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Mortgage Servicing (Tables)

6 Months Ended

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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