1 Month Late or Worse Curves by Credit Grade | P2P Lending, Peer to Peer Lending, People to People Lending

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 Curves Count

1 Month Late or Worse by Amount:

1 Month Late Curves 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/

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