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Mortgage Banking Operations (Tables)
 6 Months Ended
Jun. 30, 2018
Mortgage Banking [Abstract]  
Mortgage loans on real estate, by loan Loans held for sale consisted of the following.
 
(in thousands)
At June 30,
2018
 
At December 31,
2017
 
 
 
 
Single family
$
527,088

 
$
577,313

Multifamily DUS® (1)
35,656

 
29,651

Small Business Administration ("SBA")
4,253

 
3,938

CRE-Non-DUS® (1)(2)
1,517

 
—

Total loans held for sale
$
568,514

 
$
610,902


(1)
Fannie Mae Multifamily Delegated Underwriting and Servicing Program (“DUS"®) is a registered trademark of Fannie Mae.
(2)
Loans originated as Held for Investment.

Loans sold proceeds consisted of the following.
 
 
Three Months Ended June 30,
 
Six Months Ended June 30,
(in thousands)
2018
 
2017
 
2018
 
2017
 
 
 
 
 
 
 
 
Single family
$
1,768,348

(1
)
$
1,808,500

 
$
3,319,072

(1
)
$
3,548,237

Multifamily DUS® (2)
54,621

 
35,312

 
87,597

 
112,161

SBA
3,622

 
3,532

 
7,314

 
11,167

CRE-Non-DUS®  (2)(3)
114,650

 
21,163

 
114,650

 
26,714

Total loans sold
$
1,941,241

 
$
1,868,507

 
$
3,528,633

 
$
3,698,279


(1)
Includes proceeds of $138.6 million in single family loans originated as held for investment.
(2)
Fannie Mae Multifamily DUS® is a registered trademark of Fannie Mae.
(3)
Loans originated as Held for Investment.
Net gain on loan origination and sale activity Gain on loan origination and sale activities, including the effects of derivative risk management instruments, consisted of the following.
 
 
Three Months Ended June 30,
 
Six Months Ended June 30,
(in thousands)
2018
 
2017
 
2018
 
2017
 
 
 
 
 
 
 
 
Single family:
 
 
 
 
 
 
 
Servicing value and secondary market gains(1)
$
48,093

 
$
57,353

 
$
89,520

 
$
107,891

Loan origination and funding fees
6,158

 
6,823

 
11,603

 
12,604

Total single family
54,251

 
64,176

 
101,123

 
120,495

Multifamily DUS®
1,613

 
1,273

 
2,759

 
4,633

SBA
385

 
316

 
686

 
918

CRE-Non-DUS® (2)
800

 
143

 
800

 
143

Total gain on loan origination and sale activities
$
57,049

 
$
65,908

 
$
105,368

 
$
126,189

(1)
Comprised of gains and losses on interest rate lock and purchase loan commitments (which considers the value of servicing), single family loans held for sale, forward sale commitments used to economically hedge secondary market activities, and changes in the Company's repurchase liability for loans that have been sold.
(2)
Loan originated as held for investment.
Company's portfolio of loans serviced for others The composition of loans serviced for others that contribute to loan servicing income is presented below at the unpaid principal balance.
(in thousands)
At June 30,
2018
 
At December 31,
2017
 
 
 
 
Single family
 
 
 
U.S. government and agency
$
18,493,704

 
$
22,123,710

Other
579,472

 
507,437

 
19,073,176

 
22,631,147

Commercial
 
 
 
Multifamily DUS®
1,357,929

 
1,311,399

Other
82,083

 
79,797

 
1,440,012

 
1,391,196

Total loans serviced for others
$
20,513,188

 
$
24,022,343
Mortgage repurchase losses The following is a summary of changes in the Company's liability for estimated mortgage repurchase losses.

 
Three Months Ended June 30,
 
Six Months Ended June 30,
(in thousands)
2018
 
2017
 
2018
 
2017
 
 
 
 
 
 
 
 
Balance, beginning of period
$
2,665

 
$
2,863

 
$
3,015

 
$
3,382

Additions (reductions), net of adjustments(1)
(5
)
 
328

 
605

 
(32
)
Realized losses (2)
(156
)
 
(201
)
 
(1,116
)
 
(360
)
Balance, end of period
$
2,504

 
$
2,990

 
$
2,504

 
$
2,990

 
(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.
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 June 30,
 
Six Months Ended June 30,
(in thousands)
2018
 
2017
 
2018
 
2017
 
 
 
 
 
 
 
 
Servicing income, net:
 
 
 
 
 
 
 
Servicing fees and other
$
18,385

 
$
15,977

 
$
36,836

 
$
32,156

Changes in fair value of single family MSRs due to modeled amortization (1)
(9,400
)
 
(8,909
)
 
(18,270
)
 
(17,429
)
Amortization of multifamily and SBA MSRs
(1,064
)
 
(761
)
 
(2,113
)
 
(1,692
)
 
7,921

 
6,307

 
16,453

 
13,035

Risk management, single family MSRs:
 
 
 
 
 
 
 
Changes in fair value of MSRs due to changes in market inputs and/or model updates (2)
11,299

(3) 
(6,417
)
 
41,318

(3) 
(4,285
)
Net (loss) gain from derivatives economically hedging MSR
(12,188
)
 
8,874

 
(43,165
)
 
9,253

 
(889
)
 
2,457

 
(1,847
)
 
4,968

Loan servicing income
$
7,032

 
$
8,764

 
$
14,606

 
$
18,003

 
(1)
Represents changes due to collection/realization of expected cash flows and curtailments.
(2)
Principally reflects changes in market inputs, which include current market interest rates and prepayment model updates, both of which affect future prepayment speed and cash flow projections.
(3)
Includes pre-tax income of $573 thousand, net of brokerage fees and prepayment reserves, resulting from the sale of single family MSRs during the three and six months ended June 30, 2018.
Key economic assumptions used in measuring initial FV of capitalized single family MSRs Key economic assumptions used in measuring the initial fair value of capitalized single family MSRs were as follows.
 
 
Three Months Ended June 30,
 
Six Months Ended June 30,
(rates per annum) (1)
2018
 
2017
 
2018
 
2017
 
 
 
 
 
 
 
 
Constant prepayment rate ("CPR") (2)
15.69
%
 
14.75
%
 
14.72
%
 
13.39
%
Discount rate (3)
10.29
%
 
10.30
%
 
10.26
%
 
10.29
%
(1)
Weighted average rates for sales during the period for sales of loans with similar characteristics.
(2)
Represents the expected lifetime average.
(3)
Discount rate is a rate based on market observations.
Schedule of sensitivity analysis of fair value, transferor's interests in transferred financial assets 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 June 30, 2018
 
 
Fair value of single family MSR
$
245,744

Expected weighted-average life (in years)
6.58

Constant prepayment rate (1)
11.18
%
Impact on fair value of 25 basis points adverse change in interest rates
$
(13,929
)
Impact on fair value of 50 basis points adverse change in interest rates
$
(29,665
)
Discount rate
10.40
%
Impact on fair value of 100 basis points increase
$
(8,988
)
Impact on fair value of 200 basis points increase
$
(17,353
)
 
(1)
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 June 30,
 
Six Months Ended June 30,
(in thousands)
2018
 
2017
 
2018
 
2017
 
 
 
 
 
 
 
 
Beginning balance
$
294,062

 
$
235,997

 
$
258,560

 
$
226,113

Additions and amortization:
 
 
 
 
 
 
 
Originations
16,673

 
15,748

 
31,026

 
31,666

Purchases
—

 
211

 
—

 
565

Sale of single family MSRs
(66,890
)
 
—

 
(66,890
)
 
—

Changes due to modeled amortization(1)
(9,400
)
 
(8,909
)
 
(18,270
)
 
(17,429
)
Net additions and amortization
(59,617
)
 
7,050

 
(54,134
)
 
14,802

Changes in fair value of MSRs due to changes in market inputs and/or model updates (2)
11,299

(3
)
(6,426
)
 
41,318

(3
)
(4,294
)
Ending balance
$
245,744

 
$
236,621

 
$
245,744

 
$
236,621

 
(1)
Represents changes due to collection/realization of expected cash flows and curtailments.
(2)
Principally reflects changes in market inputs, which include current market interest rates and prepayment model updates, both of which affect future prepayment speed and cash flow projections.
(3)
Includes pre-tax income of $573 thousand, net of brokerage fees and prepayment reserves, resulting from the sale of single family MSRs during the three and six months ended June 30, 2018.
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 June 30,
 
Six Months Ended June 30,
(in thousands)
2018
 
2017
 
2018
 
2017
 
 
 
 
 
 
 
 
Beginning balance
$
26,042

 
$
21,424

 
$
26,093

 
$
19,747

Origination
1,409

 
937

 
2,343

 
3,545

Amortization
(991
)
 
(761
)
 
(1,976
)
 
(1,692
)
Ending balance
$
26,460

 
$
21,600

 
$
26,460

 
$
21,600
Projected amortization expense for the gross carrying value of multifamily MSRs At June 30, 2018, the expected weighted-average life of the Company’s multifamily MSRs was 10.32 years. Projected amortization expense for the gross carrying value of multifamily MSRs is estimated as follows.
 
(in thousands)
At June 30, 2018
 
 
Remainder of 2018
$
1,845

2019
3,626

2020
3,557

2021
3,357

2022
3,046

2023 and thereafter
11,029

Carrying value of multifamily MSR
$
26,460