MSR Valuation Allowance, Net

12 Months Ended

Dec. 31, 2023

Note 9 — MSR Valuation Adjustments, Net

The following table presents the components of MSR valuation adjustments, net, that include four MSR related instruments which we account for at fair value with changes in fair value recorded in earnings:

(i) the fair value changes of the total MSR portfolio (Total MSRs) recorded on our consolidated balance sheets, as detailed in Note 7 — Mortgage Servicing ($2.3 billion fair value asset at December 31, 2023). Total MSRs include owned MSRs and MSRs that have been sold or transferred to third parties in transactions that do not achieve sale accounting criteria. Owned MSRs include MSRs subject to ESS financing transactions;

(ii) the fair value changes of the Pledged MSR liabilities recorded as liabilities on our consolidated balance sheets when MSR sale accounting criteria are not achieved ($645.5 million fair value liability at December 31, 2023, see Note 8 — Other Financing Liabilities, at Fair Value);

(iii) the fair value changes of the ESS financing liabilities for which we elected the fair value option ($248.9 million fair value liability at December 31, 2023, see Note 8 — Other Financing Liabilities, at Fair Value); and

(iv) the fair value changes of the derivative instruments economically hedging the MSR exposure (see Note 17 — Derivative Financial Instruments and Hedging Activities):


	Years Ended December 31,
	2023		2022		2021
Total MSRs (1)	$	(230.8)	$	176.5	$	(100.4)
Pledged MSR liabilities (2) (3) (4)	12.9		(88.0)		11.4
ESS financing liabilities (2)	18.9		8.0		—

Derivative fair value gain (loss) (MSR economic hedges)	(33.1)		(106.9)		(9.5)

MSR valuation adjustments, net	$	(232.2)	$	(10.4)	$	(98.5)

(1)Includes $0.8 million, $(2.0) million and $0.3 million in 2023, 2022 and 2021, 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 years.

(3)MSR transfers that do not achieve sale accounting.

(4)Includes $3.1 million expense recognized in 2022, representing the fair value of the MSRs in excess of the Pledged MSR liability derecognized upon the sale of the related MSRs by MAV to a third party.

MSR valuation adjustments, net exclude fair value changes of reverse mortgage loans net of HMBS related-borrowings which are included in our economic MSR interest rate risk hedge strategy (refer to Note 17 — Derivative Financial Instruments and Hedging Activities), and are separately presented as Gain on reverse loans held for investment and HMBS-related borrowings, net within our consolidated statement of operations (refer to Note 5 - Reverse Mortgages).

Year Ended December 31, 2021