For the past few months, Prosper CEO Chris Larsen has been claiming that Prosper loans have defaulted at a 2.7% rate, which was technically correct, because the dollar-weighted volume of loans that had in fact defaulted and been sold off was about 2.7%.
As of the December 2007 debt sale, the number is no longer 2.7%, but 5.6%. Anybody who sees the old 2.7% number in the press should be aware that the number is wrong.
The attached spreadsheet shows that the dollar-weighted volume of loans that have now defaulted is 5.6%. It also shows that the Leporello-projected defaults now stand at 12.4%.
The Leporello-projected defaults are an estimate of how many of the loans currently in the marketplace will default. The assumption is that
* 50% of currently "Late" loans will default,
* 85% of currently 1-month-late loans will default,
* 90% of currently 2-month-late loans will default,
* 95% of currently 3-month-late loans will default, and
* 100% of currently 4-month-late loans will default