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Messages - agd

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16
Investors - P / Re: Whole Loans and the API
« on: May 22, 2013, 08:37:37 AM »
This was based on the data as of writing my statement.  Since that point there have been a few listings that start in the whole loan program and end up get introduced into the fractional market (there should only be three active loans on the fractional market now that started in the whole loan program). 

Listing Numbers:
775747
778850
778865

17
The average interest rates @ Prosper during these vintages are 80%-100% higher than LC.  Certainly slightly higher risk, but priced in appropriately (even for 2011-2012).
Priced in appropriately how?  What calculation did you perform to determine that.
The ROI is fairly stable (8.05% vs. 8.72%) 2011 vs. 2010 despite the expanded credit policy (see attachment for details).  My ROI measurement discounts late loans fairly aggressively, so it will be a bit more conservative from the ROIs Prosper references.   

Since the investors are ultimately the ones taking on the credit risk, I am a major believer in a wider credit policy on the P2P platforms (as long as the platforms provide appropriate ratings of risk to their investors).  The platform risk models are good, but many of the investors have more sophisticated (or otherwise better) means of identifying risk.  From this perspective, I definitely do not believe Prosper loosened criteria farther than they should have.  I for one, would welcome an expansion back to the 2011/2012 levels; especially if Prosper is able to deliver on better collections practices. 


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The average interest rates @ Prosper during these vintages are 80%-100% higher than LC.  Certainly slightly higher risk, but priced in appropriately (even for 2011-2012). 

19
Investors - P / Re: Whole Loans and the API
« on: May 13, 2013, 05:30:37 PM »
It looks like the Whole Loans are being added to Listings and ListingsHistorical after an hour of being listed on the ListingsWhole endpoint (regardless of their status).  I'm almost 100% sure that I am capturing everything since my origination volume is equivalent to what Prosper is citing.

Just an FYI, but 100% of the volume that starts in the Whole Loan endpoint gets completed there.


   

20
The good loans are snapped up by large investors often the first minute--in fact the first seconds--they come out.  Prosper hasn't implemented the "whole loan program" yet.   I have now more money going into LC than Prosper.  It remains to be seen whether the "whole loan program" is feasible for Prosper, given the smaller number of listings on their platform.

I'm not really sure where you are getting your information from.  Based on the API, the Whole Loan Program appears to have been implemented on 4-12(though technically it may be in "pilot").  Currently close to 66% of the volume has been starting in the Whole Loan Program.  It appears that Prosper has increased their listing volume very substantially, to minimize the affect on the retail investors, though I would argue not enough.  From my metrics, it appears that this volume is indeed homogenous to that of the fractional volume.  Funding velocity is still high, but has come down measurably.  Listings being snatched up in seconds is rare, for the most part we're still talking minutes.

The current dynamics of the program mean that I'm investing $5k-$7k  a month (10%)less and achieving lower diversification than I would have otherwise(assuming platform volume between 3-12 and 4-11 would have been maintained) .  Despite this impact to my bottom line, as an investor I acknowledge the importance of the program as ultimately its a major contributer to Prosper becoming cash flow positive (something Prosper can't do on the backs of us retail investors alone).  This is evidenced by thier funding volume, which may hit $20MM for the month of April.  In my mind (and I've spent a lot of time analyzing data from both LC and Prosper) Prosper is still the place to play for the active/ROI focussed retail investor (automated or not).

Are you using AQI?  I'm not.  I am eyeing the listings like a hawk ready to pounce on any good ones at exactly 9:00AM, 5:00PM every weekday and 12:00PM in the weekends PST.   But every time I click on the "Invest" button, it is gone.  And they disappear in the first minute or even the first few seconds after I see the listings. Vermut said it was only starting in Beta mode for institutional investors, which I gather means you only see that appear as a data point, and the real effect of which remains to be seen for retail investors.

Vermut: "Whole Loans: In April we are launching a whole loan product in beta for our institutional lenders, which will be separate from our traditional pool of fractional loans. The beta version of this product is in test mode and we will communicate more details as they develop."  http://blog.prosper.com/2013/03/30/a-note-from-our-president-aaron-vermut-as-prosper-looks-to-the-future/

In a word, I don't see any benefit at all on my end as a retail investor, whether or not they have actually implemented it or not.  On the other hand, I am able to find a couple of good loans every day on the LC platform.

How's your experience been since May 1?  I think the 75% rule must be helping as 89% of loans are still available after 10 minutes.  You're right, the middle of last month through the end was tough; 18.6% of all listings posted were gone within 60 seconds(through this month that number is down to 3.7%).

There are still a lot less D-HR loans which is another issue entirely...




21
Investors - P / Re: Is Prosper turning around?
« on: April 25, 2013, 03:28:08 PM »
Little bit of a downswing in loans over the past week.  End of the month slowdown?

Loans or listing availability?  Originations have been flat at $1MM/business day for the past couple of weeks.  The last 5 business days have averaged $1,046,080, while the prior 5 business days have averaged $1,002,876.    Based on my data, originations have been eerily flat (usually there is a lot of variation day to day); maybe they are hitting some type of capacity on their end which is limiting the peaks? 

They are sitting at over $18.3MM currently.  They should hit $20MM for the month.   

22
Investors - P / Re: Listing times
« on: April 22, 2013, 03:42:18 PM »
These aren't official.  Every once in awhile Prosper will list at random times:

9am/5pm on weekdays.  12pm on weekends. 

Also the whole loan program volume has been rolling into the fractional inventory at different times (but usually 40 minutes past these times). 

23
The good loans are snapped up by large investors often the first minute--in fact the first seconds--they come out.  Prosper hasn't implemented the "whole loan program" yet.   I have now more money going into LC than Prosper.  It remains to be seen whether the "whole loan program" is feasible for Prosper, given the smaller number of listings on their platform.

I'm not really sure where you are getting your information from.  Based on the API, the Whole Loan Program appears to have been implemented on 4-12(though technically it may be in "pilot").  Currently close to 66% of the volume has been starting in the Whole Loan Program.  It appears that Prosper has increased their listing volume very substantially, to minimize the affect on the retail investors, though I would argue not enough.  From my metrics, it appears that this volume is indeed homogenous to that of the fractional volume.  Funding velocity is still high, but has come down measurably.  Listings being snatched up in seconds is rare, for the most part we're still talking minutes.

The current dynamics of the program mean that I'm investing $5k-$7k  a month (10%)less and achieving lower diversification than I would have otherwise(assuming platform volume between 3-12 and 4-11 would have been maintained) .  Despite this impact to my bottom line, as an investor I acknowledge the importance of the program as ultimately its a major contributer to Prosper becoming cash flow positive (something Prosper can't do on the backs of us retail investors alone).  This is evidenced by thier funding volume, which may hit $20MM for the month of April.  In my mind (and I've spent a lot of time analyzing data from both LC and Prosper) Prosper is still the place to play for the active/ROI focussed retail investor (automated or not).


24
Investors - P / Re: Originations seem to be back on the rise
« on: March 26, 2013, 08:07:36 PM »
Regarding the huge uptick in loan volume for March, has anyone else noticed that the average loan is around $10k?

That's pretty sharp increase over average loan amount from 2012 ($7800), and even over the first 2 months of 2013 ($8900).

Did Prosper increase loan maximums in March?

Based on my data, the max amounts were reduced in January to
AA-C/D/E/HR @ $25k/15k/4k/4k from $25k/15k/10k/4k.  I think what we are seeing is:

1. Distributional - Prosper's new underwriting is reducing E/HR volume dramatically.
2. Higher avg loan size in A/AA - I'm not sure what is driving this, but the average here jumped by $1k. 


 



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Investors - P / Re: Originations seem to be back on the rise
« on: March 22, 2013, 09:03:36 PM »
The signs of a turnaround are certainly starting to appear. Originations month-to-date is up 70% over February and are actually on pace for their best month since October. I don't think we will see a record this month but in April I fully expect Prosper's volume to be over $16 million (which would be a record).

After this week, they have a shot at a record this month.  Prosper's loan volume from the last 5 business days we have data for (3/19-3/25) was $4.47MM leaving them at $12.1MM MTD.  If that same level stays flat next week (3/26-3/29) they should hit $15.5MM which would be very close to a record for them.  There is $2.27MM in pending loans and $1.06MM bid on active listings.


 

26
Investors - P / Re: Originations seem to be back on the rise
« on: March 17, 2013, 12:08:33 PM »
Other positive indicators:

  • 664 Listings Over past week.  This is 36% higher than the 490 per week they have been averaging.  Based on current investor demand I believe if they can continue to be in the 650-700 range the market will be quite healthy. This type of listing volume should be able to support $15MM-$17MM in originations per month.
  • Close to $6MM in bidding activity in past week.  Again, if this continues at this rate we should be at $15MM-$17MM/month.

It seems that investor demand has proportionally scaled with listing activity (at least up to this point).  If this demand can continue to keep pace, and Prosper can continue to increase listings we should be seeing record months in the near future. 


27
Investors - P / Re: Worth-Blanket Investing 100% of Loan Values
« on: March 09, 2013, 08:22:57 AM »
I am a retail investor who operates an automated strategy which is likely similar in nature (but not magnitude) to many of the institutional lenders.  First off I'll start off by saying I'm not an advocate for the recent changes to the system that undoubtedly benefit these types of automated systems.  That being said I think the issue is being overblown here as there is little evidence that these automated bidding strategies are leading to lower returns for the retail investor. Below is some quantitative perspective.

How Frequent?: Of the 534 loans completed or pending between 3/1-3/8, 33 were fully funded within 5 minutes and an additional 53 were funded within an hour.  The other 84% should be accessible to most serious retail investors. 

Does it Effect Retail Returns?: Based on the historical performance of many of these large institutional investors there isn't much evidence that the loans that they are funding will outperform the other loans on the platform.  Based on my predictive models we see the loans funded after an hour have a 8.75% predicted ROI compared to 9.01% predicted ROI for all loans.  This 3.7% compression will likely not come to fruition in reality since retail investors excel at identifying risk in ways that even the best predictive models can't duplicate. 

Also, lets keep in mind the items that Prosper has implemented that heavily favor non-automated investing.  The foremost being the much stronger risk model in December which dramatically reduce the ability for competing predictive models to substantially outperform the overall platform. Institutional investors that can rely on their own sophisticated predictive models would love to see pricing inefficiencies in the way Prosper prices their listings, but these opportunities are far much less than they were in prior years.  The pricing inefficiencies are now concentrated much more so in areas of the listings that human heuristics/intuition are much more adept at uncovering, and not in the credit/structured data areas that competing predictive models are evaluating.

The real issue that others have eluded to is the dramatic decrease in loan availability.  This appears to be largely due to investor demand growing very fast(both on retail and institutional end); Prosper has averaged over $1MM in bids over the past 4 days (almost double the pace between Dec-Jan).  Listings have actually started to see some growth (10%-15% in march), but not nearly to this degree which is causing all-time low availability on the system.  I believe this is temporary, as Prosper has exhibited their ability to drive listing volumes at much higher levels.  Also keep in mind some of their marketing channels have significant lags between plan & execution which make it difficult to keep 100% aligned with investor demand (I believe we saw the other side of this late November/early December where the listing volume was much higher than investor demand due to the sudden drop off in investor demand).  I have no doubt that we will start seeing increased volume in listings soon (hopefully to the 100-120 daily average) which will do wonders for retail and institutional investors alike.



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