Data & Return Calculations Benchmark

Abhishek Agarwal
Jun 7, 2018 · 3 min read

This blog is part 1 of the 3 part series .

Introduction

To Benchmark the data we used 2014-Q4 vintage

Lending Club Data


(Copied as of June 5, 2018)


Croudify’s Modeling Data

  1. No FG Loans : Since Lending Club no longer originates these type of loans we did not model these and did not benchmark this category
  2. Data Lag : Our data that we are modeling is usually with a 1 months lag (in this case 2 month lag) so as of June 5th we still are bench-marking with March end data. Usually we will lag in our modeling data by 1 month. So for example when we are modeling to rate June 2018 loans we will have data till the end of April.
  3. No Fees & Adjustments in NAR : In Adjusted NAR calculation Lending club substracts the fees and also makes loan valuation adjustments we did not do anything like this in our calculations.
  4. No Recoveries (Charged Off (NET)) : In Net charged off calculations Lending Club adds back the recovery. In our models we consider recovery to be virtually 0 so we ignore it for all modeling purposes and hence we did all our bench-marking calculations excluding those and thus slightly might be off.
  5. NAR off by max 0.7 %: If you add the differences in 3 & 4 we expect the NAR to be off by a max of 0.7% for any rating. So if our calculations are within this range of the LC NAR we marked the data as the same and moved forward.

With all that in mind below is our analysis data

(data as of March 30, 2018)

Our detailed NAR calculation sheet is here.


Few things to note from the comparisons of the two data sets

  1. Croudify’s total Loan population matches exactly with the Lending Club’s Total Loan Population
  2. Croudify’s Total Principal Received, Total Interest Received and Chargeoffs are very near to Lending Club’s data (small dependencies are just timing issue)
  3. Croudify’s NAR calculations are very near to Lending Club’s net NAR if you incorporate the differences in the data set as described above.

This bench-marking exercise gave us complete confidence in the validity of our data and our calculations.

In next step we will move forward by segregating the 36 month and 60 month population and bench-marking 36 month population (our chosen recommended loan types).


Originally published at Croudify.

Croudify

Invest in top decile on Lending Club

    Abhishek Agarwal

    Written by

    Blockchain, Lending & Machine Learning

    Croudify

    Croudify

    Invest in top decile on Lending Club