Mortgage Servicing (Tables)

9 Months Ended

Sep. 30, 2020

Schedule of Activity Related to MSRs - Fair Value Measurement Method


MSRs – Fair Value Measurement Method	Three Months Ended September 30,
	2020						2019
	Agency		Non-Agency		Total		Agency		Non-Agency		Total
Beginning balance	$	305,085	$	739,829	$	1,044,914	$	745,735	$	566,898	$	1,312,633


Sales and other transfers	—		(1)		(1)		—		(15)		(15)
Additions:
Recognized on the sale of residential mortgage loans	22,096		—		22,096		1,235		—		1,235
Purchase of MSRs	32,249		—		32,249		9,298		1,268		10,566
Servicing transfers and adjustments	16		—		16		—		(3,105)		(3,105)
Changes in fair value (2):
Changes in valuation inputs or other assumptions	4,074		13,749		17,823		(63,360)		252,293		188,933
Realization of expected future cash flows and other changes	(23,856)		(24,228)		(48,084)		(36,898)		(17,796)		(54,694)
Ending balance	$	339,664	$	729,349	$	1,069,013	$	656,010	$	799,543	$	1,455,553



MSRs – Fair Value Measurement Method	For the Nine Months Ended September 30,
	2020						2019
	Agency		Non-Agency		Total		Agency		Non-Agency		Total
Beginning balance	$	714,006	$	772,389	$	1,486,395	$	865,587	$	591,562	$	1,457,149


Sales and other transfers	—		(108)		(108)		(29)		(556)		(585)
Additions:
Recognized on the sale of residential mortgage loans	37,785		—		37,785		3,933		—		3,933
Purchase of MSRs	78,994		—		78,994		123,600		1,355		124,955
Servicing transfers and adjustments (1)	(263,830)		403		(263,427)		—		(7,872)		(7,872)
Changes in fair value (2):
Changes in valuation inputs or other assumptions	(159,351)		20,679		(138,672)		(235,036)		264,876		29,840
Realization of expected future cash flows and other changes	(67,940)		(64,014)		(131,954)		(102,045)		(49,822)		(151,867)
Ending balance	$	339,664	$	729,349	$	1,069,013	$	656,010	$	799,543	$	1,455,553

(1)Servicing transfers and adjustments include a $263.7 million derecognition of MSRs/Rights to MSRs effective with the February 20, 2020 notice of termination of the subservicing agreement between NRZ and PMC. See Note 9 — Rights to MSRs for further information.

(2)Changes in fair value are recognized in MSR valuation adjustments, net in the unaudited consolidated statements of operations.

Schedule of Composition of Servicing UPB


	UPB at
	September 30, 2020		December 31, 2019		September 30, 2019






Owned MSRs	$	71,301,427	$	70,973,496	$	71,372,447
NRZ pledged MSRs (1)	66,782,351		108,837,877		113,441,618
Total recognized MSRs	$	138,083,778	$	179,811,373	$	184,814,065

(1)MSRs subject to sale agreements with NRZ that do not meet sale accounting criteria. See Note 9 — Rights to MSRs.

Schedule of Components of Servicing and Subservicing Fees


Servicing Revenue	Three Months Ended September 30,				Nine Months Ended September 30,
	2020		2019		2020		2019
Loan servicing and subservicing fees
Servicing	$	53,410	$	61,485	$	161,154	$	170,054
Subservicing	10,324		1,365		26,143		11,775
NRZ	91,015		146,567		299,089		443,505
	154,749		209,417		486,386		625,334
Ancillary income
Late charges	11,012		14,105		38,323		42,786
Custodial accounts (float earnings)	1,057		13,464		8,787		38,739
Loan collection fees	3,047		3,862		10,048		11,613
Home Affordable Modification Program (HAMP) fees (1)	104		1,216		532		4,558
Other, net	11,753		6,453		24,369		22,063
	26,973		39,100		82,059		119,759
	$	181,722	$	248,517	$	568,445	$	745,093

(1)The HAMP expired on December 31, 2016. Borrowers who had requested assistance or to whom an offer of assistance had been extended as of that date had until September 30, 2017 to finalize their modification. We continue to earn HAMP success fees for HAMP modifications that remain less than 90 days delinquent at the first-, second- and third-year anniversary of the start of the trial modification.