October 17, 2016

Prosper Performance Update: September 2016

By Brad Pennington

As we have done for the last several months, today we are sharing performance data for the Prosper portfolio for September 2016. These updates are intended to give our investors important insights into the trends we are seeing, including as it relates to overall performance and estimated returns.

While estimated returns on September 2016 production remained just above 7%*, the estimated returns show a 14 basis point drop from August production. We believe the factors that contributed to this change were 1) a slightly lower percentage of five year loans that were originated in the period; and 2) a higher percentage of B and above loan grades in the period.

As shown in the update, FICO remains approximately 10 points higher than FICO from early 2016, which we believe reflects a continued increase in loss-conservatism. In addition, Coupon to FICO (price to risk) at 1.03 is the highest it has been since 2013, which we believe reflects increased conservatism and pricing in the book.

Additional highlights from the September update include:

  • The prepayment rate for Q1 2016 and Q2 2016 originations has increased on a vintage basis, which we believe is the result of higher pricing and increased conservatism that was introduced during the first half of 2016.
  • The Q2 2015 delinquency trend appears to be improving. We believe the trend in early delinquency for the Q4 2015 vintage is a byproduct of borrowers increasingly selecting manual pay vs. automatic monthly ACH and we expect this trend to continue to impact early delinquency throughout the remainder of 2016.
  • All delinquency and loss patterns since 2013 remain below the loss and delinquency levels experienced in 2012. We believe the lower level of risk is attributable to changes made to the credit risk program at the end of 2012.
  • Cumulative gross charge-offs continue to trend above 2013 levels, which we believe is a result of the overall consumer credit environment, which is improving at a slower pace than it had throughout 2013-2014.

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

The Prosper Performance 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.

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

 

* Estimated return is calculated by taking the WA Eff. Yield and subtracting the WA Loss. Individual results may vary and estimates can change. Actual performance may differ from estimated performance, and the information presented is not intended to be investment advice or a guarantee of the performance of any Note or loan.

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.