Mortgage Banking Operations (Tables)

3 Months Ended

Mar. 31, 2013

Mortgage Banking [Abstract]

Net gain on mortgage loan origination and sale activity

Net gain on mortgage loan origination and sale activities, including the effects of derivative risk management instruments, consisted of the following.

	Three Months Ended March 31,
(in thousands)	2013		2012
Single family:
Secondary market gains(1)	$	27,429	$	17,057
Provision for repurchase losses(2)	—		(390		)
Net gain from secondary market activities	27,429		16,667
Mortgage servicing rights originated	16,806		6,723
Loan origination and funding fees	7,753		4,944
Total single family	51,988		28,334
Multifamily	1,925		1,162
Net gain on mortgage loan origination and sale activities	$	53,913	$	29,496

(1) Comprised of gains and losses on interest rate lock commitments, single family loans held for sale and forward sale commitments used to economically hedge instruments used in secondary market activities, less premiums paid to Windermere Mortgage Services Series LLC on loans purchased or committed to be purchased and the estimated fair value of the repurchase or indemnity obligation recognized on new loan sales.

(2) Represents changes in estimated probable future repurchase losses on previously sold loans.

Loans held for sale and sold

Loans held for sale consisted of the following.

(in thousands)	At March 31, 2013		At December 31, 2012
Single family	$	419,106	$	607,578
Multifamily	11,751		13,221
	$	430,857	$	620,799

Loans sold consisted of the following.

	Three Months Ended March 31,
(in thousands)	2013		2012
Single family	$	1,360,344	$	534,310
Multifamily	50,587		31,423
	$	1,410,931	$	565,733

Company's portfolio of loans serviced for others

The composition of loans serviced for others is presented below at the unpaid principal balance.

(in thousands)	At March 31, 2013		At December 31, 2012
Single family
U.S. government and agency MBS	$	9,352,404	$	8,508,458
Other	348,992		362,230
	9,701,396		8,870,688
Commercial
Multifamily	737,007		727,118
Other	52,825		53,235
	789,832		780,353
Total loans serviced for others	$	10,491,228	$	9,651,041

Revenue from mortgage servicing, including the effects of derivative risk management instruments

Revenue from mortgage servicing, including the effects of derivative risk management instruments, consisted of the following.

	Three Months Ended March 31,
(in thousands)	2013			2012
Servicing income, net:
Servicing fees and other	$	7,607		$	6,436
Changes in fair value of single family MSRs due to modeled amortization (1)	(5,106		)	(4,969		)
Amortization of multifamily MSRs	(490		)	(491		)
	2,011			976
Risk management, single family MSRs:
Changes in fair value due to changes in model inputs and/or assumptions (2)	3,579			7,411
Net gain (loss) from derivatives economically hedging MSR	(2,518		)	(514		)
	1,061			6,897
Mortgage servicing income	$	3,072		$	7,873

(1) Represents changes due to collection/realization of expected cash flows and curtailments.

(2) Principally reflects changes in model assumptions, including prepayment speed assumptions, which are primarily affected by changes in mortgage interest rates.

Key economic assumptions used in measuring the initial value of capitalized single family MSRs created from loan sales with retained servicing Key economic assumptions used in measuring the initial value of capitalized single family MSRs created from loan sales with retained servicing.

Key economic assumptions used in measuring the initial fair value of capitalized single family MSRs were as follows.

	Three Months Ended March 31,
(rates per annum) (1)	2013		2012
Constant prepayment rate ("CPR") (2)	9.43	%	9.48	%
Discount rate	10.26	%	10.41	%

(1) Weighted average rates for sales during the period for sales of loans with similar characteristics.

(2) Represents the expected lifetime average.

Changes in single family MSRs measured at fair value

The changes in single family MSRs measured at fair value are as follows.

	Three Months Ended March 31,
(in thousands)	2013			2012
Beginning balance	$	87,396		$	70,169
Additions and amortization:
Originations	16,806			6,723
Purchases	3			47
Changes due to modeled amortization(1)	(5,106		)	(4,969		)
Net additions and amortization	11,703			1,801
Changes in fair value due to changes in model inputs and/or assumptions (2)	3,579			7,411
Ending balance	$	102,678		$	79,381

(1) Represents changes due to collection/realization of expected cash flows and curtailments.

(2) Principally reflects changes in model assumptions, including prepayment speed assumptions, which are primarily affected by changes in mortgage interest rates.

Changes in multifamily MSRs measured at the lower of amortized cost or fair value

The changes in multifamily MSRs measured at the lower of amortized cost or fair value were as follows.

	Three Months Ended March 31,
(in thousands)	2013			2012
Beginning balance	$	8,097		$	7,112
Origination	1,543			799
Amortization	(490		)	(491		)
Ending balance	$	9,150		$	7,420

Projected amortization expense for the gross carrying value of multifamily MSRs

At March 31, 2013, the expected weighted-average life of the Company’s multifamily MSRs was 9.02 years. Projected amortization expense for the gross carrying value of multifamily MSRs is estimated as follows.

(in thousands)	At March 31, 2013
Remainder of 2013	$	1,212
2014	1,455
2015	1,286
2016	1,171
2017	1,046
2018 and thereafter	2,980
Carrying value of multifamily MSR	$	9,150

Mortgage Repurchase Losses [Table Text Block]

The following is a summary of changes in the Company's liability for estimated mortgage repurchase losses.

	Three Months Ended March 31,
(in thousands)	2013			2012
Beginning balance	$	1,955		$	471
Additions (1)	536			390
Realized losses (2)	(516		)	—
Balance, end of period	$	1,975		$	861

(1) Includes additions for new loan sales and changes in estimated probable future repurchase losses on previously sold loans.

(2) Includes principal losses and accrued interest on repurchased loans, “make-whole” settlements, settlements with claimants and certain related expense.

Schedule of Sensitivity Analysis of Fair Value, Transferor's Interests in Transferred Financial Assets [Table Text Block]

Key economic assumptions and the sensitivity of the current fair value for single family MSRs to immediate adverse changes in those assumptions were as follows.

(dollars in thousands)	At March 31, 2013
Fair value of single family MSR	$	102,678
Expected weighted-average life (in years)	5.65
Constant prepayment rate (1)	15.88		%
Impact on 10% adverse change	$	(4,181	)
Impact on 25% adverse change	$	(9,739	)
Discount rate	10.57		%
Impact on fair value of 100 basis points increase	$	(3,429	)
Impact on fair value of 200 basis points increase	$	(6,637	)

(1) Represents the expected lifetime average.