How the pool is funded

A pool holds $10M of receivables. The originator deposits $1.5M of its own money — 15%. A bank advances $7.5M. The remaining $1M is what PRISM raises from investors.

Who absorbs a loss

If the pool loses $400,000, the originator absorbs all of it. Investors lose nothing. The originator would have to lose its entire $1.5M before pALPHA is touched at all. The table below reads off the attachment points. It shows the order in which capital is destroyed, not a forecast of what will happen.
The 4% figure used above is PRISM’s expected loss rate. It has never been measured against real data and is a placeholder. See Disclosures.

What this example does not show

It does not show the originator diverting collections, misreporting the loan tape, or failing outright. Those are not absorbed by the waterfall at all — they are addressed by the four controls, and they are the reason the originator is the concentrated risk.