I read your blog;
Thank you!
do you think part of the AA-A defaulting is because of the effective nullification of Prosper's ID Theft guarantee?
I don't think so, because the loans I looked at for this analysis were originated from Prosper's inception through 12/31/07. For most of that time period, Prosper was repurchasing loans (although probably not enough). Prosper's apparent abandonment of its "100% ID-theft guarantee" didn't seem to effect loans originated before August 2007, so only around 5 months of the 2-year or so time period I examined would have been effected.
Are these high interest rates going bad after 4-5 months or after 0-1 months?
I don't know, but will take a look at that.