How Our Projections Are Calculated

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Lifetime Default Curve:‍

To project the lifetime default curve, we use a model portfolio which assumes continued re-investment for a period of 12 months and then full amortization for the following 48 months. This is to align default performance to the normal behaviour of an “annual cohort”. In this model, there are four factors used as inputs to calculate the projected default curve. The factors used are outlined below and are used to generate the following projected default curve:



Factors Used in Default Curve Modelling:

Portfolio Mix

The following table outlines the assumed portfolio mix that is used to calculate the projected default curve.

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Band Total A+ 0.96% A 8.19% B+ 14.94% B 21.41% C+ 17.83% C 15.28% D+ 9.38% D 6.48% E+ 4.09% E 1.45% Total 100.00%



Expected Yield & Expected Default Rate‍

The following table outlines the projected yield and the projected default rate by risk band used to calculate the projected default curve.

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Risk Band Projected Gross Yield (%) Projected Bad Debt (%) A+ 7.66% 2.00% A 9.62% 3.50% B+ 11.06% 4.50% B 12.52% 6.00% C+ 13.99% 7.00% C 15.47% 8.50% D+ 17.26% 10.00% D 19.35% 12.00% E+ 22.66% 15.50% E 26.28% 18.00% Weighted Average 14.23% 7.42%



Distribution of Defaults (the distribution of time for a loan to default).

The distribution of defaults is calculated using the exponential distribution function as explained by the following function: F(x; λ) = 1 - e-λx.For this function, a value of 0.1 is used for the lambda [λ] value of each Loan Grade (where x is time from loan start). We generated these projections by looking at the λ seen on projected and actual default curves of our own historical defaults as well as comparable international p2p lending platforms.



Important Limitations to this Estimate

These returns are an estimate of the total default rate for a given portfolio. We use these calculations as we believe they are currently the most useful way to model bad debts for a given cohort. However, as with many calculations it has limitations, which include:

- The estimate uses a model portfolio and the actual portfolio weight of your Notes are likely to vary from the one shown.

- The calculation is based on estimated bad debt rates and the actual bad debt rates will likely differ.

- The model assumes interest is compounded monthly and assumes losses are compounded for the first 12 months as re-investment occurs.

- It assumes that all funds are fully invested in Notes and does not include any amounts not invested

The calculation assumes that your portfolio is fully diversified, to ensure this is the case, no single Note should make up more than 1% of your portfolio.



