Loan Portfolio Indemnification Obligations (Tables)
|
6 Months Ended |
Jun. 30, 2026 |
|---|
| Loan Portfolio Indemnification Obligations |
|
| Schedule of Significant Unobservable Input |
Schedule
of Significant Unobservable Input
| Significant
Unobservable Input |
|
| |
| Pooled Probability of Default or
PD (Ratings 2–5) |
|
| 7.25 | % |
| Pooled Loss Given Default or LGD (inclusive
of 16.6% cannabis qualitative premium) |
|
| 35 | % |
| Tranche C PD |
|
| 35 | % |
| Tranche C LGD on uncollateralized gap |
|
| 50 | % |
| Stand-ready risk premium loading |
|
| 120%
of expected loss | |
| Discount rate |
|
| 4.0 | % |
| Weighted average pay out year – Tranche
A |
|
| 4
years | |
| Weighted average pay out year – Tranche
B |
|
| 3
years | |
| Weighted average pay out year – Tranche
C |
|
| 2
years | |
| Weighted average pay out year – Stand
Ready Premium |
|
| 3
years | |
For
loans entered into subsequent to October 1, 2025, the effective date of the Second Amended CAA, management evaluates the stand-ready guarantee on a specific
identification basis, separate from the pooled tranche inputs presented above. Loans originated under this methodology are evaluated
using the tranche-specific assumptions determined at each loan’s origination date, as follows:
| Origination
Quarter | |
#
Loans | | |
PD | | |
LGD
(incl. cannabis qualitative premium) | | |
Stand-Ready
Risk Premium Loading | |
Discount
Rate | | |
Weighted
Avg Payout |
| Three months
ended June 30, 2026 | |
| 2 | | |
| 7.25 | % | |
| 25 | % | |
120% of expected
loss | |
| 4.4 | % | |
5 years |
|
| Schedule of Expected Credit Loss Liability |
The
expected credit loss liability as of June 30, 2026 is as follows:
Schedule
of Expected Credit Loss Liability
| Tranche | |
Ratings | | |
Loan
Balance | | |
Loss
Method | |
Reserve | |
| Tranche A - Pass Rated | |
| 2–5 | | |
$ | 35,948,366 | | |
Pooled; rates 0.5%–1.8% | |
$ | 419,360 | |
| Tranche B - Elevated Risk | |
| 6–7 | | |
| 6,537,319 | | |
Pooled; rates 2.3%–5.8% | |
| 135,104 | |
| Tranche C - Specific
Risk | |
| 8 | | |
| 8,996,394 | | |
Individual evaluation | |
| 190,558 | |
| Total | |
| | | |
$ | 51,482,079 | | |
| |
$ | 745,022 | |
The
expected credit loss liability as of December 31, 2025 is as follows:
| Tranche | |
Ratings | | |
Loan
Balance | | |
Loss
Method | |
Reserve | |
| Tranche A - Pass Rated | |
| 2–5
| | |
$ | 35,544,024 | | |
Pooled; rates 0.5%–1.8% | |
$ | 406,066 | |
| Tranche B - Elevated Risk | |
| 6–8
| | |
| 7,168,435 | | |
Pooled; rates 3.2%–9.2% | |
| 296,304 | |
| Tranche C - Specific
Risk | |
| 9 | | |
| 9,346,394 | | |
Individual evaluation | |
| 389,402 | |
| Total | |
| | | |
$ | 52,058,853 | | |
| |
$ | 1,091,772 | |
|
| Schedule of Rollforward of Stand-Ready Guarantee Liability and Financial Indemnification Liability |
Rollforward
of Stand-Ready Guarantee Liability and Financial Indemnification Liability
Schedule of Rollforward
of Stand-Ready Guarantee Liability and Financial Indemnification Liability
| | |
Stand-ready
guarantee liability | | |
Financial
indemnification liability | | |
Total | |
| Balance,
December 31, 2025 | |
$ | 1,957,083 | | |
$ | 1,091,772 | | |
$ | 3,048,855 | |
| Change
in credit benefit | |
| (182,917 | ) | |
| (133,659 | ) | |
| (316,576 | ) |
| Balance,
March 31, 2026 | |
| 1,774,166 | | |
| 958,113 | | |
| 2,732,279 | |
| Balance | |
| 1,774,166 | | |
| 958,113 | | |
| 2,732,279 | |
| Additions
from loans originated during the period | |
| 10,014 | | |
| 19,686 | | |
| 29,700 | |
| Change
in credit benefit | |
| (183,042 | ) | |
| (232,777 | ) | |
| (415,819 | ) |
| Balance,
June 30, 2026 | |
$ | 1,601,138 | | |
$ | 745,022 | | |
$ | 2,346,160 | |
| Balance | |
$ | 1,601,138 | | |
$ | 745,022 | | |
$ | 2,346,160 | |
|