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Post by badlord on May 22, 2020 11:08:58 GMT
I am thinking of calculating the actual recovery rates from Bondora's dataset using my Python and script and the pandas library. I went through the description of fields in the public dataset. The following 5 fields look relevant. Would the following be a correct way of going about it going through loans that defaulted? PrincipalRecovery + InterestRecovery - PrincipalDebtServicingCost - InterestAndPenaltyDebtServicingCost
------------------------------------------------------------------------------------------------------- x 100%
PlannedPrincipalPostDefault
I put the same question to Bondora support, however they made a statement that they couldn't advise me on that and referred my to their own reports. I believe the debt servicing cost is a separate figure that's already excluded from recovery figures. So principalrecovery and interestrecovery are already the numbers that reached investors after the fees.
You can do a quick double check if you find a loan with PrincipalDebtServicingCost and then add PrincipalBalance + PrincipalRecovery + PrincipalDebtServicingCost + PrincipalWriteOffs and compare it to EAD1. If those numbers are equal (which they seem to be), then debt servicing cost is a separate figure.
If you want to be certain that you have the correct figures, you could round up loans that defaulted in a certain month and compare the recovery amount with the figures in Cumulative recovery rate graph on their statistics page. It has percentage and sum both available, so you should get a figure that's somewhat close to that.
OK, with PrincipalRecovery + InterestRecovery
------------------------------------ x 100%
PlannedPrincipalPostDefault
I'm getting the following for Estonia. Calculations over defaulted loans only. Buckets created over (Rating, Year of issuance, Maturity): Annual Default Intensity Recovery Rate #
Rating LoanDate LoanDuration
AA 2017 3 0.000000 ----- 4
6 0.000000 ----- 14
9 0.000000 ----- 8
12 0.000000 ----- 33
18 0.000000 ----- 16
24 0.049605 265.7% 26
30 0.038705 15.31% 8
36 0.160370 40.89% 599
48 0.131143 73.06% 38
60 0.108145 79.46% 248
2018 3 ----- ----- 0
6 0.000000 ----- 7
9 0.000000 ----- 2
12 0.000000 ----- 8
18 0.000000 ----- 4
24 0.000000 ----- 12
30 0.000000 ----- 3
36 0.131186 44.56% 362
48 0.159579 143.26% 26
60 0.110338 47.9% 174
A 2017 3 0.000000 ----- 4
6 0.000000 ----- 16
9 0.000000 ----- 8
12 0.094482 83.26% 26
18 0.369049 29.65% 13
24 0.123973 50.68% 44
30 0.082520 20.88% 14
36 0.213313 39.14% 644
48 0.386839 24.21% 53
60 0.176205 58.52% 314
2018 6 0.000000 ----- 10
9 0.000000 ----- 5
12 0.108977 81.06% 19
18 0.000000 ----- 16
24 0.054662 16.0% 31
30 0.000000 ----- 9
36 0.156707 25.42% 783
48 0.133436 31.03% 64
60 0.149283 51.86% 457
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Post by rahafoorum on May 22, 2020 13:37:54 GMT
Do you find that splitting them by loan duration adds value in this instance?
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Post by badlord on May 22, 2020 14:14:31 GMT
Do you find that splitting them by loan duration adds value in this instance? I developed this script in 2018 for the purposes of deciding which maturities to invest in, as I saw different default intensities in them. The shorter ones had better hazard rates. Anyway, without grouping by maturities it looks as follows, again numbers are for Estonia: Recovery Rate
Rating LoanDate
AA 2015 30.49%
2016 44.35%
2017 51.69%
2018 45.88%
2019 14.4%
2020 -----
A 2015 52.35%
2016 47.94%
2017 43.66%
2018 36.0%
2019 37.0%
2020 -----
B 2015 49.94%
2016 42.22%
2017 41.15%
2018 48.95%
2019 42.05%
2020 0.0%
C 2015 41.25%
2016 40.28%
2017 34.09%
2018 50.6%
2019 25.51%
2020 0.0%
D 2015 46.4%
2016 39.22%
2017 40.05%
2018 57.43%
2019 38.27%
2020 0.0%
E 2015 43.46%
2016 42.39%
2017 58.65%
2018 82.11%
2019 74.51%
2020 -----
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Post by rahafoorum on May 22, 2020 15:21:37 GMT
Would have expected that it's better for Estonians to be honest. But I guess we have to account for 35% collection fee here as well. So borrowers have actually repaid roughly this amount divided by 65%.
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Post by badlord on May 22, 2020 17:06:20 GMT
Would have expected that it's better for Estonians to be honest. But I guess we have to account for 35% collection fee here as well. So borrowers have actually repaid roughly this amount divided by 65%. So, what do you think -- this formula PrincipalRecovery + InterestRecovery
------------------------------------ x 100%
PlannedPrincipalPostDefault
produces accurate results for recovery rates?
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Post by rahafoorum on May 23, 2020 12:17:35 GMT
I haven't looked at what this plannedprincipal field includes. I'd personally use EAD1 (exposure at default, only principal included).
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Post by badlord on May 23, 2020 18:34:12 GMT
I haven't looked at what this plannedprincipal field includes. I'd personally use EAD1 (exposure at default, only principal included). I think you are right. PrincipalRecovery + InterestRecovery
------------------------------------ X 100%
EAD1
Gives more reasonable recovery rates. I don't see anything exceeding 100% (Estonia): Annual Default Intensity Recovery Rate #
Rating LoanDate LoanDuration
AA 2017 3 0.000000 ----- 4
6 0.000000 ----- 14
9 0.000000 ----- 8
12 0.000000 ----- 33
18 0.000000 ----- 16
24 0.049605 82.7% 26
30 0.038705 13.41% 8
36 0.160370 22.55% 599
48 0.131143 23.36% 38
60 0.108145 21.71% 248
2018 3 ----- ----- 0
6 0.000000 ----- 7
9 0.000000 ----- 2
12 0.000000 ----- 8
18 0.000000 ----- 4
24 0.000000 ----- 12
30 0.000000 ----- 3
36 0.131186 14.5% 362
48 0.159579 6.07% 26
60 0.110338 9.41% 174
2019 3 ----- ----- 0
6 0.044908 0.0% 70
9 0.000000 ----- 18
12 0.009479 0.0% 100
18 0.015748 0.0% 60
24 0.000000 ----- 143
30 0.000000 ----- 39
36 0.097130 1.8% 1401
48 0.007117 0.0% 126
60 0.048184 0.88% 1438
A 2017 3 0.000000 ----- 4
6 0.000000 ----- 16
9 0.000000 ----- 8
12 0.094482 46.13% 26
18 0.369049 12.56% 13
24 0.123973 40.42% 44
30 0.082520 13.62% 14
36 0.213313 20.58% 644
48 0.386839 8.96% 53
60 0.176205 17.77% 314
2018 6 0.000000 ----- 10
9 0.000000 ----- 5
12 0.108977 13.41% 19
18 0.000000 ----- 16
24 0.054662 4.22% 31
30 0.000000 ----- 9
36 0.156707 8.27% 783
48 0.133436 6.96% 64
60 0.149283 9.49% 457
2019 6 0.055541 0.0% 15
9 0.087198 0.0% 26
12 0.000000 ----- 38
18 0.000000 ----- 32
24 0.113315 0.0% 76
30 0.133122 3.4% 20
36 0.131135 2.11% 1480
48 0.269392 14.92% 125
60 0.088366 3.1% 1016
Without grouping by maturity (Estonia): Recovery Rate
Rating LoanDate
AA 2015 23.46%
2016 25.41%
2017 22.63%
2018 12.26%
2019 1.39%
2020 0.0%
A 2015 39.76%
2016 25.01%
2017 19.01%
2018 8.88%
2019 2.95%
2020 0.0%
B 2015 34.82%
2016 22.79%
2017 18.9%
2018 10.62%
2019 3.62%
2020 0.0%
C 2015 31.21%
2016 22.11%
2017 16.23%
2018 10.34%
2019 2.23%
2020 0.0%
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Post by rahafoorum on May 24, 2020 14:53:16 GMT
I was trying to figure out why those figures are so small and then realized that you're looking at loandate. I've usually looked at DefaultDate to see how much a loan has recovered over a certain period of time. That's why the figures are probably so different from what I expected.
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Post by rahafoorum on May 28, 2020 6:25:45 GMT
I haven't looked at what this plannedprincipal field includes. I'd personally use EAD1 (exposure at default, only principal included). I think you are right. PrincipalRecovery + InterestRecovery
------------------------------------ X 100%
EAD1
Gives more reasonable recovery rates. I don't see anything exceeding 100% (Estonia): Annual Default Intensity Recovery Rate #
Rating LoanDate LoanDuration
AA 2017 3 0.000000 ----- 4
6 0.000000 ----- 14
9 0.000000 ----- 8
12 0.000000 ----- 33
18 0.000000 ----- 16
24 0.049605 82.7% 26
30 0.038705 13.41% 8
36 0.160370 22.55% 599
48 0.131143 23.36% 38
60 0.108145 21.71% 248
2018 3 ----- ----- 0
6 0.000000 ----- 7
9 0.000000 ----- 2
12 0.000000 ----- 8
18 0.000000 ----- 4
24 0.000000 ----- 12
30 0.000000 ----- 3
36 0.131186 14.5% 362
48 0.159579 6.07% 26
60 0.110338 9.41% 174
2019 3 ----- ----- 0
6 0.044908 0.0% 70
9 0.000000 ----- 18
12 0.009479 0.0% 100
18 0.015748 0.0% 60
24 0.000000 ----- 143
30 0.000000 ----- 39
36 0.097130 1.8% 1401
48 0.007117 0.0% 126
60 0.048184 0.88% 1438
A 2017 3 0.000000 ----- 4
6 0.000000 ----- 16
9 0.000000 ----- 8
12 0.094482 46.13% 26
18 0.369049 12.56% 13
24 0.123973 40.42% 44
30 0.082520 13.62% 14
36 0.213313 20.58% 644
48 0.386839 8.96% 53
60 0.176205 17.77% 314
2018 6 0.000000 ----- 10
9 0.000000 ----- 5
12 0.108977 13.41% 19
18 0.000000 ----- 16
24 0.054662 4.22% 31
30 0.000000 ----- 9
36 0.156707 8.27% 783
48 0.133436 6.96% 64
60 0.149283 9.49% 457
2019 6 0.055541 0.0% 15
9 0.087198 0.0% 26
12 0.000000 ----- 38
18 0.000000 ----- 32
24 0.113315 0.0% 76
30 0.133122 3.4% 20
36 0.131135 2.11% 1480
48 0.269392 14.92% 125
60 0.088366 3.1% 1016
Without grouping by maturity (Estonia): Recovery Rate
Rating LoanDate
AA 2015 23.46%
2016 25.41%
2017 22.63%
2018 12.26%
2019 1.39%
2020 0.0%
A 2015 39.76%
2016 25.01%
2017 19.01%
2018 8.88%
2019 2.95%
2020 0.0%
B 2015 34.82%
2016 22.79%
2017 18.9%
2018 10.62%
2019 3.62%
2020 0.0%
C 2015 31.21%
2016 22.11%
2017 16.23%
2018 10.34%
2019 2.23%
2020 0.0%
Did you look at other countries as well?
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Post by badlord on Dec 20, 2020 18:07:19 GMT
I was trying to figure out why those figures are so small and then realized that you're looking at loandate. I've usually looked at DefaultDate to see how much a loan has recovered over a certain period of time. That's why the figures are probably so different from what I expected. If I group by the default date it looks slightly different indeed. Estonia recoveries (grouping by loan issuance date)
Recovery Rate
Rating LoanDate
AA 2015 26.12%
2016 31.86%
2017 27.39%
2018 18.95%
2019 3.52%
2020 0.96%
A 2015 43.93%
2016 33.17%
2017 23.97%
2018 14.76%
2019 4.75%
2020 1.31%
B 2015 38.19%
2016 26.61%
2017 23.84%
2018 15.71%
2019 5.65%
2020 0.74%
C 2015 34.11%
2016 25.45%
2017 19.45%
2018 14.31%
2019 6.14%
2020 1.41%
D 2015 37.61%
2016 24.91%
2017 22.62%
2018 14.64%
2019 6.78%
2020 1.64%
Estonia recoveries (grouping by default date) Recovery Rate
Rating DefaultDate
AA 2015 126.42%
2016 15.92%
2017 47.36%
2018 25.43%
2019 28.19%
2020 3.21%
A 2015 70.65%
2016 42.75%
2017 41.37%
2018 32.43%
2019 16.06%
2020 5.2%
B 2015 63.11%
2016 41.9%
2017 28.78%
2018 29.01%
2019 18.92%
2020 3.59%
C 2015 61.63%
2016 40.33%
2017 24.01%
2018 25.47%
2019 14.63%
2020 4.85%
D 2015 60.03%
2016 42.77%
2017 24.8%
2018 26.7%
2019 15.9%
2020 4.55%
Interesting that for AA loans defaulted in 2015 the recovery rate exceeds 100%
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Post by badlord on Dec 20, 2020 19:04:02 GMT
Did you look at other countries as well? Sure. Finland (grouped by loan issuance date) Recovery Rate
Rating LoanDate
AA 2017 9.85%
2018 2.79%
2019 0.0%
A 2017 12.36%
2018 8.62%
2019 0.38%
B 2015 21.12%
2016 7.39%
2017 21.63%
2018 15.3%
2019 0.12%
C 2015 30.82%
2016 19.44%
2017 12.65%
2018 9.3%
2019 0.82%
2020 0.0%
D 2015 31.62%
2016 20.72%
2017 13.79%
2018 8.65%
2019 2.22%
Finland (grouped by default date) Recovery Rate
Rating DefaultDate
AA 2017 1.14%
2018 10.59%
2019 4.15%
2020 0.84%
A 2017 0.0%
2018 10.93%
2019 12.08%
2020 0.22%
B 2015 34.86%
2016 20.93%
2017 34.39%
2018 19.87%
2019 13.86%
2020 5.26%
C 2015 40.05%
2016 36.09%
2017 27.07%
2018 11.57%
2019 8.11%
2020 0.9%
D 2015 37.92%
2016 35.2%
2017 27.34%
2018 12.59%
2019 7.99%
2020 1.65%
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Post by coolrunning on Feb 9, 2021 8:26:07 GMT
Only just seen this - good info. Thanks Badlord.
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