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v3.22.2.2

MSR Transfers Not Qualifying for Sale Accounting (Tables) | 9 Months Ended
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Sep. 30, 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 Rithm and MAV that do not qualify for sale accounting.
| Three Months Ended September 30,
| 2022 |  | 2021
Pledged MSR Liability | Original Rights to MSRs Agreements - Rithm |  | MAV Agreements (2) |  | Total |  | Original Rights to MSRs Agreements - Rithm |  | MAV Agreements (2) |  | Total
Beginning Balance | $ | 550,808 |  |  | $ | 355,530 |  |  | $ | 906,338 |  |  | $ | 535,571 |  |  | $ | — |  |  | $ | 535,571 |
MSR transfers | — |  |  | 13,420 |  |  | 13,420 |  |  | — |  |  | 132,003 |  |  | 132,003 |
Changes in fair value | 71,072 |  |  | 18,533 |  |  | 89,605 |  |  | 63,762 |  |  | (2,433) |  |  | 61,329 |
Runoff and settlement | (17,142) |  |  | (9,592) |  |  | (26,735) |  |  | (21,100) |  |  | (683) |  |  | (21,783) |
Derecognition of financing liability(3) | — |  |  | (35,925) |  |  | (35,925) |  |  | — |  |  | — |  |  | — |
Calls (1) | (84) |  |  | — |  |  | (84) |  |  | (4,213) |  |  | — |  |  | (4,213) |
Ending Balance | $ | 604,654 |  |  | $ | 341,965 |  |  | $ | 946,619 |  |  | $ | 574,020 |  |  | $ | 128,887 |  |  | $ | 702,907 |
| Nine Months Ended September 30,
| 2022 |  | 2021
Pledged MSR Liability | Original Rights to MSRs Agreements - Rithm |  | MAV Agreements (2) |  | Total |  | Original Rights to MSRs Agreements - Rithm |  | MAV Agreements (2) |  | Total
Beginning Balance | $ | 558,940 |  |  | $ | 238,144 |  |  | $ | 797,085 |  |  | $ | 566,952 |  |  | $ | — |  |  | $ | 566,952 |
MSR transfers | — |  |  | 84,921 |  |  | 84,921 |  |  | — |  |  | 132,003 |  |  | 132,003 |
Changes in fair value (4) | 102,606 |  |  | 82,329 |  |  | 184,935 |  |  | 73,706 |  |  | (2,433) |  |  | 71,273 |
Runoff and settlement | (56,249) |  |  | (27,504) |  |  | (83,753) |  |  | (59,626) |  |  | (683) |  |  | (60,309) |
Derecognition of financing liability(3) | — |  |  | (35,925) |  |  | (35,925) |  |  | — |  |  | — |  |  | — |
Calls (1) | (643) |  |  | — |  |  | (643) |  |  | (7,012) |  |  | — |  |  | (7,012) |
Ending Balance | $ | 604,654 |  |  | $ | 341,965 |  |  | $ | 946,619 |  |  | $ | 574,020 |  |  | $ | 128,887 |  |  | $ | 702,907 |
(1)Represents the carrying value of MSRs in connection with call rights exercised by Rithm, or by Ocwen at Rithm’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)During the three months ended September 30, 2022, we derecognized a portion of the MAV Pledged MSR liability upon sale of the related MSRs by MAV to a third party with a UPB of $2.9 billion. (4)The changes in fair value of the MAV Pledged MSR Liability in the nine months ended September 30, 2022 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 Rithm 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):
| September 30, 2022 |  | December 31, 2021
Balance Sheet |  |  |
Rithm - Transferred MSRs, at fair value | $ | 604,654 |  |  | $ | 558,940 |
Other financing liability - Pledged MSR liability, at fair value |  |  |
Rithm - Original Rights to MSRs Agreements | 604,654 |  |  | 558,940 |
Due from Rithm (Receivables) - Advance funding, subservicing fees and reimbursable expenses | 2,245 |  |  | 3,781 |
Due to Rithm (Other liabilities) | $ | 80,438 |  |  | $ | 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 Rithm and MAV that do not qualify for sale accounting.
| Three Months Ended September 30, |  | Nine Months Ended September 30,
| 2022 |  | 2021 |  | 2022 |  | 2021
Statements of Operations |  |  |  |  |  |  |
Servicing fees |  |  |  |  |  |  |
Servicing fees collected on behalf of Rithm | $ | 63,362 |  |  | $ | 75,034 |  |  | $ | 195,237 |  |  | $ | 233,135 |
Servicing fees collected on behalf of MAV | 17,844 |  |  | 1,001 |  |  | $ | 51,048 |  |  | 1,001 |
| $ | 81,205 |  |  | $ | 76,035 |  |  | $ | 246,284 |  |  | $ | 234,136 |
Pledged MSR liability expense |  |  |  |  |  |  |
Rithm (see further details below) | $ | 102,790 |  |  | $ | 93,253 |  |  | $ | 188,414 |  |  | $ | 170,914 |
MAV (see further details below) | 28,845 |  |  | (2,094) |  |  | 104,202 |  |  | (2,094) |
| $ | 131,635 |  |  | $ | 91,160 |  |  | $ | 292,616 |  |  | $ | 168,820 |
Rithm Pledged MSR liability expense: | Three Months Ended September 30, |  | Nine Months Ended September 30,
| 2022 |  | 2021 |  | 2022 |  | 2021
Servicing fees collected on behalf of Rithm | $ | 63,362 |  |  | $ | 75,034 |  |  | $ | 195,237 |  |  | $ | 233,135 |
Less: Subservicing fee retained by Ocwen | 17,828 |  |  | 21,475 |  |  | 55,966 |  |  | 67,987 |
Net servicing fees remitted to Rithm | 45,534 |  |  | 53,559 |  |  | 139,271 |  |  | 165,148 |
Less: Reduction (increase) in Pledged MSR liability |  |  |  |  |  |  |
Changes in fair value due to valuation inputs or assumptions - Original Rights to MSRs Agreements | (71,072) |  |  | (63,762) |  |  | (102,606) |  |  | (73,706) |
Runoff and settlement - Original Rights to MSRs Agreements | 17,142 |  |  | 21,100 |  |  | 56,249 |  |  | 59,627 |
Other | (3,326) |  |  | 2,968 |  |  | (2,786) |  |  | 8,313 |
Pledged MSR liability expense - Rithm | $ | 102,790 |  |  | $ | 93,253 |  |  | $ | 188,414 |  |  | $ | 170,914 |
MAV Pledged MSR liability expense: | Three Months Ended September 30, |  | Nine Months Ended September 30,
| 2022 |  | 2021 |  | 2022 |  | 2021
Servicing fees collected on behalf of MAV | $ | 17,844 |  |  | $ | 1,001 |  |  | $ | 51,048 |  |  | $ | 1,001 |
Less: Subservicing fee retained by Ocwen | 2,313 |  |  | 178 |  |  | 6,678 |  |  | 178 |
Net servicing fees remitted to MAV | 15,531 |  |  | 823 |  |  | 44,370 |  |  | 823 |
Less: Reduction (increase) in Pledged MSR liability |  |  |  |  |  |  |
Changes in fair value due to valuation inputs or assumptions | (19,770) |  |  | 2,433 |  |  | (83,566) |  |  | 2,433 |
Runoff and settlement (1) | 6,472 |  |  | 683 |  |  | 24,384 |  |  | 683 |
Other | (16) |  |  | (199) |  |  | (650) |  |  | (199) |
Pledged MSR liability expense - MAV | $ | 28,845 |  |  | $ | (2,094) |  |  | $ | 104,202 |  |  | $ | (2,094) |
(1)Includes $3.1 million expense recognized during the three months ended September 30, 2022, representing the fair value of the MSRs in excess of the Pledged MSR Liability derecognized upon the sale of the related MSRs by MAV to a third party.

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