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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

Contact us at 203-276-0672 to become a client and access all reports and attachments.

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