Mortgage Servicing Rights and Related Liabilities (Tables)

12 Months Ended

Dec. 31, 2020

Transfers and Servicing [Abstract]

Schedule of Servicing Assets at Fair Value

The following table sets forth the carrying value of the Company’s MSRs and the related liabilities. In estimating the fair value of certain servicing rights and related liabilities, the impact of forbearance due to the COVID-19 pandemic was considered in the determination of key assumptions.

	Successor
MSRs and Related Liabilities	December 31, 2020		December 31, 2019
Forward MSRs - fair value	$	2,703	$	3,496
Reverse MSRs - amortized cost	5		6
Mortgage servicing rights	$	2,708	$	3,502
Mortgage servicing liabilities - amortized cost	$	41	$	61
Excess spread financing - fair value	$	934	$	1,311
Mortgage servicing rights financing - fair value	33		37
MSR related liabilities - nonrecourse at fair value	$	967	$	1,348

The following table sets forth the activities of forward MSRs:

	Successor
	Year Ended December 31,
Forward MSRs - Fair Value	2020		2019
Fair value - beginning of year	$	3,496	$	3,665
Additions:
Servicing retained from mortgage loans sold	687		434
Purchases of servicing rights(1)	124		858
Dispositions:
Sales of servicing assets	(9)		(408)
Changes in fair value:
Changes in valuation inputs or assumptions used in the valuation model	(889)		(589)
Other changes in fair value	(706)		(464)
Fair value - end of year	$	2,703	$	3,496

(1)Purchases of servicing rights during the year ended December 31, 2019 include $271 of mortgage servicing rights that were acquired from Pacific Union. See Note 1, Nature of Business and Basis of Presentation, for further discussion. In addition, in 2019, the Company entered into a subservicing contract, resulting in additional $253 servicing rights during the second quarter of 2019.

The following table provides a breakdown of UPB and fair value for the Company’s forward MSRs:

	Successor
	December 31, 2020				December 31, 2019
Forward MSRs - UPB and Fair Value Breakdown	UPB		Fair Value		UPB		Fair Value
Investor Pools
Agency	$	227,136	$	2,305	$	240,688	$	2,944
Non-agency	44,053		398		56,094		552
Total	$	271,189	$	2,703	$	296,782	$	3,496

Schedule of Servicing Liabilities at Fair Value

The following table sets forth the carrying value of the Company’s MSRs and the related liabilities. In estimating the fair value of certain servicing rights and related liabilities, the impact of forbearance due to the COVID-19 pandemic was considered in the determination of key assumptions.

	Successor
MSRs and Related Liabilities	December 31, 2020		December 31, 2019
Forward MSRs - fair value	$	2,703	$	3,496
Reverse MSRs - amortized cost	5		6
Mortgage servicing rights	$	2,708	$	3,502
Mortgage servicing liabilities - amortized cost	$	41	$	61
Excess spread financing - fair value	$	934	$	1,311
Mortgage servicing rights financing - fair value	33		37
MSR related liabilities - nonrecourse at fair value	$	967	$	1,348

Schedule of Sensitivity Analysis of Fair Value, Transferor's Interests in Transferred Financial Assets

The following table shows the hypothetical effect on the fair value of the Company’s forward MSRs when applying certain unfavorable variations of key assumptions to these assets for the dates indicated:

	Successor
	Discount Rate				Total Prepayment Speeds				Cost to Service per Loan
Forward MSRs - Hypothetical Sensitivities	100 bps Adverse Change		200 bps Adverse Change		10% Adverse Change		20% Adverse Change		10% Adverse Change		20% Adverse Change
December 31, 2020
Mortgage servicing rights	$	(100)	$	(192)	$	(181)	$	(347)	$	(45)	$	(89)
December 31, 2019
Mortgage servicing rights	$	(127)	$	(245)	$	(165)	$	(317)	N/A		N/A

The following table shows the hypothetical effect on the Company’s excess spread financing fair value when applying certain unfavorable variations of key assumptions to these liabilities for the dates indicated:

	Successor
	Discount Rate				Prepayment Speeds
Excess Spread Financing - Hypothetical Sensitivities	100 bps Adverse Change		200 bps Adverse Change		10% Adverse Change		20% Adverse Change
December 31, 2020
Excess spread financing	$	30	$	62	$	41	$	84
December 31, 2019
Excess spread financing	$	46	$	95	$	46	$	96

Schedule of Reverse Mortgage Servicing Rights and Liabilities - Amortized Cost

The following table sets forth the activities of reverse MSRs and mortgage servicing liabilities (“MSL”):

	Successor
	Year Ended December 31,
	2020				2019
Reverse MSRs and Liabilities - Amortized Cost	Assets		Liabilities		Assets		Liabilities
Balance - beginning of year	$	6	$	61	$	11	$	71
Amortization/accretion	(1)		(20)		(1)		(47)
Adjustments(1)	—		—		(4)		37
Balance - end of year	$	5	$	41	$	6	$	61
Fair value - end of year	$	6	$	37	$	6	$	28

(1)Reverse MSR and MSL net adjustments recorded by the Company during the year ended December 31, 2019 primarily relate to the finalization of the preliminary fair value estimates recorded in connection with the Merger.

Schedule of Fees Earned in Exchange for Servicing Financial Assets

The following table sets forth the items comprising total revenues for the Servicing segment:

	Successor
	Year Ended December 31,
Total Revenues - Servicing	2020		2019
Contractually specified servicing fees(1)	$	1,141	$	1,194
Other service-related income(1)	290		182
Incentive and modification income(1)	39		40
Late fees(1)	83		110
Reverse servicing fees	24		31
Mark-to-market adjustments(2)	(679)		(505)
Counterparty revenue share(3)	(371)		(284)
Amortization, net of accretion(4)	(420)		(236)
Total revenues - Servicing	$	107	$	532

(1)The Company recognizes revenue on an earned basis for services performed. Amounts include subservicing related revenues.

(2)Mark-to-market (“MTM”) adjustments include fair value adjustments on MSR, excess spread financing and MSR financing liabilities. The amount of MSR MTM includes the impact of negative modeled cash flows which have been transferred to reserves on advances and other receivables. The negative modeled cash flows relate to advances and other receivables associated with inactive and liquidated loans that are no longer part of the MSR portfolio. The impact of negative modeled cash flows was $28 and $62 for the years ended December 31, 2020 and 2019, respectively.

(3)Counterparty revenue share represents the excess servicing fee that the Company pays to the counterparties under the excess spread financing arrangements and the payments made associated with MSR financing arrangements.

(4)Amortization for the Company is net of excess spread accretion of $338 and $243 and MSL accretion of $20 and $47 for the years ended December 31, 2020 and 2019, respectively.