Rights to MSRs (Tables)

3 Months Ended

Mar. 31, 2021

Schedule of Assets, Liabilities, Servicing and Subservicing Fees Related to NRZ Agreements

The following tables present selected assets and liabilities recorded on our unaudited consolidated balance sheets as well as the impacts to our unaudited consolidated statements of operations in connection with our NRZ agreements.


Balance Sheets	March 31, 2021		December 31, 2020
MSRs, at fair value	$	550,364	$	566,952

Due from NRZ (Receivables): Advance funding, subservicing fees and reimbursable expenses	11,653		4,611


Due to NRZ (Other liabilities)	$	94,535	$	94,691

Financing liability - MSRs pledged, at fair value: Original Rights to MSRs Agreements	550,364		566,952


	Three Months Ended March 31,
	2021		2020
Statements of Operations
Servicing fees collected on behalf of NRZ	$	80,385	$	119,669
Less: Subservicing fee retained by Ocwen	23,991		29,331
Net servicing fees remitted to NRZ	56,394		90,338

Less: Reduction (increase) in financing liability
Changes in fair value:
Original Rights to MSRs Agreements (1)	(1,551)		(7,068)
2017 Agreements and New RMSR Agreements	—		(903)
PMC MSR Agreements	—		40,720
	(1,551)		32,749
Runoff and settlement:
Original Rights to MSRs Agreements (1)	17,616		15,741
2017 Agreements and New RMSR Agreements	—		25,142
PMC MSR Agreements	—		7,492
	17,616		48,375

Other	2,479		2,620

Pledged MSR liability expense	$	37,850	$	6,594

(1) Effective January 1, 2021, changes in fair value due to actual vs. model variances are presented as Changes in valuation inputs or assumptions. Activity for the three months ended March 31,2020 in the table above has been recast to conform to current year disclosure, resulting in a $2.0 million gain reclassified from Runoff and settlement to Changes in fair value.

Schedule of Activity Related to Financing Liability - MSRs Pledged


	Three Months Ended
	March 31, 2021		March 31, 2020
Financing Liability - MSRs Pledged	Original Rights to MSRs Agreements		Original Rights to MSRs Agreements		2017 Agreements and New RMSR Agreements		PMC MSR Agreements		Total
Beginning Balance	$	566,952	$	603,046	$	35,445	$	312,102	$	950,593


Sales	—		—		—		(226)		(226)
Changes in fair value:
Original Rights to MSRs Agreements (2)	1,551		7,068		—		—		7,068
2017 Agreements and New RMSR Agreements	—		—		903		—		903
PMC MSR Agreements	—		—		—		(40,720)		(40,720)
Runoff and settlement:
Original Rights to MSRs Agreements (2)	(17,616)		(15,741)		—		—		(15,741)
2017 Agreements and New RMSR Agreements	—		—		(25,142)		—		(25,142)
PMC MSR Agreements	—		—		—		(7,492)		(7,492)
Derecognition of Pledged MSR financing liability due to termination of PMC MSR Agreements	—		—		—		(263,664)		(263,664)
Calls (1):
Original Rights to MSRs Agreements	(523)		(2,668)		—		—		(2,668)
2017 Agreements and New RMSR Agreements	—		—		(1,227)		—		(1,227)

Ending Balance	$	550,364	$	591,705	$	9,979	$	—	$	601,684

(1)Represents the carrying value of MSRs in connection with call rights exercised by NRZ, for MSRs transferred to NRZ under the 2017 Agreements and New RMSR Agreements, or by Ocwen at NRZ’s direction, for MSRs underlying the Original Rights to MSRs Agreements. Ocwen derecognizes the MSRs and the related financing liability upon collapse of the securitization.

(2)Effective January 1, 2021, changes in fair value due to actual vs. model variances are presented as Changes in valuation inputs or assumptions. Activity for the three months ended March 31,2020 in the table above has been recast to conform to current year disclosure, resulting in a $2.0 million gain reclassified from Runoff and settlement to Changes in fair value.

Schedule of Unpaid Principal Balance of Loans Serviced on Behalf of Others

As of March 31, 2021, the UPB of loans serviced on behalf of NRZ comprised the following:


Ocwen servicer of record (MSR title retained by Ocwen) - Ocwen MSR (1) (2)	$	13,673,665
NRZ servicer of record (MSR title transferred to NRZ) - Ocwen MSR (1)	48,153,327
Ocwen subservicer	2,505,208
Total NRZ UPB	$	64,332,200

(1)The MSR sale transactions did not achieve sale accounting treatment.

(2)NRZ’s associated outstanding servicing advances were approximately $535.5 million as of March 31, 2021.