MSR Transfers Not Qualifying for Sale Accounting (Tables)

9 Months Ended

Sep. 30, 2021

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.