FR Y-14Q FR Y-14Q MSR Valuation

Report Information for 1st Lien Residential MSRs Only
1. General Information:
MSR BV
MSR FV
Loans Serviced ($)
Loans Serviced (#)
2. Current Capitalization Rate Information:

Please provide the capitalization rate (multiple) and base mortgage rate on FNMA/FHLMC, Jumbo and GNMA 30 year products sold during the quarter into a current coupon MBS.
Assume that the remittance cycle is Scheduled/Scheduled, taxes and insurance are escrowed, with FICO scores of 700, and LTV of 80%.
Capitalization Rates

Assumptions
Loan amt

Fee

T&I

Median

Avg.

25th %

Normal Servicing Multiples
75th %
Min.

Max.

Fee

Median

Excess Servicing Multiples
Avg.
25th % 75th %
Min.

Max.

Median

Avg.

Base Mortgage Rate
25th % 75th %
Min.

Max.

FNMA/FHLMC (30 year product)

275,000

350/mo

25bp

4.62

4.53

4.17

4.79

4.02

5.38

10 bp

4.11

3.93

3.63

4.14

3.02

4.93

4.02

4.14

3.97

4.25

3.69

GNMA (30 year product)

125,000

250/mo

44bp

4.46

4.23

3.84

4.65

2.67

5.20

25 bp

4.22

4.07

3.66

4.51

3.40

4.93

4.02

4.07

3.94

4.25

3.44

4.55

Jumbo (30 year product)

418,000

450/mo

25bp

3.66

3.87

3.65

4.19

3.18

4.67

10 bp

3.40

3.55

3.04

3.53

2.82

5.18

4.46

4.46

4.30

4.63

3.69

5.23

3. Valuation Information:
Valuation Methodology: Static or OAS
For static reporters, the yield curve prepayments based upon: Current, Forward, Other
Prepayment Model Used: Proprietary or Vendor
If Vendor Model Used, Note Vendor Name
Default Model Used: Proprietary or Vendor
If Vendor Model Used, Note Vendor Name
FHLMC/FNMA normal, delinquency, and default/foreclosure servicing cost per loan ($)
FHA normal, delinquency, and default/foreclosure servicing cost per loan ($)
VA normal, delinquency, and default/foreclosure servicing cost per loan ($)
Non-agency normal, delinquency, and default/foreclosure servicing cost per loan ($)
Judicial jurisdiction foreclosure time frame (mos)
Non-judicial jurisdiction foreclosure time frame (mos)
4. MSR Valuation Sensitivity Analysis:
+100 basis point parallel move in yield curve
+50 basis point parallel move in yield curve
+25 basis point parallel move in yield curve
-25 basis point parallel move in yield curve
-50 basis point parallel move in yield curve
-100 basis point parallel move in yield curve
+10% change in 3X10 Implied Swaption Volatility
-10% charge in 3X10 Implied Swaption Volatility
+100 basis point move in OAS/discount rate
-100 basis point move in OAS/discount rate
+100 basis point change in CDR
+500 basis point change in CDR
+1000 basis point change in CDR
+100 basis point change in CPR
+500 basis point change in CPR
+1000 basis point change in CPR
3 month increase in foreclosure time frame
$1 per loan increase in normal servicing cost
$1 per loan increase in delinquency servicing cost
$1 per loan increase in default/foreclosure servicing cost
$1 per loan decline in ancillary income
+100 basis point change in natinoal unemployment rate
+500 basis point change in national unemployment rate
-500 basis point change in HPI (National Core Logic Index)
-1000 basis point change in HPI (National Core Logic Index)
-2000 basis point change in HPI (National Core Logic Index)

Total MSR

FHLMC/FNMA 30 Year

Fixed Rate
FHLMC/FNMA 15 Year FHA

ARMs
VA

Non-Agency

FHLMC/FNMFHA

VA

Non-Agency

WAM (mos)

WASF (%) WART (mos) WAL (mos) Avg. Loan Size ($)

ALT-A and Option ARM

Memo
Subprime

5. Detailed Valuation Information:

Product Type
FNMA/FHLMC (30 year ) Base
(note rate)
< 3.5%
3.5% -3.99%
4.0% - 4.49%
4.5% - 4.99%
5.0% - 5.49%
5.5% - 5.99%
6.0% - 6.49%
6.5% - 6.99%
>6.99%
FNMA/FHLMC (30 year ) Excess
(note rate)
< 3.5%
3.5% -3.99%
4.0% - 4.49%
4.5% - 4.99%
5.0% - 5.49%
5.5% - 5.99%
6.0% - 6.49%
6.5% - 6.99%
>6.99%
FNMA/FHLMC (15 year )
(note rate)
< 3.0%
3.0% - 3.49%
3.5% - 3.99%
4.0% - 4.49%
4.5% - 4.99%
5.0% - 5.49%
5.5% - 5.99%
6.0% - 6.49%
6.5% - 6.99%
>6.99%
GNMA (30 year)
(note rate)
< 3.5%
3.5% -3.99%
4.0% - 4.49%
4.5%-4.99%
5.0% - 5.49%
5.5% - 5.99%
6.0% - 6.49%
6.5% - 6.99%
>6.99%
Non-agency fixed rate loans
(note rate)
< 3.5%
3.5% - 3.99%
4.0% - 4.49%
4.5% - 4.99%
5.0% - 5.49%
5.5% - 5.99%
6.0% - 6.49%
6.5% - 6.99%
>6.99%
GNMA ARMs
(note rate)
2.5% - 2.99%
3.0% - 3.49%
3.5% - 3.99%
4.0% - 4.49%
4.5% - 4.99%
5.0% - 5.49%
5.5% - 5.99%
6.0% - 6.49%
>6.49%
FHLMC/FNMA ARMs
(note rate)
2.5% - 2.99%
3.0% - 3.49%
3.5% - 3.99%
4.0% - 4.49%
4.5% - 4.99%
5.0% - 5.49%
5.5% - 5.99%
6.0% - 6.49%
>6.49%
Non-Agency ARMs
(note rate)
2.5% - 2.99%
3.0% - 3.49%
3.5% - 3.99%
4.0% - 4.49%
4.5% - 4.99%
5.0% - 5.49%
5.5% - 5.99%
6.0% - 6.49%
>6.49%
MEMO Item: Included in Non-Agency Above

Sub-Prime
(note rate)
<3.5%
3.5% - 3.99%
4.0% - 4.49%
4.5% - 4.99%
5.0% - 5.49%
5.5% - 5.99%
6.0% - 6.49%
6.5% - 6.99%
>6.99%
MEMO Item: Included in Non-Agency Above

ALT-A and Option ARM
(note rate)
<3.5%
3.5% - 3.99%
4.0% - 4.49%
4.5% - 4.99%
5.0% - 5.49%
5.5% - 5.99%
6.0% - 6.49%
6.5% - 6.99%
>6.99%

FV Multiple Prepayment Speed (CPR)

Discount Rate (%)

OAS (bps) WAC (%)

Cost to Service per Loan ($)

Ancillary Income per Loan ($)

Default Rate (CDR)

Unpaid Principal Balance ($)

4.86