July 11, 2016

Prosper Performance Update: June 2016

By Brad Pennington

Today I am proud to share our second Performance Update. As you will see in the Update, the expected return on June 2016 production is just above 7.4% on average. Additionally, as you can see from the origination data, there is a continued trend towards a more conservative portfolio with a greater coupon.

Other portfolio highlights for the month ending June 30, 2016 include:

  • 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 vintages and significantly above 2015 levels.
  • Cumulative gross charge-offs are mixed. The vintages from Q1-Q3 of 2015 are all on a higher gross loss trajectory than 2014 and 2015Q3 vintages are now tracking to a lower cumulative gross loss rate than 2015Q2.
  • Delinquency trends support the cumulative gross loss findings with the 2015Q3 vintage performing better than 2015Q2. The 2015Q4 vintage is in line with the 2015Q2 delinquency levels.
  • Vintages originated since 2013 continue to exhibit stable pre-payment patterns that are generally lower than 2009-2012 vintages. There is also stability in cumulative pay down curves across all vintages. (The slope of the curve decreases after month 36 for the 2009-2012 loans because the amortization schedule reflects a book of 5-year loans only. Other pools reflect the amortization of a mix of 3-year and 5-year loan terms.)

More portfolio insights and key charts can be found in the full report.

As mentioned in my previous post, we at Prosper are extremely focused on offering a product that remains a strong relative value through multiple credit and interest rate scenarios.

These updates are designed to help our investor community better understand performance trends and to provide them with the information and tools needed to invest through the Prosper platform. The updates are developed by our Risk and Capital Markets teams and provide succinct commentary regarding: (1) portfolio composition (2) gross loss curves (3) delinquency curves (4) pre-payment curves and (5) total payment curves.

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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 FDIC member. 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.