MSR Transfers Not Qualifying for Sale Accounting (Tables)

6 Months Ended

Jun. 30, 2023

Schedule of Activity Related to Financing Liability - MSRs Pledged

The following tables present the activity of the pledged MSR liability recorded in connection with the MSR transfer agreements with Rithm and MAV that do not qualify for sale accounting.


	Three Months Ended June 30,
	2023						2022
Pledged MSR Liability	Rithm and Others		MAV (1)		Total		Rithm and Others		MAV (1)		Total
Beginning Balance	$	564.5	$	318.7	$	883.3	$	545.3	$	319.0	$	864.3

MSR transfers	93.3		0.1		93.4		—		30.3		30.3
Derecognition of financing liability (2)	—		(32.5)		(32.5)		—		—		—

Fair value gain (loss)
Changes in fair value due to inputs and assumptions	39.3		41.8		81.0		24.7		15.7		40.4


Realization of expected cash flows	(7.2)		(8.4)		(15.6)		(19.2)		(9.5)		(28.8)
Total fair value (gain) loss	32.1		33.4		65.4		5.5		6.2		11.7
Ending Balance	$	689.9	$	319.7	$	1,009.5	$	550.8	$	355.5	$	906.3


	Six Months Ended June 30,
	2023						2022
Pledged MSR Liability	Rithm and Others		MAV Agreements (1)		Total		Original Rights to MSRs Agreements - Rithm		MAV Agreements (1)		Total
Beginning Balance	$	601.9	$	329.8	$	931.7	$	558.9	$	238.1	$	797.1

MSR transfers	97.6		0.2		97.8		—		69.6		69.6
Derecognition of financing liability (2)	—		(32.5)		(32.5)		—		—		—
Calls	—		—		—		(0.6)		—		(0.6)
Fair value gain (loss)
Changes in fair value due to inputs and assumptions	3.5		39.2		42.7		31.5		65.6		97.2
Realization of expected cash flows	(13.1)		(17.0)		(30.1)		(39.1)		(17.9)		(57.0)
Total fair value (gain) loss (3)	(9.6)		22.2		12.6		(7.6)		47.7		40.2
Ending Balance	$	689.9	$	319.7	$	1,009.5	$	550.8	$	355.5	$	906.3

(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 contractually retained by PMC (shared between PMC and MAV) and other contractual cash flows during the expected life of the subservicing agreement.

(2)During the three months ended June 30, 2023, we derecognized a portion of the MAV Pledged MSR liability upon sale of the related MSRs by MAV to a third party with a UPB of $2.3 billion.

(3)The changes in fair value of the MAV Pledged MSR liability includes a $14.1 million loss associated with the amendment to the MAV Subservicing Agreement in March 2022, resulting in lower contractual ancillary income retained by PMC.

Schedule of Assets, Liabilities Related to MSR Transfer Agreements

Schedule of Results of Operations in Connection With MSR Transfer Agreements that Do Not Qualify for Sale Accounting


	Three Months Ended June 30, 2023						Three Months Ended June 30, 2022
	Rithm and Others		MAV		Total		Rithm and Others		MAV		Total
Servicing fees collected on behalf of Rithm, MAV and others	$	59.2	$	15.5	$	74.7	$	64.7	$	17.5	$	82.2
Less: Subservicing fee retained by Ocwen	(16.9)		(2.1)		(19.1)		(18.8)		(2.3)		(21.0)
Ancillary fee/income and other settlement (including expense reimbursement)	3.6		(0.2)		3.5		1.8		—		1.8
Transferred MSR net servicing fee remittance	$	45.9	$	13.2	59.1		$	47.7	$	15.2	63.0
ESS servicing spread remittance					13.9						—
Pledged MSR liability expense					$	73.0					$	63.0


	Six Months Ended June 30, 2023						Six Months Ended June 30, 2022
	Rithm and Others		MAV		Total		Rithm and Others		MAV		Total
Servicing fees collected on behalf of Rithm, MAV and others	$	118.8	$	31.9	$	150.7	$	131.9	$	33.2	$	165.1
Less: Subservicing fee retained by Ocwen	(34.2)		(4.4)		(38.6)		(38.1)		(4.4)		(42.5)
Ancillary fee/income and other settlement (including expense reimbursement)	6.9		(0.2)		6.7		(0.5)		0.6		0.1
Transferred MSR net servicing fee remittance	$	91.5	$	27.3	118.8		$	93.2	$	29.5	122.7
ESS servicing spread remittance					24.5						—
Pledged MSR liability expense					$	143.3					$	122.7