Wait - weren't all the 2.0 loan re-purchased
Maybe, I really don't know but since its only 13 loans I'm not too worried about them.
and the 3.0 loans way too young to extrapolate meaningful data.
I disagree. Since I do penalize heftily for loans that are less than 30 days late, good extrapolations can be made.
What assumptions have you built into your performance assumptions for years 2 and 3 across the various credit grades?
The only assumptions are chance of loans going to default based on status. Right now I have that at
<15d = 30%
15-30= 60%
31-60= 85%
61-90= 90%
91-120=95%
Then based on these assumption, losses are estimated and compared to interest earned to date.
I guess the other built in assumption is that loans will continue to go delinquent at a similar rate. For variations in that rate I have put in +- factors and they are
<15d = 30%
15-30= 30%
31-60= 10%
61-90= 10%
91-120=5%
In other words at the bottom of my range, returns of 7%, losses are
<15d = 60%
15-30= 90%
31-60= 95%
61-90= 100%
91-120=100%
and at the top of my range, returns of 10.4%, losses are
<15d = 0%
15-30= 30%
31-60= 75%
61-90= 80%
91-120=90%