The Loss Severity reflects the overall charge-off that has not been recovered as of the corresponding date / month on book. dv01 supports two variations of these calculations, both of which are described below:
The Backdated variants align all recoveries received with the month of charge-off, regardless of when they were actually received. These views are meant to show the current Recovery Rate and corresponding Loss Severities associated with a given charge-off vintage.
The Unbackdated variants record recoveries in the calendar month / month on book they were received. These views are meant to show recoveries received as a percentage of the balance charged-off in that same month, regardless of which charged-off loans the recoveries relate to.
The Recovery Rate represents the percentage of balance that has been recovered on charged-off loans as of the corresponding date / month on book. We calculate this as 1 - Loss Severity.