Author Topic: Value of previously late notes  (Read 20671 times)

rawraw

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Re: Value of previously late notes
« Reply #15 on: April 22, 2014, 01:42:16 PM »
One of these days Peter should interview Fred about how quant magic.  I imagine we are interacting with the forum-friendly version of Watson.

Rob L

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Re: Value of previously late notes
« Reply #16 on: April 22, 2014, 02:10:16 PM »
One of these days Peter should interview Fred about how quant magic.  I imagine we are interacting with the forum-friendly version of Watson.
That's a podcast I'd like to listen to.

core

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Re: Value of previously late notes
« Reply #17 on: April 22, 2014, 09:33:27 PM »
I beg to differ.  If you only take a one-time snapshot, yes that would be a concern.  However, having collected & analyzed FOLIOfn data for many months, I definitely see niches and patterns to take advantage of.

You are chasing your tail going round in circles with this argument.  I essentially said your prices weren't accurate, you are now coming back with the argument that you have noticed "niches and patterns" and so therefore it must be accurate or of some value.  But if your approach was flawed to begin with, you're just seeing patterns of flaws.  Wishful thinking on the part of sellers.  Certainly, I do think your data must necessarily reflect niches and patterns of what people want to receive for their notes.  That doesn't have any effect on reality nor does it put profit in your pockets.

I submit that every cent you have made off this strategy was merely a side effect of you getting in there and examining stuff, but the numbers (if this is really how you're calculating them) are fairly meaningless.

All those numbers do is show what people think who live in dreamland.  Call it Fred's Potsmokers Poll, because that's about what it amounts to.  People have a note with one IGP payment and they get all snooty thinking it should sell for -2%.  They come here whining when they go down to -5% and it still doesn't sell.  (Gee, welcome to reality Little Piglet.  Your precious porfolio ain't worth nearly what you thought!)  Those notes can all sit there and rot on the platform and inflate your averages, max's and std.dev's because we all know those sellers are not getting anywhere close to that.

Fred

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Re: Value of previously late notes
« Reply #18 on: April 22, 2014, 09:43:03 PM »
Certainly, I do think your data must necessarily reflect niches and patterns of what people want to receive for their notes.

Care to elaborate more on this?

core

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Re: Value of previously late notes
« Reply #19 on: April 22, 2014, 09:53:00 PM »
Care to elaborate more on this?

I only meant that it could identify that say sellers who have a note with 1 IGP command say a 2% higher price than sellers who have a note with 2 IGP's in a row.  (Actually this isn't even true, as these are only the unsold ones, and you didn't even include the ones that sold. But assuming it was true... )  This is just an opinion poll and doesn't change the market prices, the prices where trades happen.  Maybe it's an interesting glimpse into the disturbed minds of those who list notes and never sell any.  Meanwhile you're missing all the real trading that's going on.

EDIT-   And when I say the dreamland sellers command a higher price, I just mean on average.  But that doesn't work unless everyone plays ball and engages in price fixing.  If 90% of the dreamland sellers want to ask for +2% for certain data points then fine, but I'll still be able to buy nearly just as many notes from users who don't know about the price fixing game.  Those notes will be gone before you can even count them, so they are unfairly ignored.  Data skewed.
« Last Edit: April 22, 2014, 10:02:31 PM by core »

rawraw

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Re: Value of previously late notes
« Reply #20 on: April 23, 2014, 11:50:28 AM »
Certainly, I do think your data must necessarily reflect niches and patterns of what people want to receive for their notes.

Care to elaborate more on this?
It's an interesting point, where observed prices on Folio may be completely different than sales prices that you'd observe in the stock market, for example.  I've never thought about that before.  I guess it could be similar to using Ebay listings to determine expected prices of the actual assets.

Ran

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Re: Value of previously late notes
« Reply #21 on: April 23, 2014, 01:24:51 PM »
Certainly, I do think your data must necessarily reflect niches and patterns of what people want to receive for their notes.

Care to elaborate more on this?
It's an interesting point, where observed prices on Folio may be completely different than sales prices that you'd observe in the stock market, for example.  I've never thought about that before.  I guess it could be similar to using Ebay listings to determine expected prices of the actual assets.
Great analogy! Folio has no bid price, only ask price. So it's more like eBay than stock market.
You will be shocked if we see at what discount my system (I designed by myself) bought Folio notes VS actually listed in Folio.

Ran

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Re: Value of previously late notes
« Reply #22 on: April 23, 2014, 01:27:07 PM »
I took a snapshot of Foliofn listings two months ago and what I found out is that the loan default rates are MUCH higher than discount.

Care to elaborate more, specifically on how you measure default rates on FOLIO-purchased notes?  How much different are they compared to the LC-published default rates?

I will post a prilimilary statistics this weekend to show how much off listed (not Traded) Folio note discount is vs late/default rate

mikedave

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Re: Value of previously late notes
« Reply #23 on: April 23, 2014, 01:40:00 PM »
I can offer one data point.  I list all my now current IGP and late notes at 0% markup.  They rarely sell at this markup, I might sell one per month out of about 30 notes.  If you have a bunch of notes to dump in a hurry you will have to offer a discount.

Lovinglifestyle

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Re: Value of previously late notes
« Reply #24 on: April 23, 2014, 10:00:19 PM »
I started doing this too a couple of days ago, after de-listing them all for two days.  I don't expect any to sell.  I just feel like taking a break from the deep-deep discounts and re-pricing. 

I'm curious--how many a month out of the 30 or so do you see go current?

I can offer one data point.  I list all my now current IGP and late notes at 0% markup.  They rarely sell at this markup, I might sell one per month out of about 30 notes.  If you have a bunch of notes to dump in a hurry you will have to offer a discount.

mikedave

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Re: Value of previously late notes
« Reply #25 on: April 24, 2014, 09:07:04 AM »
the 30 or so notes are all previously late now current.  I have 10 notes currently late or IGP.  I offer them up automatically at small discounts.  Every now and again I look at them and decide if I want to dump them or keep them to see if they will go current.  To dump them I just start lowing the discount until they are gone generally based on the FICO trend and if the borrower is promising to pay. For example Just sold an ugly L16 with a big step down in FICO trend and not borrower not returning call of mails for 80% discount.

Lovinglifestyle

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Re: Value of previously late notes
« Reply #26 on: April 24, 2014, 08:46:07 PM »
Sorry--I had "late" in my brain even though you clearly stated "...but now current".

Today 10 of 36 IGP went current.  Two 31+ lates that were BKs were charged off. 
I find the "payment processing" and BK rules so disruptive to the sales process that
I cancelled all my (52) assorted listings again today and have no future plans for them.


Ran

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Re: Value of previously late notes
« Reply #27 on: April 27, 2014, 11:10:29 AM »
I took a snapshot of Foliofn listings two months ago and what I found out is that the loan default rates are MUCH higher than discount.

Care to elaborate more, specifically on how you measure default rates on FOLIO-purchased notes?  How much different are they compared to the LC-published default rates?

I will post a prilimilary statistics this weekend to show how much off listed (not Traded) Folio note discount is vs late/default rate

I collect Folio loans between 02/22 and 03/02 (I did update per day) that were LISTED at <=-5% discounts, e.g., the loans that most probably would not sell at listed discount.
I chose -5% as cut-off because my main interest was in impaired loans.
There were 3600 loans total, and 527/1067/447/1559 were Current/IGP/Late 16-30/Late 31+ separately.
As of 04/24:
527 Current Loans with average discount -7.3%
5/429/93 were Paid-off/Current/GP or worse, so a loan-go-bad rate of 17.7%

1067 IGP Loans with average discount -13.7%
647/135/285 were Current/GP/Late or worse, so a loan-go-bad rate of 26.7%

447 Late 16-30 Loans with average discount -23.12%
165/32/250 were Current or GP/Late 16-30/Late 31+ or worse, so a loan-go-bad rate of 55.9%, a loan-healing-rate of 36.9%

1559 Late 31-120 Loans with average discount -47.33%
152/671/736 were current or GP/Late 31-120/Default or Charged off, so a loan-go-bad rate of 47.2%, a loan-healing-rate of 9.7%

Draw your own conclusion if anyone thinks Folio listing discount average is a good buying indicator.

 





« Last Edit: April 29, 2014, 08:36:53 AM by Ran »

Fred

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Re: Value of previously late notes
« Reply #28 on: April 28, 2014, 11:56:40 PM »
1559 Current Loans with average discount -47.33%
152/671/736 were current or GP/Late 31-120/Default or Charged off, so a loan-go-bad rate of 47.2%, a loan-healing-rate of 9.7%

I assume the above were for Late31-120 loans?

Also, are these 3600 notes the same ones between 02/22 and 04/24?  If some notes were taken out of the market or new ones entered the market, then it is hard to validate the loan-go-bad rates.

I took a snapshot of Foliofn listings two months ago and what I found out is that the loan default rates are MUCH higher than discount.

Finally, I do not think your "loan-go-bad rates" are the same as the "default rates" -- the probability for a loan to reach the Charged-Off status.  Your "loan-go-bad rates" are essentially transition probabilities on a Markov Process.  You can see similar discussions on this here: http://www.lendacademy.com/forum/index.php?topic=1302.0
« Last Edit: April 29, 2014, 12:15:03 AM by Fred »

Ran

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Re: Value of previously late notes
« Reply #29 on: April 29, 2014, 08:42:47 AM »
1559 Current Loans with average discount -47.33%
152/671/736 were current or GP/Late 31-120/Default or Charged off, so a loan-go-bad rate of 47.2%, a loan-healing-rate of 9.7%

I assume the above were for Late31-120 loans?

Also, are these 3600 notes the same ones between 02/22 and 04/24?  If some notes were taken out of the market or new ones entered the market, then it is hard to validate the loan-go-bad rates.

I took a snapshot of Foliofn listings two months ago and what I found out is that the loan default rates are MUCH higher than discount.

Finally, I do not think your "loan-go-bad rates" are the same as the "default rates" -- the probability for a loan to reach the Charged-Off status.  Your "loan-go-bad rates" are essentially transition probabilities on a Markov Process.  You can see similar discussions on this here: http://www.lendacademy.com/forum/index.php?topic=1302.0

80% of notes were active listed on 02/22 and the rest 20% were added in 10 days between 02/22-3/2. No changes were made to the note list after that. So what I showed above is loan-status -transition rate in two months period.
Yes, they are not the real default/charge off rate, but if you look at the transition rate in 2 months, you will not miss the big picture on the quality of the loans and potential charge off rate.