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v3.21.2

Mortgage Servicing | 9 Months Ended
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Sep. 30, 2021
Transfers and Servicing [Abstract] |
Mortgage Servicing |
Note 7 – Mortgage Servicing
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. MSR 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. We purchased MSRs with a UPB of $72.2 billion and $9.9 billion during the nine months ended September 30, 2021 and 2020, respectively. Purchases during the nine months ended September 30, 2021 include a bulk MSR acquisition of performing GSE loans from an unrelated third party effective June 1, 2021, with a UPB and fair value of $46.8 billion and $575.3 million, respectively. We sold MSRs with a UPB of $18.0 million and $55.7 million during the nine months ended September 30, 2021 and 2020, respectively, mostly to Freddie Mac under the Voluntary Partial Cancellation (VPC) program for delinquent loans. At September 30, 2021, the S&P Global Ratings, Inc.’s (S&P’s) servicer ratings outlook for PMC is stable. On June 29, 2021, S&P affirmed PMC’s servicer rating as Average, raising management and organization ranking to Above Average. In addition, S&P raised PMC’s master servicer rating from Average to Above Average reflecting the industry experience of PMC’s management, multiple levels of internal controls to monitor operations, and resolution of regulatory actions, amongst other factors mentioned by S&P. On September 28, 2021, Moody’s upgraded the servicer quality (SQ) assessment for PMC as a master servicer of residential mortgage loans from SQ3 to SQ3+, reflecting solid reporting and remitting processes and proactive servicer oversight. On March 24, 2020, Fitch Ratings, Inc. (Fitch) placed all U.S Residential Mortgage Backed Securities (RMBS) servicer ratings on Outlook Negative, resulting from a rapidly evolving economic and operating environment due to the sudden impact of the COVID-19 virus. On April 28, 2021, Fitch affirmed PMC’s servicer ratings and revised its outlook from Negative to Stable as PMC’s performance in this evolving environment has not raised any elevated concerns. According to Fitch, the affirmation and stable outlook reflected PMC’s diligent response to the coronavirus pandemic and its impact on servicing operations, effective enterprise-wide risk environment and compliance management framework, satisfactory loan servicing performance metrics, special servicing expertise, and efficient servicing technology. The ratings also consider the financial condition of PMC’s parent, OFC.
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 |
Float balances (balances in custodial accounts, which represent collections of principal and interest that we receive from borrowers) are held in escrow by unaffiliated banks and are excluded from our unaudited consolidated balance sheets. Float balances amounted to $3.3 billion, $1.7 billion and $2.0 billion at September 30, 2021, December 31, 2020 and September 30, 2020, respectively.

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- Definition The entire disclosure for a transferor's continuing involvement in financial assets that it has transferred in a securitization or asset-backed financing arrangement, the nature of any restrictions on assets reported by an entity in its statement of financial position that relate to a transferred financial asset (including the carrying amounts of such assets), how servicing assets and servicing liabilities are reported, and (for securitization or asset-backed financing arrangements accounted for as sales) when a transferor has continuing involvement with the transferred financial assets and transfers of financial assets accounted for as secured borrowings, how the transfer of financial assets affects an entity's financial position, financial performance, and cash flows. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 30 -Section 50 -Paragraph 1A -Subparagraph (c)(3) -URI 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