PeerIQ Marketplace (LendingClub and Prosper) all loans post 2013

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1 Executive Summary Introducing our redesigned MPL Loan Performance Monitor where we track the delinquency rates, cumulative losses and transition matrices on public marketplace lending data that comprises loans originated by LendingClub and Prosper. We show delinquencies (%) and cumulative losses (%) on this data set broken out by annual vintages from We further break the performance out by original loan terms of 36 and 60-months. The right-hand axes show the outstanding loan balances broken out by either vintages or loan terms, which allows analysis of performance metrics in conjunction with the pool factor. Overall, we notice that delinquencies and cumulative losses on newer vintages are higher than those seen on older vintages at the corresponding loan age. Note: We calculate performance only on vintages which have seasoned at least 12 months. We don t display delinquency rates when the pool factor is less than 1% of the original pool amount. Delinquency rates are represented as percentages of the outstanding pool balance at the end of the prior month. PeerIQ Marketplace (LendingClub and Prosper) all loans post 2013 LC Originations as of: 9/30/2017 Prosper Originations as of: 10/31/2017 Payments as of: 10/31/2017 Cumulative Loss and Delinquency (All loans) 1

2 Cumulative loss rates continue to edge higher. Cumulative loss rates on 2013 and 2014 vintages ended up at ~8%, but newer vintages are trending much higher. Similarly, delinquency rates continue to trend higher for the 2015 and 2016 vintage loans. Delinquency rates are higher than those seen on older vintages at the corresponding loan age. Cumulative Loss and Delinquency (36-month loans only) 2

3 Delinquency and Cumulative Loss performance on 36-month loans is significantly better than that on 60-month loans. We expect these loans to approach peak delinquency after ~9 months of seasoning. Delinquency and Cumulative Loss (60-month loans only) 3

4 Cumulative Losses on 60-month loans are roughly twice those on 36-month loans. We expect these loans to approach peak delinquency after ~13 months of seasoning. PeerIQ Marketplace (LendingClub and Prosper) Annual Vintages The charts below break out performance on each vintage and provide further detail on the charts shown above. The orange lines and areas depict the performance of 36-month loans, while the green lines and areas depict that of 60-month loans. The blue line depicts combined the performance of 36 and 60-month loans. PeerIQ Marketplace (LendingClub and Prosper) Origination Cumulative Losses on 2013 vintage 36-month loans were 6.3% and those on 60-month loans were 16.7%. The combined cumulative losses on 2013 vintage loans were 9.4%. 4

5 PeerIQ Marketplace (LendingClub and Prosper) Origination Cumulative Losses on 2014 vintage 36-month loans were 6.4% and those on 60-month loans are currently at 14.5%. The combined cumulative losses on 2014 vintage loans are currently at 9.0%. PeerIQ Marketplace (LendingClub and Prosper) Origination Cumulative Losses on 2015 vintage 36-month loans are currently at 7.6% and those on 60-month loans are currently at 14.3%. The combined cumulative losses on 2015 vintage loans are currently at 10.3%. PeerIQ Marketplace (LendingClub and Prosper) Origination Cumulative Losses on 2016 vintage 36-month loans are currently at 6.5% and those on 60-month loans are currently at 10.1%. The combined cumulative losses on 2016 vintage loans are currently at 8.1%. 5

6 Transition Matrices on PeerIQ Marketplace (LendingClub and Prosper) The tables below show the transition matrices for all outstanding loans in the public LendingClub and Prosper data set. 97% of current loans stayed current, while 60% of loans that missed 1 payment also missed their 2 nd payment. The cure rate once a loan has missed 4+ payments is negligible with 94% of those loans charging off as issuers recognize their charge-offs. The change tables show how this transition matrix has evolved over the last 3, 6 and 12 months. 10/31/2017 Prior Loan Status Current Loan Status Current 1 Missed Payment 2 Missed Payments 3 Missed Payments 4+ Missed Payments Forbearance Charged Off Paid Off Prepaid Current 96.9% 1.4% 0.1% 0.0% 0.0% 0.1% 0.0% 0.0% 1.5% 1 Missed Payment 15.3% 18.9% 60.3% 0.4% 0.0% 2.9% 1.1% 0.0% 1.1% 2 Missed Payments 2.8% 1.6% 6.1% 86.3% 0.9% 0.1% 2.0% 0.0% 0.2% 3 Missed Payments 1.1% 0.2% 1.3% 7.1% 85.8% 0.0% 4.4% 0.0% 0.1% 4+ Missed Payments 0.4% 0.1% 0.1% 0.7% 4.3% 0.0% 94.3% 0.0% 0.1% Forbearance 4.2% 0.1% 0.2% 0.7% 2.2% 89.5% 3.2% 0.0% 0.0% Change from 7/31/17 to 10/31/17 Prior Loan Status Current 1 Missed Payment 2 Missed Payments 3 Missed Payments 4+ Missed Payments Forbearance Charged Off Paid Off Prepaid Current 0.0% 0.2% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -0.3% 1 Missed Payment -0.1% 0.1% -1.4% -0.1% 0.0% 1.8% -0.4% 0.0% 0.1% 2 Missed Payments 0.3% 0.0% 0.6% 0.4% -0.2% 0.1% -1.1% 0.0% 0.0% 3 Missed Payments 0.1% 0.0% 0.1% 0.8% 0.0% 0.0% -0.9% 0.0% 0.0% 4+ Missed Payments 0.1% 0.0% 0.0% 0.0% 0.7% 0.0% -0.8% 0.0% 0.1% Forbearance 3.4% 0.1% -0.4% -1.1% -0.8% -3.9% 2.6% 0.0% 0.0% Change from 4/31/17 to 10/31/17 Prior Loan Status Current 1 Missed Payment 2 Missed Payments 3 Missed Payments 4+ Missed Payments Forbearance Charged Off Paid Off Prepaid Current -0.2% 0.3% 0.0% 0.0% 0.0% 0.1% 0.0% 0.0% -0.2% 1 Missed Payment -0.8% 0.6% -3.0% 0.4% 0.0% 2.9% -0.3% 0.0% 0.2% 2 Missed Payments 0.0% 0.1% 1.0% -0.5% 0.9% 0.1% -1.6% 0.0% 0.0% 3 Missed Payments -0.3% -0.1% 0.1% 2.0% -2.6% 0.0% 1.0% 0.0% 0.0% 4+ Missed Payments -0.1% 0.0% -0.1% 0.1% 1.7% 0.0% -1.7% 0.0% 0.0% Forbearance 4.2% 0.1% 0.2% 0.7% -17.6% 9.2% 3.2% 0.0% 0.0% Change from 10/31/16 to 10/31/17 Prior Loan Status Current 1 Missed Payment 2 Missed Payments 3 Missed Payments 4+ Missed Payments Forbearance Charged Off Paid Off Prepaid Current -0.4% 0.2% 0.0% 0.0% 0.0% 0.1% 0.0% 0.0% 0.1% 1 Missed Payment -1.4% 1.6% -3.2% 0.0% 0.0% 2.9% -0.1% 0.0% 0.1% 2 Missed Payments 0.1% 0.4% 1.6% -0.9% 0.1% 0.1% -1.4% 0.0% 0.0% 3 Missed Payments 0.1% 0.0% 0.7% 3.3% -2.3% 0.0% -1.7% 0.0% -0.1% 4+ Missed Payments 0.0% 0.0% 0.1% 0.3% 2.9% 0.0% -3.4% 0.0% 0.1% Forbearance 4.2% 0.1% 0.2% 0.7% 2.2% 89.5% 3.2% 0.0% 0.0% DISCLAIMER This document is for general information and for the purposes of facilitating a discussion only, and is not intended, and does not, constitute a recommendation or offer to sell, or solicitation of any offer to buy, securities, or any other financial instrument, or a solicitation for any other action of the recipient. 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