As pointed out, this doesn't take into account Prosper default risk. Loan default is only one piece of the default risk. Even assuming Prosper's numbers of a 10% return on loans, what is the probability of originator default? Probably north of 50% in the next year based on their own filings of cash position and lack of new originations to keep the scheme going. If we assume a 50% recovery as an unsecured creditor after Prosper default, the true lender ROI is likely -15% (negative 15%) for new loans even using that optimistic loan default rate.