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Bondora default curves per year and Rating

In the comments of a previous post Jan asked if I’ve done any analyses on the timing of when defaults happen. I did one back in October of 2014, but that could be relatively outdated and there’s a lot of new data available today.

After some consideration and after reading a similar analysis on Lending Club loans, I decided to do it again fresh so here are some freshly squeezed default curves directly from the loan dataset in their natural habitat.

All of them use same scale from 0-100% on the vertical axis and monthly change in default rate on horizontal axis. For default rate calculation, I used EAD1 values.

Default rates per quarter

The graph below highlights the cumulative default rate curves over time based on the quarter when loan was issued.

Since Tauri requested for a graph where lines have the same point of beginning, then added this graph here as well. Same info, excluding any rescheduled loans, but all segments begin at the same place in the left corner.

Default curves for rescheduled loans

In the previous graph there’s a noticeable bump in December 2015. To highlight that this is caused by the B Secure issue where loans wouldn’t default even after 6+ months of no payments, here’s default curves for loans that have been rescheduled/given a grace period at any point in time grouped based on the time they were issued.

The bump is clearly visible here again. If these loans are removed from the segment, the bump all but disappears as well.

Defaults for Estonian loans

Here’s a graph showing the default curves for Estonian loans issued at Bondora per quarter.

Default curves for Spain

Spanish loans at Bondora act a bit differently than Estonian ones.

Default rates from Finnish loans

This graph shows the default curves over time for Bondora’s Finnish loans.

Slovakian default curves

While Bondora has stopped issuing any new loans in Slovakia, we can still look at the default curves for existing loans. Note that the volumes of issued amounts are relatively low in several of these segments, which is the main reason for the graphs having such sharp corners.

Defaults per Rating 2015

The cumulative default rate per Rating for loans issued in 2015.

Bondora Rating defaults 2014

Default curves per Rating for loans issued in 2014. Note that the loans in 2014 were mostly given a Rating after the loans had already been issued in the past.

Hope you found these graphs useful, because it was quite a pain in the ass to make them and had I known it beforehand, I probably wouldn’t have started 🙂

Anyway, share in the comments your thoughts and insights you received from these graphs.

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One Comment

  1. Comment by Taavi:

    Clarification: Initially the data also included March of 2016, which means that it had only 12 first days of the month included and thus there was inherently a slower growth of default rates than any other month would be (less time for new defaults to come in).

    This made the data look like there was a leveling off already in places where it probably isn’t happening yet. I have since fixed the mistake, updated the graphs and removed March 2016 data to show a more accurate picture.

What do you think?