Oh god, for a structured finance nerd, this website is like heaven.
I'm pretty tempted to create my own mini-CDO. Looks like they have pretty good historical data, so you could at least estimate what level of credit enhancement you'd need to get a good rating on each tranche. Given what the loss curves look like, you could probably do pretty well selling front sequential pieces. (Look on Wikipedia to learn more about sequentials, PACs, pass-throughs, NAS, and other CDO structures). To fund the structure, you would borrow again on Prosper.com, and tell borrowers that funds would be repaid according to the structure you set up. If you provided good enough documentation for your structure and your model, you could probably get a rate significantly lower than the rate on the loans you bought.
You could also sell credit default swaps on the individual loans... and then aggregate the CDS into a synthetic CDO...
