The methodolgy or the sql for obtaining the data these curves from the private data export have already been explained in detail, but briefly…

• The Y axis is the percentage of all loans orginated of a given age that are currently 1 month late or worse…
• The X axis is the days loan origination.
• The curves stop when there is less than 250 loans in the “bucket.”
• These curves are for all loans of a given Credit Grade. One would get different curves (flatter slopes=better); for exmaple, if you were to choose loans with 2 or less inquires and 5 years of credit history you would see flatter slopes.

The range is 7-8% for AA all the way to ~55% for HR.

(Click Graph for Larger Version)

Prosper Vintage Curves

The methodolgy or the sql for obtaining the data these curves from the private data export have already been explained in detail, but briefly…

• The Y axis is the percentage of all loans orginated of a given age that are currently 1 month late or worse…
• The X axis is the days loan origination. 
• The curves stop when there is less than 250 loans in the “bucket.”
• These curves are for all loans of a given Credit Grade.  One would get different curves (flatter slopes=better); for exmaple, if you were to choose loans with 2 or less inquires and 5 years of credit history you would see flatter slopes.

The range is 7-8% for AA all the way to ~55% for HR.  

(Click Graph for Larger Version)

Prosper Vintage Curves

Another month another update…  The picture is rather muddled right now between the accrued interest showing up in my account balance even on loans that are technically “charged off”and lending stats changing their algorithm… All I can do is continue to track and hope fore some clarity…  On a positive note I have had no loans in the 1 month late category for most of the last month…  (There are 2 in that category now, but for most of June they were not there…)

I am often asked what is the biggest thing I would do different if I could go back and do it again?  I would follow advice very similar to Rich Credit Debt Loan in the post Making Extra Money With P2P Lending. I have learned a lot about credit risks and the like, but I would have much rather been more successful in my lending endeavours… My single biggest mistake in my lending was to ignore inquires.

Here is my current tracking chart…

Brief Explanation: These curves show the entire set of prosper loan broken down by credit grade and lined up along the x axis on their origination date…  As a loan goes late (1 month or worse) it is counted (either by amount or by count) as late against the population…  The curves stop when the loan population falls below 250 (ie there are 249 or less loans that age or older)…

Recently a study from the University of Maryland claimed a peak default date around month 10 of a Prosper loan.  This would translate into the largest delta  in this graph over a month period.  Does this graph confirm or deny that statement?  Is it conclusive?  Please leave a comment.

Here is the vintage curves by count (click graph for larger version)…

Here is the vintage curves by amount (larger loan go late at a higher rate and therefore on a percentage basis you would expect an increase), (click graph for larger version)…

Here is the SQL that I used to pull the underlying data out of the public and private data downloads…

DECLARE @DTD int
SET @DTD=30
SELECT
cast(aday-originationdate as int) as 'PIT',
l.creditgrade,
sum(PrincipalBalance+NetDefaults) as 'Amount',
count(l.[key]) as 'Count',
sum(case WHEN (mld.DPD!=0 and
       (mld.DPD+(aday-observationdate))>@DTD) THEN
            PrincipalBalance+NetDefaults ELSE 0 END) as 'AmountLate',
sum(case WHEN (mld.DPD!=0 and
       (mld.DPD+(aday-observationdate))>@DTD) THEN
           PrincipalBalance+NetDefaults ELSE 0 END)/
           sum(PrincipalBalance+NetDefaults) as AmountLatePercentage,
sum(case WHEN (mld.DPD!=0 and
     (mld.DPD+(aday-observationdate))>@DTD) THEN
        1 ELSE 0 END) as 'CountLate',
sum(case WHEN (mld.DPD!=0 and
       (mld.DPD+(aday-observationdate))>@DTD) THEN
       1.0 ELSE 0.0 END)/count(l.[key]) as 'CountLatePercentage'
FROM
loan l
inner join creditprofile cp on cp.listingkey=l.listingkey
inner join LoanPerformance mld on l.[key]=mld.loankey cross join alldays
where
mld.observationdate = ( select top 1 observationdate
from LoanPerformance sub
where sub.observationdate < aday
and sub.loankey=mld.loankey order by sub.observationdate DESC )
and aday < getDate()
and aday >= '02/01/2006'
and l.creditgrade!='NC'
group by
cast(aday-originationdate as int),
l.creditgrade
having
count(l.[key])>250 and
sum(PrincipalBalance+NetDefaults)>0
order by
'PIT'

My account update for the month shows some general improvement…

One thing to note is that with the loans in the debt sale not sold my IRR calculation is a little out of whack… Hopefully Prosper will create the loan status of “Charged Off” and remove those accounts from my balance which will them cause my IRR to be a clearly representation.

Lending stats changed their ROI algorithm which had a severe effect on my LS ROI… I am not sure the new number is comparable to any previous reading, but I will continue to track it anyway…

Anyway, here is a chart of my updated IRR and ROI values…

Any regular reader will know that last week I brought my first group listing to the marketplace. (As an aside, a group leader is no longer paid for successful listings and the haven’t been since September 13, 2007: Email To Group Leaders After Recent Changes. I think this was a good change and said so at the time and continue to say so now.)

While I certainly helped to the best of my ability and resources, the borrower did an excellent job of leveraging his social capital…

What social capital?

• He made it know that he had a job that supplemented his income. For him that amounted to as much as an extra $900 a month. By putting his blog on the listing he was not only putting his anonymous credit information and verifiable income on display, but leveraging his online assets. By adding the reputation of his blog to the listing, I think he added to the quality of listing immeasurably. Any blogger with any significant track record that puts their blog reputation at risk is serious about the reasons behind the loan and paying off the loan. (His blog is Deep Market.)
• He leveraged his interactions with me — a long time lender and p2p blogger. By joining my group and becoming Prosper friends and accepting my endorsement on his listing he was able leverage his interactions with me (email and blog comments for around a year) into additional social capital: my endorsement.
• Additionally, he used his blog to advertise his listing: Prosper Loan Listing Review. By offering links and reviews in exchange for bids and reviews he was offering a non monetary but valuable asset in exchange for buzz and bids.

What was the net result? A $25,000 loan at an interest rate he is very happy with 18.5%… His loan was bid down almost 7% from his starting point of 25.45%.

Deep Market, Congratulations and good luck… please keep us up to date with your progress.

Well another month down… Nothing major happened that would effect my IRR/ROI (like a debt sale.)  It was a fairly uneventful month for my Prosper p2p lending account, but it was a good month…  My ROI/IRR is higher on 4/5 of my tracking indices (it will be 5/6 when the statements are available and I update Quicken.) And my EricsCC ROI is within 4 basis points of last month’s value.

When going through my late loans this morning to build these statistics I noticed 2 things.  One it is now very easy to tell which loans are in bankruptcy vs which loans are in collections.  (3 of my 29 1+ late or worse loans are in bankruptcy.)  The second is a more positive development many (more than I have ever seen before) of my late loans have collections payment pending.  In fact, 1 of my 4+ month late loans has a collection payment pending, 3 out of 7 of my 2 month late loans have a payment, and 2 out of 3 of my 1 month late loans have a payment.  Maybe things are looking up in the collections area?  Time will tell.

Anyway, here is a chart of my updated IRR and ROI values…

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Serious enquiries only, please.

With the lender statments taht were released this weekend it is possible to update my Quicken ROI…

Last month being a quiet “normal” month one would expect an increase in the quicken value…  My Quicken ROI increased from 8.11% to 8.99%.

WealthBoy, whom I met at Prosper Days, has just released The WealthBoy Strict ROI for Prosper Lenders – an open source, sql based ROI calculation for Prosper Lenders.  His calculation makes use of the public and private data files from Prosper.  He was inspired by his Prosper Blog post: The Rule of 72 on Prosper.

TotalROI = (Total Interest Received – Fees – Losses on Defaults) / (Total Loan Originations – Reinvested Loans) 

For RateLadder that equates to

Screen Name: RateLadder_com
Total Bid Count: 324
Total Reinvested Bids: 115
Total Originations (total amount loaned): $16,296.50
Total Investment (total amount loaned excluding reinvested bids): $10,500.92
Total Income (total principal and interest less fees): $6,067.12
Total Profit (total interest less fees and defaults): $1,138.48
Total ROI: 10.84%
Average Loan Age: 11.81 months
Annualized ROI: 11.02%

For the initial release he made no assumptions about the value of late loans. But… 

It is an open source, sql based ROI calculation for Prosper Lenders…  With the calculation being open source it is clear (assuming you can read through about 250 lines of SQL exactly how the calculation is performed…  As his sounding board during development I can confirm that WealthBoy put a lot of work into this project.  I think this is a great addition to the Prosper tools.

At the moment it takes about 45 seconds to perform the calculation for the largest lenders at ProProsper…  It will only take longer as more payments are made.  This performance issue is the main reason I have yet to implement it at ProProsper as it will take some back-end engineering on my part to calculate the values in an efficient way in terms of server resources. I expect to add it to ProProsper, but currently I am not able to find the time to do so…  Hopefully soon… Or maybe Eric or LendingStats can add it first…

Anyway, I encourage you to check it out.  Well Done WealthBoy!