Update on the performance of the TrueFi credit protocol during 2022 for the third quarter, ending September 30th, 2022. Specific attention paid to our USDC and USDT pools.

1. 3Q 2022
Lending Pools Update

2. Market Commentary (3Q 2022)
Market sentiment: Markets moved lower with risk assets selling off during the quarter with stocks (S&P
500) -5.3% and Bitcoin -2.7%. ETH performance (+24%) diverged from stocks/BTC due to the ETH merge.
Source: TrueFi | Analytics, TrueFi overview, Google Finance - Stock Market Prices, Real-time Quotes & Business News, Compound Finance, ICE BofA US High Yield Index Effective Yield (BAMLH0A0HYM2EY) | FRED | St. Louis Fed
Rates: Rates increased across DeFi and TradFi markets during the quarter. DeFi collateralized rates nearly
doubled to 2% from 1.1%. TradFi short-term Fed Funds rates jumped +150 basis points (bp) to 3.125% as the
Fed tries to calm inflation. 10-year US Treasuries ended the quarter at 3.8%, up +80bp.
Credit: Yields increased in DeFi and TradFi credit markets during the quarter. US high yield bond yields
increased to 9.5% from 8.9%. In DeFi, average yields across TrueFi loans issued in the quarter were 9.1% versus
8.0% in the prior quarter.
Default risk: There was 1 DeFi unsecured loan default for $10M during the quarter, which is ~0.5% of total
originations in the past year. TradFi high yield default rates remain low at 1%-1.5% for the last 12-month period.
Notable events: ETH merge, Wintermute hack.

3. TrueFi Protocol Lending Pools Commentary (3Q 2022)
Protocol activity across the TrueFi pools contracted in 3Q due to the Crypto Winter. A silver lining is that
borrowing activity accelerated at the end of quarter with 4 loans issued in September. New loans priced higher in
3Q at 8.84%-10% APYs up from the prior quarter’s average APYs ~8.57%. Despite higher APYs, lending supply
remains constrained by cautious risk sentiment.
Total value locked
(TVL)
$213M at quarter end
versus the $434M at
the prior quarter end.
Total value of loans
outstanding (TVO)
$171M at quarter end,
-44% versus the $305M
at prior quarter end.
Loans net issuance
Net issuance declined
with new loans issued
of $52M versus loans
repaid of $283M during
the quarter.
Default risk
Credit performance
remained robust with
no declared defaults
during the quarter;
however, 1 loan was
amended to extend
maturity.
Source: https://app.truefi.io/loans, https://dune.com/truefi/truefi-overview, https://www.google.com/finance, https://compound.finance/

4. USDC Pool Performance
USDC pool activity contracted in 3Q due to the Crypto Winter. Lending supply was constrained by risk-off
sentiment. Borrowing activity accelerated at the end of quarter with 4 loans issued at yields of 8.93%-10% APY in
September.
$47M at quarter end
versus $146M at prior
quarter end.
$38M at quarter end
versus the $143M at
prior quarter end.
In 3Q 2022, the pool
issued 9 loans for $28M
to crypto financial
institutions. 7 loans for
$134M were repaid.
Borrower financial
health and credit
metrics remain stable
versus the end of 2Q
2022. No declared
defaults occurred
during the quarter. $0
since inception.
Source: TrueFi | Analytics, https://dune.com/truefi/truefi-overview
Total value locked
(TVL)
Total value of loans
outstanding (TVO)
Loans net issuance Default risk

5. USDC Pool Stats Since Inception
Source: TrueFi | Analytics
Total value originated
$747,990,400
Total interest earned
$17,042,070
Loans issued
53
Inception
May 2021
Loan average term
95 days
Loan average size
$14,113,026
Loan average interest
rate (APY)
8.67%
Loan interest rate
low / high (APY)
7.05% / 17.12%
Largest borrowers
Alameda Research, Amber Group, Wintermute Trading,
Bastion Trading, mgnr.io
Declared defaults
since inception
$0

6. USDT Pool Performance
USDT pool activity contracted in 3Q due to the Crypto Winter.
Lending supply was constrained by risk-off sentiment.
$123M at quarter end
versus $180M at prior
quarter end.
$111M at quarter end
versus the $176M at
prior quarter end.
In 3Q 2022, the pool
issued 1 loan for $19M.
3 loans for $83M were
repaid.
Borrower financial
health and credit
metrics remain
relatively stable versus
the end of 2Q 2022. No
declared defaults
occurred during the
quarter. $0 since
inception.
Source: TrueFi | Analytics, https://dune.com/truefi/truefi-overview
Total value locked
(TVL)
Total value of loans
outstanding (TVO)
Loans net issuance Default risk

7. USDT Pool Stats Since Inception
Source: TrueFi | Analytics
Total value originated
$570,997,750
Total interest earned
$15,972,522
Loans issued
33
Inception
June 2021
Loan average term
114 days
Loan average size
$17,302,962
Loan average interest
rate (APY)
8.88%
Loan interest rate low
/ high (APY)
7.15% / 12.62%
Largest borrowers
Wintermute Trading, Alameda Research,
Amber Group, Folkvang
Declared defaults
since inception
$0