Some thoughts on Expected Loss Severity
We have some good data on advances, accrued interest and valuations, so we thought we would look at expected loss severities on certain deals. Given the amount of advances and accrued interest owed, certain loans stand no chance at recovering any principal. Here is a preview on what the data reveals.
FFML 2006-FF7 Example Property
Expected Loss Severity >= 100% (30 selected deals)
Some loans in SASC 2007-BNC1
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