Historical Returns are based on actual payments (other than principal) received by the investor net of fees and losses (including from charged-off loans). To be included in the Historical Return calculation, the loan must have originated (a) on or after July 1, 2009, and (b) at least 12 months prior to the calculation date.1
We calculate the Historical Return for loans originated through Prosper as follows. First, loans are separated into distinct “Groups” based on the specific month and year in which they were originated and their Prosper Rating or mix of Prosper Ratings (as applicable) at origination.
For each Group, we calculate: (a) the sum of the Interest Paid, plus Late Fees, minus Servicing Fees, minus Collection Fees, in each case on active loans2, plus Net Recoveries on charged-off or defaulted loans, plus Net Debt Sale Proceeds on sold loans, minus Gross Principal Losses; divided by (b) the sum of the Principal Balances Outstanding on active loans2 at the end of each day since origination.1 We then annualize the result to get the “Historical Return” for the Group.*
The Historical Return for any Group can be expressed with the following formula, where “i” is time in daily increments starting from the first day of the applicable origination month (i=1) until the last day of the most recently completed month (i=N).
Historical Return for the Platform*
Once the above calculation is performed for every Group, we compute the cumulative-outstanding-principal-dollar-weighted average of their Historical Returns. This gives us the weighted average Historical Return for loans originated through Prosper. 1
Historical Return Range for Range for Single or Multiple Prosper Ratings*
Once the above calculation is performed for every Group, we compute the 10th and 90th cumulative-outstanding-principal-dollar-weighted percentiles of the Historical Returns of the Groups within each Prosper Rating or mix of Prosper Ratings (as applicable) to get the Historical Return Range of the relevant Prosper Rating or mix of Prosper Ratings. 1
1 The Historical Return calculation excludes the impact of servicing related corrective non-cash adjustments that may modify the outstanding balance or status of a borrower loan.
2 For purposes of the Historical Returns calculation, “active” means loans that are current in payments or delinquent less than 120 days; loans that have paid off, charged-off or are in default are not considered active.
* Historical Return data presented on the website is updated monthly. Historical performance is no guarantee of future results. This information is not intended to be investment advice or a guarantee about the performance of any Note. The actual return on any Note depends on the prepayment and delinquency pattern of the loan underlying each Note, which is highly uncertain. Individual results may vary.