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Post by solicitorious on Oct 8, 2015 20:28:21 GMT
Adding a new variable T=0.10% (1 in a 1000 chance of a total loss)
for D=50%, L=50% (uniform), Model says:
Chance of any loss 100.00%, no loss 0.00%
loss <0.5% 0.02%
loss >0.5% 99.98%
loss >1% 99.95%
loss >2% 99.67%
loss >3% 98.29%
loss >5% 86.24%
loss >10% 9.37%
loss >20% 0.02%
loss >30% 0.01%
loss >40% 0.01%
loss >50% 0.00%
overall loss 7.28%, including times when there's no loss
average loss 7.28%, if there is a loss
Comparison with when there's no PF
Chance of any loss 100.00%, no loss 0.00%
loss <0.5% 0.00%
loss >0.5% 100.00%
loss >1% 100.00%
loss >2% 100.00%
loss >3% 99.95%
loss >5% 98.29%
loss >10% 36.05%
loss >20% 0.08%
loss >30% 0.01%
loss >40% 0.01%
loss >50% 0.00%
overall loss 9.28%, including times when there's no loss
average loss 9.28%, if there is a loss
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Post by solicitorious on Oct 8, 2015 20:41:51 GMT
I'd like to try drawing L% from the Normal Distribution.
Any ideas for a SD? 5%? 10%?
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pikestaff
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Post by pikestaff on Oct 9, 2015 7:44:22 GMT
Remember the ONLY likelihood of a total loss is a massive fraud committed by the borrower. 1 in a 1000 seems to be very conservative, so we would put it at 1 in 10,000 maybe 1 in 100,000 given our DD and security measures in place and even then, those figures are conservative... Utter nonsense. To give one example. The risk of loss is material where you have a second charge behind a first charge of 50%+ over a top-of-the range property where the market is thin, valuation is highly subjective, and demand could disappear in a downturn. I had been considering opening an account with SS now that you have the proper legal structure in place, but this wild statement does you no favours and has convinced me not to.
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arbster
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Post by arbster on Oct 9, 2015 7:53:03 GMT
Remember the ONLY likelihood of a total loss is a massive fraud committed by the borrower. 1 in a 1000 seems to be very conservative, so we would put it at 1 in 10,000 maybe 1 in 100,000 given our DD and security measures in place and even then, those figures are conservative... Utter nonsense. To give one example. The risk of loss is material where you have a second charge behind a first charge of 50%+ over a top-of-the range property where the market is thin, valuation is highly subjective, and demand could disappear in a downturn. I had been considering opening an account with SS now that you have the proper legal structure in place, but this wild statement does you no favours and has convinced me not to. Which particular property are you thinking of, pikestaff? I hadn't noticed a second charge in any of SS's loans, but might have overlooked it.
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pikestaff
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Post by pikestaff on Oct 9, 2015 8:11:54 GMT
arbster Not being on SS I am not deeply familiar with the portfolio but this post p2pindependentforum.com/post/63159/thread identifies one: PBL51. I am not saying that PBL51 matches my scenario exactly (I've not looked at the property details) but the location is the kind of place where values could fall sharply in a downturn. They did in the early 90s. Repossessed top-of-the-range properties can easily go for less than 50% of top-of-the-market value if they are stale to the market and the first chargeholder just wants out.
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sam i am
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Post by sam i am on Oct 9, 2015 8:16:06 GMT
Check out the loans with lower LTVs and you will find several that are second charge. I'm aware of PBL6, PBL35, PBL51 and PBL52. It's possible there are others.
Edit: It has been a gripe on this forum that the LTVs shown on the Loans page is just the % loan held by SS. I for one (and I think most others) would prefer to see the LTV shown as the sum of first and second charge where SS has the second charge. Take the extreme example of PBL51 which has a loan of £250k and a valuation of £2.35m = LTV 11%. But if the first charge of £1.16m is taken into account we have combined loans of £1.41m, so the total LTV is 60%. Details are given in the bridging particulars document.
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arbster
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Post by arbster on Oct 9, 2015 8:26:59 GMT
Check out the loans with lower LTVs and you will find several that are second charge. I'm aware of PBL6, PBL35, PBL51 and PBL52. It's possible there are others. Edit: It has been a gripe on this forum that the LTVs shown on the Loans page is just the % loan held by SS. I for one (and I think most others) would prefer to see the LTV shown as the sum of first and second charge where SS has the second charge. Take the extreme example of PBL51 which has a loan of £250k and a valuation of £2.35m = LTV 11%. But if the first charge of £1.16m is taken into account we have combined loans of £1.41m, so the total LTV is 60%. Details are given in the bridging particulars document. I agree with your edit - the LTV shown should be the total LTV. And in the case of PBL51, if you take the 90-day sale price the LTV is approaching 80%.
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SteveT
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Post by SteveT on Oct 9, 2015 8:47:33 GMT
Check out the loans with lower LTVs and you will find several that are second charge. I'm aware of PBL6, PBL35, PBL51 and PBL52. It's possible there are others. Edit: It has been a gripe on this forum that the LTVs shown on the Loans page is just the % loan held by SS. I for one (and I think most others) would prefer to see the LTV shown as the sum of first and second charge where SS has the second charge. Take the extreme example of PBL51 which has a loan of £250k and a valuation of £2.35m = LTV 11%. But if the first charge of £1.16m is taken into account we have combined loans of £1.41m, so the total LTV is 60%. Details are given in the bridging particulars document. I agree with your edit - the LTV shown should be the total LTV. And in the case of PBL51, if you take the 90-day sale price the LTV is approaching 80%. Whilst the LTV calculations for PBL51 in isolation look top-ish, if you consider the wider context of this loan (see BL Particulars) and the strength of the PG behind it then it gives me very little cause for concern. I think savingstream's bullish comment yesterday was simplistic / incautious and one I hope they don't have future cause to regret, but I have to give them credit for being pretty careful (to date) to whom and on what they lend.
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sam i am
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Post by sam i am on Oct 9, 2015 8:50:38 GMT
Check out the loans with lower LTVs and you will find several that are second charge. I'm aware of PBL6, PBL35, PBL51 and PBL52. It's possible there are others. Edit: It has been a gripe on this forum that the LTVs shown on the Loans page is just the % loan held by SS. I for one (and I think most others) would prefer to see the LTV shown as the sum of first and second charge where SS has the second charge. Take the extreme example of PBL51 which has a loan of £250k and a valuation of £2.35m = LTV 11%. But if the first charge of £1.16m is taken into account we have combined loans of £1.41m, so the total LTV is 60%. Details are given in the bridging particulars document. I agree with your edit - the LTV shown should be the total LTV. And in the case of PBL51, if you take the 90-day sale price the LTV is approaching 80%. Looking at the 90-day sale valuation opens up a whole new area of concern. Take PBL58. Loan = £3m, 90-day (sale by auction) valuation = £2.5m, 90-day LTV = 120%.
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SteveT
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Post by SteveT on Oct 9, 2015 8:57:20 GMT
I agree with your edit - the LTV shown should be the total LTV. And in the case of PBL51, if you take the 90-day sale price the LTV is approaching 80%. Looking at the 90-day sale valuation opens up a whole new area of concern. Take PBL58. Loan = £3m, 90-day (sale by auction) valuation = £2.5m, 90-day LTV = 120%. Again, I'd suggest looking at the numbers in the context of the loan particulars. The apartments have already been pre-sold and the loan is bridging finance until sale completion.
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sam i am
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Post by sam i am on Oct 9, 2015 9:03:33 GMT
Looking at the 90-day sale valuation opens up a whole new area of concern. Take PBL58. Loan = £3m, 90-day (sale by auction) valuation = £2.5m, 90-day LTV = 120%. Again, I'd suggest looking at the numbers in the context of the loan particulars. The apartments have already been pre-sold and the loan is bridging finance until sale completion. Yes, there's always a balance, and you are right to mention Savingstream's good record to date. In any case it's always easy to pull holes in the valuations. If they were absolutely watertight we wouldn't be earning 12%.
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Post by solicitorious on Oct 9, 2015 11:27:36 GMT
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mikes1531
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Post by mikes1531 on Oct 9, 2015 12:08:28 GMT
Check out the loans with lower LTVs and you will find several that are second charge. I'm aware of PBL6, PBL35, PBL51 and PBL52. It's possible there are others. Edit: It has been a gripe on this forum that the LTVs shown on the Loans page is just the % loan held by SS. I for one (and I think most others) would prefer to see the LTV shown as the sum of first and second charge where SS has the second charge. Take the extreme example of PBL51 which has a loan of £250k and a valuation of £2.35m = LTV 11%. But if the first charge of £1.16m is taken into account we have combined loans of £1.41m, so the total LTV is 60%. Details are given in the bridging particulars document. I agree with your edit - the LTV shown should be the total LTV. And in the case of PBL51, if you take the 90-day sale price the LTV is approaching 80%. IMHO SS are being less transparent regarding this lately. There was a time when they tried harder to make the situation clear. The website description of PBL6, for instance, says "Please be aware that there is an existing first charge on this bridging loan so the overall LTV is actually 59% LTV." With PBL51, OTOH, there's no such message on the website directly. The particulars do mention the fact that there is a prior charge and that the LTV is actually 60%, so the info is there but it isn't as obvious as with PBL6. But it does bother me that the list of live loans shows the PBL51 LTV as 11%. I do hope that removing such misleading info is part of the website redesign that we've been promised for so long.
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pikestaff
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Post by pikestaff on Oct 10, 2015 10:35:44 GMT
Not how I read it. Why on earth would you exclude the No.1 risk?
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bigfoot12
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Post by bigfoot12 on Oct 10, 2015 17:00:14 GMT
Not how I read it. Why on earth would you exclude the No.1 risk? Because the No.1 risk has been modelled separately.
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