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MSR Transfers Not Qualifying for Sale Accounting (Tables)
 9 Months Ended
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,
20222021
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,
20222021
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, 2022December 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 Agreements604,654 558,940 
Due from Rithm (Receivables) - Advance funding, subservicing fees and reimbursable expenses2,245 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,
2022202120222021
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 MAV17,844 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,
2022202120222021
Servicing fees collected on behalf of Rithm$63,362 $75,034 $195,237 $233,135 
Less: Subservicing fee retained by Ocwen17,828 21,475 55,966 67,987 
Net servicing fees remitted to Rithm45,534 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,
2022202120222021
Servicing fees collected on behalf of MAV$17,844 $1,001 $51,048 $1,001 
Less: Subservicing fee retained by Ocwen2,313 178 6,678 178 
Net servicing fees remitted to MAV15,531 823 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.