Fair Value (Tables)

6 Months Ended

Jun. 30, 2013

Assets Measured at Fair Value on Recurring Basis

The following table presents financial assets and liabilities measured at fair value on a recurring basis as of June 30, 2013 and December 31, 2012:

(in thousands)
				Quoted Prices
				in Active		Significant
				Markets for		Other		Significant
				Identical		Observable		Unobservable
		Fair Value		Assets		Inputs		Inputs
		Measurements		(Level 1)		(Level 2)		(Level 3)
June 30, 2013
Mortgage-backed securities	$	380,560	$	-	$	380,560	$	-
Eurodollar futures contracts		2,682		2,682		-		-
Retained interests		3,463		-		-		3,463
December 31, 2012
Mortgage-backed securities	$	168,155	$	-	$	168,155	$	-
Eurodollar futures contracts		227		227		-		-
Retained interests		3,336		-		-		3,336

Changes is Level 3 Assets Measured at Fair Value on a Recurring Basis

The following table illustrates a rollforward for all assets measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the six months ended June 30, 2013 and 2012:

(in thousands)
		Retained Interests			Mortgage Loans Held for Sale
		2013		2012		2012
Balances, January 1	$	3,336	$	3,495	$	40
Gain (loss) included in earnings		1,755		3,467		(13)
Collections		(1,628)		(2,187)		-
Balances, June 30	$	3,463	$	4,775	$	27

Quantitative Information About Level 3 Fair Value Measurements

The following table summarizes the significant quantitative information about our level 3 fair value measurements as of June 30, 2013.

Retained interest fair value (in thousands)			$	3,463
Prepayment Assumption		CPR Range (Weighted Average)
Constant Prepayment Rate		10% (10%)
Default Assumptions	Probability of Default	Severity Range (Weighted Average)		Range Of Loss Timing
Real Estate Owned	100%	26.64% - 71.14% (29.22%)		Next 10 Months
Loans in Foreclosure	100%	26.64% - 71.14% (29.22%)		Month 4 - 13
Loans 90 Day Delinquent	100%	45%		Month 11-28
Loans 60 Day Delinquent	85%	45%		Month 11-28
Loans 30 Day Delinquent	75%	45%		Month 11-28
Current Loans	2.5% - 5.15%	45%		Month 29 and Beyond
Cash Flow Recognition	Valuation Technique	Remaining Life Range (Weighted Average)		Discount Rate Range (Weighted Average)
Nominal Cashflows	Discounted Cash flow	1.5 -8.1 years (4.1)		27.5% (27.5%)
Discounted Cashflows	Discounted Cash flow	0.7 -3.9 years (1.3)		27.5% (27.5%)

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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