Default data is now live

Good comment.  I shall ask for a change to be made.

Thanks Andrew

Under the header "How We Calculate The Actual And Expected Default Rates" at the bottom of the linked web page you have the following text (my bold):

"To calculate the Expected Loss we use two factors: Probability of Default and Loss Given Default. [...] In poor market conditions we may only recover 60% of the security value. If we have lent at 80% Loan To Value, then the Loss Given Default is 80%-60% = 20%. [...] So in a poor market at 15% Probability of Default and a 20% Loss Given Default, we would expect a loss of 3%.”

I hope that you can see that the Loss Given Default is (80-60)/80=25% [of the loan amount] not 20%, making the Expected Loss 15% x 25%=3.75% not 3% [of the loan amount].

Jack

Very nice to see the data andrewholgate, a very positive step.  How often will this be updated ?

Does the information in the "Future performance of current live loans" section exclude all of 8 loans "Defaulted loans being recovered" ?  Looks like it does, if so maybe worth saying so.  The term "live loan" is the slight issue.  In browse loans / live loans tab it shows defaulted loans which if I am correct is at odds with "Future performance of current live loans".

andrewholgate Thanks for the info

 Default Declared interest will accrue at our default rate which is usually around 4% per annum above the published rate on the loan.

Not on any loan paying default interest Im in, is this a typo or has the current rate of 3% above increased on recent loans?

Also 100% of defaulted interested recovered on the 9 defaulted loans isnt strictly true (as the caveat admits), the fact that lenders agreed to waive some of the interest in order to get the capital back means that AC was unsuccesful in achieving full recovery and personally I think the figure should reflect this. 95% would still be pretty good.

ISTM (assuming right loan) that no, lenders waived effectively 50% of interest accrued from the default of the loan until redemption, (1/5 would have been default +3% on normal 12%) so by my reckoning they therefore didnt recieve a portion of the regular interest (c33%) & none of the default interest accumulated. (IMO Caveat is actually wrong in that respect)

The wording states that AC recovered £355k of interest due after the loan defaulted and that is 100% recovery. It isnt because interest due after the loan defaulted would be £375k taking into account the £20k waived. Semantics maybe but I dont really see the need to caveat the sum. P2P has risks, the fact that AC has no crystallised capital losses and only a small shortfall on accrued interest is excellent and probably better than most.

andrewholgate:  Thanks for publishing this info.  It will be interesting to see how this changes in future. 

In the meantime, I'm confused a bit by the 'Defaulted loans being recovered' section...

• The expected capital loss shown is described as 'conservative', and might turn out to be less than stated because past recoveries have been better than 'initial worst case assessments'.  Does this mean the numbers given are the 'worst case' amounts?  Or are they 'likely' amounts?

• Having been given the capital recovery (£5.115M) and the expected capital loss (£1.345M), I can see that the expected capital recovery factor is 79.2% [= 5.115 / (5.115 + 1.345)].  But what is the expected recovery factor for interest accrued after default?  We've been told AC expect to recover £335k of accrued interest, but we've been given no clue whether that's most of the accrued interest or only a small fraction.

• Is it fair to presume that any recovery would be classified as capital first and then, if capital was 100% recovered, any remaining recovery would be classified as interest?  If that's the case, then I take the fact that AC expect to recover some accrued interest to mean that AC expect to achieve 100% capital recovery for some of these eight loans.  If that's not the case, then how is it decided how any recovery amount is divided between capital and interest?  (In thinking about it a bit more, I sure hope none of a recovery is considered to be interest unless all capital is recovered, as otherwise an investor who sold their parts and recovered their capital before trading was stopped will receive an interest payout at the same time that investors who stayed to the end will have lost capital -- IMHO that's not a fair distribution of the recovery proceeds.)

As a minor point, in the 'What Are Losses?' section, the second paragraph starts with "If a default is triggered and the lender cannot cure the problem...".  I would have thought it was the borrower who needed to cure the default, not the lender.

Whats missing from the data is any info on the actual rate of defaults ie loans that fail to repay on time either principal or interest. We have predicted default rates on current perfoming loans and recovery and loss rates but nothing on how many loans have defaulted to date, either in total or by year, something which is provided by RS and FC for example. There is a section at the bottom titled 'How we calculate the actual and expected default rates' but it only covers expected default & loss rates.

Taking the definition of a default given  - they make the agreed loan repayments on time without fail* - there are 30 loans which have defaulted, gone beyond term and paid/paying default rate or are in arrears, excluding all those that have had an extension agreed by lenders but have not been defaulted (technically within the definition too). Thats a 15% default rate against the total loan book of c200 loans (excluding all loans which are just administrative continuations ie many bridging loans - I would argue the more than 200 loans figure quoted is actually incorrect as a result) 9 have been fully recovered, 1 had some interest foregone, 1 rolled into a new loan, 9 are in Insolvency, 2 on agreed payment plans, 4 on extensions at default rate, 4 in arrears. Need to dig into data more for annual rates.

*probably covers most loans as few actually pay on the date specified but Ive ignored that