by the community. I was trying to find a non-US-based instrument with significant liquidity but not much success so far.

Following our call, Centrifuge and Manatt are working on that. They should come soon with a proposal.

3 Likes