Seasoned Returns as of September 30, 2014

For Loans Originated July 2009 - November 2013

 

Prosper
Rating
# Loans $ Amount Loans Average
Loan Amount
Actual
Effective Yield (1)
Actual
Loss Rate (1)
Actual Return (1) Wt Avg
ScoreX Score (2)
Wt Avg
FICO Score (2)
AA 3,995 $43,669,147 $10,931 7.09% 1.61% 5.48% 798 769
A 10,611 $115,364,446 $10,872 9.97% 3.19% 6.78% 758 726
B 11,544 $125,189,659 $10,845 14.02% 4.54% 9.47% 730 708
C 13,325 $130,555,564 $9,798 17.68% 6.55% 11.14% 711 691
D 12,553 $86,445,079 $6,886 21.69% 10.95% 10.74% 695 679
E 8,511 $37,251,026 $4,377 25.31% 13.97% 11.35% 676 668
HR 6,751 $23,327,191 $3,455 26.81% 16.04% 10.78% 691 664
AA-HR 67,290 $561,802,112 $8,349 15.94% 6.62% 9.33% 726 703

 

Seasoned Returns (1)

 

Why do we show Seasoned Returns?

As a Prosper investor, your return is based on the lifecycle of the underlying Notes within your portfolio. Because a Note cannot default until it's missed five payments, the return for a portfolio composed solely of young notes will be based entirely on those loans that remain current. This can result in a temporarily higher return for young portfolios than should be expected.

As your Notes age, you may see initial defaults occur between their fifth and ninth months of age. Our research shows that Prosper Note returns historically have shown increased stability after they've reached ten months of age. For that reason, we provide "Actual Seasoned Returns", defined as the Actual Return for Notes aged 10 months or more.

 

Estimated Returns as of September 30, 2014

For Loans Originated December 2013 - September 2014

 

Prosper
Rating
# Loans $ Amount Loans Average
Loan Amount
Estimated Effective
Yield (3)
Estimated Loss
Rate (3)
Estimated Return (3) Wt Avg FICO Score
AA 8,169 $109,972,468 $13,462 6.11% 1.51% 4.61% 750
A 20,493 $275,573,962 $13,447 9.25% 3.17% 6.08% 717
B 20,576 $305,391,068 $14,842 11.99% 5.09% 6.89% 706
C 21,694 $281,377,706 $12,970 15.13% 7.51% 7.61% 693
D 9,571 $106,272,750 $11,104 18.61% 10.34% 8.27% 679
E 6,323 $36,950,502 $5,844 23.02% 13.56% 9.46% 669
HR 819 $3,037,850 $3,709 26.11% 15.87% 10.24% 660
AA-HR 87,645 $1,118,576,307 $12,763 12.56% 5.68% 6.87% 706

 

(1) To calculate the Actual Effective Yield, all payments received on borrower loans, net of principal repayment and servicing costs for such loans, are aggregated and then divided by the average daily amount of aggregate outstanding principal for such loans. This provides a gross effective yield. To calculate the Actual Loss Rate, the net credit losses corresponding to eligible Notes are aggregated then divided by the average daily amount of aggregate outstanding principal for such loans. This provides a gross loss rate. To annualize the Yield and Loss Rate, each is divided by the dollar-weighted average age of the portfolio in days and then multiplied by 365. These are the Actual Effective Yield and Actual Loss Rate, respectively. Actual Return is equal to the Actual Effective Yield minus the Actual Loss Rate. The Actual Effective Yield, Actual Loss Rate, and Actual Return are not necessarily indicative of the future performance on any Notes.

The calculations here represent actual performance data for the Borrower Payment Dependent Notes ("Notes") issued and sold by Prosper since July 15, 2009. To be included in the seasoned return calculations, Notes must be associated with a borrower loan originated more than 10 months ago; this calculation uses loans originated through November 30, 2013. All calculations were made as of September 30, 2014.

(2) On September 6, 2013, Prosper ceased using Experian's ScorexPlus credit score and began using Experian's  FICO 08 credit score. All listings begun after this date use Experian's FICO 08 credit score.

(3) Estimated Effective Yield is equal to the borrower interest rate: (i) minus the servicing fee rate, (ii) minus estimated uncollected interest on charge-offs, (iii) plus estimated collected late fees. The Estimated Loss Rate is the estimated principal loss on charge-offs based on the historical performance of Prosper loans for borrowers with similar characteristics. Estimated Return is calculated by subtracting the Estimated Loss Rate from the Estimated Effective Yield. The calculations of Estimated Effective Yield, Estimated Loss Rate and Estimated Return require significant assumptions about the repayment of loans, and lenders should make their own judgments with respect to the accuracy of these assumptions. Actual performance may differ from estimated performance.

The calculations here represent estimated performance data for the Borrower Payment Dependent Notes ("Notes") with a given Prosper Rating issued and sold by Prosper from December 1, 2013 through September 30, 2014.