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v3.23.2

Mortgage Servicing (Tables) | 6 Months Ended
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Jun. 30, 2023
Transfers and Servicing [Abstract] |
Schedule of Activity Related to MSRs - Fair Value Measurement Method |
MSRs – At Fair Value | Three Months Ended June 30,
2023 |  | 2022
| Agency |  | Non-Agency |  | Total |  | Agency |  | Non-Agency |  | Total
Beginning balance | $ | 1,896.4 |  |  | $ | 684.2 |  |  | $ | 2,580.6 |  |  | $ | 1,664.9 |  |  | $ | 658.4 |  |  | $ | 2,323.3 |
Sales | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Additions: |  |  |  |  |  |  |  |  |  |  |
Recognized on the sale of residential mortgage loans | 31.5 |  |  | — |  |  | 31.5 |  |  | 60.2 |  |  | — |  |  | 60.2 |
Purchases | 19.1 |  |  | — |  |  | 19.1 |  |  | 36.9 |  |  | — |  |  | 36.9 |
Servicing transfers and adjustments (1) | (32.5) |  |  | — |  |  | (32.5) |  |  | 11.8 |  |  | 2.9 |  |  | 14.7 |
Net additions (sales) | 18.1 |  |  | — |  |  | 18.1 |  |  | 108.8 |  |  | 2.9 |  |  | 111.7 |
Changes in fair value recognized in earnings: |  |  |  |  |  |  |  |  |  |  |
Changes in valuation inputs or assumptions | 103.5 |  |  | 33.3 |  |  | 136.8 |  |  | 86.0 |  |  | 32.3 |  |  | 118.3 |
Realization of expected cash flows | (50.6) |  |  | (9.1) |  |  | (59.7) |  |  | (43.0) |  |  | (24.6) |  |  | (67.6) |
Fair value gains (losses) recognized in earnings | 52.9 |  |  | 24.2 |  |  | 77.1 |  |  | 43.0 |  |  | 7.7 |  |  | 50.7 |
Ending balance | $ | 1,967.4 |  |  | $ | 708.4 |  |  | $ | 2,675.7 |  |  | $ | 1,816.6 |  |  | $ | 669.1 |  |  | $ | 2,485.7 |
MSRs – At Fair Value | Six Months Ended June 30,
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) |  |  | — |  |  | (149.4) |
Additions: |  |  |  |  |  |  |  |  |  |  |
Recognized on the sale of residential mortgage loans | 62.6 |  |  | — |  |  | 62.6 |  |  | 106.0 |  |  | — |  |  | 106.0 |
Purchases | 44.0 |  |  | — |  |  | 44.0 |  |  | 83.7 |  |  | — |  |  | 83.7 |
Servicing transfers and adjustments (1) | (32.5) |  |  | — |  |  | (32.5) |  |  | 14.7 |  |  | (0.8) |  |  | 13.9 |
Net additions (sales) | 74.1 |  |  | — |  |  | 74.1 |  |  | 55.1 |  |  | (0.8) |  |  | 54.2 |
Changes in fair value recognized in earnings: |  |  |  |  |  |  |  |  |  |  |
Changes in valuation inputs or assumptions | 61.4 |  |  | (8.2) |  |  | 53.2 |  |  | 280.4 |  |  | 41.3 |  |  | 321.8 |
Realization of expected cash flows | (99.9) |  |  | (16.9) |  |  | (116.8) |  |  | (90.7) |  |  | (49.7) |  |  | (140.4) |
Fair value gains (losses) recognized in earnings | (38.5) |  |  | (25.1) |  |  | (63.6) |  |  | 189.7 |  |  | (8.4) |  |  | 181.4 |
Ending balance | $ | 1,967.4 |  |  | $ | 708.4 |  |  | $ | 2,675.7 |  |  | $ | 1,816.6 |  |  | $ | 669.1 |  |  | $ | 2,485.7 |
(1)Servicing transfers and adjustments for the three months ended June 30, 2023 include a $32.5 million derecognition of Agency MSRs previously sold to MAV in a transaction which did not qualify for sale accounting treatment. We derecognized the MSRs with a UPB of $2.3 billion from our balance sheet together with the associated Pledged MSR liability upon the sale of the MSRs by MAV to a third party.
Financing Receivable, Past Due | The following table summarizes delinquency status of the loans underlying our MSRs:
| June 30, 2023 |  | December 31, 2022
Delinquent loans | Agency |  | Non - Agency |  | Total |  | Agency |  | Non - Agency |  | Total
30 days | 1.6 | % |  | 8.4 | % |  | 4.6 | % |  | 1.7 | % |  | 8.5 | % |  | 4.8 | %
60 days | 0.5 |  |  | 3.4 |  |  | 1.7 |  |  | 0.5 |  |  | 3.3 |  |  | 1.8 |
90 days or more | 1.0 |  |  | 8.2 |  |  | 4.2 |  |  | 1.1 |  |  | 8.6 |  |  | 4.5 |
Total 30-60-90 days or more | 3.1 | % |  | 20.0 | % |  | 10.5 | % |  | 3.3 | % |  | 20.4 | % |  | 11.1 | %
Schedule of Composition of Servicing UPB |
| June 30, 2023 |  | December 31, 2022 |  | June 30, 2022
| Fair Value | UPB ($ billions) |  | Fair Value | UPB ($ billions) |  | Fair Value | UPB ($ billions)
Owned MSRs | $ | 1,643.7 |  | $ | 121.1 |  |  | $ | 1,710.6 |  | $ | 126.2 |  |  | $ | 1,552.6 |  | $ | 116.3 |
Rithm and others transferred MSRs (1) (2) | 702.0 |  | $ | 53.4 |  |  | 601.2 |  | $ | 47.3 |  |  | 550.8 |  | $ | 49.7 |
MAV transferred MSRs (1) | 330.0 |  | $ | 22.9 |  |  | 353.4 |  | $ | 26.1 |  |  | 382.2 |  | $ | 28.5 |
Total MSRs | $ | 2,675.7 |  | $ | 197.4 |  |  | $ | 2,665.2 |  | $ | 199.6 |  |  | $ | 2,485.7 |  | $ | 194.5 |
(1)MSRs subject to sale agreements that do not meet sale accounting criteria. See Note 8 — Other Financing Liabilities, at Fair Value. (2)At June 30, 2023, the UPB of MSRs transferred to Rithm for which title is retained by Ocwen was $10.3 billion.
Schedule of Components of Servicing and Subservicing Fees |
| Three Months Ended June 30, |  | Six Months Ended June 30,
2023 |  | 2022 |  | 2023 |  | 2022
Loan servicing and subservicing fees |  |  |  |  |  |  |
Servicing | $ | 89.4 |  |  | $ | 80.9 |  |  | $ | 179.3 |  |  | $ | 169.4 |
Subservicing | 18.4 |  |  | 20.4 |  |  | 38.0 |  |  | 35.0 |
MAV (1) | 17.4 |  |  | 18.8 |  |  | 35.7 |  |  | 35.5 |
Rithm and others (1) | 59.2 |  |  | 64.7 |  |  | 118.8 |  |  | 131.9 |
| 184.4 |  |  | 184.8 |  |  | 371.8 |  |  | 371.8 |
Ancillary income |  |  |  |  |  |  |
Custodial accounts (float earnings) | 26.2 |  |  | 1.8 |  |  | 46.4 |  |  | 2.8 |
Late charges | 9.5 |  |  | 11.7 |  |  | 19.0 |  |  | 21.8 |
Reverse subservicing ancillary fees | 9.8 |  |  | 6.3 |  |  | 18.0 |  |  | 9.4 |
Loan collection fees | 2.3 |  |  | 2.9 |  |  | 4.9 |  |  | 5.8 |
Recording fees | 1.3 |  |  | 2.6 |  |  | 2.5 |  |  | 5.9 |
Boarding and deboarding fees | 0.9 |  |  | 1.9 |  |  | 1.8 |  |  | 3.6 |
GSE forbearance fees | 0.3 |  |  | 0.2 |  |  | 0.5 |  |  | 0.4 |
Other, net | 2.9 |  |  | 3.0 |  |  | 4.8 |  |  | 6.3 |
| 53.2 |  |  | 30.3 |  |  | 97.9 |  |  | 56.0 |
Total Servicing and subservicing fees | $ | 237.6 |  |  | $ | 215.1 |  |  | $ | 469.7 |  |  | $ | 427.8 |
(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 June 30, |  | Six Months Ended June 30,
2023 |  | 2022 |  | 2023 |  | 2022
MSR fair value changes due to rates and assumptions | $ | 136.8 |  |  | $ | 118.3 |  |  | $ | 53.2 |  |  | $ | 321.8 |
MSR realization of expected cash flows | (59.6) |  |  | (67.6) |  |  | (116.6) |  |  | (140.4) |
Total MSR fair value gains (losses) (1) | 77.2 |  |  | 50.7 |  |  | (63.3) |  |  | 181.4 |
Pledged MSR liability fair value changes due to rates and assumptions | (81.0) |  |  | (40.4) |  |  | (42.8) |  |  | (97.2) |
Pledged MSR liability realization of expected cash flows | 15.6 |  |  | 28.8 |  |  | 30.1 |  |  | 57.0 |
Total Pledged MSR liability fair value gains (losses) (2) | (65.4) |  |  | (11.7) |  |  | (12.7) |  |  | (40.2) |
ESS financing liability fair value changes due to rates and assumptions | (3.6) |  |  | — |  |  | (5.6) |  |  | — |
ESS financing liability realization of expected cash flows | 8.1 |  |  | — |  |  | 14.9 |  |  | — |
Total ESS financing liability fair value gains (losses) (2) | 4.6 |  |  | — |  |  | 9.3 |  |  | — |
Derivative fair value gain (loss) (MSR economic hedges) | (65.2) |  |  | (16.9) |  |  | (51.1) |  |  | (83.7) |
MSR valuation adjustments, net | $ | (48.9) |  |  | $ | 22.1 |  |  | $ | (117.9) |  |  | $ | 57.5 |
(1)Includes $0.1 million and $0.3 million for the three and six months ended June 30, 2023, respectively, and $0 and $0 during the three and six months ended June 30, 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 for additional information related to the ESS financing liability and Pledged MSR liability, including a tabular presentation of activity of the Pledged MSR liability for the reported periods.

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