Other Financing Liabilities, at Fair Value (Tables)

9 Months Ended

Sep. 30, 2024

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 and other unrelated parties, including Rithm, that do not qualify for sale accounting.


	Three Months Ended September 30,		Nine Months Ended September 30,

Pledged MSR Liability	2024			2023		2024		2023
Beginning balance	$	590.0		$	1,009.5	$	645.5	$	931.7

MSR transfers
MSR transfers to MAV	—			80.8		—		81.0

MSR transfers to others	5.0			0.9		17.7		98.5
Total MSR transfers	5.0			81.7		17.7		179.5




Derecognition of financing liability (2)	(0.1)			—		(85.7)		(32.5)

Fair value (gain) loss
Changes in fair value due to inputs and assumptions	(7.1)			45.5		33.3		88.2


Realization of expected cash flows	(10.2)			(17.6)		(33.1)		(47.8)
Total fair value (gain) loss	(17.2)			27.9		0.2		40.5
Ending balance (1)	$	577.7		$	1,119.1	$	577.7	$	1,119.1

(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 PHH and other contractual cash flows.

(2)During the nine months ended September 30, 2024 and September 30, 2023, we derecognized a portion of the MAV Pledged MSR liability upon sale of the related MSRs by MAV to third parties with a UPB of $5.5 billion and $2.3 billion, respectively.

Schedule of Assets, Liabilities Related to MSR Transfer Agreements

The following table 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 13 – Borrowings for ESS financing liability carried at amortized cost).


			Outstanding Balance
Borrowing Type	Collateral	Maturity	September 30, 2024		December 31, 2023
MSR transfers not qualifying for sale accounting (1):
Pledged MSR liability, at fair value - MAV	MSRs	(1)	$	327.5	$	409.2
Rights to MSRs Agreements, at fair value - Rithm	MSRs	(1)	116.8		121.0
Pledged MSR liability, at fair value - Others	MSRs	(1)	133.3		115.3
Total Pledged MSR liability, at fair value			577.7		645.5
Financing liability - Owed to securitization investors, at fair value: Residential Asset Securitization Trust 2003-A11 (RAST 2003-A11) (2)	Loans held for investment	November 2033	5.2		5.6
ESS financing liability, at fair value (3)	MSRs (3)	(3)	243.3		248.9
Total Other financing liabilities, at fair value			$	826.2	$	900.0

(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 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. 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.

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


	Three Months Ended September 30,
	2024						2023
	Rithm and Others		MAV		Total		Rithm and Others (1)		MAV		Total
Servicing fees collected on behalf of MAV, Rithm and others	$	19.1	$	14.1	$	33.2	$	62.1	$	17.2	$	79.3
Less: Subservicing fee retained by Onity	(4.4)		(2.1)		(6.5)		(17.2)		(2.3)		(19.6)
Ancillary fee/income and other settlement (including expense reimbursement)	3.4		(0.6)		2.8		3.5		(0.3)		3.2
Transferred MSR net servicing fee remittance	$	18.1	$	11.4	29.5		$	48.4	$	14.5	62.9
ESS servicing spread remittance					12.8						13.6
Pledged MSR liability expense					$	42.3					$	76.5

(1)Includes $42.7 million of servicing fees collected on behalf of Rithm, $12.5 million of subservicing fee retained and $30.3 million of net servicing fee remittance in the three months ended September 30, 2023 related to MSRs previously sold to Rithm for which the sale accounting criteria were met effective December 31, 2023.


	Nine Months Ended September 30,
	2024						2023
	Rithm and Others		MAV		Total		Rithm and Others (1)		MAV		Total
Servicing fees collected on behalf of Rithm, MAV and others	$	56.9	$	49.9	$	106.8	$	180.9	$	49.1	$	230.0
Less: Subservicing fee retained by Onity	(13.4)		(7.0)		(20.4)		(51.4)		(6.7)		(58.1)
Ancillary fee/income and other settlement (including expense reimbursement)	8.9		(0.9)		8.0		10.4		(0.5)		9.9
Transferred MSR net servicing fee remittance	$	52.4	$	42.1	94.4		$	139.9	$	41.8	181.7
ESS servicing spread remittance					38.9						38.1
Pledged MSR liability expense					$	133.3					$	219.8

(1)Includes $133.6 million of servicing fees collected on behalf of Rithm, $38.3 million of subservicing fee retained and $95.3 million of net servicing fee remittance in the nine months ended September 30, 2023 related to MSRs previously sold to Rithm for which the sale accounting criteria were met effective December 31, 2023.