No two loans are created equal, nor is the risk palette of our investors. We internally rate each of the loans we originate, allowing investors to tailor and choose their appetite, forming their own loan basket. None of our loans will be solely funded by investors - instead, capital is derived from a blend of balance sheet (our own) investment, institutional funding lines, and individual investors.
We publish all of our loans, including underwriting-level analysis, internal ratings methodology and statistics to ensure you can make an informed investment decision supported by historical data. Full reporting and analysis models are available upon request.
| Risk Rating | Gross Yield | Expected Return | 5-Year Gross Yield | 5-Year Expected Return |
|---|---|---|---|---|
| AA | 7.50% | 7.00% | 43.59% | 40.26% |
| BB | 9.30% | 7.30% | 56.14% | 42.18% |
| CC | 10.90% | 7.60% | 67.77% | 44.18% |
Hover over row for elaboration.
Example Loan Structure (£250,000)
Capital is derived from a blend of balance sheet (our own) investment, institutional funding lines, and individual investors, with investors having repayment priority over us, subordinated by the funding line.
Portfolio Example
Below is a typical investment projection over 5 years. Choose between different risk profiles to see how returns vary based on the loan rating mix in your portfolio. Monthly income can be withdrawn or reinvested for compound growth.
| Year | Starting Balance | Monthly Income | Annual Income | Year-End Balance |
|---|---|---|---|---|
| 1 | £100,000 | £708 | £8,500 | £108,500 |
| 2 | £108,500 | £768 | £9,222 | £117,722 |
| 3 | £117,722 | £834 | £10,006 | £127,728 |
| 4 | £127,728 | £905 | £10,857 | £138,585 |
| 5 | £138,585 | £982 | £11,780 | £150,365 |
Monthly Income: Interest received if taken as monthly payments
Annual Income: Total interest received in the year
Risk & Default Probability Measures
Select different economic scenarios to see how our risk metrics and probabilities adjust based on market conditions. These figures are derived from our historical performance and stress testing models.
AA Rating
BB Rating
CC Rating
Profile Adjusted Risk
Adverse
Normal
Opportunistic
Benchmarking
| Portfolio Type | Sharpe Ratio | Time Period |
|---|---|---|
| S&P 500 | 0.24 | 2023-2025 (Morningstar) |
| JPMorgan Active Growth ETF | 0.28 | 2023-2025 (Morningstar) |
| BlackRock 80/20 Target Allocation | 0.18 | 2023-2025 (Morningstar) |
| Liquid+ AA Rating | 0.60 | Based on performance |
| Liquid+ BB Rating | 0.41 | Based on performance |
| Liquid+ CC Rating | 0.30 | Based on performance |
| Adverse Portfolio | 0.57 | Based on performance |
| Normal Portfolio | 0.38 | Based on performance |
| Opportunistic Portfolio | 0.33 | Based on performance |
The Sharpe ratio measures excess return per unit of downside risk. Our AA-rated portfolio delivers a ratio of 0.60, meaning it generates £0.60 of excess return for each unit of downside volatility, compared to £0.24 for the S&P 500 and £0.28 for JPMorgan Active Growth ETF. This higher ratio demonstrates our ability to outperform different asset classes, particularly in managing downside risk.
Value at Risk (VaR) & Conditional VaR Analysis
| Portfolio Type | Confidence | VaR | CVaR |
|---|---|---|---|
| Adverse (σ: 5.39%) | 90% | 6.91% | 9.46% |
| 95% | 8.87% | 11.12% | |
| 99% | 12.54% | 14.34% | |
| Normal (σ: 8.70%) | 90% | 11.15% | 15.27% |
| 95% | 14.31% | 17.95% | |
| 99% | 20.24% | 23.16% | |
| Opportunistic (σ: 10.70%) | 90% | 13.72% | 18.77% |
| 95% | 17.60% | 22.07% | |
| 99% | 24.89% | 28.47% |
VaR represents the potential loss in value of a portfolio over a defined period for a given confidence interval. CVaR (Conditional VaR) measures the average loss beyond the VaR threshold, providing insight into tail risk. Values shown are annualised and assume normal market conditions.
For example, with a £100,000 Normal portfolio investment at 95% confidence: VaR indicates you shouldn't lose more than £14,310 in a year under normal conditions. However, CVaR shows that if you do exceed this loss, you can expect to lose £17,950 on average.
Technical Risk Calculations
Hover over formulas for detailed explanations and examples
Probability of Default calculates the historical rate at which loans default based on our loan book. For example, if we've originated 1,000 loans and 2 have defaulted, PD = 0.2%. This helps us estimate future default probabilities for new loans with similar characteristics.
Exposure at Default measures the total amount at risk when a default occurs. For a typical £100,000 loan with £5,000 in unpaid interest and £500 in fees, EAD = £105,500. This represents our maximum potential loss before considering recovery rates.
Loss Given Default calculates actual losses after recovery efforts. If EAD = £105,500 and we expect to recover 40% (R = 0.4), then LGD = £63,300. This metric helps us understand the effectiveness of our security and recovery processes.
Expected Loss combines PD, LGD, and EAD to estimate probable losses. For a loan with PD = 0.2%, LGD = £63,300, and EAD = £105,500, EL = £126.60. This helps us set appropriate interest rates and reserves.
Value at Risk estimates maximum potential loss within a confidence interval. For a £100,000 Normal portfolio at 95% confidence, VaR = £14,310, meaning we're 95% confident losses won't exceed this amount in a year.
Conditional VaR (or Expected Shortfall) measures average loss in worst-case scenarios. For our Normal portfolio with 95% VaR of £14,310, CVaR = £17,950, indicating the average loss when VaR is exceeded.
Sharpe Ratio measures excess return per unit of downside risk. Our AA-rated portfolio's SA = 0.56 means it generates £0.56 of excess return per unit of downside volatility, compared to £0.36 for the S&P 500.
Portfolio Volatility measures total risk including correlations between assets. For a two-asset portfolio with w₁ = 60%, w₂ = 40%, σ₁ = 5%, σ₂ = 8%, and ρ₁₂ = 0.3, σp = 5.89%.
For more information, reach out to us and we'll provide you with access to our Investor Documentation.