What is the Default Rate?

According to Article 1 of Regulation 2022/2115, a loan is considered in default (Lending crowdfunding) when one or both of the following conditions occur:

If the investment contract explicitly allows the project holder to modify, suspend, or defer payments under certain conditions, and the holder acts within these contractual rights, the modified installments are not considered in arrears. In this case, the counting of days in arrears is based on the new repayment schedule once defined.
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In addition to the main conditions, the following scenarios are also considered to determine the default rate:

These criteria are used to calculate and predict default rates. Their application aims to provide an accurate and transparent assessment of the risk associated with lending crowdfunding investments.
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The default rate is not calculated for equity investments because they represent risk capital. Unlike loans, equity investments do not have a default repayment obligation or fixed maturities. The concept of "default" does not apply in this context because equity investors accept the risk of loss of principal as an inherent part of the investment.

However, Walliance, within the Statistics page also highlights the performance and default rates of equity crowdfunding projects and Minibonds/Bonds, thus supplementing the minimum disclosure required by current regulations.
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In accordance with Article 20(1) of Regulation (EU) 2020/1503 of October 7, 2020 and Delegated Regulation (EU) 2022/2115 of July 13, 2022, Walliance publishes:

Default rates are calculated:

The annual default rate represents the percentage of loans that go from a non-default state to a default state at least once during a one-year observation period. The expected default rate should provide an estimate of the percentage of non-default loans that are expected to go into default during a one-year observation period.
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The expected default rate is not an actual figure but is a forecast based on past data that may not reflect the actual rate for the period under consideration. The rate is calculated as the actual rate for the last available period ± the arithmetic mean of the difference between the actual rates for previous periods.
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For the above purposes:

The default rate is calculated as the total number of loans at least once in a state of default during the observation period, divided by the total number of loans and multiplied by 100 (one hundred).
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Walliance takes into account all data at the earliest possible observation period, i.e., as of December 2023.

For calculation purposes, no weighting scheme is applied and it is ensured that:

Walliance SIM SpA does not assign a risk class to the loans. The distinct risk categories to which individual loans are assigned are defined according to indices provided by Modefinance or other rating companies.

Pursuant to Article 20 of Regulation 1503/2020 in this section is published the Default Rate related to lending crowdfunding projects submitted on the Platform. The regulation stipulates that on an annual basis the Portal must publish the default rates for crowdfunding projects offered on the Platform. A report covering at least the previous 36 months updated annually within 4 months of the close of each fiscal year indicating the expected and actual default rate of all loans promoted by the Portal. It should be noted that the first lending crowdfunding offers submitted on the platform were published in FY 2023. If the project is repaid after being listed as a default, it comes out of default.
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The calculation method is given below. Each percentage is determined as follows.
​Default rate = number of projects that were in default at least once in the year/total number of projects in the year %

The total is the result of the simple average of the annual default rate by risk category observed over the entire historical period.
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In compliance with regulatory requirements, the following data are updated as of the close of the year for the year. However, Walliance decided to also publish the updated figure as of 06/30/2024.

The calculation method is given below. Each percentage is determined as follows.
​Default rate = number of projects that were in default at least once in the year/total number of projects in the year %

The total is the result of the simple average of the annual default rate by risk category observed over the entire historical period.
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In compliance with regulatory requirements, the following data are updated as of the close of the year for the year. However, Walliance decided to also publish updated data as of 06/30/2024.

The Expected Default Rate provides an estimate of the percentage of loans not in default that are expected to go into default in a one-year observation period.
Estimates are based on a linear forecast of actual default rates.
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Legend assigned project risk profile