June 8, 2016

Prosper Performance Update: May 2016

By Brad Pennington

At Prosper,  we value transparency and believe it benefits both borrowers and investors on our platform, as well as the marketplace lending industry overall. We are committed to providing our investors with the information and tools they need to invest through the Prosper platform, and over the past several years, we’ve shown this commitment in various ways. We were the first marketplace lending platform to offer expansive credit data via API to its investor community and we continue to publish loan-level performance for investors.

In order to help investors further understand performance trends and the Prosper portfolio, we will be regularly sharing information through the Prosper Performance Updates. These updates are developed by our Risk and Capital Markets teams and will provide succinct commentary regarding: (1) portfolio composition (2) gross loss curves (3) delinquency curves (4) pre-payment curves and (5) total payment curves.

We believe that our May update shows that our core product remains very attractive. Additionally, the origination data demonstrates a consistent credit profile in the Prosper portfolio. Other portfolio highlights for the month ending May 31, 2016 include:

  • Expected return in our forward production is above 7% as a result of a recent price increase that further enhanced the expected risk-return profit of the product.


  • Portfolio gross loss estimates relative to FICO (conservatism) remain at or above 2013 levels.Coupon relative to FICO (price to risk) is now between the 2013 and 2014 levels and significantly above 2015 levels.
  • Cumulative gross charge-offs increased on a vintage by vintage basis as a result of Q3/Q4 2015 delinquency. We believe the delinquency was a result of environmental changes and created a more pronounced uptick on younger vintages, based on a higher proportion of principal outstanding during the 2015H2 period. Vintages originated in 2015 have shown a steeper slope than those in 2013 and 2014 but remain well below the 2009-2012 experience.

Additional portfolio insights can be found here.

At Prosper, we are extremely focused on offering a product that remains a strong relative value through multiple credit and interest rate scenarios. We will continue to publish performance updates and summarize elements of the more granular API and loan tape information on our blog.

If you wish to add your name to the monthly update list then please email [email protected].


* The ongoing mix of booked accounts is expected to normalize to a lower IRR through a mix shift towards lower risk accounts. Prosper wanted to provide some origination data subsequent to the price increase implemented on 5/24/2016. You can read more about the rate increase here.

i Loss/FICO is a measure of risk modeling conservatism relative to traditional credit metrics. Higher numbers indicate a more conservative view on risk modeling while lower numbers indicate a less conservative approach. Indexed to 2014.

ii Coupon/FICO is a measure of return relative to traditional credit metrics (FICO). Higher numbers indicate more return per unit FICO. Indexed to 2014.

The data, statements and figures in this post are based on Prosper’s analysis and calculations which, in turn, are based on various data sources compiled and analyzed by Prosper with all reasonable care to ensure they contain no omission likely to affect their import. Neither the analysis nor the underlying data sources have been verified by an independent third party.

This post includes forward-looking statements. Forward-looking statements inherently involve many risks and uncertainties that could cause actual results to differ materially from those projected in these statements. Where, in any forward-looking statement, we express an expectation or belief as to future results or events, such expectation or belief is based on the current plans and expectations of our management and is expressed in good faith and believed to have a reasonable basis, but there can be no assurance that the expectation or belief will result or be achieved or accomplished. All forward-looking statements speak only as of the date of this post and are expressly qualified in their entirety by the cautionary statements above. We undertake no obligation to update or revise forward-looking statements that may be made in this post to reflect events or circumstances that arise after the date made or to reflect the occurrence of unanticipated events.

All personal loans are made by WebBank, a Utah-chartered Industrial Bank, Member FDIC. All personal loans through Prosper are unsecured, fully amortized personal loans. Neither Prosper Funding LLC nor Prosper Marketplace, Inc. are registered as an investment adviser with any federal or state regulatory agency. The information contained in this presentation is for informational purposes, and should not be construed as individually tailored investment advice or as a recommendation with respect to any security or investment approach. This presentation has been prepared without regard to the circumstances and objectives of its participants and should not be relied upon as authoritative or taken in substitution for the exercise of judgment by any individual.  Each individual should consider the appropriateness of any investment decision having regard to his or her own circumstances, the full range of information available and appropriate professional advice. Prosper Funding LLC and Prosper Marketplace, Inc. recommend that each individual seek independent investment and financial advice concerning any services or investments discussed in this presentation.