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Mortgage Servicing Rights and Related Liabilities (Tables) | 12 Months Ended
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Dec. 31, 2020
Transfers and Servicing [Abstract] |
Schedule of Servicing Assets at Fair Value | The following table sets forth the carrying value of the Company’s MSRs and the related liabilities. In estimating the fair value of certain servicing rights and related liabilities, the impact of forbearance due to the COVID-19 pandemic was considered in the determination of key assumptions.
| Successor
MSRs and Related Liabilities | December 31, 2020 |  | December 31, 2019
Forward MSRs - fair value | $ | 2,703 |  |  | $ | 3,496 |
Reverse MSRs - amortized cost | 5 |  |  | 6 |
Mortgage servicing rights | $ | 2,708 |  |  | $ | 3,502 |
Mortgage servicing liabilities - amortized cost | $ | 41 |  |  | $ | 61 |
Excess spread financing - fair value | $ | 934 |  |  | $ | 1,311 |
Mortgage servicing rights financing - fair value | 33 |  |  | 37 |
MSR related liabilities - nonrecourse at fair value | $ | 967 |  |  | $ | 1,348 |
The following table sets forth the activities of forward MSRs:
| Successor
| Year Ended December 31,
Forward MSRs - Fair Value | 2020 |  | 2019
Fair value - beginning of year | $ | 3,496 |  |  | $ | 3,665 |
Additions: |  |  |
Servicing retained from mortgage loans sold | 687 |  |  | 434 |
Purchases of servicing rights(1) | 124 |  |  | 858 |
Dispositions: |  |  |
Sales of servicing assets | (9) |  |  | (408) |
Changes in fair value: |  |  |
Changes in valuation inputs or assumptions used in the valuation model | (889) |  |  | (589) |
Other changes in fair value | (706) |  |  | (464) |
Fair value - end of year | $ | 2,703 |  |  | $ | 3,496 |
(1)Purchases of servicing rights during the year ended December 31, 2019 include $271 of mortgage servicing rights that were acquired from Pacific Union. See Note 1, Nature of Business and Basis of Presentation, for further discussion. In addition, in 2019, the Company entered into a subservicing contract, resulting in additional $253 servicing rights during the second quarter of 2019. The following table provides a breakdown of UPB and fair value for the Company’s forward MSRs:
| Successor
| December 31, 2020 |  | December 31, 2019
Forward MSRs - UPB and Fair Value Breakdown | UPB |  | Fair Value |  | UPB |  | Fair Value
Investor Pools |  |  |  |  |  |  |
Agency | $ | 227,136 |  |  | $ | 2,305 |  |  | $ | 240,688 |  |  | $ | 2,944 |
Non-agency | 44,053 |  |  | 398 |  |  | 56,094 |  |  | 552 |
Total | $ | 271,189 |  |  | $ | 2,703 |  |  | $ | 296,782 |  |  | $ | 3,496 |
Schedule of Servicing Liabilities at Fair Value | The following table sets forth the carrying value of the Company’s MSRs and the related liabilities. In estimating the fair value of certain servicing rights and related liabilities, the impact of forbearance due to the COVID-19 pandemic was considered in the determination of key assumptions.
| Successor
MSRs and Related Liabilities | December 31, 2020 |  | December 31, 2019
Forward MSRs - fair value | $ | 2,703 |  |  | $ | 3,496 |
Reverse MSRs - amortized cost | 5 |  |  | 6 |
Mortgage servicing rights | $ | 2,708 |  |  | $ | 3,502 |
Mortgage servicing liabilities - amortized cost | $ | 41 |  |  | $ | 61 |
Excess spread financing - fair value | $ | 934 |  |  | $ | 1,311 |
Mortgage servicing rights financing - fair value | 33 |  |  | 37 |
MSR related liabilities - nonrecourse at fair value | $ | 967 |  |  | $ | 1,348 |
Schedule of Sensitivity Analysis of Fair Value, Transferor's Interests in Transferred Financial Assets | The following table shows the hypothetical effect on the fair value of the Company’s forward MSRs when applying certain unfavorable variations of key assumptions to these assets for the dates indicated:
| Successor
| Discount Rate |  | Total Prepayment Speeds |  | Cost to Service per Loan
Forward MSRs - Hypothetical Sensitivities | 100 bps Adverse Change |  | 200 bps Adverse Change |  | 10% Adverse Change |  | 20% Adverse Change |  | 10% Adverse Change |  | 20% Adverse Change
December 31, 2020 |  |  |  |  |  |  |  |  |  |  |
Mortgage servicing rights | $ | (100) |  |  | $ | (192) |  |  | $ | (181) |  |  | $ | (347) |  |  | $ | (45) |  |  | $ | (89) |
December 31, 2019 |  |  |  |  |  |  |  |  |  |  |
Mortgage servicing rights | $ | (127) |  |  | $ | (245) |  |  | $ | (165) |  |  | $ | (317) |  |  | N/A |  | N/A
The following table shows the hypothetical effect on the Company’s excess spread financing fair value when applying certain unfavorable variations of key assumptions to these liabilities for the dates indicated:
| Successor
| Discount Rate |  | Prepayment Speeds
Excess Spread Financing - Hypothetical Sensitivities | 100 bps Adverse Change |  | 200 bps Adverse Change |  | 10% Adverse Change |  | 20% Adverse Change
December 31, 2020 |  |  |  |  |  |  |
Excess spread financing | $ | 30 |  |  | $ | 62 |  |  | $ | 41 |  |  | $ | 84 |
December 31, 2019 |  |  |  |  |  |  |
Excess spread financing | $ | 46 |  |  | $ | 95 |  |  | $ | 46 |  |  | $ | 96 |
Schedule of Reverse Mortgage Servicing Rights and Liabilities - Amortized Cost | The following table sets forth the activities of reverse MSRs and mortgage servicing liabilities (“MSL”):
| Successor
| Year Ended December 31,
| 2020 |  | 2019
Reverse MSRs and Liabilities - Amortized Cost | Assets |  | Liabilities |  | Assets |  | Liabilities
Balance - beginning of year | $ | 6 |  |  | $ | 61 |  |  | $ | 11 |  |  | $ | 71 |
Amortization/accretion | (1) |  |  | (20) |  |  | (1) |  |  | (47) |
Adjustments(1) | — |  |  | — |  |  | (4) |  |  | 37 |
Balance - end of year | $ | 5 |  |  | $ | 41 |  |  | $ | 6 |  |  | $ | 61 |
Fair value - end of year | $ | 6 |  |  | $ | 37 |  |  | $ | 6 |  |  | $ | 28 |
(1)Reverse MSR and MSL net adjustments recorded by the Company during the year ended December 31, 2019 primarily relate to the finalization of the preliminary fair value estimates recorded in connection with the Merger.
Schedule of Fees Earned in Exchange for Servicing Financial Assets | The following table sets forth the items comprising total revenues for the Servicing segment:
| Successor
| Year Ended December 31,
Total Revenues - Servicing | 2020 |  | 2019
Contractually specified servicing fees(1) | $ | 1,141 |  |  | $ | 1,194 |
Other service-related income(1) | 290 |  |  | 182 |
Incentive and modification income(1) | 39 |  |  | 40 |
Late fees(1) | 83 |  |  | 110 |
Reverse servicing fees | 24 |  |  | 31 |
Mark-to-market adjustments(2) | (679) |  |  | (505) |
Counterparty revenue share(3) | (371) |  |  | (284) |
Amortization, net of accretion(4) | (420) |  |  | (236) |
Total revenues - Servicing | $ | 107 |  |  | $ | 532 |
(1)The Company recognizes revenue on an earned basis for services performed. Amounts include subservicing related revenues. (2)Mark-to-market (“MTM”) adjustments include fair value adjustments on MSR, excess spread financing and MSR financing liabilities. The amount of MSR MTM includes the impact of negative modeled cash flows which have been transferred to reserves on advances and other receivables. The negative modeled cash flows relate to advances and other receivables associated with inactive and liquidated loans that are no longer part of the MSR portfolio. The impact of negative modeled cash flows was $28 and $62 for the years ended December 31, 2020 and 2019, respectively. (3)Counterparty revenue share represents the excess servicing fee that the Company pays to the counterparties under the excess spread financing arrangements and the payments made associated with MSR financing arrangements. (4)Amortization for the Company is net of excess spread accretion of $338 and $243 and MSL accretion of $20 and $47 for the years ended December 31, 2020 and 2019, respectively.

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- Definition Tabular disclosure of a sensitivity analysis or stress test showing the hypothetical effect on the fair value of the transferor's interests in transferred financial assets (including any servicing assets or servicing liabilities) of two or more unfavorable variations from the expected levels for each key assumption that is reported, independently determined from any change in another key assumption, and a description of the objectives, methodology, and limitations of the sensitivity analysis or stress test. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 20 -Section 50 -Paragraph 4 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=121570589&loc=d3e107314-111719 + Details
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- Definition Tabular disclosure of the activity in the balance of servicing assets (including a description of where changes in fair value are reported in the statement of income for each period for which results of operations are presented), including but not limited to, the following: beginning and ending balances, additions (for instance, through purchases of servicing assets), disposals, changes in fair value during the period resulting from changes in inputs or assumptions used in the valuation model, other changes in fair value along with a description of those changes, and other changes that affect the balance along with a description of those changes. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 50 -Section 50 -Paragraph 3 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=116651436&loc=d3e122625-111746 + Details
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- Definition Tabular disclosure of the activity in the balance of servicing liabilities subsequently measured at fair value (including a description of where changes in fair value are reported in the statement of income for each period for which results of operations are presented), including but not limited to, the following: beginning and ending balances, additions (through assumptions of servicing obligations, and servicing obligations that result from transfers of financial assets), disposals, changes in fair value during the period resulting from changes in inputs or assumptions used in the valuation model, other changes in fair value and a description of those changes, and other changes that affect the balance and a description of those changes. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 50 -Section 50 -Paragraph 3 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=116651436&loc=d3e122625-111746 + Details
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