MSR Transfers Not Qualifying for Sale Accounting (Tables)

12 Months Ended

Dec. 31, 2021

Schedule of Interest Expense Related to Financial Liability

The following tables present the activity of the pledged MSR liability recorded in connection with the MSR transfer agreements with NRZ and MAV that do not qualify for sale accounting.


	Year Ended December 31, 2021
Pledged MSR Liability	Original Rights to MSRs Agreements		MAV Agreements (2)		Total
Beginning balance	$	566,952	$	—	$	566,952
Additions	—		250,016		250,016
Changes in fair value	82,274		(4,329)		77,945
Runoff and settlement	(81,813)		(7,543)		(89,356)
Calls (1)	(8,472)		—		(8,472)
Ending balance	$	558,940	$	238,144	$	797,085


	Year Ended December 31, 2020
Pledged MSR Liability	Original Rights to MSRs Agreements		2017 Agreements and New RMSR Agreements		PMC MSR Agreements		Total
Beginning balance	$	603,046	$	35,445	$	312,102	$	950,593
Additions	—		—		—		—


Sales	—		—		(226)		(226)
Changes in fair value (3)	36,065		903		(40,720)		(3,752)



Runoff and settlement (3)	(70,403)		(35,121)		(7,492)		(113,016)



Derecognition of financing liability due to termination of PMC Agreement (4)	—		—		(263,664)		(263,664)
Calls (1)	(1,756)		(1,227)		—		(2,983)



Ending balance	$	566,952	$	—	$	—	$	566,952


	Year Ended December 31, 2019
Pledged MSR Liability	Original Rights to MSRs Agreements		2017 Agreements and New RMSR Agreements		PMC MSR Agreements		Total
Beginning balance	$	436,511	$	138,854	$	457,491	$	1,032,856
Additions	—		—		1,276		1,276
Sales	—		—		44		44
Changes in fair value (3)	222,697		5,866		(82,078)		146,485



Runoff and settlement (3)	(42,229)		(101,003)		(64,631)		(207,863)



Calls (1)	(13,933)		(8,272)		—		(22,205)



Ending balance	$	603,046	$	35,445	$	312,102	$	950,593

(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, 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)The fair value of the Pledged MSR liability differs from the fair value of the associated transferred MSR asset mostly due to the portion of ancillary income that is retained by PMC (shared between PMC and MAV) and other contractual cash flows under the terms of the subservicing agreement. As the MSR sales to MAV do not achieve sale accounting, the MSR asset transferred remains on the consolidated balance sheet and the proceeds from the sale are initially recognized as a financing liability (Pledged MSR liability), which is recorded at fair value with changes in fair value reported in Pledged MSR liability expense.

(3)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 years ended December 31, 2020 and 2019 in the table above have been recast to conform to current year disclosure, resulting in a loss of $14.1 million in 2020 and a gain of $6.5 million in 2019, reclassified from Runoff and settlement to Changes in fair value.

(4)On February 20, 2020, we received a notice of termination from NRZ with respect to the PMC MSR Agreements. While the MSRs and the Rights to MSRs associated with these loans were derecognized from our balance sheet, we continued to service these loans until completing deboarding on October 1, 2020, and accounted for them as a subservicing relationship during that period.

The following table presents assets and liabilities recorded on our consolidated balance sheets in connection with the MSR transfer agreements with NRZ that do not qualify for sale accounting (refer to Note 9 — Receivables and Note 15 — Other Liabilities for receivables and other liabilities, respectively, related to MAV):


	December 31,
	2021		2020
Balance Sheet

NRZ - Transferred MSRs, at fair value	$	558,940	$	566,952


Other financing liability - Pledged MSR liability, at fair value
NRZ - Original Rights to MSRs Agreements	558,940		566,952





Due from NRZ (Receivables)

Advance funding, subservicing fees and reimbursable expenses	3,781		4,611


Due to NRZ (Other liabilities)	$	76,590	$	94,691

The following tables present selected items in our consolidated statements of operations in connection with the MSR transfer agreements with NRZ and MAV that do not qualify for sale accounting.


	Year Ended December 31,
	2021		2020		2019
Statements of Operations
Servicing fees
Servicing fees collected on behalf of NRZ	$	304,248	$	383,685	$	577,015
Servicing fees collected on behalf of MAV	14,173		—		—
	$	318,421	$	383,685	$	577,015

Pledged MSR liability expense
NRZ (see further details below)	$	205,226	$	152,334	$	372,089
MAV (see further details below)	4,675		—		—
	$	209,901	$	152,334	$	372,089

NRZ Pledged MSR liability expense:


	Year Ended December 31,
	2021		2020		2019
Servicing fees collected on behalf of NRZ	$	304,248	$	383,685	$	577,015
Less: Subservicing fee retained	88,401		104,848		139,343
Net servicing fees remitted to NRZ	215,847		278,837		437,672

Less: Reduction (increase) in financing liability
Changes in fair value:
Original Rights to MSRs Agreements (1)	(82,274)		(36,065)		(222,697)
2017 Agreements and New RMSR Agreements	—		(903)		(5,866)
PMC MSR Agreements	—		40,720		82,078
	(82,274)		3,752		(146,485)
Runoff and settlement:
Original Rights to MSRs Agreements (1)	81,813		70,403		42,228
2017 Agreements and New RMSR Agreements	—		35,121		101,003
PMC MSR Agreements	—		7,492		64,631
	81,813		113,016		207,862

Other	11,082		9,735		4,206

Pledged MSR liability expense	$	205,226	$	152,334	$	372,089

(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 years ended December 31, 2020 and 2019 in the table above have been recast to conform to current year disclosure, resulting in a loss of $14.1 million in 2020 and a gain of $6.5 million in 2019, reclassified from Runoff and settlement to Changes in fair value.

MAV Pledged MSR liability expense:


	Year Ended December 31,
	2021
Servicing fees collected on behalf of MAV	$	14,173
Less: Subservicing fee retained by Ocwen	1,988
Net servicing fees remitted to MAV	12,186

Less: Reduction (increase) in Pledged MSR liability
Changes in fair value due to valuation inputs or assumptions	4,329
Runoff and settlement	7,543
	11,872

Other (1)	(4,361)
Pledged MSR liability expense - MAV	$	4,675

(1)Includes $4.0 million of early payment protection associated with the sale of MSR portfolios by PMC to MAV.