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贷款期限与贷款冲销额度分析

借款人可以从LendingClub和Prosper这样的借贷平台申请不同期限的贷款,大多为36个月或是60个月。同样,投资者也可以选择为哪些贷款集资。通常来说,看重资产流动性的投资者更倾向于短期贷款,而那些对资金存量不大关注的投资者则会更加青睐60个月这样的长期投资。在今天的分析当中,我们会检验在不同贷款期限之下投资所涉及的经费问题,他们发生贷款冲销的可能性,以及贷款偿还阶段不同时期可导致的信用损失量级。

贷款期限分布

在下图中,我们能够看到过去几年中Prosper贷款期限的分类概况。从2012年开始,期限为60个月的贷款悄然走红,目前已在所有起始贷款中占有很大比重。

prosper-orig-byterm 第1张

不同贷款期限的贷款冲销发生概率

在下图中,我们能够看到Prosper期限为36个月和60个月贷款的“累计项目贷款冲销曲线”。这些数据显示贷款发起之后的时间轴上在特定某点之时或之前发生贷款冲销的贷款(非美元)的累计百分比。

prosper-cumco-byvintterm 第2张

图标数据表明以下几个方面问题:首先,总体贷款冲销率每年都在大幅下降,2013年结果证明贷款期限内的风险已经降至极低;此外,期限为36个月和60个月的贷款发生冲销的曲线走势极为相似,至少在过去两年都是这样的。这表明这两种期限的贷款坏账风险相当。

不仅是这些坏账概率颇为相似,发生的时间也差不多。在2012年的贷款当中,这些最终发生冲销的贷款平均都是在贷款发起后的12个月后出现问题的。这同样适用于期限为36个月和60个月的贷款项目。

分期偿还日程表&贷款冲销余额

一眼望去,也许有人会疑问为何此事如此重要。如果两种不同期限的贷款表现相似,到底是不是一件好事呢?但是请记住,不同期限的贷款分期偿还率可是不一样的,而发生冲销的时间点对于信用损失所造成的实际偿还金额也有莫大关系。

在下面的图表中中,我们展示了36个月和60个月贷款的规定余额偿还日程,初始余额均为1万美元,年利率为12%。

paydown-schedule-36vs60 第3张

按照规定,期限更长的贷款偿还时间也就更长。当然,理解这条曲线众所周知的东西之下所暗示的信息十分重要:所有其他的东西都是一样的,如果两个贷款在期限内的同一时间点停止偿还,期限更长的贷款在冲销之后余额也就更多。例如,让我们忽略数字就直接去看这两支贷款发起之后若在12个月后发生冲销情况会是怎样:

paydown-amort-coat12mo 第4张

对于两只初始金额相同,利率相同,发生冲销时间也相同的贷款来说,60个月的贷款实际上损失更甚。

底线

正如此项分析所示,一个投资者的直接放款期限混合远比仅仅考虑流动性重要得多。更长期限贷款得偿还日程意味着投资者可以分别分析和计算不同期限贷款的潜在风险和回报并从中受益。

Prospective borrowers on sites such as LendingClub and Prosper have the choice of applying for loans of various duration, most commonly 36 or 60 months.  Similarly, investors have the ability to choose which loans to fund.  Often, investors prioritizing liquidity will skew more towards shorter-duration loans, while those who are more cash-insensitive may opt to include some 60-month investments.  In today’s analysis, we examine the financial implications of investing in various loan terms, their likelihood of charge-off, and the magnitude of credit loss incurred at various points over a loan’s payback period.

Distribution of Loan Duration

In the graph below, we can see the breakdown of loan durations on Prosper over the past several years.  Beginning in 2012, 60-month loans have gained in popularity and now comprise a significant portion of overall originations.

prosper-orig-byterm 第1张

Incidence of Charge-Off by Loan Term

In the graphs below, we see the “cumulative event charge-off curve” for 36 and 60 month loans on Prosper.  These numbers indicate the cumulative percentage of loans (not dollars) that have experienced a charge-off at or before a certain point in time post-origination.

prosper-cumco-byvintterm 第2张

From these graphs, a few things are apparent.  First, overall charge-off rates have decreased sharply each year, with the 2013 vintage proving to be very low risk thus far in its tenure.  In addition, 36-month loans and 60-month loans seem to have similar event-charge-off curves, at least over the past 2 years.  This would suggest that accounts of both durations go bad at similar rates.

Not only do these accounts seem to go bad at similar rates; they also seem to go bad at similar times.  Among 2012 loans, those that eventually charged-off did so, on average, 12 months after origination.  This is true for both 36 as well as 60 month loans.

Amortization Schedule & Balance at Charge-Off

At first glance, one might be tempted to wonder why all this matters. If both lengths of loan perform similarly, isn’t that a good thing?  Remember, however, that loans of different duration amortize at different rates, and the point in a loan’s tenure at which a charge-off occurs will have a significant impact on the actual dollar amount of credit loss.

In the graph below, we show the principal paydown schedule for a 36 and 60 month loan, each with a $10,000 initial balance and annualized interest rate of 12%.

paydown-schedule-36vs60 第3张

By definition, loans of longer duration pay down over a longer period of time.  Of course, it is important to understand the downstream implication of this truism: all other things being equal, if two loans stop paying at equivalent points in their tenure, the longer duration loan will have a greater balance outstanding at charge-off.  For example, let’s crunch the numbers to see what would happen if the 2 loans in the above graph were to stop paying at 12 months post-origination:

paydown-amort-coat12mo 第4张

For 2 loans with the same initial amount, same annualized interest rate, and same time-to-default, the loss incurred on the 60-month loan is materially higher.

The Bottom Line

As this analysis has shown, the duration-mix of an investor’s direct lending portfolio is more than a consideration of liquidity alone.  The payback schedule of a longer-term loan means that investors may benefit from analyzing and calculating potential risk and returns separately for loans of differing duration.


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