(the “Calculation Date”). Historical Returns are based on actual payments (other than principal) received by the investor net of fees and losses (including from charged-off loans) on 3 and 5-year term loans originated through the Prosper platform. To be included in the historical return (“Historical Return”) calculation, the loan must have originated (a) on or after July 1, 2009, and (b) at least 12 months prior to the Calculation Date. We calculate the Historical Return for loans originated through Prosper as follows. First, loans are separated into distinct “Groups” based on the specific month and year in which they were originated and their Prosper Rating or mix of Prosper Ratings (as applicable) at origination. For each Group, we calculate: (a) the sum of the interest paid, plus late fees, minus servicing fees, minus collection fees, in each case on active loans, plus net recoveries on charged-off or defaulted loans, plus net debt sale proceeds on sold loans, minus gross principal losses; divided by (b) the sum of the principal balances outstanding on active loans at the end of each day since origination. We then annualize the result to get the “Historical Return” for the Group. Once this calculation is performed for every Group, we compute the 10^th and 90^th cumulative-outstanding-principal-dollar-weighted percentiles of the Historical Returns of the Groups within each Prosper Rating or mix of Prosper Ratings (as applicable) to get the “Historical Return Range” of the relevant Prosper Rating or mix of Prosper Ratings. For purposes of this calculation, “active” means loans that are current in payments or delinquent less than 120 days. Loans that have paid off, charged-off or are in default are not considered active.

Beginning on September 7th, 2022 (the “Term Expansion Date”), Prosper began facilitating the origination of loans with 2 and 4-year terms. Prior to the Term Expansion Date, only loans with 3 and 5-year terms were available for investment through the Prosper platform. The Historical Return displayed for loans with 2 and 4-year terms is based on the historical loan performance of 3 and 5-year loans with the same Prosper Rating. Learn more about how Prosper Ratings are assigned.

The Historical Return calculation (a) is updated monthly; and (b) excludes the impact of servicing related non-cash corrective adjustments that may modify the outstanding balance or status of a borrower loan. The actual return on any Note depends on the prepayment and delinquency pattern of the loan underlying each Note, which is highly uncertain. Individual results may vary. Historical performance is no guarantee of future results and the information presented is not intended to be investment advice or a guarantee about the performance of any Note.

The Folio Investing Note Trader service has been shutdown as of Oct. 27, 2016.