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Mortgage Servicing (Tables)

3 Months Ended

Mar. 31, 2023

Transfers and Servicing [Abstract]

Schedule of Activity Related to MSRs - Fair Value Measurement Method

MSRs – At Fair Value			Three Months Ended March 31,
			2023																		2022
			Agency						Non-Agency						Total						Agency						Non-Agency						Total
Beginning balance			$	1,931.8					$	733.5					$	2,665.2					$	1,571.8					$	678.3					$	2,250.1
Sales			—						—						—						(149.3)						—						(149.3)
Additions:
Recognized on the sale of residential mortgage loans			31.1						—						31.1						45.8						—						45.8
Purchases			25.0						—						25.0						46.8						—						46.8
Servicing transfers and adjustments			—						—						—						—						(0.8)						(0.8)
Net additions (sales)			56.1						—						56.1						(56.7)						(0.8)						(57.5)
Changes in fair value recognized in earnings:
Changes in valuation inputs or assumptions			(42.1)						(41.5)						(83.6)						194.5						9.0						203.5
Realization of expected cash flows			(49.3)						(7.8)						(57.1)						(47.7)						(25.2)						(72.8)
Fair value gains (losses) recognized in earnings			(91.4)						(49.3)						(140.7)						146.8						(16.2)						130.7
Ending balance			$	1,896.5					$	684.2					$	2,580.6					$	1,661.9					$	661.3					$	2,323.3

Financing Receivable, Past Due

The following table summarizes delinquency status of the loans underlying our MSRs:

			March 31, 2023																		December 31, 2022
Delinquent loans			Agency						Non - Agency						Total						Agency						Non - Agency						Total
30 days			1.4		%				7.5		%				4.1		%				1.7		%				8.5		%				4.8		%
60 days			0.4						3.0						1.6						0.5						3.3						1.8
90 days or more			1.0						8.4						4.3						1.1						8.6						4.5
Total 30-60-90 days or more			2.8		%				18.9		%				10.0		%				3.3		%				20.4		%				11.1		%

Schedule of Composition of Servicing UPB

			March 31, 2023									December 31, 2022									March 31, 2022
			Fair Value			UPB ($ billions)						Fair Value			UPB ($ billions)						Fair Value			UPB ($ billions)
Owned MSRs			$	1,673.1		$	127.6					$	1,710.6		$	126.2					$	1,435.2		$	115.7
Rithm and others transferred MSRs (1) (2)			565.7			$	46.7					601.2			$	47.3					545.3			$	51.5
MAV transferred MSRs (1)			341.9			$	25.7					353.4			$	26.1					342.8			$	26.8
Total MSRs			$	2,580.6		$	200.0					$	2,665.2		$	199.6					$	2,323.3		$	194.0

(1)MSRs subject to sale agreements that do not meet sale accounting criteria. See Note 8 — Other Financing Liabilities, at Fair Value.

(2)At March 31, 2023, the UPB of MSRs transferred to Rithm for which title is retained by Ocwen was $10.6 billion.

Schedule of Components of Servicing and Subservicing Fees

			Three Months Ended March 31,
			2023						2022
Loan servicing and subservicing fees
Servicing			$	90.0					$	88.5
Subservicing			19.7						14.7
MAV (1)			18.2						16.6
Rithm and others (1)			59.6						67.1
			187.5						187.0
Ancillary income
Custodial accounts (float earnings)			20.2						1.0
Late charges			9.6						10.0
Reverse subservicing ancillary fees			8.1						3.1
Loan collection fees			2.6						2.9
Recording fees			1.2						3.3
Boarding and deboarding fees			0.9						1.8
GSE forbearance fees			0.2						0.2
Other, net			2.0						3.4
			44.7						25.6
Total Servicing and subservicing fees			$	232.2					$	212.6

(1)Includes servicing fees related to transferred MSRs and subservicing fees. See Note 8 — Other Financing Liabilities, at Fair Value.

Fair Value Measurement Inputs and Valuation Techniques

The following table presents the components of MSR valuation adjustments, net:

			Three Months Ended March 31,
			2023						2022
MSR fair value changes due to rates and assumptions (1)			$	(83.6)					$	203.5
MSR realization of expected cash flows (1)			(57.0)						(72.8)
Total MSR fair value gains (losses)			(140.6)						130.7
MSR pledged liability fair value changes due to rates and assumptions			38.3						(56.8)
MSR pledged liability realization of expected cash flows			14.5						28.3
Total MSR pledged liability fair value gains (losses) (2)			52.8						(28.5)
ESS financing liability fair value changes due to rates and assumptions			(2.1)						—
ESS financing liability realization of expected cash flows			6.8						—
Total ESS financing liability fair value gains (losses) (2)			4.7						—
Derivative fair value gain (loss) (MSR economic hedges)			14.1						(66.8)
MSR valuation adjustments, net			$	(69.0)					$	35.4

(1)Includes $0.1 million and $0 in three months ended March 31, 2023 and 2022, respectively, of fair value changes on the reverse MSR liability and other.

(2)Also refer to Note 8 — Other Financing Liabilities, at Fair Value.

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