Finance of America Companies Inc. Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

Fair Value (Tables)

Fair Value (Tables)

6 Months Ended

Jun. 30, 2021

Fair Value Measurement Inputs and Valuation Techniques [Line Items]

Summary of the recognized assets and liabilities that are measured at fair value on a recurring basis

The following table provides a summary of the recognized assets and liabilities that are measured at fair value on a recurring basis (in thousands):


	June 30, 2021
	Successor
	Total Fair Value		Level 1		Level 2		Level 3
Assets
Reverse mortgage loans held for investment, subject to HMBS related obligations	$	10,316,027	$	—	$	—	$	10,316,027
Mortgage loans held for investment, subject to nonrecourse debt:
Reverse mortgage loans		5,189,679		—		—		5,189,679
Fix & flip mortgage loans		234,942		—		—		234,942
Mortgage loans held for investment:
Reverse mortgage loans		1,020,143		—		—		1,020,143
Fix & flip mortgage loans		44,578		—		—		44,578
Agricultural loans		160,369		—		—		160,369
Mortgage loans held for sale:
Residential mortgage loans		1,908,107		—		1,896,654		11,453
SRL		96,569		—		—		96,569
Portfolio		52,866		—		—		52,866
Mortgage servicing rights		290,938		—		—		290,938
Investments		6,000		—		—		6,000
Derivative assets:
Forward commitments, TBAs, and Treasury Futures		1,187		32		319		836
IRLCs		34,647		—		—		34,647
Forward MBS		996		—		996		—
Interest rate swap futures		24,981		24,981		—		—
Other assets:
Retained bonds		15,671		—		—		15,671

Total assets	$	19,397,700	$	25,013	$	1,897,969	$	17,474,718


Liabilities
HMBS related obligation	$	10,168,224	$	—	$	—	$	10,168,224
Nonrecourse debt:
Nonrecourse debt in VIE trusts		5,360,603		—		—		5,360,603
Nonrecourse MSR financing liability		65,129		—		—		65,129
Deferred purchase price liabilities:
Deferred purchase price liabilities		11,663		—		—		11,663
TRA obligation		32,810		—		—		32,810
Derivative liabilities:
Forward MBS		4,364		—		4,364		—
Forward commitments, TBAs, and Treasury Futures		1,176		31		34		1,111
Interest rate swap futures		13,789		13,789		—		—
Warrants		19,261		19,261		—		—

Total liabilities	$	15,677,019	$	33,081	$	4,398	$	15,639,540


	December 31, 2020
	Predecessor
	Total Fair Value		Level 1		Level 2		Level 3
Assets
Reverse mortgage loans held for investment, subject to HMBS related obligations	$	9,929,163	$	—	$	—	$	9,929,163
Mortgage loans held for investment, subject to nonrecourse debt:
Reverse mortgage loans		5,057,624		—		—		5,057,624
Fix & flip mortgage loans		338,543		—		—		338,543
Mortgage loans held for investment:
Reverse mortgage loans		661,790		—		—		661,790
Agricultural loans		69,031		—		—		69,031
Mortgage loans held for sale:
Residential mortgage loans		2,080,585		—		2,069,957		10,628
SRL		60,467		—		—		60,467
Portfolio		38,850		—		—		38,850
Fix & flip mortgage loans		42,909		—		—		42,909
Mortgage servicing rights		180,684		—		—		180,684
Investments		18,934		—		—		18,934
Derivative assets:
Forward commitments and TBAs		1,806		—		722		1,084
IRLCs		87,576		—		—		87,576
Interest rate swaps and interest rate swap futures		2,683		186		2,497		—

Total assets	$	18,570,645	$	186	$	2,073,176	$	16,497,283


Liabilities
HMBS related obligation	$	9,788,668	$	—	$	—	$	9,788,668
Nonrecourse debt:
Nonrecourse debt in VIE trusts		5,257,754		—		—		5,257,754
Nonrecourse MSR financing liability		14,088		—		—		14,088
Deferred purchase price liabilities		3,842		—		—		3,842
Derivative liabilities:
Forward MBS		18,634		—		18,634		—
Forward commitments and TBAs		1,332		—		248		1,084
Interest rate swaps and interest rate swap futures		755		186		569		—

Total liabilities	$	15,085,073	$	186	$	19,451	$	15,065,436

Fair value, assets measured on recurring basis, unobservable input reconciliation

Assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3, in thousands):


	Successor
	Assets
June 30, 2021	Mortgage loans held for investment			Mortgage loans held for investment, subject to nonrecourse debt			Mortgage loans held for sale			Derivative assets			Mortgage servicing rights			Retained Bonds			Investments
Beginning balance, April 1, 2021	$	11,171,736		$	5,291,444		$	135,681		$	38,574		$	267,364		$	—		$	9,470
Total gain or losses included in earnings		153,690			80,408			1,816			(3,066	)		(26,536	)		666			(3,470	)
Purchases, settlements and transfers:
Purchases and additions, net		1,428,976			22,041			256,438			—			50,110			15,078			—
Sales and settlements		(615,958	)		(522,141	)		(275,956	)		(25	)		—			(73	)		—
Transfers in/(out) between categories		(597,327	)		552,869			42,909			—			—			—			—

Ending balance, June 30, 2021	$	11,541,117		$	5,424,621		$	160,888		$	35,483		$	290,938		$	15,671		$	6,000


	Predecessor
	Assets
March 31, 2021	Mortgage loans held for investment			Mortgage loans held for investment, subject to nonrecourse debt			Mortgage loans held for sale			Derivative assets			Mortgage servicing rights			Investments
Beginning balance, January 1, 2021	$	10,659,984		$	5,396,167		$	152,854		$	88,660		$	180,684		$	18,934
Total gain or losses included in earnings		132,499			(37,757	)		2,764			(50,040	)		20,349			(9,464	)
Purchases, settlements and transfers:
Purchases and additions, net		1,143,109			21,064			175,551			—			74,978			—
Sales and settlements		(534,738	)		(360,128	)		(152,579	)		(46	)		(8,647	)		—
Transfers in/(out) between categories		(229,118	)		272,098			(42,909	)		—			—			—

Ending balance, March 31, 2021	$	11,171,736		$	5,291,444		$	135,681		$	38,574		$	267,364		$	9,470


	Predecessor
	Assets
December 31, 2020	Mortgage loans held for investment			Mortgage loans held for investment, subject to nonrecourse debt			Mortgage loans held for sale			Derivative assets		Mortgage servicing rights		Debt securities			Investments
Beginning balance, January 1, 2020	$	10,894,577		$	3,511,212		$	182,973		$	14,008	$	2,600	$	102,260		$	20,508
Total gain or losses included in earnings		627,251			304,663			(2,158	)		74,470		4,562		2,288			(5,512	)
Purchases, settlements and transfers:
Purchases and additions, net		3,616,667			136,838			409,467			182		173,522		24,489			3,938
Sales and settlements		(1,536,977	)		(1,285,902	)		(605,018	)		—		—		(129,037	)		—
Transfers in/(out) between categories		(2,941,534	)		2,729,356			167,590			—		—		—			—

Ending balance, December 31, 2020	$	10,659,984		$	5,396,167		$	152,854		$	88,660	$	180,684	$	—		$	18,934

Fair value, liabilities measured on recurring basis, unobservable input reconciliation


	Successor
	Liabilities
June 30, 2021	HMBS related obligations			Derivative liabilities			Deferred purchase price liabilities			Nonrecourse debt in VIE trusts			Nonrecourse MSR financing liability			TRA Liability
Beginning balance, April 1, 2021	$	(9,926,132	)	$	(936	)	$	(3,214	)	$	(5,205,892	)	$	(22,051	)	$	—
Total gains or losses included in earnings		(44,651	)	$	—			(1,760	)		(32,601	)		4,123			(860	)
Purchases, settlements and transfers:
Purchases and additions, net		(795,333	)		—			(7,000	)		(796,376	)		(47,201	)		(31,950	)
Settlements		597,892			(175	)		311			674,266			—			—

Ending balance, June 30, 2021	$	(10,168,224	)	$	(1,111	)	$	(11,663	)	$	(5,360,603	)	$	(65,129	)	$	(32,810	)


	Predecessor
	Liabilities
March 31, 2021	HMBS related obligations			Derivative liabilities			Deferred purchase price liability			Nonrecourse debt in VIE trusts			Nonrecourse MSR financing liability
Beginning balance, January 1, 2021	$	(9,788,668	)	$	(1,084	)	$	(3,842	)	$	(5,257,754	)	$	(14,088	)
Total gain or losses included in earnings		(41,434	)	$	—			(29	)		(30,770	)		390
Purchases, settlements and transfers:
Purchases and additions, net		(602,172	)		—			—			(575,668	)		(8,353	)
Sales and settlements		506,142			148			657			658,300

Ending balance, March 31, 2021	$	(9,926,132	)	$	(936	)	$	(3,214	)	$	(5,205,892	)	$	(22,051	)

Summary of the fair value and unpaid principal balance ("UPB")

Presented in the tables below are the fair value and unpaid principal balance (“UPB”) at June 30, 2021 (Successor) and December 31, 2020 (Predecessor), of assets and liabilities for which the Company has elected the fair value option (in thousands):


Successor:

June 30, 2021	Estimated Fair Value		Unpaid Principal Balance
Assets at fair value under the fair value option
Reverse mortgage loans held for investment, subject to HMBS related obligations	$	10,316,027	$	9,406,924
Mortgage loans held for investment, subject to nonrecourse debt:
Reverse mortgage loans		5,189,680		4,615,128
Commercial mortgage loans		234,941		229,858
Mortgage loans held for investment:
Reverse mortgage loans		1,020,143		879,794
Commercial mortgage loans		204,947		202,195
Mortgage loans held for sale:
Residential mortgage loans		1,908,107		1,858,087
Commercial mortgage loans		149,435		144,789
Liabilities at fair value under the fair value option
HMBS related obligations		10,168,224		9,406,924
Nonrecourse debt:
Nonrecourse debt in VIE trusts		5,360,603		5,276,781
Nonrecourse MSR financing liability		65,129		65,129

Predecessor:

December 31, 2020	Estimated Fair Value		Unpaid Principal Balance
Assets at fair value under the fair value option
Reverse mortgage loans held for investment, subject to HMBS related obligations	$	9,929,163	$	9,045,104
Mortgage loans held for investment, subject to nonrecourse debt:
Reverse mortgage loans		5,057,624		4,457,805
Commercial mortgage loans		338,543		333,344
Mortgage loans held for investment:
Reverse mortgage loans		661,790		589,429
Commercial mortgage loans		69,031		69,127
Mortgage loans held for sale:
Residential mortgage loans		2,080,585		2,000,795
Commercial mortgage loans		142,226		140,693
Liabilities at fair value under the fair value option
HMBS related obligations		9,788,668		9,045,104
Nonrecourse debt:
Nonrecourse debt in VIE trusts		5,257,754		5,155,017
Nonrecourse MSR financing liability		14,088		14,088

Summary of the components of net fair value gains on mortgage loans and related obligations

Provided in the table below is a summary of the components of net fair value gains on mortgage loans and related obligations (in thousands):


	April 1, 2021 to June 30, 2021			January 1, 2021 to March 31, 2021			For the three months ended June 30, 2020			For the six months ended June 30, 2020
	Successor			Predecessor
Net fair value gains (losses) on mortgage loans and related obligations:
Interest income on mortgage loans	$	173,940		$	160,568		$	217,841		$	401,513
Change in fair value of mortgage loans		84,983			(51,346	)		180,904			82,338
Change in fair value of mortgage backed securities		—			—			(1,470	)		817

Fair value gains on mortgage loans		258,923			109,222			397,275			484,668

Interest expense on related obligations		(113,474	)		(119,201	)		(127,488	)		(261,845	)
Change in fair value of derivatives		(46,478	)		43,972			8,567			(5,743	)
Change in fair value of related obligations		32,180			42,670			(166,051	)		(91,397	)

Fair value losses on related obligations		(127,772	)		(32,559	)		(284,972	)		(358,985	)

Net fair value gains on mortgage loans and related obligations	$	131,151		$	76,663		$	112,303		$	125,683

Reverse Mortgage Loans Held for Investment, Subject to HMBS Related Obligations [Member]

Fair Value Measurement Inputs and Valuation Techniques [Line Items]

Fair value measurement inputs and valuation techniques

The following table presents the weighted average significant unobservable inputs used in the fair value measurement of reverse mortgage loans held for investment, subject to HMBS related obligations, for the periods indicated:


	June 30, 2021					December 31, 2020
	Predecessor					Successor
	Range of Input		Weighted Average of Input			Range of Input		Weighted Average of Input
Conditional repayment rate		NM		20.3	%		NM		20.0	%
Loss frequency		NM		4.3	%		NM		4.4	%
Loss severity		4.9% - 11.7%		5.2	%		5.1% - 13.3%		5.4	%
Discount rate		NM		1.9	%		NM		1.6	%
Average draw rate		NM		1.1	%		NM		1.1	%

HECM Buyouts [Member]

Fair Value Measurement Inputs and Valuation Techniques [Line Items]

Fair value measurement inputs and valuation techniques

The following table presents the weighted average significant unobservable inputs used in the fair value measurement of nonperforming securitized HECM buyouts for the periods indicated:


	June 30, 2021					December 31, 2020
	Successor					Predecessor
	Range of Input		Weighted Average of Input			Range of Input		Weighted Average of Input
Conditional repayment rate		NM		40.6	%		NM		42.9	%
Loss frequency		25.0% - 100.0%		52.5	%		25.0% - 100.0%		54.8	%
Loss severity		4.9% - 11.7%		7.0	%		5.1% - 13.3%		7.5	%
Discount rate		NM		3.6	%		NM		4.1	%

HECM Buyouts Securitized [Member]

Fair Value Measurement Inputs and Valuation Techniques [Line Items]

Fair value measurement inputs and valuation techniques

The following table presents the weighted average significant unobservable inputs used in the fair value measurement of performing securitized HECM buyouts for the periods indicated:


	June 30, 2021					December 31, 2020
	Successor					Predecessor
	Range of Input		Weighted Average of Input			Range of Input		Weighted Average of Input
Weighted average remaining life in years		NM		8.7			NM		8.5
Conditional repayment rate		NM		13.7	%		NM		14.7	%
Loss severity		4.9% - 11.7%		8.6	%		5.1% - 13.3%		7.7	%
Discount rate		NM		3.4	%		NM		3.5	%

Non Agency Reverse Mortgage Securitized [Member]

Fair Value Measurement Inputs and Valuation Techniques [Line Items]

Fair value measurement inputs and valuation techniques

The following table presents the significant unobservable inputs used in the fair value measurements of

non-agency

reverse mortgage loans for the periods indicated:


	June 30, 2021					December 31, 2020
	Successor					Predecessor
	Range of Input		Weighted Average of Input			Range of Input		Weighted Average of Input
Weighted-average remaining life in years		NM		7.1			NM		6.9
Loan to value		0.1% - 75.7%		50.0	%		9.0% - 73.1%		48.2	%
Conditional repayment rate		NM		19.2	%		NM		18.7	%
Loss severity		NM		10.0	%		NM		10.0	%
Home price appreciation		3.9% - 8.8%		5.9	%		1.1% - 8.9%		5.6	%
Discount rate		NM		3.7	%		NM		3.6	%

Fix And Flip Securitized Commercial Mortgage Loans [Member]

Fair Value Measurement Inputs and Valuation Techniques [Line Items]

Fair value measurement inputs and valuation techniques

The Company utilized the following weighted average assumptions in estimating the fair value of securitized Fix & Flip mortgage loans for the periods indicated:


	June 30, 2021					December 31, 2020
	Successor					Predecessor
	Range of Input		Weighted Average of Input			Range of Input		Weighted Average of Input
Prepayment rate (SMM)		NM		15.3	%		NM		17.1	%
Discount rate		5.1% - 10.0%		5.1	%		6.7% - 10.0%		6.7	%
Loss frequency		0.3% - 77.2%		0.7	%		0.2% - 44.0%		0.6	%

Inventory Buyout [Member]

Fair Value Measurement Inputs and Valuation Techniques [Line Items]

Fair value measurement inputs and valuation techniques

The following table presents the weighted average significant unobservable inputs used in the fair value measurement of Inventory Buyouts classified as reverse mortgage loans held for investment for the periods indicated:


	June 30, 2021					December 31, 2020
	Successor					Predecessor
	Range of Input		Weighted Average of Input			Range of Input		Weighted Average of Input
Conditional repayment rate		NM		45.8	%		NM		44.0	%
Loss frequency		NM		53.6	%		NM		46.9	%
Loss severity		NM		9.4	%		NM		10.5	%
Discount rate		NM		3.6	%		NM		4.1	%

Non Agency Reverse Mortgage Loans [Member]

Fair Value Measurement Inputs and Valuation Techniques [Line Items]

Fair value measurement inputs and valuation techniques

The following table presents the weighted average significant unobservable inputs used in the fair value measurement of

non-agency

reverse mortgage loans classified as reverse mortgage loans held for investment for the periods indicated:


	June 30, 2021					December 31, 2020
	Successor					Predecessor
	Range of Input		Weighted Average of Input			Range of Input		Weighted Average of Input
Weighted-average remaining life in years		NM		8.0			NM		8.0
Loan to value		0.4% - 62.8%		44.6	%		0.1% - 62.1%		44.0	%
Conditional repayment rate		NM		16.9	%		NM		16.8	%
Loss severity		NM		10.0	%		NM		10.0	%
Home price appreciation		3.9% - 8.8%		5.9	%		1.1% - 8.9%		5.5	%
Discount rate		NM		3.7	%		NM		3.6	%

Commercial Mortgage Agricultural Loans [Member]

Fair Value Measurement Inputs and Valuation Techniques [Line Items]

Fair value measurement inputs and valuation techniques

The Company utilized the following assumptions in estimating the fair value of agricultural loans for the periods indicated:


	June 30, 2021					December 31, 2020
	Successor					Predecessor
	Range of Input		Weighted Average of Input			Range of Input		Weighted Average of Input
Discount rate		NM		4.7	%		NM		6.4	%
Prepayment rate (SMM)		10.0% - 100.0%		28.3	%		0% - 1.0%		0.7	%
Default rate (CDR)		NM		1.0	%		0% - 2.0%		0.4	%

Commercial Mortgage Fix and Flip Loans [Member]

Fair Value Measurement Inputs and Valuation Techniques [Line Items]

Fair value measurement inputs and valuation techniques

The Company utilized the following weighted average assumptions in estimating the fair value of Fix & Flip mortgage loans for the periods indicated:


	June 30, 2021
	Successor
	Range of Input		Weighted Average of Input
Prepayment rate (SMM)		NM		12.5	%
Discount rate		NM		5.4	%
Loss frequency		NM		0.4	%

Commercial Mortgage Single Rental Loans [Member]

Fair Value Measurement Inputs and Valuation Techniques [Line Items]

Fair value measurement inputs and valuation techniques

The Company utilized the following weighted average assumptions in estimating the fair value of SRL mortgage loans held for sale for the periods indicated:


	June 30, 2021					December 31, 2020
	Successor					Predecessor
	Range of Input		Weighted Average of Input			Range of Input		Weighted Average of Input
Prepayment rate (CPR)		1.0% - 17.0%		14.0	%		1.0% - 17.1%		15.4	%
Discount rate		NM		3.3	%		NM		5.0	%
Default rate (CDR)		1.0% - 54.0%		2.4	%		1.0% - 64.9%		3.6	%

Commercial Mortgage Portfolio Lending [Member]

Fair Value Measurement Inputs and Valuation Techniques [Line Items]

Fair value measurement inputs and valuation techniques

The Company utilized the following weighted average assumptions in estimating the fair value of Portfolio mortgage loans held for sale for the periods indicated:


	June 30, 2021					December 31, 2020
	Successor					Predecessor
	Range of Input		Weighted Average of Input			Range of Input		Weighted Average of Input
Prepayment rate (CPR)		0.0% - 14.8%		8.1	%		0% - 15.0%		9.3	%
Discount rate		NM		3.8	%		NM		4.9	%
Default rate (CDR)		1.0% - 27.1%		1.7	%		1.0% - 42.7%		2.0	%

Fix And Flip Loans [Member]

Fair Value Measurement Inputs and Valuation Techniques [Line Items]

Fair value measurement inputs and valuation techniques

The Company utilized the following weighted average assumptions in estimating the fair value of fix & flip mortgage loans for the periods indicated:


	December 31, 2020
	Predecessor
	Range of Input		Weighted Average of Input
Prepayment rate (SMM)		NM		12.4	%
Discount rate		6.7% - 10.0%		7.2	%
Loss frequency		NM		0.8	%

Mortgage Servicing Rights [Member]

Fair Value Measurement Inputs and Valuation Techniques [Line Items]

Fair value measurement inputs and valuation techniques

The following tables summarize certain information regarding the servicing portfolio of retained MSRs for the periods indicated:


	June 30, 2021			December 31, 2020
	Successor			Predecessor
Capitalization servicing rate		1.0	%		0.8	%
Capitalization servicing multiple		3.8			3.2
Weighted-average servicing fee (in basis points)		25			25

The significant assumptions used in estimating the fair value of MSRs were as follows (in annual rates):


	June 30, 2021					December 31, 2020
	Successor					Predecessor
	Range of Input		Weighted Average of Input			Range of Input		Weighted Average of Input
Weighted average prepayment speed (CPR)		5.7% - 19.9%		10.1	%		6.6% - 24.9%		12.1	%
Discount rate		NM		10.4	%		NM		12.1	%
Weighted average delinquency rate		1.2% - 9.1%		1.3	%		1.2% - 9.2%		1.3	%

The following table summarizes the estimated change in the fair value of MSRs from adverse changes in the significant assumptions (in thousands):


	June 30, 2021
	Successor
	Weighted Average Prepayment Speed			Discount Rate			Weighted Average Delinquency Rate
Impact on fair value of 10% adverse change	$	(10,734	)	$	(10,921	)	$	(138	)
Impact on fair value of 20% adverse change		(20,763	)		(21,093	)		(348	)

HMBS Related Obligations [Member]

Fair Value Measurement Inputs and Valuation Techniques [Line Items]

Fair value measurement inputs and valuation techniques

The following table presents the weighted average significant unobservable inputs used in the fair value measurement of HMBS related obligations for the periods indicated:

June 30, 2021

December 31, 2020

Successor

Predecessor

Range of Input

Weighted Average
of Input

Range of Input

Weighted Average
of Input

Conditional repayment rate

20.2

19.9

Discount rate

1.7

1.4

Reverse Mortgage Loans [Member]

Fair Value Measurement Inputs and Valuation Techniques [Line Items]

Fair value measurement inputs and valuation techniques

The following table presents the weighted average significant unobservable inputs used in the fair value measurements of nonrecourse debt for the periods indicated:


	June 30, 2021					December 31, 2020
	Successor					Predecessor
	Range of Input		Weighted Average of Input			Range of Input		Weighted Average of Input
Performing/Nonperforming HECM securitizations
Weighted-average remaining life (in years)		0.6 - 1.2		0.9			0.2 - 1.5		1.0
Conditional repayment rate		19.6% - 29.1%		23.9	%		34.3% - 56.3%		42.8	%
Discount rate		NM		2.1	%		NM		3.1	%
Securitized Non-Agency Reverse
Weighted-average remaining life (in years)		1.3 - 2.1		1.9			0.3 - 2.7		2.1
Conditional repayment rate		20.6% - 31.2%		25.6	%		19.6% - 35.8%		23.9	%
Discount rate		NM		2.0	%		NM		2.2	%

Commercial Mortgage Loans [Member]

Fair Value Measurement Inputs and Valuation Techniques [Line Items]

Fair value measurement inputs and valuation techniques

The following table presents the significant unobservable inputs used in the fair value measurements of nonrecourse debt for the periods indicated:


	June 30, 2021					December 31, 2020
	Successor					Predecessor
	Range of Input		Weighted Average of Input			Range of Input		Weighted Average of Input
Nonrecourse debt
Weighted-average remaining life (in months)		NM		3.8			1.9 - 4.1		3.4
Weighted-average prepayment speed (SMM)		NM		17.1	%		17.7% - 32.0%		21.4	%
Discount rate		NM		2.5	%		NM		5.8	%

Non Recourse MSR Financing Liability [Member]

Fair Value Measurement Inputs and Valuation Techniques [Line Items]

Fair value measurement inputs and valuation techniques

The significant assumptions used in estimating the fair value of the outstanding nonrecourse MSR financing liability were as follows (in annual rates):


	June 30, 2021					December 31, 2020
	Successor					Predecessor
	Range of Input		Weighted Average of Input			Range of Input		Weighted Average of Input
Weighted average prepayment speed (CPR)		6.0% - 16.0%		9.2	%		6.9% - 12.7%		11.6	%
Discount rate		10.9% - 11.0%		11.0	%		11.7% - 12.0%		12.0	%
Weighted average delinquency rate		NM		1.0	%		NM		1.8	%

The following table summarizes the estimated change in the fair value of the nonrecourse MSR financing liability, at fair value from adverse changes in the significant assumptions (in thousands):


	June 30, 2021
	Successor
	Weighted Average Prepayment Speed			Discount Rate			Weighted Average Delinquency Rate
Impact on fair value of 10% adverse change	$	(1,231	)	$	(2,112	)	$	(23	)
Impact on fair value of 20% adverse change		(2,889	)		(4,552	)		(58	)