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MSR Transfers Not Qualifying for Sale Accounting (Tables) | 3 Months Ended
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Mar. 31, 2022
Transfers and Servicing [Abstract] |
Schedule of Activity Related to Financing Liability - MSRs Pledged | 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.
| Three Months Ended March 31, |  |  |  |
| 2022 |  | 2021 |  |  |  |
Pledged MSR Liability | Original Rights to MSRs Agreements - NRZ |  | MAV Agreements (2) |  | Total |  | Original Rights to MSRs Agreements - NRZ |  |  |  |
Beginning Balance | $ | 558,940 |  |  | $ | 238,144 |  |  | $ | 797,084 |  |  | $ | 566,952 |  |  |  |  |
MSR transfers | (10) |  |  | 40,606 |  |  | 40,597 |  |  | — |  |  |  |  |
Changes in fair value (3) | 6,798 |  |  | 48,661 |  |  | 55,459 |  |  | 1,551 |  |  |  |  |
Runoff and settlement | (19,863) |  |  | (8,402) |  |  | (28,265) |  |  | (17,616) |  |  |  |  |
Calls (1) | (560) |  |  | — |  |  | (560) |  |  | (523) |  |  |  |  |
Ending Balance | $ | 545,306 |  |  | $ | 319,009 |  |  | $ | 864,315 |  |  | $ | 550,364 |  |  |  |  |
(1)Represents the carrying value of MSRs in connection with call rights exercised by NRZ, or by Ocwen at NRZ’s direction. 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)The changes in fair value of the MAV Pledged MSR Liability include a $14.1 million loss associated with the amendment to the MAV Subservicing Agreement in March 2022, resulting in lower contractually retained ancillary income by PMC. See Note 10 - Investment in Equity Method Investee and Related Party Transactions.
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 that do not qualify for sale accounting (refer to Note 9 – Receivables and Note 14 – Other Liabilities for receivables and other liabilities, respectively, related to MAV):
| March 31, 2022 |  | December 31, 2021
Balance Sheet |  |  |
NRZ - Transferred MSRs, at fair value | $ | 545,306 |  |  | $ | 558,940 |
Other financing liability - Pledged MSR liability, at fair value |  |  |
NRZ - Original Rights to MSRs Agreements | 545,306 |  |  | 558,940 |
Due from NRZ (Receivables) - Advance funding, subservicing fees and reimbursable expenses | 1,814 |  |  | 3,781 |
Due to NRZ (Other liabilities) | $ | 75,548 |  |  | $ | 76,590 |
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 March 31, |  |  |
| 2022 |  | 2021 |  |  |  |  |
Statements of Operations |  |  |  |  |  |  |  |
Servicing fees |  |  |  |  |  |  |  |
Servicing fees collected on behalf of NRZ | $ | 67,146 |  |  | $ | 80,385 |  |  |  |  |  |
Servicing fees collected on behalf of MAV | 15,733 |  |  | — |  |  |  |  |  |
| $ | 82,879 |  |  | $ | 80,385 |  |  |  |  |  |
Pledged MSR liability expense |  |  |  |  |  |  |  |
NRZ (see further details below) | $ | 32,382 |  |  | $ | 37,850 |  |  |  |  |  |
MAV (see further details below) | 54,515 |  |  | — |  |  |  |  |  |
| $ | 86,897 |  |  | $ | 37,850 |  |  |  |  |  |
NRZ Pledged MSR liability expense: | Three Months Ended March 31, |  |
| 2022 |  | 2021 |  |  |  |
Servicing fees collected on behalf of NRZ | $ | 67,146 |  |  | $ | 80,385 |  |  |  |  |
Less: Subservicing fee retained by Ocwen | 19,367 |  |  | 23,991 |  |  |  |  |
Net servicing fees remitted to NRZ | 47,779 |  |  | 56,394 |  |  |  |  |
Less: Reduction (increase) in Pledged MSR liability |  |  |  |  |  |  |
Changes in fair value due to valuation inputs or assumptions: |  |  |  |  |  |  |
Original Rights to MSRs Agreements | (6,798) |  |  | (1,551) |  |  |  |  |
Runoff and settlement: |  |  |  |  |  |  |
Original Rights to MSRs Agreements | 19,863 |  |  | 17,616 |  |  |  |  |
Other | 2,332 |  |  | 2,479 |  |  |  |  |
Pledged MSR liability expense - NRZ | $ | 32,382 |  |  | $ | 37,850 |  |  |  |  |
MAV Pledged MSR liability expense: | Three Months Ended March 31, 2022 |  |  |  |  |  |
Servicing fees collected on behalf of MAV | $ | 15,733 |  |  |  |  |  |  |
Less: Subservicing fee retained by Ocwen | 2,092 |  |  |  |  |  |  |
Net servicing fees remitted to MAV | 13,641 |  |  |  |  |  |  |
Less: Reduction (increase) in Pledged MSR liability |  |  |  |  |  |  |
Changes in fair value due to valuation inputs or assumptions | (48,661) |  |  |  |  |  |  |
Runoff and settlement | 8,403 |  |  |  |  |  |  |
| (40,258) |  |  |  |  |  |  |
Other (1) | (616) |  |  |  |  |  |  |
Pledged MSR liability expense - MAV | $ | 54,515 |  |  |  |  |  |  |
(1)Includes $0.6 million of early payment protection associated with the transfer (which did not qualify for sale accounting) of MSR portfolios by PMC to MAV.

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