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Messages - brycemason

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I was only coming from a place of trying to show the points that Rob's charts made didn't have some fatal flaw due to some defaults being systematically worse. :)

Investors - LC / Re: a view of LC's deteriorating investor returns
« on: April 30, 2017, 10:55:29 AM »
Nice alternative graph, Fred93. I like the iso-time-through concept.

LGD is hard to predict and doesn't correlate with many underwriting variables, as if it did, one could incorporate that information into the pricing. Pretty much whatever is known up front is used for decisioning and pricing, and exogenous events like job loss, death, and family issues determine the severity. Therefore, P[D] is the most common metric. Blending the probability of default and loss given default help you construct an annualized expectation of loss, but it will correlate very highly to P[D]. I simply used the average LGD in my P2P-Picks work. Therefore, Rob's charts aren't flawed in the way contemplated by nonattender.

Worked for me today! 1099-OID and 1099-B for the charge offs and recoveries.

Investors - LC / Re: Back Testing Traded Notes
« on: October 24, 2016, 01:50:14 PM »
Here's an idea. Make a file with the loan IDs you want to extract from the payment history file. Download the payment history file. Use grep and a redirect to a new file that will extract only those rows with one of the IDs matching your list. This would not require very much in the way of computing resources as grep just reads in the file line by line. Then you could easily open the new file in Excel.

Investors - LC / Re: Back Testing Traded Notes
« on: October 24, 2016, 01:07:40 PM »
If your csv has date of sale, you could download the payment history file, keep all cash flows after the date of sale for each loan, calculate a present value at the time of each sale using a discount rate, sum them all up and compare to your proceeds from sale. If proceeds exceeds the present value, you won. The payment history file is over 4GB, so you would need a proper statistical package or load it into a database.

Investors - P / Re: first-velocity-association?
« on: September 16, 2016, 09:34:01 PM »
Perhaps it's the originating bank. Hard to believe the fractional/whole allocation would be anything but random.

Investors - LC / Re: 1247 new loans dropped
« on: July 15, 2016, 12:57:57 AM »
I saw roughly 2250 loans drop at 6pm. Never seen an order so large on my automated system. $5400 order of $50 notes. All "A" grades, which is great. I had been running a bit too high on B notes.

General Lending Club Discussion / Re: LC daily loan volume
« on: June 22, 2016, 01:53:31 PM »
Very nice work, Fred. I appreciate your effort.

General P2P Lending Discussion / Re: P2P Based Funds
« on: May 31, 2016, 09:17:02 AM »
Some gates are more investor friendly than others, such as not allowing the fund manager to make new investments until all redemptions are met.

General Lending Club Discussion / Re: Will LC reverse split?
« on: May 12, 2016, 05:22:50 PM »
LC is listed on the NYSE.

It does look like LC made them divest.
Arcadia, a registered investment adviser with $700 million in assets under management as of March 31, said in a statement that no current or former employee of LendingClub has an ownership stake in Arcadia.

Arcadia is the adviser, or the business running the fund (Citrix), which is unsurprising. I'm glad no former or current employee has an ownership stake in the GP. This quote doesn't preclude LC from its stake in the fund as an LP, however.

You may wind up getting denied after an initial approval. The risk based pricing sort of assumes that your financial picture (DTI in this case) doesn't change markedly after you get the loan. If you "loan stack" like this, your DTI measurement will be biased low (since each originator won't know about the other two loans as they wont have shown up on a credit report). It's not technically fraud unless you have the intent to defraud, but it sure does  throw a wrench into assigning the right rate or approving at all. To protect against this situation, originators might pull credit a second time just before loan closing to check that there were not inquiries at other lenders on the same or subsequent days. One of the downsides of closing so fast is that you can't observe things like that.

Investors - LC / Re: Advice please
« on: March 01, 2016, 01:51:21 AM »
Educate yourself about the tax implications of this investment. You may be able to generate equivalent post-tax returns with less risky loans.

The reporting seems fine to me. Charge offs are reported as a sale at 0 and cost basis of the outstanding principal. Recoveries are reported as sale at the recovered amount and a cost basis of 0. Both are aggregated into a single row if both a recovery and charge off occurred within the year.

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