Pursuant to Article 1 of Regulation 2022/2115, a loan is considered to be in a state of default when at least one of the following conditions occurs:

For the purposes of point (a), indicators of unlikeliness to pay include, among others:

• the distressed restructuring of the credit obligation relating to the loan, where it implies a substantial reduction of the debt or the deferral of principal, interest or, where applicable, fee payments;
• the request for or opening of bankruptcy proceedings, insolvency proceedings, or a similar situation against the project owner, where this prevents or delays the repayment of the credit obligations relating to the loan to investors.

A restructuring is considered distressed when it consists of concessions towards a project owner who is facing, or is about to face, difficulties in meeting its financial commitments.

For the purposes of point (b), the past due amount is considered material when the following components are jointly met:

Default pursuant to point (b) exists if the time component and both dimensional components (relative and absolute) are met simultaneously.

The calculation of past due days is carried out in calendar days starting from the contractual due date of the payment obligation.

In the event that the loan agreement explicitly allows the project owner to modify the repayment schedule, suspend, or defer payments under certain conditions, and the project owner acts within the framework of the rights granted by the contract, the installments subject to modification, suspension, or deferral are not considered past due.

The count of past due days is based on the new repayment schedule.

In line with the assessment of the unlikeliness to pay referred to in Article 1, paragraphs 1, point (a), and 3 of Delegated Regulation (EU) 2022/2115, and in accordance with the prudential best practices recalled by recital 3 of the same Delegated Regulation, the exit from default status is governed by the following conditions and timelines.

OBJECTIVE CONDITIONS FOR EXIT

A loan previously classified as in default may be restored to performing status only upon the cumulative fulfillment of the following conditions:

OBSERVATION PERIOD

The observation period is set at:

• three consecutive months in the ordinary case;
• twelve consecutive months if the exposure has been subject, before or concurrently with the default, to measures of concession that have modified in a favorable sense the economic or temporal conditions of the credit obligation.

In case of a new relevant episode of non-compliance arising during the observation period, the exposure is reintegrated into the default status without interruption, considering as a single default event both the initial event and the one occurring during the observation period.

The effective default rate of loans offered on the Platform, published pursuant to Article 20(1) of Regulation (EU) 2020/1503, is calculated in accordance with Articles 2 and 3 of Delegated Regulation (EU) 2022/2115. The rate is determined as the simple average of the annual default rate observed over the entire historical reference period, using non-overlapping twelve-month observation windows.

For the calculation of the annual default rate for each observation window:

Effective default rate = $\frac{N\text{ (loans, among those in the denominator, that entered default during the window)}}{D\text{ (loans not in default at the beginning of the observation window)}}\times 100$

Numerator (N).It consists of the number of loans, among those included in the denominator, that entered default status at least once during the twelve-month observation window, pursuant to Article 2(2)(b) of Delegated Regulation (EU) 2022/2115.

Denominator (D).It is composed of the number of loans not in default status observed at the beginning of the twelve-month observation window, pursuant to Article 2(2)(a) of Delegated Regulation (EU) 2022/2115. Loans already classified in default status at the start date of the window are excluded from the calculation basis. Loans whose repayment schedule does not provide for any payment during the observation period are likewise excluded.

The historical reference period has a minimum duration of thirty-six months, pursuant to Article 2(4) of Delegated Regulation (EU) 2022/2115. Where an available observation period has a longer duration, the longer period is used.

Example

Assume that, at the beginning of the twelve-month observation window, there are 200 outstanding loans, 5 of which are already classified in default status. The denominator for the window is equal to 195 loans (the 200 outstanding loans minus the 5 already in default, which are excluded from the calculation basis). Assume that, during the same window, 8 loans out of the 195 enter default status.

Effective default rate = $\frac{8}{\mathrm{195}}\times 100$

The numerical result of the annual default rate for the window under review is equal to 4.10% (8 ÷ 195 = 0.041).

The effective annual default rate published pursuant to Article 20 of Regulation (EU) 2020/1503 is the simple average of the annual rates calculated in this manner for each of the non-overlapping twelve-month observation windows included in the historical reference period. Pursuant to Article 2(5) of Delegated Regulation (EU) 2022/2115, the numerator and denominator used for its determination are published together with the default rate.

Data Detected

For the purpose of correctly interpreting the indicators reported in this section, it is specified that the default rate is calculated exclusively with reference to projects published and distributed through the platform's ordinary channel intended for the general public of investors.

Projects reserved for professional investors are expressly excluded from the scope of data collection, as they constitute an independent category of transactions characterized by different economic and financial assumptions compared to campaigns aimed at retail public.

Indeed, these transactions possess intrinsic characteristics that make their inclusion in the same statistical default sample inappropriate. In particular, projects aimed at professional investors are generally characterized by greater structural complexity, significantly higher fundraising amounts, a public guarantee, and a different risk-return profile consistent with the skills, experience, and loss-bearing capacity specific to that category of investors.

It follows that the relevant results are not directly comparable with those of the projects offered to the general public of investors within the scope of ordinary crowdfunding activity.

Any aggregation of the two categories of transactions would result in a statistically non-homogeneous representation of the observed phenomenon, carrying the risk of altering the informational significance of the indicators and compromising the historical comparability of the portfolio's performance.

For these reasons, in accordance with the principles of transparency, fair information, and statistical representativeness adopted by the platform, the default rate is calculated based on a homogeneous scope consisting exclusively of projects intended for non-professional investors, while transactions reserved for professional investors are subject to separate reporting.

Data Detected for Professional Investors

In accordance with Article 20(1)(b)(i) of Regulation (EU) 2020/1503, the Company publishes the actual default rate of the loans offered on the Platform, broken down by risk category, according to its internal taxonomy. The categories currently adopted are as follows:

Publication takes place according to the formula above, applied separately to each risk category:

Actual default rate for risk category i = $\frac{N_i\text{ (loans in category i, included in the denominator, that entered default during the window)}}{D_i\text{ (loans in category i not in a state of default at the beginning of the observation window)}}\times 100$

The published annual actual default rate for each risk category is the simple average of the annual rates calculated over each of the non-overlapping twelve-month observation windows included in the historical reference period, which has a minimum duration of thirty-six months.

Projects reserved for sophisticated and non-sophisticated investors

Projects reserved for professional investors

Loans whose repayment schedule does not provide for any payment during the observation window are excluded from the calculation base for each category.

The historical observation period used to determine the actual and expected default rates for each risk category is at least thirty-six months. If an available observation period, whether internal or from an external source, has a longer duration, the longer period is used.

The expected default rate is intended as a forward-looking estimate of the percentage of loans that are expected to enter default status during a twelve-month observation period following the estimation date. In consistency with the described methodology, the calculation basis for the estimate coincides, for each risk category, with the loans not in default status observed at the beginning of the observation period.

Expected default rate for risk category i (year t+1) = $\frac{f\text{ (historical series of the effective rate for category i, forward-looking factors)}}{\mathrm{synthetic\; representation\; of\; the\; methodology\; described\; in\; paragraph\; 11}}\times 100$

TABLE OF EXPECTED VALUES UNDER UPDATE

Below is a concise yet verifiable summary of the methodology adopted to estimate the expected default rates by risk category, the assumptions used, the forward-looking adjustment factors, and the model validation controls.

The formulas and examples below are for illustrative purposes only and serve to make the calculation criteria transparent; the operational application is carried out on the data actually available at the collection date, in accordance with the controls and responsibilities governed by the Policy.

Data Sources and Quality Assurance

The determination of expected default rates uses internal data as a matter of priority. This data constitutes the primary basis of the estimate as it reflects the actual performance of the loans offered through the Platform and allows each observation to be traced back to its respective risk category.

In the event that internal historical series are not sufficiently representative for one or more categories, the Company may supplement the information base with external industry data and market indicators, provided that the source is documented, consistent with the business model, and utilized in accordance with prudential criteria.

The historical reference horizon has a minimum duration of thirty-six months. If the available observation period is longer, the longer period is used, unless specific operational or informational discontinuities make a different scope necessary, which must be formally justified.

Estimation of the expected default rate

The expected default rate for each risk category is obtained by applying a forward-looking adjustment factor to the actual historical rate of the same category, aimed at reflecting the expected evolution of the operating environment over the estimation period.

Expected default rate formula by risk category

$${\mathrm{TDP}}_i={\mathrm{TDE}}_i\times (1+{\Delta }_{\mathrm{FL}})$$

The forward-looking adjustment is applied within a prudential constraint equal to |Δ_FL| <= 0.50, in order to prevent the prospective component from causing excessive deviations from the observed historical base. In the absence of sufficient data for a category, the estimate is calibrated by analogy on comparable exposures, according to formalized criteria approved by the risk management function.

Application example: if TDE_RE = 6.09% e Δ_FL = +0.08, then TDP_RE = 6.09% × (1 + 0.08) = 6.58%.

Forward-looking factors

The forward-looking component incorporates, in a proportionate and documented manner, the expected deviations of the relevant variables from the historical reference values. The indicators are selected based on their relevance to the Company's portfolio, with particular focus on the energy transition sector and the dynamics of financing costs.

Formula - weighted aggregation of forward-looking factors

$${\Delta }_{\mathrm{FL}}=\sum (w_j\times s_j)\text{ con }\sum w_j=1$$

Application example: if the three indicators have weights equal to 40%, 35%, and 25% and the normalized deviations are +0.10, +0.05, and +0.12 respectively, then Δ_FL = (0.40 × 0.10) + (0.35 × 0.05) + (0.25 × 0.12) = 0.0875, equal to +8.75%.