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v3.21.2

MSR Transfers Not Qualifying for Sale Accounting (Tables) | 9 Months Ended
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Sep. 30, 2021
Transfers and Servicing [Abstract] |
Schedule of Assets, Liabilities Related to MSR Transfer Agreements | The following table presents selected assets and liabilities recorded on our unaudited consolidated balance sheets in connection with the MSR transfer agreements with NRZ and MAV that do not qualify for sale accounting.
Balance Sheets | September 30, 2021 |  | December 31, 2020
Transferred MSRs, at fair value |  |  |
NRZ | $ | 574,020 |  |  | $ | 566,952 |
MAV | 144,893 |  |  | — |
| $ | 718,913 |  |  | $ | 566,952 |
Other financing liability - Transferred MSR liability (1), at fair value |  |  |
NRZ | $ | 574,020 |  |  | $ | 566,952 |
MAV | 128,887 |  |  | — |
| $ | 702,907 |  |  | $ | 566,952 |
Due from NRZ (Receivables) - Subservicing fees and reimbursable expenses | $ | 2,892 |  |  | $ | 4,611 |
Due to NRZ (Other liabilities) - Advance collections, servicing fees and other | 92,188 |  |  | 94,691 |
Schedule of Activity Related to Financing Liability - MSRs Pledged | The following tables present the activity of the transferred MSR liability recorded in connection with the MSR transfer agreements with NRZ and MAV that do not qualify for sale accounting.
| Three Months Ended |  |  |  |
| September 30, 2021 |  | September 30, 2020
Transferred MSR Liability | Original Rights to MSRs Agreements - NRZ |  | MAV Agreements |  | Total |  | Original Rights to MSRs Agreements - NRZ |  |  |  |
Beginning Balance | $ | 535,571 |  |  | $ | — |  |  | $ | 535,571 |  |  | $ | 582,558 |  |  |  |  |
Sales | — |  |  | 132,003 |  |  | 132,003 |  |  | — |  |  |  |  |
Changes in fair value (2) | 63,762 |  |  | (2,433) |  |  | 61,329 |  |  | 12,203 |  |  |  |  |
Runoff and settlement | (21,100) |  |  | (683) |  |  | (21,783) |  |  | (17,452) |  |  |  |  |
Calls (1) | (4,213) |  |  | — |  |  | (4,213) |  |  | — |  |  |  |  |
Ending Balance | $ | 574,020 |  |  | $ | 128,887 |  |  | $ | 702,907 |  |  | $ | 577,309 |  |  |  |  |
| Nine Months Ended September 30, 2021 |  |  |  |  |
Transferred MSR Liability | Original Rights to MSRs Agreements - NRZ |  | MAV Agreements |  |  |  | Total |  |  |  |  |
Beginning Balance | $ | 566,952 |  |  | $ | — |  |  |  |  | $ | 566,952 |  |  |  |  |  |
Sales | — |  |  | 132,003 |  |  |  |  | 132,003 |  |  |  |  |  |
Changes in fair value | 73,706 |  |  | (2,433) |  |  |  |  | 71,273 |  |  |  |  |  |
Runoff and settlement | (59,626) |  |  | (683) |  |  |  |  | (60,309) |  |  |  |  |  |
Calls (1) | (7,012) |  |  | — |  |  |  |  | (7,012) |  |  |  |  |  |
Ending Balance | $ | 574,020 |  |  | $ | 128,887 |  |  |  |  | $ | 702,907 |  |  |  |  |  |
| Nine Months Ended September 30, 2020
Transferred MSR Liability | Original Rights to MSRs Agreements - NRZ |  | 2017 Agreements and New RMSR Agreements - NRZ |  | PMC MSR Agreements - NRZ |  | Total
Beginning Balance | $ | 603,046 |  |  | $ | 35,445 |  |  | $ | 312,102 |  |  | $ | 950,593 |
Sales | — |  |  | — |  |  | (226) |  |  | (226) |
Changes in fair value (2) | 26,081 |  |  | 903 |  |  | (40,720) |  |  | (13,736) |
Runoff and settlement: | (49,150) |  |  | (35,121) |  |  | (7,492) |  |  | (91,763) |
Derecognition of Pledged MSR financing liability due to termination of PMC MSR Agreements | — |  |  | — |  |  | (263,664) |  |  | (263,664) |
Calls (1) | (2,668) |  |  | (1,227) |  |  | — |  |  | (3,895) |
Ending Balance | $ | 577,309 |  |  | $ | — |  |  | $ | — |  |  | $ | 577,309 |
(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 nine months ended September 30, 2020 in the table above has been recast to conform to current year disclosure, resulting in losses of $1.8 million and $7.6 million, respectively, reclassified from Runoff and settlement to Changes in fair value.
Schedule of Results of Operations in Connection With MSR Transfer Agreements that Do Not Qualify for Sale Accounting | The following tables present selected items in our unaudited consolidated statements of operations in connection with the MSR transfer agreements with NRZ and MAV that do not qualify for sale accounting.
| Three Months Ended September 30, |  | Nine Months Ended September 30, |
| 2021 |  | 2020 |  | 2021 |  | 2020 |
Statements of Operations |  |  |  |  |  |  |  |
Servicing fees |  |  |  |  |  |  |  |
Servicing fees collected on behalf of NRZ | $ | 75,034 |  |  | $ | 91,015 |  |  | $ | 233,135 |  |  | $ | 299,089 |  |
Servicing fees collected on behalf of MAV | 1,001 |  |  | — |  |  | $ | 1,001 |  |  | — |  |
| $ | 76,035 |  |  | $ | 91,015 |  |  | $ | 234,136 |  |  | $ | 299,089 |  |
Pledged MSR liability expense |  |  |  |  |  |  |  |
NRZ (see further details below) | $ | 93,253 |  |  | $ | 57,404 |  |  | $ | 170,914 |  |  | $ | 105,684 |  |
MAV (see further details below) | (2,094) |  |  | — |  |  | (2,094) |  |  | — |  |
| $ | 91,160 |  |  | $ | 57,404 |  |  | $ | 168,820 |  |  | $ | 105,684 |  |
NRZ Pledged MSR liability expense:
| Three Months Ended September 30, |  | Nine Months Ended September 30,
| 2021 |  | 2020 |  | 2021 |  | 2020
Servicing fees collected on behalf of NRZ | $ | 75,034 |  |  | $ | 91,015 |  |  | $ | 233,135 |  |  | $ | 299,089 |
Less: Subservicing fee retained by Ocwen | 21,475 |  |  | 25,674 |  |  | 67,987 |  |  | 80,529 |
Net servicing fees remitted to NRZ | 53,559 |  |  | 65,341 |  |  | 165,148 |  |  | 218,560 |
Less: Reduction (increase) in financing liability |  |  |  |  |  |  |
Changes in fair value: |  |  |  |  |  |  |
Original Rights to MSRs Agreements (1) | (63,762) |  |  | (12,202) |  |  | (73,706) |  |  | (26,081) |
2017 Agreements and New RMSR Agreements | — |  |  | — |  |  | — |  |  | (903) |
PMC MSR Agreements | — |  |  | — |  |  | — |  |  | 40,720 |
| (63,762) |  |  | (12,202) |  |  | (73,706) |  |  | 13,736 |
Runoff and settlement: |  |  |  |  |  |  |
Original Rights to MSRs Agreements (1) | 21,100 |  |  | 17,451 |  |  | 59,627 |  |  | 49,150 |
2017 Agreements and New RMSR Agreements | — |  |  | — |  |  | — |  |  | 35,121 |
PMC MSR Agreements | — |  |  | — |  |  | — |  |  | 7,492 |
| 21,100 |  |  | 17,451 |  |  | 59,627 |  |  | 91,763 |
Other | 2,968 |  |  | 2,688 |  |  | 8,313 |  |  | 7,377 |
Pledged MSR liability expense - NRZ | $ | 93,253 |  |  | $ | 57,404 |  |  | $ | 170,914 |  |  | $ | 105,684 |
(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 nine months ended September 30, 2020 in the table above has been recast to conform to current year disclosure, resulting in losses of $1.8 million and $7.6 million, respectively, reclassified from Runoff and settlement to Changes in fair value. MAV Pledged MSR liability expense:
| Three Months Ended September 30, 2021 |  |  |  | Nine Months Ended September 30, 2021 |  |
Servicing fees collected on behalf of MAV | $ | 1,001 |  |  |  |  | $ | 1,001 |  |  |
Less: Subservicing fee retained by Ocwen | 178 |  |  |  |  | 178 |  |  |
Net servicing fees remitted to MAV | 823 |  |  |  |  | 823 |  |  |
Less: Reduction (increase) in Transferred MSR liability |  |  |  |  |  |  |
Changes in fair value | 2,433 |  |  |  |  | 2,433 |  |  |
Runoff and settlement | 683 |  |  |  |  | 683 |  |  |
| 3,116 |  |  |  |  | 3,116 |  |  |
Other | (199) |  |  |  |  | (199) |  |  |
Pledged MSR liability expense - MAV | $ | (2,094) |  |  |  |  | $ | (2,094) |  |  |
Schedule of Unpaid Principal Balance of Loans Serviced on Behalf of Others | The following table presents UPB of loans serviced on behalf of NRZ and MAV for transferred MSRs that did not qualify for sale accounting together with the UPB of loans subserviced on behalf of NRZ and MAV:
| September 30, 2021 |  | December 31, 2020
NRZ Agreements |  |  |
Ocwen servicer of record (MSR title retained by Ocwen) - Ocwen MSR (1) (2) | $ | 12,601,689 |  |  | $ | 14,114,602 |
NRZ servicer of record (MSR title transferred to NRZ) - Ocwen MSR (1) | 43,526,008 |  |  | 49,866,082 |
Ocwen subservicer | 2,251,947 |  |  | 3,130,704 |
| 58,379,644 |  |  | 67,111,388 |
MAV Agreements |  |  |
MSR transferred to MAV (1) | 13,570,892 |  |  | — |
Ocwen subservicer | 7,855,112 |  |  | — |
| 21,426,004 |  |  | — |
Total UPB | $ | 79,805,648 |  |  | $ | 67,111,388 |
(1)The MSR transfers did not qualify for sale accounting treatment. (2)NRZ’s and MAV’s associated outstanding servicing advances were approximately $493.4 million and $4.5 million, respectively, as of September 30, 2021.

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