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MSR Transfers Not Qualifying for Sale Accounting (Tables) | 12 Months Ended
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Dec. 31, 2022
Transfers and Servicing [Abstract] |
Schedule of Interest Expense Related to Financial Liability | The following tables presents financing liabilities carried at fair value which include pledged MSR liabilities recorded in connection with MSR transfers that do not qualify for sale accounting, liabilities of consolidated mortgage-backed securitization trusts and MSR excess servicing spread (ESS) financing liability carried at fair value (see Note 13 — Borrowings for ESS financing liability carried at amortized cost).
|  |  |  |  |  |  | Outstanding Balance at December 31,
Borrowing Type | Collateral |  |  |  | Maturity |  | 2022 |  | 2021
MSR transfers not qualifying for sale accounting (1): |  |  |  |  |  |  |  |  |
Original Rights to MSRs Agreements, at fair value - Rithm | MSRs |  |  |  | (1) |  | $ | 601.2 |  |  | $ | 558.9 |
Pledged MSR liability, at fair value - MAV | MSRs |  |  |  | (1) |  | 329.8 |  |  | 238.1 |
Pledged MSR liability, at fair value - Others | MSRs |  |  |  | (1) |  | 0.7 |  |  | — |
|  |  |  |  |  |  | 931.7 |  |  | 797.1 |
Financing liability - Owed to securitization investors, at fair value: Residential Asset Securitization Trust 2003-A11 (RAST 2003-A11) (2) | Loans held for investment |  |  |  | October 2033 |  | 6.7 |  |  | 7.9 |
ESS financing liability, at fair value (3) | MSRs (3) |  |  |  | (3) |  | 199.0 |  |  | — |
Total Other financing liabilities, at fair value |  |  |  |  |  |  | $ | 1,137.4 |  |  | $ | 805.0 |
(1)MSRs transferred or sold in transactions which do not qualify for sale accounting treatment are accounted for as secured financings. Until such time as the transaction qualifies as a sale for accounting purposes, we continue to recognize the MSRs and the related financing liability (referred as Pledged MSR liability) on our consolidated balance sheets, as well as the full amount of servicing fee collected as revenue and the servicing fee remitted as Pledged MSR liability expense in our consolidated statements of operations. Fair value gains and losses of the Pledged MSR liability are recognized in MSR valuation adjustments, net in the consolidated statements of operations - See Note 7 — Mortgage Servicing. (2)Consists of securitization debt certificates due to third parties that represent beneficial interests in trusts that are consolidated. (3)Consists of the obligation to remit to a third party a specified percentage of future servicing fee collections (servicing spread) on reference pools of MSRs, which we are entitled to as owner of the related MSRs. The servicing spread remittance is reported in Pledged MSR liability expense and fair value gains and losses of the ESS financing liability are reported in MSR valuation adjustment, net. The following tables present the activity of the pledged MSR liability recorded in connection with the MSR transfer agreements with MAV, Rithm and others that do not qualify for sale accounting.
| Year Ended December 31, 2022
Pledged MSR Liability | Rithm and Others |  | MAV (1) |  | Total
Beginning balance | $ | 558.9 |  |  | $ | 238.1 |  |  | $ | 797.1 |
Additions | 0.6 |  |  | 85.6 |  |  | 86.3 |
Changes in fair value due to input and assumptions | 113.8 |  |  | 78.3 |  |  | 192.1 |
Runoff and settlement | (70.9) |  |  | (33.2) |  |  | (104.1) |
Fair value (gain) loss (4) | 43.0 |  |  | 45.1 |  |  | 88.0 |
Derecognition of financing liability (2) | — |  |  | (39.0) |  |  | (39.0) |
Calls (3) | (0.7) |  |  | — |  |  | (0.7) |
Ending balance | $ | 601.9 |  |  | $ | 329.8 |  |  | $ | 931.7 |
| Year Ended December 31, 2021
Pledged MSR Liability | Rithm Original Rights to MSRs Agreements |  | MAV (1) |  |  |  | Total
Beginning balance | $ | 567.0 |  |  | $ | — |  |  |  |  | $ | 567.0 |
Additions | — |  |  | 250.0 |  |  |  |  | 250.0 |
Changes in fair value due to inputs and assumptions | 82.3 |  |  | (4.3) |  |  |  |  | 77.9 |
Runoff and settlement | (81.8) |  |  | (7.5) |  |  |  |  | (89.4) |
Fair value (gain) loss | 0.5 |  |  | (11.9) |  |  |  |  | (11.4) |
Calls (3) | (8.5) |  |  | — |  |  |  |  | (8.5) |
Ending balance | $ | 558.9 |  |  | $ | 238.1 |  |  |  |  | $ | 797.1 |
| Year Ended December 31, 2020
| Rithm
Pledged MSR Liability | Original Rights to MSRs Agreements |  | 2017 Agreements and New RMSR Agreements |  | PMC MSR Agreements |  | Total
Beginning balance | $ | 603.0 |  |  | $ | 35.4 |  |  | $ | 312.1 |  |  | $ | 950.6 |
Sales | — |  |  | — |  |  | (0.2) |  |  | (0.2) |
Changes in fair value due to inputs and assumptions | 36.1 |  |  | 0.9 |  |  | (40.7) |  |  | (3.8) |
Runoff and settlement | (70.4) |  |  | (35.1) |  |  | (7.5) |  |  | (113.0) |
Fair value (gain) loss | (34.3) |  |  | (34.2) |  |  | (48.2) |  |  | (116.8) |
Derecognition of financing liability due to termination of PMC Agreement (5) | — |  |  | — |  |  | (263.7) |  |  | (263.7) |
Calls (3) | (1.8) |  |  | (1.2) |  |  | — |  |  | (3.0) |
Ending balance | $ | 567.0 |  |  | $ | — |  |  | $ | — |  |  | $ | 567.0 |
(1)The fair value of the Pledged MSR liability differs from the fair value of the associated transferred MSR asset mostly due to the portion of ancillary income that is retained by PMC (shared between PMC and MAV) and other contractual cash flows under the terms of the subservicing agreement. (2)Derecognition of a portion of the MAV Pledged MSR liability upon sale of the related MSRs by MAV to a third party with a UPB of $2.9 billion. (3)Represents the carrying value of MSRs in connection with call rights exercised by Rithm, for MSRs transferred to Rithm under the 2017 Agreements and New RMSR Agreements, or by Ocwen at Rithm’s direction, for MSRs underlying the Original Rights to MSRs Agreements (as defined below). Ocwen derecognizes the MSRs and the related financing liability upon collapse of the securitization. (4)The changes in fair value of the MAV Pledged MSR Liability include a $14.1 million loss associated with the amendment to the MAV Subservicing Agreement in March 2022, resulting in lower contractually ancillary income retained by PMC. See Note 11 — Investment in Equity Method Investee and Related Party Transactions. (5)On February 20, 2020, we received a notice of termination from Rithm with respect to a portfolio (referred as the PMC MSR Agreements). The MSRs and the Rights to MSRs associated with these loans, representing $34.2 billion of UPB, were derecognized from our balance sheet without any gain or loss on derecognition. The following tables present the Pledged MSR liability expense recorded in connection with the MSR sale agreements with MAV, Rithm and others that do not qualify for sale accounting and the ESS financing liabilities.
| Year Ended December 31, 2022
| Rithm and Others |  | MAV |  | Total
Servicing fees collected on behalf of third party | $ | 255.0 |  |  | $ | 67.5 |  |  | $ | 322.5 |
Less: Subservicing fee retained | (74.0) |  |  | (8.8) |  |  | (82.8) |
Ancillary fee/income and other settlement (incl. expense reimbursement) | 5.7 |  |  | 0.4 |  |  | 6.1 |
Transferred MSR net servicing fee remittance | $ | 186.7 |  |  | $ | 59.1 |  |  | 245.9 |
ESS servicing spread remittance |  |  |  |  | 9.1 |
Pledged MSR liability expense |  |  |  |  | $ | 255.0 |
| Year Ended December 31, 2021 |  | Year Ended December 31, 2020 (Rithm only)
| Rithm |  | MAV |  | Total |
Servicing fees collected on behalf of third party | $ | 304.2 |  |  | 14.2 |  |  | $ | 318.4 |  |  | $ | 383.7 |
Less: Subservicing fee retained | (88.4) |  |  | (2.0) |  |  | (90.4) |  |  | (104.8) |
Ancillary and other settlement (1) | (11.1) |  |  | 4.4 |  |  | (6.7) |  |  | (9.7) |
Pledged MSR liability expense | $ | 204.7 |  |  | $ | 16.6 |  |  | $ | 221.3 |  |  | $ | 269.1 |
(1)Includes $4.0 million of early payment protection associated with the sale of MSR portfolios by PMC to MAV.

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