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Messages - brycemason

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Investors - LC /
« on: April 29, 2017, 11:00:00 PM »
Nice alternative graph, Fred93. I like the iso-time-through concept.
Worked for me today! 1099-OID and 1099-B for the charge offs and recoveries.
Investors - LC / Back Testing Traded Notes
« on: October 23, 2016, 11:00:00 PM »
If your csv has date of sale, you could download the payment history file, keep all cash flows after the date of sale for each loan, calculate a present value at the time of each sale using a discount rate, sum them all up and compare to your proceeds from sale. If proceeds exceeds the present value, you won. The payment history file is over 4GB, so you would need a proper statistical package or load it into a database.
Investors - LC / 1247 new loans dropped
« on: July 14, 2016, 11:00:00 PM »
I saw roughly 2250 loans drop at 6pm. Never seen an order so large on my automated system. $5400 order of $50 notes. All "A" grades, which is great. I had been running a bit too high on B notes.
Investors - LC / Advice please
« on: March 01, 2016, 12:00:00 AM »
Educate yourself about the tax implications of this investment. You may be able to generate equivalent post-tax returns with less risky loans.
Investors - LC / Effect of Previous Delinquencies on Probability of Default
« on: December 23, 2015, 12:00:00 AM »
Being stumped by covariance is so 2011 on this forum, but you caught me in a good mood after a pleasant 16-hour day of building loan servicing logic. Data: LC 9/30/2015 extract, matured policy code 1 36-month loans between 3 and 5 years old (out of convenience); various other exclusions I'll cite later.

Define prior_delinq to be 1 just in case delinq_2yrs is greater than 0. Useful practice because of the few data points past 1 anyway. Avoids estimation issues.

. tab delinq_2yrs

delinq_2yrs |      Freq.     Percent        Cum.
          0 |     39,617       89.42       89.42
          1 |      3,493        7.88       97.31
          2 |        779        1.76       99.07
          3 |        243        0.55       99.62
          4 |         73        0.16       99.78
          5 |         47        0.11       99.89
          6 |         23        0.05       99.94
          7 |         12        0.03       99.97
          8 |          3        0.01       99.97
          9 |          4        0.01       99.98
         10 |          3        0.01       99.99
         11 |          4        0.01      100.00
         18 |          1        0.00      100.00
      Total |     44,302      100.00

Observation (single-variable analysis): Having a prior delinquency increases the chance of a charge off event.

Logistic regression                               Number of obs   =      44302
                                                  LR chi2(1)      =      27.03
                                                  Prob > chi2     =     0.0000
Log likelihood = -16924.115                       Pseudo R2       =     0.0008

   chargeoff |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
prior_delinq |   .2302795    .043396     5.31   0.000      .145225    .3153341
       _cons |   -1.94617    .015193  -128.10   0.000    -1.975947   -1.916392

Observation (Multi-variate analysis): This relationship vanishes when controlling for the four horsemen of the consumer credit scoring apocalypse.

Logistic regression                               Number of obs   =      44302
                                                  LR chi2(5)      =    1575.80
                                                  Prob > chi2     =     0.0000
Log likelihood = -16149.729                       Pseudo R2       =     0.0465

     chargeoff |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
  prior_delinq |  -.0021604    .044922    -0.05   0.962    -.0902059    .0858851
fico_range_low |  -.0153585   .0005158   -29.78   0.000    -.0163695   -.0143476
inq_last_6mths |   .1900362    .013459    14.12   0.000      .163657    .2164155
emp_na_slf_ret |   .4404685   .0522608     8.43   0.000     .3380393    .5428978
      loan2inc |   2.286919   .1299917    17.59   0.000      2.03214    2.541698
         _cons |   8.213554   .3604598    22.79   0.000     7.507065    8.920042

Investors - LC / Worst Month Yet
« on: December 03, 2015, 12:00:00 AM »
My account and that of my family has shown increased distress in the last quarter.
P2P-Picks / Personal Portfolio Returns
« on: September 23, 2015, 11:00:00 PM »
After three and a half years of maximizing returns, I've decided to reduce the risk of the portfolio and invest in A/B grade paper. This is mostly due to my account being taxable. Each year I wind up roughly with enough capital losses to max out my $3k deduction. I do not want to be in a situation where the economy stutters, defaults double, I have to pay taxes on all the interest, I'm stuck with a tax asset I might not use for some time, and the after-tax growth on the portfolio is 0 or negative. The A/B portfolio should have roughly 1% defaults per year in steady state, allowing me to add capital to the account. It will be a long haul to turn over the whole portfolio!

Here's the final resting place of the returns: 9.7%. The blue dot's in a good place. Pretty satisfied with that for a buy-and-hold strategy.
Investors - LC / Funds or DIY
« on: August 01, 2015, 11:00:00 PM »
While the fees are an obvious cost, funds can provide benefits. One is that you can wire your money into the fund and you are invested immediately upon the agreed day. No waiting to buy loans. Due to the strong cash flow of this asset, you can also liquidate your position with pretty high likelihood with short notice. With a normal portfolio you'd have to let it run off or go to the secondary market. Some funds use leverage, which could be a benefit depending upon your risk appetite, and might be hard to replicate individually. Some funds also provide diversification across multiple platforms and credit classes (consumer, small business, student loan). There are four examples that could make the fees worthwhile.
P2P-Picks / P2P-Picks is off line
« on: June 29, 2015, 11:00:00 PM »
P2P-Picks / Closing P2P-Picks Newsletters and Your Alternatives
« on: June 07, 2015, 11:00:00 PM »
Dear Subscriber,

I am writing to share that effective June 30th, P2P-Picks newsletters will no longer be available for use. After three years of effort in this niche of finance, an opportunity has come along that I am compelled to take, which will require my full business time and attention. Starting on July 1st, I will be the Chief Investment Officer of Direct Lending Investments, one of the first private investment firms to focus on this space (

This decision comes with mixed feelings because in a small way, part of my opportunity has come as a result of your trust and use of my services. The P2P-Picks newsletters led to some of my first consulting jobs, which have multiplied over the last year and culminated in this new role. I regret that I have to let P2P-Picks go and deeply hope that you have had an enjoyable experience with the service. At the same time, I am excited to begin working for a fund, learning about other types of credit and still performing plenty of due diligence to ensure investments are sound.

To help you transition away from P2P-Picks, I have asked other service providers to create some alternatives for your consideration. P2P-Picks newsletters will not be available at any outlet; any other credit models are providers' own creations. Descriptions of the services are provided by the respective companies and listed in alphabetical order so as not to connote a preference.

Yours Sincerely,

Bryce Mason


BlueVestment's sole focus is to provide you with the fastest access to the Lending Club loans which match your investing strategies. With an innovative pricing model that allows you to make up to $1,000 of investments each month at zero cost, and the most flexible filtering options of any 3rd party tool, BlueVestment is a great way for P2P novices and pros alike to maximize their Lending Club returns.


LendingRobot helps maximizing returns in marketplace lending through full automation. Thanks to sophisticated machine-learning algorithms and a high performance cloud-based infrastructure, LendingRobot offers automated investment decision, automated execution, detailed performance analytics, as well as an unique solution to trade on the secondary market. LendingRobot is a SEC-registered Investment Advisor, and supports both Lending Club and Prosper marketplaces. P2P-Picks clients get $10,000 managed for free when signing up from the referral link.

NSR Platform

With over $85 million on platform, NSR Invest is the leading independent investment service for individual investors seeking p2p returns. To provide continuity to P2P-Picks users, NSR Invest has created NSR Picks which was developed using the same conceptual framework as P2P-Picks. Investors will find Loss Minimizer, Profit Balancer, and Profit Maximizer investment strategies for both Prosper and Lending Club. These strategies are not new; in fact, NSR Invest has been using them internally for over a year with great success. NSR Invest will be waiving fees for users who sign up for NSR Picks with under $20,000 of managed assets.  Learn more and sign up for NSR Picks at the link above.

Investors - LC / Reinvestment amount in relation to total notes
« on: April 27, 2015, 11:00:00 PM »
One advantage is that it's fewer entries on your tax return.
BlueVestment / Using BlueVestment with P2P-Picks for Lending Club
« on: April 19, 2015, 11:00:00 PM »
BlueVestment has been given a copy of LendGuardian for their stack. They will soon be making my picks locally to improve speed.
BlueVestment / P2P Picks!
« on: April 19, 2015, 11:00:00 PM »
Nathan now has a copy of LendGuardian for his stack, so he just needs to implement it for local picking.
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