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v3.23.3

Mortgage Servicing (Tables) | 9 Months Ended
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Sep. 30, 2023
Transfers and Servicing [Abstract] |
Schedule of Activity Related to MSRs - Fair Value Measurement Method |
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.
Financing Receivable, Past Due | 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 | %
Schedule of Composition of Servicing UPB |
| 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.
Schedule of Components of Servicing and Subservicing Fees |
| 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.
Fair Value Measurement Inputs and Valuation Techniques | 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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