Repayments

AUM Threshold

$$R_\text{t-1,t}=\begin{cases} 0, & \min(x*P_\text{t-1}, Y)> V_\text{t-1,1} \\ V_\text{t-1,1}, & \text{otherwise} \end{cases}$$

$$\begin{aligned} P_\text{t-1} &: \text{Portfolio risk adjusted value at \(t-1\)} \\ P_\text{t} &: \text{Portfolio risk adjusted value at \(t\)} \\ V_\text{t-1,t} &: \text{Difference in portfolio risk adjusted value between \(t\) and \(t-1\)} \\ x &: \text{Parameter determining the relative amount for a repayment to be triggered} \\ Y &: \text{Parameter determining the absolute amount threshold for a repayment to be triggered} \\ P &: \min(\max(LTV_p, LTV_{min}), LTV_{max}) \\ LTV_p &: \sum{(1+\kappa(\text{vs}_a-\text{ls}_a))*\text{dp}_a} \\ k &: \text{Risk aversion parameter} \\ vs_\text{a} &: \text{Volatility assessment for asset \(a\), it is computed using a weighted average} \\ &\quad \text{of VaR values and Expected Shortfall values under different market scenarios.} \\ &\quad \text{The score represents potential loss for this asset over the repayment term (30 days)} \\ &\quad \text{at the 0.5\% confidence interval.} \\[4pt] ls_\text{a} &: \text{Liquidity assessment for asset \(a\), it is computed by looking at the slippage} \\ &\quad \text{to sell the asset assuming different market conditions (normal and stressed).} \\ &\quad \text{The score represents an estimated cost to liquidate the asset.} \\ dp_\text{a} &: \text{Data penalty for asset a, based on the length of historical data available for this asset.} \end{aligned}$$

Discounted Monthly Payment

Each month the merchant must make the following minimum payment to maintain good standing:

If extending credit line midcycle, next first repayment cycle has a discounted monthly payment of 0.

Else, next discounted monthly payment is: Monthly Payment * (1 - (P_t-1 - P_t) / P_t)

Monthly Sync & Parameter Refresh

Credit Limits and default-risk premiums are re-estimated every 30 days using the latest bank-cash, CEX balances, and on-chain asset data.