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Mortgage Servicing (Tables) | 9 Months Ended
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Sep. 30, 2021
Transfers and Servicing [Abstract] |
Schedule of Activity Related to MSRs - Fair Value Measurement Method |
MSRs – At Fair Value | Three Months Ended September 30,
2021 |  | 2020
| Agency |  | Non-Agency |  | Total |  | Agency |  | Non-Agency |  | Total
Beginning balance | $ | 1,408,420 |  |  | $ | 664,098 |  |  | $ | 2,072,518 |  |  | $ | 305,085 |  |  | $ | 739,829 |  |  | $ | 1,044,914 |
Sales and other transfers | — |  |  | — |  |  | — |  |  | — |  |  | (1) |  |  | (1) |
Additions: |  |  |  |  |  |  |  |  |  |  |
Recognized on the sale of residential mortgage loans | 66,420 |  |  | — |  |  | 66,420 |  |  | 22,096 |  |  | — |  |  | 22,096 |
Purchase of MSRs | 36,153 |  |  | — |  |  | 36,153 |  |  | 32,249 |  |  | — |  |  | 32,249 |
Servicing transfers and adjustments | 17 |  |  | (4,723) |  |  | (4,706) |  |  | 16 |  |  | — |  |  | 16 |
Changes in fair value: |  |  |  |  |  |  |  |  |  |  |
Changes in valuation inputs or assumptions (2) | 6,983 |  |  | 67,836 |  |  | 74,819 |  |  | (4,731) |  |  | 13,496 |  |  | 8,765 |
Realization of expected cash flows (2) | (38,186) |  |  | (30,758) |  |  | (68,944) |  |  | (15,051) |  |  | (23,975) |  |  | (39,026) |
Ending balance | $ | 1,479,807 |  |  | $ | 696,453 |  |  | $ | 2,176,260 |  |  | $ | 339,664 |  |  | $ | 729,349 |  |  | $ | 1,069,013 |
MSRs – At Fair Value | Nine Months Ended September 30,
2021 |  | 2020
| Agency |  | Non-Agency |  | Total |  | Agency |  | Non-Agency |  | Total
Beginning balance | $ | 578,957 |  |  | $ | 715,860 |  |  | $ | 1,294,817 |  |  | $ | 714,006 |  |  | $ | 772,389 |  |  | $ | 1,486,395 |
Sales and other transfers | — |  |  | — |  |  | — |  |  | — |  |  | (108) |  |  | (108) |
Additions: |  |  |  |  |  |  |  |  |  |  |
Recognized on the sale of residential mortgage loans | 136,482 |  |  | — |  |  | 136,482 |  |  | 37,785 |  |  | — |  |  | 37,785 |
Purchase of MSRs | 806,469 |  |  | — |  |  | 806,469 |  |  | 78,994 |  |  | — |  |  | 78,994 |
Servicing transfers and adjustments (1) | 73 |  |  | (6,913) |  |  | (6,840) |  |  | (263,830) |  |  | 403 |  |  | (263,427) |
Changes in fair value: |  |  |  |  |  |  |  |  |  |  |
Changes in valuation inputs or assumptions (2) | 47,132 |  |  | 73,306 |  |  | 120,438 |  |  | (166,546) |  |  | 23,839 |  |  | (142,707) |
Realization of expected cash flows (2) | (89,306) |  |  | (85,800) |  |  | (175,106) |  |  | (60,745) |  |  | (67,174) |  |  | (127,919) |
Ending balance | $ | 1,479,807 |  |  | $ | 696,453 |  |  | $ | 2,176,260 |  |  | $ | 339,664 |  |  | $ | 729,349 |  |  | $ | 1,069,013 |
(1)Servicing transfers and adjustments include a $263.7 million derecognition of MSRs effective with the February 20, 2020 notice of termination of the subservicing agreement between NRZ and PMC. See Note 8 — MSR Transfers Not Qualifying for Sale Accounting for further information. (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 a $9.1 million and $4.0 million gain, respectively, reclassified from Realization of expected cash flows to Changes in valuation inputs or assumptions.
Schedule of Composition of Servicing UPB |
| September 30, 2021 |  | June 30, 2021 |  | December 31, 2020 |  | September 30, 2020
Owned MSRs | $ | 136,316,900 |  |  | $ | 148,882,743 |  |  | $ | 90,174,495 |  |  | $ | 71,301,427 |
NRZ pledged MSRs (1) | 56,141,289 |  |  | 59,038,668 |  |  | 64,061,198 |  |  | 66,782,351 |
MAV pledged MSRs (1) | 13,570,892 |  |  | — |  |  | — |  |  | — |
Total MSR UPB | $ | 206,029,081 |  |  | $ | 207,921,411 |  |  | $ | 154,235,693 |  |  | $ | 138,083,778 |
(1)MSRs subject to sale agreements with NRZ and MAV that do not meet sale accounting criteria. See Note 8 — MSR Transfers Not Qualifying for Sale Accounting.
Schedule of Components of Servicing and Subservicing Fees |
Servicing Revenue | Three Months Ended September 30, |  | Nine Months Ended September 30,
2021 |  | 2020 |  | 2021 |  | 2020
Loan servicing and subservicing fees |  |  |  |  |  |  |
Servicing | $ | 103,094 |  |  | $ | 53,410 |  |  | $ | 246,363 |  |  | $ | 161,154 |
Subservicing | 2,867 |  |  | 10,324 |  |  | 8,971 |  |  | 26,143 |
MAV | 1,575 |  |  | — |  |  | 1,575 |  |  | — |
NRZ | 75,034 |  |  | 91,015 |  |  | 233,135 |  |  | 299,089 |
| 182,570 |  |  | 154,749 |  |  | 490,044 |  |  | 486,386 |
Ancillary income |  |  |  |  |  |  |
Late charges | 10,656 |  |  | 11,012 |  |  | 31,335 |  |  | 38,323 |
Recording fees | 3,726 |  |  | 3,900 |  |  | 10,579 |  |  | 9,828 |
Loan collection fees | 2,858 |  |  | 3,047 |  |  | 8,568 |  |  | 10,048 |
Boarding and deboarding fees | 1,627 |  |  | 4,262 |  |  | 6,830 |  |  | 5,619 |
Custodial accounts (float earnings) | 1,234 |  |  | 1,057 |  |  | 3,547 |  |  | 8,787 |
Other, net | 3,914 |  |  | 3,695 |  |  | 11,859 |  |  | 9,454 |
| 24,015 |  |  | 26,973 |  |  | 72,720 |  |  | 82,059 |
| $ | 206,585 |  |  | $ | 181,722 |  |  | $ | 562,764 |  |  | $ | 568,445 |

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