March 20, 2017

Prosper Performance Update: February 2017

By Brad Pennington

Today we are sharing performance data for the Prosper portfolio for February  2017.

The Prosper portfolio continues to deliver an estimated return above 7%. During the month of February, we continued to see the expected shift in rating distribution of the book towards higher-risk ratings as a result of the implementation of our PMI7 credit model. This anticipated distribution change is largely due to PMI7’s utilization of time series credit data, which provides a significant boost in predictive power. This increase in predictive power enables the effective inclusion of customer that would have been declined using PMI6.

While the portfolio coupon has increased nearly 300bps between December 2016 and February 2017, the average DTI of the book has improved and the average FICO of 707 remains within historical norms.

Additional highlights from the February update include:

  • Estimated return on February 2017 production is 7.72%.
  • An updated pricing policy to target the higher-quality portion of the book was implemented in early March in response to broader marketplace pricing and the steepening of the yield curve. This update does not impact February originations; however, moving forward we expect to increase coupons by 60bps, 40bps and 20bps for AA, A and B rated loans respectively.
  • Early delinquency rates in Q3 2016 and Q4 2016 vintages show continued improvement over H1 2016. We expect that the downward rating migration introduced with PMI7 at the end of December will lead to higher portfolio delinquency rates in the 2017 book. This is a result of a higher loss expectation book generally having higher early delinquency rates. Prosper is closely monitoring early performance to ensure that the higher early delinquency remains within expectations appropriate for the new higher loss portfolio.

Portfolio insights and key charts can be found here.    

The Prosper Performance Updates are designed to help our investor community better understand performance trends and to provide them important insights into the trends we are seeing and the information needed to invest through the Prosper platform.

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

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.