Rate Ladder

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

• 1 Month Late or Worse Curves by Credit Grade

• 1 Month Late or Worse Curves by Credit Grade (July 1 Update)

• 1 Month Late or Worse Curves by Credit Grade (September 1, 07 Update)

• 1 Month Late or Worse Curves by Credit Grade (August 1, 07 Update)

• 1 Month Late or Worse Curves Clearly High for E/HR

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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'

• February 2008 Vintage Curve Update

• Prosper Vintage Curve Update 3/1/2008

• Prosper Vintage Curve Update — 1/1/2008

• Prosper Vintage Curves From Private Data

• Daily Late 0 DQ Vintage Curves

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(sql to produce statistics at the end of post) 

In May, Prosper originated more loan volume than in any previous month roughly 9.6M loans the vast majority were credit grades AA-C.  This is great news for Prosper on 2 fronts: total volume and loan quality. Here is the breakdown…

All in all it looks like a very positive step… Can Prosper keep the momentum… stay tuned for next month?

Sql:

Select creditgrade, count([key]), sum(amountborrowed)
from loan
where originationdate>=’5/1/2008′ and originationdate<’6/1/2008′
group by creditgrade


• Loan Origination Up in August 07

• Vintage Curves 04 2008 — Amount Late By Credit Grade from Origination

• The Marketplace Survey for April — More and Better Listing Volume

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