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Mortgage Servicing
 9 Months Ended
Sep. 30, 2021
Transfers and Servicing [Abstract]  
Mortgage Servicing
Note 7 – Mortgage Servicing
MSRs – At Fair Value
Three Months Ended September 30,
20212020
AgencyNon-AgencyTotalAgencyNon-AgencyTotal
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 adjustments17 (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,
20212020
AgencyNon-AgencyTotalAgencyNon-AgencyTotal
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, 2021June 30, 2021December 31, 2020September 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,
2021202020212020
Loan servicing and subservicing fees
Servicing$103,094 $53,410 $246,363 $161,154 
Subservicing2,867 10,324 8,971 26,143 
MAV1,575 — 1,575 — 
NRZ75,034 91,015 233,135 299,089 
182,570 154,749 490,044 486,386 
Ancillary income
Late charges10,656 11,012 31,335 38,323 
Recording fees3,726 3,900 10,579 9,828 
Loan collection fees2,858 3,047 8,568 10,048 
Boarding and deboarding fees1,627 4,262 6,830 5,619 
Custodial accounts (float earnings)1,234 1,057 3,547 8,787 
Other, net3,914 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.