Seasoned Returns as of September 30, 2013

For Loans Originated July 2009 - November 2012

 

Prosper
Rating
# Loans $ Amount Loans Avg Loan Amt Estimated Effective Yield(3) Estimated Loss Rate(3) Estimated Return(3) Wt Avg Credit Score
AA 2,480 $25,028,549 $10,092 7.20% 1.55% 5.65% 802
A 5,518 $50,464,381 $9,145 9.91% 3.34% 6.57% 759
B 5,157 $44,313,382 $8,593 14.56% 5.72% 8.84% 721
C 5,540 $42,813,636 $7,728 18.69% 8.04% 10.65% 715
D 7,930 $50,966,204 $6,427 22.32% 12.05% 10.27% 698
E 4,922 $21,324,643 $4,333 26.54% 16.70% 9.83% 675
HR 5,718 $19,621,288 $3,431 27.02% 15.94% 11.08% 690
TOTAL 37,265 $254,532,083 $6,830 17.04% 8.15% 8.89% 725

 

Seasoned Returns (1,2)

 

Why do we show Seasoned Returns?

As a Prosper investor, your return is based on the lifecycle of the underlying Notes within your portfolio. Because a Note cannot default until it's missed five payments, the return for a portfolio composed solely of young notes will be based entirely on those loans that remain current. This can result in a temporarily higher return for young portfolios than should be expected.

As your Notes age, you may see initial defaults occur between their fifth and ninth months of age. Our research shows that Prosper Note returns historically have shown increased stability after they've reached ten months of age. For that reason, we provide "Actual Seasoned Returns", defined as the Actual Return for Notes aged 10 months or more.

 

Loans Originated December 2012 - September 2013

Estimated Returns

 

Prosper
Rating
# Loans $ Amount Loans Avg Loan Amt Estimated Effective
Yield (3)
Estimated Loss
Rate (3)
Estimated Return (3) Wt Avg Credit Score
AA 1,047 $12,900,079 $12,321 6.87% 1.61% 5.25% 788
A 3,644 $46,781,486 $12,838 10.34% 3.29% 7.05% 754
B 4,556 $57,529,403 $12,627 14.07% 5.13% 8.94% 734
C 5,074 $55,432,780 $10,925 17.70% 7.51% 10.19% 705
D 3,465 $25,775,367 $7,439 21.39% 10.45% 10.94% 689
E 2,549 $10,171,283 $3,990 24.65% 13.30% 11.35% 677
HR 725 $2,571,203 $3,546 27.60% 15.93% 11.67% 690
Total 21,060 $211,161,602 $10,027 15.33% 6.31% 9.02% 725

 

Loans Originated November, 2005 - June, 2009

Seasoned Returns as of September 30, 2013

 

Prosper
Rating (4)
# Loans $ Amount Loans Avg Loan Amt Actual Effective
Yield (1,5)
Actual Loss
Rate (1,5)
Actual
Return (1,5)
Wt Avg Credit Score
AA-B 2,703 $14,166,970 $5,241 8.19% 4.15% 4.05% 780
C-E 4,105 $29,114,533 $7,092 11.31% 11.08% 0.24% 725
HR 6,902 $67,669,105 $9,804 13.57% 23.09% -9.51% 705
Total AA-HR 13,710 $110,950,608 $8,093 12.31% 17.60% -5.29% 720
N/A*** 15,226 $67,609,614 $4,440 15.89% 22.16% -6.27% 598

 

(1) To calculate the Actual Effective Yield, all payments received on borrower loans, net of principal repayment and servicing costs for such loans, are aggregated and then divided by the average daily amount of aggregate outstanding principal for such loans. This provides a gross effective yield. To calculate the Actual Loss Rate, the net credit losses corresponding to eligible Notes are aggregated then divided by the average daily amount of aggregate outstanding principal for such loans. This provides a gross loss rate. To annualize the Yield and Loss Rate, each is divided by the dollar-weighted average age of the portfolio in days and then multiplied by 365. These are the Actual Effective Yield and Actual Loss Rate, respectively. Actual Return is equal to the Actual Effective Yield minus the Actual Loss Rate. The Actual Effective Yield, Actual Loss Rate, and Actual Return are not necessarily indicative of the future performance on any Notes.

(2) The calculations here represent actual performance data for the Borrower Payment Dependent Notes (“Notes”) issued and sold by Prosper since July 15, 2009. To be included in the seasoned return calculations, Notes must be associated with a borrower loan originated more than 10 months ago; this calculation uses loans originated through November 30, 2012. All calculations were made as of September 30, 2013.

(3) Estimated Effective Yield is equal to the borrower interest rate: (i) minus the servicing fee rate, (ii) minus estimated uncollected interest on charge-offs, (iii) plus estimated collected late fees. The Estimated Loss Rate is the estimated principal loss on charge-offs based on the historical performance of Prosper loans for borrowers with similar characteristics. Estimated Return is calculated by subtracting the Estimated Loss Rate from the Estimated Effective Yield. The calculations of Estimated Effective Yield, Estimated Loss Rate and Estimated Return require significant assumptions about the repayment of loans, and lenders should make their own judgments with respect to the accuracy of these assumptions. Actual performance may differ from estimated performance.

The calculations here represent estimated performance data for the Borrower Payment Dependent Notes ("Notes") with a given Prosper Rating issued and sold by Prosper from December 1, 2012 through September 30, 2013.

(4) Loans booked prior to July 2009 did not have a Prosper Rating. Where applicable, Prosper Ratings have been assigned retroactively based upon our analysis of what the rating would have been at the time of the listing. Loans that were not retroactively assigned a Prosper Rating have been designated as N/A.

(5) These calculations represent actual performance data for loans originated by Prosper from November 2005 through June 2009. All calculations were made as of September 30, 2013. The Actual Effective Yield, Actual Loss Rate, and Actual Return are not necessarily indicative of the future performance on any Notes.