Compliance is just the beginning.
Financial - ensure loans held-for-sale or "warehoused" at month-end or quarter-end are recorded at the lower of cost or market. Ensure gains on sales are recorded correctly. Usually lots of gl accounts for fees and various reconciliations to review in mortgage banking.
Lots of operational issues - does management have good monitoring reports to ensure loans will close within the rate lock period so loans are not uncommitted? Are they reviewing and taking corrective action from the QC reviews?
Review contracts with the 3rd party investors buying the loans. Look at how long and under what conditions before put-back provisions expire. Review loans that were put-back - determine why and what management is doing to prevent future put-backs. Assume loans are sold via best efforts contracts? Are loans sold one-to-one or in pools? Ensure loans are meeting the investors' guidelines.
Are you servicing the loans you sell? Lots to audit there if loans sold are "servicing retained."
We are examined by the FDIC, but this OCC exam manual (although dated), is still useful.
http://www.occ.gov/static/publications/handbook/mortgage.pdf