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MSR Transfers Not Qualifying for Sale Accounting (Tables)
6 Months Ended
Jun. 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 NRZ and MAV that do not qualify for sale accounting.
Three Months Ended June 30,
20222021
Pledged MSR LiabilityOriginal Rights to MSRs Agreements - NRZMAV Agreements (2)TotalOriginal Rights to MSRs Agreements - NRZ
Beginning Balance$545,306 $319,009 $864,315 $550,364 
MSR transfers10 30,895 30,904 — 
Changes in fair value 24,736 15,136 39,872 8,393 
Runoff and settlement(19,243)(9,509)(28,753)(20,910)
Calls (1)— — — (2,276)
Ending Balance $550,808 $355,530 $906,338 $535,571 
Six Months Ended June 30,
20222021
Pledged MSR Liability  Original Rights to MSRs Agreements - NRZMAV Agreements (2)TotalOriginal Rights to MSRs Agreements - NRZ
Beginning Balance$558,940 $238,144 $797,085 $566,952 
MSR transfers— 71,501 71,501 — 
Changes in fair value (3)31,534 63,796 95,330 9,944 
Runoff and settlement(39,106)(17,912)(57,018)(38,526)
Calls (1)(560)— (560)(2,799)
Ending Balance $550,808 $355,530 $906,338 $535,571 
(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):
June 30, 2022December 31, 2021
Balance Sheet
NRZ - Transferred MSRs, at fair value $550,808 $558,940 
Other financing liability - Pledged MSR liability, at fair value
NRZ - Original Rights to MSRs Agreements550,808 558,940 
Due from NRZ (Receivables) - Advance funding, subservicing fees and reimbursable expenses1,932 3,781 
Due to NRZ (Other liabilities) $63,398 $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 June 30,Six Months Ended June 30,
2022202120222021
Statements of Operations
Servicing fees
Servicing fees collected on behalf of NRZ$64,729 $77,716 $131,875 $158,101 
Servicing fees collected on behalf of MAV17,471 — $33,204 — 
$82,200 $77,716 $165,079 $158,101 
Pledged MSR liability expense
NRZ (see further details below)$53,239 $39,810 $85,623 $77,660 
MAV (see further details below)20,843 — 75,357 — 
$74,083 $39,810 $160,980 $77,660 
NRZ Pledged MSR liability expense:
Three Months Ended June 30,Six Months Ended June 30,
2022202120222021
Servicing fees collected on behalf of NRZ $64,729 $77,716 $131,875 $158,101 
Less: Subservicing fee retained by Ocwen18,771 22,521 38,137 46,512 
Net servicing fees remitted to NRZ45,958 55,195 93,738 111,589 
Less: Reduction (increase) in Pledged MSR liability
Changes in fair value due to valuation inputs or assumptions - Original Rights to MSRs Agreements (24,736)(8,393)(31,534)(9,944)
Runoff and settlement - Original Rights to MSRs Agreements 19,244 20,910 39,106 38,526 
Other(1,789)2,868 543 5,347 
Pledged MSR liability expense - NRZ$53,239 $39,810 $85,623 $77,660 
MAV Pledged MSR liability expense:
Three Months Ended June 30, 2022Six Months Ended June 30, 2022
Servicing fees collected on behalf of MAV$17,471 $33,204 
Less: Subservicing fee retained by Ocwen2,273 4,366 
Net servicing fees remitted to MAV15,198 28,838 
Less: Reduction (increase) in Pledged MSR liability
Changes in fair value due to valuation inputs or assumptions(15,136)(63,796)
Runoff and settlement9,509 17,912 
Other (1)(18)(634)
Pledged MSR liability expense - MAV$20,843 $75,357 
(1)Includes $0.0 million and $0.6 million for the three and six months ended June 30, 2022, respectively, of early payment protection associated with the transfer (which did not qualify for sale accounting) of MSR portfolios by PMC to MAV.