It's not just delinquencies, defaults and foreclosures that have blown apart any models for mortgage lending. So are the loan loss severity numbers. Gretchen Morgenson at the NY Times writes about the work of Alan M. White, an assistant professor at the Valparaiso University law school in Indiana. White analyzed data on 3.5 million subprime and alt-A mortgages in securitization pools overseen by Wells Fargo and found the average loss was 64.7 percent of the original loan balance.

"Here are the numbers: the average loan balance began at almost $223,000. But in the liquidation sale, the property sold for $144,000 less, on average," Morgenson writes.

That's got to hurt.