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Mortgage Servicing | 9 Months Ended
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Sep. 30, 2023
Transfers and Servicing [Abstract] |
Mortgage Servicing |
Note 7 – Mortgage Servicing
MSRs – At Fair Value | Three Months Ended September 30,
2023 |  | 2022
| Agency |  | Non-Agency |  | Total |  | Agency |  | Non-Agency |  | Total
Beginning balance | $ | 1,967.4 |  |  | $ | 708.4 |  |  | $ | 2,675.7 |  |  | $ | 1,816.6 |  |  | $ | 669.1 |  |  | $ | 2,485.7 |
Sales | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Additions: |  |  |  |  |  |  |  |  |  |  |
Recognized on the sale of residential mortgage loans | 71.4 |  |  | — |  |  | 71.4 |  |  | 70.2 |  |  | — |  |  | 70.2 |
Purchases | 35.7 |  |  | — |  |  | 35.7 |  |  | 75.5 |  |  | — |  |  | 75.5 |
Servicing transfers and adjustments (1) | — |  |  | — |  |  | — |  |  | (39.1) |  |  | (0.1) |  |  | (39.1) |
Net additions (sales) | 107.1 |  |  | — |  |  | 107.1 |  |  | 106.6 |  |  | (0.1) |  |  | 106.6 |
Changes in fair value recognized in earnings: |  |  |  |  |  |  |  |  |  |  |
Changes in valuation inputs or assumptions | 127.9 |  |  | 9.9 |  |  | 137.7 |  |  | 99.1 |  |  | 91.5 |  |  | 190.6 |
Realization of expected cash flows | (52.4) |  |  | (8.3) |  |  | (60.7) |  |  | (46.9) |  |  | (21.8) |  |  | (68.7) |
Fair value gains (losses) recognized in earnings | 75.4 |  |  | 1.6 |  |  | 77.0 |  |  | 52.2 |  |  | 69.8 |  |  | 121.9 |
Ending balance | $ | 2,149.9 |  |  | $ | 709.9 |  |  | $ | 2,859.8 |  |  | $ | 1,975.4 |  |  | $ | 738.8 |  |  | $ | 2,714.2 |
MSRs – At Fair Value | Nine Months Ended September 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 | 0.1 |  |  | — |  |  | — |  |  | (149.3) |  |  | — |  |  | (149.4) |
Additions: |  |  |  |  |  |  |  |  |  |  |
Recognized on the sale of residential mortgage loans | 134.0 |  |  | — |  |  | 134.0 |  |  | 176.2 |  |  | — |  |  | 176.2 |
Purchases | 79.8 |  |  | — |  |  | 79.8 |  |  | 159.1 |  |  | — |  |  | 159.1 |
Servicing transfers and adjustments (1) | (32.6) |  |  | — |  |  | (32.6) |  |  | (24.3) |  |  | (0.9) |  |  | (25.2) |
Net additions (sales) | 181.2 |  |  | — |  |  | 181.2 |  |  | 161.7 |  |  | (0.9) |  |  | 160.7 |
Changes in fair value recognized in earnings: |  |  |  |  |  |  |  |  |  |  |
Changes in valuation inputs or assumptions | 189.2 |  |  | 1.7 |  |  | 190.9 |  |  | 379.5 |  |  | 132.9 |  |  | 512.4 |
Realization of expected cash flows | (152.3) |  |  | (25.2) |  |  | (177.5) |  |  | (137.6) |  |  | (71.5) |  |  | (209.1) |
Fair value gains (losses) recognized in earnings | 36.9 |  |  | (23.5) |  |  | 13.4 |  |  | 241.9 |  |  | 61.4 |  |  | 303.4 |
Ending balance | $ | 2,149.9 |  |  | $ | 709.9 |  |  | $ | 2,859.8 |  |  | $ | 1,975.4 |  |  | $ | 738.8 |  |  | $ | 2,714.2 |
(1)During the nine months ended September 30, 2023 and 2022, we derecognized $32.5 million and $39.0 million, respectively, of Agency MSRs previously sold to MAV in transactions which did not qualify for sale accounting treatment. We derecognized the MSRs with a UPB of $2.3 billion and $2.9 billion, respectively, from our balance sheet together with the associated Pledged MSR liability upon the sale of the MSRs by MAV to a third party. See Note 8 — Other Financing Liabilities, at Fair Value for further information. The following table summarizes delinquency status of the loans underlying our MSRs:
| September 30, 2023 |  | December 31, 2022
Delinquent loans | Agency |  | Non - Agency |  | Total |  | Agency |  | Non - Agency |  | Total
Total UPB (in billions) | $ | 143.1 |  |  | $ | 57.9 |  |  | $ | 201.1 |  |  | $ | 137.6 |  |  | $ | 62.0 |  |  | $ | 199.6 |
30 days | 1.9 | % |  | 9.7 | % |  | 5.2 | % |  | 1.7 | % |  | 8.5 | % |  | 4.8 | %
60 days | 0.5 |  |  | 3.9 |  |  | 1.9 |  |  | 0.5 |  |  | 3.3 |  |  | 1.8 |
90 days or more | 1.0 |  |  | 8.5 |  |  | 4.2 |  |  | 1.1 |  |  | 8.6 |  |  | 4.5 |
Total 30-60-90 days or more | 3.4 | % |  | 22.0 | % |  | 11.4 | % |  | 3.3 | % |  | 20.4 | % |  | 11.1 | %
MSR UPB and Fair Value
| September 30, 2023 |  | December 31, 2022 |  | September 30, 2022
| Fair Value | UPB ($ billions) |  | Fair Value | UPB ($ billions) |  | Fair Value | UPB ($ billions)
Owned MSRs | $ | 1,717.6 |  | $ | 119.4 |  |  | $ | 1,710.6 |  | $ | 126.2 |  |  | $ | 1,743.0 |  | $ | 123.4 |
Rithm and others transferred MSRs (1) (2) | 709.1 |  | $ | 52.4 |  |  | 601.2 |  | $ | 47.3 |  |  | 604.7 |  | $ | 48.4 |
MAV transferred MSRs (1) | 433.1 |  | $ | 29.2 |  |  | 353.4 |  | $ | 26.1 |  |  | 366.6 |  | $ | 26.2 |
Total MSRs | $ | 2,859.8 |  | $ | 201.1 |  |  | $ | 2,665.2 |  | $ | 199.6 |  |  | $ | 2,714.2 |  | $ | 198.0 |
(1)MSRs subject to sale agreements that do not meet sale accounting criteria. See Note 8 — Other Financing Liabilities, at Fair Value. (2)At September 30, 2023, the UPB of MSRs transferred to Rithm for which title is retained by Ocwen was $10.1 billion. We purchased MSRs with a UPB of $6.9 billion and $13.7 billion from unrelated third-parties during the nine months ended September 30, 2023 and 2022, respectively. We sold MSRs, servicing released, with a UPB of $40.7 million and $11.1 billion during the nine months ended September 30, 2023 and 2022, respectively, to unrelated third parties. Servicing Revenue
| Three Months Ended September 30, |  | Nine Months Ended September 30,
2023 |  | 2022 |  | 2023 |  | 2022
Loan servicing and subservicing fees |  |  |  |  |  |  |
Servicing | 87.7 |  |  | 83.3 |  |  | 267.2 |  |  | 252.8 |
Subservicing | 17.4 |  |  | 18.9 |  |  | 55.4 |  |  | 53.9 |
MAV Subservicing | 2.0 |  |  | 1.4 |  |  | 5.8 |  |  | 3.7 |
MAV Servicing (1) | 17.2 |  |  | 17.8 |  |  | 49.1 |  |  | 51.0 |
Rithm (1) | 56.4 |  |  | 63.4 |  |  | 175.1 |  |  | 195.2 |
| 180.7 |  |  | 184.8 |  |  | 552.6 |  |  | 556.6 |
Ancillary income |  |  |  |  |  |  |
Custodial accounts (float earnings) | 31.5 |  |  | 7.5 |  |  | 77.9 |  |  | 10.3 |
Late charges | 9.8 |  |  | 10.6 |  |  | 28.8 |  |  | 32.3 |
Reverse subservicing ancillary fees | 8.1 |  |  | 4.9 |  |  | 26.1 |  |  | 14.3 |
Loan collection fees | 2.3 |  |  | 2.6 |  |  | 7.2 |  |  | 8.5 |
Recording fees | 1.3 |  |  | 1.8 |  |  | 3.8 |  |  | 7.7 |
Boarding and deboarding fees | 1.4 |  |  | 0.8 |  |  | 3.2 |  |  | 4.4 |
GSE forbearance fees | 0.2 |  |  | 0.2 |  |  | 0.7 |  |  | 0.6 |
Other, net | 2.4 |  |  | 2.3 |  |  | 7.2 |  |  | 8.6 |
| 57.1 |  |  | 30.7 |  |  | 155.0 |  |  | 86.7 |
Total Servicing and subservicing fees | $ | 237.8 |  |  | $ | 215.6 |  |  | $ | 707.5 |  |  | $ | 643.3 |
(1)Includes servicing fees related to transferred MSRs that do not achieve sale accounting. See Note 8 — Other Financing Liabilities, at Fair Value. Float balances, on which we earn interest referred to as float earnings (balances in custodial accounts, which represent collections of principal and interest that we receive from borrowers on behalf of investors and tax and insurance payments) are held in escrow by unaffiliated banks and are excluded from our unaudited consolidated balance sheets. Float balances amounted to $2.3 billion, $1.5 billion and $2.0 billion at September 30, 2023, December 31, 2022 and September 30, 2022, respectively. The following tables present the components of MSR valuation adjustments, net:
| Three Months Ended September 30, 2023 |  | Three Months Ended September 30, 2022
| Rates and assumptions |  | Realization of expected cash flows |  | Total |  | Rates and assumptions |  | Realization of expected cash flows |  | Total
Owned MSR (1) | $ | 137.7 |  |  | $ | (60.7) |  |  | $ | 77.0 |  |  | $ | 187.9 |  |  | $ | (68.6) |  |  | $ | 119.2 |
Transferred MSR (2)(3) | (45.5) |  |  | 17.6 |  |  | (27.8) |  |  | (91.1) |  |  | 23.6 |  |  | (67.5) |
ESS financing liability (2) | (4.6) |  |  | 7.6 |  |  | 3.1 |  |  | (0.7) |  |  | 0.6 |  |  | (0.1) |
Derivative fair value gain (loss) (MSR economic hedges) | (68.6) |  |  | — |  |  | (68.6) |  |  | (23.8) |  |  | — |  |  | (23.8) |
MSR valuation adjustments, net | $ | 19.1 |  |  | $ | (35.4) |  |  | $ | (16.4) |  |  | $ | 72.3 |  |  | $ | (44.4) |  |  | $ | 27.9 |
| Nine Months Ended September 30, 2023 |  | Nine Months Ended September 30, 2022
| Rates and assumptions |  | Realization of expected cash flows |  | Total |  | Rates and assumptions |  | Realization of expected cash flows |  | Total
Owned MSR (1) | $ | 191.0 |  |  | $ | (177.3) |  |  | $ | 13.7 |  |  | $ | 509.7 |  |  | $ | (209.1) |  |  | $ | 300.6 |
Transferred MSR (2)(3) | (88.3) |  |  | 47.8 |  |  | (40.5) |  |  | (188.3) |  |  | 80.6 |  |  | (107.7) |
ESS financing liability (2) | (10.2) |  |  | 22.5 |  |  | 12.3 |  |  | (0.7) |  |  | 0.6 |  |  | (0.1) |
Derivative fair value gain (loss) (MSR economic hedges) | (119.7) |  |  | — |  |  | (119.7) |  |  | (107.5) |  |  | — |  |  | (107.5) |
MSR valuation adjustments, net | $ | (27.2) |  |  | $ | (107.0) |  |  | $ | (134.2) |  |  | $ | 213.2 |  |  | $ | (127.8) |  |  | $ | 85.4 |
(1)Includes $0.0 million and $(0.3) million for the three and nine months ended September 30, 2023, respectively, and $2.7 million and $2.8 million during the three and nine months ended September 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. (3)MSR transfers that do not achieve sale accounting.

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- Definition The entire disclosure for a transferor's continuing involvement in financial assets that it has transferred in a securitization or asset-backed financing arrangement, the nature of any restrictions on assets reported by an entity in its statement of financial position that relate to a transferred financial asset (including the carrying amounts of such assets), how servicing assets and servicing liabilities are reported, and (for securitization or asset-backed financing arrangements accounted for as sales) when a transferor has continuing involvement with the transferred financial assets and transfers of financial assets accounted for as secured borrowings, how the transfer of financial assets affects an entity's financial position, financial performance, and cash flows. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 30 -Section 50 -Paragraph 1A -Subparagraph (c)(3) -URI 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