Post by sl75 on Oct 18, 2019 15:36:43 GMT
With nothing much going on at AC (no posts in this forum for a week!), I thought I'd share something interesting I found a couple of days ago, and have now looked into a little further, but with no firm conclusions about what it means...
To recap:
- the downloaded "loan book" for any of the access accounts seems to be automatically scaled to your current holding - so an investor with £1000 in the QAA who has £12 of a particalar loan, then an investor with £100 would have £1.20, and an investor with £1 would have £0.012 etc.
- the downloaded "loan book" for QAA, 30DAA, 90DAA shows exactly the same proportions of all loans.
After comparing and rescaling two consecutive loan book downloads, I happened to notice that the implied total holding of one of the loans had gone down by a very similar amount to what I'd recently sold[1]. Curious, I then rescaled it to make that exactly equal, and found a precise match on another loan I'd sold. Scrolling down the list of implied total holdings of various other loans I found that a surprisingly large number of them were for almost exactly a "nice round number" in human terms. Given that I didn't input any round numbers to achieve this, I'm confident this represents that actual holdings of the loan book backing the access accounts.
This gave an implied excess in the Access Accounts - e.g. for the most recent data point from this morning, the displayed balances on the Access Accounts totalled £209.25M, but the implied total from scaling the reference loan to the "correct" balance was £213.54M, implying an excess of £4.29M, just over 2% of the visible total, and I got a similar % when I manually did one other recent loan book.
I then picked a loan[2] that has been continuously suspended from trading for the entire period of my data set of loan book downloads with no repayments (so that the amount held is known and constant, allowing for quick processing), and calculated the implied total balance of all the access accounts based on this scaling. I've also recorded figures of the displayed totals for QAA, 30DAA, 90DAA over the same period, and correlated to the loan book downloads, repeating this calculation for all of the downloaded loan books for which I have a correlated snapshot of the QAA/30DAA/90DAA balances to get the attached chart (thumbnail below):
This has a lot of missing data, because for much of the period prior to 22 Feb 2019 (just after the 90DAA launched) I'd not been routinely keeping the downloaded loan books after extracting the other data I was interested in; the older ones before the big gaps were subsequently rescued from a Temp folder.
The data seems consistent with the existence of a further access account, whose total value peaked at over £6M around Jan/Feb, but has been steadily in decline ever since the 90DAA was introduced.
I wonder whether this is some kind of internal fund managed by AC (in which case should we be worried that it lost value as money was put into the 90DAA?), or some kind of underwriter-only account intended for them to keep their reserves that are not immediately required for funding new loans, and which the underwriters have been moving to the 90DAA (or indeed had the rate cut on their exclusive reserve account?).
I wonder whether bg might be able to fill in part of the missing data and/or (if not under NDA) confirm whether there is an underwriter-only account that's linked to the other Access Accounts?
[1] A non-round amount that was substantially less than the entire amount I had up for sale. This has all sorts of other interesting implications, not the main point of this post - such as that the entire £200M "access account" loan book interacts with the marketplace as though it were a single investor account...
[2] Specifically, I was using #227, which using the determined scaling appears to have a balance in the loan book backing the access accounts of £236700.0074 (all figures significant to the precision that everything else matched - e.g. several other more recent loans had exactly £10000.00000000 each or other similarly round numbers at the same scaling - #209 could also be used - its balance appears to have been a constant £5000.00000000)
