CONSOLIDATED BALANCE SHEETS (USD $) In Thousands, unless otherwise specified	Sep. 30, 2011	Dec. 31, 2010
ASSETS
Cash and cash equivalents	$ 8,716	$ 11,507
Restricted cash	4,915	1,495
Trust assets
Investment securities available-for-sale	444	645
Securitized mortgage collateral	5,441,590	6,011,675
Derivative assets	37	40
Real estate owned (REO)	61,255	92,708
Total trust assets	5,503,326	6,105,068
Mortgage loans held-for-sale	50,093	4,283
Assets of discontinued operations	105	373
Other assets	29,690	31,213
Total assets	5,596,845	6,153,939
Trust liabilities
Securitized mortgage borrowings	5,446,030	6,012,745
Derivative liabilities	31,062	65,916
Total trust liabilities	5,477,092	6,078,661
Warehouse borrowings	46,948	4,057
Long-term debt	11,333	11,728
Notes payable	6,575	6,874
Liabilities of discontinued operations	10,197	13,053
Other liabilities	14,481	11,869
Total liabilities	5,566,626	6,126,242
Commitments and contingencies
STOCKHOLDERS' EQUITY
Common stock, $0.01 par value; 200,000,000 shares authorized; 7,814,946 and 7,787,546 shares issued and outstanding as of September 30, 2011 and December 31, 2010, respectively	78	78
Additional paid-in capital	1,076,611	1,076,375
Net accumulated deficit:
Cumulative dividends declared	(822,520)	(822,520)
Retained deficit	(225,082)	(227,558)
Net accumulated deficit	(1,047,602)	(1,050,078)
Total Impac Mortgage Holdings, Inc. stockholders' equity	29,108	26,396
Noncontrolling interests	1,111	1,301
Total equity	30,219	27,697
Total liabilities and stockholders' equity	5,596,845	6,153,939
Series A junior participating preferred stock
STOCKHOLDERS' EQUITY
Preferred stock
Series B redeemable preferred stock
STOCKHOLDERS' EQUITY
Preferred stock	7	7
Series C redeemable preferred stock
STOCKHOLDERS' EQUITY
Preferred stock	$ 14	$ 14

CONSOLIDATED BALANCE SHEETS (Parenthetical) (USD $) In Thousands, except Share data, unless otherwise specified	9 Months Ended	12 Months Ended
	Sep. 30, 2011	Dec. 31, 2010
Common stock, par value (in dollars per share)	$ 0.01	$ 0.01
Common stock, shares authorized	200,000,000	200,000,000
Common stock, shares issued	7,814,946	7,787,546
Common stock, shares outstanding	7,814,946	7,787,546
Series A junior participating preferred stock
Preferred stock, par value (in dollars per share)	$ 0.01	$ 0.01
Preferred stock, shares authorized	2,500,000	2,500,000
Preferred stock, shares issued	0	0
Preferred stock, shares outstanding	0	0
Series B redeemable preferred stock
Preferred stock, par value (in dollars per share)	$ 0.01	$ 0.01
Preferred stock, dividend rate (as a percent)	9.375%	9.375%
Preferred stock, liquidation value (in dollars)	$ 16,904	$ 16,904
Preferred stock, shares authorized	2,000,000	2,000,000
Preferred stock, shares issued	665,592	665,592
Preferred stock, shares outstanding	665,592	665,592
Series C redeemable preferred stock
Preferred stock, par value (in dollars per share)	$ 0.01	$ 0.01
Preferred stock, dividend rate (as a percent)	9.125%	9.125%
Preferred stock, liquidation value (in dollars)	$ 35,389	$ 35,389
Preferred stock, shares authorized	5,500,000	5,500,000
Preferred stock, shares issued	1,405,086	1,405,086
Preferred stock, shares outstanding	1,405,086	1,405,086

CONSOLIDATED STATEMENTS OF OPERATIONS (USD $) In Thousands, except Per Share data, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2011	Sep. 30, 2010	Sep. 30, 2011	Sep. 30, 2010
INTEREST INCOME	$ 172,657	$ 230,927	$ 593,122	$ 759,016
INTEREST EXPENSE	172,497	229,256	590,117	755,020
Net interest income	160	1,671	3,005	3,996
NON-INTEREST INCOME:
Change in fair value of net trust assets, excluding REO	10,297	9,573	17,596	12,701
Losses from REO	(6,867)	(10,147)	(11,855)	(6,290)
Non-interest income - net trust assets	3,430	(574)	5,741	6,411
Mortgage and real estate services fees	17,857	15,547	44,558	42,168
Gain on sale of Experience 1, Inc.	1,780		1,780
Other income	1,270	1,189	1,299	876
Total non-interest income	24,337	16,162	53,378	49,455
NON-INTEREST EXPENSE:
Personnel expense	13,599	10,683	36,659	31,132
General and administrative	5,505	4,869	15,089	14,278
Total non-interest expense	19,104	15,552	51,748	45,410
Earnings from continuing operations before income taxes	5,393	2,281	4,635	8,041
Income tax expense from continuing operations	957	14	978	143
Earnings from continuing operations	4,436	2,267	3,657	7,898
(Loss) earnings from discontinued operations, net of tax	(1,490)	(1,285)	(1,832)	1,905
Net earnings	2,946	982	1,825	9,803
Net loss (earnings) attributable to noncontrolling interests	156	(8)	651	375
Net earnings attributable to IMH	$ 3,102	$ 974	$ 2,476	$ 10,178
Earnings (loss) per common share - basic:
Earnings from continuing operations attributable to IMH (in dollars per share)	$ 0.59	$ 0.29	$ 0.55	$ 1.07
(Loss) earnings from discontinued operations (in dollars per share)	$ (0.19)	$ (0.16)	$ (0.23)	$ 0.25
Net earnings per share available to common stockholders (in dollars per share)	$ 0.40	$ 0.13	$ 0.32	$ 1.32
Earnings (loss) per common share - diluted:
Earnings from continuing operations attributable to IMH (in dollars per share)	$ 0.55	$ 0.27	$ 0.52	$ 0.99
(Loss) earnings from discontinued operations (in dollars per share)	$ (0.18)	$ (0.15)	$ (0.22)	$ 0.23
Net earnings per share available to common stockholders (in dollars per share)	$ 0.37	$ 0.12	$ 0.30	$ 1.22

CONSOLIDATED STATEMENTS OF CASH FLOWS (USD $) In Thousands, unless otherwise specified	9 Months Ended
	Sep. 30, 2011	Sep. 30, 2010
CASH FLOWS FROM OPERATING ACTIVITIES:
Net earnings	$ 1,825	$ 9,803
Losses from REO	11,855	6,290
Change in fair value of mortgage servicing rights	(106)
Extinguishment of debt	338
Gain on sale of loans	(6,312)
Origination of mortgage loans held-for-sale	(525,106)
Sale and principal reduction on mortgage loans held-for-sale	486,235
Change in fair value of net trust assets, excluding REO	(61,693)	(101,706)
Change in fair value of long-term debt	(2,102)	(952)
Accretion of interest income and expense	251,040	307,710
Change in REO impairment reserve	(22,248)	(12,462)
Stock-based compensation	222	472
Impairment of deferred charge	949
Gain on sale of Experience 1, Inc.	(1,780)
Net change in restricted cash	(3,420)	250
Amortization of discount on note payable	985
Net change in other assets and liabilities	2,517	(3,213)
Net cash used in operating activities of discontinued operations	(2,685)	(3,226)
Net cash provided by operating activities	130,514	202,966
CASH FLOWS FROM INVESTING ACTIVITIES:
Net change in securitized mortgage collateral	530,949	563,708
Net change in mortgages held-for-investment	(61)	148
Sale of Experience 1, Inc.	512
Maturity of short-term investments		5,000
Purchase of premises and equipment	(612)	(1,274)
Net principal change in investment securities available-for-sale	161	117
Proceeds from the sale of real estate owned	117,265	175,707
Net cash provided by investing activities of discontinued operations		1,907
Net cash provided by investing activities	648,214	745,313
CASH FLOWS FROM FINANCING ACTIVITIES:
Repayment of warehouse borrowings	(474,848)	(580)
Borrowings under warehouse agreements	517,739	2,024
Repayment of line of credit	(1,850)
Borrowings under line of credit	3,850
Repayment of securitized mortgage borrowings	(825,447)	(941,985)
Issuance of note payable	8,815
Principal payments on notes payable	(9,688)	(22,935)
Principal payments on capital lease	(201)
Proceeds from exercise of stock options	14	20
Net cash used in financing activities	(781,616)	(963,456)
Net change in cash and cash equivalents	(2,888)	(15,177)
Cash and cash equivalents at beginning of period	11,620	25,850
Cash and cash equivalents at end of period - Continuing Operations	8,716	10,601
Cash and cash equivalents at end of period - Discontinued Operations	16	72
Total cash and cash equivalents at end of period	8,732	10,673
NON-CASH TRANSACTIONS (Continuing and Discontinued Operations):
Transfer of securitized mortgage collateral to real estate owned	75,419	129,907
Acquisition of equipment purchased through capital leases	587
Notes received upon sale of Experience 1, Inc.	200
Common stock issued per marketing service agreement		129
Net effect of consolidation of net trust assets from adoption of accounting principle		119,631
Net effect of consolidation of net trust liabilities from adoption of accounting principle		$ (119,631)

Summary of Business, Market Conditions, and Financial Statement Presentation

9 Months Ended

Sep. 30, 2011

Summary of Business, Market Conditions, and Financial Statement Presentation

Summary of Business, Market Conditions, and Financial Statement Presentation

Note 1.—Summary of Business, Market Conditions, and Financial Statement Presentation

Business Summary

Impac Mortgage Holdings, Inc. (the Company or IMH) is a Maryland corporation incorporated in August 1995 and has the following subsidiaries: Integrated Real Estate Service Corporation (IRES), IMH Assets Corp. (IMH Assets), Impac Warehouse Lending Group, Inc. (IWLG) and Impac Funding Corporation (IFC).

The Company’s continuing operations include the long-term mortgage portfolio (residual interests in securitizations determined as total trust assets minus total trust liabilities in the consolidated balance sheets) and the mortgage and real estate fee-based business activities conducted by IRES. In addition, in 2011 the Company, through IRES, continued its expansion into mortgage lending. The discontinued operations include the former non-conforming mortgage and retail operations conducted by IFC and subsidiaries, and warehouse lending operations conducted by IWLG.

In September and October 2011, the Company sold its interest in Experience 1, Inc., the parent of the title insurance company, for $3.7 million, recording a total gain of approximately $1.9 million ceasing the Company's involvement in title and escrow activities. Refer to Note 9.-Sale of Experience 1, Inc. for additional information regarding the transaction.

The information contained throughout this document is presented on a continuing operations basis, unless otherwise stated.

Market Update and Liquidity

During the first nine months of 2011, we continue to see home price declines in many markets as housing prices remained under pressure due to elevated foreclosure levels. In addition, foreclosure delays among other market conditions may result in continued downward pressure on home prices for the foreseeable future.

Mortgage lending and credit market conditions remained weak through the first nine months of 2011 due primarily to the continued economic uncertainty and slower than expected recovery. Existing uncertainties surrounding the housing market, economy and regulatory environment will continue to present challenges for the Company. The ongoing economic stress or further deterioration of general economic conditions could prolong or increase borrower defaults leading to deteriorating performance of our long-term mortgage portfolio and hinder the growth and profitability of our mortgage lending operations.

A number of factors make it difficult to predict when a sustained recovery in the housing and credit markets will occur. Concerns about the future of the global economy, including the pace and magnitude of recovery from the recent economic recession, consumer confidence, volatility in energy prices, global credit market volatility and trends in corporate earnings will continue to influence the U.S. economic recovery and the capital markets. In the third quarter of 2011, the global financial markets experienced continued volatility and uncertainty as concerns about the Eurozone debt crisis and global economic conditions persisted. Combined with various proposed regulatory reform measures and global downgrades, there was a flight to treasuries from risk-averse investors as overall asset valuations declined. In addition, we believe continued improvement in unemployment rates and a sustained recovery of the housing markets remain critical components of a broader U.S. economic recovery. U.S. unemployment rates, which have been a major factor in the deterioration of credit quality in the U.S., remained high at 9.1 percent in September 2011. While the reported unemployment rate marginally improved from a rate of 9.4 percent at December 2010, it actually increased 30 basis points since the first quarter. Also, a significant number of unemployed U.S. residents are no longer looking for work and, therefore, are not reflected in the reported U.S. unemployment rates based on reports from financial institutions. Reported unemployment rates in 18 states are at or above the U.S. national average. Reported unemployment rates in seven states are at or above 10.0 percent, including California and Florida. California and Florida represent the states with the highest concentration in our long-term mortgage portfolio.

The Company’s ability to meet its long-term liquidity requirements is subject to several factors, such as generating fees from the mortgage and real estate business activities and realizing cash flows from the long-term mortgage portfolio. The Company’s future financial performance and success are dependent in large part upon the ability to grow the mortgage and real estate business activities, including providing services to third parties and expanding the mortgage lending operations. The Company believes that current cash balances, cash flows from mortgage and real estate services fees generated from the long-term mortgage portfolio, and residual interest cash flows from the long-term mortgage portfolio are adequate for the current operating needs. However, the mortgage and real estate services market is volatile, highly competitive and subject to increased regulation. The Company’s ability to successfully compete in the mortgage and real estate services industry is challenging as its business activities have been established in the last few years and many competitors have recently entered or have established businesses delivering similar services. Additionally, the mortgage lending environment is extremely competitive and highly regulated. The future success of the mortgage lending operations will depend on a number of factors, including the ability to procure adequate financing to fund loan production, maintaining associated financial covenants of lenders, the profitability and growth of our origination channels, housing market conditions, economic recovery and financial regulatory reform. Also, the Company's ability to manage short-term liquidity needs including servicing advances may be dependent on successfully securing short-term borrowing facilities. If the Company is unsuccessful, the Company may be unable to satisfy the future operating costs and liabilities, including repayment of the note payable and long-term debt. To be successful in expanding the business and providing adequate returns to the shareholders, the Company may seek financing in the form of debt or equity capital.

Financial Statement Presentation

The accompanying unaudited consolidated financial statements of IMH and its subsidiaries (as defined above) have been prepared in accordance with Accounting Principles Generally Accepted in the United States of America (GAAP) for interim financial information and with the instructions to Form 10-Q and Rule 8-03 of Regulation S-X. Accordingly, they do not include all of the information and footnotes required by GAAP for complete financial statements. In the opinion of management, all adjustments, consisting of normal recurring adjustments considered necessary for a fair presentation, have been included. Operating results for the three and nine months ended September 30, 2011 are not necessarily indicative of the results that may be expected for the year ending December 31, 2011. These interim period condensed consolidated financial statements should be read in conjunction with the Company’s audited consolidated financial statements, which are included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2010, filed with the United States Securities and Exchange Commission (SEC).

All significant inter-company balances and transactions have been eliminated in consolidation. In addition, certain amounts in the prior periods’ consolidated financial statements have been reclassified to conform to the current year presentation.

Management has made a number of estimates and assumptions relating to the reporting of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period to prepare these consolidated financial statements in conformity with GAAP. The items affected by such estimates and assumptions include the valuation of trust assets and trust liabilities, the estimated obligation of repurchase liabilities related to sold loans, the valuation of long-term debt and mortgage loans held-for-sale. Actual results could differ from those estimates and assumptions.

Recently Adopted Accounting Pronouncements

In January 2010, the FASB issued Accounting Standards Update (ASU) No. 2010-6 “Improving Disclosures About Fair Value Measurements” (ASU 2010-6). The ASU amends Codification Topic 820 “Fair Value Measurements and Disclosures” to add new disclosure requirements for transfers into and out of Levels 1 and 2 fair value measurements, as well as separate disclosures about purchases, sales, issuances, and settlements relating to Level 3 fair value measurements. ASU 2010-6 also clarifies existing fair value disclosures regarding the level of disaggregation and inputs and valuation techniques used to measure fair value. ASU 2010-6 is effective for the first reporting period (including interim periods) beginning after December 15, 2009, except for the requirement to provide the Level 3 activity of purchases, sales, issuances, and settlements on a gross basis, which will be effective for fiscal years beginning after December 15, 2010, and for interim periods within those fiscal years. ASU 2010-6 only adds new disclosure requirements and as a result, its adoption did not have an impact on the Company’s consolidated financial statements.

Legal Proceedings

On May 26, 2011, a matter was filed in the United States district Court, Central district of California as Case No. CV11-4514 DSF entitled Citigroup Global Markets, Inc. v. Impac Secured Assets Corp., Impac Funding Corporation and Impac Mortgage Holdings, Inc. The action alleges a violation of Section 18 and Section 20 of the Securities Act of 1933 and negligent misrepresentation, all involved in the issuance and sale of bonds from a securitization trust. The plaintiff alleges they relied on certain documents filed with the SEC that were subsequently the subject of an amended filing. The matter seeks unspecified damages, interest, legal fees and litigation expenses.

In October of this year, the Company received notices of claims for indemnification relating to mortgage backed securities bonds issued, originated, or sold by Impac Secured Assets Corp., Impac Funding Corporation, IMH Assets Corp. and Impac Mortgage Holdings, Inc. from Countrywide Securities Corporation (Countrywide) and Merrill Lynch, Pierce, Fenner & Smith Incorporated (Merrill Lynch). The claims seek indemnification from claims asserted against Countrywide and Merrill Lynch in specified legal actions entitled American International Group Inc. v. Bank of America Corp., et al Case No. 1:11-cv-06212 in the United States District Court for the Southern District of New York and Federal Home Loan Bank of Boston v. Ally Financial, Inc., et al Case No. 11-cv-10952 in the Superior Court Department of the Commonwealth of Massachusetts. The notices each seek indemnification for all losses, liabilities, damages and legal fees and costs incurred in those actions.

We are party to litigation and claims which are normal in the course of our operations. While the results of such other litigation and claims cannot be predicted with certainty, we believe the final outcome of such matters will not have a material adverse effect on our financial condition or results of operations.

The Company believes that it has meritorious defenses to the above claims and intends to defend these claims vigorously. Nevertheless, litigation is uncertain and the Company may not prevail in the lawsuits and can express no opinion as to their ultimate resolution. An adverse judgment in any of these matters could have a material adverse effect on the Company’s financial position and results of operations.

Please refer to IMH’s report on Form 10-K for the year ended December 31, 2010 and Forms 10-Q for the quarters ended June 30, 2011 and March, 31, 2011 for a description of litigation and claims.

- Definition

The entire disclosure for organization, consolidation and basis of presentation of financial statements disclosure.

+ References

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+ Details

Fair Value of Financial Instruments

9 Months Ended

Sep. 30, 2011

Fair Value of Financial Instruments

Fair Value of Financial Instruments

Note 2.—Fair Value of Financial Instruments

The use of fair value to measure the Company’s financial instruments is fundamental to its consolidated financial statements and is a critical accounting estimate because a substantial portion of its assets and liabilities are recorded at estimated fair value.

The following table presents the estimated fair value of financial instruments included in the consolidated financial statements as of the dates indicated:

	September 30, 2011				December 31, 2010
	Carrying Amount		Estimated Fair Value		Carrying Amount		Estimated Fair Value
Assets
Cash and cash equivalents	$	8,716	$	8,716	$	11,507	$	11,507
Restricted cash	4,915		4,915		1,495		1,495
Investment securities available-for-sale	444		444		645		645
Securitized mortgage collateral	5,441,590		5,441,590		6,011,675		6,011,675
Derivative assets - securitized trusts	37		37		40		40
Derivative assets - lending	1,358		1,358		—		—
Mortgage servicing rights	2,190		2,190		1,439		1,439
Mortgage loans held-for-sale	50,093		50,093		4,283		4,283
Call option	252		252		706		706

Liabilities
Securitized mortgage borrowings	5,446,030		5,446,030		6,012,745		6,012,745
Derivative liabilities - securitized trusts	31,062		31,062		65,916		65,916
Derivative liabilities - lending	927		927		—		—
Long-term debt	11,333		11,333		11,728		11,728
Warehouse borrowings	46,948		46,948		4,057		4,057
Notes payable	6,575		7,429		6,874		6,818
Put option	15		15		61		61

The fair value amounts above have been estimated by management using available market information and appropriate valuation methodologies. Considerable judgment is required to interpret market data to develop the estimates of fair value in both inactive and orderly markets. Accordingly, the estimates presented are not necessarily indicative of the amounts that could be realized in a current market exchange. The use of different market assumptions or estimation methodologies may have a material effect on the estimated fair value amounts.

For securitized mortgage collateral and securitized mortgage borrowings, the underlying Alt-A residential and commercial loans and mortgage-backed securities market have experienced significant declines in market activity, along with a lack of orderly transactions. The Company’s methodology to estimate fair value of these assets and liabilities include the use of internal pricing techniques such as the net present value of future expected cash flows (with observable market participant assumptions, where available) discounted at a rate of return based on the Company’s estimates of market participant requirements. The significant assumptions utilized in these internal pricing techniques, which are based on the characteristics of the underlying collateral, include estimated credit losses, estimated prepayment speeds and appropriate discount rates.

The mortgage lending operations enters into interest rate lock commitments (IRLCs) and utilizes forward sold Fannie Mae and Ginnie Mae mortgage backed securities (Hedging Instruments) to hedge the fair value changes associated with changes in interest rates relating to its conforming mortgage loan origination operations. The fair value of IRLCs and Hedging Instruments are represented as derivative assets and liabilities — lending in the table above.

Refer to Recurring Fair Value Measurements below for a description of the valuation methods used to determine the fair value of investment securities available for sale, securitized mortgage collateral and borrowings, derivative assets and liabilities — securitized trusts, derivative assets and liabilities - lending, long-term debt, mortgage servicing rights, loans held-for-sale, and call and put options.

The carrying amount of cash and cash equivalents and restricted cash approximates fair value.

Warehouse borrowings fair value approximates carrying amounts due to the short-term nature of the liabilities at market rates and do not present unanticipated interest rate or credit concerns.

Notes payable includes notes with maturities ranging from less than a year to three years. Notes payable is recorded at amortized cost, net of any discounts. The estimated fair value is determined using a discounted cash flow model using estimated market rates.

Fair Value Hierarchy

The application of fair value measurements may be on a recurring or nonrecurring basis depending on the accounting principles applicable to the specific asset or liability or whether management has elected to carry the item at its estimated fair value.

FASB ASC 820-10-35 specifies a hierarchy of valuation techniques based on whether the inputs to those techniques are observable or unobservable. Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect the Company’s market assumptions. These two types of inputs create the following fair value hierarchy:

· Level 1—Quoted prices (unadjusted) in active markets for identical instruments or liabilities that an entity has the ability to assess at measurement date.

· Level 2—Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; inputs other than quoted prices that are observable for an asset or liability, including interest rates and yield curves observable at commonly quoted intervals, prepayment speeds, loss severities, credit risks and default rates; and market-corroborated inputs.

· Level 3—Valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable.

This hierarchy requires the Company to use observable market data, when available, and to minimize the use of unobservable inputs when estimating fair value.

As a result of the lack of observable market data resulting from inactive markets, the Company has classified its investment securities available-for-sale, securitized mortgage collateral and borrowings, net derivative liabilities — securitized trusts, long-term debt, mortgage servicing rights, and call and put options as Level 3 fair value measurements. Level 3 assets and liabilities were 99% and 100%, respectively, of total assets and total liabilities measured at estimated fair value at September 30, 2011 and December 31, 2010.

Recurring Fair Value Measurements

We assess our financial instruments on a quarterly basis to determine the appropriate classification within the fair value hierarchy, as defined by ASC Topic 810. Transfers between fair value classifications occur when there are changes in pricing observability levels. Transfers of financial instruments among the levels occur at the beginning of the reporting period. There were no material transfers between our Level 1 and Level 2 classified instruments during the three and nine months ended September 30, 2011.

The following tables present the Company’s assets and liabilities that are measured at estimated fair value on a recurring basis, including financial instruments for which the Company has elected the fair value option at September 30, 2011 and December 31, 2010, based on the fair value hierarchy:

	Recurring Fair Value Measurements
	September 30, 2011						December 31, 2010
	Level 1		Level 2		Level 3		Level 1		Level 2		Level 3
Assets
Investment securities available-for-sale	$	—	$	—	$	444	$	—	$	—	$	645
Mortgage loans held-for-sale	—		50,093		—		—		4,283		—
Derivative assets, net - lending (1)	—		431		—		—		—		—
Mortgage servicing rights (2)	—		—		2,190		—		—		1,439
Call option (2)	—		—		252		—		—		706
Securitized mortgage collateral	—		—		5,441,590		—		—		6,011,675
Total assets at fair value	$	—	$	50,524	$	5,444,476	$	—	$	4,283	$	6,014,465

Liabilities
Securitized mortgage borrowings	$	—	$	—	$	5,446,030	$	—	$	—	$	6,012,745
Derivative liabilities, net - securitized trusts (3)	—		—		31,025		—		—		65,876
Long-term debt	—		—		11,333		—		—		11,728
Put option (4)	—		—		15		—		—		61
Total liabilities at fair value	$	—	$	—	$	5,488,403	$	—	$	—	$	6,090,410

(1) At September 30, 2011, derivative assets, net — lending, included $1.4 million in IRLCs and $927 thousand in Hedging Instruments, respectively, associated with the Company’s mortgage lending operations, and is included in other assets and other liabilities in the accompanying consolidated balance sheets.

(2) Included in other assets in the accompanying consolidated balance sheets.

(3) At September 30, 2011, derivative liabilities, net — securitized trusts, included $37 thousand in derivative assets and $31.1 million in derivative liabilities, included within trust assets and trust liabilities, respectively. At December 31, 2010, derivative liabilities, net — securitized trusts, included $40 thousand in derivative assets and $65.9 million in derivative liabilities, included within trust assets and trust liabilities, respectively.

(4) Included in other liabilities in the accompanying consolidated balance sheets.

The following tables present a reconciliation for all assets and liabilities measured at estimated fair value on a recurring basis using significant unobservable inputs (Level 3) for the three and nine months ended September 30, 2011 and 2010:

	Level 3 Recurring Fair Value Measurements
	For the three months ended September 30, 2011
	Investment securities available- for-sale			Securitized mortgage collateral			Securitized mortgage borrowings			Derivative liabilities, net			Mortgage servicing rights		Call option			Put option			Long-term debt
Fair value, June 30, 2011	$	447		$	5,641,957		$	(5,651,842	)	$	(38,104	)	$	1,405	$	454		$	(23	)	$	(12,148	)
Total gains (losses) included in earnings:
Interest income (1)	30			73,164			—			—			—		—			—			—
Interest expense (1)	—			—			(152,229		)	—			—		—			—			(644		)
Change in fair value	17			(92,459		)	106,771			(4,032		)	140		(202		)	8			1,459
Total gains (losses) included in earnings	47			(19,295		)	(45,458		)	(4,032		)	140		(202		)	8			815
Transfers in and/or out of Level 3	—			—			—			—			—		—			—			—
Purchases, issuances and settlements
Purchases	—			—			—			—					—			—			—
Issuances	—			—			—			—			645		—			—			—
Settlements	(50		)	(181,072		)	251,270			11,111			—		—			—			—
Fair value, September 30, 2011	$	444		$	5,441,590		$	(5,446,030	)	$	(31,025	)	$	2,190	$	252		$	(15	)	$	(11,333	)
Unrealized gains (losses) still held (2)	$	279		$	(4,333,232	)	$	6,294,503		$	(30,665	)	$	—	$	—		$	—		$	59,430

(1) Amounts primarily represent accretion to recognize interest income and interest expense using effective yields based on estimated fair values for trust assets and trust liabilities. The total net interest income, including cash received and paid, was $160 thousand for the three months ended September 30, 2011, as reflected in the accompanying consolidated statement of operations. The difference between accretion of interest income and expense and the amounts of interest income and expense recognized in the consolidated statements of operations is primarily from contractual interest on the securitized mortgage collateral and borrowings.

(2) Represents the amount of unrealized gains (losses) relating to assets and liabilities classified as Level 3 that are still held and reflected in the fair values at September 30, 2011.

	Level 3 Recurring Fair Value Measurements
	For the three months ended September 30, 2010
	Investment securities available- for-sale			Securitized mortgage collateral			Securitized mortgage borrowings			Derivative liabilities, net			Long-term debt
Fair value, June 30, 2010	$	1,269		$	6,215,213		$	(6,200,592	)	$	(100,723	)	$	(11,357	)
Total gains (losses) included in earnings:
Interest income (1)	90			120,487			—			—			—
Interest expense (1)	—			—			(203,594		)	—			(633		)
Change in fair value	(66		)	(44,287		)	66,194			(12,268		)	1,168
Total gains (losses) included in earnings	24			76,200			(137,400		)	(12,268		)	535
Transfers in and/or out of Level 3	—			—			—			—			—
Purchases, issuances and settlements
Purchases	—			—			—			—			—
Issuances	—			—			—			—			—
Settlements	(39		)	(220,836		)	276,992			24,002			—
Fair value, September 30, 2010	$	1,254		$	6,070,577		$	(6,061,000	)	$	(88,989	)	$	(10,822	)
Unrealized gains (losses) still held (2)	$	971		$	(4,949,059	)	$	6,772,511		$	(89,889	)	$	59,941

(1) Amounts primarily represent accretion to recognize interest income and interest expense using effective yields based on estimated fair values for trust assets and trust liabilities. The total net interest income, including cash received and paid, was $1.7 million for the three months ended September 30, 2010, as reflected in the accompanying consolidated statement of operations. The difference between accretion of interest income and expense and the amounts of interest income and expense recognized in the consolidated statements of operations is primarily from contractual interest on the securitized mortgage collateral and borrowings.

(2) Represents the amount of unrealized gains (losses) relating to assets and liabilities classified as Level 3 that are still held and reflected in the fair values at September 30, 2010.

	Level 3 Recurring Fair Value Measurements
	For the nine months ended September 30, 2011
	Investment securities available- for-sale			Securitized mortgage collateral			Securitized mortgage borrowings			Derivative liabilities, net			Mortgage servicing rights		Call option			Put option			Long-term debt
Fair value, December 31, 2010	$	645		$	6,011,675		$	(6,012,745	)	$	(65,876	)	$	1,439	$	706		$	(61	)	$	(11,728	)
Total gains (losses) included in earnings:
Interest income (1)	88			276,009			—			—			—		—			—			—
Interest expense (1)	—			—			(525,430		)	—			—		—			—			(1,707		)
Change in fair value of net trust assets, excluding REO	(128		)	(239,727		)	265,754			(8,303		)	106		(454		)	46			2,102
Total (losses) gains included in earnings	(40		)	36,282			(259,676		)	(8,303		)	106		(454		)	46			395
Transfers in and/or out of Level 3	—			—			—			—											—
Purchases, issuances and settlements
Purchases	—			—			—			—			—		—			—			—
Issuances	—			—			—			—			645		—			—			—
Settlements	(161		)	(606,367		)	826,391			43,154			—		—			—			—
Fair value, September 30, 2011	$	444		$	5,441,590		$	(5,446,030	)	$	(31,025	)	$	2,190	$	252		$	(15	)	$	(11,333	)
Unrealized gains (losses) still held (2)	$	279		$	(4,333,232	)	$	6,294,503		$	(30,665	)	$	—	$	—		$	—		$	59,430

(1) Amounts primarily represent accretion to recognize interest income and interest expense using effective yields based on estimated fair values for trust assets and trust liabilities. The total net interest income, including cash received and paid, was $3.0 million for the nine months ended September 30, 2011, as reflected in the accompanying consolidated statement of operations. The difference between accretion of interest income and expense and the amounts of interest income and expense recognized in the consolidated statements of operations is primarily from contractual interest on the securitized mortgage collateral and borrowings.

	Level 3 Recurring Fair Value Measurements
	For the nine months ended September 30, 2010
	Investment securities available- for-sale			Securitized mortgage collateral			Securitized mortgage borrowings			Derivative liabilities, net			Long-term debt
Fair value, December 31, 2009	$	813		$	5,666,122		$	(5,659,865	)	$	(126,457	)	$	(9,773	)
Total gains (losses) included in earnings:
Interest income (1)	203			374,686			—			—			—
Interest expense (1)	—			—			(680,598		)	—			(2,001		)
Change in fair value of net trust assets, excluding REO	653			606,477			(552,853		)	(41,576		)	952
Total (losses) gains included in earnings	856			981,163			(1,233,451		)	(41,576		)	(1,049		)
Adoption of ASU 2009-17 (2)	(298		)	116,907			(110,618		)	(9,013		)	—
Transfers in and/or out of Level 3	—			—			—			—			—
Purchases, issuances and settlements
Purchases	—			—			—			—			—
Issuances	—			—			—			—			—
Settlements	(117		)	(693,615		)	942,934			88,057			—
Fair value, September 30, 2010	$	1,254		$	6,070,577		$	(6,061,000	)	$	(88,989	)	$	(10,822	)

(1) Amounts primarily represent accretion to recognize interest income and interest expense using effective yields based on estimated fair values for trust assets and trust liabilities. The total net interest income, including cash received and paid, was $4.0 million for the nine months ended September 30, 2010, as reflected in the accompanying consolidated statement of operations. The difference between accretion of interest income and expense and the amounts of interest income and expense recognized in the consolidated statements of operations is primarily from contractual interest on the securitized mortgage collateral and borrowings.

(2) Amounts represent the consolidation and deconsolidation of trust assets and liabilities as a result of the adoption of ASU 2009-17 on January 1, 2010. See Note 1. — Summary of Market Conditions and Liquidity, Business and Financial Statement Presentation including Significant Accounting Policies in our Annual Report on Form 10-K for the year ended December 31, 2010 for the impact of the adoption of ASU 2009-17 on our consolidated financial statements.

The following tables present the changes in recurring fair value measurements included in net earnings (loss) for the three and nine months ended September 30, 2011 and 2010:

	Recurring Fair Value Measurements
	Changes in Fair Value Included in Net Earnings
	For the three months ended September 30, 2011
	Interest		Interest			Change in Fair Value of					Other Non-interest			Mortgage and real
	Income (1)		Expense (1)			Net Trust Assets			Long-term Debt		Income			estate services fees			Total
Investment securities available-for-sale	$	30	$	—		$	17		$	—	$	—		$	—		$	47
Securitized mortgage collateral	73,164		—			(92,459		)	—		—			—			(19,295		)
Securitized mortgage borrowings	—		(152,229		)	106,771			—		—			—			(45,458		)
Mortgage servicing rights	—		—			—			—		140			—			140
Call option	—		—			—			—		(202		)	—			(202		)
Put option	—		—			—			—		8			—			8
Derivative liabilities, net	—		—			(4,032		) (2)	—		—			—			(4,032		)
Long-term debt	—		(644		)	—			1,459		—			—			815
Mortgage loans held-for-sale	—		—			—			—		—			457			457
Derivative assets - IRLCs	—		—			—			—		—			1,064			1,064
Derivative liabilities - Hedging Instruments	—		—			—			—		—			(796		)	(796		)
Total	$	73,194	$	(152,873	)	$	10,297		$	1,459	$	(54	)	$	725		$	(67,252	)

(1) Amounts primarily represent accretion to recognize interest income and interest expense using effective yields based on estimated fair values for trust assets and trust liabilities.

(2) Included in this amount is $7.4 million in changes in the fair value of derivative instruments, offset by $11.4 million in cash payments from the securitization trusts for the three months ended September 30, 2011.

	Recurring Fair Value Measurements
	Changes in Fair Value Included in Net Loss
	For the three months ended September 30, 2010
	Interest		Interest			Change in Fair Value of
	Income (1)		Expense (1)			Net Trust Assets			Long-term Debt		Total
Investment securities available-for-sale	$	90	$	—		$	(66	)	$	—	$	24
Securitized mortgage collateral	120,487		—			(44,287		)	—		76,200
Securitized mortgage borrowings	—		(203,594		)	66,194			—		(137,400		)
Derivative liabilities, net	—		—			(12,268		) (2)	—		(12,268		)
Long-term debt	—		(633		)	—			1,168		535
Total	$	120,577	$	(204,227	)	$	9,573		$	1,168	$	(72,909	)

(1) Amounts primarily represent accretion to recognize interest income and interest expense using effective yields based on estimated fair values for trust assets and trust liabilities.

(2) Included in this amount is $12.0 million in changes in the fair value of derivative instruments, offset by $24.3 million in cash payments from the securitization trusts for the three months ended September 30, 2010.

	Recurring Fair Value Measurements
	Changes in Fair Value Included in Net Earnings
	For the nine months ended September 30, 2011
	Interest		Interest			Change in Fair Value of					Other Non-interest			Mortgage and real
	Income (1)		Expense (1)			Net Trust Assets			Long-term Debt		Income			estate services fees			Total
Investment securities available-for-sale	$	88	$	—		$	(128	)	$	—	$	—		$	—		$	(40	)
Securitized mortgage collateral	276,009		—			(239,727		)	—		—			—			36,282
Securitized mortgage borrowings	—		(525,430		)	265,754			—		—			—			(259,676		)
Mortgage servicing rights	—		—			—			—		106			—			106
Call option	—		—			—			—		(454		)	—			(454		)
Put option	—		—			—			—		46			—			46
Derivative liabilities, net	—		—			(8,303		) (2)	—		—			—			(8,303		)
Long-term debt	—		(1,707		)	—			2,102		—			—			395
Mortgage loans held-for-sale	—		—			—			—		—			1,272			1,272
Derivative assets - IRLCs	—		—			—			—		—			1,358			1,358
Derivative liabilities - Hedging Instruments	—		—			—			—		—			(923		)	(923		)
Total	$	276,097	$	(527,137	)	$	17,596	(3)	$	2,102	$	(302	)	$	1,707		$	(229,937	)

(1) Amounts primarily represent accretion to recognize interest income and interest expense using effective yields based on estimated fair values for trust assets and trust liabilities.

(2) Included in this amount is $35.8 million in changes in the fair value of derivative instruments, offset by $44.1 million in cash payments from the securitization trusts for the nine months ended September 30, 2011.

(3) For the nine months ended September 30, 2011, change in the fair value of trust assets, excluding REO was $17.6 million. Excluded from the $61.7 million change in fair value of net trust assets, excluding REO, in the accompanying consolidated statement of cash flows is $44.1 million in cash payments from the securitization trusts related to the Company’s net derivative liabilities.

	Recurring Fair Value Measurements
	Changes in Fair Value Included in Net Loss
	For the nine months ended September 30, 2010
	Interest		Interest			Change in Fair Value of
	Income (1)		Expense (1)			Net Trust Assets			Long-term Debt		Total
Investment securities available-for-sale	$	203	$	—		$	653		$	—	$	856
Securitized mortgage collateral	374,686		—			606,477			—		981,163
Securitized mortgage borrowings	—		(680,598		)	(552,853		)	—		(1,233,451		)
Derivative liabilities, net	—		—			(41,576		) (2)	—		(41,576		)
Long-term debt	—		(2,001		)	—			952		(1,049		)
Total	$	374,889	$	(682,599	)	$	12,701	(3)	$	952	$	(294,057	)

(1) Amounts primarily represent accretion to recognize interest income and interest expense using effective yields based on estimated fair values for trust assets and trust liabilities.

(2) Included in this amount is $47.4 million in changes in the fair value of derivative instruments, offset by $89.0 million in cash payments from the securitization trusts for the nine months ended September 30, 2010.

(3) For the nine months ended September 30, 2010, change in the fair value of net trust assets, excluding REO was $12.7 million. Excluded from the $101.7 million change in fair value of net trust assets, excluding REO, in the accompanying consolidated statement of cash flows is $89.0 million in cash payments from the securitization trusts related to the Company’s net derivative liabilities.

The following is a description of the measurement techniques for items recorded at estimated fair value on a recurring basis.

Investment securities available-for-sale—The Company elected to carry all of its investment securities available-for-sale at fair value. The investment securities consist primarily of non-investment grade mortgage-backed securities. The fair value of the investment securities is measured based upon the Company’s expectation of inputs that other market participants would use. Such assumptions include judgments about the underlying collateral, prepayment speeds, future credit losses, forward interest rates and certain other factors. Given the market disruption and lack of observable market data as of September 30, 2011 and December 31, 2010, the estimated fair value of the investment securities available-for-sale was measured using significant internal expectations of market participants’ assumptions. Investment securities available-for-sale are considered a Level 3 measurement at September 30, 2011.

Mortgage servicing rights—The Company elected to carry all of its mortgage servicing rights at fair value. The fair value of mortgage servicing rights is based upon an internal discounted cash flow model. The valuation model incorporates assumptions that market participants would use in estimating the fair value of servicing. These assumptions include estimates of prepayment speeds, discount rate, cost to service, escrow account earnings, contractual servicing fee income, prepayment and late fees, among other considerations. Mortgage servicing rights are considered a Level 3 measurement at September 30, 2011.

Mortgage loans held-for-sale—The Company elected to carry its mortgage loans held-for-sale originated from its residential mortgage lending platform at fair value. Fair value is based on quoted market prices, where available, prices for other traded mortgage loans with similar characteristics, and purchase commitments and bid information received from market participants. Given the meaningful level of secondary market activity for conforming mortgage loans, active pricing is available for similar assets and accordingly, the Company classifies its mortgage loans held-for-sale as a Level 2 measurement at September 30, 2011.

Call option—As part of the acquisition of AmeriHome Mortgage Corporation (AmeriHome) as more fully discussed in Note 18.—Business Combinations of our Annual Report on Form 10-K for the year ended December 31, 2010, the purchase agreement included a call option to purchase an additional 39% of AmeriHome. The estimated fair value is based on a multinomial model incorporating various assumptions including expected future book value of AmeriHome, the probability of the option being exercised, volatility, expected term and certain other factors. The call option is considered a Level 3 measurement at September 30, 2011.

Put option—As part of the acquisition of AmeriHome, a put option which allows the noncontrolling interest holder to sell his remaining 49% of AmeriHome to the Company in the event the Company does not exercise the call option discussed above. The estimated fair value is based on a multinomial model incorporating various assumptions including expected future book value of AmeriHome, the probability of the option being exercised, volatility, expected term and certain other factors. The put option is considered a Level 3 measurement at September 30, 2011.

Securitized mortgage collateral—The Company elected to carry all of its securitized mortgage collateral at fair value. These assets consist primarily of non-conforming mortgage loans securitized between 2002 and 2007. Fair value measurements are based on the Company’s internal models used to compute the net present value of future expected cash flows with observable market participant assumptions where available. The Company’s assumptions include its expectations of inputs that other market participants would use in pricing these assets. These assumptions include judgments about the underlying collateral, prepayment speeds, estimated future credit losses, forward interest rates, investor yield requirements and certain other factors. As of September 30, 2011, securitized mortgage collateral had an unpaid principal balance of $9.8 billion, compared to an estimated fair value of $5.4 billion. The aggregate unpaid principal balance exceeds the fair value by $4.4 billion at September 30, 2011. As of September 30, 2011, the unpaid principal balance of loans 90 days or more past due was $1.6 billion compared to an estimated fair value of $0.5 billion. The aggregate unpaid principal balances of loans 90 days or more past due exceed the fair value by $1.1 billion at September 30, 2011. Securitized mortgage collateral is considered a Level 3 measurement at September 30, 2011.

Securitized mortgage borrowings—The Company elected to carry all of its securitized mortgage borrowings at fair value. These borrowings consist of individual tranches of bonds issued by securitization trusts and are primarily backed by non-conforming mortgage loans. Fair value measurements include the Company’s judgments about the underlying collateral and assumptions such as prepayment speeds, estimated future credit losses, forward interest rates, investor yield requirements and certain other factors. As of September 30, 2011, securitized mortgage borrowings had an outstanding principal balance of $9.9 billion compared to an estimated fair value of $5.4 billion. The aggregate outstanding principal balance exceeds the fair value by $4.5 billion at September 30, 2011. Securitized mortgage borrowings is considered a Level 3 measurement at September 30, 2011.

Long-term debt—The Company elected to carry all of its long-term debt (consisting of trust preferred securities and junior subordinated notes) at fair value. These securities are measured based upon an analysis prepared by management, which considered the Company’s own credit risk, including settlements with trust preferred debt holders and discounted cash flow analysis. As of September 30, 2011, long-term debt had an unpaid principal balance of $70.5 million compared to an estimated fair value of $11.3 million. The aggregate unpaid principal balance exceeds the fair value by $59.2 million at September 30, 2011. The long-term debt is considered a Level 3 measurement at September 30, 2011.

Derivative assets and liabilities — Securitized trusts—For non-exchange traded contracts, fair value is based on the amounts that would be required to settle the positions with the related counterparties as of the valuation date. Valuations of derivative assets and liabilities are based on observable market inputs, if available. To the extent observable market inputs are not available, fair values measurements include the Company’s judgments about future cash flows, forward interest rates and certain other factors, including counterparty risk. Additionally, these values also take into account the Company’s own credit standing, to the extent applicable; thus, the valuation of the derivative instrument includes the estimated value of the net credit differential between the counterparties to the derivative contract. As of September 30, 2011, the notional balance of derivative assets and liabilities — securitized trusts was $2.3 billion. These derivatives are included in the consolidated securitization trusts, which are nonrecourse to the Company, and thus the economic risk from these derivatives is limited to the Company’s residual interests in the securitization trusts.

Derivative assets and liabilities - Lending — The Company’s derivative assets and liabilities are carried at fair value as required by GAAP and are accounted for as free standing derivatives. The derivative assets are IRLCs with prospective residential mortgage borrowers whereby the interest rate on the loan is determined prior to funding and the borrowers have locked in that interest rate. These commitments are determined to be derivative instruments. The derivative liabilities are Hedging Instruments used to hedge the fair value changes associated with changes in interest rates relating to its conforming mortgage loan origination operations. The Company hedges the period from the interest rate lock (assuming a fall-out factor) to the date of the loan sale. The estimated fair value is based on current market prices for similar instruments. Given the meaningful level of secondary market activity for derivative contracts, active pricing is available for similar assets and accordingly, the Company classifies its derivative assets and liabilities as a Level 2 measurement at September 30, 2011.

The following table includes information for the derivative assets and liabilities — lending for the periods presented:

			Total Gains (Losses) (1)
	Notional Balance		For the Three Months Ended			For the Nine Months Ended
	September 30, 2011		September 30, 2011			September 30, 2011
Derivative assets - IRLC’s	$	122,390	$	1,064		$	1,358
Derivative liabilities - Hedging Instruments	107,000		(3,460		)	(5,505		)

(1) Amounts included in mortgage and real estate services fees within the accompanying consolidated statements of operations.

Nonrecurring Fair Value Measurements

The Company is required to measure certain assets and liabilities at estimated fair value from time to time. These fair value measurements typically result from the application of specific accounting pronouncements under GAAP. The fair value measurements are considered nonrecurring fair value measurements under FASB ASC 820-10.

The following tables present financial and non-financial assets and liabilities measured using nonrecurring fair value measurements at September 30, 2011 and 2010, respectively:

	Nonrecurring Fair Value Measurements							Total Losses
	September 30, 2011							For the Three Months Ended			For the Nine Months Ended
	Level 1		Level 2		Level 3			September 30, 2011 (5)			September 30, 2011 (5)
REO (1)	$	—	$	8,993	$	—		$	(7,006	)	$	(11,992	)
Lease liability (2)	—		—		(2,244		)	(223		)	(525		)
Deferred charge (3)	—		—		12,195			(949		)	(949		)
Intangible assets (4)	—		—		479			—			—

(1) Balance represents REO at September 30, 2011 which have been impaired subsequent to foreclosure. Amounts are included in continuing operations. For the three and nine months ended September 30, 2011, the $7.0 million and $12.0 million loss, respectively, represent additional impairment write-downs during the period.

(2) Amounts are included in discontinued operations. For the three and nine months ended September 30, 2011, the Company recorded $223 thousand and $525 thousand in losses, respectively, resulting from changes in lease liabilities as a result of changes in our expected minimum future lease payments.

(3) Amounts are included in continuing operations. For the three and nine months ended September 30, 2011, the Company recorded $949 thousand in income tax expense resulting from impairment write-downs based on changes in estimated cash flows and lives of the related mortgages retained in the securitized mortgage collateral.

(4) Amount is included in other assets in the accompanying consolidated balance sheets.

(5) Total losses reflect losses from all nonrecurring measurements during the period.

	Non-recurring Fair Value Measurements							Total Gains (Losses)
	September 30, 2010							For the Three Months Ended			For the Nine Months Ended
	Level 1		Level 2		Level 3			September 30, 2010 (6)			September 30, 2010 (6)
Mortgage loans held-for-sale (1)	$	—	$	—	$	—		$	—		$	(218	)
REO (2)	—		69,488		—			(10,258		)	(9,430		)
Lease liability (3)	—		—		(2,353		)	(44		)	357
Deferred charge (4)	—		—		13,144			—			—
Intangible asset (5)	—		—		1,000			—			—

(1) Relates to Alt-A loans held-for-sale included in assets of discontinued operations.

(2) Amounts are included in continuing operations. For the three months ended September 30, 2010, the $10.3 million loss related to additional impairment write-downs during the period is within continuing operations. For the nine months ended September 30, 2010, the $9.4 million loss during the period included $9.8 million of additional impairment write-downs and $355 thousand in recoveries within continuing and discontinued operations, respectively.

(3) Amounts are included in discontinued operations. For the three and nine months ended September 30, 2010, the Company recorded $44 thousand in losses and $357 thousand in recoveries resulting from changes in lease liabilities as a result of changes in our expected minimum future lease payments, respectively.

(4) Amounts are included in continuing operations. For the three and nine months ended September 30, 2010, the Company recorded zero in income tax expense resulting from impairment write-downs based on changes in estimated cash flows and lives of the related mortgages retained in the securitized mortgage collateral.

(5) Amount is included in other assets in the accompanying consolidated balance sheets.

(6) Total gains (losses) reflect gains and losses from all nonrecurring measurements during the period.

Mortgage loans held-for-sale—Mortgage loans held-for-sale (included in assets of discontinued operations) for which the fair value option was not elected are carried at the lower of cost or market (LOCOM). When available, such measurements are based upon what secondary markets offer for portfolios with similar characteristics, and are considered Level 2 measurements. If market pricing is not available, such measurements are significantly impacted by the Company’s expectations of other market participants’ assumptions, and are considered Level 3 measurements. The Company utilizes internal pricing processes to estimate the fair value of these loans, which is based on recent loan sales and estimates of the fair value of the underlying collateral. Loans held-for-sale from the discontinued non-conforming lending division is considered Level 3 fair value measurements at September 30, 2010.

Real estate owned—REO consists of residential real estate acquired in satisfaction of loans. Upon foreclosure, REO is adjusted to the estimated fair value of the residential real estate less estimated selling and holding costs, offset by expected contractual mortgage insurance proceeds to be received, if any. Subsequently, REO is recorded at the lower of carrying value or estimated fair value less costs to sell. Fair values of REO are generally based on observable market inputs, and considered Level 2 measurements at September 30, 2011.

Lease liability—In connection with the discontinuation of our non-conforming mortgage, retail mortgage, warehouse lending and commercial operations, a significant amount of office space that was previously occupied is no longer being used by the Company. The Company has subleased a significant amount of this office space. The Company has recorded a liability, included within discontinued operations, representing the present value of the minimum lease payments over the remaining life of the lease, offset by the expected proceeds from sublet revenue related to this office space. This liability is based on present value techniques that incorporate the Company’s judgments about estimated sublet revenue and discount rates. Therefore, this liability is considered a Level 3 measurement at September 30, 2011.

Deferred charge—Deferred charge represents the deferral of income tax expense on inter-company profits that resulted from the sale of mortgages from taxable subsidiaries to IMH in prior years. The deferred charge is amortized as a component of income tax expense over the estimated life of the mortgages retained in the securitized mortgage collateral. The Company evaluates the deferred charge for impairment quarterly using internal estimates of fair value of securitized mortgage collateral. If the deferred charge is determined to be impaired, the balance is reduced with a charge to income tax expense. Deferred charge is considered a Level 3 measurement at September 30, 2011. For the nine months ended September 30, 2011, the Company recorded $949 thousand in income tax expense resulting from deferred charge impairment write-downs based on changes in estimated fair value of securitized mortgage collateral.

Intangible assets—Intangible assets deemed to have an indefinite life are tested annually for impairment, or more frequently if events or changes in circumstances indicate that the asset might be impaired. Impairment losses are recognized if carrying amount of an intangible asset exceeds its estimated fair value. Intangible asset, which is included in other assets of continuing operations, is considered a Level 3 measurement at September 30, 2011.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References

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+ Details

Stock Options

9 Months Ended

Sep. 30, 2011

Stock Options

Stock Options

Note 3.—Stock Options

There were no options granted during the nine months ended September 30, 2011 or 2010, respectively.

The following table summarizes activity, pricing and other information for the Company’s stock options for the nine months ended September 30, 2011:

			Weighted-
			Average
	Number of		Exercise
	Shares		Price ($)
Options outstanding at January 1, 2011	1,476,704		$	6.28
Options granted	—		—
Options exercised	(27,400	)	0.53
Options forfeited / cancelled	(171,367	)	24.66
Options outstanding at September 30, 2011	1,277,937		$	3.94
Options exercisable at September 30, 2011	906,477		$	4.42

As of September 30, 2011, there was approximately $696 thousand of total unrecognized compensation cost related to stock option compensation arrangements granted under the plan, net of estimated forfeitures. That cost is expected to be recognized over the remaining weighted average period of 2.13 years.

The following table summarizes activity, pricing and other information for the Company’s restricted stock units (RSU’s) for the nine months ended September 30, 2011:

		Weighted-
		Average
	Number of	Grant Date
	Shares	Fair Value
RSU’s outstanding at January 1, 2011	24,000	$	2.73
RSU’s granted	—	—
RSU’s exercised	—	—
RSU’s forfeited / cancelled	—	—
RSU’s outstanding at September 30, 2011	24,000	$	2.73

As of September 30, 2011, there was approximately $47 thousand of total unrecognized compensation cost related to the RSU compensation arrangements granted under the plan. That cost is expected to be recognized over a weighted average period of 2.18 years.

- Definition

The entire disclosure for compensation-related costs for equity-based compensation, which may include disclosure of policies, compensation plan details, allocation of equity compensation, incentive distributions, equity-based arrangements to obtain goods and services, deferred compensation arrangements, employee stock ownership plan details and employee stock purchase plan details.

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-Publisher AICPA

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+ Details

Reconciliation of Earnings Per Share

9 Months Ended

Sep. 30, 2011

Reconciliation of Earnings Per Share

Reconciliation of Earnings Per Share

Note 4.—Reconciliation of Earnings Per Share

The following table presents the computation of basic and diluted earnings (loss) per common share, including the dilutive effect of stock options and cumulative redeemable preferred stock outstanding for the periods indicated:

	For the Three Months						For the Nine Months
	Ended September 30,						Ended September 30,
	2011			2010			2011			2010
Numerator for basic earnings (loss) per share:
Earnings from continuing operations	$	4,436		$	2,267		$	3,657		$	7,898
Net loss (earnings) attributable to noncontrolling interest	156			(8		)	651			375
Earnings from continuing operations attributable to IMH	4,592			2,259			4,308			8,273
(Loss) earnings from discontinued operations	(1,490		)	(1,285		)	(1,832		)	1,905
Earnings per share available to common stockholders	$	3,102		$	974		$	2,476		$	10,178

Denominator for basic earnings (loss) per share (1):
Basic weighted average common shares outstanding during the year	7,812			7,760			7,798			7,727

Denominator for diluted earnings (loss) per share (1):
Basic weighted average common shares outstanding during the year	7,812			7,760			7,798			7,727
Net effect of dilutive stock options	533			584			557			601
Diluted weighted average common shares	8,345			8,344			8,355			8,328

Earnings (loss) per common share - basic:
Earnings from continuing operations attributable to IMH	$	0.59		$	0.29		$	0.55		$	1.07
(Loss) earnings from discontinued operations	(0.19		)	(0.16		)	(0.23		)	0.25
Net earnings per share available to common stockholders	$	0.40		$	0.13		$	0.32		$	1.32

Earnings (loss) per common share - diluted:
Earnings from continuing operations attributable to IMH	$	0.55		$	0.27		$	0.52		$	0.99
(Loss) earnings from discontinued operations	$	(0.18	)	(0.15		)	(0.22		)	0.23
Net earnings per share available to common stockholders	$	0.37		$	0.12		$	0.30		$	1.22

(1) Number of shares presented in thousands.

For the three and nine months ended September 30, 2011, stock options to purchase 552 thousand shares were outstanding but not included in the above weighted average share calculations because they were anti-dilutive.

For the three and nine months ended September 30, 2010, stock options to purchase 338 thousand shares were outstanding but not included in the above weighted average share calculations because they were anti-dilutive.

- Definition

The entire disclosure for earnings per share.

+ References+ Details

Segment Reporting

9 Months Ended

Sep. 30, 2011

Segment Reporting

Segment Reporting

Note 5.—Segment Reporting

The Company has three reporting segments, consisting of the long-term mortgage portfolio, mortgage and real estate services and discontinued operations. The following tables present the selected financial data and operating results by reporting segment for the periods indicated:

			Mortgage and
	Long-term		Real Estate		Discontinued
	Portfolio		Services		Operations			Reclassifications (1)			Consolidated
Balance sheet items as of September 30, 2011:
Cash and cash equivalents	$	—	$	8,782	$	16		$	(82	)	$	8,716
Restricted cash	4,255		660		—			—			4,915
Trust assets	5,503,326		—		—			—			5,503,326
Mortgage loans held-for-sale	—		50,093		—			—			50,093
Other assets	18,759		10,931		89			16			29,795
Total assets	5,526,340		70,466		105			(66		)	5,596,845
Total liabilities	5,500,696		55,799		10,197			(66		)	5,566,626
Total stockholders’ equity (deficit)	25,644		14,667		(10,092		)	—			30,219

Balance sheet items as of December 31, 2010:
Cash and cash equivalents	$	—	$	12,259	$	113		$	(865	)	$	11,507
Restricted cash	—		1,495		91			(91		)	1,495
Trust assets	6,105,068		—		—			—			6,105,068
Mortgage loans held-for-sale	—		4,283		—			—			4,283
Other assets	18,526		12,687		169			204			31,586
Total assets	6,123,594		30,724		373			(752		)	6,153,939
Total liabilities	6,101,157		12,784		13,053			(752		)	6,126,242
Total stockholders’ equity (deficit)	22,437		17,940		(12,680		)	—			27,697

				Mortgage and
	Long-term			Real Estate			Discontinued
	Portfolio			Services			Operations			Reclassifications (1)		Consolidated
Statement of Operations Items for the three months ended September 30, 2011:
Net interest income	$	228		$	(68	)	$	—		$	—	$	160
Non-interest income- net trust assets	3,430			—			—			—		3,430
Mortgage and real estate services fees	—			17,857			—			—		17,857
Other income (expense)	1,475			1,575			(989		)	989		3,050
Non-interest expense and income taxes	(3,419		)	(16,642		)	(501		)	501		(20,061		)
Earnings from continuing operations	$	1,714		$	2,722							4,436
Loss from discontinued operations, net of tax							$	(1,490	)			(1,490		)
Net earnings												$	2,946

Statement of Operations Items for the nine months ended September 30, 2011:
Net interest income	$	3,023		$	(18	)	$	—		$	—	$	3,005
Non-interest income- net trust assets	5,741			—			—			—		5,741
Mortgage and real estate services fees	—			44,558			—			—		44,558
Other income (expense)	1,761			1,318			(774		)	774		3,079
Non-interest expense and income taxes	(11,318		)	(41,408		)	(1,058		)	1,058		(52,726		)
(Loss) earnings from continuing operations	$	(793	)	$	4,450							3,657
Loss from discontinued operations, net of tax							$	(1,832	)			(1,832		)
Net earnings												$	1,825

				Mortgage and
	Long-term			Real Estate			Discontinued
	Portfolio			Services			Operations			Reclassifications (1)			Consolidated
Statement of Operations Items for the three months ended September 30, 2010:
Net interest income	$	1,666		$	5		$	4		$	(4	)	$	1,671
Non-interest income- net trust assets	(574		)	—			—			—			(574		)
Mortgage and real estate services fees	—			15,547			—			—			15,547
Other income (expense)	1,189			—			(1,673		)	1,673			1,189
Non-interest expense and income taxes	(4,364		)	(11,202		)	384			(384		)	(15,566		)
(Loss) earnings from continuing operations	$	(2,083	)	$	4,350								2,267
Loss from discontinued operations, net of tax							$	(1,285	)				(1,285		)
Net earnings													$	982

Statement of Operations Items for the nine months ended September 30, 2010:
Net interest income (expense)	$	3,980		$	16		$	48		$	(48	)	$	3,996
Non-interest income- net trust assets	6,411			—			—			—			6,411
Mortgage and real estate services fees	—			42,168			—			—			42,168
Other income (expense)	876			—			460			(460		)	876
Non-interest expense and income taxes	(13,582		)	(31,971		)	1,397			(1,397		)	(45,553		)
(Loss) earnings from continuing operations	$	(2,315	)	$	10,213								7,898
Earnings from discontinued operations, net of tax							$	1,905					1,905
Net earnings													$	9,803

(1) Amounts represent reclassifications of activity in the discontinued operations segment into loss from discontinued operations, net of tax as presented in the accompanying consolidated statements of operations.

- Definition

The entire disclosure for reporting segments including data and tables. Reportable segments include those that meet any of the following quantitative thresholds a) it's reported revenue, including sales to external customers and intersegment sales or transfers is 10 percent or more of the combined revenue, internal and external, of all operating segments b) the absolute amount of its reported profit or loss is 10 percent or more of the greater, in absolute amount of 1) the combined reported profit of all operating segments that did not report a loss or 2) the combined reported loss of all operating segments that did report a loss c) its assets are 10 percent or more of the combined assets of all operating segments.

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+ Details

Document and Entity Information	9 Months Ended
Document and Entity Information	Sep. 30, 2011	Nov. 10, 2011
Document and Entity Information
Entity Registrant Name	IMPAC MORTGAGE HOLDINGS INC
Entity Central Index Key	0001000298
Document Type	10-Q
Document Period End Date	Sep. 30, 2011
Amendment Flag	false
Current Fiscal Year End Date	--12-31
Entity Current Reporting Status	Yes
Entity Filer Category	Smaller Reporting Company
Entity Common Stock, Shares Outstanding		7,814,946
Document Fiscal Year Focus	2011
Document Fiscal Period Focus	Q3