Other Financing Liabilities, at Fair Value

12 Months Ended

Dec. 31, 2023

Other Financing Liabilities, at Fair Value

Note 8 — Other Financing Liabilities, at Fair Value

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 14 — Borrowings for ESS financing liability carried at amortized cost).


			Outstanding Balance at December 31,
Borrowing Type	Collateral	Maturity	2023		2022
MSR transfers not qualifying for sale accounting (1):
Rights to MSRs Agreements, at fair value - Rithm	MSRs	(1)	$	121.0	$	601.2
Pledged MSR liability, at fair value - MAV	MSRs	(1)	409.2		329.8
Pledged MSR liability, at fair value - Others	MSRs	(1)	115.3		0.7
Total Pledged MSR liability, at fair value			645.5		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	5.6		6.7
ESS financing liability, at fair value (3)	MSRs (3)	(3)	248.9		199.0
Total Other financing liabilities, at fair value			$	900.0	$	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. Until such time as the transaction qualifies as a sale for accounting purposes, we continue to recognize the MSRs and the related financing liability (referred as Pledged MSR liability) on our consolidated balance sheets, as well as the full amount of servicing fee collected as revenue and the servicing fee remitted as Pledged MSR liability expense in our consolidated statements of operations. Fair value gains and losses of the Pledged MSR liability are recognized in MSR valuation adjustments, net in the consolidated statements of operations - See Note 7 — Mortgage Servicing and Note 9 — MSR Valuation Adjustments, Net.

(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 third parties 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. The servicing spread remittance is reported in Pledged MSR liability expense and fair value gains and losses of the ESS financing liability are reported in MSR valuation adjustment, net.

With the exception of the MSRs for which title has not transferred to Rithm ($9.9 billion UPB at December 31, 2023 - discussed below), the MSR and Pledged MSR liability associated with Rithm servicing agreements were derecognized on December 31, 2023 as MSR sale accounting criteria were met (specifically, the parties may cancel or decline to renew the servicing agreements after a reasonable period). The statements of operations will prospectively reflect subservicing fee revenue as opposed to the current gross presentation of servicing fee revenue and separate presentation of servicing fee remittances within Pledged MSR liability expense.

The following table presents 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.


	Years Ended December 31,
Pledged MSR Liability	2023		2022		2021
Beginning balance	$	931.7	$	797.1	$	567.0
MSR transfers
MSR transfers to MAV	81.1		85.6		250.0
MSR transfers to Rithm	—		0.6		—
MSR transfers to others	100.0		—		—
Total MSR transfers	181.0		86.3		250.0
Derecognition of financing liability
Derecognition of financing liability - Rithm (1)	(421.7)		(0.7)		(8.5)

Derecognition of financing liability - MAV (2)	(32.5)		(39.0)		—
Total derecognition of financing liability	(454.3)		(39.7)		(8.5)
Fair value (gain) loss
Changes in fair value due to inputs and assumptions	51.3		192.1		77.9
Realization of expected cash flows	(64.2)		(104.1)		(89.4)
Total fair value (gain) loss (3)	(12.9)		88.0		(11.4)
Ending balance (4)	$	645.5	$	931.7	$	797.1

(1)During 2023, we derecognized a portion of the Rithm Pledged MSR liability with a UPB of $33.4 billion as MSR sale accounting criteria were met upon the renewal of the servicing agreements. Amounts in 2022 and 2021 represent the carrying value of MSRs and pledged MSR liability derecognized in connection with call rights exercised by Rithm upon collapse of the securitization.

(2)During 2023 and 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 in 2022 associated with an amendment to the MAV Subservicing Agreement, resulting in lower contractual ancillary income retained by PHH. See Note 12 — Investment in Equity Method Investee and Related Party Transactions.

(4)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 PHH (shared between PHH and MAV) and other contractual cash flows.

The following tables present the Pledged MSR liability expense recorded in connection with the MSR sale agreements with MAV, Rithm and others that do not qualify for sale accounting and the ESS financing liabilities.


	Year Ended December 31, 2023
	Rithm and Others		MAV		Total
Servicing fees collected on behalf of MAV, Rithm and others	$	241.5	$	67.4	$	308.9
Less: Subservicing fee retained by Ocwen	(68.4)		(9.2)		(77.6)
Ancillary fee/income and other settlement (incl. expense reimbursement)	14.3		(0.8)		13.5
Transferred MSR net servicing fee remittance	$	187.4	$	57.5	244.8
ESS servicing spread remittance					51.5
Pledged MSR liability expense					$	296.3


	Year Ended December 31, 2022
	Rithm and Others		MAV		Total
Servicing fees collected on behalf of MAV, Rithm and others	$	255.0	67.5		$	322.5
Less: Subservicing fee retained by Ocwen	(74.0)		(8.8)		(82.8)
Ancillary fee/income and other settlement (incl. expense reimbursement)	5.7		0.4		6.1







Transferred MSR net servicing fee remittance	$	186.7	$	59.1	245.9
ESS servicing spread remittance					9.1
Pledged MSR liability expense					$	255.0


	Year Ended December 31, 2021
	Rithm		MAV		Total
Servicing fees collected on behalf of Rithm and MAV	$	304.2	14.2		$	318.4
Less: Subservicing fee retained by Ocwen	(88.4)		(2.0)		(90.4)
Ancillary fee/income and other settlement (incl. expense reimbursement)	(11.1)		4.4		(6.7)







Transferred MSR net servicing fee remittance	$	204.7	$	16.6	221.3
ESS servicing spread remittance					—
Pledged MSR liability expense					$	221.3

MAV Transactions

PHH entered into agreements to sell MSR portfolios to its related party MAV, on a bulk and flow basis, for which PHH has been retained as subservicer. While MSR legal title has transferred to MAV, the transactions do not qualify for sale accounting treatment primarily due to the termination restrictions of the subservicing agreement. See Note 12 — Investment in Equity Method Investee and Related Party Transactions.

Rithm Transactions

Starting in 2012, Ocwen and PHH entered into agreements to sell MSRs and the related servicing advances to Rithm, and in all cases have been retained by Rithm as subservicer. Due to the length of the non-cancellable term of the subservicing agreements, the MSR transactions did not qualify for sale accounting treatment. In addition, the legal title of certain MSRs was retained by Ocwen and the third-party consents required for title to the MSRs to transfer were not obtained, causing the transactions to be accounted for as secured financings.

On May 2, 2022, Ocwen entered into amendments to its servicing agreements with Rithm to extend their terms to December 31, 2023 and provide for subsequent, automatic one-year renewals, unless Ocwen provides six months’ advance notice of termination (by July 1), or Rithm provides three months’ advance notice of termination (by October 1), among other changes. Ocwen and Rithm did not provide notice of termination in 2023. Accordingly, all servicing agreements with Rithm are extended through December 31, 2024, with subsequent, automatic one-year renewals.

As of December 31, 2023, the UPB of the servicing agreements with Rithm is $45.0 billion, including $35.1 billion subservicing and $9.9 billion of Rights to MSRs (or RMSR) for which title has not transferred to Rithm and continues to be reported on Ocwen’s financial statements since MSR sale accounting criteria are not met.

As stated above, Rithm has the right to terminate the $9.9 billion RMSR Agreements for convenience, in whole but not in part, subject to three months’ advance notice of termination. If Rithm exercises this termination right, Rithm has the option of seeking (i) the transfer of the MSRs through a sale to a third party of its Rights to MSRs (together with a transfer of Ocwen’s title to those MSRs) or (ii) a substitute RMSR arrangement that substantially replicates the Rights to MSRs structure under which we would transfer title to the MSRs to a successor servicer and Rithm would continue to own the economic rights and obligations related to the MSRs. In the case of option (i), we have a purchase option as specified in the RMSR Agreements. If Rithm is not able to sell the Rights to MSRs or establish a substitute RMSR arrangement with another servicer, Rithm has the right to revoke its termination notice and re-instate the applicable servicing addendum or to establish a subservicing arrangement whereby the MSRs remaining subject to the RMSR Agreements would be transferred to up to three subservicers who would subservice under Ocwen’s oversight. If such a subservicing arrangement were established, Ocwen would receive an oversight fee and reimbursement of expenses. We may also agree on alternative arrangements that are not contemplated under our existing agreements or that are variations of those contemplated under our existing agreements.

Other MSR Capital Partner Transactions

In 2022 and 2023, PHH entered into agreements to sell MSR portfolios to different unrelated third parties, referred to as MSR capital partners, on a bulk and flow basis, for which PHH has been retained as subservicer. The transactions do not qualify for sale accounting treatment primarily due to the termination restrictions of the subservicing agreements.