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Messages - profwolfe

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Investors - P / Historical question on Prosper Auctions
« on: April 22, 2020, 12:33:54 PM »
Prior to 2011 when Prosper was using auctions to set the interest rate on loans when did the auction stop?  I know there was a 14-day limit for a listing to receive full funding, but what if the loan listing had 100% funding on day 1?  Would it remain up for the additional 13 days so that investors might bid down the interest rate?  Was there some way for borrowers to accept the current offer (at any point in the 14-day window) and end the auction?
Thanks!!

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General Prosper Discussion / Re: Prosper not in Missouri anymore???
« on: March 13, 2019, 02:05:07 PM »
The security division under the secretary of state controls access for investors.  Here's the website if you want to call them.  https://www.sos.mo.gov/securities In general, state security regulators control access for investors on Prosper.  Prosper has to regularly qualify for security registration in all 50 states.  It's a pain for them but something they've been doing for a decade.  Something must have caught the security regulator's eye in their last registration renewal...

LendingClub is a little different because they are a publicly traded company.  They don't have to register with each state anymore (for the most part). 

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Investors - LC / Re: Speed of Funding
« on: January 18, 2019, 10:31:21 AM »
Mikedev10 -

I guess I didn't realize how drastic the falloff has been.  You're right though, the retail market does continue to shrink - I put together some quick charts from the SEC data https://sites.google.com/site/swimwolfe/home/news-noteworthy/crowdfunding-active-research/falloffinretailnoteavailability. I would think this puts more emphasis on the secondary market investment opportunities right?

What we've been thinking about lately is how quickly the whole loan market loans get snapped up.  Occasionally those loans go unfunded and we were thinking a little about how that speed of funding in the institutional market might be an indicator of adverse selection issues for 1) slow institutions 2) retail investors on those rollover loans.  I know most of those rollover loans went away after the management change in 2016 but they still happen from time to time. 


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Investors - LC / Re: Speed of Funding
« on: January 15, 2019, 01:52:52 PM »
Anil -

Really interesting work and well executed.  It looks like you used the API to grab the listing time variable (listD) and then used the disappearance from an API call as the measure of funding time - does that sound right?

A couple thoughts
1) The timing of these loans is right around the period when the platforms were splitting institutional investors and retail investors into their own markets.  It would be interesting to see if now that retail investors have their own dedicated market if this is still the case.  Even more interesting would be to look at the institutional (whole) loans to see if they have a similar issue.   

2)  Because you're comparing loans that are 9-12 months old, its really important to use statistical techniques like a hazard model to look at these types of questions.  Implicitly they help deal with a truncated sample such as this.  It would be different if we were to repeat the exercise on that sample now since all the loans would have reached full term - we could use some simpler statistical techniques like logit/probit or OLS.  It's also important to control for multiple characteristics simultaneously to really get down to this question.  Is default more likely given credit grade, term, dti, etc... for a particular loan.  Sometimes single sorts can be a bit misleading. 

If you're ever interested in swinging around to look at this again I'd be glad to collaborate with you on it...

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Investors - LC / Re: Speed of Funding
« on: January 14, 2019, 04:15:34 PM »
Fred -

I totally agree that some of the reason notes disappear quickly is due to popularity.  Intuitively, there's no reason to hurry and fund a bad (higher default given the yield) loan.  So when investors rush to a certain type of loan, I can think of three reasons:

a) They are herding toward what's popular - if that's the case, there will no difference in performance (default-adjusted yield) between those notes and the slowly funded notes - there is definitely some evidence of investors herding based on friend networks - (https://pubsonline.informs.org/doi/abs/10.1287/mnsc.1120.1560)
b) They are competing because notes are scarce and capital is plentiful - but then there shouldn't be any notes that have long funding times which we do observe
c) Investors know something others don't - which means controlling for all the other characteristics (which is tricky but doable) they have lower default-adjusted-yield

It's hard to know that (c) does/doesn't happen without a "funding time" measure.  That's what we academics like to do - make sure we know what "we know". 


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Investors - LC / Speed of Funding
« on: January 14, 2019, 01:13:18 PM »
Anyone know of a way to gauge how fast notes are getting purchased each day?  Some type of measure for the speed of (note) funding?  We're trying to cook up some measure of adverse selection and thought if a large chunk of the loans were purchased quickly on a given day - it might be indicative of more severe adverse selection issues for (the less speedy) investors. 

I think API users can grab listD and then compare to the note's issue date/time but I haven't found anyone tracking that besides Monja (https://www.monjaco.com/blog/3-types-of-loans-algorithmic-investors-buy/). 

Thoughts?

https://sites.google.com/site/swimwolfe/home/research

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Foliofn - LC / Re: Looking to buy Historic Folio data
« on: August 15, 2018, 06:02:26 PM »
No restrictions on the secondary market.  Doesn't matter where you live.

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Foliofn - LC / Re: Looking to buy Historic Folio data
« on: August 14, 2018, 03:16:05 PM »
Fred93 -

Transaction data would be like winning the lottery but at this stage, we'll settle for listing data.  We're especially interested in Prosper data at this stage.

Even though it may appear like there is no rhyme or reason to listings, we have a couple theories on why investors may post notes for sale at "stupid" high prices.  It could be investors are stupid.  That's certainly one possible explanation.  There are finance textbooks littered with stupid investor stories.

Another explanation might be that there are some investors that still can't access the platforms directly.  State security laws prevent investors in many states from investing directly in the marketplace lending platforms (Prosper/LC).  So if those investors want exposure to these notes, they have to go to the secondary market.  I think there may be investors flipping notes from the primary market to the secondary market at a small premium and excluded investors would be glad to take such notes.  Right now we're trying to find some anecdotes of people doing this (any suggestions here would be great).

Time will tell.  The LC Folio market is MUCH more active than the Prosper one.  LC market ranges between 400k-600k notes for sale vs the Prosper one had 10-20k notes for sale when it closed in 2016.

Here's a link to my research page in case you're interested in more info on state security restrictions
https://sites.google.com/site/swimwolfe/p2p-borrower-and-investor-legal-restrictions

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Foliofn - LC / Re: Looking to buy Historic Folio data
« on: August 13, 2018, 12:10:21 PM »
Thanks, HDSouza - appreciate the link.  Unfortunately, that's LC's initial issuance of notes.  I'm looking for data on Folio which is the secondary market for notes.  Still looking in case anyone has a stack of downloads they want to cash in on...

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Foliofn - LC / Looking to buy Historic Folio data
« on: February 26, 2018, 01:15:48 PM »
I'm an academic - I'm looking for someone who might be willing to sell me data on the current inventory of Folio notes (going back historically).  Ideally, you have downloaded the current inventory of notes 1+ times a day going back to 2009 but I'm willing to entertain just about anything.  Email me at bawolfe@buffalo.edu if interested.  I'm looking for the Prosper version up to 2016 if you have it too.   

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Thx Rob - do you know anywhere they document that activity?  I know the 424(b)(3) filings on Edgar have a column that tells you how much of the loan LC funded.

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So I'm trying to figure out if there is such a thing as a loan that makes it through LC's application process but then doesn't get funded?  My understanding of the usual data sources they provide (https://www.lendingclub.com/info/download-data.action) are
1.  loans that make it through the application screen and are successfully funded.
2.  loans that don't make it through the application screen

Is there such a thing as :
3. loans that make it through the application screen and are NOT successfully funded

If by chance they're in the usual data sources LC gives, how would I pick out those loans?

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General P2P Lending Discussion / Re: Folio Liquidity Anecdotes
« on: September 23, 2016, 05:52:43 PM »
LOL - We need historical information back to 2008 - so grant money now won't help unless I can get a time machine too.  They're both equally likely to come by...

You're right talking to Folio and LC makes sense.  Folio can't release any of that kind of data without LC approval.  LC doesn't respond to any requests like that.  I've heard similar from large third party platforms (like lendacademy, nsrinvest, etc...). 

Given the above - we're trying to see if individual investors might have scraps of data (screenshots or blog comments) with time stamps that we could use. 

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General P2P Lending Discussion / Folio Liquidity Anecdotes
« on: September 23, 2016, 09:22:48 AM »
I'm a finance Professor and I'm working on a P2P project using Prosper & LC data.  I'm trying to piece together a sense of how illiquid FolioFn has been over time by collecting anecdotes of people's comments.  For example in the comments below I can see that between 60-100k Notes were for sale on FolioFN (LC) in May 2014 or Peter's post in January of 2013 suggesting 44k on LC and 9k on Prosper. 

Nov 2015 - http://www.lendacademy.com/lending-club-adds-15-new-fields-and-folio-introduces-a-true-secondary-market-api/
May 2014 - http://www.lendacademy.com/forum/index.php?topic=2231.0
June 2013 - http://www.lendacademy.com/foliofn-lending-club-users/
January 2013 - http://www.lendacademy.com/to-sell-or-not-to-sell/

Please feel free to share anything you have.  If you have some data collected that you are willing to share that would be a gold mine for us.  My email is bawolfe 'at' buffalo 'dot' edu
Thanks!

 

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