April 24, 2017

Prosper Performance Update: March 2017

By Brad Pennington

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

The Prosper portfolio continues to deliver an estimated return above 7% for 2017 vintages. Estimated return on March 2017 production is 7.74% on gross loss expectations of 7.35%. The higher return expectations in the AA-B rating grades reflect the impact of the pricing increase implemented this March.

This shift in rating distribution of the book towards higher-risk ratings is a result of the implementation of our PMI7 credit model and PMI7’s utilization of time series credit data, which we believe provides a significant boost in predictive power. This increase in predictive power enables the effective inclusion of customers that would have been declined using PMI6.

Additional highlights from the March update include:

  • The portfolio FICO remains consistent at 707, with intra-grade FICO scores above those seen in 2015 and 2016.
  • We are seeing early indicators that Q2 2016 vintages may reach an early delinquency peak when compared to the Q1 2016 and 2015 vintages.
  • Consistent with prior months, targeted policy changes have led to a significant improvement in early delinquency rates in Q3 2016 and Q4 2016 compared to Q1 2016 and Q2 2016 vintages.
  • Early pre-payment rates for the 2017 vintages are closer to those exhibited during the 2009-2012 period when the overall portfolio was targeting a higher risk portfolio mix.
  • Early delinquency rates for the 2017 vintages originated under PMI7 are consistent with the shift in rating distribution.  While January performance is worse than expected, February is materially stronger than expected.  Both vintages are performing meaningfully stronger than the 2009-2012 vintages.

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].

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.