I have pulled the public data on the performance tab by hand in order to produce a spreadsheet of loan performance.

This spreadsheet was then pivoted and aggregated in order to produce 1 month late curves by credit grade and Markov Chains which can be used (when 42 months of data is available) to solve for the expected value of Prosper Loans by credit grade.

I have limited the graphs to 10 months of graph so that there is a minimum of 6 months of data.  As you can see E and HR are SCARY!  For that matter, A, B, C, and D are all at or above 5% cumulative default rate at month 10.  AA seems to be performing as expected.  (I just happen to be unlucky enough to be in 2 AAs that are 1 month or more late.)

1 Month Late or Worse by Count:

 

1 Month Late or Worse by Amount:

 

Questions, Comments, Screams of Anguish?

This graph was inspired by Pninen: http://www.rateladder.com/2007/06/02/prosper-1-month-late-or-worse-curves-by-monthly-cohort/

Related posts:

• Prosper 1 month Late or Worse Curves by Monthly Cohort One of the tricks to determining your ROI is to be able to predict the default curve.  Pninen of the Prosper Forums has been tracking...
• Late Loan #2 is Late Again (2nd month in a row.) Is it a regular thing for some borrows to be late and get caught up?  Why would they intentionally pay an extra $5 every month?...
• Late Loan #2, in the Process of Paying The loan discussed in previous posts is in the process of paying: One Loan Late. Not supposed to happen to AA. What does that mean? and Oh...
• New Loan Funded — Consolidating debt-no late payments — $25,000 at 16% — AA Credit — DTI 41% A new loan funded (Consolidating debt-no late payments  – $25,000 at 16%).  I participated via my standing orders High Amt (>=15K) Extreme DTI (...
• Late Loan #1, in Process of Paying The loan discussed in previous posts is in the process of paying: One Loan Late. Not supposed to happen to AA. What does that mean? and Review...

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