MSR Transfers Not Qualifying for Sale Accounting (Tables)

9 Months Ended

Sep. 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 MAV, Rithm and others that do not qualify for sale accounting.


	Three Months Ended September 30,
	2023						2022
Pledged MSR Liability	Rithm and Others		MAV (1)		Total		Original Rights to MSRs Agreements - Rithm		MAV (1)		Total
Beginning Balance	$	689.9	$	319.7	$	1,009.5	$	550.8	$	355.5	$	906.3

MSR transfers	0.9		80.8		81.7		—		11.9		11.9
Derecognition of financing liability (2)	—		—		—		—		(39.0)		(39.0)
Calls	—		—		—		(0.1)		—		(0.1)
Fair value gain (loss)
Changes in fair value due to inputs and assumptions	16.3		29.2		45.5		71.1		20.0		91.1


Realization of expected cash flows	(8.4)		(9.2)		(17.6)		(17.1)		(6.5)		(23.6)
Total fair value (gain) loss	7.9		20.0		27.9		53.9		13.6		67.5
Ending Balance	$	698.6	$	420.4	$	1,119.1	$	604.7	$	342.0	$	946.6


	Nine Months Ended September 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	98.5		81.0		179.5		—		81.6		81.6
Derecognition of financing liability (2)	—		(32.5)		(32.5)		—		(39.0)		(39.0)
Calls	—		—		—		(0.6)		—		(0.6)
Fair value gain (loss)
Changes in fair value due to inputs and assumptions	19.8		68.4		88.2		102.6		85.7		188.3
Realization of expected cash flows	(21.6)		(26.2)		(47.8)		(56.2)		(24.4)		(80.6)
Total fair value (gain) loss (3)	(1.7)		42.2		40.5		46.4		61.3		107.7
Ending Balance	$	698.6	$	420.4	$	1,119.1	$	604.7	$	342.0	$	946.6

(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 and September 30, 2022, 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 and $2.9 billion, respectively.

(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

The following tables presents financing liabilities carried at fair value which include pledged MSR liabilities recorded in connection with MSR transfers, subservicing retained, that do not qualify for sale accounting, liabilities of consolidated mortgage-backed securitization trusts and MSR excess servicing spread (ESS) financing liability carried at fair value (see Note 12 – Borrowings for ESS financing liability carried at amortized cost).


			Outstanding Balance
Borrowing Type	Collateral	Maturity	September 30, 2023		December 31, 2022
MSR transfers not qualifying for sale accounting (1):
Original Rights to MSRs Agreements, at fair value - Rithm	MSRs	(1)	$	577.8	$	601.2
Pledged MSR liability, at fair value - MAV	MSRs	(1)	420.4		329.8
Pledged MSR liability, at fair value - Others	MSRs	(1)	120.8		0.7
			1,119.1		931.7
Financing liability - Owed to securitization investors, at fair value: Residential Asset Securitization Trust 2003-A11 (RAST 2003-A11) (2)	Loans held for investment	October 2033	5.9		6.7
ESS financing liability, at fair value (3)	MSRs (3)	(3)	255.4		199.0
Total Other financing liabilities, at fair value			$	1,380.3	$	1,137.4

(1)MSRs transferred, subservicing retained, or sold in transactions which do not qualify for sale accounting treatment are accounted for as secured financings.

(2)Consists of securitization debt certificates due to third parties that represent beneficial interests in trusts that are consolidated.

(3)Consists of the obligation to remit to a third party a specified percentage of future servicing fee collections (servicing spread) on reference pools of MSRs, which we are entitled to as owner of the related MSRs.

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


	Three Months Ended September 30,
	2023						2022
	Rithm and Others		MAV		Total		Rithm		MAV		Total
Servicing fees collected on behalf of Rithm, MAV and others	$	62.1	$	17.2	$	79.3	$	63.4	$	17.8	$	81.2
Less: Subservicing fee retained by Ocwen	(17.2)		(2.3)		(19.6)		(17.8)		(2.3)		(20.1)
Ancillary fee/income and other settlement (including expense reimbursement)	3.5		(0.3)		3.2		3.3		—		3.3
Transferred MSR net servicing fee remittance	$	48.4	$	14.5	62.9		$	48.9	$	15.5	64.4
ESS servicing spread remittance					13.6						1.2
Pledged MSR liability expense					$	76.5					$	65.6


	Nine Months Ended September 30,
	2023						2022
	Rithm and Others		MAV		Total		Rithm		MAV		Total
Servicing fees collected on behalf of Rithm, MAV and others	$	180.9	$	49.1	$	230.0	$	195.2	$	51.0	$	246.3
Less: Subservicing fee retained by Ocwen	(51.4)		(6.7)		(58.1)		(56.0)		(6.7)		(62.6)
Ancillary fee/income and other settlement (including expense reimbursement)	10.4		(0.5)		9.9		2.8		0.7		3.4
Transferred MSR net servicing fee remittance	$	139.9	$	41.8	181.7		$	142.1	$	45.0	187.1
ESS servicing spread remittance					38.1						1.2
Pledged MSR liability expense					$	219.8					$	188.3