Quarterly report pursuant to Section 13 or 15(d)

Fair Value Inputs in Valuing Excess MSRs (Details)

v2.4.0.6
Fair Value Inputs in Valuing Excess MSRs (Details)
Jun. 30, 2012
Excess MSRs Pool 1
 
Prepayment Rate Significant Input Ranges (A) 20.00%
Delinquency Rate Significant Input Ranges (B) 10.00%
Recapture Rate Significant Input Ranges (C) 35.00%
Excess Mortgage Servicing Amount Significant Input Ranges (D) 0.29%
Discount Rage Significant Input Ranges 18.00%
MSR Pool 1 Recapture Agreement
 
Prepayment Rate Significant Input Ranges (A) 8.00%
Delinquency Rate Significant Input Ranges (B) 10.00%
Recapture Rate Significant Input Ranges (C) 35.00%
Excess Mortgage Servicing Amount Significant Input Ranges (D) 0.21%
Discount Rage Significant Input Ranges 18.00%
Excess MSRs Pool 2
 
Prepayment Rate Significant Input Ranges (A) 18.00%
Delinquency Rate Significant Input Ranges (B) 11.00%
Recapture Rate Significant Input Ranges (C) 35.00%
Excess Mortgage Servicing Amount Significant Input Ranges (D) 0.23%
Discount Rage Significant Input Ranges 17.30%
MSR Pool 2 Recapture Agreement
 
Prepayment Rate Significant Input Ranges (A) 8.00%
Delinquency Rate Significant Input Ranges (B) 10.00%
Recapture Rate Significant Input Ranges (C) 35.00%
Excess Mortgage Servicing Amount Significant Input Ranges (D) 0.21%
Discount Rage Significant Input Ranges 17.30%
Excess MSRs Pool 3
 
Prepayment Rate Significant Input Ranges (A) 18.00%
Delinquency Rate Significant Input Ranges (B) 12.00%
Recapture Rate Significant Input Ranges (C) 35.00%
Excess Mortgage Servicing Amount Significant Input Ranges (D) 0.23%
Discount Rage Significant Input Ranges 17.60%
MSR Pool 3 Recapture Agreement
 
Prepayment Rate Significant Input Ranges (A) 8.00%
Delinquency Rate Significant Input Ranges (B) 10.00%
Recapture Rate Significant Input Ranges (C) 35.00%
Excess Mortgage Servicing Amount Significant Input Ranges (D) 0.21%
Discount Rage Significant Input Ranges 17.60%
Excess MSRs Pool 4
 
Prepayment Rate Significant Input Ranges (A) 19.00%
Delinquency Rate Significant Input Ranges (B) 16.00%
Recapture Rate Significant Input Ranges (C) 35.00%
Excess Mortgage Servicing Amount Significant Input Ranges (D) 0.17%
Discount Rage Significant Input Ranges 17.90%
MSR Pool 4 Recapture Agreement
 
Prepayment Rate Significant Input Ranges (A) 8.00%
Delinquency Rate Significant Input Ranges (B) 10.00%
Recapture Rate Significant Input Ranges (C) 35.00%
Excess Mortgage Servicing Amount Significant Input Ranges (D) 0.21%
Discount Rage Significant Input Ranges 17.90%
Excess MSRs Pool 5
 
Prepayment Rate Significant Input Ranges (A) 15.00%
Delinquency Rate Significant Input Ranges (B) N/A(E)
Recapture Rate Significant Input Ranges (C) 35.00%
Excess Mortgage Servicing Amount Significant Input Ranges (D) 0.13%
Discount Rage Significant Input Ranges 17.50%
MSR Pool 5 Recapture Agreement
 
Prepayment Rate Significant Input Ranges (A) 8.00%
Delinquency Rate Significant Input Ranges (B) N/A(E)
Recapture Rate Significant Input Ranges (C) 35.00%
Excess Mortgage Servicing Amount Significant Input Ranges (D) 0.21%
Discount Rage Significant Input Ranges 17.50%