In this brief, new loan-level data recently released by Freddie Mac on more than 17 million single-family mortgages are analyzed to reveal a range of new and useful insights into the ultimate financial losses associated with a loan after it experiences a credit event. Conclusions described include mortgage insurance significantly lowers loss severities and the preset severity schedule currently in place is reasonable for loans with a loan-to-value (LTV) ratio of 60–80 but too high for deals backed by higher-LTV loans. We also find that small loans have higher severity than larger loans, that real-estate-owned (REO) sales have higher severity than short sales, and that there is no stable relationship between the state of origination and severity. Finally, we review the components of loss—liquidation value and expenses—and find that the latter contributes significantly to the ultimate loss.