As always, Fred, great work! However, I think something you said isn't quite right:
Prosper loans created in the worst month so far, October '06, are now more than 43% bad! This number could still go higher! These are 3-year loans, but we don't know the final number of loans that have gone bad until 3 years + 4 months after origination, because loans are "charged off" when they are 4 months late. On March 1, 2010 we'll know the final numbers for loans originated in October 2006.
Since you count as "bad" loans that are at least 1-month late, don't we know the upper bound of "badness" at 37 months? Thus, for the October '06 loans, the percentage can only go higher through November '09 -- at that point, every single loan will either be paid off or will be at least 1-month late. For the next 3 months the number of bad loans can go down slightly (if any bad loans cure before being charged off), but can not go up.