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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
________________________________________________________________________________________________________
 FORM 10-Q
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended September 30, 2021
or
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from _______ to _______                    
Commission file number: 001-14667
NSM-20210930_G1.JPG
________________________________________________________________________________________________________
Mr. Cooper Group Inc.
(Exact name of registrant as specified in its charter)
Delaware   91-1653725
(State or other jurisdiction of incorporation or organization)   (I.R.S. Employer Identification No.)
8950 Cypress Waters Blvd, Coppell, TX
  75019
(Address of principal executive offices)   (Zip Code)
(469) 549-2000
Registrant’s telephone number, including area code
Securities registered pursuant to Section 12(b) of the Act:
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
____________________________________________________________________________________________________
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.    Yes  x    No  ¨
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).    Yes  x    No  ¨
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12(b)-2 of the Exchange Act.
Large Accelerated Filer x Accelerated Filer
Non-Accelerated Filer ¨ Smaller reporting company
Emerging growth company
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ¨
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).    Yes  ☐    No  x
Number of shares of common stock, $0.01 par value, outstanding as of October 22, 2021 was 75,122,633.


MR. COOPER GROUP INC.
QUARTERLY REPORT ON FORM 10-Q
TABLE OF CONTENTS
 
    Page
PART I
Item 1.
3
Condensed Consolidated Balance Sheets as of September 30, 2021 (unaudited) and December 31, 2020
3
Condensed Consolidated Statements of Operations (unaudited) for the Three and Nine Months Ended September 30, 2021 and 2020
4
Condensed Consolidated Statements of Stockholders’ Equity (unaudited) for the Three and Nine Months Ended September 30, 2021 and 2020
5
Condensed Consolidated Statements of Cash Flows (unaudited) for the Nine Months Ended September 30, 2021 and 2020
7
9
9
16. Segment Information
Item 2.
Item 3.
Item 4.
PART II
Item 1.
Item 1A.
Item 2.
Item 3.
Item 4.
Item 5.
Item 6.

2

PART I. Financial Information

Item 1. Financial Statements
MR. COOPER GROUP INC.
CONDENSED CONSOLIDATED BALANCE SHEETS
(millions of dollars, except share data)
September 30, 2021 December 31, 2020
  (unaudited)  
Assets
Cash and cash equivalents $ 731  $ 695 
Restricted cash 118  135 
Mortgage servicing rights at fair value 3,666  2,703 
Advances and other receivables, net of reserves of $172 and $208, respectively
909  940 
Mortgage loans held for sale at fair value 7,939  5,720 
Property and equipment, net of accumulated depreciation of $115 and $92, respectively
103  113 
Deferred tax assets, net 1,011  1,339 
Other assets 3,462  7,173 
Assets of discontinued operations 3,722  5,347 
Total assets $ 21,661  $ 24,165 
Liabilities and Stockholders’ Equity
Unsecured senior notes, net $ 2,076  $ 2,074 
Advance and warehouse facilities, net 8,206  6,258 
Payables and other liabilities 3,537  7,159 
MSR related liabilities - nonrecourse at fair value 842  967 
Liabilities of discontinued operations 3,740  5,203 
Total liabilities 18,401  21,661 
Commitments and contingencies (Note 15)
Preferred stock at $0.00001 - 10 million shares authorized, zero and 1.0 million shares issued, zero and 1.0 million shares outstanding, respectively; aggregate liquidation preference of zero and ten dollars, respectively
  — 
Common stock at $0.01 par value - 300 million shares authorized, 93.2 million and 92.0 million shares issued, respectively
1 
Additional paid-in-capital 1,108  1,126 
Retained earnings 2,724  1,434 
Treasury shares at cost - 18.1 million and 2.6 million shares, respectively
(574) (58)
Total Mr. Cooper stockholders’ equity 3,259  2,503 
Non-controlling interests 1 
Total stockholders’ equity 3,260  2,504 
Total liabilities and stockholders’ equity $ 21,661  $ 24,165 

See accompanying Notes to the Condensed Consolidated Financial Statements (unaudited).
3

MR. COOPER GROUP INC.
UNAUDITED CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS
(millions of dollars, except for earnings per share data)
  Three Months Ended September 30, Nine Months Ended September 30,
2021 2020 2021 2020
Revenues:
Service related, net $ 288  $ 218  $ 860  $ 151 
Net gain on mortgage loans held for sale 572  645  1,833  1,594 
Total revenues 860  863  2,693  1,745 
Expenses:
Salaries, wages and benefits 251  265  805  737 
General and administrative 151  190  476  540 
Total expenses 402  455  1,281  1,277 
Interest income 66  17  163  114 
Interest expense (118) (128) (363) (394)
Other income (expense), net 8  (51) 494  (50)
Total other (expense) income, net (44) (162) 294  (330)
Income from continuing operations before income tax expense 414  246  1,706  138 
Less: Income tax expense 104  59  410  33 
Net income from continuing operations 310  187  1,296  105 
Net (loss) income from discontinued operations (11) 27  3  11 
Net income 299  214  1,299  116 
Less: Net earnings attributable to non-controlling interests    
Net income attributable to Mr. Cooper 299  209  1,299  114 
Less: Undistributed earnings attributable to participating stockholders 1  9 
Less: Premium on retirement of preferred stock 28    28   
Net income attributable to common stockholders $ 270  $ 207  $ 1,262  $ 113 
Earnings from continuing operations per common share attributable to Mr. Cooper:
Basic $ 3.56  $ 1.98  $ 14.85  $ 1.12 
Diluted $ 3.42  $ 1.91  $ 14.20  $ 1.09 
Earnings from discontinued operations per common share attributable to Mr. Cooper:
Basic $ (0.14) $ 0.28  $ 0.04  $ 0.11 
Diluted $ (0.13) $ 0.27  $ 0.03  $ 0.11 
Earnings per common share attributable to Mr. Cooper:
Basic $ 3.42  $ 2.26  $ 14.89  $ 1.23 
Diluted $ 3.29  $ 2.18  $ 14.23  $ 1.20 
    
See accompanying Notes to the Condensed Consolidated Financial Statements (unaudited).
4

MR. COOPER GROUP INC.
UNAUDITED CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS’ EQUITY
(millions of dollars, except share data)
Preferred Stock Common Stock
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 June 30, 2020 1,000  $ —  92,022  $ $ 1,114  $ 1,034  $ —  $ 2,149  $ (4) $ 2,145 
Shares issued / (surrendered) under incentive compensation plan —  —  19  —  —  —  —  —  —  — 
Share-based compensation —  —  —  —  —  —  — 
Repurchase of common stock —  —  (1,187) —  —  —  (24) (24) —  (24)
Net income —  —  —  —  —  209  —  209  214 
Balance at September 30, 2020 1,000  $ —  90,854  $ $ 1,120  $ 1,243  $ (24) $ 2,340  $ $ 2,341 
Balance at June 30, 2021 1,000  $   86,149  $ 1  $ 1,120  $ 2,434  $ (206) $ 3,349  $ 1  $ 3,350 
Shares issued / (surrendered) under incentive compensation plan     45               
Share-based compensation         7      7    7 
Repurchase of common stock     (11,073)       (368) (368)   (368)
Retirement of preferred stock (1,000)       (19) (9)   (28)   (28)
Net income           299    299    299 
Balance at September 30, 2021   $   75,121  $ 1  $ 1,108  $ 2,724  $ (574) $ 3,259  $ 1  $ 3,260 

See accompanying Notes to the Condensed Consolidated Financial Statements (unaudited).

5

MR. COOPER GROUP INC.
UNAUDITED CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS’ EQUITY
(millions of dollars, except share data)
Preferred Stock Common Stock
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 January 1, 2020 1,000  $ —  91,118  $ $ 1,109  $ 1,122  $ —  $ 2,232  $ (1) $ 2,231 
Shares issued / (surrendered) under incentive compensation plan —  —  923  —  (5) —  —  (5) —  (5)
Share-based compensation —  —  —  —  16  —  —  16  —  16 
Cumulative effect adjustments pursuant to the
adoption of CECL-related accounting guidance
—  —  —  —  —  —  — 
Repurchase of common stock —  —  (1,187) —  —  —  (24) (24) —  (24)
Net income —  —  —  —  —  114  —  114  116 
Balance at September 30, 2020 1,000  $ —  90,854  $ $ 1,120  $ 1,243  $ (24) $ 2,340  $ $ 2,341 
Balance at January 1, 2021 1,000  $   89,457  $ 1  $ 1,126  $ 1,434  $ (58) $ 2,503  $ 1  $ 2,504 
Shares issued / (surrendered) under incentive compensation plan     1,242    (20)     (20)   (20)
Share-based compensation         21      21    21 
Repurchase of common stock     (15,578)       (516) (516)   (516)
Retirement of preferred stock (1,000)       (19) (9)   (28)   (28)
Net income           1,299    1,299    1,299 
Balance at September 30, 2021   $   75,121  $ 1  $ 1,108  $ 2,724  $ (574) $ 3,259  $ 1  $ 3,260 

See accompanying Notes to the Condensed Consolidated Financial Statements (unaudited).

6

MR. COOPER GROUP INC.
UNAUDITED CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS
(millions of dollars)
Nine Months Ended September 30,
  2021 2020
Operating Activities
Net income $ 1,299  $ 116 
Less: Net income from discontinued operations 3  11 
Net income from continuing operations 1,296  105 
Adjustments to reconcile net income from continuing operations to net cash attributable to operating activities:
Deferred tax expense (benefit) 327  (1)
Net gain on mortgage loans held for sale (1,833) (1,594)
Provision for servicing and non-servicing reserves 28  18 
Fair value changes and amortization of mortgage servicing rights 296  1,332 
Fair value changes in MSR related liabilities (7) (122)
Depreciation and amortization for property and equipment and intangible assets 45  55 
Gain on sale of business (494) — 
Loss on redemption of unsecured senior notes   52 
Other operating activities 36  45 
Repurchases of forward loan assets out of Ginnie Mae securitizations (8,530) (3,173)
Mortgage loans originated and purchased for sale, net of fees (67,507) (38,709)
Sales proceeds and loan payment proceeds for mortgage loans held for sale 74,948  43,046 
Changes in assets and liabilities:
Advances and other receivables (41) 172 
Other assets 46  31 
Payables and other liabilities 7  (157)
Net cash attributable to operating activities - continuing operations (1,383) 1,100 
Net cash attributable to operating activities - discontinued operations 613  778 
Net cash attributable to operating activities (770) 1,878 
Investing Activities
Sale of business, net of cash divested 432  — 
Property and equipment additions, net of disposals (33) (43)
Purchase of forward mortgage servicing rights (431) (39)
Proceeds on sale of forward mortgage servicing rights 13  44 
Other investing activities 1  — 
Net cash attributable to investing activities - continuing operations (18) (38)
Net cash attributable to investing activities - discontinued operations 1,029  — 
Net cash attributable to investing activities 1,011  (38)
Financing Activities
Increase (decrease) in advance and warehouse facilities 1,950  (14)
Settlements and repayments of excess spread financing (118) (159)
Issuance of unsecured senior notes   1,450 
Redemption and repayment of unsecured senior notes   (1,686)
Repurchase of common stock (516) (24)
Retirement of preferred stock (28) — 
Other financing activities (33) (21)
Net cash attributable to financing activities - continuing operations 1,255  (454)
Net cash attributable to financing activities - discontinued operations (1,495) (823)
Net cash attributable to financing activities (240) (1,277)
Net increase in cash, cash equivalents, and restricted cash 1  563 
Cash, cash equivalents, and restricted cash - beginning of period 913  612 
Cash, cash equivalents, and restricted cash - end of period(1)
$ 914  $ 1,175 
Supplemental Disclosures of Non-cash Investing Activities
Equity consideration received from sale of business $ 53  $ — 
Purchase of forward mortgage servicing rights $ 12  $ — 
Forward mortgage servicing rights sales price holdback $ 2  $ — 
7


(1)The following table provides a reconciliation of cash, cash equivalents and restricted cash to amounts reported within the condensed consolidated balance sheets.
September 30, 2021 September 30, 2020
Cash and cash equivalents $ 731  $ 946 
Restricted cash 118  152 
Restricted cash within assets of discontinued operations 65  77 
Total cash, cash equivalents, and restricted cash $ 914  $ 1,175 
See accompanying Notes to the Condensed Consolidated Financial Statements (unaudited). 
8

MR COOPER GROUP INC.
NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
(millions of dollars, unless otherwise stated)

1. Nature of Business and Basis of Presentation

Nature of Business
Mr. Cooper Group Inc., collectively with its consolidated subsidiaries, (“Mr. Cooper,” the “Company,” “we,” “us” or “our”) provides servicing, origination and transaction-based services related to single family residences throughout the United States with operations under its primary brands: Mr. Cooper® and Xome®. Mr. Cooper is one of the largest home loan originators and servicers in the country focused on delivering a variety of servicing and lending products, services and technologies. Xome provides technology and data enhanced solutions to homebuyers, home sellers, real estate agents and mortgage companies. The Company’s corporate website is located at www.mrcoopergroup.com. The Company has provided a glossary of terms, which defines certain industry-specific and other terms that are used herein, in Item 2, Management’s Discussion and Analysis of Financial Condition and Results of Operations, of this Form 10-Q.

On March 12, 2021, the Company entered into a Stock Purchase Agreement to sell its Xome Title business to Blend Labs, Inc. (“Blend Labs”) for a total consideration of approximately $500, consisting of approximately $450 in cash, subject to certain adjustments specified therein, and a retained interest of 9.9% for the Company (the “Title Transaction”). The Title Transaction was completed on June 30, 2021. Pursuant to the Stock Purchase Agreement, all cash generated, subject to certain adjustments, between March 13, 2021 and the closing date of the Title Transaction, were held for the benefit of Blend Labs. A $487 gain was recorded in the second quarter of 2021 upon closing of the Title Transaction, which was included in other income, net within the condensed consolidated statements of operations. In addition, the Company recorded total transaction costs of $2 and $7 for the three and nine months ended September 30, 2021, respectively. The results of the Title business are reported under Corporate/Other in Note 16, Segment Information. The carrying amounts of assets and liabilities associated with the Title business were not material to the condensed consolidated balance sheets as of December 31, 2020.

On July 1, 2021, the Company entered into a definitive agreement for the sale of its reverse servicing portfolio, operating under the Champion Mortgage brand (“Champion”), to Mortgage Assets Management, LLC and its affiliates (“MAM”). The reverse servicing operation was previously reported in the Company’s Servicing segment. The Company determined the sale of the reverse servicing portfolio qualified for reporting as discontinued operations as of June 30, 2021, and for the unsold portion, the operations continue to meet the criteria. As a result, the reverse servicing operation is presented as discontinued operations in the Company’s condensed consolidated statements of operations and the assets and liabilities of the reverse servicing operation are presented as discontinued operations in the Company’s condensed consolidated balance sheets for all periods presented. Unless otherwise indicated, information in this report relates to the Company’s continuing operations. Refer to Note 2, Discontinued Operations for further details.

On August 31, 2021, the Company completed the sale of its Xome Valuations business (the “Valuations Transaction”) to Voxtur Analytics Corp. (“Voxtur”) for a total consideration of approximately $16, consisting of approximately $9 in cash and a number of Voxtur common stock with an aggregate value of $7. A $7 gain was recorded in the third quarter of 2021 upon the closing of the Valuations Transaction and was included in other income, net within the condensed consolidated statements of operations. There were no transaction costs recorded for the three and nine months ended September 30, 2021. The results of the Valuations business are reported under Corporate/Other in Note 16, Segment Information. The carrying amounts of assets and liabilities associated with the Valuations business were not material to the condensed consolidated balance sheets as of December 31, 2020.

On October 22, 2021, the Company completed the sale of its Xome Field Services business (the “Field Services Transaction”) to Cyprexx Services LLC for a total consideration of approximately $41, consisting of $36 in cash and a retained interest of 10% for the Company. The sale is expected to generate a $33 gain. There were no transaction costs recorded for the three and nine months ended September 30, 2021. The results of the Field Services business are reported under Corporate/Other in Note 16, Segment Information. The carrying amounts of assets and liabilities associated with the Field Services business were not material to the condensed consolidated balance sheets as of December 31, 2020.

9

Basis of Presentation
The interim condensed consolidated financial statements of the Company have been prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) for interim financial information and in accordance with the instructions to Form 10-Q and Article 10 of Regulation S-X as promulgated by the Securities and Exchange Commission. Accordingly, the financial statements do not include all of the information and footnotes required by GAAP for complete financial statements and should be read in conjunction with the audited consolidated financial statements and notes thereto included in the Company’s Annual Reports on Form 10-K for the year ended December 31, 2020.

The interim condensed consolidated financial statements are unaudited; however, in the opinion of management, all adjustments, consisting of normal recurring items, considered necessary for a fair presentation of the results of the interim periods have been included. Dollar amounts are reported in millions, except per share data and other key metrics, unless otherwise noted.

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.

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.

Reclassifications
Certain reclassifications have been made in the 2020 condensed consolidated financial statements to conform to 2021 presentation. Such reclassifications did not affect total revenues or net income.

Recent Accounting Guidance Adopted
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 the Company on January 1, 2021. The adoption of the standard did not have a material impact to the Company’s condensed consolidated financial statements.


10

2. 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. Pursuant to the agreement, total consideration for the sale is dependent on the value of the respective assets and liabilities sold on the closing date. 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 in the fourth quarter of 2021. The Company recorded total transaction costs of $5 for the nine months ended September 30, 2021. There were no transaction costs for the three months ended September 30, 2021. The carrying amounts of assets and liabilities associated with the reverse servicing operation are reported under the Servicing segment. The Company determined the reverse servicing operations met the criteria for classification as held for sale as of June 30, 2021, and for the unsold portion, the operations continue to meet the criteria. The sale of business 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. In August 2021, net assets of $1,039 were transferred to MAM. The balances as of September 30, 2021 represent the remaining balances to be transferred.

As part of the transaction, the Company entered into a servicing agreement with MAM, under which the Company will be compensated for continuing to service these reverse loans through the date that the loans are transferred out of Company’s servicing system, which will be the date of transfer. In addition, the Company will retain certain loans related to the reverse servicing portfolio, primarily related to previously liquidated loans, with total assets of $95 and total liabilities of $91 as of September 30, 2021.

The following table sets forth the assets and liabilities included in discontinued operations:
September 30, 2021 December 31, 2020
Carrying amounts of assets of discontinued operations
Restricted cash $ 65  $ 83 
Reverse mortgage interests, net 3,705  5,253 
Other 5  11 
Loss recognized on classification as discontinued operations (53) — 
Total assets of discontinued operations $ 3,722  $ 5,347 
Carrying amounts of liabilities of discontinued operations
Advances and warehouse facilities, net $ 98  $ 505 
Payables and other liabilities 208  233 
Mortgage servicing liabilities 41  41 
Other nonrecourse debt, net 3,393  4,424 
Total liabilities of discontinued operations $ 3,740  $ 5,203 

The following table sets forth the condensed consolidated statements of operations data for discontinued operations:
Three Months Ended September 30, Nine Months Ended September 30,
2021 2020 2021 2020
Revenue - service related, net $ 4  $ $ 13  $ 35 
Salaries, wages and benefits expense (7) (10) (23) (32)
General and administrative expense (14) 33  50  15 
Interest income 31  40  118  136 
Interest expense (26) (37) (90) (140)
Loss on classification as discontinued operations (3) —  (64) — 
(Loss) income from discontinued operations before income tax (benefit) expense (15) 35  4  14 
Less: Income tax (benefit) expense (4) 1 
Net (loss) income from discontinued operations $ (11) $ 27  $ 3  $ 11 
11



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 current environment was considered in the determination of key assumptions.
MSRs and Related Liabilities September 30, 2021 December 31, 2020
Forward MSRs - fair value $ 3,666  $ 2,703 
Excess spread financing - fair value $ 822  $ 934 
Mortgage servicing rights financing - fair value 20  33 
MSR related liabilities - nonrecourse at fair value $ 842  $ 967 

Forward Mortgage Servicing Rights
The following table sets forth the activities of forward MSRs:
Nine Months Ended September 30,
Forward MSRs - Fair Value 2021 2020
Fair value - beginning of period $ 2,703  $ 3,496 
Additions:
Servicing retained from mortgage loans sold 790  412 
Purchases of servicing rights 438  30 
Dispositions:
Sales of servicing assets (13) — 
Changes in fair value:
Changes in valuation inputs or assumptions used in the valuation model (MSR MTM) 476  (727)
Changes in valuation due to amortization (772) (605)
Other changes 44  57 
Fair value - end of period $ 3,666  $ 2,663 

During the nine months ended September 30, 2021 and 2020, the Company sold $1,226 and $94 in unpaid principal balance (“UPB”) of forward MSRs, of which $1,144 and none were retained by the Company as subservicer, respectively.

Forward MSRs are segregated between investor type into agency and non-agency pools (referred to herein as “investor pools”) based upon contractual servicing agreements with investors at the respective balance sheet date to evaluate the MSR portfolio and fair value of the portfolio. Agency investors primarily consist of government sponsored enterprises (“GSE”), such as the Federal National Mortgage Association (“Fannie Mae” or “FNMA”) and the Federal Home Loan Mortgage Corp (“Freddie Mac” or “FHLMC”), and the Government National Mortgage Association (“Ginnie Mae” or “GNMA”). Non-agency investors consist of investors in private-label securitizations.

The following table provides a breakdown of UPB and fair value for the Company’s forward MSRs:
September 30, 2021 December 31, 2020
Forward MSRs - UPB and Fair Value Breakdown UPB Fair Value UPB Fair Value
Investor Pools
Agency $ 266,588  $ 3,329  $ 227,136  $ 2,305 
Non-agency 36,503  337  44,053  398 
Total $ 303,091  $ 3,666  $ 271,189  $ 2,703 

Refer to Note 13, Fair Value Measurements, for further discussion on key weighted-average inputs and assumptions used in estimating the fair value of forward MSRs.

12

The following table shows the hypothetical effect on the fair value of the Company’s forward MSRs when applying certain unfavorable variations of key assumptions to these assets for the dates indicated:
Discount Rate
Total Prepayment Speeds
Cost to Service per Loan
Forward MSRs - Hypothetical Sensitivities
100 bps
Adverse
Change
200 bps
Adverse
Change
10%
Adverse
Change
20%
Adverse
Change
10%
Adverse
Change
20%
Adverse
Change
September 30, 2021
Mortgage servicing rights $ (133) $ (257) $ (145) $ (279) $ (45) $ (89)
December 31, 2020
Mortgage servicing rights $ (100) $ (192) $ (181) $ (347) $ (45) $ (89)

These hypothetical sensitivities should be evaluated with care. The effect on fair value of an adverse change in assumptions generally cannot be determined because the relationship of the change in assumptions to the fair value may not be linear. Additionally, the impact of a variation in a particular assumption on the fair value is calculated while holding other assumptions constant. In reality, changes in one factor may lead to changes in other factors, which could impact the above hypothetical effects.

Excess Spread Financing - Fair Value
The Company had excess spread financing liability of $822 and $934 as of September 30, 2021 and December 31, 2020, respectively. Refer to Note 13, Fair Value Measurements, for key weighted-average inputs and assumptions used in the valuation of excess spread financing.

The following table shows the hypothetical effect on the Company’s excess spread financing fair value when applying certain unfavorable variations of key assumptions to these liabilities for the dates indicated:
Discount Rate
Prepayment Speeds
Excess Spread Financing - Hypothetical Sensitivities
100 bps
Adverse
Change
200 bps
Adverse
Change
10%
Adverse
Change
20%
Adverse
Change
September 30, 2021
Excess spread financing $ 28  $ 58  $ 30  $ 63 
December 31, 2020
Excess spread financing $ 30  $ 62  $ 41  $ 84 

These hypothetical sensitivities should be evaluated with care. The effect on fair value of an adverse change in assumptions generally cannot be determined because the relationship of the change in assumptions to the fair value may not be linear. Additionally, the impact of a variation in a particular assumption on the fair value is calculated while holding other assumptions constant. In reality, changes in one factor may lead to changes in other factors, which could impact the above hypothetical effects. Also, a positive change in the above assumptions would not necessarily correlate with the corresponding decrease in the net carrying amount of the excess spread financing. Excess spread financing’s cash flow assumptions that are utilized in determining fair value are based on the related cash flow assumptions used in the financed MSRs. Any fair value change recognized in the financed MSRs attributable to related cash flows assumptions would inherently have an inverse impact on the carrying amount of the related excess spread financing.

Mortgage Servicing Rights Financing - Fair Value
The Company had MSR financing liability of $20 and $33 as of September 30, 2021 and December 31, 2020, respectively. Refer to Note 13, Fair Value Measurements, for key weighted-average inputs and assumptions used in the valuation of the MSR financing liability.
13


Servicing Segment Revenues
The following table sets forth the items comprising total revenues for the Servicing segment:
Three Months Ended September 30, Nine Months Ended September 30,
Total Revenues - Servicing 2021 2020 2021 2020
Contractually specified servicing fees(1)
$ 280  $ 282  $ 831  $ 864 
Other service-related income(1)
158  60  517  171 
Incentive and modification income(1)
10  12  38  30 
Late fees(1)
19  18  53  65 
Mark-to-market adjustments(2)
151  (16) 376  (618)
Amortization, net of accretion(3)
(202) (129) (567) (362)
Other(4)
(65) (104) (224) (268)
Total revenues - Servicing $ 351  $ 123  $ 1,024  $ (118)

(1)The Company recognizes revenue on an earned basis for services performed. Amounts include subservicing related revenues.
(2)Mark-to-market (“MTM”) adjustments include fair value adjustments on MSR, excess spread financing and MSR financing liabilities. The amount of MSR MTM includes the impact of negative modeled cash flows which have been transferred to reserves on advances and other receivables. The negative modeled cash flows relate to advances and other receivables associated with inactive and liquidated loans that are no longer part of the MSR portfolio. The impact of negative modeled cash flows was $8 and $7 for the three months ended September 30, 2021 and 2020 and $28 and $20 for the nine months ended September 30, 2021 and 2020, respectively.
(3)Amortization is net of excess spread accretion of $59 and $96 during the three months ended September 30, 2021 and 2020, respectively. For the nine months ended September 30, 2021 and 2020, amortization is net of excess spread accretion of $205 and $243, respectively.
(4)Other represents the excess servicing fee that the Company pays to the counterparties under the excess spread financing arrangements, portfolio runoff and the payments made associated with MSR financing arrangements.


4. Advances and Other Receivables

Advances and other receivables, net, consists of the following:
Advances and Other Receivables, Net September 30, 2021 December 31, 2020
Servicing advances, net of $30 and $72 purchase discount, respectively
$ 893  $ 975 
Receivables from agencies, investors and prior servicers, net of $13 and $21 purchase discount, respectively
188  173 
Reserves (172) (208)
Total advances and other receivables, net $ 909  $ 940 

The following table sets forth the activities of the servicing reserves for advances and other receivables:
Three Months Ended September 30, Nine Months Ended September 30,
Reserves for Advances and Other Receivables 2021 2020 2021 2020
Balance - beginning of period $ 191  $ 216  $ 208  $ 168 
Provision and other additions(1)
18  13  59  72 
Write-offs (37) (38) (95) (49)
Balance - end of period $ 172  $ 191  $ 172  $ 191 

(1)The Company recorded a provision of $8 and $7 through the MTM adjustments in revenues - service related, net, in the condensed consolidated statements of operations during the three months ended September 30, 2021 and 2020, and $28 and $20 during the nine months ended September 30, 2021 and 2020, respectively, for inactive and liquidated loans that are no longer part of the MSR portfolio. Other additions represent reclassifications of required reserves provisioned within other balance sheet accounts as associated serviced loans become inactive or liquidate.

14

Purchase Discount for Advances and Other Receivables
The following tables set forth the activities of the purchase discounts for advances and other receivables:
Three Months Ended September 30,
2021 2020
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 $ 31  $ 20  $ 117  $ 21 
Utilization of purchase discounts (1) (7) (25) — 
Balance - end of period $ 30  $ 13  $ 92  $ 21 

Nine Months Ended September 30,
2021 2020
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 $ 72  $ 21  $ 131  $ 21 
Utilization of purchase discounts (42) (8) (39) — 
Balance - end of period $ 30  $ 13  $ 92  $ 21 

Credit Loss for Advances and Other Receivables
During the three and nine months ended September 30, 2021, the Company increased the current expected credit loss (“CECL”) reserve by $3 and $7, respectively. In addition, the Company wrote off $16 of the CECL reserve during the three months and nine months ended September 30, 2021. During the three and nine months ended September 30, 2020, the Company increased the CECL reserve by $13 and $27, respectively. As of September 30, 2021, the total CECL reserve was $29, of which $19 and $10 were recorded in reserves and purchase discount for advances and other receivables, respectively. As of September 30, 2020, the total CECL reserve was $44, of which $27 and $17 were recorded in reserves and purchase discount for advances and other receivables, respectively.

The Company determined that the credit-related risk associated with applicable financial instruments typically increase with the passage of time. The CECL reserve methodology considers these financial instruments collectible to a point in time of 39 months. Any projected remaining balance at the end of the collection period is considered a loss and factors into the overall CECL loss rate required.

5. Mortgage Loans Held for Sale

Mortgage loans held for sale are recorded at fair value as set forth below:
Mortgage Loans Held for Sale September 30, 2021 December 31, 2020
Mortgage loans held for sale – UPB $ 7,664  $ 5,438 
Mark-to-market adjustment(1)
275  282 
Total mortgage loans held for sale $ 7,939  $ 5,720 

(1)The mark-to-market adjustment includes net change in unrealized gain/loss, premium on correspondent loans and fees on direct-to-consumer loans. The mark-to-market adjustment is recorded in net gain on mortgage loans held for sale in the condensed consolidated statements of operations.

15

The following table sets forth the activities of mortgage loans held for sale:
Nine Months Ended September 30,
Mortgage Loans Held for Sale 2021 2020
Balance - beginning of period $ 5,720  $ 4,077 
Loans sold (73,822) (42,185)
Mortgage loans originated and purchased, net of fees 67,507  38,709 
Repurchase of loans out of Ginnie Mae securitizations 8,530  3,173 
Net change in unrealized gain on retained loans held for sale 1  36 
Net transfers of mortgage loans held for sale(1)
3 
Balance - end of period $ 7,939  $ 3,817 

(1)Amount reflects transfers to other assets for loans transitioning into REO status and transfers to advances and other receivables, net, for claims made on certain government insurance mortgage loans. Transfers out are net of transfers in upon receipt of proceeds from an REO sale or claim filing.

During the nine months ended September 30, 2021 and 2020, the Company received proceeds of $74,948 and $43,040, respectively, on the sale of mortgage loans held for sale, resulting in gains of $1,126 and $855, respectively.

The total UPB and fair value of mortgage loans held for sale on non-accrual status was as follows:
September 30, 2021 December 31, 2020
Mortgage Loans Held for Sale UPB Fair Value UPB Fair Value
Non-accrual(1)
$ 1,924  $ 2,002  $ 64  $ 54 

(1)Non-accrual UPB includes $1,906 and $48 of UPB related to Ginnie Mae repurchased loans as of September 30, 2021 and December 31, 2020, respectively.

The total UPB of mortgage loans held for sale for which the Company has begun formal foreclosure proceedings was $17 and $20 as of September 30, 2021 and December 31, 2020, respectively.

6. Loans Subject to Repurchase from Ginnie Mae

Forward loans are sold to Ginnie Mae in conjunction with the issuance of mortgage backed securities. The Company, as the issuer of the mortgage backed securities, has the unilateral right to repurchase any individual loan in a Ginnie Mae securitization pool if that loan meets certain criteria, including payments not being received from borrowers for greater than 90 days. Once the Company has the unilateral right to repurchase a delinquent loan, it has effectively regained control over the loan and recognizes these rights to the loan on its condensed consolidated balance sheets and establishes a corresponding repurchase liability regardless of the Company’s intention to repurchase the loan. The Company had loans subject to repurchase from Ginnie Mae of $2,703 and $6,159 as of September 30, 2021 and December 31, 2020, respectively, which are included in both other assets and payables and other liabilities in the condensed consolidated balance sheets. Loans subject to repurchase from Ginnie Mae as of September 30, 2021 and December 31, 2020 include $2,486 and $5,879 loans in forbearance related to the Coronavirus Aid, Relief, and Economic Security Act (“CARES Act”), respectively, whereby no payments have been received from borrowers for greater than 90 days.


7. Goodwill and Intangible Assets

The Company had goodwill of $120 as of September 30, 2021 and December 31, 2020. The Company had intangible assets of $18 and $31 as of September 30, 2021 and December 31, 2020, respectively. Goodwill and intangible assets are included in other assets within the condensed consolidated balance sheets.


16

8. Derivative Financial Instruments

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. Derivative instruments utilized by the Company primarily include interest rate lock commitments (“IRLCs”), loan purchase commitments (“LPCs”), forward Mortgage Backed Securities (“MBS”) purchase commitments, Eurodollar and Treasury futures and interest rate swap agreements. The changes in value on the derivative instruments are recorded in earnings as a component of net gain on mortgage loans held for sale on the condensed consolidated statements of operations and condensed consolidated statement of cash flows, except for a portion of forward MBS trades to hedge MSR pipelines and related fair value changes, which is recorded in service related, net on the condensed consolidated statements of operations and in changes in other assets or other liabilities on the condensed consolidated statements of cash flows.

The following tables provide the outstanding notional balances, fair values of outstanding positions and recorded gains/(losses) for the derivative financial instruments:
September 30, 2021 Nine Months Ended September 30, 2021
Derivative Financial Instruments Expiration
Dates
Outstanding
Notional
Fair
Value
Gains/(Losses)
Assets
Mortgage loans held for sale
Loan sale commitments 2021 $ 1,435  $ 29  $ (73)
Derivative financial instruments
IRLCs 2021 6,167  167  (247)
LPCs 2021 887  6  (32)
Forward MBS trades 2021 12,770  61  24 
Total derivative financial instruments - assets $ 19,824  $ 234  $ (255)
Liabilities
Derivative financial instruments
IRLCs 2021 $ 25  $   $  
LPCs 2021 2,208  13  12 
Forward MBS trades 2021 6,553  23  (133)
Swap futures 2021 700  12  12 
Total derivative financial instruments - liabilities $ 9,486  $ 48  $ (109)

17

September 30, 2020 Nine Months Ended September 30, 2020
Derivative Financial Instruments Expiration
Dates
Outstanding
Notional
Fair
Value
Gains/(Losses)
Assets
Mortgage loans held for sale
Loan sale commitments 2020 $ 1,908  $ 75  $ 43 
Derivative financial instruments
IRLCs 2020-2021 10,967  414  279 
LPCs 2020 5,217  38  26 
Forward MBS trades 2020-2021 11,452  23  17 
Total derivative financial instruments - assets $ 27,636  $ 475  $ 322 
Liabilities
Derivative financial instruments
IRLCs 2020 $ $ —  $ — 
LPCs 2020 598  (1)
Forward MBS trades 2020-2021 15,974  42  30 
Total derivative financial instruments - liabilities $ 16,574  $ 44  $ 29 

As of September 30, 2021, the Company held $23 and $36 in collateral deposits and collateral obligations on derivative instruments, respectively. As of December 31, 2020 the Company held $61 in collateral deposits on derivative instruments. Collateral deposits and collateral obligations are recorded in other assets and payable and other liabilities, respectively, in the Company’s condensed consolidated balance sheets. The Company does not offset fair value amounts recognized for derivative instruments with amounts collected or deposited on derivative instruments in the condensed consolidated balance sheets.


18


9. Indebtedness

Advance and Warehouse Facilities
September 30, 2021 December 31, 2020
Interest Rate Maturity Date Collateral Capacity Amount Outstanding Collateral Pledged Outstanding Collateral Pledged
Advance Facilities
$940 advance facility(1)
LIBOR+3.5%
August 2023 Servicing advance receivables $ 940  $ 170  $ 228  $ 235  $ 305 
$350 advance facility(2)
LIBOR+1.1% to 6.5%
October 2022 Servicing advance receivables 350  168  211  192  246 
$350 advance facility(3)
CP+2.0% to 6.5%
January 2022 Servicing advance receivables 350  136  159  168  195 
$100 advance facility
LIBOR+2.5%
January 2022 Servicing advance receivables 100  65  86  74  98 
Advance facilities principal amount 539  684  669  844 
Warehouse Facilities
$4,000 warehouse facility(4)
LIBOR+1.6% to 2.2%
February 2023 Mortgage loans or MBS 4,000  3,117  3,352  339  392 
$2,500 warehouse facility(5)
LIBOR+1.6% to 1.9%
October 2022 Mortgage loans or MBS 2,500  1,225  1,276  1,003  1,037 
$1,600 warehouse facility(6)(7)
LIBOR+1.5% to 3.0%
September 2023 Mortgage loans or MBS 1,600  906  945  951  977 
$1,500 warehouse facility
LIBOR+1.5%
June 2022 Mortgage loans or MBS 1,500  546  529  1,081  1,028 
$1,200 warehouse facility(6)
LIBOR+1.8% to 3.0%
November 2021 Mortgage loans or MBS 1,200  473  492  586  607 
$600 warehouse facility(6)
LIBOR+2.5%
February 2022 Mortgage loans or MBS 600  37  38  —  — 
$550 warehouse facility(8)
LIBOR+1.5%
August 2022 Mortgage loans or MBS 550  84  86  477  492 
$500 warehouse facility
LIBOR+1.5% to 3.0%
June 2023 Mortgage loans or MBS 500  439  452  —  — 
$500 warehouse facility(9)
LIBOR+1.5% to 1.8%
September 2022 Mortgage loans or MBS 500  231  238  562  574 
$500 warehouse facility(6)
LIBOR+1.5% to 4.0%
June 2022 Mortgage loans or MBS 500  125  125  —  — 
$500 warehouse facility
LIBOR+1.7%
August 2023 Mortgage loans or MBS 500  48  49  —  — 
$300 warehouse facility
LIBOR+1.4%
January 2022 Mortgage loans or MBS 300  94  96  163  164 
$200 warehouse facility(10)
LIBOR+1.8%
October 2021 Mortgage loans or MBS 200  3  3  131  134 
$200 warehouse facility(11)
LIBOR+1.6% to 4.9%
April 2022 Mortgage loans or MBS 200  47  54  37  42 
$30 warehouse facility(6)(12)
LIBOR+3.3%
January 2022 Mortgage loans or MBS 30      —  — 
Warehouse facilities principal amount 7,375  7,735  5,330  5,447 
MSR Facilities
$400 warehouse facility(13)
LIBOR+3.0%
August 2022 MSR 400 35 685 247
$400 warehouse facility(7)
LIBOR+3.0%
September 2023 MSR 400 601 228
$260 warehouse facility(1)
LIBOR+3.5%
August 2023 MSR 260 260 940 260 668
$50 warehouse facility
LIBOR+3.3%
November 2022 MSR 50 10 69 10 74
MSR facilities principal amount 305 2,295 270 1,217
Advance, warehouse and MSR facilities principal amount 8,219  $ 10,714 6,269  $ 7,508 
Unamortized debt issuance costs (13) (11)
Advance and warehouse facilities, net $ 8,206 $ 6,258

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(1)Total capacity for this facility is $1,200, of which $940 is internally allocated for advance financing and $260 is internally allocated for MSR financing; capacity is fully fungible and is not restricted by these allocations, in comparison to $900, $640, and $260 respectively in 2020.
(2)The capacity amount for this advance facility decreased from $425 to $350 in 2021.
(3)The capacity amount for this advance facility decreased from $875 to $350 in 2021.
(4)The capacity amount for this warehouse facility increased from $2,000 to $4,000 in 2021.
(5)The capacity amount for this warehouse facility increased from $1,500 to $2,500 in 2021.
(6)The outstanding and collateral pledged amounts excluded balances related to reverse mortgage interests, which are included in liabilities of discontinued operations. Refer to Note 2, Discontinued Operations for further details on liabilities of discontinued operations.
(7)The capacity amount for this facility increased from $1,500 to $2,000, and its related sublimit for MSR financing has increased from $150 to $400 in 2021.
(8)The capacity amount for this warehouse facility decreased from $750 to $550 in 2021.
(9)The capacity amount for this warehouse facility decreased from $750 to $500 in 2021.
(10)This facility was subsequently terminated in October 2021.
(11)The capacity amount for this warehouse facility increased from $50 to $200 in 2021
(12)The capacity amount for this warehouse facility decreased from $40 to $30 in 2021.
(13)The capacity amount for this warehouse facility increased from $200 to $400 in 2021.

Unsecured Senior Notes
Unsecured senior notes consist of the following:
Unsecured Senior Notes September 30, 2021 December 31, 2020
$850 face value, 5.500% interest rate payable semi-annually, due August 2028
$ 850  $ 850 
$650 face value, 5.125% interest rate payable semi-annually, due December 2030
650  650 
$600 face value, 6.000% interest rate payable semi-annually, due January 2027
600  600 
Unsecured senior notes principal amount 2,100  2,100 
Unamortized debt issuance costs (24) (26)
Unsecured senior notes, net $ 2,076  $ 2,074 

The indentures provide that on or before certain fixed dates, the Company may redeem up to 40% of the aggregate principal amount of the unsecured senior notes with the net proceeds of certain equity offerings at fixed redemption prices, plus accrued and unpaid interest, to the redemption dates, subject to compliance with certain conditions. In addition, the Company may redeem all or a portion of the unsecured senior notes at any time on or after certain fixed dates at the applicable redemption prices set forth in the indentures plus accrued and unpaid interest, to the redemption dates. No notes were repurchased or redeemed during the nine months ended September 30, 2021. During the nine months ended September 30, 2020, the Company repaid $100 in principal of outstanding notes. Additionally, the Company redeemed $950 and $1,548 in principal of outstanding notes during the three and nine months ended September 30, 2020, resulting in a net loss of $53 and $52, respectively.

As of September 30, 2021, the expected maturities of the Company’s unsecured senior notes based on contractual maturities are as follows:
Year Ending December 31, Amount
2021 through 2025 $  
Thereafter 2,100 
Total unsecured senior notes principal amount $ 2,100 

Financial Covenants
The Company’s credit facilities contain various financial covenants which primarily relate to required tangible net worth amounts, liquidity reserves, leverage requirements, and profitability requirements, which are measured at the Company’s operating subsidiary, Nationstar Mortgage LLC. The Company was in compliance with its required financial covenants as of September 30, 2021.


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10. Securitizations and Financings

Variable Interest Entities
In the normal course of business, the Company enters into various types of on- and off-balance sheet transactions with special purpose entities (“SPEs”) determined to be 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 the Company transfers assets to an SPE, which then issues to investors various forms of debt obligations supported by those assets.

The Company has determined that the SPEs created in connection with certain advance facilities trusts should be consolidated as the Company is the primary beneficiary of each of these entities.

A summary of the assets and liabilities of the Company’s transactions with VIEs included in the Company’s condensed consolidated balance sheets is presented below:
September 30, 2021 December 31, 2020
Consolidated Transactions with VIEs Transfers
Accounted for as
Secured
Borrowings
Transfers
Accounted for as
Secured
Borrowings
Assets
Restricted cash $ 40  $ 47 
Advances and other receivables, net 370  441 
Total assets $ 410  $ 488 
Liabilities
Advance facilities, net(1)
$ 304  $ 358 
Payables and other liabilities  
Total liabilities $ 304  $ 359 

(1)Refer to advance facilities in Note 9, Indebtedness, for additional information.

The following table shows a summary of the outstanding collateral and certificate balances for securitization trusts for which the Company was the transferor, including any retained beneficial interests and MSRs, that were not consolidated by the Company:
Unconsolidated Securitization Trusts September 30, 2021 December 31, 2020
Total collateral balances - UPB $ 1,171  $ 1,326 
Total certificate balances $ 1,172  $ 1,329 

The Company has not retained any variable interests in the unconsolidated securitization trusts that were outstanding as of September 30, 2021 and December 31, 2020. Therefore, it does not have a significant maximum exposure to loss related to these unconsolidated VIEs.

A summary of mortgage loans transferred by the Company to unconsolidated securitization trusts that are 60 days or more past due are presented below:
Principal Amount of Transferred Loans 60 Days or More Past Due September 30, 2021 December 31, 2020
Unconsolidated securitization trusts $ 140  $ 154 


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11. Earnings Per Share

The Company computes earnings per share using the two-class method, which is an earnings allocation formula that determines earnings per share for common stock and any participating securities according to dividends declared (whether paid or unpaid) and participation rights in undistributed earnings. The Series A Preferred Stock is considered participating securities because it has dividend rights determined on an as-converted basis in the event of Company’s declaration of a dividend or distribution for common shares. On March 26, 2021, the Company repurchased 3,700 thousand shares of its common stock from affiliates of Kohlberg Kravis Roberts & Co. L.P., (“KKR”) a related party of the Company, for a total cost of $119. In August 2021, the Company repurchased 11,073 thousand shares of its common stock and 1,000 thousand shares of its preferred stock from affiliates of KKR for a total cost of $396. After giving effect to the transaction, KKR no longer held any equity interests in the Company.

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The following table sets forth the computation of basic and diluted net income (loss) per common share (amounts in millions, except per share amounts):
Three Months Ended September 30, Nine Months Ended September 30,
Computation of Earnings Per Share 2021 2020 2021 2020
Net income from continuing operations $ 310  $ 187  $ 1,296  $ 105 
Less: Net income attributable to non-controlling interests    
Less: Undistributed earnings from continuing operations attributable to participating stockholders 1  9 
Less: Premium on retirement of preferred stock 28    28   
Net income from continuing operations attributable to Mr. Cooper common stockholders $ 281  $ 180  $ 1,259  $ 102 
Net (loss) income from discontinued operations $ (11) $ 27  $ 3  $ 11 
Less: Undistributed earnings from discontinued operations attributable to participating stockholders   —    — 
Net (loss) income from discontinued operations attributable to Mr. Cooper common stockholders $ (11) $ 27  $ 3  $ 11 
Net income $ 299  $ 214  $ 1,299  $ 116 
Less: Net income attributable to non-controlling interests    
Net income attributable to Mr. Cooper 299  209  1,299  114 
Less: Undistributed earnings attributable to participating stockholders 1  9 
Less: Premium on retirement of preferred stock 28    28   
Net income attributable to common stockholders $ 270  $ 207  $ 1,262  $ 113 
Earnings from continuing operations per common share attributable to Mr. Cooper:
Basic $ 3.56  $ 1.98  $ 14.85  $ 1.12 
Diluted $ 3.42  $ 1.91  $ 14.20  $ 1.09 
Earnings from discontinued operations per common share attributable to Mr. Cooper:
Basic $ (0.14) $ 0.28  $ 0.04  $ 0.11 
Diluted $ (0.13) $ 0.27  $ 0.03  $ 0.11 
Earnings per common share attributable to Mr. Cooper:
Basic $ 3.42  $ 2.26