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Loss Severities for Data Geeks like us (with attachment)

Today we provide loss severity data and lots of it. We like to provide data to our clients to study and learn from as opposed to building models that appear intelligent but don’t predict anything worthwhile. Instead of providing tables that fit onto a sheet of paper, we would rather show you all data so you can make your own conclusions. Our data is presented in a format that we believe would help you understand where severities will be heading in 2016 by deal, by product, by vintage and by servicer.

Advances outstanding affect severity. In some cases, when the PSA requires that accrued and unpaid net interest to be paid back from liquidation proceeds prior to principal, whether or not net interest is advanced has no effect on severity. Accurate advancing data is hard to come by and algorithms to estimate advances don’t work very well. Fortunately, we have complete advance data on Nationstar (fka Aurora) master serviced deals and semi-complete data on Ocwen serviced deals.

Today’s commentary previews what you will find in the data that we are distributing. Please reach out to us if you have any questions or you want us to walk you through the data.

Attached File: Excel spreadsheet (WebbsHill-severity-analysis.xls)

Feedback is always appreciated.

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

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