MSR Transfers Not Qualifying for Sale Accounting (Tables)

3 Months Ended

Mar. 31, 2022

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.