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Rights to MSRs (Tables)
 9 Months Ended
Sep. 30, 2017
Transfers and Servicing [Abstract]  
Schedule of Activity Related to Rights to Mortgage Servicing Rights
The following table provides details of activity related to Rights to MSRs transactions:
Nine months ended September 30, 2017
2017 Agreements
 
2012 - 2013 Agreements
 
 
 
MSR
 
MSR
 
 
 
 UPB
 
Carrying Value
 
UPB
 
Carrying Value
 
Financing Liability (1) (2)
Beginning balance
$
—

 
$
—

 
$
118,712,748

 
$
477,707

 
$
(477,707
)
Transfers upon receipt of consents
15,872,374

 
31,253

 
(15,872,374
)
 
(31,253
)
 
—

Receipt of lump sum payment in connection with transfer of MSRs to NRZ (3)
—

 
—

 
—

 
—

 
(54,601
)
Calls (4)
(134,705
)
 
(322
)
 
(1,132,497
)
 
(4,156
)
 
4,478

Sales and other transfers
—

 
—

 
(57,793
)
 
—

 
—

Changes in fair value (3):
 
 
 
 
 
 
 
 
 
Changes in valuation inputs or other assumptions
—

 
(2,444
)
 
—

 
(1,471
)
 
27,024

Realization of expected future cash flows and other changes
—

 
(1,459
)
 
—

 
(52,266
)
 
—

Decrease in impairment valuation allowance
—

 
—

 
—

 
13,769

 
—

Runoff, settlements and other
(217,048
)
 
—

 
(11,613,047
)
 
1,529

 
52,963

Ending balance
$
15,520,621

 
$
27,028

 
$
90,037,037

 
$
403,859

 
$
(447,843
)
 
 
 
 
 
 
 
 
 
 
Advances
 
 
N/A
 
 
 
$
2,727,107

 
 
(1)
Carried at fair value in accordance with fair value election.
(2)
Under ASC 470-50, Debt - Modifications and Extinguishments, Ocwen is deemed to have had a significant modification and debt extinguishment in connection with the Rights to MSRs secured financing liability. Because the secured financing liability is accounted for at fair value, there was no gain or loss recognized in connection with this debt extinguishment. As permitted by ASC 825-10-25, Financial Instruments - Recognition - Fair Value Option, a significant modification of debt is an event that creates a fair value option election date.
(3)
The amount of the lump sum payment is based on a contractual schedule that approximates the net present value of the difference in cash flows under the 2017 Agreements versus the 2012 - 2013 Agreements, and was determined based on the weighted average characteristics, such as contractual servicing fee rates and delinquency, of the MSRs underlying the Rights to MSRs. The difference between the characteristics of the MSRs underlying the Rights to MSRs that are transferred in any period, relative to the weighted average loan characteristics used to determine the lump sum payment, will result in an increase (characteristics of transferred MSRs compare favorably to the weighted average) or decrease (characteristics of transferred MSRs compare unfavorably to the weighted average) in the fair value of the financing liability. The fair value of the portion of the financing liability recognized in connection with the September 1, 2017 transfer declined $37.6 million primarily due to the transferred MSRs having a contractual servicing fee rate of 33.4 bps as compared to the weighted average of 47.1 bps.
(4)
Represents the UPB and carrying value of MSRs in connection with clean-up call rights exercised by NRZ, for MSRs transferred to NRZ under the 2017 Agreements, or by Ocwen at NRZ’s direction, for MSRs underlying the 2012 - 2013 Agreements. Ocwen derecognizes the MSRs and the related financing liability upon collapse of the securitization. Income recognized in connection with clean-up calls is reported in other income in our unaudited consolidated statements of operations.
Schedule of Components of Interest Expense
Interest expense related to financing liabilities recorded in connection with the NRZ Transactions is indicated in the table below.
Periods ended September 30,
Three Months
 
Nine Months
2017
 
2016
 
2017
 
2016
Servicing fees collected on behalf of NRZ
$
129,228

 
$
159,919

 
$
420,151

 
$
482,566

Less: Subservicing fee retained by Ocwen
68,536

 
87,506

 
226,483

 
257,408

Net servicing fees remitted to NRZ
60,692

 
72,413

 
193,668

 
225,158

Less: Reduction (increase) in financing liability
 
 
 
 
 
 
 
Changes in fair value
27,024

 
(807
)
 
27,024

 
(1,555
)
Runoff, settlement and other
19,770

 
594

 
52,963

 
47,172

 
$
13,898

 
$
72,626

 
$
113,681

 
$
179,541

The following table presents the components of interest expense:
Periods ended September 30,
Three Months
 
Nine Months
2017
 
2016
 
2017
 
2016
Financing liabilities
$
15,317

 
$
73,096

 
$
118,579

 
$
193,675

Match funded liabilities
11,981

 
17,349

 
37,499

 
53,656

Other secured borrowings
10,990

 
13,450

 
30,174

 
38,877

Senior notes
7,452

 
6,130

 
22,355

 
18,399

Other
1,541

 
936

 
3,864

 
3,476

 
$
47,281

 
$
110,961

 
$
212,471

 
$
308,083