Rights to MSRs (Tables)

6 Months Ended

Jun. 30, 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	June 30, 2021		December 31, 2020
MSRs, at fair value	$	535,571	$	566,952

Due from NRZ (Receivables) - Subservicing fees and reimbursable expenses	2,616		4,611


Due to NRZ (Other liabilities) - Advance collections, servicing fees and other	$	84,288	$	94,691

Financing liability - MSRs pledged, at fair value: Original Rights to MSRs Agreements	535,571		566,952


	Three Months Ended June 30,				Six Months Ended June 30,
	2021		2020		2021		2020
Statements of Operations
Servicing fees collected on behalf of NRZ	$	77,716	$	88,405	$	158,101	$	208,073
Less: Subservicing fee retained by Ocwen	22,521		25,523		46,512		54,855
Net servicing fees remitted to NRZ	55,195		62,882		111,589		153,218

Less: Reduction (increase) in financing liability
Changes in fair value:
Original Rights to MSRs Agreements (1)	(8,393)		(6,810)		(9,944)		(13,879)
2017 Agreements and New RMSR Agreements	—		—		—		(903)
PMC MSR Agreements	—		—		—		40,720
	(8,393)		(6,810)		(9,944)		25,938
Runoff and settlement:
Original Rights to MSRs Agreements (1)	20,910		15,957		38,526		31,699
2017 Agreements and New RMSR Agreements	—		9,979		—		35,121
PMC MSR Agreements	—		—		—		7,492
	20,910		25,936		38,526		74,312

Other	2,868		2,070		5,347		4,688

Pledged MSR liability expense	$	39,810	$	41,686	$	77,660	$	48,280

(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 and six months ended June 30, 2020 in the table above has been recast to conform to current year disclosure, resulting in losses of $7.8 million and $5.8 million, respectively, reclassified from Runoff and settlement to Changes in fair value.

Schedule of Activity Related to Financing Liability - MSRs Pledged


	Six Months Ended
	June 30, 2021		June 30, 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
Additions	—		—		—		—		—

Sales	—		—		—		(226)		(226)
Changes in fair value:
Original Rights to MSRs Agreements (2)	9,944		13,879		—		—		13,879
2017 Agreements and New RMSR Agreements	—		—		903		—		903
PMC MSR Agreements	—		—		—		(40,720)		(40,720)
Runoff and settlement:
Original Rights to MSRs Agreements (2)	(38,526)		(31,699)		—		—		(31,699)
2017 Agreements and New RMSR Agreements	—		—		(35,121)		—		(35,121)
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	(2,799)		(2,668)		—		—		(2,668)
2017 Agreements and New RMSR Agreements	—		—		(1,227)		—		(1,227)

Ending Balance	$	535,571	$	582,558	$	—	$	—	$	582,558

(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 (each as defined below), or by Ocwen at NRZ’s direction, for MSRs underlying the Original Rights to MSRs Agreements (as defined below). 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 and six months ended June 30, 2020 in the table above has been recast to conform to current year

disclosure, resulting in losses of $7.8 million and $5.8 million, respectively, reclassified from Runoff and settlement to Changes in fair value.

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

The UPB of loans serviced on behalf of NRZ comprised the following:


	June 30, 2021		December 31, 2020
Ocwen servicer of record (MSR title retained by Ocwen) - Ocwen MSR (1) (2)	$	13,145,240	$	14,114,602
NRZ servicer of record (MSR title transferred to NRZ) - Ocwen MSR (1)	45,879,500		49,866,082
Ocwen subservicer	2,366,544		3,130,704
Total NRZ UPB	$	61,391,284	$	67,111,388

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

(2)NRZ’s associated outstanding servicing advances were approximately $486.6 million as of June 30, 2021.