~~The Company evaluated subsequent events through the date these interim consolidated financial statements were issued.~~

Basis of Consolidation

The condensed consolidated financial statements include the accounts of the Company, its wholly-owned subsidiaries, other entities in which the Company has a controlling financial interest and those variable interest entities (“VIE”) where the Company’s wholly-owned subsidiaries are the primary beneficiaries. Assets and liabilities of VIEs and their respective results of operations are consolidated from the date that the Company became the primary beneficiary through the date the Company ceases to be the primary beneficiary. The Company applies the equity method of accounting to investments where it is able to exercise significant influence, but not control, over the policies and procedures of the entity and owns less than 50% of the voting interests. Investments in certain companies over which the Company does not exert significant influence are accounted for as cost method investments. Intercompany balances and transactions on consolidated entities have been eliminated. ~~Business combinations are included in the consolidated financial statements from their respective dates of acquisition.~~

Use of Estimates

The preparation of the condensed consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the condensed consolidated financial statements and accompanying notes. Actual results could differ from these estimates due to factors such as adverse changes in the economy, changes in interest rates, secondary market pricing for loans held for sale and derivatives, strength of underwriting and servicing practices, changes in prepayment assumptions, declines in home prices or discrete events adversely affecting specific borrowers, uncertainties in the economy from the COVID-19 pandemic, and such differences could be material.

9In the second quarter of 2021, the Company refined its estimation process for determining the fair value of forward MSRs by incorporating an estimate of future cash flows from existing loans that are expected to be recaptured, which is consistent with recent pricing observed from market participants. This refinement did not result in a significant change to the overall valuation of the Company’s mortgage servicing rights (“MSRs”) portfolio. See Note 3, Mortgage Servicing Rights and Related Liabilities and Note 13, Fair Value Measurements for further discussion. There were no other changes to the Company’s use of estimates for the period ended June 30, 2021.

Recent Accounting Guidance Adopted

Accounting Standards Update ~~No. 2016-13, Financial Instruments~~2019-12, Income Taxes (Topic 740) - ~~Credit Losses (Topic 326),~~Simplifying the Accounting for Income Taxes (“ASU ~~2016-13”~~2019-12”) ~~requires expected credit losses~~simplifies accounting for ~~financial instruments held at~~income taxes by removing certain exceptions from the reporting date to be measured based on historical experience, current conditions and reasonable and supportable forecasts, which is referred to as the current expected credit loss (“CECL”) methodology. The update eliminates the initial recognition of credit losses on an incurred basisgeneral principles in ~~current GAAP and instead reflects an entity’s current estimate of all expected credit losses over the life~~Topic 740 including elimination of the ~~asset. Previously,~~exception to the incremental approach for intraperiod tax allocation when ~~credit losses were measured under GAAP, an entity generally only considered past events~~there is a loss from continuing operations and ~~current conditions~~income or a gain from other items such as other comprehensive income. ASU 2019-12 also clarifies and amends certain guidance in measuring the incurred loss. The new standard will reflect management’s best estimate of all expected credit losses for the Company’s financial assets that are recognized at amortized cost. The guidance wasTopic 740. ASU 2019-12 is effective for the Company ~~as of January 1, 2020, with a cumulative-effect adjustment to retained earnings as of that date.~~

Based upon management’s scoping analysis, the Company determined that reverse mortgage interests, net of reserves, advances and other receivables, net of reserves, and certain financial instruments included in other assets are within the scope of ASU 2016-13. Certain financial instruments within these respective line items have been determined to have limited expected credit-related losses due to the contractual servicing agreements with agencies and loan product guarantees. For advances and other receivables, net, the Company determined that the majority of estimated losses are due to servicing operational errors and credit-related losses are not significant because of the contractual relationships with the agencies. For reverse mortgage interests the Company determined that the guarantee from Federal Housing Administration (“FHA”) on Home Equity Conversion Mortgage (“HECM“) loan products limits credit-related losses to an immaterial amount with substantially all losses related to servicing operational errors. For other assets, primarily trade receivables, the Company determined that these are short-term in nature (less than one year), and the estimated credit-related losses over the life of these receivables are similar to those resulting from the Company’s existing loss reserve process. For each of the aforementioned financial instruments carried at amortized cost, the Company enhanced its processes to consider and include the requirements of ASU 2016-13, as applicable, into the determination of credit-related losses.

~~On January 1, 2020, the Company adopted~~ ~~ASU 2016-13~~ using the modified retrospective method for the above-mentioned financial assets. Results for reporting periods after January 1, 2020 are presented under ASU 2016-13 while prior period amounts continue to be reported in accordance with previously applicable GAAP. The Company recorded transition adjustments aggregating to a net increase of $9, or $7 after tax, to retained earnings and a reduction of $7 to the advances and other receivables reserve and a $2 reduction in the other assets reserves, as of January 1, 2020 for the cumulative effect of adopting ASU 2016-13.

~~In connection with adoption of ASU 2016-13, the Company updated its accounting policies as follows:~~

For certain financial instruments included in advances and other receivables, net, and certain trade receivables and accrued revenues included in other assets that within the scope of ASU 2016-13, the reserve methodology was revised to consider CECL losses. The revised CECL methodology considers expected lifetime loss rates calculated from historical data using a weighted average life to determine the current expected credit loss required. Due to the nature of the financial instrument, reverse mortgage interests, net of reserves, and advances and other receivables had limited impact from the adoption of CECL to the reserve methodology. See ~~Note 4, Advances and Other Receivables, Net~~, ~~Note 5, Reverse Mortgage Interests, Net, and~~ ~~Note 7, Other Assets,~~ ~~for additional information.~~

Factors that influenced management’s current estimate of expected credit losses for certain advances and other receivables and certain trade receivables and accrued revenues included the following: historical collection and loss rates, passage of time, weighted average life of receivables, and various qualitative factors including current economic conditions.

Factors that influenced management’s current estimate of expected credit related losses for certain reverse mortgage interests included the following: historical collection and loss rates, foreclosure timelines, and values of underlying collateral.

~~Accounting Standards Update No. 2018-13,~~ ~~Fair Value Measurement (Topic 820)- Changes to the Disclosure Requirements for Fair Value Measurement~~, (“ASU 2018-13”) removes the requirement to disclose the amount of and reasons for transfers between Level 1 and Level 2 fair value measurement methodologies, the policy for timing of transfers between levels and the valuation processes for Level 3 fair value measurements. It also adds a requirement to disclose changes in unrealized gains and losses for the period included in other comprehensive income for recurring Level 3 fair value measurements held at the end of the reporting period and the range and weighted average of significant unobservable inputs used to develop Level 3 measurements. For certain unobservable inputs, entities may disclose other quantitative information in lieu of the weighted average if the other quantitative information would be a more reasonable and rational method to reflect the distribution of unobservable inputs used to develop Level 3 fair value measurements. The Company adopted ASU 2018-13 on January 1, ~~2020.~~2021. The ~~guidance does~~adoption of the standard did not have a material impact to the ~~disclosures currently provided by the Company.~~Company’s condensed consolidated financial statements.

2. ~~Acquisitions~~Discontinued Operations

On July 1, 2021, the Company entered into a definitive agreement for the sale of its reverse servicing portfolio, operating under Champion, to MAM. Upon close of the transaction, which is subject to regulatory approvals and other closing conditions, MAM will assume Champion’s reverse portfolio and related operations. The sale is expected to close prior to the end of 2021. The carrying amounts of assets and liabilities associated with the reverse servicing operation are reported under the Servicing segment. The Company determined reverse servicing operations met the criteria for classification as held for sale as of June 30, 2021 and represents a strategic shift in the Company’s operations. Therefore, the sale of the reverse servicing portfolio qualifies for reporting as discontinued operations, and the assets and liabilities of the reverse servicing portfolio are reported as discontinued operations in the condensed consolidated balance sheets and related results of operations are reported as discontinued operations in the condensed consolidated statements of operations for all periods presented.

~~Acquisition~~As part of ~~Pacific Union Financial, LLC~~

~~On February 1, 2019,~~the transaction, the Company ~~completed the acquisition of all the limited liability units of Pacific Union Financial, LLC (“Pacific Union”),~~entered into a ~~California limited liability company. Pacific Union was a privately held company that was engaged in the origination, as well as~~ servicing ~~of residential mortgage loans, and operated throughout the United States. The acquisition allows~~agreement with MAM, under which the Company will be compensated for continuing to ~~expand its~~service these reverse loans through the date that the loans are transferred out of Company’s servicing system, which will be the date of close. In addition, the Company will retain certain loans related to the reverse servicing portfolio, ~~and increase its mortgage lending volume and capabilities.~~

~~The acquisition has been accounted for in accordance with Accounting Standards Codification 805,~~ ~~Business Combinations~~, using the acquisition method of accounting. Under the acquisition method of accounting, the Company allocated the purchase price of the acquisition to identifiable assets acquired and liabilities assumed based on their estimated fair values as of the acquisition date. The determination of fair value estimates requires management to make certain estimates about discount rates, future expected cash flows, market conditions, and other future events that are highly subjective in nature and may require adjustments. The final purchase price was $116, paid in cash. Based on the allocation of fair value, goodwill of $40 was recorded, which represents the excess of the purchase price over the estimated fair value of tangible and intangible assets acquired, net of the liabilities assumed. The goodwill is primarily attributable to the assembled workforce and synergies with the Company’s current operations. $28 and $12 of the goodwill is assigned to the Originations and Servicing segments, respectively, based on expected cash flows, and is expected to be deductible for tax purposes.


~~Final Estimated Fair Value of Net Assets Acquired:~~
~~Cash and cash equivalents~~	$	37
~~Restricted cash~~	2
~~Mortgage servicing rights~~	~~271~~
~~Advances and other receivables~~	84
~~Mortgage loans held for sale~~	~~536~~
~~Mortgage loans held for investment~~	1
~~Property and equipment~~	8
~~Other assets~~	~~483~~
~~Fair value of assets acquired~~	~~1,422~~
~~Notes payable~~⁽¹⁾	~~294~~
~~Advance facilities~~	13
~~Warehouse facilities~~	~~393~~
~~Payables and other liabilities~~	~~530~~
~~Other nonrecourse debt~~	~~129~~
~~Fair value of liabilities assumed~~	~~1,359~~
~~Total fair value of net tangible assets acquired~~	63
~~Intangible assets:~~
~~Customer relationships~~⁽²⁾	13
~~Goodwill~~	40
~~Final purchase price~~	$	~~116~~

⁽¹⁾~~Notes payable was subsequently paid off in February 2019 after the consummation of the acquisition.~~

⁽²⁾~~The estimated fair values for customer relationships were measured using the excess earnings method and were determined to have a remaining useful life of 10 years.~~

The Company incurred total acquisition costs of $2 during the three months ended June 30, 2019, of which $1 is included in salaries, wages and benefits expense and $1 in general and administrative expense in the Company’s consolidated statements of operations. The Company incurred total acquisition costs of $4 during the six months ended June 30, 2019, of which $2 is included in salaries, wages and benefits expense and $2 in general and administrative expense in the Company’s consolidated statements of operations. The acquisition costs were primarily related to ~~legal, accounting~~previously liquidated loans, with total assets of $112 and ~~consulting services. There were 0 acquisition costs incurred by the Company during the six months ended~~total liabilities of $88 as of June 30, ~~2020.~~2021.

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The following table sets forth the assets and liabilities included in discontinued operations:

For the three and six months ended June 30, 2019, the operations contributed by this acquisition generated total revenues of $79 and $118 and income before income tax of $36 and $50, respectively, which are reported in the Company’s consolidated statements of operations.


	June 30, 2021		December 31, 2020
Carrying amounts of assets of discontinued operations
Restricted cash	$	77	$	83

Reverse mortgage interests, net	4,910		5,253

Other	9		11
Loss recognized on classification as discontinued operations	(61)		0
Total assets of discontinues operations	$	4,935	$	5,347

Carrying amounts of liabilities of discontinued operations
Advances and warehouse facilities, net	$	525	$	505
Payables and other liabilities	224		233
Mortgage servicing liabilities	42		41
Other nonrecourse debt, net	3,999		4,424
Total liabilities of discontinued operations	$	4,790	$	5,203

The following ~~unaudited pro forma financial information presents~~table sets forth the ~~combined results~~condensed consolidated statements of operations data for ~~the three and six months ended June 30, 2019, as if the acquisition had occurred on January 1, 2019:~~discontinued operations:

Three Months Ended June 30, 2019 Six Months Ended June 30, 2019
Pro forma financial information (unaudited) (unaudited)
Pro forma total revenues $ 399 $ 668
Pro forma net loss $ (87) $ (271)


	Three Months Ended June 30,				Six Months Ended June 30,
	2021		2020		2021		2020
Revenue - service related, net	$	1	$	12	$	9	$	26
Salaries, wages and benefits expense	(8)		(10)		(16)		(22)
General and administrative expense	71		(10)		64		(18)
Interest income	43		53		87		96
Interest expense	(30)		(50)		(64)		(103)
Loss on classification as discontinued operations	(61)		0		(61)		0
Income (loss) from discontinued operations before income tax expense (benefit)	16		(5)		19		(21)
Less: Income tax expense (benefit)	4		(1)		5		(5)
Net income (loss) from discontinued operations	$	12	$	(4)	$	14	$	(16)

3. Mortgage Servicing Rights and Related Liabilities

The following table sets forth the carrying value of the Company’s mortgage servicing rights (“MSRs”) and the related liabilities. In estimating the fair value of all mortgage servicing rights and related liabilities, the impact of the ~~COVID-19 pandemic~~current environment was considered in the determination of key assumptions.

MSRs and Related Liabilities June 30, 2020 December 31, 2019
Forward MSRs - fair value $ 2,757 $ 3,496
Reverse MSRs - amortized cost 6 6
Mortgage servicing rights $ 2,763 $ 3,502
Mortgage servicing liabilities - amortized cost $ 48 $ 61
Excess spread financing - fair value $ 1,124 $ 1,311
Mortgage servicing rights financing - fair value 49 37
MSR related liabilities - nonrecourse at fair value $ 1,173 $ 1,348

~~Mortgage Servicing Rights~~

The Company owns and records at fair value the rights to service traditional residential mortgage (“forward”) loans for others, either as a result of purchase transactions or from the retained servicing associated with the sales and securitizations of loans originated. MSRs are comprised of servicing rights of both agency and non-agency loans.


MSRs and Related Liabilities	June 30, 2021		December 31, 2020
Forward MSRs - fair value	$	3,307	$	2,703





Excess spread financing - fair value	$	867	$	934
Mortgage servicing rights financing - fair value	21		33
MSR related liabilities - nonrecourse at fair value	$	888	$	967

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Forward Mortgage Servicing Rights

The following table sets forth the activities of forward MSRs:


		Six Months Ended June 30,							Six Months Ended June 30,
Forward MSRs - Fair Value	Forward MSRs - Fair Value	2020		2019		Forward MSRs - Fair Value	2021		2020
Fair value - beginning of period	Fair value - beginning of period	$	3,496	$	3,665	Fair value - beginning of period	$	2,703	$	3,496
Additions:	Additions:					Additions:
Servicing retained from mortgage loans sold	Servicing retained from mortgage loans sold	249		169		Servicing retained from mortgage loans sold	554		249
Purchases of servicing rights⁽¹⁾	Purchases of servicing rights⁽¹⁾	24		689		Purchases of servicing rights⁽¹⁾	218		24
Dispositions:	Dispositions:					Dispositions:
Sales of servicing assets	Sales of servicing assets	—		(294)		Sales of servicing assets	(12)		0
Changes in fair value:	Changes in fair value:					Changes in fair value:
Changes in valuation inputs or assumptions used in the valuation model	Changes in valuation inputs or assumptions used in the valuation model	(717)		(542)		Changes in valuation inputs or assumptions used in the valuation model	270		(717)
Other changes in fair value		(295)		(182)
Changes in valuation due to amortization						Changes in valuation due to amortization	(460)		(338)
Other changes						Other changes	34		43
Fair value - end of period	Fair value - end of period	$	2,757	$	3,505	Fair value - end of period	$	3,307	$	2,757

Corporate/Other ~~Segment~~

Corporate/Other represents unallocated overhead expenses, including the costs of executive management and other corporate functions that are not directly attributable to our operating segments, and interest expense on our unsecured senior notes.

The following ~~tables~~table set forth the selected financial results ~~of operations~~ for ~~the~~ Corporate/~~Other segment:~~Other:


Table ~~25.~~14. Corporate/Other ~~Segment~~Selected Financial Results ~~of Operations~~

Three Months Ended June 30,
2020 2019 $ Change % Change
Corporate/Other - Operations
Total revenues $ (1) $ — $ (1) (100) %
Total expenses 35 57 (22) (39) %
Total other expenses, net (48) (50) 2 (4) %
Loss before income tax benefit - Corporate/Other $ (84) $ (107) $ 23 (21) %
Corporate/Other - Expenses
Salaries, wages and benefits $ 20 $ 24 $ (4) (17) %
General and administrative
Operational expenses 9 22 (13) (59) %
Depreciation and amortization 6 11 (5) (45) %
Total general and administrative 15 33 (18) (55) %
Total expenses - Corporate/Other $ 35 $ 57 $ (22) (39) %
Corporate/Other - Other Expenses, Net
Total interest income $ — $ 3 $ (3) (100) %
Interest expense
Interest expense on unsecured senior notes (47) (51) 4 (8) %
Other interest expense — (2) 2 100 %
Total interest expense (47) (53) 6 (11) %
Other expenses, net (1) — (1) (100) %
Total other expenses, net - Corporate/Other $ (48) $ (50) $ 2 (4) %
Weighted average cost - unsecured senior notes 7.9 % 7.9 % — % — %


	Three Months Ended June 30,						Six Months Ended June 30,
	2021		2020		Change		2021		2020		Change
Corporate/Other - Operations
Total expenses	$	33	$	34	$	(1)	$	59	$	67	$	(8)
Interest expense	31		47		(16)		61		99		(38)

~~Loss before income tax benefit decreased in~~

Table of Contents

There were no material changes for total expenses during the three months ended June 30, ~~2020~~2021 as compared to 2020. Total expenses decreased in the ~~same period in 2019~~six months ended June 30, 2021 as compared to 2020 primarily due to a decrease in ~~total expenses. Total expenses were~~general and administrative expense. General and administrative expense was higher in 2020 due to an $8 loss on impairment of assets in connection with an ancillary business and higher legal reserves.

Interest expense decreased in the three and six months ended June 30, 2019 due to acquisition and integration expenses related to the Pacific Union acquisition and the Seterus acquisition in February 2019. Depreciation and amortization decreased in the three months ended June 30, 20202021 as compared to ~~the same period in 2019 primarily due to a decrease in amortization of intangible assets.~~

Other expenses, net for the Corporate/Other segment consists of interest expense on our unsecured senior notes, the interest income and expense from our legacy portfolio, and other interest related to a revolving facility used for general corporate purposes.

~~The change in total other expenses, net, in the three months ended June 30,~~ 2020 ~~as compared to the same period in 2019 was~~ primarily due to a decrease in interest expense on unsecured senior notes as a result of ~~the~~ repayment and redemption in 2020 of the ~~2021 and 2022~~ unsecured senior notes ~~partially offset by~~due 2021, 2022, 2023 and 2026 and the issuance in 2020 of the ~~2027~~ unsecured senior notes ~~which was completed in January 2020.~~


~~Table 25.1 Corporate/Other Segment Results of Operations~~

Six Months Ended June 30,
2020 2019 $ Change % Change
Corporate/Other - Operations
Total revenues $ — $ — $ — — %
Total expenses 68 102 (34) (33) %
Total other expenses, net (99) (105) 6 (6) %
Loss before income tax benefit - Corporate/Other $ (167) $ (207) $ 40 (19) %
Corporate/Other - Expenses
Salaries, wages and benefits $ 28 $ 46 $ (18) (39) %
General and administrative
Operational expenses 16 35 (19) (54) %
Depreciation and amortization 16 21 (5) (24) %
Loss on impairment of assets 8 — 8 100 %
Total general and administrative 40 56 (16) (29) %
Total expenses - Corporate/Other $ 68 $ 102 $ (34) (33) %
Corporate/Other - Other Expenses, Net
Total interest income $ 1 $ 5 $ (4) (80) %
Interest expense
Interest expense on unsecured senior notes (98) (102) 4 (4) %
Other interest expense (1) (8) 7 (88) %
Total interest expense (99) (110) 11 (10) %
Other expenses, net (1) — (1) (100) %
Total other expenses, net - Corporate/Other $ (99) $ (105) $ 6 (6) %
Weighted average cost - unsecured senior notes 7.9 % 7.9 % — % — %
due 2027, 2028 and 2030 at lower interest rates.

Loss before income tax benefit decreased in the six months ended June 30, 2020 as compared to the same period in 2019 primarily due to a decrease in total expenses. Total expenses were higher in the six months ended June 30, 2019 due to acquisition and integration expenses related to the Pacific Union acquisition and the Seterus acquisition in February 2019. The decrease in salaries, wage and benefits and operational expenses was partially offset by an $8 loss on impairment of assets in connection with an ancillary business in 2020.

The change in total other expenses, net, in the six months ended June 30, 2020 as compared to the same period in 2019 was primarily due to a decrease in other interest expense as a result of lower commitment and facility fees, which were higher in 2019 due to the Pacific Union acquisition.

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~~Changes in Financial Position~~

~~The following table sets forth the change in assets for the periods presented:~~

Table ~~26. Changes in Assets~~

June 30, 2020 December 31, 2019 $ Change % Change
Cash and cash equivalents $ 1,041 $ 329 $ 712 216 %
Mortgage servicing rights 2,763 3,502 (739) (21) %
Advances and other receivables, net 668 988 (320) (32) %
Reverse mortgage interests, net 5,709 6,279 (570) (9) %
Mortgage loans held for sale at fair value 3,179 4,077 (898) (22) %
Deferred tax assets, net 1,391 1,345 46 3 %
Other 2,549 1,785 764 43 %
Total assets $ 17,300 $ 18,305 $ (1,005) (5) %

~~Total assets as~~ of June 30, 2020 decreased $1,005 or 5% compared with December 31, 2019 primarily due to the decrease in mortgage loans held for sale, mortgage servicing rights, reverse mortgage interests, net, and advances and other receivables, net. Mortgage loans held for sale decreased $898 primarily due to a larger quantity of loans sold in 2020. Mortgage servicing rights decreased primarily due to a negative mark-to-market adjustment of $644 driven by declining interest rates. Reverse mortgage interests, net, decreased $570 primarily due to the collection on participating interests in HMBS. Advances and other receivables, net, decreased primarily due to recoveries on advances through claim proceeds, customer payments and servicing transfers. The decrease in assets was partially offset by an increase in cash and cash equivalents, and other. Cash and cash equivalents was higher as of June 30, 2020 compared with December 31, 2019 primarily due to strong operating cash flow and additional funds drawn on our MSR facilities given the market risk at the end of the quarter in relation to the COVID-19 pandemic. Other increased primarily due to an increase in loans subject to repurchase by Ginnie Mae, which i~~nclude loans in forbearance plans due to the impact of the COVID-19 pandemic and implementation of the CARES Act, and an increase in derivative financials instruments due to the low interest rate environment.~~

~~The following table sets forth the change in liabilities and stockholders’ equity for the periods presented:~~

~~Table 27. Changes in Liabilities and Stockholders’ Equity~~

June 30, 2020 December 31, 2019 $ Change % Change
Unsecured senior notes, net $ 2,261 $ 2,366 $ (105) (4) %
Advance facilities, net 475 422 53 13 %
Warehouse facilities, net 4,031 4,575 (544) (12) %
MSR related liabilities - nonrecourse at fair value 1,173 1,348 (175) (13) %
Other nonrecourse debt, net 4,707 5,286 (579) (11) %
Other 2,508 2,077 431 21 %
Total liabilities 15,155 16,074 (919) (6) %
Total stockholders’ equity 2,145 2,231 (86) (4) %
Total liabilities and stockholders’ equity $ 17,300 $ 18,305 $ (1,005) (5) %

Total stockholders’ equity at June 30, 2020 decreased $86 or 4% compared with the balance as of December 31, 2019 primarily due to net loss of $98 during the six months ended June 30, 2020. Total liabilities at June 30, 2020 decreased $919 or 6% compared with the balance as of December 31, 2019 primarily due to a decrease in other nonrecourse debt, net, and warehouse facilities, net, partially offset by an increase in other. Other nonrecourse debt, net, decreased $579 primarily due to repayments of reverse mortgage related nonrecourse debt. Warehouse facilities, net, decreased $544 primarily due to lower Originations funded volume as of June 30, 2020 compared to December 31, 2019. Other increased primarily due to an increase in loans subject to repurchase by Ginnie Mae, which i~~nclude loans in forbearance plans due to the impact of the COVID-19 pandemic and implementation of the CARES Act, and an increase in derivative financials instruments due to the low interest rate environment.~~

Contents

Liquidity and Capital Resources

We measure liquidity by unrestricted cash and availability of borrowings on our MSR facilities and other facilities. ~~Our~~We held cash and cash equivalents on hand ~~increased to $1,041~~of $716 as of June 30, ~~2020 from $329~~2021 compared to $695 as of December 31, ~~2019.~~2020. We ~~benefited from strong operating cash flow and drew down cash from~~have sufficient borrowing capacity to support our ~~MSR facilities to ensure we were prepared to deal with a severe economic scenario resulting from the COVID-19 pandemic.~~

operations. As of June 30, ~~2020, we had $1,008 collateral pledged against the MSR facilities, of which we could borrow an additional~~ ~~$555.~~ ~~During the six months ended June 30, 2020, operating activities generated cash totaling $2,066. As of June 30, 2020,~~2021, total available borrowing capacity was ~~$9,590,~~$14,930, of which ~~$5,078~~$7,088 was unused.

The economic impact of the COVID-19 pandemic could continue to result in an increase in servicing advances and liquidity demands related to the utilization of forbearance programs offered by the CARES Act. ~~We did see an increase in forbearance plans over~~Forbearance rates have declined since the peak during the second of quarter of ~~2020, but the forbearance rate has subsequently declined. Based on current modeling~~2020. As of ~~expected forbearance rates within~~June 30, 2021, our ~~portfolio, we believe that we are well-positioned to manage an increase in advances. In April 2020, we expanded our committed~~total advance facility capacity ~~by $850, including an expansion~~was $2,040, of ~~capacity for private label advances for $200,~~ which ~~we believe will be adequate for~~$1,463 remained unused. For more information on our ~~needs. We plan~~advance facilities, see Note 9, Indebtedness in the Notes to finance GNMA advances with existing MSR lines and corporate cash flow. For non-agency servicing, we are reimbursed for advances relatively quickly, which should limit growth in balances with even higher forbearance rates.the Condensed Consolidated Financial Statements (unaudited).

Sources and Uses of Cash

Our primary sources of funds for liquidity include: (i) servicing fees and ancillary revenues; (ii) ~~payments received from sale or securitization of loans; (iii) payments from the liquidation or securitization of our outstanding participating interests in reverse mortgage loans; (iv)~~ advance and warehouse facilities, other secured borrowings and the unsecured senior notes; and ~~(v)~~(iii) payments received in connection with the sale of ~~advance receivables and~~ excess spread.

Our primary uses of funds for liquidity include: (i) funding of servicing advances ~~which continue to increase due to the COVID-19 pandemic;~~ (ii) originations of loans; (iii) payment of interest expenses; (iv) payment of operating expenses; (v) repayment of borrowings and repurchases or redemptions of outstanding indebtedness; (vi) payments for acquisitions of MSRs; ~~(vii) scheduled~~ and ~~unscheduled draws on our serviced reverse residential mortgage loans; and (viii)~~(vii) payment of our technology expenses.

We believe that our cash flows from operating activities, as well as capacity through existing facilities, provide adequate resources to fund our anticipated ongoing cash requirements. We rely on these facilities to fund operating activities. As the facilities mature, we anticipate renewal of these facilities will be achieved. Future debt maturities will be funded with cash and cash equivalents, cash flow from operating activities and, if necessary, future access to capital markets. We continue to optimize the use of balance sheet cash to avoid unnecessary interest carrying costs.

In addition, derivative instruments are used as part of the overall strategy to manage exposure to market risks primarily associated with fluctuations in interest rates related to originations. See Note 8, Derivative Financial Instruments, in the Notes to the Condensed Consolidated Financial Statements (unaudited) in Item 1, Financial Statements and Supplementary Data, which is incorporated herein for a summary of our derivative transactions.

In the normal course of business, we enter into various types of on- and off-balance sheet transactions with special purpose entities (“SPEs”) determined to be variable interest entities (“VIEs”), which primarily consist of securitization trusts established for a limited purpose. Generally, these SPEs are formed for the purpose of securitization transactions in which we transfer assets to an SPE, which then issues to investors various forms of debt obligations supported by those assets. In these securitization transactions, we typically receive cash and/or other interests in the SPE as proceeds for the transferred assets. See Note 10, Securitizations and Financings, in the Notes to the Condensed Consolidated Financial Statements (unaudited) in Item 1, Financial Statements and Supplementary Data, which is incorporated herein for a summary of our transactions with VIEs and unconsolidated balances, and details of their impact on our condensed consolidated financial statements.

Cash Flows

The table below presents ~~the major sources and uses of~~ cash ~~flow for operating activities:~~flows information:

Table ~~28. Operating~~15. Cash ~~Flow~~

Flows

Six Months Ended June 30,
2020 2019 $ Change % Change
Net loss $ (98) $ (274) $ 176 (64) %
Deferred tax benefit (49) (76) 27 (36) %
Other non-cash adjustments to net loss (966) (536) (430) 80 %
Fair value changes in MSRs, MSR related liabilities and mortgage loans held for investment 910 629 281 45 %
Originations net sales activities 1,404 (1,013) 2,417 (239) %
Changes in working capital 865 1,218 (353) (29) %
Net cash attributable to operating activities $ 2,066 $ (52) $ 2,118 (4,073) %


	Six Months Ended June 30,
	2021		2020		Change
Net cash attributable to:
Operating activities	$	(114)	$	2,066	$	(2,180)
Investing activities	(247)		(14)		(233)
Financing activities	354		(1,363)		1,717
Net (decrease) increase in cash, cash equivalents, and restricted cash	$	(7)	$	689	$	(696)

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Operating activities

Our operating activities ~~generated~~used cash of ~~$2,066~~$114 during the six months ended June 30, ~~2020~~2021 compared to cash ~~used~~generated of ~~$52~~$2,066 in ~~the same period in 2019. The change was primarily due to the cash generated from originations net sales activities.~~

Cash generated from originations net sales activities was $1,404 during the six months ended June 30, 2020 compared to $1,013 cash used in the same period in 2019. The change was primarily due to an increase in proceeds of $11,177 on the sales of previously originated loans, partially offset by higher funding of $7,383 for loan origination activities driven by the declining interest rate environment and an increase in funds used of $1,377 to repurchase forward loan assets out of Ginnie Mae securitizations.

2020. The change in cash attributable to operating activities ~~due~~was primarily related to continuing operations, driven by an increase of $1,853 in the cash used from originations net sale activities, as a result of an increase in repurchases of forward loan assets out of Ginnie Mae securitizations, and a decrease of $774 driven by fair ~~value~~values changes in ~~MSRs, MSR related liabilities and mortgage loans held for investment~~MSRs. In addition, we recorded a $487 gain from the sale of the title business in 2021.

Investing activities

Our investing activities used cash of $247 during the six months ended June 30, ~~2020 increased $281 when~~2021 compared to ~~the same period~~cash used of $14 in ~~2019.~~2020. The ~~change was primarily due to an~~ increase in ~~fair value changes and amortization/accretion of mortgage servicing rights/liabilities of $304, primarily due to the negative mark-to-market adjustment for the six months ended June 30, 2020.~~

The change in cash attributable to operating activities due to other non-cash adjustments to net loss during the six months ended June 30, 2020 increased $430 when compared to the same period in 2019 primarily due to the $521 increase in net gain on mortgage loans held for sale primarily driven by the higher origination volumes in a declining interest rate environment.

~~The table below presents the major sources and uses of cash flow for investing activities:~~

~~Table 29. Investing Cash Flows~~

Six Months Ended June 30,
2020 2019 $ Change % Change
Acquisitions, net $ — $ (85) $ 85 (100) %
Purchase of forward mortgage servicing rights, net of liabilities incurred (31) (409) 378 (92) %
Proceeds on sale of forward and reverse mortgage servicing rights 43 279 (236) (85) %
Other (26) (27) 1 (4) %
Net cash attributable to investing activities $ (14) $ (242) $ 228 (94) %

~~Our investing activities~~ used cash ~~of $14 during the six months ended June 30, 2020 compared to $242 during the same period in 2019. The decrease in cash used in~~for investing activities was primarily ~~due~~related to ~~a decrease~~continuing operations, driven by an increase of ~~$378~~$186 in cash used for the purchase of forward mortgage servicing rights ~~net of liabilities incurred. In addition, during the six months ended June 30, 2019, we used $85 cash in connection with the Pacific Union~~ and ~~Seterus acquisitions. The decrease in cash used was partially offset by~~ a decrease in cash generated of ~~$236~~$30 from proceeds on sale of forward mortgage servicing rights.

~~The table below presents the major sources and uses of cash flow for financing activities:~~

~~Table 30. Financing Cash Flow~~

Six Months Ended June 30,
2020 2019 $ Change % Change
(Decrease) increase in warehouse facilities $ (544) $ 1,173 $ (1,717) (146) %
Increase (decrease) in advance facilities 58 (40) 98 (245) %
Repayment of notes payable — (294) 294 (100) %
Redemption and repayment of unsecured senior notes and nonrecourse debt (698) (6) (692) 11,533 %
Issuance of unsecured senior debt 600 — 600 100 %
Issuance of excess spread financing 24 437 (413) (95) %
Settlements and repayments of excess spread financing (110) (119) 9 (8) %
Decrease of participating interest financing (499) (848) 349 (41) %
Changes in HECM securitizations (168) (16) (152) 950 %
Other (26) (5) (21) 420 %
Net cash attributable to financing activities $ (1,363) $ 282 $ (1,645) (583) %

Financing activities

Our financing activities ~~used~~generated cash of ~~$1,363~~$354 during the six months ended June 30, ~~2020~~2021 compared to cash ~~generated~~used of ~~$282~~$1,363 in ~~the same period in 2019. Contributing to the~~2020. The change in cash ~~used~~attributable to financing activities was ~~the $1,717 change~~primarily related to continuing operations, driven by an increase of $1,567 in cash generated from advance and warehouse facilities due to a net ~~pay down~~increased borrowing of ~~$544 in~~$1,047 from advance and warehouse facilities ~~during the six months ended June 30, 2020~~ compared to a net ~~increase~~repayment of ~~$1,173~~$520 in ~~the same period~~2020. Additionally, in ~~2019. Additionally,~~2020, $698 of cash was used in the redemption and repayment ~~of unsecured senior debt and nonrecourse debt during the six months ended June 30, 2020 increased $692 compared to the same period in 2019 due to the repayment and redemption~~ of the 2021 and 2022 unsecured senior notes, in February 2020. The cash generated from the issuance of excess spread financing decreased $413 due to a decline in excess spread financing deals in the six months ended June 30, 2020 compared to the same period in 2019.

~~The change in cash used was~~ partially offset by ~~an increase in cash generated of~~ $600 ~~due~~related to the issuance of the 2027 unsecured senior ~~notes~~notes. There were no such activities in January 2020. In addition, cash used in participating interest financing decreased in 2020 primarily due to a lower repayment of participating interest financing in 2020 compared to the same period in 2019. Further, during the six months ended June 30, 2019, cash of $294 was used to pay off the notes payable assumed from the Pacific Union acquisition.2021.

Capital Resources

Capital Structure and Debt

We require access to external financing resources from time to time depending on our cash requirements, assessments of current and anticipated market conditions and after-tax cost of capital. If needed, we believe additional capital could be raised through a combination of issuances of equity, corporate indebtedness, asset-backed acquisition financing and/or cash from operations. Our access to capital markets can be impacted by factors outside our control, including economic conditions.

Financial Covenants

Our credit facilities contain various financial covenants, which primarily relate to required tangible net worth amounts, liquidity reserves, leverage requirements, and profitability requirements. These covenants are measured at our operating subsidiary, Nationstar Mortgage LLC. As of June 30, ~~2020,~~2021, we were in compliance with our required financial covenants.

Seller/Servicer Financial Requirements

We are also subject to net worth, liquidity and capital ratio ~~and liquidity~~ requirements established by the Federal Housing Finance Agency (“FHFA”) for Fannie Mae and Freddie Mac Seller/Servicers, and Ginnie Mae for single family ~~issuers. In both cases, these~~issuers, as summarized below. These requirements apply to our operating subsidiary, Nationstar Mortgage, LLC. ~~As of June 30, 2020, we were in compliance with our seller/servicer financial requirements for FHFA and Ginnie Mae.~~

Minimum Net Worth

▪

~~The minimum~~FHFA - a net worth ~~requirement for Fannie Mae and Freddie Mac is defined as follows:~~

▪~~Base~~base of $2.5 plus 25 basis points of outstanding UPB for total loans serviced.

▪~~Tangible Net Worth comprises of total equity less goodwill, intangible assets, affiliate receivables and certain pledged assets.~~

~~The minimum~~Ginnie Mae - a net worth ~~requirement for Ginnie Mae is defined as follows:~~

▪~~The~~equal to the sum of (i) base of $2.5 plus 35 basis points of the issuer’s total single-family effective outstanding obligations, and (ii) base of $5 plus 1% of the total effective outstanding HMBS ~~outstanding~~ obligations.

▪

Minimum Liquidity

•~~Tangible Net Worth is defined as~~FHFA - 3.5 basis points of total ~~equity less goodwill, intangible assets, affiliate receivables and certain pledged assets. Effective for fiscal year 2020, under the~~ Agency Mortgage Servicing UPB plus incremental 200 basis points of total nonperforming Agency, measured at 90+ delinquencies, servicing in excess of 6% total Agency servicing UPB.

•Ginnie Mae - the greater of $1 or 10 basis points of our outstanding single-family MBS ~~Guide, the issuers will no longer be permitted to include deferred tax assets when computing the minimum~~and at least 20% of our net worth ~~requirement.~~requirement for Home Equity Conversion Mortgage (“HECM”) mortgage-backed securities (“HMBS”).

Minimum Capital Ratio

▪~~In addition to the minimum net worth requirement, we are also required to hold~~FHFA and Ginnie Mae - a ratio of Tangible Net Worth to Total Assets (excluding HMBS securitizations) greater than 6%.

~~Minimum Liquidity~~

~~The minimum liquidity requirement for Fannie Mae and Freddie Mac is defined as follows:~~

▪~~3.5 basis points of total Agency Mortgage Servicing, plus~~

▪~~Incremental 200 basis points times the sum of the following:~~

•~~The total UPB of nonperforming (90 or more days delinquent) Agency Mortgage Servicing that is not in forbearance, plus~~

•~~The total UPB of nonperforming (90 or more days delinquent) Agency Mortgage Servicing that is in forbearance and which were delinquent at the time it entered forbearance, plus~~

•~~30% of the UPB of nonperforming (90 or more days delinquent) Agency Mortgage Servicing that is in forbearance and which were current at the time it entered forbearance~~

▪~~This liquidity must only be maintained to the extend this sum exceeds 6% of the total Agency Mortgage Servicing UPB.~~

▪Allowable assets for liquidity may include: cash and cash equivalents (unrestricted), available for sale or held for trading investment grade securities (e.g., Agency MBS, Obligations of GSEs, US Treasury Obligations); and unused/available portion of committed servicing advance lines.

~~The minimum liquidity requirement for Ginnie Mae is defined as follows:~~

▪~~Maintain liquid assets equal to the greater of $1 or 10 basis points of our outstanding single-family MBS.~~

▪~~Maintain liquid assets equal to at least 20% of our net worth requirement for HECM MBS.~~

Secured Debt to Gross Tangible Asset Ratio

•

~~Under the~~ Ginnie Mae ~~guide, we are also required to maintain~~- a secured debt to gross tangible asset ratios no greater than 60%.

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As of June 30, 2021, we were in compliance with our seller/servicer financial requirements for FHFA and Ginnie Mae.

Since we have a Ginnie Mae single-family servicing portfolio that exceeds $75 billion in UPB, we are also required to obtain an external primary servicer rating and issuer credit ratings from two different rating agencies and receive a minimum rating of a B or its equivalent. ~~Effective for fiscal year 2020, we~~We are permitted to satisfy minimum liquidity requirements using a combination of AAA rated government securities that are marked to market in addition to cash and certain cash equivalents.

In addition, Fannie Mae or Freddie Mac may require capital ratios in excess of stated requirements. Refer to Note ~~15,~~14, Capital Requirements, in the Notes to the Condensed Consolidated Financial Statements (unaudited) for additional information.

Table ~~31.~~16. Debt

June 30, 2020 December 31, 2019
Advance facilities, net $ 475 $ 422
Warehouse facilities, net 4,031 4,575
Unsecured senior notes, net 2,261 2,366


	June 30, 2021		December 31, 2020
Advance facilities principal amount	$	577	$	669
Warehouse facilities principal amount	6,470		5,330
MSR facilities principal amount	270		270
Unsecured senior notes principal amount	2,100		2,100

Advance Facilities

As part of our normal course of business, we borrow money to fund servicing advances. Our servicing agreements require that we advance our own funds to meet contractual principal and interest payments for certain investors, and to pay taxes, insurance, foreclosure costs and various other items that are required to preserve the assets being serviced. Delinquency rates and prepayment speeds affect the size of servicing advance balances, and we exercise our ability to stop advancing principal and interest where the pooling and servicing agreements permit, where the advance is deemed to be non-recoverable from future proceeds. These servicing requirements affect our liquidity. We rely upon several counterparties to provide us with financing facilities to fund a portion of our servicing advances. As of June 30, 2021, we had a total borrowing capacity of $2,040, of which we could borrow an additional $1,463.

Warehouse and MSR Facilities

Loan origination activities generally require short-term liquidity in excess of amounts generated by our operations. The loans we originate are financed through several warehouse lines on a short-term basis. We typically hold the loans for approximately 30 days and then sell or place the loans in government securitizations in order to repay the borrowings under the warehouse lines. Our ability to fund current operations depends upon our ability to secure these types of short-term financings on acceptable terms and to renew or replace the financings as they expire.

As a servicer for reverse mortgage loans, among other things, we are required to fund borrower draws on the loans. We typically pool borrower draws for approximately 30 days before including them in a HMBS securitization. As of June 30, ~~2020, unsecuritized borrower draws totaled $53,~~2021, we had a total borrowing capacity of $12,890 for warehouse and ~~our maximum unfunded advance obligation related to these reverse mortgage loans was $2,408.~~MSR facilities, of which we could borrow an additional $5,625.

Unsecured Senior Notes

In ~~2018 and~~ 2020, we completed offerings of unsecured senior notes ~~which mature on various~~with maturity dates ~~through January 2027.~~ranging from 2027 to 2030. We pay interest semi-annually to the holders of these notes at interest rates ranging from ~~6.000% to 9.125%. Refer~~5.125% to 6.000%. For more information regarding our indebtedness, see Note ~~10, Payables and Other Liabilities~~9, Indebtedness, ~~for~~in the ~~contractual maturities of unsecured senior notes.~~Notes to the Condensed Consolidated Financial Statements (unaudited).

Contractual Obligations

As of June 30, ~~2020,~~2021, no material changes to our outstanding contractual obligations were made from the amounts previously disclosed in our Annual Report on Form 10-K for the year ended December 31, ~~2019~~2020 except for the ~~following, in connection with the issuance of the 2027 Notes and redemption of the 2021 and 2022 notes during the six months ended June 30, 2020:~~following:

~~Table 32. Contractual Obligations~~

Less than 1 Year 1-3 Years 3-5 Years More than 5 Years Total
Unsecured senior notes $ — $ — $ 950 $ 1,350 $ 2,300
Interest payment from unsecured senior notes 182 363 248 175 968
Total $ 182 $ 363 $ 1,198 $ 1,525 $ 3,268
In the second quarter of 2021, we entered into an agreement, under which we committed a total of $83 over a period of 5 years in exchange for cloud platform service.

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Critical Accounting Policies and Estimates

Various elements of our accounting policies, by their nature, are inherently subject to estimation techniques, valuation assumptions and other subjective assessments. In particular, we have identified the following policies that, due to the judgment, estimates and assumptions inherent in those policies, are critical to an understanding of our condensed consolidated financial statements. These policies relate to fair value measurements, particularly those determined to be Level 3 as discussed in Note ~~14,~~13, Fair Value Measurements, in ~~notes~~the Notes to ~~consolidated financial statements, business combinations and~~the Condensed Consolidated Financial Statements (unaudited), goodwill, and valuation and realization of deferred tax assets. We believe that the judgment, estimates and assumptions used in the preparation of our condensed consolidated financial statements are appropriate given the factual circumstances at the time. However, given the sensitivity of these critical accounting policies on our condensed consolidated financial statements, the use of other judgments, estimates and assumptions could result in material differences in our results of operations or financial condition. Fair value measurements considered to be Level 3 representing estimated values based on significant unobservable inputs include (i) the valuation of MSRs, (ii) the valuation of excess spread financing, and (iii) the valuation of ~~the mortgage servicing rights financing liability and (iv) the valuation of IRLCs and LPCs.~~IRLCs. For further information on our critical accounting policies and estimates, please refer to the Company’s Annual Reports on Form 10-K for the year ended December 31, ~~2019.~~2020. There have been no material changes to our critical accounting policies and estimates since December 31, 2019. During the three months ended March 31, 2020, we updated the policies for reserves related to certain financial assets that are subject to CECL accounting in connection with adoption of ASU 2016-13. The update did not have material impact on the consolidated financial statements. See 2020.

~~Note 1, Nature of Business and Basis of Presentation~~

~~, in the consolidated financial statements which is incorporated herein for details.~~

Other Matters

Recent Accounting Developments

Below lists recently issued accounting pronouncements applicable to us but not yet ~~effective.~~

~~Accounting Standards Update 2019-12,~~ ~~Income Taxes (Topic 740) - Simplifying the Accounting for Income Taxes~~ (“ASU 2019-12”) simplifies accounting for income taxes by removing certain exceptions from the general principles in Topic 740 including elimination of the exception to the incremental approach for intraperiod tax allocation when there is a loss from continuing operations and income or a gain from other items such as other comprehensive income. ASU 2019-12 also clarifies and amends certain guidance in Topic 740. ASU 2019-12 is effective for public companies for fiscal years beginning after December 15, 2020, including interim periods, with early adoption of all amendments in the same period permitted. We are currently assessing the impact of ASU 2019-12, but does not believe it will have a material impact on our consolidated financial statements.adopted.

Accounting Standards Update 2020-04 and 2021-01, collectively implemented as Accounting Standards Codification Topic 848 (“ASC 848”), Reference Rate Reform ~~(Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting~~ ~~(“ASU 2020-04”) provides~~provide temporary optional expedients and exceptions for applying generally accepted accounting principles to contract modifications, hedge accounting and other transactions affected by the transitioning away from reference rates that are expected to be discontinued, such as interbank offered rates and LIBOR. If LIBOR ceases to exist or if the methods of calculating LIBOR change from current methods for any reasons, interest rates on our floating rate loans, obligation derivatives, and other financial instruments tied to LIBOR rates, may be affected and need renegotiation with its lenders. In January 2021, ASU 2021-01 was issued to clarify that all derivatives instruments affected by changes to the interests rates used for discounting, margining alignment due to reference rate reform are in scope of ASC 848. ASU 2020-04 isand ASU 2021-01 are effective March ~~12,~~ 2020 and January 2021, respectively, through December 31, 2022. The guidance in ASU 2020-04 and ASU 2021-01 is optional and may be elected over time as reference rate reform activities occur. We are currently assessing the impact of ASU 2020-04 and ASU 2021-01 on our consolidated financial statements.

~~Impact~~

Table of ~~Inflation and Changing Prices~~Contents

Our consolidated financial statements and notes thereto presented herein have been prepared in accordance with GAAP, which requires the measurement of financial position and operating results in terms of historical dollars without considering the changes in the relative purchasing power of money over time due to inflation. The impact of inflation is reflected in the increased cost of our operations. Unlike most industrial companies, nearly all of our assets and liabilities are monetary in nature. As a result, interest rates have a greater impact on our performance than do the effects of general levels of inflation. Further, interest rates do not necessarily move in the same direction or to the same extent as the prices of goods and services.

GLOSSARY OF TERMS

This Glossary of Terms defines some of the terms that are used throughout this report and does not represent a complete list of all defined terms used.

Advance Facility. A secured financing facility to fund advance receivables which is backed by a pool of mortgage servicing advance receivables made by a servicer to a certain pool of mortgage loans.

Agency. Government entities guaranteeing the mortgage investors that the principal amount of the loan will be repaid; the Federal Housing Administration, the Department of Veterans Affairs, the US Department of Agriculture and Ginnie Mae (and collectively, the “Agencies”)

Agency Conforming Loan. A mortgage loan that meets all requirements (loan type, maximum amount, LTV ratio and credit quality) for purchase by Fannie Mae, Freddie Mac, or insured by the FHA, USDA or guaranteed by the VA or sold into Ginnie Mae.

Asset-Backed Securities (“ABS”).A financial security whose income payments and value is derived from and collateralized (or “backed”) by a specified pool of underlying receivables or other financial assets.

Bulk acquisitions or purchases. MSR portfolio acquired on non-retained basis through an open market bidding process.

Base Servicing Fee. The servicing fee retained by the servicer, expressed in basis points, in an excess MSR arrangement in exchange for the provision of servicing functions on a portfolio of mortgage loans, after which the servicer and the co-investment partner share the excess fees on a pro rata basis.

Conventional Mortgage Loans. A mortgage loan that is not guaranteed or insured by the FHA, the VA or any other government agency. Although a conventional loan is not insured or guaranteed by the government, it can still follow the guidelines of GSEs and be sold to the GSEs.

Correspondent lender, lending channel or relationship. A correspondent lender is a lender that funds loans in their own name and then sells them off to larger mortgage lenders. A correspondent lender underwrites the loans to the standards of an investor and provides the funds at close.

~~Credit-Sensitive Loan.~~ A mortgage loan with certain characteristics such as low borrower credit quality, relaxed original underwriting standards and high LTV, which we believe indicates that the mortgage loan presents an elevated credit risk of borrower default versus payoff.

Delinquent Loan.A mortgage loan that is 30 or more days past due from its contractual due date.

Department of Veterans Affairs (“VA”). The VA is a cabinet-level department of the U.S. federal government, which guarantees certain home loans for qualified borrowers eligible for securitization with GNMA.

Direct-to-consumer originations (“DTC”). A type of mortgage loan origination pursuant to which a lender markets refinancing and purchase money mortgage loans directly to selected consumers through telephone call centers, the Internet or other means.

Excess Servicing Fees. In an excess MSR arrangement, the servicing fee cash flows on a portfolio of mortgage loans after payment of the base servicing fee.

Excess Spread. MSRs with a co-investment partner where the servicer receives a base servicing fee and the servicer and co-investment partner share the excess servicing fees. This co-investment strategy reduces the required upfront capital from the servicer when purchasing or investing in MSRs.

Federal National Mortgage Association (“Fannie Mae” or “FNMA”). FNMA was federally chartered by the U.S. Congress in 1938 to support liquidity, stability, and affordability in the secondary mortgage market, where existing mortgage-related assets are purchased and sold. Fannie Mae buys mortgage loans from lenders and resells them as mortgage-backed securities in the secondary mortgage market.

Federal Housing Administration (“FHA”). The FHA is a U.S. federal government agency within the Department of Housing and Urban Development (HUD). It provides mortgage insurance on loans made by FHA-approved lenders in compliance with FHA guidelines throughout the United States.

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Federal Housing Finance Agency (“FHFA”). A U.S. federal government agency that is the regulator and conservator of Fannie Mae and Freddie Mac and the regulator of the 12 Federal Home Loan Banks.

Federal Home Loan Mortgage Corporation (“Freddie Mac” or “FHLMC”). Freddie Mac was chartered by Congress in 1970 to stabilize the nation’s residential mortgage markets and expand opportunities for homeownership and affordable rental housing. Freddie Mac participates in the secondary mortgage market by purchasing mortgage loans and mortgage-related securities for investment and by issuing guaranteed mortgage-related securities.

Forbearance.An agreement between the mortgage servicer or lender and borrower for a temporary postponement of mortgage payments. It is a form of repayment relief granted by the lender or creditor in lieu of forcing a property into foreclosure.

Government National Mortgage Association (“Ginnie Mae” or “GNMA”). GNMA is a self-financing, wholly owned U.S. Government corporation within HUD. Ginnie Mae guarantees the timely payment of principal and interest on MBS backed by federally insured or guaranteed loans - mainly loans insured by the FHA or guaranteed by the VA. Ginnie Mae securities are the only MBS to carry the full faith and credit guarantee of the U.S. federal government.

Government-Sponsored Enterprise (“GSE”). Certain entities established by the U.S. Congress to provide liquidity, stability and affordability in residential housing. These agencies are Fannie Mae, Freddie Mac and the 12 Federal Home Loan Banks.

Home Equity Conversion Mortgage (“HECM”). Reverse mortgage loans issued by FHA. HECMs provide seniors aged 62 and older with a loan secured by their home which can be taken as a lump sum, line of credit, or scheduled payments. HECM loan balances grow over the loan term through borrower draws of scheduled payments or line of credit draws as well as through the accrual of interest and FHA mortgage insurance premiums. In accordance with FHA guidelines, HECMs are designed to repay through foreclosure and subsequent liquidation of loan collateral after the loan becomes due and payable. Shortfalls experienced by the servicer of the HECM through the foreclosure and liquidation process can be claimed to FHA in accordance with applicable guidelines.

HECM mortgage-backed securities (“HMBS”). A type of asset-backed security that is secured by a group of HECM loans.

Interest Rate Lock Commitments (“IRLC”).Agreements under which the interest rate and the maximum amount of the mortgage loan are set prior to funding the mortgage loan.

~~Interest-Sensitive Loan~~. A mortgage loan which is primarily impacted by changes in forecasted interest rates, which in turn impacts voluntary prepayment speed. Interest-sensitive loans typically consist of single-family conforming residential forward mortgage loans serviced for GSEs or other third-party investors.

Loan Modification. Temporary or permanent modifications to loan terms with the borrower, including the interest rate, amortization period and term of the borrower’s original mortgage loan. Loan modifications are usually made to loans that are in default, or in imminent danger of defaulting.

Loan-to-Value Ratio (“LTV”). The unpaid principal balance of a mortgage loan as a percentage of the total appraised or market value of the property that secures the loan. An LTV over 100% indicates that the UPB of the mortgage loan exceeds the value of the property.

Lock period. A set of periods of time that a lender will guarantee a specific rate is set prior to funding the mortgage loan.

Loss Mitigation. The range of servicing activities provided by a servicer in an attempt to minimize the losses suffered by the owner of a defaulted mortgage loan. Loss mitigation techniques include short-sales, deed-in-lieu of foreclosures and loan modifications, among other options.

Mortgage-Backed Securities (“MBS”).A type of asset-backed security that is secured by a group of mortgage loans.

Mortgage Servicing Right (“MSRs”). The right and obligation to service a loan or pool of loans and to receive a servicing fee as well as certain ancillary income. MSRs may be bought and sold, resulting in the transfer of loan servicing obligations. MSRs are designated as such when the benefits of servicing the loans are expected to adequately compensate the servicer for performing the servicing.

MSR Facility. A line of credit backed by mortgage servicing rights that is used for financing purposes. In certain cases, these lines may be a sub-limit of another warehouse facility or alternatively exist on a stand-alone basis. These facilities allow for same or next day draws at the request of the borrower.

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Mortgage Servicing Liability (“MSL”). The right and obligation to service a loan or pool of loans and to receive a servicing fee as well as certain ancillary income. MSLs may be bought and sold, resulting in the transfer of loan servicing obligations. MSLs are designated as such when the benefits of servicing the loans are not expected to adequately compensate the servicer for performing the servicing.

Non-Conforming Loan. A mortgage loan that does not meet the standards of eligibility for purchase or securitization by Fannie Mae, Freddie Mac or Ginnie Mae.

Originations. The process through which a lender provides a mortgage loan to a borrower.

Pull through adjusted lock volume. Represents the expected funding from locks taken during the period.

Prepayment Speed. The rate at which voluntary mortgage prepayments occur or are projected to occur. The statistic is calculated on an annualized basis and expressed as a percentage of the outstanding principal balance.

Primary Servicer. The servicer that owns the right to service a mortgage loan or pool of mortgage loans. This differs from a subservicer, which has a contractual agreement with the primary servicer to service a mortgage loan or pool of mortgage loans in exchange for a subservicing fee based upon portfolio volume and characteristics.

Prime Mortgage Loan. Generally, a high-quality mortgage loan that meets the underwriting standards set by Fannie Mae or Freddie Mac and is eligible for purchase or securitization in the secondary mortgage market. Prime Mortgage loans generally have lower default risk and are made to borrowers with excellent credit records and a monthly income at least three to four times greater than their monthly housing expenses (mortgage payments plus taxes and other debt payments) as well as significant other assets. Mortgages not classified as prime mortgage loans are generally called either sub-prime or Alt-A.

Private Label Securitizations. Securitizations that do not meet the criteria set by Fannie Mae, Freddie Mac or Ginnie Mae.

Real Estate Owned (”REO”).Property acquired by the servicer on behalf of the owner of a mortgage loan or pool of mortgage loans, usually through foreclosure or a deed-in-lieu of foreclosure on a defaulted loan. The servicer or a third-party real estate management firm is responsible for selling the REO. Net proceeds of the sale are returned to the owner of the related loan or loans. In most cases, the sale of REO does not generate enough to pay off the balance of the loan underlying the REO, causing a loss to the owner of the related mortgage loan.

Recapture. ~~The refinancing of a loan currently in~~Voluntarily prepaid loans that are expected to be refinanced by the ~~portfolio, or the financing of a customer’s new purchase which resulted in the payoff of an existing loan.~~related servicer.

Refinancing. The process of working with existing borrowers to refinance their mortgage loans. By refinancing loans for borrowers we currently service, we retain the servicing rights, thereby extending the longevity of the servicing cash flows.

Reverse Mortgage Loan. A reverse mortgage loan, most commonly a Home Equity Conversion Mortgage, enables seniors to borrow against the value of their home, and no payment of principal or interest is required until the death of the borrower or the sale of the home. These loans are designed to go through the foreclosure and claim process to recover loan balance.

Servicing. The performance of contractually specified administrative functions with respect to a mortgage loan or pool of mortgage loans. Duties of a servicer typically include, among other things, collecting monthly payments, maintaining escrow accounts, providing periodic monthly statements to the borrower and monthly reports to the loan owners or their agents, managing insurance, monitoring delinquencies, executing foreclosures (as necessary), and remitting fees to guarantors, trustees and service providers. A servicer is generally compensated with a specific fee outlined in the contract established prior to the commencement of the servicing activities.

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Servicing Advances. In the course of servicing loans, servicers are required to make advances that are reimbursable from collections on the related mortgage loan or pool of loans. There are typically three types of servicing advances: P&I ~~advances,~~Advances, T&I Advances and Corporate Advances.

(i) P&I ~~advances~~Advances cover scheduled payments of principal and interest that have not been timely paid by borrowers. P&I Advances serve to facilitate the cash flows paid to holders of securities issued by the residential MBS trust. The servicer is not the insurer or guarantor of the MBS and thus has the right to cease the advancing of P&I, when the servicer deems the next advance nonrecoverable.

(ii) T&I ~~advances~~Advances pay specified expenses associated with the preservation of a mortgaged property or the liquidation of defaulted mortgage loans, including but not limited to property taxes, insurance premiums or other property-related expenses that have not been timely paid by borrowers in order for the lien holder to maintain its interest in the property.

(iii) Corporate ~~advances~~Advances pay costs, fees and expenses incurred in foreclosing upon, preserving defaulted loans and selling REO, including attorneys’ and other professional fees and expenses incurred in connection with foreclosure and liquidation or other legal proceedings arising in the course of servicing the defaulted mortgage loans.

Servicing ~~advances~~Advances are reimbursed to the servicer if and when the borrower makes a payment on the underlying mortgage loan at the time the loan is modified or upon liquidation of the underlying mortgage loan but are primarily the responsibility of the investor/owner of the loan. The types of servicing advances that a servicer must make are set forth in its servicing agreement with the owner of the mortgage loan or pool of mortgage loans. In some instances, a servicer is allowed to cease Servicing Advances, if those advances will not be recoverable from the property securing the loan.

Subservicing. Subservicing is the process of outsourcing the duties of the primary servicer to a third-party servicer. The third-party servicer performs the servicing responsibilities for a fee and is typically not responsible for making servicing advances, which are subsequently reimbursed by the primary servicer. The primary servicer is contractually liable to the owner of the loans for the activities of the subservicer.

Unpaid Principal Balance (“UPB”). The amount of principal outstanding on a mortgage loan or a pool of mortgage loans. UPB is used together with the servicing fees and ancillary incomes as a means of estimating the future revenue stream for a servicer.

U.S. Department of Agriculture (“USDA”). The USDA is a cabinet-level department of the U.S. federal government, which guarantees certain home loans for qualified borrowers.

Warehouse Facility. A type of line of credit facility used to temporarily finance mortgage loan originations to be sold in the secondary market. Pursuant to a warehouse facility, a loan originator typically agrees to transfer to a counterparty certain mortgage loans against the transfer of funds by the counterpart, with a simultaneous agreement by the counterpart to transfer the loans back to the originator at a date certain, or on demand, against the transfer of funds from the originator.

~~Wholesale Originations.~~ ~~A type of mortgage loan origination pursuant to which a lender acquires refinancing and purchase money mortgage loans from third party correspondent lenders where the lender funds the loan.~~

8861

Table of Contents

Item 3. Quantitative and Qualitative Disclosures about Market Risk

Refer to the discussion included in Part II, Item 7A of our Annual Report on Form 10-K for the year ended December 31, ~~2019.~~2020. There have been no material changes in the types of market risks faced by us since December 31, ~~2019 except for~~2020. Our market risks include the broad effects of the COVID-19 pandemic. ~~As we cannot predict~~While the ~~duration~~pandemic’s effect on the macroeconomic environment has yet to be fully determined and could continue for months or ~~scope~~years, the pandemic and governmental programs created as a response to the pandemic, has affected and will continue to affect our business, financial conditions and results of ~~the COVID-19 pandemic, the negative financial impact to our results cannot be reasonably estimated at this time.~~operations.

Sensitivity Analysis

We assess our market risk based on changes in interest rates utilizing a sensitivity analysis. The sensitivity analysis measures the potential impact on fair values based on hypothetical changes (increases and decreases) in interest rates.

We use a duration-based model in determining the impact of interest rate shifts on our loan portfolio, certain other interest-bearing liabilities measured at fair value and interest rate derivatives portfolios. The primary assumption used in these models is that an increase or decrease in the benchmark interest rate produces a parallel shift in the yield curve across all maturities.

We utilize a discounted cash flow analysis to determine the fair value of MSRs and the impact of parallel interest rate shifts on MSRs. The ~~primary assumptions in this~~discounted cash flow model ~~are~~incorporates prepayment speeds, discount rate, costs to service, and other assumptions (including delinquencies, ancillary revenues, float earnings ~~related~~and forbearance rates) that management believes are consistent with the assumptions that other similar market participants use in valuing the MSRs. The key assumptions to ~~float~~determine fair value include prepayment speed, discount rate and ~~market discount rates.~~cost to service. However, this analysis ignores the impact of interest rate changes on certain material variables, such as the benefit or detriment on the value of future loan originations, non-parallel shifts in the spread relationships between MBS, swaps and U.S. Treasury rates and changes in primary and secondary mortgage market spreads. For mortgage loans, IRLCs and forward delivery commitments on MBS, we rely on a model in determining the impact of interest rate shifts. In addition, the primary assumption used for IRLCs, is the borrower’s propensity to close their mortgage loans under the commitment.

Our total market risk is influenced by a wide variety of factors including market volatility and the liquidity of the markets. There are certain limitations inherent in the sensitivity analysis presented, including the necessity to conduct the analysis based on a single point in time and the inability to include the complex market reactions that normally would arise from the market shifts modeled.

We used June 30, ~~2020~~2021 market rates on our instruments to perform the sensitivity analysis. The estimates are based on the market risk sensitive portfolios described in the preceding paragraphs and assume instantaneous, parallel shifts in interest rate yield curves. These sensitivities are hypothetical and presented for illustrative purposes only. Changes in fair value based on variations in assumptions generally cannot be extrapolated because the relationship of the change in fair value may not be linear.

Table of Contents

The following table summarizes the estimated change in the fair value of our assets and liabilities sensitive to interest rates as of June 30, ~~2020~~2021 given hypothetical instantaneous parallel shifts in the yield curve. ~~Results~~Actual results could differ materially.

Table ~~33.~~17. Change in Fair Value


		June 30, 2020									June 30, 2021
				Down 25 bps			Up 25 bps			Down 25 bps			Up 25 bps
Increase (decrease) in assets	Increase (decrease) in assets						Increase (decrease) in assets
Mortgage servicing rights at fair value	Mortgage servicing rights at fair value	$	(114)		$	127	Mortgage servicing rights at fair value	$	(183)		$	187
Mortgage loans held for sale at fair value	Mortgage loans held for sale at fair value	11			(14)		Mortgage loans held for sale at fair value	36			(43)
Derivative financial instruments:	Derivative financial instruments:						Derivative financial instruments:
Interest rate lock commitments	Interest rate lock commitments	42			(54)		Interest rate lock commitments	64			(76)
Forward MBS trades	Forward MBS trades	(3)			4		Forward MBS trades	(32)			38
Total change in assets	Total change in assets	(64)			63		Total change in assets	(115)			106
Increase (decrease) in liabilities	Increase (decrease) in liabilities						Increase (decrease) in liabilities
Mortgage servicing rights financing at fair value	Mortgage servicing rights financing at fair value	(4)			4		Mortgage servicing rights financing at fair value	(3)			3
Excess spread financing at fair value	Excess spread financing at fair value	(17)			20		Excess spread financing at fair value	(17)			19
Derivative financial instruments:	Derivative financial instruments:						Derivative financial instruments:
Interest rate lock commitments							Interest rate lock commitments	(7)			8
Forward MBS trades	Forward MBS trades	43			(55)		Forward MBS trades	76			(90)
Total change in liabilities	Total change in liabilities	22			(31)		Total change in liabilities	49			(60)
Total, net change	Total, net change	$	(86)		$	94	Total, net change	$	(164)		$	166


Title of each class	Trading Symbol(s)	Name of each exchange on which registered
Common stock, $0.01 par value per share	COOP	The Nasdaq Stock Market


Large Accelerated Filer	¨x	Accelerated Filer	x☐
Non-Accelerated Filer	¨	Smaller reporting company	☐
		Emerging growth company	☐


		Page
PART I	FINANCIAL INFORMATION

Item 1.	Financial Statements	3

	Condensed Consolidated Balance Sheets as of June 30, ~~2020~~2021 (unaudited) and December 31, ~~2019~~2020	3

	Condensed Consolidated Statements of Operations (unaudited) for the Three and Six Months Ended June 30, ~~2020~~2021 and ~~2019~~2020	4

	Condensed Consolidated Statements of Stockholders’ ~~Equity~~E quity (unaudited) for the Three and Six Months Ended June 30, ~~2020~~2021 and ~~2019~~2020	65

	Condensed Consolidated Statements of Cash Flows (unaudited) for the Six Months Ended June 30, ~~2020~~2021 and ~~2019~~2020	7

	Notes to Condensed Consolidated Financial Statements (unaudited)	9
	1. Nature of Business and Basis of Presentation	9
	2. Discontinued Operations	10
	3. Mortgage Servicing Rights and Related Liabilities	11
	4. Advances and Other Receivables	14
	5. Mortgage Loans Held for Sale	15
	6. Loans Subject to Repurchase from Ginnie Mae	16
	7. Goodwill and Intangible Assets	16
	8. Derivative Financial Instruments	17
	9. Indebtedness	19
	1 0 . Securitizations and Financings	20
	1 1 . Earnings Per Share	21
	1 2 . Income Taxes	23
	1 3 . Fair Value Measurements	23
	1 4 . Capital Requirements	27
	1 5 . Commitments and Contingencies	27
	1 6 . Segment Information	29
Item 2.	Management's Discussion and Analysis of Financial Condition and Results of Operations	4333

Item 3.	Quantitative and Qualitative Disclosures about Market Risk	8962

Item 4.	Controls and Procedures	9063



PART II	OTHER INFORMATION

Item 1.	Legal Proceedings	9164

Item 1A.	Risk Factors	9164

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	9164

Item 3.	Defaults Upon Senior Securities	9164

Item 4.	Mine Safety Disclosures	9164

Item 5.	Other Information	9164

Item 6.	Exhibits	9265


		Three Months Ended June 30,						Six Months Ended June 30,							Three Months Ended June 30,				Six Months Ended June 30,
		2020		2019		2020		2019			2021		2020		2021		2020
Revenues:	Revenues:									Revenues:
Service related, net	Service related, net	$	12	$	137	$	(41)	$	221	Service related, net	$	(8)	$	0	$	572	$	(67)
Net gain on mortgage loans held for sale	Net gain on mortgage loans held for sale	618		262		949		428		Net gain on mortgage loans held for sale	582		618		1,261		949
Total revenues	Total revenues	630		399		908		649		Total revenues	574		618		1,833		882
Expenses:	Expenses:									Expenses:
Salaries, wages and benefits	Salaries, wages and benefits	248		238		494		453		Salaries, wages and benefits	277		238		554		472
General and administrative	General and administrative	171		254		369		482		General and administrative	148		160		325		350
Total expenses	Total expenses	419		492		863		935		Total expenses	425		398		879		822

Interest income	Interest income	76		162		194		296		Interest income	51		22		97		97
Interest expense	Interest expense	(177)		(187)		(369)		(376)		Interest expense	(119)		(127)		(245)		(266)
Other income, net	Other income, net	—		1		1		16		Other income, net	486		0		486		1
Total other expenses, net		(101)		(24)		(174)		(64)
Income (loss) before income tax expense (benefit)		110		(117)		(129)		(350)
Total other income (expenses), net										Total other income (expenses), net	418		(105)		338		(168)
Income (loss) from continuing operations before income tax expense (benefit)										Income (loss) from continuing operations before income tax expense (benefit)	567		115		1,292		(108)
Less: Income tax expense (benefit)	Less: Income tax expense (benefit)	37		(29)		(31)		(76)		Less: Income tax expense (benefit)	140		38		306		(26)
Net income (loss) from continuing operations										Net income (loss) from continuing operations	427		77		986		(82)
Net income (loss) from discontinued operations										Net income (loss) from discontinued operations	12		(4)		14		(16)
Net income (loss)	Net income (loss)	73		(88)		(98)		(274)		Net income (loss)	439		73		1,000		(98)
Less: Net loss attributable to non-controlling interests	Less: Net loss attributable to non-controlling interests	—		(1)		(3)		(1)		Less: Net loss attributable to non-controlling interests	0		0		0		(3)
Net income (loss) attributable to Mr. Cooper	Net income (loss) attributable to Mr. Cooper	73		(87)		(95)		(273)		Net income (loss) attributable to Mr. Cooper	439		73		1,000		(95)
Less: Undistributed earnings attributable to participating stockholders	Less: Undistributed earnings attributable to participating stockholders	1		—		—		—		Less: Undistributed earnings attributable to participating stockholders	4		1		9		0
Net income (loss) attributable to common stockholders	Net income (loss) attributable to common stockholders	$	72	$	(87)	$	(95)	$	(273)	Net income (loss) attributable to common stockholders	$	435	$	72	$	991	$	(95)

Net income (loss) per common share attributable to Mr. Cooper:
Earnings from continuing operations per common share attributable to Mr. Cooper:										Earnings from continuing operations per common share attributable to Mr. Cooper:
Basic	Basic	$	0.78	$	(0.96)	$	(1.04)	$	(3.00)	Basic	$	4.91	$	0.82	$	11.13	$	(0.86)
Diluted	Diluted	$	0.77	$	(0.96)	$	(1.04)	$	(3.00)	Diluted	$	4.72	$	0.81	$	10.65	$	(0.86)

Earnings from discontinued operations per common share attributable to Mr. Cooper:										Earnings from discontinued operations per common share attributable to Mr. Cooper:
Basic										Basic	$	0.14	$	(0.04)	$	0.16	$	(0.18)
Diluted										Diluted	$	0.13	$	(0.04)	$	0.15	$	(0.18)

Earnings per common share attributable to Mr. Cooper:										Earnings per common share attributable to Mr. Cooper:
Basic										Basic	$	5.05	$	0.78	$	11.29	$	(1.04)
Diluted										Diluted	$	4.85	$	0.77	$	10.80	$	(1.04)


	Six Months Ended June 30,
	2021		2020
Operating Activities
Net income (loss)	$	1,000	$	(98)
Less: Net income (loss) from discontinued operations	14		(16)
Net income (loss) from continuing operations	986		(82)
Adjustments to reconcile net income (loss) from continuing operations to net cash attributable to operating activities:
Deferred tax expense (benefit)	220		(49)
Net gain on mortgage loans held for sale	(1,261)		(949)
Provision for servicing and non-servicing reserves	21		11
Fair value changes and amortization of mortgage servicing rights	190		1,055
Fair value changes in MSR related liabilities	2		(89)
Depreciation and amortization for property and equipment and intangible assets	31		36
Gain on sale of business	(487)		0

Other operating activities	24		26
Repurchases of forward loan assets out of Ginnie Mae securitizations	(5,812)		(2,092)
Mortgage loans originated and purchased for sale, net of fees	(47,560)		(23,110)
Sales proceeds and loan payment proceeds for mortgage loans held for sale	52,923		26,606
Changes in assets and liabilities:
Advances and other receivables	48		270
Other assets	101		(5)
Payables and other liabilities	13		(119)
Net cash attributable to operating activities - continuing operations	(561)		1,509
Net cash attributable to operating activities - discontinued operations	447		557
Net cash attributable to operating activities	(114)		2,066

Investing Activities
Property and equipment additions, net of disposals	(26)		(26)
Purchase of forward mortgage servicing rights	(217)		(31)
Proceeds on sale of forward mortgage servicing rights	13		43
Other investing activities	(17)		0
Net cash attributable to investing activities - continuing operations	(247)		(14)
Net cash attributable to investing activities - discontinued operations	0		0
Net cash attributable to investing activities	(247)		(14)

Financing Activities
Increase in advance and warehouse facilities	1,047		(520)
Settlements and repayments of excess spread financing	(81)		(110)
Issuance of unsecured senior notes	0		600
Redemption and repayment of unsecured senior notes	0		(698)
Repurchase of common stock	(148)		0
Other financing activities	(24)		(2)
Net cash attributable to financing activities - continuing operations	794		(730)
Net cash attributable to financing activities - discontinued operations	(440)		(633)
Net cash attributable to financing activities	354		(1,363)
Net (decrease) increase in cash, cash equivalents, and restricted cash	(7)		689
Cash, cash equivalents, and restricted cash - beginning of period	913		612
Cash, cash equivalents, and restricted cash - end of period(1)	$	906	$	1,301

Supplemental Disclosures of Non-cash Investing Activities
Consideration from sale of business	$	499	$	0
Purchase of forward mortgage servicing rights	$	7	$	0


☒			QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934


☐			TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934


		June 30, 2020		December 31, 2019			June 30, 2021		December 31, 2020
		(unaudited)					(unaudited)
Assets	Assets					Assets
Cash and cash equivalents	Cash and cash equivalents	$	1,041	$	329	Cash and cash equivalents	$	716	$	695
Restricted cash	Restricted cash	260		283		Restricted cash	113		135
Mortgage servicing rights, $2,757 and $3,496 at fair value, respectively		2,763		3,502
Advances and other receivables, net of reserves of $216 and $175, respectively		668		988
Reverse mortgage interests, net of purchase discount of $127 and $114, respectively		5,709		6,279
Mortgage servicing rights at fair value						Mortgage servicing rights at fair value	3,307		2,703
Advances and other receivables, net of reserves of $191 and $208, respectively						Advances and other receivables, net of reserves of $191 and $208, respectively	837		940
Mortgage loans held for sale at fair value	Mortgage loans held for sale at fair value	3,179		4,077		Mortgage loans held for sale at fair value	6,961		5,720
Property and equipment, net of accumulated depreciation of $75 and $55, respectively		115		112
Property and equipment, net of accumulated depreciation of $108 and $96, respectively						Property and equipment, net of accumulated depreciation of $108 and $96, respectively	110		113
Deferred tax assets, net	Deferred tax assets, net	1,391		1,345		Deferred tax assets, net	1,118		1,339
Other assets	Other assets	2,174		1,390		Other assets	5,211		7,173
Assets of discontinued operations						Assets of discontinued operations	4,935		5,347
Total assets	Total assets	$	17,300	$	18,305	Total assets	$	23,308	$	24,165

Liabilities and Stockholders’ Equity	Liabilities and Stockholders’ Equity					Liabilities and Stockholders’ Equity
Unsecured senior notes, net	Unsecured senior notes, net	$	2,261	$	2,366	Unsecured senior notes, net	$	2,075	$	2,074
Advance facilities, net		475		422
Warehouse facilities, net		4,031		4,575
Advance and warehouse facilities, net						Advance and warehouse facilities, net	7,310		6,258
Payables and other liabilities	Payables and other liabilities	2,460		2,016		Payables and other liabilities	4,895		7,159
MSR related liabilities - nonrecourse at fair value	MSR related liabilities - nonrecourse at fair value	1,173		1,348		MSR related liabilities - nonrecourse at fair value	888		967
Mortgage servicing liabilities		48		61
Other nonrecourse debt, net		4,707		5,286
Liabilities of discontinued operations						Liabilities of discontinued operations	4,790		5,203
Total liabilities	Total liabilities	15,155		16,074		Total liabilities	19,958		21,661
Commitments and contingencies (Note 16)
Preferred stock at $0.00001 - 10 million shares authorized, 1 million shares issued and outstanding, respectively; aggregate liquidation preference of 10 dollars, respectively		—		—
Common stock at $0.01 par value - 300 million shares authorized, 92.0 million and 91.1 million shares issued, respectively		1		1
Commitments and contingencies (Note 15)						Commitments and contingencies (Note 15)	0		0
Preferred stock at $0.00001 - 10 million shares authorized, 1.0 million shares issued and outstanding, respectively; aggregate liquidation preference of 10 dollars, respectively						Preferred stock at $0.00001 - 10 million shares authorized, 1.0 million shares issued and outstanding, respectively; aggregate liquidation preference of 10 dollars, respectively	0		0
Common stock at $0.01 par value - 300 million shares authorized, 93.2 million and 92.0 million shares issued, respectively						Common stock at $0.01 par value - 300 million shares authorized, 93.2 million and 92.0 million shares issued, respectively	1		1
Additional paid-in-capital	Additional paid-in-capital	1,114		1,109		Additional paid-in-capital	1,120		1,126
Retained earnings	Retained earnings	1,034		1,122		Retained earnings	2,434		1,434
Treasury shares at cost - 7.1 million and 2.6 million shares, respectively						Treasury shares at cost - 7.1 million and 2.6 million shares, respectively	(206)		(58)
Total Mr. Cooper stockholders’ equity	Total Mr. Cooper stockholders’ equity	2,149		2,232		Total Mr. Cooper stockholders’ equity	3,349		2,503
Non-controlling interests	Non-controlling interests	(4)		(1)		Non-controlling interests	1		1
Total stockholders’ equity	Total stockholders’ equity	2,145		2,231		Total stockholders’ equity	3,350		2,504
Total liabilities and stockholders’ equity	Total liabilities and stockholders’ equity	$	17,300	$	18,305	Total liabilities and stockholders’ equity	$	23,308	$	24,165


		Preferred Stock				Common Stock																Preferred Stock			Common Stock
		Shares (in thousands)	Amount		Shares (in thousands)	Amount		Additional Paid-in Capital		Retained Earnings		Total Mr. Cooper Stockholders’ Equity		Non-controlling Interests		Total Equity			Shares (in thousands)	Amount		Shares (in thousands)	Amount		Additional Paid-in Capital		Retained Earnings		Treasury Share Amount		Total Mr. Cooper Stockholders’ Equity		Non-controlling Interests		Total Stockholders’ Equity
Balance at March 31, 2019		1,000	$	—	91,042	$	1	$	1,095	$	662	$	1,758	$	3	$	1,761
Shares issued under incentive compensation plan		—	—		19	—		—		—		—		—		—
Share-based compensation		—	—		—	—		5		—		5		—		5
Net loss		—	—		—	—		—		(87)		(87)		(1)		(88)
Balance at June 30, 2019		1,000	$	—	91,061	$	1	$	1,100	$	575	$	1,676	$	2	$	1,678

Balance at March 31, 2020	Balance at March 31, 2020	1,000	$	—	91,970	$	1	$	1,108	$	961	$	2,070	$	(4)	$	2,066	Balance at March 31, 2020	1,000	$	0	91,970	$	1	$	1,108	$	961	$	0	$	2,070	$	(4)	$	2,066
Shares issued under incentive compensation plan		—	—		52	—		—		—		—		—		—
Shares issued / (surrendered) under incentive compensation plan																		Shares issued / (surrendered) under incentive compensation plan	—	—		52	—		0		—		—		0		—		0
Share-based compensation	Share-based compensation	—	—		—	—		6		—		6		—		6		Share-based compensation	—	—		—	—		6		—		—		6		—		6
Net income	Net income	—	—		—	—		—		73		73		—		73		Net income	—	—		—	—		—		73		—		73		0		73
Balance at June 30, 2020	Balance at June 30, 2020	1,000	$	—	92,022	$	1	$	1,114	$	1,034	$	2,149	$	(4)	$	2,145	Balance at June 30, 2020	1,000	$	0	92,022	$	1	$	1,114	$	1,034	$	0	$	2,149	$	(4)	$	2,145

Balance at March 31, 2021																		Balance at March 31, 2021	1,000	$	0	86,135	$	1	$	1,113	$	1,995	$	(206)	$	2,903	$	1	$	2,904
Shares issued / (surrendered) under incentive compensation plan																		Shares issued / (surrendered) under incentive compensation plan	—	—		14	—		(1)		—		—		(1)		—		(1)
Share-based compensation																		Share-based compensation	—	—		—	—		8		—		—		8		—		8

Net income																		Net income	—	—		—	—		—		439		—		439		0		439
Balance at June 30, 2021																		Balance at June 30, 2021	1,000	$	0	86,149	$	1	$	1,120	$	2,434	$	(206)	$	3,349	$	1	$	3,350


	June 30, 2020		June 30, 2019
Cash and cash equivalents	$	1,041	$	245
Restricted cash	260		304
Total cash, cash equivalents, and restricted cash	$	1,301	$	549


	Three Months Ended June 30, 2019		Six Months Ended June 30, 2019
Pro forma financial information	(unaudited)		(unaudited)
Pro forma total revenues	$	399	$	668

Pro forma net loss	$	(87)	$	(271)


	June 30, 2020						December 31, 2019
Forward MSRs - UPB and fair value breakdown	UPB		Fair Value		UPB		Fair Value
Acquisition Pools
Credit sensitive	$	131,105	$	1,307	$	147,895	$	1,613
Interest sensitive	146,870		1,450		148,887		1,883
Total	$	277,975	$	2,757	$	296,782	$	3,496

Investor Pools
Agency⁽¹⁾	$	228,680	$	2,308	$	240,688	$	2,944
Non-agency⁽²⁾	49,295		449		56,094		552
Total	$	277,975	$	2,757	$	296,782	$	3,496


Forward MSRs - Key inputs and assumptions	June 30, 2020		December 31, 2019
Total MSR Portfolio
Discount rate	9.5	%	9.7	%
Prepayment speeds	14.2	%	13.1	%
Average life	5.3 years		5.8 years

Acquisition Pools:
Credit Sensitive
Discount rate	9.9	%	10.4	%
Prepayment speeds	12.6	%	12.7	%
Average life	5.6 years		6.0 years

Interest Sensitive
Discount rate	9.0	%	9.1	%
Prepayment speeds	15.8	%	13.5	%
Average life	4.9 years		5.7 years

Investor Pools:
Agency
Discount rate	8.9	%	9.0	%
Prepayment speeds	14.4	%	13.0	%
Average life	5.2 years		5.8 years

Non-agency
Discount rate	12.0	%	12.6	%
Prepayment speeds	13.4	%	13.8	%
Average life	5.6 years		6.2 years


		Discount Rate						Total Prepayment Speeds							Discount Rate				Total Prepayment Speeds				Cost to Service per Loan
Forward MSRs - Hypothetical Sensitivities	Forward MSRs - Hypothetical Sensitivities	100 bps Adverse Change		200 bps Adverse Change		10% Adverse Change		20% Adverse Change		Forward MSRs - Hypothetical Sensitivities	100 bps Adverse Change		200 bps Adverse Change		10% Adverse Change		20% Adverse Change		10% Adverse Change		20% Adverse Change
June 30, 2020
June 30, 2021										June 30, 2021
Mortgage servicing rights	Mortgage servicing rights	$	(104)	$	(201)	$	(175)	$	(335)	Mortgage servicing rights	$	(112)	$	(216)	$	(139)	$	(268)	$	(43)	$	(87)

December 31, 2019
December 31, 2020										December 31, 2020
Mortgage servicing rights	Mortgage servicing rights	$	(127)	$	(245)	$	(165)	$	(317)	Mortgage servicing rights	$	(100)	$	(192)	$	(181)	$	(347)	$	(45)	$	(89)


Excess Spread Financing Assumptions	June 30, 2020		December 31, 2019
Discount rate	12.0	%	11.6	%
Prepayment speeds	13.4	%	12.6	%
Recapture rate	18.7	%	20.1	%
Average life	5.4 years		5.8 years


		Three Months Ended June 30,						Six Months Ended June 30,							Three Months Ended June 30,				Six Months Ended June 30,
Total Revenues - Servicing	Total Revenues - Servicing	2020		2019		2020		2019		Total Revenues - Servicing	2021		2020		2021		2020
Contractually specified servicing fees⁽¹⁾	Contractually specified servicing fees⁽¹⁾	$	285	$	307	$	582	$	588	Contractually specified servicing fees(1)	$	275	$	285	$	551	$	582
Other service-related income⁽¹⁾	Other service-related income⁽¹⁾	62		32		111		82		Other service-related income(1)	214		62		359		111
Incentive and modification income⁽¹⁾	Incentive and modification income⁽¹⁾	8		10		18		17		Incentive and modification income(1)	14		8		28		18
Late fees⁽¹⁾	Late fees⁽¹⁾	20		27		47		52		Late fees(1)	16		20		34		47
Reverse servicing fees		7		8		13		17

Mark-to-market adjustments⁽²⁾	Mark-to-market adjustments⁽²⁾	(261)		(231)		(644)		(524)		Mark-to-market adjustments(2)	(180)		(261)		174		(644)
Counterparty revenue share⁽³⁾	Counterparty revenue share⁽³⁾	(88)		(70)		(164)		(118)		Counterparty revenue share(3)	(76)		(88)		(159)		(164)
Amortization, net of accretion⁽⁴⁾	Amortization, net of accretion⁽⁴⁾	(102)		(56)		(178)		(79)		Amortization, net of accretion(4)	(158)		(107)		(314)		(191)
Total revenues - Servicing	Total revenues - Servicing	$	(69)	$	27	$	(215)	$	35	Total revenues - Servicing	$	105	$	(81)	$	673	$	(241)


Mortgage Servicing Rights Financing Assumptions	June 30, 2020		December 31, 2019
Advance financing rates	4.3	%	3.5	%
Annual advance recovery rates	18.6	%	18.8	%


Advances and Other Receivables, Net	Advances and Other Receivables, Net	June 30, 2020		December 31, 2019		Advances and Other Receivables, Net	June 30, 2021		December 31, 2020
Servicing advances, net of $117 and $131 purchase discount, respectively		$	695	$	970
Receivables from agencies, investors and prior servicers, net of $21 and $21 purchase discount, respectively		189		193
Servicing advances, net of $26 and $72 purchase discount, respectively						Servicing advances, net of $26 and $72 purchase discount, respectively	$	856	$	975
Receivables from agencies, investors and prior servicers, net of $20 and $21 purchase discount, respectively						Receivables from agencies, investors and prior servicers, net of $20 and $21 purchase discount, respectively	172		173
Reserves	Reserves	(216)		(175)		Reserves	(191)		(208)
Total advances and other receivables, net	Total advances and other receivables, net	$	668	$	988	Total advances and other receivables, net	$	837	$	940


											Three Months Ended June 30,
		Three Months Ended June 30, 2020						Three Months Ended June 30, 2019							2021				2020
Purchase Discount for Advances and Other Receivables	Purchase Discount for Advances and Other Receivables	Servicing Advances		Receivables from Agencies, Investors and Prior Servicers		Servicing Advances		Receivables from Agencies, Investors and Prior Servicers		Purchase Discount for Advances and Other Receivables	Servicing Advances		Receivables from Agencies, Investors and Prior Servicers		Servicing Advances		Receivables from Agencies, Investors and Prior Servicers
Balance - beginning of period	Balance - beginning of period	$	125	$	21	$	169	$	48	Balance - beginning of period	$	63	$	20	$	125	$	21
Utilization of purchase discounts	Utilization of purchase discounts	(8)		—		(13)		—		Utilization of purchase discounts	(37)		0		(8)		0
Balance - end of period	Balance - end of period	$	117	$	21	$	156	$	48	Balance - end of period	$	26	$	20	$	117	$	21


											Six Months Ended June 30,
		Six Months Ended June 30, 2020						Six Months Ended June 30, 2019							2021				2020
Purchase Discount for Advances and Other Receivables	Purchase Discount for Advances and Other Receivables	Servicing Advances		Receivables from Agencies, Investors and Prior Servicers		Servicing Advances		Receivables from Agencies, Investors and Prior Servicers		Purchase Discount for Advances and Other Receivables	Servicing Advances		Receivables from Agencies, Investors and Prior Servicers		Servicing Advances		Receivables from Agencies, Investors and Prior Servicers
Balance - beginning of period	Balance - beginning of period	$	131	$	21	$	205	$	48	Balance - beginning of period	$	72	$	21	$	131	$	21
Addition from acquisition		—		—		19		—
Utilization of purchase discounts	Utilization of purchase discounts	(14)		—		(68)		—		Utilization of purchase discounts	(46)		(1)		(14)		0
Balance - end of period	Balance - end of period	$	117	$	21	$	156	$	48	Balance - end of period	$	26	$	20	$	117	$	21


Unsecuritized interests	June 30, 2020		December 31, 2019
Repurchased HECM loans (exceeds 98% MCA)	$	804	$	789
HECM related receivables⁽¹⁾	244		250
Funded borrower draws not yet securitized	53		64
Real estate owned (“REO”) related receivables	37		14
Total unsecuritized interests	$	1,138	$	1,117


	Three Months Ended June 30,						Six Months Ended June 30,
Purchase discount, net, for reverse mortgage interests⁽¹⁾	2020		2019		2020		2019
Balance - beginning of period	$	(129)	$	(171)	$	(114)	$	(164)
Adjustments⁽²⁾	—		—		—		(24)
Utilization of purchase discounts⁽³⁾	9		12		19		40
Amortization, net of accretion	(7)		(4)		(32)		(15)
Balance - end of period	$	(127)	$	(163)	$	(127)	$	(163)


Mortgage Loans Held for Sale	Mortgage Loans Held for Sale	June 30, 2020		December 31, 2019		Mortgage Loans Held for Sale	June 30, 2021		December 31, 2020
Mortgage loans held for sale – UPB	Mortgage loans held for sale – UPB	$	3,033	$	3,949	Mortgage loans held for sale – UPB	$	6,706	$	5,438
Mark-to-market adjustment⁽¹⁾	Mark-to-market adjustment⁽¹⁾	146		128		Mark-to-market adjustment(1)	255		282
Total mortgage loans held for sale	Total mortgage loans held for sale	$	3,179	$	4,077	Total mortgage loans held for sale	$	6,961	$	5,720


						June 30, 2021				December 31, 2020
	Interest Rate	Maturity Date	Collateral	Capacity Amount		Outstanding		Collateral Pledged		Outstanding		Collateral Pledged
Advance Facilities
$875 advance facility	CP+2.0% to 6.5%	January 2022	Servicing advance receivables	$	875	$	143	$	168	$	168	$	195
$640 advance facility(1)	LIBOR+3.9%	August 2022	Servicing advance receivables	640		201		264		235		305
$425 advance facility	LIBOR+1.7% to 6.5%	October 2021	Servicing advance receivables	425		167		219		192		246
$100 advance facility	LIBOR+2.5%	January 2022	Servicing advance receivables	100		66		69		74		98
Advance facilities principal amount						577		720		669		844

Warehouse Facilities
$2,500 warehouse facility(2)	LIBOR+1.6% to 1.9%	October 2021	Mortgage loans or MBS	2,500		1,374		1,424		1,003		1,037
$2,000 warehouse facility(3)	LIBOR+1.5% to 1.8%	February 2023	Mortgage loans or MBS	2,000		1,968		2,124		339		392
$1,500 warehouse facility	LIBOR+1.5%	June 2022	Mortgage loans or MBS	1,500		607		584		1,081		1,028
$1,350 warehouse facility(4)(5)	LIBOR+1.8% to 3.9%	September 2022	Mortgage loans or MBS	1,350		1,018		1,065		951		977
$1,200 warehouse facility(5)	LIBOR+1.8% to 3.0%	November 2021	Mortgage loans or MBS	1,200		293		303		586		607
$750 warehouse facility	LIBOR+1.8% to 2.3%	August 2021	Mortgage loans or MBS	750		400		412		477		492
$750 warehouse facility	LIBOR+1.7% to 2.8%	October 2021	Mortgage loans or MBS	750		303		313		562		574
$600 warehouse facility(5)	LIBOR+2.5%	February 2022	Mortgage loans or MBS	600		77		78		0		0
$500 warehouse facility	LIBOR+1.5% to 3.0%	June 2023	Mortgage loans or MBS	500		0		0		0		0
$500 warehouse facility(5)	LIBOR+1.5% to 4.0%	June 2022	Mortgage loans or MBS	500		146		145		0		0
$300 warehouse facility	LIBOR+1.4%	January 2022	Mortgage loans or MBS	300		93		94		163		164
$200 warehouse facility	LIBOR+1.8%	August 2021	Mortgage loans or MBS	200		180		184		131		134
$50 warehouse facility	LIBOR+1.8% to 4.8%	April 2022	Mortgage loans or MBS	50		11		15		37		42
$30 warehouse facility(5)(6)	LIBOR+3.3%	January 2022	Mortgage loans or MBS	30		0		0		0		0
Warehouse facilities principal amount						6,470		6,741		5,330		5,447

MSR Facilities
$260 warehouse facility(1)	LIBOR+3.9%	August 2022	MSR	260		260		865		260		668
$200 warehouse facility	LIBOR+3.5%	August 2021	MSR	200		0		517		0		247
$150 warehouse facility(4)	LIBOR+3.8%	September 2022	MSR	150		0		453		0		228
$50 warehouse facility	LIBOR+3.3%	November 2022	MSR	50		10		72		10		74
MSR facilities principal amount						270		1,907		270		1,217

Advance, warehouse and MSR facilities principal amount						7,317		$	9,368	6,269		$	7,508
Unamortized debt issuance costs						(7)				(11)
Advance and warehouse facilities, net						$	7,310			$	6,258

Pledged Collateral for warehouse and MSR facilities:
Mortgage loans held for sale						$	6,470	$	6,741	$	5,330	$	5,447
MSR						270		1,907		270		1,217


Year Ending December 31,	Amount
2020	$	—
2021	—
2022	—
2023	950
2024	—
Thereafter	1,350
Total unsecured senior notes principal amount	$	2,300


Year Ending December 31,	Amount
2021 through 2025	$	0
Thereafter	2,100
Total unsecured senior notes principal amount	$	2,100


						June 30, 2020		December 31, 2019
Other nonrecourse debt	Issue Date	Maturity Date	Class of Note	Collateral Amount		Outstanding		Outstanding
Participating interest financing⁽¹⁾	—	—	—	$	—	$	3,875	$	4,284
Securitization of nonperforming HECM loans
Trust 2019-2	November 2019	November 2029	A, M1, M2, M3, M4, M5	287		274		333
Trust 2019-1	June 2019	June 2029	A, M1, M2, M3, M4, M5	264		244		302
Trust 2018-3	November 2018	November 2028	A, M1, M2, M3, M4, M5	200		179		209
Trust 2018-2	July 2018	July 2028	A, M1, M2, M3, M4, M5	149		127��		148
Other nonrecourse debt principal amount						4,699		5,276
Unamortized debt issuance costs, premium and discount						8		10
Other nonrecourse debt, net						$	4,707	$	5,286


	Three Months Ended June 30,						Six Months Ended June 30,
Repurchase Reserves	2020		2019		2020		2019
Balance - beginning of period	$	29	$	16	$	25	$	8
Provisions	4		8		9		16
Releases	(4)		(1)		(5)		(1)
Balance - end of period	$	29	$	23	$	29	$	23


	June 30, 2020						December 31, 2019
Consolidated transactions with VIEs	Transfers Accounted for as Secured Borrowings		Reverse Secured Borrowings		Transfers Accounted for as Secured Borrowings		Reverse Secured Borrowings
Assets
Restricted cash	$	95	$	27	$	66	$	42
Reverse mortgage interests, net⁽¹⁾	—		4,639		—		5,230
Advances and other receivables, net	492		—		540		—
Total assets	$	587	$	4,666	$	606	$	5,272

Liabilities
Advance facilities⁽²⁾	$	399	$	—	$	359	$	—
Payables and other liabilities	1		1		1		1
Participating interest financing	—		3,875		—		4,284
HECM Securitizations (HMBS)
Trust 2019-2	—		274		—		333
Trust 2019-1	—		244		—		302
Trust 2018-3	—		179		—		209
Trust 2018-2	—		127		—		148
Total liabilities	$	400	$	4,700	$	360	$	5,277


Unconsolidated securitization trusts		June 30, 2020		December 31, 2019
Unconsolidated Securitization Trusts						Unconsolidated Securitization Trusts	June 30, 2021		December 31, 2020
Total collateral balances - UPB	Total collateral balances - UPB	$	1,422	$	1,503	Total collateral balances - UPB	$	1,230	$	1,326
Total certificate balances	Total certificate balances	$	1,421	$	1,512	Total certificate balances	$	1,229	$	1,329


Principal Amount of Transferred Loans 60 Days or More Past Due	Principal Amount of Transferred Loans 60 Days or More Past Due	June 30, 2020		December 31, 2019		Principal Amount of Transferred Loans 60 Days or More Past Due	June 30, 2021		December 31, 2020
Unconsolidated securitization trusts	Unconsolidated securitization trusts	$	239	$	193	Unconsolidated securitization trusts	$	141	$	154


		June 30, 2020															June 30, 2021
				Recurring Fair Value Measurements													Recurring Fair Value Measurements
Fair value - Recurring basis		Total Fair Value		Level 1		Level 2		Level 3
Fair Value - Recurring Basis										Fair Value - Recurring Basis	Total Fair Value		Level 1		Level 2		Level 3
Assets	Assets									Assets
Mortgage loans held for sale	Mortgage loans held for sale	$	3,179	$	—	$	3,179	$	—	Mortgage loans held for sale	$	6,961	$	0	$	6,961	$	0
Forward mortgage servicing rights	Forward mortgage servicing rights	2,757		—		—		2,757		Forward mortgage servicing rights	3,307		0		0		3,307
Derivative financial instruments	Derivative financial instruments									Derivative financial instruments
IRLCs	IRLCs	370		—		—		370		IRLCs	204		0		0		204
LPCs										LPCs	10		0		0		10
Forward MBS trades	Forward MBS trades	3		—		3		—		Forward MBS trades	27		0		27		0
LPCs		18		—		—		18
Total assets		$	6,327	$	—	$	3,182	$	3,145

Liabilities	Liabilities									Liabilities
Derivative financial instruments	Derivative financial instruments									Derivative financial instruments

LPCs										LPCs	1		0		0		1
Forward MBS trades	Forward MBS trades	$	50	$	—	$	50	$	—	Forward MBS trades	25		0		25		0

Mortgage servicing rights financing	Mortgage servicing rights financing	49		—		—		49		Mortgage servicing rights financing	21		0		0		21
Excess spread financing	Excess spread financing	1,124		—		—		1,124		Excess spread financing	867		0		0		867
Total liabilities		$	1,223	$	—	$	50	$	1,173


		Six Months Ended June 30, 2020															Six Months Ended June 30, 2021
		Assets						Liabilities							Assets						Liabilities
Fair value - Level 3 assets and liabilities		Forward mortgage servicing rights		IRLCs		Excess spread financing		Mortgage servicing rights financing
Fair Value - Level 3 Assets and Liabilities										Fair Value - Level 3 Assets and Liabilities	Forward mortgage servicing rights		IRLCs		LPCs		Excess spread financing		Mortgage servicing rights financing
Balance - beginning of period	Balance - beginning of period	$	3,496	$	135	$	1,311	$	37	Balance - beginning of period	$	2,703	$	414	$	38	$	934	$	33
Total gains or losses included in earnings		(1,012)		235		(101)		12

Changes in fair value included in earnings										Changes in fair value included in earnings	(190)		(210)		(28)		14		(12)
Other changes										Other changes	34		0		0		0		0
Purchases, issuances, sales, repayments and settlements	Purchases, issuances, sales, repayments and settlements									Purchases, issuances, sales, repayments and settlements
Purchases	Purchases	24		—		—		—		Purchases	218		0		0		0		0
Issuances	Issuances	249		—		24		—		Issuances	554		0		0		0		0

Sales										Sales	(12)		0		0		0		0
Settlements and repayments	Settlements and repayments	—		—		(110)		—		Settlements and repayments	0		0		0		(81)		0
Balance - end of period	Balance - end of period	$	2,757	$	370	$	1,124	$	49	Balance - end of period	$	3,307	$	204	$	10	$	867	$	21


	June 30, 2021									December 31, 2020
	Range						Weighted Average			Range						Weighted Average
Level 3 Inputs	Min			Max						Min			Max
Forward MSR
Discount rate	9.5		%	13.8		%	11.0		%	8.2		%	12.0		%	9.4		%
Prepayment speed	12.4		%	18.8		%	13.6		%	14.2		%	21.3		%	15.4		%
Cost to service per loan(1)	$	63		$	223		$	86		$	66		$	257		$	98
Average life(2)							5.5 years									5.0 years

IRLCs
Value of servicing (basis points per loan)	(0.7)			2.3			1.4			(1.0)			2.2			1.2

Excess spread financing
Discount rate	9.5		%	13.8		%	11.2		%	9.9		%	15.7		%	12.2		%
Prepayment speed	12.6		%	15.3		%	13.5		%	13.9		%	15.0		%	14.4		%
Recapture rate	13.7		%	29.5		%	21.3		%	17.7		%	24.2		%	19.5		%
Average life(2)							5.4 years									5.1 years

Mortgage servicing rights financing
Advance financing and counterparty fee rates	5.3		%	8.2		%	6.9		%	4.6		%	8.5		%	7.5		%
Annual advance recovery rates	18.9		%	22.7		%	20.8		%	18.3		%	22.0		%	19.9		%


	June 30, 2020
	Carrying Amount		Fair Value
Financial instruments					Level 1		Level 2		Level 3
Financial assets
Cash and cash equivalents	$	1,041	$	1,041	$	—	$	—
Restricted cash	260		260		—		—
Advances and other receivables, net	668		—		—		668
Reverse mortgage interests, net	5,709		—		—		5,736
Mortgage loans held for sale	3,179		—		3,179		—
Derivative financial instruments	391		—		3		388
Financial liabilities
Unsecured senior notes⁽¹⁾	2,261		2,307		—		—
Advance facilities⁽¹⁾	475		—		475		—
Warehouse facilities⁽¹⁾	4,031		—		4,031		—
Mortgage servicing rights financing liability	49		—		—		49
Excess spread financing	1,124		—		—		1,124
Derivative financial instruments	50		—		50		—
Participating interest financing⁽¹⁾	3,886		—		—		3,857
HECM Securitization (HMBS)⁽¹⁾
Trust 2019-2	272		—		—		272
Trust 2019-1	243		—		—		243
Trust 2018-3	179		—		—		179
Trust 2018-2	127		—		—		127


		Three Months Ended June 30, 2020																			Three Months Ended June 30, 2021
Financial information by segment		Servicing		Originations		Xome		Corporate/Other		Consolidated
Financial Information by Segment												Financial Information by Segment	Servicing		Originations		Xome		Corporate/Other		Consolidated
Revenues	Revenues											Revenues
Service related, net	Service related, net	$	(114)	$	21	$	106	$	(1)	$	12	Service related, net	$	(92)	$	45	$	39	$	0	$	(8)
Net gain on mortgage loans held for sale	Net gain on mortgage loans held for sale	45		573		—		—		618		Net gain on mortgage loans held for sale	197		385		0		0		582
Total revenues	Total revenues	(69)		594		106		(1)		630		Total revenues	105		430		39		0		574
Total expenses	Total expenses	122		167		95		35		419		Total expenses	121		226		45		33		425
Interest income	Interest income	57		19		—		—		76		Interest income	25		26		0		0		51
Interest expense	Interest expense	(117)		(13)		—		(47)		(177)		Interest expense	(65)		(23)		0		(31)		(119)
Other income (expenses), net		—		—		1		(1)		—
Other income, net												Other income, net	0		0		486		0		486
Total other (expenses) income, net	Total other (expenses) income, net	(60)		6		1		(48)		(101)		Total other (expenses) income, net	(40)		3		486		(31)		418
(Loss) income before income tax (benefit) expense		$	(251)	$	433	$	12	$	(84)	$	110
Depreciation and amortization for property and equipment and intangible assets		$	5	$	4	$	3	$	6	$	18
(Loss) Income from continuing operations before income tax (benefit) expense												(Loss) Income from continuing operations before income tax (benefit) expense	$	(56)	$	207	$	480	$	(64)	$	567
Depreciation and amortization for property and equipment and intangible assets from continuing operations												Depreciation and amortization for property and equipment and intangible assets from continuing operations	$	7	$	6	$	3	$	0	$	16
Total assets	Total assets	$	10,736	$	3,592	$	135	$	2,837	$	17,300	Total assets	$	15,973	$	4,582	$	573	$	2,180	$	23,308