Today we are sharing performance data for the Prosper portfolio for May 2017. The weighted average coupon for assets originated through Prosper’s platform in May 2017 was 16.34%i, the highest for a monthly vintage since 2013. The increase was driven by a pricing increase in the AA, A, and B ratings, as well as a higher concentration of assets originated in the higher risk grades, which have a higher price.
Additional highlights from the May Update include:
- Continued credit tightening can be seen via an increase in expected loss rate, coupon, Loss/FICO, and Coupon/FICO compared to prior months. Prosper’s risk team continues to track macroeconomic signals and keep a close eye on the U.S. consumer.
- Prepayments for the 2017 origination months continue to trend above prior vintages. While the shorter duration of Prosper’s portfolio means that elevated prepayments have less impact on asset returns than longer-dated products such as mortgages, Prosper views the elevated prepayment patterns as a potential return headwind for the 2017 vintages and is actively modeling prepayment paths to attempt to ensure that elevated prepayment rates are accounted for and that the assets are priced appropriately.
- 2015 and 2016H1 vintage delinquencies continue to trend below their prior peaks. Prosper believes that credit tightening throughout 2015H2 and 2016 has resulted in a meaningful improvement in the delinquency and loss trend for 2016H2 vintages. Delinquency for 2017 originations are trending above 2016H2. Higher delinquency was expected for these vintages and over 300bps of incremental coupon has been introduced compared to prior vintages, in part, to price for the higher expected risk.
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.
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i WA Coupon shows the weighted average coupon on a loan or group of loans and is calculated by (a) taking the weighted average contractual amortization rate for such loans, and subtracting (b) Prosper’s 1% servicing fee.
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.