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Author Topic: Nickel Steamroller: 5% LOSS on completed F notes?

j
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Nickel Steamroller: 5% LOSS on completed F notes?
OP: October 04, 2014, 11:00:00 PM
When I do back testing on Nickel Steamroller, I see that, if I do not select "completed", the A,B...E notes come out about what I expect (though of course they depend on the myriad filters you can toy with).  But if I select "completed", which I assume shows only these notes that are completed,  F and G notes come out showing negative ROI. 

Does this really mean that, overall, people who invest in F and G notes have negative ROIs for those notes?  That just doesn't sound right-- and it contradicts Lending Club's statistics, which show F notes have one of the highest ROI's compared with other grades.

Could someone help me out...what am I missing?  Thanks!
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r
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Nickel Steamroller: 5% LOSS on completed F notes?
#1: October 04, 2014, 11:00:00 PM
I see a -3% ROI.  Also, one of the historic ways financial institutions hide risk is by large growth.  When the growth slows, then the true level of delinquencies and losses becomes evident.  A way to see this happening before its too late is to do vintage analysis instead of aggregates, which is what I assume the LC analysis does.
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Nickel Steamroller: 5% LOSS on completed F notes?
#4: October 04, 2014, 11:00:00 PM
The problem is that "completed" doesn't mean what you think it means. 

If you go to nickelsteamroller and instead of using "completed", use the "issue date" field to set an ending limit of 2/30/2011.   This will produce a set of loans that are now completed, in the sense that 36 months of payment due dates are done, and 4 months have elapsed to conclude the chargeoff.

You will see that the numbers for this set of loans make more sense.
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T
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Nickel Steamroller: 5% LOSS on completed F notes?
#6: October 05, 2014, 11:00:00 PM
Strange.  I did that (even using your exact date, and selecting only 36 mo loans) and got a similar result. 

When I moved it back to 02/30/2009 (to include 60 mo. loans), I get this.  In a sense I'm relieved, because I KNOW this can't be right.

(I'm doing well after 2 years, and got a little nervous when I saw that previous result on Nickel Steamroller I first posted about.  Sure, I expect my NAR to creep down as time goes on, but these numbers can make one think they are doomed to lose money in the long run!)

A   4.77%   8.58%   2.97%   $3,171,350.00   $355,193.60   522   100.00%   50.77%   75.00   $123,383.47   ($34,081.01)
B   1.24%   10.44%   8.39%   $6,813,825.00   $932,734.70   799   100.00%   40.68%   75.71   $751,153.80   ($70,605.36)
C   0.71%   11.98%   10.48%   $7,507,675.00   $1,180,133.40   880   100.00%   35.68%   75.53   $1,032,920.80   ($77,185.36)
D   -1.10%   13.50%   13.88%   $5,463,800.00   $985,596.90   632   100.00%   30.85%   75.95   $1,010,397.70   ($55,066.22)
E   0.58%   14.90%   13.51%   $3,818,775.00   $741,046.75   436   100.00%   31.42%   77.31   $672,594.44   ($39,388.21)
F   -8.98%   16.21%   24.44%   $1,877,975.00   $368,806.56   176   100.00%   29.55%   78.57   $555,649.06   ($17,320.14)
G   -5.29%   17.96%   22.49%   $1,351,025.00   $308,241.30   127   100.00%   22.05%   79.02   $385,776.75   ($13,224.51)
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T
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Nickel Steamroller: 5% LOSS on completed F notes?
#8: October 05, 2014, 11:00:00 PM
For that one, I did not use any filters except to put in the dates.
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T
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Nickel Steamroller: 5% LOSS on completed F notes?
#10: October 05, 2014, 11:00:00 PM
36 month loans, issued between 2/30/09 and 2/30/11:

A   4.66%   7.55%   2.07%   $37,894,680.00   $3,780,549.20   4,913   100.00%   52.27%   54.35   $1,035,840.70   ($407,288.28)
B   5.17%   10.94%   4.94%   $55,685,692.00   $7,995,070.00   5,519   100.00%   47.62%   56.42   $3,609,818.20   ($602,643.80)
C   5.02%   13.15%   7.31%   $40,701,608.00   $7,120,389.50   4,403   100.00%   44.47%   58.50   $3,958,409.50   ($441,765.12)
D   4.87%   14.82%   9.14%   $28,422,722.00   $5,629,679.50   2,735   100.00%   39.12%   59.34   $3,470,037.80   ($308,144.30)
E   4.07%   16.15%   11.26%   $11,552,075.00   $2,445,833.20   1,083   100.00%   39.24%   64.07   $1,705,038.40   ($124,183.33)
F   -3.88%   17.68%   20.76%   $4,888,200.00   $1,051,698.50   377   100.00%   35.54%   66.42   $1,233,980.90   ($48,203.07)
G   -1.16%   19.15%   19.54%   $2,616,825.00   $638,932.75   212   100.00%   26.89%   70.19   $650,814.70   ($26,914.27)
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L
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Nickel Steamroller: 5% LOSS on completed F notes?
#11: October 05, 2014, 11:00:00 PM
F and G loans have the worst returns of any notes on LC after taking prepayment and credit losses into accounts and that's WITH a decent economy. Imagine how they'll perform if we have a recession. I haven't invested in any since mid last year.
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