Looked at entire DAT portfolio originated since 2009
Determined annual appreciation rates by property type
Recalculated current property values using appreciation rates
Assumed various declines in property values
Assumed default frequencies of 5 to 10% *
Assumed default severities of 20 to 30% **
Calculated total expected loss for the owned portfolio
* US foreclosure rates peaked at about 5% in 2010. Prior to the financial crisis, the last peak was about 1.5% in 2001.
** Includes fixed costs, carry costs, and repair costs.