All figures
Unsecured US consumer instalment loans originated on the Lending Club platform, 36 and 60 month terms, from the public accepted-loans table. It was processed with the same pipeline as an uploaded file.
- Loans
- 886,837
- Original balance
- $13.1B
- WA rate
- 13.6%Interest rate weighted by original balance.
- Charge-off rate by count
- 17.2%Charged-off loans ÷ all loans.
- Charge-off rate by balance
- 18.1%Original balance of charged-off loans ÷ total original balance.
- Net loss rate
- 10.6%Gross loss less recoveries, ÷ total original balance.
- Recovery rate
- 12.4%Recoveries ÷ gross loss on charged-off loans.
- Still current
- 6.3%Loans current at the snapshot, by count.
Composition
Portfolio composition at origination.
Loans and balance by grade
Share of loan count and of original balance.
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Note
Grades C and B hold 53.7% of original balance.
Loans and balance by term
Share of loan count and of original balance.
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Note
60-month loans are 30.0% of loans and 40.8% of balance.
Loans and balance by purpose
Share of loan count and of original balance.
Top 8 by balance. Remaining classes, and any labelled other in the file, are grouped as Other.
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Note
The largest purpose, Debt consolidation, holds 61.8% of original balance.
Loans and balance by region
Share of loan count and of original balance.
Top 10 by balance. Remaining classes, and any labelled other in the file, are grouped as Other.
Loans and balance by home ownership
Share of loan count and of original balance.
Top 6 by balance. Remaining classes, and any labelled other in the file, are grouped as Other.
Loans and balance by income verification
Share of loan count and of original balance.
Loans and balance by credit score
Share of loan count and of original balance.
Credit score at origination, lower-inclusive bands.
Loans and balance by debt-to-income
Share of loan count and of original balance.
DTI in per cent at origination, lower-inclusive.
Loans and balance by loan size
Share of loan count and of original balance.
Original balance in bands of 10k, lower-inclusive.
Loans and balance by origination quarter
Share of loan count and of original balance.
Charge-off rate by segment
Charge-off rate at the snapshot by segment, against the book rate of 17.2% by count and 18.1% by balance. Rates are to date, so classes with less seasoning understate lifetime charge-offs. Segments above 1.5× the book rate with more than 2% of balance are marked watch; above 2×, concern.
Charge-off rate by grade
Charged-off loans ÷ loans, by count. Book 17.2%.
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Concern
Grade F loans charge off at 38.4% against 5.5% for grade A loans (7.0×). Their WA rate is 23.6% against 7.3% (3.3×).
Charge-off rate by sub-grade
Charged-off loans ÷ loans, by count. Book 17.2%.
Charge-off rate by term
Charged-off loans ÷ loans, by count. Book 17.2%.
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Note
60-month loans charge off at 25.0% against 13.9% for 36-month loans (1.8×). They hold 40.8% of balance.
Charge-off rate by purpose
Charged-off loans ÷ loans, by count. Book 17.2%.
Charge-off rate by region
Charged-off loans ÷ loans, by count. Book 17.2%.
Charge-off rate by income verification
Charged-off loans ÷ loans, by count. Book 17.2%.
Charge-off rate by credit score
Charged-off loans ÷ loans, by count. Book 17.2%.
Credit score at origination, lower-inclusive bands.
Charge-off rate by debt-to-income
Charged-off loans ÷ loans, by count. Book 17.2%.
DTI in per cent at origination, lower-inclusive.
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Watch
Excluding grade and credit score, 1 segment has a charge-off rate above 1.5× the book rate (17.2%) and more than 2% of balance: loans with DTI 35+ at 26.7% (1.5×, 2.3% of balance).
Charge-off rate by origination quarter
Charged-off loans ÷ loans, by count. Book 17.2%.
Loss and recovery
Loss on charged-off loans after principal received and recoveries. Gross loss is original balance less principal received. Net loss is gross loss less recoveries.
Losses and recoveries by grade
Charged-off loans, at the snapshot.
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Note
Gross loss on charged-off loans is $1.58B. Recoveries are $195.3M (12.4% of gross loss). Net loss is $1.38B; loss given default 58.5%.
Loss given default by grade
Net loss ÷ original balance of charged-off loans.
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Note
Loss given default ranges from 45.2% (grade A) to 70.8% (grade G), 1.6×. The charge-off rate ranges 7.8× over the same grades. Grades with fewer than 30 charge-offs are excluded.
Vintage curves
Cumulative charge-off rate by months on book. The file has no charge-off date. Each charge-off is placed at the last payment date, and the curves run ahead of the true timing.
Cumulative charge-off rate by grade
Charged-off loans ÷ loans originated, by count.
Grades F–G are combined. Curves end when fewer than 10% of loans remain observed. 670 charged-off loans have no charge-off or payment date and are placed at month 0.
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Note
Grades F–G: 36.3% charged off by month 36 against 5.4% for grade A. The gap is 14.8 points at month 12 and 30.9 points at month 36.
Cumulative charge-off rate by grade
Charged-off original balance ÷ original balance originated, by balance.
Grades F–G are combined. Curves end when fewer than 10% of loans remain observed. 670 charged-off loans have no charge-off or payment date and are placed at month 0.
Cumulative charge-off rate by origination year
Charged-off loans ÷ loans originated, by count.
The 7 most recent origination years are shown. Curves end when fewer than 10% of loans remain observed. 670 charged-off loans have no charge-off or payment date and are placed at month 0.
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Note
2015 cohort: 17.4% charged off by month 36 against 12.6% for the 2010 cohort.
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Note
Across the book, 5.6% of loans are charged off by month 12 and 12.3% by month 24 (timed by last payment date).
Cumulative charge-off rate by origination year
Charged-off original balance ÷ original balance originated, by balance.
The 7 most recent origination years are shown. Curves end when fewer than 10% of loans remain observed. 670 charged-off loans have no charge-off or payment date and are placed at month 0.
Net yield
Interest received ÷ original balance, less net loss ÷ original balance, by grade, cumulative to the snapshot. Not annualised; before servicing and funding costs.
Interest received and net loss by grade
% of original balance.
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Note
Grade G (0.9% of balance) has received interest of 38.7% of balance against net loss of 30.1%, a net yield of 8.5% to date.
Net yield by grade
% of original balance, to date.
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Note
Net yield is highest for grade D, 11.8% of original balance to date, and lowest for grade A, 7.5%.
Concentration
Balance concentration by region, purpose and borrower.
Balance concentration
Share of original balance.
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Note
The five largest regions (CA, TX, NY, FL, IL) hold 41.8% of original balance. CA holds 14.5%.
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Note
The largest single loan is $35k, under 0.01% of balance.
Herfindahl-Hirschman index of balance
Sum of squared balance shares in per cent, 0 to 10,000.
US DOJ/FTC thresholds: under 1,500 unconcentrated, 1,500 to 2,500 moderate, over 2,500 high. 10,000 ÷ HHI is the equivalent number of equal-sized classes.
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Note
HHI by region 535 (unconcentrated, equivalent to 18.7 equal-sized classes out of 51); by purpose 4,448 (highly concentrated, equivalent to 2.2 equal-sized classes out of 14).
Data checks
Completeness and validity of the mapped fields.
Missing values by field
Share of rows where the field is empty.
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Note
1 field is more than 5% null: employment_length_years 5.1%.
Failing rows by check
Snapshot for date checks 2019-03-01 (as recorded for this portfolio).
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Watch
1 check fails: dti outside 0–100 (9).
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Watch
current_balance, interest_paid, last_payment_date, principal_paid, raw_status, recoveries, status, total_paid record outcomes after origination. A model of charge-off risk at origination must exclude them.
Caveats
About the data
- The sample holds 886,837 loans issued January 2008 to December 2015.
- 2007 is excluded (603 loans, 7 issue months) because it has fewer than 36 months of seasoning at the snapshot or is incomplete.
- 2016 is excluded (434,407 loans, 12 issue months) because it has fewer than 36 months of seasoning at the snapshot or is incomplete.
- 2017 is excluded (443,579 loans, 12 issue months) because it has fewer than 36 months of seasoning at the snapshot or is incomplete.
- 2018 is excluded (495,242 loans, 12 issue months) because it has fewer than 36 months of seasoning at the snapshot or is incomplete.
- Status is taken at the snapshot, the latest last payment date in the file (March 2019); loans issued 2016 to 2018 were mostly still current then.
- Credit score is the low end of the FICO range at origination.
- Original balance is the requested loan amount (loan_amnt).
- Statuses 'Default' and 'Charged Off' map to charged off, 'In Grace Period' to current, and the two 'Late' statuses to late.