Other Financing Liabilities, at Fair Value (Tables)

12 Months Ended

Dec. 31, 2023

Schedule of Interest Expense Related to Financial Liability

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