FS: All active and past loans

I mostly agree with you; my only point to consider would be measuring how long it took an average before they paid to see if there's a 'point of no return', then we apply that to the current 'late' book and make a judgement on that. Obviously there's no single defined point of no return and is instead a probability distribution, but that's how we work out which of those <3 month later loans will likely result in a loss.

I have a script that runs every 15 mins that pulls in data for all loans, completed loans, late loans, > 3 months late, > 6 months late, > 1 year late amongst other things.  The results are saved in a database.

Yes 90 days late is the IMF definition of a NPL.  In general though for dev/bridge loans many organisations use a longer time frame but it is fairly subjective.  For unsecured business loans and the like (like FC loans), loans that are 3 months late are a massive worry.  If the business is in trouble, they can't cover the interest and there are no assets then the risk of complete loss is very high.  For a bridge loan, overrunning is very typical.  Not being able to pay interest after 6 months does not impair the value of the asset...of course if the asset is very illiquid with a dubious valuation then the risk of default was high on day 1.  If I wrote a bridge on a residential home in London at 50% LTV...then I really wouldn't be too worried if they were a few months late in refinancing.  If I had lent against a performance, high spec powerboat then I would be worried as there is absolutely no market for such a boat and I would never have lent in the first place.

My point was that if a loan had repaid in full then it can't be considered non-performing, even if it paid 3 months late.  The loans to worry about are those that result in an actual loss.

Fantastic work everybody thanks.
I still say if you are going to hold loans to compleation don’t put more than 1% of your portfolio in any loan and you will make a decent return unless you are very very unlucky.  

You should never make an overall loss and non FISA capital losses would be deductible making return even better.

It’s been raining so perhaps “Dan1” could work out what your overall loss/ return on £100000 portfolio where 1% was placed in all of the loans that failed (with loss of capital)  in the last 2 years the worse case scenario .

So on this basis at least it means it's the larger loans that are underperforming the most. From what I've seen, it's also the larger loans that also seem to be the most speculative with potential for things to go wrong. I guess there isn't much surprise there, but it still sucks for people invested in those.

So looking at best case, with 23% by number being NPL, assuming 50% recovery on those loans we'd end up losing 11.5% of our capital, while 88.5% with 13% interest equals (almost) exactly 1. So, assuming 50% recovery (not even sure that's realistic), we would currently break even if we put a fixed amount in every investment. From this, it makes me even more certain that the only we hope we have is having the skill or luck to identify the loans to avoid.

There is confusion until you understand the FS terminology - this is why I presented the first table in my OPs.

What follows is my understanding, please correct me if I'm wrong.
From the All active and past loans page FS, looking at the Status and Defaulted columns...
Status->Defaulted = description
Loan Active->[blank] = active loan, possibly overdue
Loan Completed->[blank] = full payment of capital and interest
Loan Completed->Recovered = defaulted loan with full payment of capital and interest
Loan Completed->Defaulted = defaulted loan with partial payment of capital and interest (or in the case of Knaresborough 2nd charge loan no payment of capital or interest).  I assume action may be continuing against PGs?
Loan Defaulted->Unredeemed = defaulted loan in process of recovery
Loan Cancelled->[blank] = cancelled loan, interest paid to lenders for duration funds were committed