0001558370-22-017770 | 10-Q | XBRL Viewer | Impac Mortgage Holdings INC

Fair Value of Financial Instruments - Assets and Liabilities Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Assets
Mortgage servicing rights	$ 865	$ 749
Level 3
Fair Value Measurements
Percentage of level three assets to total assets measured at fair value	1.00%	83.00%
Percentage of level three liabilities to total liabilities measured at fair value	54.00%	84.00%
Recurring basis \| Level 2
Assets
Mortgage loans held for-for-sale	$ 18,443	$ 308,477
Derivatives assets, lending, net	234
Total assets at fair value	18,677	308,477
Liabilities
Derivative liabilities, lending, net		55
Total liabilities at fair value		55
Recurring basis \| Level 3
Assets
Derivatives assets, lending, net	97	3,111
Mortgage servicing rights	865	749
Securitized mortgage collateral		1,639,251
Total assets at fair value	962	1,643,111
Liabilities
Securitized mortgage borrowings		1,614,862
Long-term debt	33,264	46,536
Total liabilities at fair value	33,264	1,661,398
Recurring basis \| Interest rate lock commitments (IRLCs) \| Level 3
Assets
Derivatives assets, lending, net	97	$ 3,100
Recurring basis \| Hedging Instruments \| Level 2
Assets
Derivatives assets, lending, net	$ 234

Fair Value of Financial Instruments - Valuation Techniques And Unobservable Inputs Applied (Details) - Level 3	Sep. 30, 2022	Dec. 31, 2021 USD ($)
Securitized mortgage borrowings \| Measurement Input, Default Rate \| Minimum
Unobservable input
Measurement input, securitized mortgage borrowings		0.0006
Securitized mortgage borrowings \| Measurement Input, Default Rate \| Maximum
Unobservable input
Measurement input, securitized mortgage borrowings		0.043
Securitized mortgage borrowings \| Measurement Input, Default Rate \| Weighted Average
Unobservable input
Measurement input, securitized mortgage borrowings		0.017
Securitized mortgage borrowings \| Measurement Input, Loss Severity \| Minimum
Unobservable input
Measurement input, securitized mortgage borrowings		0.0001
Securitized mortgage borrowings \| Measurement Input, Loss Severity \| Maximum
Unobservable input
Measurement input, securitized mortgage borrowings		0.976
Securitized mortgage borrowings \| Measurement Input, Loss Severity \| Weighted Average
Unobservable input
Measurement input, securitized mortgage borrowings		0.701
Securitized mortgage borrowings \| Measurement Input, Discount Rate \| Minimum
Unobservable input
Measurement input, securitized mortgage borrowings		0.021
Securitized mortgage borrowings \| Measurement Input, Discount Rate \| Maximum
Unobservable input
Measurement input, securitized mortgage borrowings		0.130
Securitized mortgage borrowings \| Measurement Input, Discount Rate \| Weighted Average
Unobservable input
Measurement input, securitized mortgage borrowings		0.036
Long-term debt \| Measurement Input, Discount Rate
Unobservable input
Measurement input, long-term debt	0.166	0.086
Long-term debt \| Measurement Input, Discount Rate \| Weighted Average
Unobservable input
Measurement input, long-term debt	0.166	0.086
Securitized mortgage collateral \| Measurement Input, Prepayment Rate \| Minimum
Unobservable input
Measurement input, securitized mortgage collateral		0.029
Securitized mortgage collateral \| Measurement Input, Prepayment Rate \| Maximum
Unobservable input
Measurement input, securitized mortgage collateral		0.463
Securitized mortgage collateral \| Measurement Input, Prepayment Rate \| Weighted Average
Unobservable input
Measurement input, securitized mortgage collateral		0.107
Mortgage servicing rights \| Measurement Input, Prepayment Rate \| Minimum
Unobservable input
Measurement input, mortgage servicing rights	0.075	0.0801
Mortgage servicing rights \| Measurement Input, Prepayment Rate \| Maximum
Unobservable input
Measurement input, mortgage servicing rights	0.120	0.291
Mortgage servicing rights \| Measurement Input, Prepayment Rate \| Weighted Average
Unobservable input
Measurement input, mortgage servicing rights	0.085	0.103
Mortgage servicing rights \| Measurement Input, Discount Rate \| Minimum
Unobservable input
Measurement input, mortgage servicing rights	0.125	0.125
Mortgage servicing rights \| Measurement Input, Discount Rate \| Maximum
Unobservable input
Measurement input, mortgage servicing rights	0.150	0.150
Mortgage servicing rights \| Measurement Input, Discount Rate \| Weighted Average
Unobservable input
Measurement input, mortgage servicing rights	0.128	0.128
Interest rate lock commitments (IRLCs) \| Measurement Input, Pull-through Rate \| Minimum
Unobservable input
Measurement input, derivative assets - IRLCs, net	0.400	0.500
Interest rate lock commitments (IRLCs) \| Measurement Input, Pull-through Rate \| Maximum
Unobservable input
Measurement input, derivative assets - IRLCs, net	0.980	0.980
Interest rate lock commitments (IRLCs) \| Measurement Input, Pull-through Rate \| Weighted Average
Unobservable input
Measurement input, derivative assets - IRLCs, net	0.694	0.790

Income Taxes (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
Income Taxes (Details) - USD ($) $ in Thousands	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021	Dec. 31, 2021
Income taxes
Income tax expense	$ 7	$ 21	$ 46	$ 63
Federal
Income taxes
Net operating loss carryforwards					$ 623,500
Net operating loss carryforwards with indefinite carryover period					65,900
California
Income taxes
Net operating loss carryforwards					$ 435,200

- Definition

Amount of current income tax expense (benefit) and deferred income tax expense (benefit) pertaining to continuing operations.

+ References + Details

Fair Value of Financial Instruments - Fair value of Financial Instruments Included in the Consolidated Financial Statements (Details) - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Assets
Mortgage servicing rights	$ 865	$ 749
Carrying Amount
Assets
Cash and cash equivalents	44,008	29,555
Restricted cash	4,173	5,657
Mortgage loans held for-for-sale	18,443	308,477
Mortgage servicing rights	865	749
Derivatives assets, lending, net	331	3,111
Securitized mortgage collateral		1,639,251
Liabilities
Warehouse borrowings	13,292	285,539
Convertible notes	15,000	20,000
Long-term debt	33,264	46,536
Securitized mortgage borrowings		1,614,862
Derivative liabilities, lending, net		55
Estimated Fair Value \| Level 1
Assets
Cash and cash equivalents	44,008	29,555
Restricted cash	4,173	5,657
Estimated Fair Value \| Level 2
Assets
Mortgage loans held for-for-sale	18,443	308,477
Derivatives assets, lending, net	234
Liabilities
Warehouse borrowings	13,292	285,539
Derivative liabilities, lending, net		55
Estimated Fair Value \| Level 3
Assets
Mortgage servicing rights	865	749
Derivatives assets, lending, net	97	3,111
Securitized mortgage collateral		1,639,251
Liabilities
Convertible notes	15,000	20,000
Long-term debt	$ 33,264	46,536
Securitized mortgage borrowings		$ 1,614,862

Fair Value of Financial Instruments - Securitized mortgage collateral And mortgage borrowings (Details) - USD ($) $ in Thousands		3 Months Ended		9 Months Ended
	Mar. 16, 2022	Mar. 31, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Fair Value of Financial Instruments
Aggregate sales price for sale of consolidated securitization trusts	$ 37,500	$ 37,500
Increase in fair value of securitization trust assets		9,200	$ 3,381	$ 9,248	$ (1,991)
Transaction Costs Related To Transfer of Securitization Trust		$ 277

Commitments and Contingencies (Tables)

9 Months Ended

Sep. 30, 2022

Commitments and Contingencies

Schedule of the activity related to the repurchase reserve for previously sold loans


	September 30,		December 31,
	2022		2021
Beginning balance	$	4,744	$	7,054
Provision for repurchases (1)		2,963		111
Settlements		(1,517)		(2,421)
Total repurchase reserve	$	6,190	$	4,744

(1)

The provision for repurchases is included in (loss) gain on sale of loans, net in the accompanying consolidated statements of operations and comprehensive (loss) earnings.

Schedule of corporate-owned life insurance trusts


	At September 30, 2022
Corporate-owned life insurance trusts:	Trust #1		Trust #2		Trust #3		Total
Corporate-owned life insurance cash surrender value	$	5,330	$	4,134	$	2,184	$	11,648
Corporate-owned life insurance liability		6,189		4,852		2,364		13,405
Corporate-owned life insurance shortfall (1)	$	(859)	$	(718)	$	(180)	$	(1,757)

(1)

The initial $1.3 million of shortfall was recorded as a change in retained deficit at the time of the consolidation of the trusts in 2020. The additional shortfall was recognized in the accompanying consolidated statements of operations and comprehensive (loss) earnings.

Securitized Mortgage Trusts - Securitized Mortgage Trust Liabilities (Details) $ in Thousands	Dec. 31, 2021 USD ($)
Securitized Mortgage Trust Liabilities
Securitized mortgage borrowings	$ 1,614,862

CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2022	Dec. 31, 2021
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	21,500,935	21,332,684
Common stock, shares outstanding	21,500,935	21,332,684
Series A-1 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 9.375% 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)	$ 36,920	$ 36,920
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 9.125% 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)	$ 35,127	$ 35,127
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

Mortgage Loans Held-for-Sale (Tables)

9 Months Ended

Sep. 30, 2022

Mortgage Loans Held-for-Sale

Summary of the unpaid principal balance (UPB ) of mortgage loans held-for-sale by type


	September 30,		December 31,
	2022		2021
Government (1)	$	539	$	6,886
Conventional (2)		2,872		62,759
Jumbo & Non-qualified mortgages (NonQM)		16,327		231,142
Fair value adjustment (3)		(1,295)		7,690
Total mortgage loans held-for-sale	$	18,443	$	308,477

(1)	Includes all government-insured loans including Federal Housing Administration (FHA), Veterans Affairs (VA) and United States Department of Agriculture (USDA).

(2)	Includes loans eligible for sale to Federal National Mortgage Association (Fannie Mae or FNMA) and Federal Home Loan Mortgage Corporation (Freddie Mac or FHLMC).

(3)	Changes in fair value are included in (loss) gain on sale of loans, net in the accompanying consolidated statements of operations and comprehensive (loss) earnings.

Schedule of gain on sale of loans, net


	For the Three Months Ended				For the Nine Months Ended
	September 30,				September 30,
	2022		2021		2022		2021
Gain on sale of mortgage loans	$	1,670	$	19,230	$	18,257	$	58,345
Premium from servicing retained loan sales		—		246		46		459
Unrealized (loss) gain from derivative financial instruments		(167)		2,591		(2,724)		(504)
Gain (loss) from derivative financial instruments		204		(2,085)		6,208		829
Mark to market (loss) gain on LHFS		(1,503)		4,228		(8,985)		3,632
Direct origination expenses, net		(356)		(4,677)		(4,387)		(12,616)
Change in provision for repurchases		(530)		75		(2,963)		287
(Loss) gain on sale of loans, net	$	(682)	$	19,608	$	5,452	$	50,432

Securitized Mortgage Trusts - Additional Information (Details) $ in Thousands		3 Months Ended		9 Months Ended
	Mar. 16, 2022 USD ($)	Mar. 31, 2022 USD ($) item	Sep. 30, 2021 USD ($)	Sep. 30, 2022 USD ($)	Sep. 30, 2021 USD ($)
Securitized Mortgage Trusts
Number of securitization \| item		37
Aggregate sales price for sale of consolidated securitization trusts	$ 37,500	$ 37,500
Payment received on sale of consolidated securitization trusts	$ 20,000
Increase in fair value of securitization trust assets		9,200	$ 3,381	$ 9,248	$ (1,991)
Transaction costs related to sale of consolidated securitization trusts		277
Securitized mortgage trust assets deconsolidated		1,600,000
Securitized mortgage trust liabilities deconsolidated		$ 1,600,000

Leases (Details) $ in Thousands	3 Months Ended			9 Months Ended
Leases (Details) $ in Thousands	Sep. 30, 2022 USD ($) ft²	Mar. 31, 2022 USD ($)	Sep. 30, 2021 USD ($)	Sep. 30, 2022 USD ($) ft² lease	Sep. 30, 2021 USD ($)
Leases
Number of operating leases \| lease				3
Number of finance leases \| lease				1
Cash paid for operating leases	$ 1,200		$ 1,200	$ 3,600	$ 3,400
Total operating lease expense	983,000		$ 1,000	3,100	$ 3,000
ROU asset impairment	$ 123	$ 123		$ 123
Sublease square footage \| ft²	1,900			1,900

Equity and Share Based Payments - Stock Options (Details) - Stock options $ / shares in Units, $ in Thousands	9 Months Ended
	Sep. 30, 2022 USD ($) $ / shares shares
Number of Shares
Options outstanding at beginning of period (in shares) \| shares	570,228
Options forfeited / cancelled (in shares) \| shares	(20,000)
Options outstanding at end of year (in shares) \| shares	550,228
Options exercisable at end of year (in shares) \| shares	515,540
Weighted-Average Exercise Price
Options outstanding at beginning of period (in dollars per share) \| $ / shares	$ 7.89
Options forfeited / cancelled (in dollars per share) \| $ / shares	3.34
Options outstanding at end of year (in dollars per share) \| $ / shares	8.06
Options exercisable at end of year (in dollars per share) \| $ / shares	$ 8.38
Additional disclosure related to options
Unrecognized compensation cost \| $	$ 44
Weighted-average period over which compensation cost is expected to be recognized	1 year 4 months 24 days

Segment Reporting

9 Months Ended

Sep. 30, 2022

Segment Reporting

Segment Reporting

Note 10.—Segment Reporting

The Company has three primary reporting segments which include mortgage lending, real estate services and long-term mortgage portfolio. Unallocated corporate and other administrative costs, including the costs associated with being a public company, are presented in Corporate and other.


Statement of Operations Items for the	Mortgage		Real Estate		Long-term		Corporate
Three Months Ended September 30, 2022:	Lending		Services		Portfolio		and other		Consolidated
Loss on sale of loans, net	$	(682)	$	—	$	—	$	—	$	(682)
Servicing income, net		32		—		—		—		32
Gain on mortgage servicing rights, net		196		—		—		—		196
Real estate services fees, net		—		290		—		—		290
Other revenue (expense)		3		—		29		(29)		3
Other operating expense		(6,214)		(339)		(69)		(4,454)		(11,076)
Other income (expense)		312		—		(1,677)		(404)		(1,769)
Net loss before income tax expense	$	(6,353)	$	(49)	$	(1,717)	$	(4,887)		(13,006)
Income tax expense										7
Net loss									$	(13,013)


Statement of Operations Items for the	Mortgage		Real Estate		Long-term		Corporate
Three Months Ended September 30, 2021:	Lending		Services		Portfolio		and other		Consolidated
Gain on sale of loans, net	$	19,608	$	—	$	—	$	—	$	19,608
Servicing expenses, net		(124)		—		—		—		(124)
Gain on mortgage servicing rights, net		101		—		—		—		101
Real estate services fees, net		—		244		—		—		244
Other revenue (expense)		—		—		24		(35)		(11)
Other operating expense		(15,082)		(359)		(242)		(4,114)		(19,797)
Other income (expense)		46		—		2,506		(466)		2,086
Net earnings (loss) before income tax expense	$	4,549	$	(115)	$	2,288	$	(4,615)	$	2,107
Income tax expense										21
Net earnings									$	2,086


Statement of Operations Items for the	Mortgage		Real Estate		Long-term		Corporate
Nine Months Ended September 30, 2022:	Lending		Services		Portfolio		and other		Consolidated
Gain on sale of loans, net	$	5,452	$	—	$	—	$	—	$	5,452
Servicing income, net		27		—		—		—		27
Gain on mortgage servicing rights, net		351		—		—		—		351
Real estate services fees, net		—		732		—		—		732
Other revenue		7		—		72		883		962
Other operating expense		(30,093)		(1,056)		(211)		(13,738)		(45,098)
Other income (expense)		961		—		10,283		(1,288)		9,956
Net (loss) earnings before income tax expense	$	(23,295)	$	(324)	$	10,144	$	(14,143)		(27,618)
Income tax expense										46
Net loss									$	(27,664)


Statement of Operations Items for the	Mortgage		Real Estate		Long-term		Corporate
Nine Months Ended September 30, 2021:	Lending		Services		Portfolio		and other		Consolidated
Gain on sale of loans, net	$	50,432	$	—	$	—	$	—	$	50,432
Servicing expense, net		(393)		—		—		—		(393)
Gain on mortgage servicing rights, net		102		—		—		—		102
Real estate services fees, net		—		932		—		—		932
Other revenue		24		—		92		192		308
Other operating expense		(46,598)		(1,083)		(498)		(12,532)		(60,711)
Other (expense) income		(153)		—		3,474		(1,389)		1,932
Net earnings (loss) before income tax expense	$	3,414	$	(151)	$	3,068	$	(13,729)	$	(7,398)
Income tax expense										63
Net loss									$	(7,461)


	Mortgage		Real Estate		Long-term		Corporate
Balance Sheet Items as of:	Lending		Services		Portfolio		and other		Consolidated
Total Assets at September 30, 2022 (1)	$	68,385	$	502	$	43	$	24,655	$	93,585
Total Assets at December 31, 2021 (1)	$	351,173	$	502	$	1,642,871	$	28,225	$	2,022,771

(1)	All segment asset balances exclude intercompany balances.

- 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.

+ References

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 280
-SubTopic 10
-Section 50
-Paragraph 31
-URI http://asc.fasb.org/extlink&oid=123359005&loc=d3e8924-108599

Reference 2: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 280
-SubTopic 10
-Section 50
-Paragraph 34
-URI http://asc.fasb.org/extlink&oid=123359005&loc=d3e8981-108599

Reference 3: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 280
-SubTopic 10
-Section 50
-Paragraph 21
-Subparagraph (a)
-URI http://asc.fasb.org/extlink&oid=123359005&loc=d3e8721-108599

Reference 4: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 280
-SubTopic 10
-Section 50
-Paragraph 40
-URI http://asc.fasb.org/extlink&oid=123359005&loc=d3e9031-108599

Reference 5: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 280
-SubTopic 10
-Section 50
-Paragraph 32
-Subparagraph (f)
-URI http://asc.fasb.org/extlink&oid=123359005&loc=d3e8933-108599

Reference 6: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 280
-SubTopic 10
-Section 50
-Paragraph 32
-Subparagraph (e)
-URI http://asc.fasb.org/extlink&oid=123359005&loc=d3e8933-108599

Reference 7: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 280
-SubTopic 10
-Section 50
-Paragraph 26
-URI http://asc.fasb.org/extlink&oid=123359005&loc=d3e8844-108599

Reference 8: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 280
-SubTopic 10
-Section 50
-Paragraph 41
-URI http://asc.fasb.org/extlink&oid=123359005&loc=d3e9038-108599

Reference 9: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 280
-SubTopic 10
-Section 50
-Paragraph 32
-Subparagraph (d)
-URI http://asc.fasb.org/extlink&oid=123359005&loc=d3e8933-108599

Reference 10: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 280
-SubTopic 10
-Section 50
-Paragraph 22
-URI http://asc.fasb.org/extlink&oid=123359005&loc=d3e8736-108599

Reference 11: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 280
-SubTopic 10
-Section 50
-Paragraph 42
-URI http://asc.fasb.org/extlink&oid=123359005&loc=d3e9054-108599

Reference 12: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 280
-SubTopic 10
-Section 50
-Paragraph 15
-URI http://asc.fasb.org/extlink&oid=123359005&loc=d3e8657-108599

Reference 13: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 280
-SubTopic 10
-Section 50
-Paragraph 21
-Subparagraph (b)
-URI http://asc.fasb.org/extlink&oid=123359005&loc=d3e8721-108599

Reference 14: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 280
-URI http://asc.fasb.org/topic&trid=2134510

+ Details

Summary of Business and Financial Statement Presentation

9 Months Ended

Sep. 30, 2022

Summary of Business and Financial Statement Presentation

Summary of Business and Financial Statement Presentation

Note 1.—Summary of Business and Financial Statement Presentation

Business Summary and Recent Update

Impac Mortgage Holdings, Inc. (the Company or IMH) is a financial services company incorporated in Maryland with the following direct and indirect wholly-owned operating subsidiaries: Integrated Real Estate Service Corp. (IRES), Impac Mortgage Corp. (IMC), IMH Assets Corp. (IMH Assets), Impac Funding Corporation (IFC) and Copperfield Capital Corporation (CCC). The Company’s operations include the mortgage lending operations and real estate services conducted by IRES, IMC and CCC and the long-term mortgage portfolio (residual interests in securitizations reflected as securitized mortgage trust assets and liabilities in the consolidated balance sheets) conducted by IMH prior to the sale in the first quarter of 2022. The long-term mortgage portfolio was deconsolidated in March 2022 as the Company sold its residual interests in the consolidated securitized mortgage trusts (see Note. 6—Securitized Mortgage Trusts). IMC’s mortgage lending operations include the activities of its division, CashCall Mortgage.

On October 20, 2022, the Company received the requisite stockholder consents on the Series B Preferred and Series C Preferred exchange offers, which provides for the exchange and subsequent redemption of all outstanding Series B Preferred and Series C Preferred stock, liquidation preference and cumulative dividends in arrears for common stock, new Preferred D stock and, in the case of Series Preferred C stock, warrants to purchase common stock. For further description of the exchange offers, see Note 12. —Equity and Share Based Payments, Redeemable Preferred Stock.

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 nine months ended September 30, 2022 are not necessarily indicative of the results that may be expected for the year ending December 31, 2022. 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, 2021, filed with the United States Securities and Exchange Commission.

All significant intercompany 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 period presentation.

Management has made a number of material 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. Additionally, other items affected by such estimates and assumptions include the valuation of trust assets and trust liabilities prior to the sale in March 2022, contingencies, the estimated obligation of repurchase reserves related to sold loans, the valuation of long-term debt, mortgage servicing rights (MSR), mortgage loans held-for-sale (LHFS) and derivative instruments, including interest rate lock commitments (IRLC). Actual results could differ from those estimates and assumptions.

Recent Accounting Pronouncements Not Yet Effective

There have been no developments to recently issued accounting standards, including the expected dates of adoption and estimated effects on the Company’s consolidated financial statements and footnote disclosures, from those disclosed in the 2021 Annual Report on Form 10-K, except for the following:

In March 2020 and January 2021, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2020-04 and ASU 2021-01, “Reference Rate Reform (Topic 848)”. Together, the ASUs provide temporary optional expedients and exceptions to the U.S. GAAP guidance on contract modifications and hedge accounting to ease the financial reporting burdens related to the expected market transition from the London Interbank Offered Rate (LIBOR) and other interbank offered rates to alternative reference rates. This guidance is effective beginning on March 12, 2020, and the Company may elect to apply the amendments prospectively through December 31, 2022. The Company is currently evaluating the impact the adoption of this ASU would have on the Company’s consolidated financial statements.

In May 2021, the FASB issued ASU 2021-04, “Earnings Per Share (Topic 260), Debt—Modifications and Extinguishments (Subtopic 470-50), Compensation—Stock Compensation (Topic 718), and Derivatives and Hedging—Contracts in Entity’s Own Equity (Subtopic 815-40): Issuer’s Accounting for Certain Modifications or Exchanges of Freestanding Equity-Classified Written Call Options (a consensus of the FASB Emerging Issues Task Force)”. The amendments in this update are effective for all entities for fiscal years beginning after December 15, 2021, including interim periods within those fiscal years. The Company adopted this ASU on January 1, 2022 and the adoption of this ASU did not have a material impact on the Company’s consolidated financial statements.

In March 2022, the FASB issued ASU No. 2022-02, Financial Instruments - Credit Losses (Topic 326): Troubled Debt Restructurings and Vintage Disclosures. The guidance amends Topic 326 (CECL) to eliminate the accounting guidance for TDRs by creditors, while enhancing disclosure requirements for certain loan refinancing and restructuring activities by creditors when a borrower is experiencing financial difficulty. Specifically, rather than applying TDR recognition and measurement guidance, under the CECL model creditors will determine whether a modification results in a new loan or continuation of existing loan. These amendments are intended to enhance existing disclosure requirements and introduce new requirements related to certain modifications of receivables made to borrowers experiencing financial difficulty. Additionally, the amendments to Topic 326 require that an entity disclose current-period gross write-offs by year of origination within the vintage disclosures, which requires that an entity disclose the amortized cost basis of financing receivables by credit quality indicator and class of financing receivable by year of origination. The guidance will become effective for the Company beginning with the fiscal year 2023, including interim periods. The Company is currently assessing the impact of ASU No. 2022-02 but does not expect that its adoption will have a material impact on the consolidated financial statements.

Reconciliation of Loss Per Common Share

9 Months Ended

Sep. 30, 2022

Reconciliation of Loss Per Common Share

Reconciliation of Loss Per Common Share

Note 9.—Reconciliation of Loss Per Common Share

The following table presents the computation of basic and diluted loss per common share, including the dilutive

effect of stock options, restricted stock awards (RSAs), restricted stock units (RSUs) and deferred stock units (DSUs),


	For the Three Months Ended				For the Nine Months Ended
	September 30,				September 30,
	2022		2021		2022		2021
Numerator for basic (loss) earnings per share:
Net (loss) earnings	$	(13,013)	$	2,086	$	(27,664)	$	(7,461)
Less: cumulative non-declared dividends on preferred stock (1)		(390)		(390)		(1,170)		(390)
Net (loss) earnings attributable to common stockholders	$	(13,403)	$	1,696	$	(28,834)	$	(7,851)

Numerator for diluted (loss) earnings per share:
Net (loss) earnings	$	(13,403)	$	1,696	$	(28,834)	$	(7,851)
Interest expense attributable to convertible notes (2)		—		—		—		—
Net (loss) earnings plus interest expense attributable to convertible notes	$	(13,403)	$	1,696	$	(28,834)	$	(7,851)

Denominator for basic (loss) earnings per share (3):
Basic weighted average common shares outstanding during the period		21,523		21,344		21,483		21,327

Denominator for diluted (loss) earnings per share (3):
Basic weighted average common shares outstanding during the period		21,523		21,344		21,483		21,327
Net effect of dilutive convertible notes and warrants (2)		—		—		—		—
Net effect of dilutive stock options, DSU’s, RSA's and RSU's (2)		—		1		—		—
Diluted weighted average common shares		21,523		21,345		21,483		21,327
Net (loss) earnings per common share:
Basic	$	(0.62)	$	0.08	$	(1.34)	$	(0.37)
Diluted	$	(0.62)	$	0.08	$	(1.34)	$	(0.37)

(1)	Cumulative non-declared dividends in arrears are included beginning July 15, 2021, which was the date the Maryland Court of Appeals affirmed the decision in granting summary judgment in favor of the plaintiffs on the Series B Preferred voting rights (see Note 12. – Equity and Share Based Payments).

(2)	Adjustments to diluted (loss) earnings per share for the three and nine months ended September 30, 2022 and 2021, were excluded from the calculation, as they were anti-dilutive.

(3)	Number of shares presented in thousands.

At September 30, 2022 and 2021, there were 794 thousand and 1.0 million shares, respectively, of stock options, RSUs and DSUs outstanding in the aggregate. For the three and nine months ended September 30, 2022, there were 698 thousand shares attributable to the Notes that were anti-dilutive. For the three and nine months ended September 30, 2021, there were 930 thousand shares attributable to the Notes that were anti-dilutive. Additionally, for the three and nine months ended September 30, 2022 and 2021, there were 213 thousand warrants that were anti-dilutive.

In addition to the potential dilutive effects of stock options, RSAs, RSUs, DSUs, warrants and Notes listed above, the Company also has cumulative undeclared dividends in arrears, as more fully described in Note 12.—Equity and Share Based Payments, Redeemable Preferred Stock. Common and preferred dividends are included in the reconciliation of earnings per share beginning July 15, 2021, which was the date the Maryland Court of Appeals affirmed the decision in granting summary judgment in favor of the plaintiffs on the Series B Preferred voting rights. On October 20, 2022, the

Company received the requisite stockholder consents on the Series B Preferred and Series C Preferred exchange offers, exchanging all outstanding Series B Preferred and Series C Preferred stock, liquidation preference and cumulative dividends in arrears for common stock, warrants and new Preferred D stock. Cumulative preferred dividends, whether or not declared, are reflected in basic and diluted earnings per share in accordance with ASC 260-10-45-11, despite not being accrued for on the consolidated balance sheets. For further description of the exchange offers, see Note 12. —Equity and Share Based Payments, Redeemable Preferred Stock.

Reconciliation of Loss Per Common Share (Tables)

9 Months Ended

Sep. 30, 2022

Reconciliation of Loss Per Common Share

Schedule of computation of basic and diluted earnings per common share


	For the Three Months Ended				For the Nine Months Ended
	September 30,				September 30,
	2022		2021		2022		2021
Numerator for basic (loss) earnings per share:
Net (loss) earnings	$	(13,013)	$	2,086	$	(27,664)	$	(7,461)
Less: cumulative non-declared dividends on preferred stock (1)		(390)		(390)		(1,170)		(390)
Net (loss) earnings attributable to common stockholders	$	(13,403)	$	1,696	$	(28,834)	$	(7,851)

Numerator for diluted (loss) earnings per share:
Net (loss) earnings	$	(13,403)	$	1,696	$	(28,834)	$	(7,851)
Interest expense attributable to convertible notes (2)		—		—		—		—
Net (loss) earnings plus interest expense attributable to convertible notes	$	(13,403)	$	1,696	$	(28,834)	$	(7,851)

Denominator for basic (loss) earnings per share (3):
Basic weighted average common shares outstanding during the period		21,523		21,344		21,483		21,327

Denominator for diluted (loss) earnings per share (3):
Basic weighted average common shares outstanding during the period		21,523		21,344		21,483		21,327
Net effect of dilutive convertible notes and warrants (2)		—		—		—		—
Net effect of dilutive stock options, DSU’s, RSA's and RSU's (2)		—		1		—		—
Diluted weighted average common shares		21,523		21,345		21,483		21,327
Net (loss) earnings per common share:
Basic	$	(0.62)	$	0.08	$	(1.34)	$	(0.37)
Diluted	$	(0.62)	$	0.08	$	(1.34)	$	(0.37)

(1)	Cumulative non-declared dividends in arrears are included beginning July 15, 2021, which was the date the Maryland Court of Appeals affirmed the decision in granting summary judgment in favor of the plaintiffs on the Series B Preferred voting rights (see Note 12. – Equity and Share Based Payments).

(2)	Adjustments to diluted (loss) earnings per share for the three and nine months ended September 30, 2022 and 2021, were excluded from the calculation, as they were anti-dilutive.

(3)	Number of shares presented in thousands.

Mortgage Loans Held-for-Sale (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021	Dec. 31, 2021
Mortgage loans held-for-Sale
Total mortgage loans held-for-sale	$ 18,443		$ 18,443		$ 308,477
Gain on LHFS
Change in provision for repurchases			(2,963)	$ 287
Gain on sale of loans, net			20,124	47,017
Government
Mortgage loans held-for-Sale
Total mortgage loans held-for-sale	539		539		6,886
Conventional
Mortgage loans held-for-Sale
Total mortgage loans held-for-sale	2,872		2,872		62,759
Jumbo & Non-qualified mortgages (NonQM)
Mortgage loans held-for-Sale
Total mortgage loans held-for-sale	16,327		16,327		231,142
Mortgage loans, held-for-sale
Mortgage loans held-for-Sale
Fair value adjustment	(1,295)		(1,295)		7,690
Gain on LHFS
Gain on sale of mortgage loans	1,670	$ 19,230	18,257	58,345
Premium from servicing retained loan sales		246	46	459
Unrealized loss from derivative financial instruments	(167)	2,591	(2,724)	(504)
Gain (loss) from derivative financial instruments	204	(2,085)	6,208	829
Mark to market (loss) gain on LHFS	(1,503)	4,228	(8,985)	3,632
Direct origination expenses, net	(356)	(4,677)	(4,387)	(12,616)
Change in provision for repurchases	(530)	75	(2,963)	287
Gain on sale of loans, net	(682)	$ 19,608	5,452	$ 50,432
Mortgage loans, held-for-sale \| 90 days or more past due
Mortgage loans held-for-Sale
Carrying value of nonaccrual loans	$ 0		$ 0		$ 0

Fair Value of Financial Instruments - Nonrecurring Fair Value Measurements (Details) $ in Thousands	3 Months Ended			9 Months Ended
	Sep. 30, 2022 USD ($) ft²	Mar. 31, 2022 USD ($)	Sep. 30, 2021 USD ($)	Sep. 30, 2022 USD ($) ft²	Sep. 30, 2021 USD ($)	Dec. 31, 2021 USD ($)
Fair Value Measurements
Retained earnings	$ (1,277,992)			$ (1,277,992)		$ (1,250,328)
Total Losses
ROU asset impairment	$ (123)	$ (123)		$ (123)
Sublease square footage \| ft²	1,900			1,900
Nonrecurring Fair Value Measurements
Total Losses
REO			$ (269)		$ 1,289
ROU asset impairment	$ (123)			$ (123)
Nonrecurring Fair Value Measurements \| Level 2
Fair Value Measurements
REO			$ 3,364		$ 3,364
Nonrecurring Fair Value Measurements \| Level 3
Fair Value Measurements
ROU asset	$ 7,452			$ 7,452

Segment Reporting - Statement of Operations (Details) $ in Thousands	3 Months Ended						9 Months Ended
	Sep. 30, 2022 USD ($) item	Jun. 30, 2022 USD ($)	Mar. 31, 2022 USD ($)	Sep. 30, 2021 USD ($) item	Jun. 30, 2021 USD ($)	Mar. 31, 2021 USD ($)	Sep. 30, 2022 USD ($) item	Sep. 30, 2021 USD ($) item	Dec. 31, 2021 USD ($)
Segment Reporting
Number of reportable segments \| item	3			3			3	3
Gain on sale of loans, net	$ (682)			$ 19,608			$ 5,452	$ 50,432
Servicing fees (expense), net	32			(124)			27	(393)
Gain (loss) on mortgage servicing rights, net	196			101			351	102
Real estate services fees, net	290			244			732	932
Other revenue (expense)	3			(11)			962	308
Other operating expense	(11,076)			(19,797)			(45,098)	(60,711)
Other income (expense)	(1,769)			2,086			9,956	1,932
Net (loss) earnings before income taxes	(13,006)			2,107			(27,618)	(7,398)
Income tax expense	7			21			46	63
Net loss	(13,013)	$ (13,467)	$ (1,184)	2,086	$ (8,864)	$ (683)	(27,664)	(7,461)
Total assets	93,585						93,585		$ 2,022,771
Operating segments \| Mortgage Lending
Segment Reporting
Gain on sale of loans, net	(682)			19,608			5,452	50,432
Servicing fees (expense), net	32			(124)			27	(393)
Gain (loss) on mortgage servicing rights, net	196			101			351	102
Other revenue (expense)	3						7	24
Other operating expense	(6,214)			(15,082)			(30,093)	(46,598)
Other income (expense)	312			46			961	(153)
Net (loss) earnings before income taxes	(6,353)			4,549			(23,295)	3,414
Total assets	68,385						68,385		351,173
Operating segments \| Real Estate Services
Segment Reporting
Real estate services fees, net	290			244			732	932
Other operating expense	(339)			(359)			(1,056)	(1,083)
Net (loss) earnings before income taxes	(49)			(115)			(324)	(151)
Total assets	502						502		502
Operating segments \| Long-term Mortgage Portfolio
Segment Reporting
Other revenue (expense)	29			24			72	92
Other operating expense	(69)			(242)			(211)	(498)
Other income (expense)	(1,677)			2,506			10,283	3,474
Net (loss) earnings before income taxes	(1,717)			2,288			10,144	3,068
Total assets	43						43		1,642,871
Corporate and other
Segment Reporting
Other revenue (expense)	(29)			(35)			883	192
Other operating expense	(4,454)			(4,114)			(13,738)	(12,532)
Other income (expense)	(404)			(466)			(1,288)	(1,389)
Net (loss) earnings before income taxes	(4,887)			$ (4,615)			(14,143)	$ (13,729)
Total assets	$ 24,655						$ 24,655		$ 28,225

Commitments and Contingencies - Legal Proceedings (Details) $ in Millions						9 Months Ended	12 Months Ended
	Aug. 12, 2022	Apr. 29, 2022	Apr. 01, 2020 item	Jul. 16, 2018 USD ($) director item	Dec. 07, 2011 director	Sep. 30, 2022 USD ($) item	Dec. 31, 2021	Aug. 08, 2022 USD ($)	Jul. 22, 2022 item	Dec. 31, 2013
Series B 9.375% redeemable preferred stock
Repurchase reserve
Preferred stock, dividend rate (as a percent)		9.375%			9.375%	9.375%	9.375%
Number of quarterly dividends payments granted under judgement for Preferred shareholders						3
Dividend amount required to be paid by company in three quarterly payments \| $						$ 1.2
Series C 9.125% redeemable preferred stock
Repurchase reserve
Preferred stock, dividend rate (as a percent)		9.125%			9.125%	9.125%	9.125%
Curtis J. Timm \| Series B and C Preferred Stock
Repurchase reserve
Number of directors elected by Preferred shareholders \| director					2
Percentage of shareholder approval required										66.67%
Curtis J. Timm \| Series B 9.375% redeemable preferred stock
Repurchase reserve
Number of additional directors to be elected by Preferred shareholders \| director				2
Number of days within which special election for election of directors to be held				60 days
Number of quarterly dividends payments granted under judgement for Preferred shareholders				3					3
Dividend amount required to be paid by company in three quarterly payments \| $				$ 1.2				$ 1.2
Percentage of shareholder approval required			66.67%	66.67%						66.67%
Number of co-plaintiffs appealing court ruling				1
Number of co-plaintiffs			2
Share redemption period after closing exchange offer	5 days

Debt - Warehouse Borrowings (Details) - USD ($) $ in Thousands	Oct. 31, 2022	Sep. 30, 2022	Dec. 31, 2021
Warehouse Borrowings
Maximum Borrowing Capacity		$ 325,000
Balance Outstanding		13,292	$ 285,539
Repurchase agreement 1
Warehouse Borrowings
Balance Outstanding			30,009
Repurchase agreement 2
Warehouse Borrowings
Balance Outstanding			153,006
Repurchase agreement 3
Warehouse Borrowings
Maximum Borrowing Capacity		300,000
Balance Outstanding		2,586	56,794
Maximum borrowing capacity on committed line of credit	$ 1,000
Revised maximum borrowing capacity pending completion of the renewal process		15,000
Repurchase agreement 4
Warehouse Borrowings
Maximum Borrowing Capacity		25,000
Balance Outstanding		$ 10,706	$ 45,730

Fair Value of Financial Instruments - Reconciliation of All Assets and Liabilities Measured Using Level 3 Input (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Purchases, issuances and settlements:
Net interest income including cash received and paid		$ 2,200	$ 1,200	$ 6,500
Recurring basis \| Securitized mortgage borrowings \| Level 3
Changes in fair value of liabilities during the period
Fair value in the beginning of the period		(1,847,224)	(1,614,862)	(2,086,557)
Total gains (losses) included in earnings:
Total (losses) gains included in earnings		(30,229)	$ (7,564)	(133,477)
Fair Value, Liability, Recurring Basis, Unobservable Input Reconciliation, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration]			Interest Expense, amount
Purchases, issuances and settlements:
Settlements		169,959	$ 1,622,426	512,540
Fair value at the end of the period		(1,707,494)		(1,707,494)
Unrealized gains (losses) still held				2,367,197
Recurring basis \| Securitized mortgage borrowings \| Interest expense \| Level 3
Total gains (losses) included in earnings:
Total (losses) gains included in earnings		(10,172)		(28,190)
Recurring basis \| Securitized mortgage borrowings \| Change in fair value \| Level 3
Total gains (losses) included in earnings:
Total (losses) gains included in earnings		(20,057)		(105,287)
Recurring basis \| Long-term debt \| Level 3
Changes in fair value of liabilities during the period
Fair value in the beginning of the period	$ (35,889)	(44,900)	(46,536)	(44,413)
Total gains (losses) included in earnings:
Total (losses) gains included in earnings	2,625	(1,558)	13,272	(2,045)
Purchases, issuances and settlements:
Fair value at the end of the period	(33,264)	(46,458)	(33,264)	(46,458)
Unrealized gains (losses) still held			(28,736)	15,542
Recurring basis \| Long-term debt \| Interest expense \| Level 3
Total gains (losses) included in earnings:
Total (losses) gains included in earnings	(287)	(386)	(1,030)	(1,109)
Recurring basis \| Long-term debt \| Change in fair value \| Level 3
Total gains (losses) included in earnings:
Total (losses) gains included in earnings	(435)	(1,803)	3,187	638
Recurring basis \| Long-term debt \| Change in instrument specific credit risk \| Level 3
Total gains (losses) included in earnings:
Total (losses) gains included in earnings	3,347	631	11,115	(1,574)
Recurring basis \| Securitized mortgage collateral \| Level 3
Changes in fair value of assets during the period
Fair value at the beginning of the period		1,858,423	1,639,251	2,100,175
Total (losses) gains included in earnings:
Total (losses) gains included in earnings		21,882	11,267	92,260
Purchases, issuances and settlements
Settlements		(155,933)	(1,650,518)	(468,063)
Fair value at the end of the period		1,724,372		1,724,372
Unrealized gains (losses) still held				(156,952)
Recurring basis \| Securitized mortgage collateral \| Interest income \| Level 3
Total (losses) gains included in earnings:
Total (losses) gains included in earnings		(1,557)	2,019	(11,036)
Recurring basis \| Securitized mortgage collateral \| Change in fair value \| Level 3
Total (losses) gains included in earnings:
Total (losses) gains included in earnings		23,439	9,248	103,296
Recurring basis \| Mortgage servicing rights \| Level 3
Changes in fair value of assets during the period
Fair value at the beginning of the period	850	553	749	339
Total (losses) gains included in earnings:
Total (losses) gains included in earnings	$ 15	$ (42)	$ 70	$ (41)
Fair Value, Asset, Recurring Basis, Unobservable Input Reconciliation, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration]	Trust Assets, Net Change in Fair Value Including Real Estate Owned, Gain (Loss)	Trust Assets, Net Change in Fair Value Including Real Estate Owned, Gain (Loss)	Trust Assets, Net Change in Fair Value Including Real Estate Owned, Gain (Loss)	Trust Assets, Net Change in Fair Value Including Real Estate Owned, Gain (Loss)
Purchases, issuances and settlements
Issuances		$ 246	$ 46	$ 459
Fair value at the end of the period	$ 865	757	865	757
Unrealized gains (losses) still held			865	757
Recurring basis \| Interest rate lock commitments (IRLCs) \| Level 3
Changes in fair value of assets during the period
Fair value at the beginning of the period	498	4,262	3,111	7,275
Total (losses) gains included in earnings:
Total (losses) gains included in earnings	$ (401)	$ 1,102	$ (3,014)	$ (1,911)
Fair Value, Asset, Recurring Basis, Unobservable Input Reconciliation, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration]	Trust Assets, Net Change in Fair Value Including Real Estate Owned, Gain (Loss)	Trust Assets, Net Change in Fair Value Including Real Estate Owned, Gain (Loss)	Trust Assets, Net Change in Fair Value Including Real Estate Owned, Gain (Loss)	Trust Assets, Net Change in Fair Value Including Real Estate Owned, Gain (Loss)
Purchases, issuances and settlements
Fair value at the end of the period	$ 97	$ 5,364	$ 97	$ 5,364
Unrealized gains (losses) still held			$ 97	$ 5,364

Securitized Mortgage Trusts - Change in Fair Value of Net Trust Assets (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Mar. 31, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Change in fair value of net trust assets, including trust REO gains:
Change in fair value of net trust assets, excluding REO	$ 9,200	$ 3,381	$ 9,248	$ (1,991)
(Losses) gains from trust REO		(269)		1,289
Change in fair value of net trust assets, including trust REO gains (losses)		$ 3,112	$ 9,248	$ (702)

Securitized Mortgage Trusts (Tables)

9 Months Ended

Sep. 30, 2022

Securitized Mortgage Trusts

Schedule of securitized mortgage trust assets


	September 30,		December 31,
	2022		2021
Securitized mortgage collateral, at fair value	$	—	$	1,639,251
REO, at net realizable value (NRV)		—		3,479
Total securitized mortgage trust assets	$	—	$	1,642,730

Schedule of securitized mortgage trust liabilities


	September 30,		December 31,
	2022		2021
Securitized mortgage borrowings	$	—	$	1,614,862

Schedule of changes in fair value of net trust assets, including trust REO gains


	For the Three Months Ended				For the Nine Months Ended
	September 30,				September 30,
	2022		2021		2022		2021
Change in fair value of net trust assets, excluding REO	$	—	$	3,381	$	9,248	$	(1,991)
(Losses) gains from trust REO		—		(269)		—		1,289
Change in fair value of net trust assets, including trust REO gains (losses)	$	—	$	3,112	$	9,248	$	(702)

Equity and Share Based Payments (Tables)

9 Months Ended

Sep. 30, 2022

Summary of activity, pricing and other information for the Company's stock options


		Weighted-
		Average
	Number of	Exercise
	Shares	Price
Options outstanding at the beginning of the year	570,228	$	7.89
Options granted	—		—
Options exercised	—		—
Options forfeited/cancelled	(20,000)		3.34
Options outstanding at the end of the period	550,228		8.06
Options exercisable at the end of the period	515,540	$	8.38

Restricted stock units (RSU's)

Summary of activity, pricing and other information for the Company's


		Weighted-
		Average
	Number of	Grant Date
	Shares	Fair Value
RSUs outstanding at beginning of the year	397,829	$	4.11
RSUs granted	—		—
RSUs issued (converted)	(153,251)		4.32
RSUs forfeited/cancelled	(18,333)		3.85
RSUs outstanding at end of the period	226,245	$	3.99

Deferred stock units

Summary of activity, pricing and other information for the Company's


		Weighted-
		Average
	Number of	Grant Date
	Shares	Fair Value
DSUs outstanding at the beginning of the year	54,500	$	6.61
DSUs granted	—		—
DSUs issued (converted)	(15,000)		3.75
DSUs forfeited/cancelled	—		—
DSUs outstanding at the end of the period	39,500	$	7.70

Summary of Business and Financial Statement Presentation (Policies)	9 Months Ended
	Sep. 30, 2022
Summary of Business and Financial Statement Presentation
Financial Statement Presentation	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 nine months ended September 30, 2022 are not necessarily indicative of the results that may be expected for the year ending December 31, 2022. 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, 2021, filed with the United States Securities and Exchange Commission. All significant intercompany 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 period presentation. Management has made a number of material 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. Additionally, other items affected by such estimates and assumptions include the valuation of trust assets and trust liabilities prior to the sale in March 2022, contingencies, the estimated obligation of repurchase reserves related to sold loans, the valuation of long-term debt, mortgage servicing rights (MSR), mortgage loans held-for-sale (LHFS) and derivative instruments, including interest rate lock commitments (IRLC). Actual results could differ from those estimates and assumptions.
Recent Accounting Pronouncements Not Yet Effective	Recent Accounting Pronouncements Not Yet Effective There have been no developments to recently issued accounting standards, including the expected dates of adoption and estimated effects on the Company’s consolidated financial statements and footnote disclosures, from those disclosed in the 2021 Annual Report on Form 10-K, except for the following: In March 2020 and January 2021, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2020-04 and ASU 2021-01, “Reference Rate Reform (Topic 848)”. Together, the ASUs provide temporary optional expedients and exceptions to the U.S. GAAP guidance on contract modifications and hedge accounting to ease the financial reporting burdens related to the expected market transition from the London Interbank Offered Rate (LIBOR) and other interbank offered rates to alternative reference rates. This guidance is effective beginning on March 12, 2020, and the Company may elect to apply the amendments prospectively through December 31, 2022. The Company is currently evaluating the impact the adoption of this ASU would have on the Company’s consolidated financial statements. In May 2021, the FASB issued ASU 2021-04, “Earnings Per Share (Topic 260), Debt—Modifications and Extinguishments (Subtopic 470-50), Compensation—Stock Compensation (Topic 718), and Derivatives and Hedging—Contracts in Entity’s Own Equity (Subtopic 815-40): Issuer’s Accounting for Certain Modifications or Exchanges of Freestanding Equity-Classified Written Call Options (a consensus of the FASB Emerging Issues Task Force)”. The amendments in this update are effective for all entities for fiscal years beginning after December 15, 2021, including interim periods within those fiscal years. The Company adopted this ASU on January 1, 2022 and the adoption of this ASU did not have a material impact on the Company’s consolidated financial statements. In March 2022, the FASB issued ASU No. 2022-02, Financial Instruments - Credit Losses (Topic 326): Troubled Debt Restructurings and Vintage Disclosures. The guidance amends Topic 326 (CECL) to eliminate the accounting guidance for TDRs by creditors, while enhancing disclosure requirements for certain loan refinancing and restructuring activities by creditors when a borrower is experiencing financial difficulty. Specifically, rather than applying TDR recognition and measurement guidance, under the CECL model creditors will determine whether a modification results in a new loan or continuation of existing loan. These amendments are intended to enhance existing disclosure requirements and introduce new requirements related to certain modifications of receivables made to borrowers experiencing financial difficulty. Additionally, the amendments to Topic 326 require that an entity disclose current-period gross write-offs by year of origination within the vintage disclosures, which requires that an entity disclose the amortized cost basis of financing receivables by credit quality indicator and class of financing receivable by year of origination. The guidance will become effective for the Company beginning with the fiscal year 2023, including interim periods. The Company is currently assessing the impact of ASU No. 2022-02 but does not expect that its adoption will have a material impact on the consolidated financial statements.

Securitized Mortgage Trusts

9 Months Ended

Sep. 30, 2022

Securitized Mortgage Trusts

Securitized Mortgage Trusts

Note 6.—Securitized Mortgage Trusts

In March 2022, the Company and its subsidiaries (the Sellers), entered into a Purchase, Sale and Assignment Agreement (Sale Agreement) pursuant to which the Sellers sold certain residual interest certificates, and assigned certain optional termination and loan purchase rights, owned by the Sellers relating to 37 securitizations that closed between 2000 and 2007 (the Securitizations). Pursuant to the terms of the Sale Agreement, the purchaser paid the Company an aggregate cash purchase price of $37.5 million, $20.0 million of which was paid on March 16, 2022, and the remaining balance of the purchase price was paid on March 25, 2022, upon the Company’s satisfaction of certain closing and payment release provisions, including delivery of certain residual interest certificates, set forth in the Sale Agreement. For the three months ended March 31, 2022, the Company recorded a $9.2 million increase in fair value, net of $277 thousand in transaction costs related to the transfer.

As a result of the sale, in accordance with FASB ASC 810-10-25, the Company deconsolidated the securitized mortgage trust assets totaling approximately $1.6 billion and trust liabilities of $1.6 billion as of the sale date as it was no longer the primary beneficiary of the consolidated securitization trusts. The Company shall remain the master servicer with respect to all of the securitizations until such time that the deals are collapsed or payoff.

Securitized Mortgage Trust Assets

Securitized mortgage trust assets, which are recorded at their estimated fair value, were comprised of the following at September 30, 2022 and December 31, 2021:


	September 30,		December 31,
	2022		2021
Securitized mortgage collateral, at fair value	$	—	$	1,639,251
REO, at net realizable value (NRV)		—		3,479
Total securitized mortgage trust assets	$	—	$	1,642,730

Securitized Mortgage Trust Liabilities

Securitized mortgage trust liabilities, which are recorded at their estimated fair value, were comprised of the following at September 30, 2022 and December 31, 2021:


	September 30,		December 31,
	2022		2021
Securitized mortgage borrowings	$	—	$	1,614,862

Changes in fair value of net trust assets, including trust REO gains (losses), were comprised of the following for the three and nine months ended September 30, 2022 and 2021:


	For the Three Months Ended				For the Nine Months Ended
	September 30,				September 30,
	2022		2021		2022		2021
Change in fair value of net trust assets, excluding REO	$	—	$	3,381	$	9,248	$	(1,991)
(Losses) gains from trust REO		—		(269)		—		1,289
Change in fair value of net trust assets, including trust REO gains (losses)	$	—	$	3,112	$	9,248	$	(702)

Leases - Lease Information (Details) $ in Thousands	9 Months Ended
Leases - Lease Information (Details) $ in Thousands	Sep. 30, 2022 USD ($)
Lease Assets and Liabilities
Lease liabilities	$ 9,380
Weighted average remaining lease term (in years)	2 years
Weighted average discount rate	4.80%
Other assets
Lease Assets and Liabilities
Lease ROU assets	$ 7,452
Other liabilities
Lease Assets and Liabilities
Lease liabilities	$ 9,380

Debt (Tables)

9 Months Ended

Sep. 30, 2022

Long-term Debt

Schedule of information on warehouse borrowings


	Maximum		Balance Outstanding at
	Borrowing		September 30,		December 31,
	Capacity		2022		2021		Maturity Date
Short-term borrowings:
Repurchase agreement 1 (1)	$	—	$	—	$	30,009	May 24, 2022
Repurchase agreement 2 (2)		—		—		153,006	September 13, 2022
Repurchase agreement 3 (3)		300,000		2,586		56,794	November 23, 2022
Repurchase agreement 4 (4)		25,000		10,706		45,730	December 31, 2022
Total warehouse borrowings	$	325,000	$	13,292	$	285,539

___________________________

(1)

Repurchase agreement 1 was not renewed.

(2)

Repurchase agreement 2 was not renewed.

(3)

In September 2022, this line was extended to November 2022, pending the renewal process and is expected to be reduced to $15.0 million. In October 2022, the Company entered into an agreement for a $1.0 million committed line in addition to the uncommitted line undergoing renewal.

(4)

In September 2022, the maximum borrowing capacity was reduced to $25.0 million and the maturity of the line was moved to December 31, 2022.

Junior subordinated notes

Long-term Debt

Schedule of remaining principal balance and fair value


	September 30,		December 31,
	2022		2021
Junior Subordinated Notes (1)	$	62,000	$	62,000
Fair value adjustment		(28,736)		(15,464)
Total Junior Subordinated Notes	$	33,264	$	46,536

(1)	Stated maturity of March 2034; requires quarterly interest payments at a variable rate of 3-month LIBOR plus 3.75% per annum.

- Definition

Tabular disclosure of long-debt instruments or arrangements, including identification, terms, features, collateral requirements and other information necessary to a fair presentation. These are debt arrangements that originally required repayment more than twelve months after issuance or greater than the normal operating cycle of the entity, if longer.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 210
-SubTopic 10
-Section S99
-Paragraph 1
-Subparagraph (SX 210.5-02.22)
-URI http://asc.fasb.org/extlink&oid=120391452&loc=d3e13212-122682

Reference 2: http://www.xbrl.org/2009/role/commonPracticeRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 235
-SubTopic 10
-Section S99
-Paragraph 3
-Subparagraph (SX 210.12-04(a))
-URI http://asc.fasb.org/extlink&oid=120395691&loc=d3e24072-122690

Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 835
-SubTopic 30
-Section 45
-Paragraph 1A
-URI http://asc.fasb.org/extlink&oid=124435984&loc=d3e28541-108399

Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 505
-SubTopic 10
-Section 50
-Paragraph 6
-URI http://asc.fasb.org/extlink&oid=123467817&loc=d3e21506-112644

Reference 5: http://www.xbrl.org/2003/role/exampleRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 470
-SubTopic 20
-Section 55
-Paragraph 69B
-URI http://asc.fasb.org/extlink&oid=123466577&loc=SL123495735-112612

Reference 6: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 835
-SubTopic 30
-Section 45
-Paragraph 2
-URI http://asc.fasb.org/extlink&oid=124435984&loc=d3e28551-108399

Reference 7: http://www.xbrl.org/2003/role/exampleRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 470
-SubTopic 20
-Section 55
-Paragraph 69E
-URI http://asc.fasb.org/extlink&oid=123466577&loc=SL123495743-112612

Reference 8: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 505
-SubTopic 10
-Section 50
-Paragraph 7
-URI http://asc.fasb.org/extlink&oid=123467817&loc=d3e21521-112644

Reference 9: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 505
-SubTopic 10
-Section 50
-Paragraph 8
-URI http://asc.fasb.org/extlink&oid=123467817&loc=d3e21538-112644

Reference 10: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 942
-SubTopic 470
-Section 50
-Paragraph 3
-URI http://asc.fasb.org/extlink&oid=123599511&loc=d3e64711-112823

Reference 11: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 835
-SubTopic 30
-Section 55
-Paragraph 8
-URI http://asc.fasb.org/extlink&oid=114775985&loc=d3e28878-108400

Reference 12: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 505
-SubTopic 10
-Section 50
-Paragraph 3
-URI http://asc.fasb.org/extlink&oid=123467817&loc=d3e21475-112644

+ Details

Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2022

Fair Value of Financial Instruments

Schedule of estimated fair value of financial instruments included in consolidated financial statements


	September 30, 2022								December 31, 2021
	Carrying		Estimated Fair Value						Carrying		Estimated Fair Value
	Amount		Level 1		Level 2		Level 3		Amount		Level 1		Level 2		Level 3
Assets
Cash and cash equivalents	$	44,008	$	44,008	$	—	$	—	$	29,555	$	29,555	$	—	$	—
Restricted cash		4,173		4,173		—		—		5,657		5,657		—		—
Mortgage loans held-for-sale		18,443		—		18,443		—		308,477		—		308,477		—
Mortgage servicing rights		865		—		—		865		749		—		—		749
Derivative assets, lending, net (1)		331		—		234		97		3,111		—		—		3,111
Securitized mortgage collateral		—		—		—		—		1,639,251		—		—		1,639,251

Liabilities
Warehouse borrowings	$	13,292	$	—	$	13,292	$	—	$	285,539	$	—	$	285,539	$	—
Convertible notes		15,000		—		—		15,000		20,000		—		—		20,000
Long-term debt		33,264		—		—		33,264		46,536		—		—		46,536
Securitized mortgage borrowings		—		—		—		—		1,614,862		—		—		1,614,862
Derivative liabilities, lending, net (2)		—		—		—		—		55		—		55		—

(1)	Represents IRLCs and Hedging Instruments and are included in other assets in the accompanying consolidated balance sheets.

(2)	Represents Hedging Instruments and are included in other liabilities in the accompanying consolidated balance sheets.

Schedule of assets and liabilities that are measured at estimated fair value on recurring basis


	Recurring Fair Value Measurements
	September 30, 2022						December 31, 2021
	Level 1		Level 2		Level 3		Level 1		Level 2		Level 3
Assets
Mortgage loans held-for-sale	$	—	$	18,443	$	—	$	—	$	308,477	$	—
Derivative assets, lending, net (1)		—		234		97		—		—		3,111
Mortgage servicing rights		—		—		865		—		—		749
Securitized mortgage collateral		—		—		—		—		—		1,639,251
Total assets at fair value	$	—	$	18,677	$	962	$	—	$	308,477	$	1,643,111
Liabilities
Securitized mortgage borrowings	$	—	$	—	$	—	$	—	$	—	$	1,614,862
Long-term debt		—		—		33,264		—		—		46,536
Derivative liabilities, lending, net (2)		—		—		—		—		55		—
Total liabilities at fair value	$	—	$	—	$	33,264	$	—	$	55	$	1,661,398

(1)

At September 30, 2022, derivative assets, lending, net included $97 thousand in IRLCs and $234 thousand in Hedging Instruments included in other assets in the accompanying consolidated balance sheets. At December 31, 2021, derivative assets, lending, net included $3.1 million in IRLCs and is included in other assets in the accompanying consolidated balance sheets.

(2)	At December 31, 2021, derivative liabilities, lending, net are included in other liabilities in the accompanying consolidated balance sheets.

Schedule of reconciliation for all assets and liabilities measured at estimated fair value on recurring basis using significant unobservable inputs (Level 3)


	Level 3 Recurring Fair Value Measurements
	For the Three Months Ended September 30, 2022

							Interest
	Securitized		Securitized		Mortgage		rate lock		Long-
	mortgage		mortgage		servicing		commitments,		term
	collateral		borrowings		rights		net		debt
Fair value, June 30, 2022	$	—	$	—	$	850	$	498	$	(35,889)
Total gains (losses) included in earnings:
Interest income		—		—		—		—		—
Interest expense		—		—		—		—		(287)
Change in fair value		—		—		15		(401)		(435)
Change in instrument specific credit risk		—		—		—		—		3,347	(1)
Total gains (losses) included in earnings		—		—		15		(401)		2,625
Transfers in and/or out of Level 3		—		—		—		—		—
Purchases, issuances and settlements:
Purchases		—		—		—		—		—
Issuances		—		—		—		—		—
Settlements		—		—		—		—		—
Fair value, September 30, 2022	$	—	$	—	$	865	$	97	$	(33,264)

(1)	Amount represents the change in instrument specific credit risk in other comprehensive gain (loss) in the consolidated statements of operations and comprehensive (loss) earnings.


	Level 3 Recurring Fair Value Measurements
	For the Three Months Ended September 30, 2021

							Interest
	Securitized		Securitized		Mortgage		rate lock		Long-
	mortgage		mortgage		servicing		commitments,		term
	collateral		borrowings		rights		net		debt
Fair value, June 30, 2021	$	1,858,423	$	(1,847,224)	$	553	$	4,262	$	(44,900)
Total gains (losses) included in earnings:
Interest income (1)		(1,557)		—		—		—		—
Interest expense (1)		—		(10,172)		—		—		(386)
Change in fair value		23,439		(20,057)		(42)		1,102		(1,803)
Change in instrument specific credit risk		—		—		—		—		631	(2)
Total gains (losses) included in earnings		21,882		(30,229)		(42)		1,102		(1,558)
Transfers in and/or out of Level 3		—		—		—		—		—
Purchases, issuances and settlements:
Purchases		—		—		—		—		—
Issuances		—		—		246		—		—
Settlements		(155,933)		169,959		—		—		—
Fair value, September 30, 2021	$	1,724,372	$	(1,707,494)	$	757	$	5,364	$	(46,458)

(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. Net interest income, including cash received and paid, was $2.2 million for the three months ended September 30, 2021. The difference between accretion of interest income and expense and the amounts of interest income and expense recognized in the consolidated statements of operations and comprehensive (loss) earnings is primarily from contractual interest on the securitized mortgage collateral and borrowings.

(2)	Amount represents the change in instrument specific credit risk in other comprehensive (loss) earnings in the consolidated statements of operations and comprehensive (loss) earnings.


	Level 3 Recurring Fair Value Measurements
	For the Nine Months Ended September 30, 2022

							Interest
	Securitized		Securitized		Mortgage		rate lock		Long-
	mortgage		mortgage		servicing		commitments,		term
	collateral		borrowings		rights		net		debt
Fair value, December 31, 2021	$	1,639,251	$	(1,614,862)	$	749	$	3,111	$	(46,536)
Total gains (losses) included in earnings:
Interest income (1)		2,019		—		—		—		—
Interest expense (1)		—		(7,564)		—		—		(1,030)
Change in fair value		9,248		—		70		(3,014)		3,187
Change in instrument specific credit risk		—		—		—		—		11,115	(2)
Total gains (losses) included in earnings		11,267		(7,564)		70		(3,014)		13,272
Transfers in and/or out of Level 3		—		—		—		—		—
Purchases, issuances and settlements:
Purchases		—		—		—		—		—
Issuances		—		—		46		—		—
Settlements		(1,650,518)		1,622,426		—		—		—
Fair value, September 30, 2022	$	—	$	—	$	865	$	97	$	(33,264)
Unrealized gains (losses) still held (3)	$	—	$	—	$	865	$	97	$	(28,736)

(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 prior to the sale in March 2022. Net interest income, including cash received and paid, was $1.2 million for the nine months ended September 30, 2022. The difference between accretion of interest income and expense and the amounts of interest income and expense recognized in the consolidated statements of operations and comprehensive (loss) earnings is primarily from contractual interest on the securitized mortgage collateral and borrowings.

(2)	Amount represents the change in instrument specific credit risk in other comprehensive (loss) earnings in the consolidated statements of operations and comprehensive (loss) earnings.

(3)	Represents the amount of unrealized gains relating to assets and liabilities classified as Level 3 that are still held and reflected in the fair values at September 30, 2022.


	Level 3 Recurring Fair Value Measurements
	For the Nine Months Ended September 30, 2021

							Interest
	Securitized		Securitized		Mortgage		rate lock		Long-
	mortgage		mortgage		servicing		commitments,		term
	collateral		borrowings		rights		net		debt
Fair value, December 31, 2020	$	2,100,175	$	(2,086,557)	$	339	$	7,275	$	(44,413)
Total gains (losses) included in earnings:
Interest income (1)		(11,036)		—		—		—		—
Interest expense (1)		—		(28,190)		—		—		(1,109)
Change in fair value		103,296		(105,287)		(41)		(1,911)		638
Change in instrument specific credit risk		—		—		—		—		(1,574)	(2)
Total gains (losses) included in earnings		92,260		(133,477)		(41)		(1,911)		(2,045)
Transfers in and/or out of Level 3		—		—		—		—		—
Purchases, issuances and settlements:
Purchases		—		—		—		—		—
Issuances		—		—		459		—		—
Settlements		(468,063)		512,540		—		—		—
Fair value, September 30, 2021	$	1,724,372	$	(1,707,494)	$	757	$	5,364	$	(46,458)
Unrealized (losses) gains still held (3)	$	(156,952)	$	2,367,197	$	757	$	5,364	$	15,542

(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. Net interest income, including cash received and paid, was $6.5 million for the three and nine months ended September 30, 2021. The difference between accretion of interest income and expense and the amounts of interest income and expense recognized in the consolidated statements of operations and comprehensive (loss) earnings is primarily from contractual interest on the securitized mortgage collateral and borrowings.

(2)	Amount represents the change in instrument specific credit risk in other comprehensive (loss) earnings in the consolidated statements of operations and comprehensive (loss) earnings.

(3)	Represents the amount of unrealized (losses) gains relating to assets and liabilities classified as Level 3 that are still held and reflected in the fair values at September 30, 2021

Schedule of quantitative information about the valuation techniques and unobservable inputs applied to Level 3 fair value measurements for financial instruments measured at fair value on a recurring and non-recurring basis

The following table presents quantitative information about the valuation techniques and unobservable inputs applied to Level 3 fair value measurements for financial instruments measured at fair value on a recurring and nonrecurring basis at September 30, 2022 and December 31, 2021:


		September 30, 2022				December 31, 2021
	Unobservable	Range of		Weighted		Range of		Weighted
Financial Instrument	Input	Inputs		Average		Inputs		Average
Assets and liabilities backed by real estate
Securitized mortgage collateral, and	Prepayment rates	-	%	-	%	2.9 - 46.3	%	10.7	%
Securitized mortgage borrowings	Default rates	-	%	-	%	0.06 - 4.3	%	1.7	%
	Loss severities	-	%	-	%	0.01 - 97.6	%	70.1	%
	Discount rates	-	%	-	%	2.1 - 13.0	%	3.6	%
Other assets and liabilities
Mortgage servicing rights	Discount rates	12.5 - 15.0	%	12.8	%	12.5 - 15.0	%	12.8	%
	Prepayment rates	7.5 - 12.0	%	8.5	%	8.01 - 29.1	%	10.3	%
Derivative assets - IRLCs, net	Pull-through rates	40.0 - 98.0	%	69.4	%	50.0 - 98.0	%	79.0	%
Long-term debt	Discount rates	16.6	%	16.6	%	8.6	%	8.6	%

Schedule of changes in recurring fair value measurements included in net loss


	Recurring Fair Value Measurements
	Changes in Fair Value Included in Net (Loss) Earnings
	For the Three Months Ended September 30, 2022
					Change in Fair Value of
	Interest		Interest		Net Trust		Long-term		Other Revenue		(Loss) Gain on Sale
	Income (1)		Expense (1)		Assets		Debt		and Expense		of Loans, net		Total
Securitized mortgage collateral	$	—	$	—	$	—	$	—	$	—	$	—	$	—
Securitized mortgage borrowings		—		—		—		—		—		—		—
Long-term debt		—		(287)		—		(435)		—		—		(722)
Mortgage servicing rights (2)		—		—		—		—		15		—		15
Mortgage loans held-for-sale		—		—		—		—		—		(1,503)		(1,503)
Derivative assets — IRLCs		—		—		—		—		—		(401)		(401)
Derivative liabilities — Hedging Instruments		—		—		—		—		—		234		234
Total	$	—	$	(287)	$	—	$	(435)	$	15	$	(1,670)	$	(2,377)

(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 gain on MSRs, net in the consolidated statements of operations and comprehensive (loss) earnings.


	Recurring Fair Value Measurements
	Changes in Fair Value Included in Net (Loss) Earnings
	For the Three Months Ended September 30, 2021
					Change in Fair Value of
	Interest		Interest		Net Trust			Long-term		Other Revenue		(Loss) Gain on Sale
	Income (1)		Expense (1)		Assets			Debt		and Expense		of Loans, net		Total
Securitized mortgage collateral	$	(1,557)	$	—	$	23,439		$	—	$	—	$	—	$	21,882
Securitized mortgage borrowings		—		(10,172)		(20,057)			—		—		—		(30,229)
Long-term debt		—		(386)		—			(1,803)		—		—		(2,189)
Mortgage servicing rights (2)		—		—		—			—		(42)		—		(42)
Mortgage loans held-for-sale		—		—		—			—		—		4,228		4,228
Derivative assets — IRLCs		—		—		—			—		—		1,102		1,102
Derivative liabilities — Hedging Instruments		—		—		—			—		—		1,489		1,489
Total	$	(1,557)	$	(10,558)	$	3,382	(3)	$	(1,803)	$	(42)	$	6,819	$	(3,759)

(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 gain on MSRs, net in the consolidated statements of operations and comprehensive (loss) earnings.

(3)	For the three months ended September 30, 2021, change in the fair value of net trust assets, excluding REO was $3.4 million.


	Recurring Fair Value Measurements
	Changes in Fair Value Included in Net (Loss) Earnings
	For the Nine Months Ended September 30, 2022
					Change in Fair Value of
	Interest		Interest		Net Trust			Long-term		Other Income		(Loss) Gain on Sale
	Income (1)		Expense (1)		Assets			Debt		and Expense		of Loans, net		Total
Securitized mortgage collateral	$	2,019	$	—	$	9,248		$	—	$	—	$	—	$	11,267
Securitized mortgage borrowings		—		(7,564)		—			—		—		—		(7,564)
Long-term debt		—		(1,030)		—			3,187		—		—		2,157
Mortgage servicing rights (2)		—		—		—			—		70		—		70
Mortgage loans held-for-sale		—		—		—			—		—		(8,985)		(8,985)
Derivative assets — IRLCs		—		—		—			—		—		(3,014)		(3,014)
Derivative liabilities — Hedging Instruments		—		—		—			—		—		290		290
Total	$	2,019	$	(8,594)	$	9,248	(3)	$	3,187	$	70	$	(11,709)	$	(5,779)

(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 gain on MSRs, net in the consolidated statements of operations and comprehensive (loss) earnings.

(3)	For the nine months ended September 30, 2022, change in the fair value of net trust assets, excluding REO was $9.2 million.


	Recurring Fair Value Measurements
	Changes in Fair Value Included in Net (Loss) Earnings
	For the Nine Months Ended September 30, 2021
					Change in Fair Value of
	Interest		Interest		Net Trust			Long-term		Other Income		(Loss) Gain on Sale
	Income (1)		Expense (1)		Assets			Debt		and Expense		of Loans, net		Total
Securitized mortgage collateral	$	(11,036)	$	—		103,296		$	—	$	—	$	—	$	92,260
Securitized mortgage borrowings		—		(28,190)		(105,287)			—		—		—		(133,477)
Long-term debt		—		(1,109)		—			638		—		—		(471)
Mortgage servicing rights (2)		—		—		—			—		(41)		—		(41)
Mortgage loans held-for-sale		—		—		—			—		—		3,632		3,632
Derivative assets — IRLCs		—		—		—			—		—		(1,911)		(1,911)
Derivative liabilities — Hedging Instruments		—		—		—			—		—		1,407		1,407
Total	$	(11,036)	$	(29,299)	$	(1,991)	(3)	$	638	$	(41)	$	3,128	$	(38,601)

(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 gain on MSRs, net in the consolidated statements of operations and comprehensive (loss) earnings.

(3)	For the nine months ended September 30, 2021, change in the fair value of net trust assets, excluding REO was $2.0 million.

Schedule of derivative assets and liabilities


					Total Gains (Losses)				Total Gains (Losses)
	Notional Amount				For the Three Months Ended				For the Nine Months Ended
	September 30,		December 31,		September 30,				September 30,
	2022		2021		2022		2021		2022		2021
Derivative – IRLC's (1)	$	28,089	$	255,150	$	(401)	$	1,102	$	(3,014)	$	(1,911)
Derivative – TBA MBS (1)		5,000		102,000		222		(596)		4,982		2,236
Derivative – Swap Futures (1)		3,300		—		216		—		1,516		—

(1)	Amounts included in (loss) gain on sale of loans, net within the accompanying consolidated statements of operations and comprehensive (loss) earnings.

Schedule of financial and non-financial assets and liabilities measured using nonrecurring fair value measurements

Nonrecurring Fair Value Measurements

Total Losses (1)

September 30, 2022

For the Three Months Ended

For the Nine Months Ended

Level 1

Level 2

Level 3

September 30, 2022

ROU asset impairment

—

7,452

(123)

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


	Nonrecurring Fair Value Measurements						Total (Losses) Gains (1)
	September 30, 2021						For the Three Months Ended		For the Nine Months Ended
	Level 1		Level 2		Level 3		September 30, 2021		September 30, 2021
REO (2)	$	—	$	3,364	$	—	$	(269)	$	1,289

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

(2)

For the three and nine months ended September 30, 2021, the Company recorded $269 thousand and $1.3 million, respectively, in (losses) gains related to changes in NRV of properties. Losses represent impairment of the NRV attributable to an increase in state specific loss severities on properties held during the period which resulted in a decrease to NRV. Gains represent recovery of the NRV attributable to an improvement in state specific loss severities on properties held during the period which resulted in an increase to NRV.

- Definition

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4B
-URI http://asc.fasb.org/extlink&oid=125515794&loc=SL5624163-113959

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 1B
-URI http://asc.fasb.org/extlink&oid=125515794&loc=SL5580258-113959

Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 2
-URI http://asc.fasb.org/extlink&oid=125515794&loc=d3e41620-113959

Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 1A
-URI http://asc.fasb.org/extlink&oid=125515794&loc=SL5579245-113959

Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4
-URI http://asc.fasb.org/extlink&oid=125515794&loc=d3e41638-113959

Reference 6: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 8
-URI http://asc.fasb.org/extlink&oid=125515794&loc=d3e41678-113959

Reference 7: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 5
-URI http://asc.fasb.org/extlink&oid=125515794&loc=d3e41641-113959

Reference 8: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4C
-URI http://asc.fasb.org/extlink&oid=125515794&loc=SL5624171-113959

Reference 9: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 1
-URI http://asc.fasb.org/extlink&oid=125515794&loc=SL5579240-113959

+ Details

Equity and Share Based Payments - Redeemable Preferred Stock (Details) $ / shares in Units, $ in Thousands								9 Months Ended	12 Months Ended
	Nov. 15, 2022 shares	Oct. 26, 2022 shares	Oct. 20, 2022 USD ($) $ / shares shares	Sep. 30, 2022 USD ($) item $ / shares	Aug. 25, 2022 $ / shares shares	Apr. 29, 2022	Dec. 07, 2011	Sep. 30, 2022 USD ($) item $ / shares	Dec. 31, 2021 USD ($)
Equity and Share Based Payments
Aggregate number of common shares which can be purchased with warrants issued	681,923	1,425,695
Common Stock
Equity and Share Based Payments
New shares issued during the period	3,298,439	7,330,319
Segregation order, number of shares to be held in escrow					4,437,280
Series B and C Preferred Stock
Equity and Share Based Payments
Outstanding liquidation preference \| $				$ 72,000				$ 72,000
Liquidation preference amount per share \| $ / shares				$ 25.00				$ 25.00
Series B 9.375% redeemable preferred stock
Equity and Share Based Payments
Outstanding liquidation preference \| $				$ 36,920				$ 36,920	$ 36,920
Liquidation value per share \| $ / shares				$ 55.47				$ 55.47
Cumulative undeclared dividends in arrears \| $				$ 20,300				$ 20,300
Cumulative undeclared dividends in arrears (per share) \| $ / shares				$ 30.47				$ 30.47
Cumulative undeclared dividends in arrears, increase in every quarter (per share) \| $ / shares								$ 0.5859
Amount of increase in cumulative undeclared dividends in arrears in each quarter \| $								$ 390
Number of quarterly dividends payments granted under judgement for Preferred shareholders \| item				3				3
Dividend amount required to be paid by company in three quarterly payments \| $				$ 1,200				$ 1,200
Preferred stock, dividend rate (as a percent)						9.375%	9.375%	9.375%	9.375%
Exchange offer, percent of shares tendered			69.00%
Series B 9.375% redeemable preferred stock \| Common Stock
Equity and Share Based Payments
Shares of common stock to be issued			13.33
Series B 9.375% redeemable preferred stock \| Preferred Stock
Equity and Share Based Payments
Shares of common stock to be issued			30
Series C 9.125% redeemable preferred stock
Equity and Share Based Payments
Outstanding liquidation preference \| $				$ 35,127				$ 35,127	$ 35,127
Preferred stock, dividend rate (as a percent)						9.125%	9.125%	9.125%	9.125%
Warrants to be issued			1.5
Warrant cash exercise price \| $ / shares			$ 5.00
Exchange offer, percent of shares tendered			67.00%
Series C 9.125% redeemable preferred stock \| Common Stock
Equity and Share Based Payments
Shares of common stock to be issued			1.25
Series C 9.125% redeemable preferred stock \| Preferred Stock
Equity and Share Based Payments
Shares of common stock to be issued			1
Series D 8.25% redeemable preferred stock
Equity and Share Based Payments
Liquidation preference amount per share \| $ / shares					$ 0.10
Cumulative undeclared dividends in arrears, increase in every quarter (per share) \| $ / shares			$ 0.0021
Amount of increase in cumulative undeclared dividends in arrears in each quarter \| $			$ 72
Preferred stock, dividend rate (as a percent)			8.25%		8.25%
Preferred stock, fixed annual dividend rate per share \| $ / shares					$ 0.00825
Preferred stock mandatory redemption period					60 days
Segregation order, number of shares to be deposited					13,311,840
Preferred stock, redemption price per share \| $ / shares					$ 0.10
Series D 8.25% redeemable preferred stock \| Maximum
Equity and Share Based Payments
Preferred stock mandatory redemption period					60 days
Series D 8.25% redeemable preferred stock \| Preferred Stock
Equity and Share Based Payments
New shares issued during the period	6,599,035	14,773,811

Commitments and Contingencies - Corporate-owned Life Insurance Trusts (Details) $ in Thousands	9 Months Ended
	Sep. 30, 2022 USD ($) item
Corporate-owned life insurance trusts
Number of life insurance trusts held for former executive officers \| item	3
Corporate-owned life insurance cash surrender value	$ 11,648
Corporate-owned life insurance liability	13,405
Corporate-owned life insurance short-fall	(1,757)
Accumulated Deficit
Corporate-owned life insurance trusts
Initial shortfall of corporate-owned life insurance trusts at consolidation of trusts	1,300
Trust #1
Corporate-owned life insurance trusts
Corporate-owned life insurance cash surrender value	5,330
Corporate-owned life insurance liability	6,189
Corporate-owned life insurance short-fall	(859)
Trust #2
Corporate-owned life insurance trusts
Corporate-owned life insurance cash surrender value	4,134
Corporate-owned life insurance liability	4,852
Corporate-owned life insurance short-fall	(718)
Trust #3
Corporate-owned life insurance trusts
Corporate-owned life insurance cash surrender value	2,184
Corporate-owned life insurance liability	2,364
Corporate-owned life insurance short-fall	$ (180)

Leases (Tables)

9 Months Ended

Sep. 30, 2022

Leases

Schedule of balance sheets, weighted average remaining lease term and weighted average discount rates


		September 30,
Lease Assets and Liabilities	Classification	2022
Assets
Lease ROU assets	Other assets	$ 7,452

Liabilities
Lease liabilities	Other liabilities	$ 9,380

Weighted average remaining lease term (in years)		2.0
Weighted average discount rate		4.8	%

Schedule of maturities of operating and finance leases

The following table presents the maturity of the Company’s operating and financing lease liabilities as of September 30, 2022:


Year remaining 2022	$	1,224
Year 2023		4,909
Year 2024		3,729
Total lease commitments	$	9,862
Less: imputed interest		(482)
Total lease liability	$	9,380

Subsequent Events

9 Months Ended

Sep. 30, 2022

Subsequent Events

Subsequent Events

Note 13.—Subsequent Events

On October 20, 2022, the Company received the requisite stockholder consents on the Series B Preferred and Series C Preferred exchange offers, exchanging all participating outstanding Series B Preferred stock and Series C Preferred stock, liquidation preference and cumulative dividends in arrears for common stock, warrants and new Preferred D stock. On October 26, 2022, the Company provided notice to the remaining holders of Series B Preferred stock and Series C Preferred stock of the subsequent redemption of such stock on November 15, 2022. For further description of the exchange offers, see Note 12. —Equity and Share Based Payments, Redeemable Preferred Stock.

Subsequent events have been evaluated through the date of this filing.

Reconciliation of Loss Per Common Share (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands	3 Months Ended						9 Months Ended
	Sep. 30, 2022	Jun. 30, 2022	Mar. 31, 2022	Sep. 30, 2021	Jun. 30, 2021	Mar. 31, 2021	Sep. 30, 2022	Sep. 30, 2021
Numerator for basic loss per share:
Net loss	$ (13,013)	$ (13,467)	$ (1,184)	$ 2,086	$ (8,864)	$ (683)	$ (27,664)	$ (7,461)
Less: Cumulative non-declared dividends on preferred stock	(390)			(390)			(1,170)	(390)
Net earnings (loss) attributable to common stockholders	(13,403)			1,696			(28,834)	(7,851)
Numerator for diluted loss per share:
Net earnings (loss) attributable to common stockholders	(13,403)			1,696			(28,834)	(7,851)
Net loss plus interest expense attributable to convertible notes	$ (13,403)			$ 1,696			$ (28,834)	$ (7,851)
Denominator for basic loss per share:
Basic weighted average common shares outstanding during the period	21,523			21,344			21,483	21,327
Denominator for diluted loss per share :
Basic weighted average common shares outstanding during the period	21,523			21,344			21,483	21,327
Net effect of dilutive stock options, DSU's, RSA's and RSU's				1
Diluted weighted average common shares	21,523			21,345			21,483	21,327
Basic (in dollars per share)	$ (0.62)			$ 0.08			$ (1.34)	$ (0.37)
Diluted (in dollars per share)	$ (0.62)			$ 0.08			$ (1.34)	$ (0.37)
Stock options, RSUs and DSUs
Denominator for diluted loss per share :
Antidilutive securities excluded from weighted average share calculations (in shares)							794	1,000
Convertible Notes
Denominator for diluted loss per share :
Antidilutive securities excluded from weighted average share calculations (in shares)	698			930			698	930
Warrants
Denominator for diluted loss per share :
Antidilutive securities excluded from weighted average share calculations (in shares)	213			213			213	213

CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
ASSETS
Cash and cash equivalents	$ 44,008	$ 29,555
Restricted cash	4,173	5,657
Mortgage loans held-for-sale	18,443	308,477
Mortgage servicing rights	865	749
Securitized mortgage trust assets		1,642,730
Other assets	26,096	35,603
Total assets	93,585	2,022,771
LIABILITIES
Warehouse borrowings	13,292	285,539
Convertible notes	15,000	20,000
Long-term debt	33,264	46,536
Securitized mortgage trust liabilities		1,614,862
Other liabilities	38,100	45,898
Total liabilities	99,656	2,012,835
Commitments and contingencies (See Note 11)
STOCKHOLDERS' EQUITY
Common stock, $0.01 par value; 200,000,000 shares authorized; 21,500,935 and 21,332,684 shares issued and outstanding as of June 30, 2022 and December 31, 2021, respectively	215	213
Additional paid-in capital	1,238,526	1,237,986
Accumulated other comprehensive earnings, net of tax	33,159	22,044
Total accumulated deficit:
Cumulative dividends declared	(822,520)	(822,520)
Accumulated deficit	(455,472)	(427,808)
Total accumulated deficit	(1,277,992)	(1,250,328)
Total stockholders' equity	(6,071)	9,936
Total liabilities and stockholders' equity	93,585	2,022,771
Series A-1 junior participating preferred stock
STOCKHOLDERS' EQUITY
Preferred stock
Series B 9.375% redeemable preferred stock
STOCKHOLDERS' EQUITY
Preferred stock	7	7
Series C 9.125% redeemable preferred stock
STOCKHOLDERS' EQUITY
Preferred stock	$ 14	$ 14

Income Taxes

9 Months Ended

Sep. 30, 2022

Income Taxes

Income Taxes

Note 8.—Income Taxes

The Company calculates its quarterly tax provision pursuant to the guidelines in ASC 740 Income Taxes. ASC 740 requires companies to estimate the annual effective tax rate for current year ordinary income. In calculating the effective tax rate, permanent differences between financial reporting and taxable income are factored into the calculation, and temporary differences are not. The estimated annual effective tax rate represents the Company’s estimate of the tax provision in relation to the best estimate of pre-tax ordinary income or loss. The estimated annual effective tax rate is then applied to year-to-date ordinary income or loss to calculate the year-to-date interim tax provision.

For the three and nine months ended September 30, 2022, the Company recorded income tax expense was approximately $7 thousand and $46 thousand, respectively, which was the result of state income taxes from states where the Company does not have net operating loss (NOL) carryforwards or state minimum taxes. For the three and nine months ended September 30, 2021, the Company recorded income tax expense of approximately $21 thousand and $63 thousand, respectively, which was the result of applying 1) the calculated annual effective tax rate (ETR) against the year to date net loss, and 2) the discrete method in jurisdictions where the Company meets an exception to using ETR. The net deferred tax assets (DTA) were fully reserved for at September 30, 2022, consistent with December 31, 2021.

As of December 31, 2021, the Company had estimated NOL carryforwards of approximately $623.5 million. Federal NOL carryforwards begin to expire in 2027. Included in the estimated NOL carryforward is $65.9 million of NOLs with an indefinite carryover period. As of December 31, 2021, the Company had estimated California NOL carryforwards of approximately $435.2 million, which begin to expire in 2028. The Company may not be able to realize the maximum benefit due to the nature and tax entities that hold the NOL.

- Definition

The entire disclosure for income taxes. Disclosures may include net deferred tax liability or asset recognized in an enterprise's statement of financial position, net change during the year in the total valuation allowance, approximate tax effect of each type of temporary difference and carryforward that gives rise to a significant portion of deferred tax liabilities and deferred tax assets, utilization of a tax carryback, and tax uncertainties information.

+ References

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 740
-SubTopic 10
-Section 50
-Paragraph 21
-URI http://asc.fasb.org/extlink&oid=121826272&loc=d3e32857-109319

Reference 2: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 740
-SubTopic 10
-Section S99
-Paragraph 2
-Subparagraph (SAB Topic 11.C)
-URI http://asc.fasb.org/extlink&oid=122134291&loc=d3e330215-122817

Reference 3: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 740
-SubTopic 10
-Section 50
-Paragraph 17
-Subparagraph (b)
-URI http://asc.fasb.org/extlink&oid=121826272&loc=d3e32809-109319

Reference 4: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 740
-SubTopic 10
-Section S99
-Paragraph 1
-Subparagraph (SAB TOPIC 6.I.5.Q1)
-URI http://asc.fasb.org/extlink&oid=122134291&loc=d3e330036-122817

Reference 5: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 740
-SubTopic 10
-Section 50
-Paragraph 14
-URI http://asc.fasb.org/extlink&oid=121826272&loc=d3e32705-109319

Reference 6: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 740
-SubTopic 270
-Section 50
-Paragraph 1
-URI http://asc.fasb.org/extlink&oid=6424409&loc=d3e44925-109338

Reference 7: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 740
-URI http://asc.fasb.org/topic&trid=2144680

Reference 8: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 740
-SubTopic 30
-Section 50
-Paragraph 2
-Subparagraph (a)
-URI http://asc.fasb.org/extlink&oid=6424122&loc=d3e41874-109331

Reference 9: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 235
-SubTopic 10
-Section S99
-Paragraph 1
-Subparagraph (SX 210.4-08(h)(2))
-URI http://asc.fasb.org/extlink&oid=120395691&loc=d3e23780-122690

+ Details

Mortgage Servicing Rights (Tables)

9 Months Ended

Sep. 30, 2022

Mortgage Servicing Rights

Schedule of changes in the fair value of MSRs


	September 30,		December 31,
	2022		2021
Balance at beginning of year	$	749	$	339
Additions from servicing retained loan sales		46		536
Changes in fair value (1)		70		(126)
Fair value of MSRs at end of period	$	865	$	749

(1)	Changes in fair value are included within gain on mortgage servicing rights, net in the accompanying consolidated statements of operations and comprehensive (loss) earnings.

Schedule of the outstanding loans serviced by entity


	September 30,		December 31,
	2022		2021
Government insured	$	69,585	$	71,841
Conventional		—		—
Total loans serviced	$	69,585	$	71,841

Schedule of hypothetical changes in the fair values of MSRs


	September 30,		December 31,
Mortgage Servicing Rights Sensitivity Analysis	2022		2021
Fair value of MSRs	$	865	$	749
Prepayment Speed:
Decrease in fair value from 10% adverse change		(16)		(24)
Decrease in fair value from 20% adverse change		(35)		(48)
Decrease in fair value from 30% adverse change		(53)		(70)
Discount Rate:
Decrease in fair value from 10% adverse change		(39)		(31)
Decrease in fair value from 20% adverse change		(74)		(59)
Decrease in fair value from 30% adverse change		(107)		(85)

Schedule of gain on mortgage servicing rights


	For the Three Months Ended				For the Nine Months Ended
	September 30,				September 30,
	2022		2021		2022		2021
Change in fair value of mortgage servicing rights	$	15	$	(42)	$	70	$	(41)
Gain on sale of mortgage servicing rights		181		143		281		143
Gain on mortgage servicing rights, net	$	196	$	101	$	351	$	102

Schedule of components of servicing (expense) fees, net


	For the Three Months Ended				For the Nine Months Ended
	September 30,				September 30,
	2022			2021	2022		2021
Contractual servicing fees	$	58	$	50	$	192	$	123
Subservicing and other costs		(26)		(174)		(165)		(516)
Servicing fees (expense), net	$	32	$	(124)	$	27	$	(393)

Equity and Share Based Payments - Stock Units And Awards (Details) $ / shares in Units, $ in Thousands	9 Months Ended
	Sep. 30, 2022 USD ($) $ / shares shares
Restricted stock units (RSU's)
Number of Shares
Outstanding at beginning of year (in shares) \| shares	397,829
Issued (converted) (in shares) \| shares	(153,251)
Forfeited / cancelled (in shares) \| shares	(18,333)
Outstanding at end of period (in shares) \| shares	226,245
Weighted-Average Grant Date Fair Value
Outstanding at beginning of year (in dollars per share) \| $ / shares	$ 4.11
Issued (converted) (in dollars per share) \| $ / shares	4.32
Forfeited / cancelled (in dollars per share) \| $ / shares	3.85
Outstanding at end of period (in dollars per share) \| $ / shares	$ 3.99
Additional information
Unrecognized compensation cost \| $	$ 466
Weighted-average period over which compensation cost is expected to be recognized	1 year 1 month 6 days
Deferred stock units
Number of Shares
Outstanding at beginning of year (in shares) \| shares	54,500
Issued (converted) (in shares) \| shares	(15,000)
Outstanding at end of period (in shares) \| shares	39,500
Weighted-Average Grant Date Fair Value
Outstanding at beginning of year (in dollars per share) \| $ / shares	$ 6.61
Issued (converted) (in dollars per share) \| $ / shares	3.75
Outstanding at end of period (in dollars per share) \| $ / shares	$ 7.70
Additional information
Unrecognized compensation cost \| $	$ 0

Commitments and Contingencies - Repurchase Reserve (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2022	Dec. 31, 2021
Commitments and Contingencies
Beginning balance	$ 4,744	$ 7,054
Provision for repurchases	(2,963)	(111)
Settlements	(1,517)	(2,421)
Total repurchase reserve	$ 6,190	$ 4,744

Segment Reporting (Tables)

9 Months Ended

Sep. 30, 2022

Segment Reporting

Reconciliation of earnings from segment to consolidated


Statement of Operations Items for the	Mortgage		Real Estate		Long-term		Corporate
Three Months Ended September 30, 2022:	Lending		Services		Portfolio		and other		Consolidated
Loss on sale of loans, net	$	(682)	$	—	$	—	$	—	$	(682)
Servicing income, net		32		—		—		—		32
Gain on mortgage servicing rights, net		196		—		—		—		196
Real estate services fees, net		—		290		—		—		290
Other revenue (expense)		3		—		29		(29)		3
Other operating expense		(6,214)		(339)		(69)		(4,454)		(11,076)
Other income (expense)		312		—		(1,677)		(404)		(1,769)
Net loss before income tax expense	$	(6,353)	$	(49)	$	(1,717)	$	(4,887)		(13,006)
Income tax expense										7
Net loss									$	(13,013)


Statement of Operations Items for the	Mortgage		Real Estate		Long-term		Corporate
Three Months Ended September 30, 2021:	Lending		Services		Portfolio		and other		Consolidated
Gain on sale of loans, net	$	19,608	$	—	$	—	$	—	$	19,608
Servicing expenses, net		(124)		—		—		—		(124)
Gain on mortgage servicing rights, net		101		—		—		—		101
Real estate services fees, net		—		244		—		—		244
Other revenue (expense)		—		—		24		(35)		(11)
Other operating expense		(15,082)		(359)		(242)		(4,114)		(19,797)
Other income (expense)		46		—		2,506		(466)		2,086
Net earnings (loss) before income tax expense	$	4,549	$	(115)	$	2,288	$	(4,615)	$	2,107
Income tax expense										21
Net earnings									$	2,086


Statement of Operations Items for the	Mortgage		Real Estate		Long-term		Corporate
Nine Months Ended September 30, 2022:	Lending		Services		Portfolio		and other		Consolidated
Gain on sale of loans, net	$	5,452	$	—	$	—	$	—	$	5,452
Servicing income, net		27		—		—		—		27
Gain on mortgage servicing rights, net		351		—		—		—		351
Real estate services fees, net		—		732		—		—		732
Other revenue		7		—		72		883		962
Other operating expense		(30,093)		(1,056)		(211)		(13,738)		(45,098)
Other income (expense)		961		—		10,283		(1,288)		9,956
Net (loss) earnings before income tax expense	$	(23,295)	$	(324)	$	10,144	$	(14,143)		(27,618)
Income tax expense										46
Net loss									$	(27,664)


Statement of Operations Items for the	Mortgage		Real Estate		Long-term		Corporate
Nine Months Ended September 30, 2021:	Lending		Services		Portfolio		and other		Consolidated
Gain on sale of loans, net	$	50,432	$	—	$	—	$	—	$	50,432
Servicing expense, net		(393)		—		—		—		(393)
Gain on mortgage servicing rights, net		102		—		—		—		102
Real estate services fees, net		—		932		—		—		932
Other revenue		24		—		92		192		308
Other operating expense		(46,598)		(1,083)		(498)		(12,532)		(60,711)
Other (expense) income		(153)		—		3,474		(1,389)		1,932
Net earnings (loss) before income tax expense	$	3,414	$	(151)	$	3,068	$	(13,729)	$	(7,398)
Income tax expense										63
Net loss									$	(7,461)

Reconciliation of assets from segment to consolidated


	Mortgage		Real Estate		Long-term		Corporate
Balance Sheet Items as of:	Lending		Services		Portfolio		and other		Consolidated
Total Assets at September 30, 2022 (1)	$	68,385	$	502	$	43	$	24,655	$	93,585
Total Assets at December 31, 2021 (1)	$	351,173	$	502	$	1,642,871	$	28,225	$	2,022,771

(1)	All segment asset balances exclude intercompany balances.

Debt - Convertible Notes (Details) $ / shares in Units, $ in Thousands						1 Months Ended	9 Months Ended	12 Months Ended
	Oct. 20, 2022 USD ($) installment $ / shares	Apr. 29, 2022 USD ($) installment shares	Oct. 28, 2020 USD ($)	Apr. 15, 2020 USD ($) $ / shares shares	Dec. 07, 2011	May 31, 2015 USD ($) D $ / shares	Sep. 30, 2022	Dec. 31, 2021	Nov. 15, 2022 shares	Oct. 26, 2022 shares
Convertible Notes
Aggregate number of common shares which can be purchased with warrants issued \| shares									681,923	1,425,695
Series B 9.375% redeemable preferred stock
Convertible Notes
Preferred stock, dividend rate (as a percent)		9.375%			9.375%		9.375%	9.375%
Series C 9.125% redeemable preferred stock
Convertible Notes
Number of common shares that can be purchased with each warrant \| shares		1.5
Warrant cash exercise price \| $ / shares	$ 5.00
Preferred stock, dividend rate (as a percent)		9.125%			9.125%		9.125%	9.125%
2015 Convertible Notes
Convertible Notes
Amount of debt						$ 25,000
Interest rate of debt (as a percent)						7.50%
Conversion price (in dollars per share) \| $ / shares						$ 21.50
Conditional conversion price (in dollars per share) \| $ / shares						$ 30.10
Number of trading days for which stock price must exceed specified price \| D						20
Number of consecutive trading days during which stock price must exceed specified price \| D						30
2015 Convertible Notes - First Amendment
Convertible Notes
Amount of debt				$ 25,000
Interest rate of debt (as a percent)				7.00%
Agreement term				6 months
Warrant cash exercise price \| $ / shares				$ 2.97
Relative fair value of warrants recorded as debt discount				$ 242
Effective interest rate				8.90%
2015 Convertible Notes - First Amendment \| Maximum
Convertible Notes
Aggregate number of common shares which can be purchased with warrants issued \| shares				212,649
2015 Convertible Notes - Second Amendment
Convertible Notes
Amount of debt			$ 25,000
Debt principal after scheduled paydown			20,000
Scheduled decrease in the aggregate principal amount			$ 5,000
Interest rate of debt (as a percent)			7.00%
2015 Convertible Notes - Third Amendment
Convertible Notes
Debt principal after scheduled paydown		$ 15,000
Scheduled decrease in the aggregate principal amount		$ 5,000
Interest rate of debt (as a percent)		7.00%
Number of installments \| installment	3	3
Principal payment	$ 5,000	$ 5,000

Document and Entity Information - shares	9 Months Ended
Document and Entity Information - shares	Sep. 30, 2022	Nov. 04, 2022
Document Information [Line Items]
Document Type	10-Q
Document Quarterly Report	true
Document Period End Date	Sep. 30, 2022
Document Transition Report	false
Entity File Number	1-14100
Entity Registrant Name	IMPAC MORTGAGE HOLDINGS, INC.
Entity Incorporation, State or Country Code	MD
Entity Tax Identification Number	33-0675505
Entity Address, Address Line One	19500 Jamboree Road
Entity Address, City or Town	Irvine
Entity Address, State or Province	CA
Entity Address, Postal Zip Code	92612
City Area Code	949
Local Phone Number	475-3600
Entity Current Reporting Status	Yes
Entity Interactive Data Current	Yes
Entity Filer Category	Non-accelerated Filer
Entity Small Business	true
Entity Emerging Growth Company	false
Entity Shell Company	false
Entity Common Stock, Shares Outstanding		33,268,534
Entity Central Index Key	0001000298
Current Fiscal Year End Date	--12-31
Document Fiscal Year Focus	2022
Document Fiscal Period Focus	Q3
Amendment Flag	false
Common Stock
Document Information [Line Items]
Title of 12(b) Security	Common Stock, $0.01 par value
Trading Symbol	IMH
Security Exchange Name	NYSEAMER
Preferred Stock Purchase Rights
Document Information [Line Items]
Title of 12(b) Security	Preferred Stock Purchase Rights
Trading Symbol	IMH
Security Exchange Name	NYSEAMER

CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE LOSS - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Revenues
Gain on sale of loans, net	$ (682)	$ 19,608	$ 5,452	$ 50,432
Real estate services fees, net	290	244	732	932
Gain (loss) on mortgage servicing rights, net	196	101	351	102
Servicing fees (expense), net	32	(124)	27	(393)
Other	3	(11)	962	308
Total revenues, net	(161)	19,818	7,524	51,381
Expenses
Personnel	5,701	12,685	25,646	39,574
General, administrative and other	4,830	4,927	15,287	15,991
Business promotion	545	2,185	4,165	5,146
Total expenses	11,076	19,797	45,098	60,711
Operating loss	(11,237)	21	(37,574)	(9,330)
Other income (expense)
Interest income	655	17,197	14,703	49,429
Interest expense	(1,989)	(16,420)	(17,182)	(47,433)
Change in fair value of long-term debt	(435)	(1,803)	3,187	638
Change in fair value of net trust assets, including trust REO gains		3,112	9,248	(702)
Total other income (expense), net	(1,769)	2,086	9,956	1,932
Net (loss) earnings before income taxes	(13,006)	2,107	(27,618)	(7,398)
Income tax expense	7	21	46	63
Net loss	(13,013)	2,086	(27,664)	(7,461)
Other comprehensive loss
Change in fair value of instrument specific credit risk of long-term debt	3,347	631	11,115	(1,574)
Total comprehensive loss	$ (9,666)	$ 2,717	$ (16,549)	$ (9,035)
Net loss per common share:
Basic (in dollars per share)	$ (0.62)	$ 0.08	$ (1.34)	$ (0.37)
Diluted (in dollars per share)	$ (0.62)	$ 0.08	$ (1.34)	$ (0.37)

Debt - Long-term Debt (Details) - Junior subordinated notes - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2022	Dec. 31, 2021
Junior Subordinated Notes, Fair Value
Long-term debt	$ 62,000	$ 62,000
Fair value adjustment	(28,736)	(15,464)
Total	$ 33,264	$ 46,536
London Interbank Offered Rate (LIBOR)
Long-term Debt
Applicable margin (as a percent)	3.75%

- Definition

Amount, after unamortized (discount) premium and debt issuance costs, of long-term debt. Includes, but not limited to, notes payable, bonds payable, debentures, mortgage loans and commercial paper. Excludes capital lease obligations.

+ References + Details

Leases

9 Months Ended

Sep. 30, 2022

Leases

Leases

Note 4.—Leases

The Company has three operating leases for office space expiring at various dates through 2024 and one financing lease which concludes in 2023. During the three and nine months ended September 30, 2022, cash paid for operating leases was $1.2 million and $3.6 million, respectively, while total operating lease expense was $983 thousand and $3.1 million, respectively. During the three and nine months ended September 30, 2021, cash paid for operating leases was $1.2 million and $3.4 million, respectively, while total operating lease expense was $1.0 million and $3.0 million, respectively. Operating lease expense includes short-term leases and sublease income, both of which are immaterial. Additionally, during the three and nine months ended September 30, 2022, the Company recorded right of use (ROU) asset impairment of $123 thousand related to the sublease of approximately 1,900 square feet of a floor within the Company’s corporate office, reducing the carrying value of the lease asset to its estimated fair value. The impairment charge is included in general, administrative and other expense in the consolidated statements of operations and comprehensive (loss) earnings.

The following table presents the operating and finance lease balances within the consolidated balance sheets, weighted average remaining lease term, and weighted average discount rates related to the Company’s operating and finance leases as of September 30, 2022:


		September 30,
Lease Assets and Liabilities	Classification	2022
Assets
Lease ROU assets	Other assets	$ 7,452

Liabilities
Lease liabilities	Other liabilities	$ 9,380

Weighted average remaining lease term (in years)		2.0
Weighted average discount rate		4.8	%

The following table presents the maturity of the Company’s operating and financing lease liabilities as of September 30, 2022:


Year remaining 2022	$	1,224
Year 2023		4,909
Year 2024		3,729
Total lease commitments	$	9,862
Less: imputed interest		(482)
Total lease liability	$	9,380

Mortgage Servicing Rights

9 Months Ended

Sep. 30, 2022

Mortgage Servicing Rights

Mortgage Servicing Rights

Note 3.—Mortgage Servicing Rights

The Company selectively retains MSRs from its sales and securitization of certain mortgage loans or as a result of purchase transactions. MSRs are reported at fair value based on the expected income derived from the net projected cash flows associated with the servicing contracts. The Company receives servicing fees, less subservicing costs, on the UPB of the underlying mortgage loans. The servicing fees are collected from the monthly payments made by the mortgagors, or if delinquent, when the underlying real estate is foreclosed upon and liquidated. The Company may receive other remuneration from rights to various mortgagor-contracted fees, such as late charges, collateral reconveyance charges and nonsufficient fund fees, and the Company is generally entitled to retain the interest earned on funds held pending remittance (or float) related to its collection of mortgagor principal, interest, tax and insurance payments.

The following table summarizes the activity of MSRs for the nine months ended September 30, 2022 and year ended December 31, 2021:


	September 30,		December 31,
	2022		2021
Balance at beginning of year	$	749	$	339
Additions from servicing retained loan sales		46		536
Changes in fair value (1)		70		(126)
Fair value of MSRs at end of period	$	865	$	749

(1)	Changes in fair value are included within gain on mortgage servicing rights, net in the accompanying consolidated statements of operations and comprehensive (loss) earnings.

At September 30, 2022 and December 31, 2021, the UPB of the mortgage servicing portfolio was comprised of the following:


	September 30,		December 31,
	2022		2021
Government insured	$	69,585	$	71,841
Conventional		—		—
Total loans serviced	$	69,585	$	71,841

The table below illustrates hypothetical changes in fair values of MSRs caused by assumed immediate changes to key assumptions that are used to determine fair value. See Note 7.—Fair Value of Financial Instruments for a description of the key assumptions used to determine the fair value of MSRs.


	September 30,		December 31,
Mortgage Servicing Rights Sensitivity Analysis	2022		2021
Fair value of MSRs	$	865	$	749
Prepayment Speed:
Decrease in fair value from 10% adverse change		(16)		(24)
Decrease in fair value from 20% adverse change		(35)		(48)
Decrease in fair value from 30% adverse change		(53)		(70)
Discount Rate:
Decrease in fair value from 10% adverse change		(39)		(31)
Decrease in fair value from 20% adverse change		(74)		(59)
Decrease in fair value from 30% adverse change		(107)		(85)

Sensitivities are hypothetical changes in fair value and cannot be extrapolated because the relationship of changes in assumptions to changes in fair value may not be linear. Also, the effect of a variation in a particular assumption is calculated without changing any other assumption, whereas a change in one factor may result in changes to another. Accordingly, no assurance can be given that actual results would be consistent with the results of these estimates. As a result, actual future changes in MSR values may differ significantly from those displayed above.

Gain on mortgage servicing rights, net is comprised of the following for the three and nine months ended September 30, 2022 and 2021:


	For the Three Months Ended				For the Nine Months Ended
	September 30,				September 30,
	2022		2021		2022		2021
Change in fair value of mortgage servicing rights	$	15	$	(42)	$	70	$	(41)
Gain on sale of mortgage servicing rights		181		143		281		143
Gain on mortgage servicing rights, net	$	196	$	101	$	351	$	102

Servicing fees (expense), net is comprised of the following for the three and nine months ended September 30, 2022 and 2021:


	For the Three Months Ended				For the Nine Months Ended
	September 30,				September 30,
	2022			2021	2022		2021
Contractual servicing fees	$	58	$	50	$	192	$	123
Subservicing and other costs		(26)		(174)		(165)		(516)
Servicing fees (expense), net	$	32	$	(124)	$	27	$	(393)

Loans Eligible for Repurchase from Government National Mortgage Association (GNMA or Ginnie Mae)

The Company sells loans in Ginnie Mae guaranteed mortgage-backed securities (MBS) by pooling eligible loans through a pool custodian and assigning rights to the loans to Ginnie Mae. When these Ginnie Mae loans are initially pooled and securitized, the Company meets the criteria for sale treatment and de-recognizes the loans. The terms of the Ginnie Mae MBS program allow, but do not require, the Company to repurchase mortgage loans when the borrower has made no payments for three consecutive months. When the Company has the unconditional right, as servicer, to repurchase Ginnie Mae pool loans it has previously sold and are more than 90 days past due, and the repurchase will provide a “more than trivial benefit”, the Company then re-recognizes the loans on its consolidated balance sheets in other assets, at their UPB and records a corresponding liability in other liabilities in the consolidated balance sheets. At September 30, 2022 and December 31, 2021, loans eligible for repurchase from GNMA totaled $601 thousand and $337 thousand, respectively, in UPB. As part of the Company’s repurchase reserve, the Company records a repurchase provision to provide for estimated losses from the sale or securitization of all mortgage loans, including these loans.

Fair Value of Financial Instruments - Changes in Recurring Fair Value Measurements Included in Earnings (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021	Dec. 31, 2021
Change in Fair Value Included in Net Loss
Change in fair value of net trust assets, excluding trust REO			$ (9,248)	$ 1,991
Derivative liabilities, net \| TBA's
Derivative assets and liabilities
Derivative Liability, Notional Amount	$ 5,000		5,000		$ 102,000
Gain (loss) from derivative financial instruments	222	$ (596)	4,982	2,236
Derivative assets, net \| Interest rate lock commitments (IRLCs)
Derivative assets and liabilities
Derivative Assets, Notional Balance	28,089		28,089		255,150
Gain (loss) from derivative financial instruments	(401)	1,102	(3,014)	(1,911)
Mortgage loans held-for-sale \| Forward delivery loan commitment
Derivative assets and liabilities
Derivative Assets, Notional Balance	3,300		3,300
Gain (loss) from derivative financial instruments	216		1,516
Recurring basis
Change in Fair Value Included in Net Loss
Total	(2,377)	(3,759)	(5,779)	(38,601)
Recurring basis \| Interest income
Change in Fair Value Included in Net Loss
Total		(1,557)	2,019	(11,036)
Recurring basis \| Interest expense
Change in Fair Value Included in Net Loss
Total	(287)	(10,558)	(8,594)	(29,299)
Recurring basis \| Change in Fair Value of Net Trust Assets
Change in Fair Value Included in Net Loss
Total		3,382	9,248	(1,991)
Change in fair value of net trust assets, excluding trust REO		3,400	9,200	(2,000)
Recurring basis \| Change in Fair Value of Long-term Debt
Change in Fair Value Included in Net Loss
Total	(435)	(1,803)	3,187	638
Recurring basis \| Other revenue
Change in Fair Value Included in Net Loss
Total	15	(42)	70	(41)
Recurring basis \| Gain on sale of loans, net
Change in Fair Value Included in Net Loss
Total	(1,670)	6,819	(11,709)	3,128
Recurring basis \| Level 3
Long-term debt
Estimated fair value of long-term debt	33,264		33,264		$ 46,536
Recurring basis \| Securitized mortgage borrowings
Change in Fair Value Included in Net Loss
Change in fair value of liabilities		(30,229)	(7,564)	(133,477)
Recurring basis \| Securitized mortgage borrowings \| Interest expense
Change in Fair Value Included in Net Loss
Change in fair value of liabilities		(10,172)	(7,564)	(28,190)
Recurring basis \| Securitized mortgage borrowings \| Change in Fair Value of Net Trust Assets
Change in Fair Value Included in Net Loss
Change in fair value of liabilities		(20,057)		(105,287)
Recurring basis \| Derivative liabilities, net \| Hedging Instruments
Change in Fair Value Included in Net Loss
Change in fair value of liabilities	234	1,489	290	1,407
Recurring basis \| Derivative liabilities, net \| Hedging Instruments \| Gain on sale of loans, net
Change in Fair Value Included in Net Loss
Change in fair value of liabilities	234	1,489	290	1,407
Recurring basis \| Long-term debt
Change in Fair Value Included in Net Loss
Change in fair value of liabilities	(722)	(2,189)	2,157	(471)
Recurring basis \| Long-term debt \| Interest expense
Change in Fair Value Included in Net Loss
Change in fair value of liabilities	(287)	(386)	(1,030)	(1,109)
Recurring basis \| Long-term debt \| Change in Fair Value of Long-term Debt
Change in Fair Value Included in Net Loss
Change in fair value of liabilities	(435)	(1,803)	3,187	638
Recurring basis \| Long-term debt \| Level 3
Long-term debt
Long-term debt unpaid principal balance	62,000		62,000
Estimated fair value of long-term debt	33,300		33,300
Difference between aggregate unpaid principal balances and fair value of long-term debt	28,700		28,700
Recurring basis \| Securitized mortgage collateral
Change in Fair Value Included in Net Loss
Change in fair value of assets		21,882	11,267	92,260
Recurring basis \| Securitized mortgage collateral \| Interest income
Change in Fair Value Included in Net Loss
Change in fair value of assets		(1,557)	2,019	(11,036)
Recurring basis \| Securitized mortgage collateral \| Change in Fair Value of Net Trust Assets
Change in Fair Value Included in Net Loss
Change in fair value of assets		23,439	9,248	103,296
Recurring basis \| Mortgage servicing rights
Change in Fair Value Included in Net Loss
Change in fair value of assets	15	(42)	70	(41)
Recurring basis \| Mortgage servicing rights \| Other revenue
Change in Fair Value Included in Net Loss
Change in fair value of assets	15	(42)	70	(41)
Recurring basis \| Derivative assets, net \| Interest rate lock commitments (IRLCs)
Change in Fair Value Included in Net Loss
Change in fair value of assets	(401)	1,102	(3,014)	(1,911)
Recurring basis \| Derivative assets, net \| Interest rate lock commitments (IRLCs) \| Gain on sale of loans, net
Change in Fair Value Included in Net Loss
Change in fair value of assets	(401)	1,102	(3,014)	(1,911)
Recurring basis \| Mortgage loans held-for-sale
Change in Fair Value Included in Net Loss
Change in fair value of assets	(1,503)	4,228	(8,985)	3,632
Recurring basis \| Mortgage loans held-for-sale \| Gain on sale of loans, net
Change in Fair Value Included in Net Loss
Change in fair value of assets	$ (1,503)	$ 4,228	$ (8,985)	$ 3,632

Equity and Share Based Payments

9 Months Ended

Sep. 30, 2022

Equity and Share Based Payments

Equity and Share Based Payments

Note 12.—Equity and Share Based Payments

Redeemable Preferred Stock

As discussed within Note 11.—Commitments and Contingencies, on July 15, 2021, the Maryland Court of Appeals issued its decision affirming the decisions of the Maryland Circuit Court (the Circuit Court) and the Court of Special Appeals granting summary judgment in favor of the plaintiffs on the Series B Preferred voting rights language interpretation. Accordingly, the 2009 Article Amendments to the 2004 Series B Articles Supplementary were not validly adopted and the 2004 Series B Articles Supplementary remained in effect.

As a result, as of September 30, 2022, the Company has cumulative undeclared dividends in arrears of approximately $20.3 million, or approximately $30.47 per outstanding share of Series B Preferred, thereby increasing the liquidation value to approximately $55.47 per share. Additionally, every quarter the cumulative undeclared dividends in arrears will increase by $0.5859 per Series B Preferred share, or approximately $390 thousand. The accrued and unpaid dividends on the Series B Preferred are payable only upon declaration by the Board of Directors, and the liquidation preference, inclusive of Series B Preferred cumulative undeclared dividends in arrears, is only payable upon voluntary or involuntary liquidation, dissolution or winding up of the Company’s affairs. In addition, the Company is required to pay an amount equal to three quarters of dividends on the Series B Preferred stock under the 2004 Series B Preferred Articles Supplementary (approximately $1.2 million, which had been previously accrued for (such amount, the 2009 Dividend Amount) to Series B Preferred shareholders as of August 15, 2022, into the registry of the Circuit Court no later than August 19, 2022, to be held pending final resolution of all issues and final determination by the Circuit Court of the appropriate distribution of those funds. The Company deposited the 2009 Dividend Amount on August 18, 2022.

At September 30, 2022, the Company had $72.0 million in outstanding liquidation preference of series B Preferred and Series C Preferred stock (including cumulative unpaid dividends in the case of the Series B Preferred stock). The holders of each series of Preferred Stock, which carry limited voting rights and are redeemable at the option of the Company, retain the right to a $25.00 per share liquidation preference (plus cumulative unpaid dividends in the case of the Series B Preferred stock) in the event of a liquidation of the Company and the right to receive dividends on the Preferred Stock if any such dividends are declared (and, in the case of the Series B Preferred stock, before any dividends or other distributions are made to holders of junior stock, including the Company’s common stock). However as further discussed below, holders of Preferred B stock and Preferred C stock in connection with the Exchange Offers and the Redemption will only receive the applicable consideration payable therein and are not entitled to any other payment with respect to the liquidation preference of, or any accrued and unpaid dividends on, any shares of Preferred Stock, other than the rights of holders of Preferred B stock to receive the 2009 Dividend Amount, based upon final determinations as to entitlement to such amounts by the Circuit Court.

Common and preferred dividends are included in the reconciliation of earnings per share beginning July 15, 2021, which was the date the Maryland Court of Appeals affirmed the decision in granting summary judgment in favor of the plaintiffs on the Series B Preferred voting rights. Cumulative preferred dividends, whether or not declared, are reflected in basic and diluted earnings per share in accordance with FASB ASC 260-10-45-11, despite not being accrued for on the consolidated balance sheets.

On September 14, 2022, the Company commenced exchange offers (the Exchange Offers) and a consent solicitation for its outstanding shares of Series B Preferred stock and Series C Preferred stock. On October 20, 2022 (the Expiration Date), the exchange offers and consent solicitation expired with approximately 69% of the Series B Preferred stock and approximately 67% of the Series C Preferred stock tendering their shares and voting in favor of certain amendments to the Company’s charter as discussed in further detail below. Holders of series B Preferred are entitled to receive (the Series B Consideration), for each share of Series B Preferred tendered, (i) 13.33 shares of newly issued common stock and (ii) thirty (30) shares of newly issued 8.25% Series D Cumulative Redeemable Preferred Stock (Preferred D stock). Holders of Series C Preferred are entitled to receive (the Series C Consideration), for each share of Preferred C tendered, (i) 1.25 shares of newly issued common stock, (ii) 1.5 warrants to purchase an equal number of shares of common stock at an exercise price of $5.00 per share and (iii) one (1) share of Preferred D stock. In connection with the closing of the Exchange Offers, the Company issued on October 26, 2022, a total of 7,330,319 shares of newly issued common stock, 14,773,811 shares of Preferred D stock and 1,425,695 warrants to purchase an equal number of shares of common stock.

Concurrently with the Exchange Offers, the Company received the requisite consent from the requisite holders of each of its outstanding Series B Preferred stock and its outstanding Series C Preferred stock to amend its charter to (i) make all shares of Series B Preferred stock that remain outstanding after the closing of the Exchange Offers redeemable for the same consideration as the Series B Consideration and (ii) make all shares of Series C Preferred stock that remain outstanding after the closing of the Exchange Offers redeemable for the same consideration as the Series C Consideration. On October 27, 2022, the Company provided notice to holders of Series B Preferred stock and Series C Preferred stock that such shares will be redeemed (the Redemption) on November 15, 2022 after which holders of Series B Preferred stock and Series C Preferred stock will only be entitled to receive the Series B Consideration and the Series C Consideration, as the case may be. In connection with the Redemption, the Company anticipates issuing approximately 3,298,439 shares of newly issued common stock, 6,599,035 shares of Preferred D stock and 681,923 warrants to purchase an equal number of shares of common stock.

All holders of Series B Preferred stock and Series C Preferred stock in connection with the Exchange Offers and the Redemption will only receive the applicable consideration payable therein and are not entitled to any other payment with respect to the liquidation preference of, or any accrued and unpaid dividends on, any shares of Series B or C Preferred Stock (whether or not such dividends have accumulated and whether or not such dividends accrued before or after completion of the Exchange Offers), other than the rights of holders of Series B Preferred stock to receive the 2009 Dividend Amount, based upon final determinations as to entitlement to such amounts by the Circuit Court.

In addition, on August 25, 2022, the Circuit Court issued an Order to Segregate Funds and/or Stock (Segregation Order), directing the Company, if the Exchange Offer for the Series B Preferred stock is completed prior to December 5, 2022, to deposit 13,311,840 shares of Preferred D stock, plus, in either event, 4,437,280 shares of newly issued common stock (collectively, the Series B Common Fund) in the custody of a third party custodian or escrow agent approved by class counsel. Allocation of this Series B Common Fund will be made by Circuit Court upon final disposition of the certain plaintiff award motions (the Plaintiff Series B Award Motions), which will include disposition of any excess funds not awarded to the plaintiffs and plaintiffs’ counsel. Once deposited, the Company will have no further right or obligation with respect to the Plaintiff Series B Common Fund, except as necessary to carry out the final orders of the Circuit Court. The Plaintiff Series B Award Motions seek awards out of the Series B Consideration in excess of the amount of the Series B Common Fund. If all Plaintiff Series B Award Motions are granted by the Circuit Court in full, after notice to class members in the manner approved by the Circuit Court and opportunity to object before a final hearing, no amounts will remain from the Series B Common Fund for distribution to former holders of Series B Preferred Stock. Holders of Series B Preferred Stock who participate in the Exchange Offer or whose shares are redeemed pursuant to the Special Redemption will only receive any amounts from the Series B Common Fund if and to the extent that the Circuit Court determines to reduce the amounts requested in the Plaintiff Series B Award Motions, and then only if they held shares of Series B Preferred Stock as of the Expiration Date or such other date determined by the Circuit Court. Distribution of the portion, if any, that may remain from the Series B Common Fund after final decision on the Plaintiff Series B Award Motions is subject compliance with all applicable law.

The Preferred D stock (w) ranks senior to the Series B Preferred stock and Series C Preferred stock as to dividends and upon liquidation; (x) is non-participating, and bears a cumulative cash dividend from and including the original issue date at a fixed rate equal to 8.25% per annum (equivalent to a fixed annual amount of $.00825 per share of the Preferred D stock); (y) bears an initial liquidation preference of $0.10 per share and (z) is mandatorily redeemable by the Company for cash at a redemption price of $0.10 per share, plus any accrued and unpaid dividends (whether or not declared) on (A) the 60th day, or such earlier date as the Company may fix, after the date of any public announcement by the Company of annual or quarterly financial statements that indicate that payment of the redemption price would not cause the Company to violate the restrictions on payment of distributions to stockholders under section 2-311 of the Maryland General Corporation Law (the MGCL) unless, before such redemption date, the Company’s Board of Directors determines in good faith that the payment by the Company of the redemption price for the Preferred D stock and for any stock ranking on parity with the Preferred D stock with respect to redemption and which have become redeemable as of the applicable redemption date would cause the Company to violate the Cash Consideration Restrictions, as defined below, or (B) any date the Company fixes not more than sixty (60) days after any determination by the Board of Directors (which the Board, or a committee thereof, is obligated to undertake after the release of annual and quarterly financial statements and upon any capital raise) in good faith that the payment by the Company of the redemption price for the Preferred D stock and any stock ranking on parity with the Preferred D stock with respect to redemption rights that have become redeemable as of such redemption date would not cause the Company to violate the Cash Consideration Restrictions. A violation of the “Cash Consideration Restrictions” will occur if the occurrence of an action would cause (i) the Company to violate the restrictions on payment of distributions to stockholders under section 2-311 of the MGCL, (ii) any material breach of or default under the terms and conditions of any obligation of the Company, including any agreement relating to its indebtedness, or (iii) the Company to violate any restriction or prohibition of any law rule or regulation applicable to the Company or of any order, judgment or decree of any court or administrative agency.

As a result of receiving the requisite stockholder consents on the Exchange Offers on October 20, 2022 and following completion of the redemption, the aggregate cumulative undeclared dividends in arrears of approximately $20.3 million, or approximately $30.47 per outstanding share of Series B Preferred, outstanding at September 30, 2022, will be exchanged and will no longer be considered in the earnings per share calculation. In the event the Company is not able to satisfy the new dividend payment as a result of the aforementioned Cash Consideration Restrictions or does not otherwise declare and pay the 8.25% dividend on the Preferred D Stock, every quarter the cumulative undeclared dividends in arrears will accumulate by approximately $0.0021 per Preferred D share, or approximately $72 thousand, increasing the new Preferred D liquidation preference.

Share Based Payments

The following table summarizes activity, pricing and other information for the Company’s stock options for the nine months ended September 30, 2022:


		Weighted-
		Average
	Number of	Exercise
	Shares	Price
Options outstanding at the beginning of the year	570,228	$	7.89
Options granted	—		—
Options exercised	—		—
Options forfeited/cancelled	(20,000)		3.34
Options outstanding at the end of the period	550,228		8.06
Options exercisable at the end of the period	515,540	$	8.38

As of September 30, 2022, there was approximately $44 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 1.4 years.

The following table summarizes activity, pricing and other information for the Company’s RSU’s for the nine months ended September 30, 2022:


		Weighted-
		Average
	Number of	Grant Date
	Shares	Fair Value
RSUs outstanding at beginning of the year	397,829	$	4.11
RSUs granted	—		—
RSUs issued (converted)	(153,251)		4.32
RSUs forfeited/cancelled	(18,333)		3.85
RSUs outstanding at end of the period	226,245	$	3.99

As of September 30, 2022, there was approximately $466 thousand of total unrecognized compensation cost related to the RSU compensation arrangements granted under the plan. That cost is expected to be recognized over the remaining weighted average period of 1.1 years.

The following table summarizes activity, pricing and other information for the Company’s DSU’s for the nine months ended September 30, 2022:


		Weighted-
		Average
	Number of	Grant Date
	Shares	Fair Value
DSUs outstanding at the beginning of the year	54,500	$	6.61
DSUs granted	—		—
DSUs issued (converted)	(15,000)		3.75
DSUs forfeited/cancelled	—		—
DSUs outstanding at the end of the period	39,500	$	7.70

As of September 30, 2022, there was no unrecognized compensation cost related to the DSU compensation arrangements granted under the plan.

Securitized Mortgage Trusts - Securitized Mortgage Trust Assets (Details) $ in Thousands	Dec. 31, 2021 USD ($)
Trust Assets
Total securitized mortgage trust assets	$ 1,642,730
Securitized mortgage collateral
Trust Assets
Securitized mortgage collateral, at fair value	1,639,251
REO inside trusts
Trust Assets
REO, at net realizable value (NRV)	$ 3,479

Fair Value of Financial Instruments

9 Months Ended

Sep. 30, 2022

Fair Value of Financial Instruments

Fair Value of Financial Instruments

Note 7.—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, 2022								December 31, 2021
	Carrying		Estimated Fair Value						Carrying		Estimated Fair Value
	Amount		Level 1		Level 2		Level 3		Amount		Level 1		Level 2		Level 3
Assets
Cash and cash equivalents	$	44,008	$	44,008	$	—	$	—	$	29,555	$	29,555	$	—	$	—
Restricted cash		4,173		4,173		—		—		5,657		5,657		—		—
Mortgage loans held-for-sale		18,443		—		18,443		—		308,477		—		308,477		—
Mortgage servicing rights		865		—		—		865		749		—		—		749
Derivative assets, lending, net (1)		331		—		234		97		3,111		—		—		3,111
Securitized mortgage collateral		—		—		—		—		1,639,251		—		—		1,639,251

Liabilities
Warehouse borrowings	$	13,292	$	—	$	13,292	$	—	$	285,539	$	—	$	285,539	$	—
Convertible notes		15,000		—		—		15,000		20,000		—		—		20,000
Long-term debt		33,264		—		—		33,264		46,536		—		—		46,536
Securitized mortgage borrowings		—		—		—		—		1,614,862		—		—		1,614,862
Derivative liabilities, lending, net (2)		—		—		—		—		55		—		55		—

(1)	Represents IRLCs and Hedging Instruments and are included in other assets in the accompanying consolidated balance sheets.

(2)	Represents Hedging Instruments and are included in other liabilities in the accompanying consolidated balance sheets.

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 and/or estimation methodologies may have a material effect on the estimated fair value amounts.

For securitized mortgage collateral and securitized mortgage borrowings, the underlying bonds were collateralized by Alt-A (non-conforming) residential and commercial loans and had limited or no market activity. The Company’s methodology to estimate fair value of these assets and liabilities included 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 were based on the characteristics of the underlying collateral, include estimated credit losses, estimated prepayment speeds and appropriate discount 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 is 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 MSRs, securitized mortgage collateral and borrowings, derivative assets and liabilities (IRLCs), Notes and long-term debt as Level 3 fair value measurements. Level 3 assets and liabilities measured at fair value on a recurring basis were approximately 1% and 54% and 83% and 84%, respectively, of total assets and total liabilities measured at estimated fair value at September 30, 2022 and December 31, 2021.

Recurring Fair Value Measurements

The Company assesses its 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 into Level 3 classified instruments during the nine months ended September 30, 2022.

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, 2022 and December 31, 2021, based on the fair value hierarchy:


	Recurring Fair Value Measurements
	September 30, 2022						December 31, 2021
	Level 1		Level 2		Level 3		Level 1		Level 2		Level 3
Assets
Mortgage loans held-for-sale	$	—	$	18,443	$	—	$	—	$	308,477	$	—
Derivative assets, lending, net (1)		—		234		97		—		—		3,111
Mortgage servicing rights		—		—		865		—		—		749
Securitized mortgage collateral		—		—		—		—		—		1,639,251
Total assets at fair value	$	—	$	18,677	$	962	$	—	$	308,477	$	1,643,111
Liabilities
Securitized mortgage borrowings	$	—	$	—	$	—	$	—	$	—	$	1,614,862
Long-term debt		—		—		33,264		—		—		46,536
Derivative liabilities, lending, net (2)		—		—		—		—		55		—
Total liabilities at fair value	$	—	$	—	$	33,264	$	—	$	55	$	1,661,398

(1)

(2)	At December 31, 2021, derivative liabilities, lending, net are included in other liabilities in the accompanying consolidated balance sheets.

The following tables present reconciliations for all assets and liabilities measured at estimated fair value on a recurring basis using significant unobservable inputs (Level 3) for the three months ended September 30, 2022 and 2021:


	Level 3 Recurring Fair Value Measurements
	For the Three Months Ended September 30, 2022

							Interest
	Securitized		Securitized		Mortgage		rate lock		Long-
	mortgage		mortgage		servicing		commitments,		term
	collateral		borrowings		rights		net		debt
Fair value, June 30, 2022	$	—	$	—	$	850	$	498	$	(35,889)
Total gains (losses) included in earnings:
Interest income		—		—		—		—		—
Interest expense		—		—		—		—		(287)
Change in fair value		—		—		15		(401)		(435)
Change in instrument specific credit risk		—		—		—		—		3,347	(1)
Total gains (losses) included in earnings		—		—		15		(401)		2,625
Transfers in and/or out of Level 3		—		—		—		—		—
Purchases, issuances and settlements:
Purchases		—		—		—		—		—
Issuances		—		—		—		—		—
Settlements		—		—		—		—		—
Fair value, September 30, 2022	$	—	$	—	$	865	$	97	$	(33,264)

(1)	Amount represents the change in instrument specific credit risk in other comprehensive gain (loss) in the consolidated statements of operations and comprehensive (loss) earnings.


	Level 3 Recurring Fair Value Measurements
	For the Three Months Ended September 30, 2021

							Interest
	Securitized		Securitized		Mortgage		rate lock		Long-
	mortgage		mortgage		servicing		commitments,		term
	collateral		borrowings		rights		net		debt
Fair value, June 30, 2021	$	1,858,423	$	(1,847,224)	$	553	$	4,262	$	(44,900)
Total gains (losses) included in earnings:
Interest income (1)		(1,557)		—		—		—		—
Interest expense (1)		—		(10,172)		—		—		(386)
Change in fair value		23,439		(20,057)		(42)		1,102		(1,803)
Change in instrument specific credit risk		—		—		—		—		631	(2)
Total gains (losses) included in earnings		21,882		(30,229)		(42)		1,102		(1,558)
Transfers in and/or out of Level 3		—		—		—		—		—
Purchases, issuances and settlements:
Purchases		—		—		—		—		—
Issuances		—		—		246		—		—
Settlements		(155,933)		169,959		—		—		—
Fair value, September 30, 2021	$	1,724,372	$	(1,707,494)	$	757	$	5,364	$	(46,458)

(1)

(2)	Amount represents the change in instrument specific credit risk in other comprehensive (loss) earnings in the consolidated statements of operations and comprehensive (loss) earnings.


	Level 3 Recurring Fair Value Measurements
	For the Nine Months Ended September 30, 2022

							Interest
	Securitized		Securitized		Mortgage		rate lock		Long-
	mortgage		mortgage		servicing		commitments,		term
	collateral		borrowings		rights		net		debt
Fair value, December 31, 2021	$	1,639,251	$	(1,614,862)	$	749	$	3,111	$	(46,536)
Total gains (losses) included in earnings:
Interest income (1)		2,019		—		—		—		—
Interest expense (1)		—		(7,564)		—		—		(1,030)
Change in fair value		9,248		—		70		(3,014)		3,187
Change in instrument specific credit risk		—		—		—		—		11,115	(2)
Total gains (losses) included in earnings		11,267		(7,564)		70		(3,014)		13,272
Transfers in and/or out of Level 3		—		—		—		—		—
Purchases, issuances and settlements:
Purchases		—		—		—		—		—
Issuances		—		—		46		—		—
Settlements		(1,650,518)		1,622,426		—		—		—
Fair value, September 30, 2022	$	—	$	—	$	865	$	97	$	(33,264)
Unrealized gains (losses) still held (3)	$	—	$	—	$	865	$	97	$	(28,736)

(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 prior to the sale in March 2022. Net interest income, including cash received and paid, was $1.2 million for the nine months ended September 30, 2022. The difference between accretion of interest income and expense and the amounts of interest income and expense recognized in the consolidated statements of operations and comprehensive (loss) earnings is primarily from contractual interest on the securitized mortgage collateral and borrowings.

(2)	Amount represents the change in instrument specific credit risk in other comprehensive (loss) earnings in the consolidated statements of operations and comprehensive (loss) earnings.

(3)	Represents the amount of unrealized gains relating to assets and liabilities classified as Level 3 that are still held and reflected in the fair values at September 30, 2022.


	Level 3 Recurring Fair Value Measurements
	For the Nine Months Ended September 30, 2021

							Interest
	Securitized		Securitized		Mortgage		rate lock		Long-
	mortgage		mortgage		servicing		commitments,		term
	collateral		borrowings		rights		net		debt
Fair value, December 31, 2020	$	2,100,175	$	(2,086,557)	$	339	$	7,275	$	(44,413)
Total gains (losses) included in earnings:
Interest income (1)		(11,036)		—		—		—		—
Interest expense (1)		—		(28,190)		—		—		(1,109)
Change in fair value		103,296		(105,287)		(41)		(1,911)		638
Change in instrument specific credit risk		—		—		—		—		(1,574)	(2)
Total gains (losses) included in earnings		92,260		(133,477)		(41)		(1,911)		(2,045)
Transfers in and/or out of Level 3		—		—		—		—		—
Purchases, issuances and settlements:
Purchases		—		—		—		—		—
Issuances		—		—		459		—		—
Settlements		(468,063)		512,540		—		—		—
Fair value, September 30, 2021	$	1,724,372	$	(1,707,494)	$	757	$	5,364	$	(46,458)
Unrealized (losses) gains still held (3)	$	(156,952)	$	2,367,197	$	757	$	5,364	$	15,542

(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. Net interest income, including cash received and paid, was $6.5 million for the three and nine months ended September 30, 2021. The difference between accretion of interest income and expense and the amounts of interest income and expense recognized in the consolidated statements of operations and comprehensive (loss) earnings is primarily from contractual interest on the securitized mortgage collateral and borrowings.

(2)	Amount represents the change in instrument specific credit risk in other comprehensive (loss) earnings in the consolidated statements of operations and comprehensive (loss) earnings.

(3)	Represents the amount of unrealized (losses) gains relating to assets and liabilities classified as Level 3 that are still held and reflected in the fair values at September 30, 2021


		September 30, 2022				December 31, 2021
	Unobservable	Range of		Weighted		Range of		Weighted
Financial Instrument	Input	Inputs		Average		Inputs		Average
Assets and liabilities backed by real estate
Securitized mortgage collateral, and	Prepayment rates	-	%	-	%	2.9 - 46.3	%	10.7	%
Securitized mortgage borrowings	Default rates	-	%	-	%	0.06 - 4.3	%	1.7	%
	Loss severities	-	%	-	%	0.01 - 97.6	%	70.1	%
	Discount rates	-	%	-	%	2.1 - 13.0	%	3.6	%
Other assets and liabilities
Mortgage servicing rights	Discount rates	12.5 - 15.0	%	12.8	%	12.5 - 15.0	%	12.8	%
	Prepayment rates	7.5 - 12.0	%	8.5	%	8.01 - 29.1	%	10.3	%
Derivative assets - IRLCs, net	Pull-through rates	40.0 - 98.0	%	69.4	%	50.0 - 98.0	%	79.0	%
Long-term debt	Discount rates	16.6	%	16.6	%	8.6	%	8.6	%

For other assets and liabilities, a significant increase in discount rates would result in a significantly lower estimated fair value. A significant increase or decrease in pull-through rate assumptions would result in a significant increase or decrease, respectively, in the fair value of IRLCs. The Company believes that the imprecision of an estimate could be significant.

The following tables present the changes in recurring fair value measurements included in net (loss) earnings for the three months ended September 30, 2022 and 2021:


	Recurring Fair Value Measurements
	Changes in Fair Value Included in Net (Loss) Earnings
	For the Three Months Ended September 30, 2022
					Change in Fair Value of
	Interest		Interest		Net Trust		Long-term		Other Revenue		(Loss) Gain on Sale
	Income (1)		Expense (1)		Assets		Debt		and Expense		of Loans, net		Total
Securitized mortgage collateral	$	—	$	—	$	—	$	—	$	—	$	—	$	—
Securitized mortgage borrowings		—		—		—		—		—		—		—
Long-term debt		—		(287)		—		(435)		—		—		(722)
Mortgage servicing rights (2)		—		—		—		—		15		—		15
Mortgage loans held-for-sale		—		—		—		—		—		(1,503)		(1,503)
Derivative assets — IRLCs		—		—		—		—		—		(401)		(401)
Derivative liabilities — Hedging Instruments		—		—		—		—		—		234		234
Total	$	—	$	(287)	$	—	$	(435)	$	15	$	(1,670)	$	(2,377)

(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 gain on MSRs, net in the consolidated statements of operations and comprehensive (loss) earnings.


	Recurring Fair Value Measurements
	Changes in Fair Value Included in Net (Loss) Earnings
	For the Three Months Ended September 30, 2021
					Change in Fair Value of
	Interest		Interest		Net Trust			Long-term		Other Revenue		(Loss) Gain on Sale
	Income (1)		Expense (1)		Assets			Debt		and Expense		of Loans, net		Total
Securitized mortgage collateral	$	(1,557)	$	—	$	23,439		$	—	$	—	$	—	$	21,882
Securitized mortgage borrowings		—		(10,172)		(20,057)			—		—		—		(30,229)
Long-term debt		—		(386)		—			(1,803)		—		—		(2,189)
Mortgage servicing rights (2)		—		—		—			—		(42)		—		(42)
Mortgage loans held-for-sale		—		—		—			—		—		4,228		4,228
Derivative assets — IRLCs		—		—		—			—		—		1,102		1,102
Derivative liabilities — Hedging Instruments		—		—		—			—		—		1,489		1,489
Total	$	(1,557)	$	(10,558)	$	3,382	(3)	$	(1,803)	$	(42)	$	6,819	$	(3,759)

(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 gain on MSRs, net in the consolidated statements of operations and comprehensive (loss) earnings.

(3)	For the three months ended September 30, 2021, change in the fair value of net trust assets, excluding REO was $3.4 million.

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, 2022 and 2021:


	Recurring Fair Value Measurements
	Changes in Fair Value Included in Net (Loss) Earnings
	For the Nine Months Ended September 30, 2022
					Change in Fair Value of
	Interest		Interest		Net Trust			Long-term		Other Income		(Loss) Gain on Sale
	Income (1)		Expense (1)		Assets			Debt		and Expense		of Loans, net		Total
Securitized mortgage collateral	$	2,019	$	—	$	9,248		$	—	$	—	$	—	$	11,267
Securitized mortgage borrowings		—		(7,564)		—			—		—		—		(7,564)
Long-term debt		—		(1,030)		—			3,187		—		—		2,157
Mortgage servicing rights (2)		—		—		—			—		70		—		70
Mortgage loans held-for-sale		—		—		—			—		—		(8,985)		(8,985)
Derivative assets — IRLCs		—		—		—			—		—		(3,014)		(3,014)
Derivative liabilities — Hedging Instruments		—		—		—			—		—		290		290
Total	$	2,019	$	(8,594)	$	9,248	(3)	$	3,187	$	70	$	(11,709)	$	(5,779)

(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 gain on MSRs, net in the consolidated statements of operations and comprehensive (loss) earnings.

(3)	For the nine months ended September 30, 2022, change in the fair value of net trust assets, excluding REO was $9.2 million.


	Recurring Fair Value Measurements
	Changes in Fair Value Included in Net (Loss) Earnings
	For the Nine Months Ended September 30, 2021
					Change in Fair Value of
	Interest		Interest		Net Trust			Long-term		Other Income		(Loss) Gain on Sale
	Income (1)		Expense (1)		Assets			Debt		and Expense		of Loans, net		Total
Securitized mortgage collateral	$	(11,036)	$	—		103,296		$	—	$	—	$	—	$	92,260
Securitized mortgage borrowings		—		(28,190)		(105,287)			—		—		—		(133,477)
Long-term debt		—		(1,109)		—			638		—		—		(471)
Mortgage servicing rights (2)		—		—		—			—		(41)		—		(41)
Mortgage loans held-for-sale		—		—		—			—		—		3,632		3,632
Derivative assets — IRLCs		—		—		—			—		—		(1,911)		(1,911)
Derivative liabilities — Hedging Instruments		—		—		—			—		—		1,407		1,407
Total	$	(11,036)	$	(29,299)	$	(1,991)	(3)	$	638	$	(41)	$	3,128	$	(38,601)

(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 gain on MSRs, net in the consolidated statements of operations and comprehensive (loss) earnings.

(3)	For the nine months ended September 30, 2021, change in the fair value of net trust assets, excluding REO was $2.0 million.

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

Mortgage servicing rights—The Company elected to carry its MSRs arising from its mortgage loan origination operations at estimated fair value. The fair value of MSRs is based upon a 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. MSRs are considered a Level 3 measurement at September 30, 2022 and December 31, 2021.

Mortgage loans held-for-sale—The Company elected to carry its mortgage LHFS originated or acquired at estimated 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 mortgage loans, active pricing is available for similar assets and

accordingly, the Company classifies its mortgage LHFS as a Level 2 measurement at September 30, 2022 and December 31, 2021.

Securitized mortgage collateral—The Company elected to carry its securitized mortgage collateral at fair value. These assets consisted primarily of non-conforming mortgage loans securitized between 2002 and 2007. Fair value measurements were 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 included its expectations of inputs that other market participants would use in pricing these assets. These assumptions included judgments about the underlying collateral, prepayment speeds, estimated future credit losses, forward interest rates, investor yield requirements and certain other factors. As previously discussed, in March 2022, the Company sold certain certificates, and assigned certain optional termination and loan purchase rights associated with the consolidated securitization trusts for $37.5 million and deconsolidated the securitized mortgage trust assets and liabilities, recording a $9.2 million fair value increase, net of $277 thousand in transaction costs related to the transfer. Securitized mortgage collateral was considered a Level 3 measurement at December 31, 2021.

Securitized mortgage borrowings—The Company elected to carry its securitized mortgage borrowings at fair value. These borrowings consisted of individual tranches of bonds issued by securitization trusts and were primarily backed by non-conforming mortgage loans. Fair value measurements included 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 previously discussed, in March 2022, the Company sold certain certificates, and assigned certain optional termination and loan purchase rights associated with the consolidated securitization trusts for $37.5 million and deconsolidated the securitized mortgage trust assets and liabilities, recording a $9.2 million fair value increase, net of $277 thousand in transaction costs related to the transfer. Securitized mortgage borrowings were considered a Level 3 measurement at December 31, 2021.

Long-term debt—The Company elected to carry its Junior Subordinated otes at fair value. These securities are measured based upon an analysis prepared by management, which considered the Company’s own credit risk, including previous settlements with trust preferred debt holders and discounted cash flow analysis. As of September 30, 2022, long-term debt had UPB of $62.0 million compared to an estimated fair value of $33.3 million. The aggregate UPB exceeded the fair value by $28.7 million at September 30, 2022. The long-term debt is considered a Level 3 measurement at September 30, 2022 and December 31, 2021.

Derivative assets and liabilities, lending— Derivative assets and liabilities, lending are carried at fair value and are accounted for as free standing derivatives. All derivative financial instruments are recognized on the consolidated balance sheets at fair value with changes in the fair values being reported in current period earnings. The derivatives include 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 in accordance with GAAP. The derivatives also include hedging instruments (typically to-be-announced mortgage-backed securities (TBA MBS), forward loan commitments and interest rate swap futures) used to hedge the fair value changes associated with changes in interest rates relating to its mortgage lending originations. 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 of IRLCs are based on underlying loan types with similar characteristics using the TBA MBS market, which is actively quoted and validated through external sources. The data inputs used in this valuation include, but are not limited to, loan type, underlying loan amount, note rate, loan program and expected sale date of the loan, adjusted for current market conditions. These valuations are adjusted at the loan level to consider the servicing release premium and loan pricing adjustments specific to each loan. For all IRLCs, the base value is then adjusted for the anticipated Pull-through Rate. The anticipated Pull-through Rate is an unobservable input based on historical experience, which results in classification of IRLCs as a Level 3 measurement at September 30, 2022 and December 31, 2021. The fair value of the Hedging Instruments is based on the actively quoted TBA MBS market using observable inputs related to characteristics of the underlying MBS stratified by product, coupon and settlement date. Therefore, the Hedging Instruments are classified as a Level 2 measurement at September 30, 2022 and December 31, 2021. The Company also utilizes swap futures to hedge interest rate risk. These instruments are actively traded in a liquid market and classified as Level 1 inputs.

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


					Total Gains (Losses)				Total Gains (Losses)
	Notional Amount				For the Three Months Ended				For the Nine Months Ended
	September 30,		December 31,		September 30,				September 30,
	2022		2021		2022		2021		2022		2021
Derivative – IRLC's (1)	$	28,089	$	255,150	$	(401)	$	1,102	$	(3,014)	$	(1,911)
Derivative – TBA MBS (1)		5,000		102,000		222		(596)		4,982		2,236
Derivative – Swap Futures (1)		3,300		—		216		—		1,516		—

(1)	Amounts included in (loss) gain on sale of loans, net within the accompanying consolidated statements of operations and comprehensive (loss) earnings.

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 measured using nonrecurring fair value measurements at September 30, 2022 and 2021, and total (losses) gains for the three and nine months ended September 30, 2022 and 2021, respectively:

Nonrecurring Fair Value Measurements

Total Losses (1)

September 30, 2022

For the Three Months Ended

For the Nine Months Ended

Level 1

Level 2

Level 3

September 30, 2022

ROU asset impairment

—

7,452

(123)

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


	Nonrecurring Fair Value Measurements						Total (Losses) Gains (1)
	September 30, 2021						For the Three Months Ended		For the Nine Months Ended
	Level 1		Level 2		Level 3		September 30, 2021		September 30, 2021
REO (2)	$	—	$	3,364	$	—	$	(269)	$	1,289

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

(2)

Real estate owned—REO consists of residential real estate (within securitized mortgage trust assets) 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. REO balance representing REOs which have been impaired subsequent to foreclosure are subject to nonrecurring fair value measurement and are included in the nonrecurring fair value measurements tables. Fair values of REO are generally based on observable market inputs, and are considered Level 2 measurements at December 31, 2021.

ROU asset impairment—The Company performs reviews of its ROU assets for impairment when evidence exists that the carrying value of an asset may not be recoverable. During the first quarter of 2022, the Company recorded a $123 thousand ROU asset impairment charge related to the sublease of approximately 1,900 square feet of a floor within the Company’s corporate office, reducing the carrying value of the lease asset to its estimated fair value. The impairment

charge is included in general, administrative and other expense in the consolidated statements of operations and comprehensive (loss) earnings. ROU asset was considered a Level 3 fair value measurement at September 30, 2022.

Mortgage Loans Held-for-Sale

9 Months Ended

Sep. 30, 2022

Mortgage Loans Held-for-Sale

Mortgage Loans Held-for-Sale

Note 2.—Mortgage Loans Held-for-Sale

A summary of the unpaid principal balance (UPB) of mortgage LHFS by type is presented below:


	September 30,		December 31,
	2022		2021
Government (1)	$	539	$	6,886
Conventional (2)		2,872		62,759
Jumbo & Non-qualified mortgages (NonQM)		16,327		231,142
Fair value adjustment (3)		(1,295)		7,690
Total mortgage loans held-for-sale	$	18,443	$	308,477

(1)	Includes all government-insured loans including Federal Housing Administration (FHA), Veterans Affairs (VA) and United States Department of Agriculture (USDA).

(2)	Includes loans eligible for sale to Federal National Mortgage Association (Fannie Mae or FNMA) and Federal Home Loan Mortgage Corporation (Freddie Mac or FHLMC).

(3)	Changes in fair value are included in (loss) gain on sale of loans, net in the accompanying consolidated statements of operations and comprehensive (loss) earnings.

At September 30, 2022 and December 31, 2021, the Company had no mortgage loans that were 90 days or more delinquent.

(Loss) gain on sale of loans, net in the consolidated statements of operations and comprehensive (loss) earnings, is comprised of the following for the three and nine months ended September 30, 2022 and 2021:


	For the Three Months Ended				For the Nine Months Ended
	September 30,				September 30,
	2022		2021		2022		2021
Gain on sale of mortgage loans	$	1,670	$	19,230	$	18,257	$	58,345
Premium from servicing retained loan sales		—		246		46		459
Unrealized (loss) gain from derivative financial instruments		(167)		2,591		(2,724)		(504)
Gain (loss) from derivative financial instruments		204		(2,085)		6,208		829
Mark to market (loss) gain on LHFS		(1,503)		4,228		(8,985)		3,632
Direct origination expenses, net		(356)		(4,677)		(4,387)		(12,616)
Change in provision for repurchases		(530)		75		(2,963)		287
(Loss) gain on sale of loans, net	$	(682)	$	19,608	$	5,452	$	50,432

CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021
CASH FLOWS FROM OPERATING ACTIVITIES
Net loss	$ (27,664)	$ (7,461)
Gain on sale of mortgage servicing rights	(281)	(143)
Change in fair value of mortgage servicing rights	(70)	41
Gain on sale of mortgage loans	(20,124)	(47,017)
Change in fair value of mortgage loans held-for-sale	8,985	(3,632)
Change in fair value of derivatives lending, net	2,724	504
Change in provision for repurchases	2,963	(287)
Origination of mortgage loans held-for-sale	(672,187)	(2,144,067)
Sale and principal reduction on mortgage loans held-for-sale	973,314	2,083,135
Gain from trust REO		(1,289)
Change in fair value of net trust assets, excluding trust REO	(9,248)	1,991
Change in fair value of long-term debt	(3,187)	(638)
Accretion of interest income and expense	6,575	40,335
Stock-based compensation	540	665
ROU asset impairment	123
Loss on disposal of premises and equipment		102
Net change in other assets	7,445	1,585
Net change in other liabilities	(10,882)	(1,928)
Net cash provided by (used in) operating activities	259,026	(78,104)
CASH FLOWS FROM INVESTING ACTIVITIES
Net change in securitized mortgage collateral	72,889	462,387
Proceeds from transfer of trust assets and liabilities	37,500
Proceeds from the sale of mortgage servicing rights		143
Investment in corporate-owned life insurance	(860)	(177)
Purchase of premises and equipment	99	(27)
Proceeds from the sale of trust REO		6,696
Net cash provided by investing activities	109,628	469,022
CASH FLOWS FROM FINANCING ACTIVITIES
Repayment of warehouse borrowings	(910,895)	(1,975,667)
Borrowings under warehouse agreements	638,648	2,085,199
Repayment of securitized mortgage borrowings	(78,818)	(512,540)
Repayment of convertible notes	(5,000)
Net change in liabilities related to corporate-owned life insurance	378	341
Issuance of restricted stock	2	1
Net cash used in financing activities	(355,685)	(402,666)
Net change in cash, cash equivalents and restricted cash	12,969	(11,748)
Cash, cash equivalents and restricted cash at beginning of year	35,212	59,752
Cash, cash equivalents and restricted cash at end of period	48,181	48,004
NON-CASH TRANSACTIONS
Transfer of securitized mortgage collateral to trust REO	467	5,676
Transfer and deconsolidation of trust assets	1,543,608
Transfer and deconsolidation of trust liabilities	(1,543,608)
Mortgage servicing rights retained from issuance of mortgage backed securities and loan sales	$ 46	$ 459

Debt

9 Months Ended

Sep. 30, 2022

Debt

Debt

Note 5.—Debt

Warehouse Borrowings

The Company, through its subsidiaries, enters into Master Repurchase Agreements with lenders providing warehouse facilities. The warehouse facilities are used to fund, and are secured by, residential mortgage loans that are held for sale. The warehouse and revolving lines of credit are repaid using proceeds from the sale of loans. The base interest rates on the Company’s warehouse lines bear interest at 1-month LIBOR plus a margin or note rate minus a margin. Some of the lines carry additional fees in the form of annual facility fees charged on the total line amount, commitment fees charged on the committed portion of the line and non-usage fees charged when monthly usage falls below a certain utilization percentage.

The base interest rates for all warehouse lines of credit are subject to increase based upon the characteristics of the underlying loans collateralizing the lines of credit, including, but not limited to product type and number of days held for sale. Certain of the warehouse line lenders require the Company, at all times, to maintain cash accounts with minimum required balances.

Under the terms of these warehouse lines, the Company is required to maintain various financial and other covenants. At September 30, 2022, the Company was not in compliance with certain financial covenants from its lenders and received the necessary waivers. The following table presents certain information on warehouse borrowings for the periods indicated:


	Maximum		Balance Outstanding at
	Borrowing		September 30,		December 31,
	Capacity		2022		2021		Maturity Date
Short-term borrowings:
Repurchase agreement 1 (1)	$	—	$	—	$	30,009	May 24, 2022
Repurchase agreement 2 (2)		—		—		153,006	September 13, 2022
Repurchase agreement 3 (3)		300,000		2,586		56,794	November 23, 2022
Repurchase agreement 4 (4)		25,000		10,706		45,730	December 31, 2022
Total warehouse borrowings	$	325,000	$	13,292	$	285,539

___________________________

(1)

Repurchase agreement 1 was not renewed.

(2)

Repurchase agreement 2 was not renewed.

(3)

(4)

In September 2022, the maximum borrowing capacity was reduced to $25.0 million and the maturity of the line was moved to December 31, 2022.

Convertible Notes

In May 2015, the Company issued $25.0 million Convertible Promissory Notes (Notes) to purchasers, some of which are related parties. The Notes were originally due to mature on or before May 9, 2020 and accrued interest at a rate of 7.5% per annum, to be paid quarterly.

Noteholders may convert all or a portion of the outstanding principal amount of the Notes into shares of the Company’s common stock (Conversion Shares) at a rate of $21.50 per share, subject to adjustment for stock splits and dividends (Conversion Price). The Company has the right to convert the entire outstanding principal of the Notes into Conversion Shares at the Conversion Price if the market price per share of the common stock, as measured by the average volume-weighted closing stock price per share of the common stock on the NYSE AMERICAN (or any other U.S. national securities exchange then serving as the principal such exchange on which the shares of common stock are listed), reaches the level of $30.10 for any twenty (20) trading days in any period of thirty (30) consecutive trading days after the Closing Date (as defined in the Notes). Upon conversion of the Notes by the Company, the entire amount of accrued and unpaid interest (and all other amounts owing) under the Notes are immediately due and payable. To the extent the Company pays any cash dividends on its shares of common stock prior to conversion of the Notes, upon conversion of the Notes, the noteholders will also receive such dividends on an as-converted basis of the Notes less the amount of interest paid by the Company prior to such dividend.

On April 15, 2020, the Company and the noteholders agreed to extend the outstanding Notes in the principal amount of $25.0 million originally issued in May 2015, at the conclusion of the original note term (First Amendment). The new Notes were issued with a six month term (November 9, 2020) and reduced the interest rate on such Notes to 7.0% per annum. In connection with the issuance of the First Amendment, the Company issued to the noteholders of the Notes, warrants to purchase up to an aggregate of 212,649 shares of the Company’s common stock at a cash exercise price of $2.97 per share. The relative fair value of the warrants was $242 thousand and recorded as debt discounts, which was accreted over the term of the warrants (October 2020), using an effective interest rate of 8.9%. The warrants are exercisable commencing on October 16, 2020 and expire on April 15, 2025. The First Amendment was accounted for as an extinguishment of debt.

On October 28, 2020, the Company and certain holders of its Notes due November 9, 2020 in the aggregate principal amount of $25.0 million agreed to extend the maturity date of the Notes to May 9, 2022 and the Company decreased the aggregate principal amount of the Notes to $20.0 million, following the pay-down of $5.0 million in principal of the Notes on November 9, 2020 (Second Amendment). The interest rate on the Notes remained at 7.0% per annum. The Second Amendment was accounted for as an extinguishment of debt.

On April 29, 2022, the Company and holders of its Notes agreed to extend the maturity date of the Notes upon conclusion of the term on May 9, 2022. The Company decreased the aggregate principal amount of the new Notes to $15.0 million, following the pay-down of $5.0 million in principal of the Notes on May 9, 2022 (Third Amendment). The new Notes are due and payable in three equal installments of $5.0 million on each of May 9, 2023, May 9, 2024 and the stated maturity date of May 9, 2025. If the Company has not received by October 31, 2022 approval of its stockholders for the exchange of its 9.375% Cumulative Redeemable Series B Preferred Stock (Series B Preferred Stock) and 9.125% Redeemable Series C Preferred Stock (Series C Preferred Stock) for cash or new proposed preferred stock and shares of Company Common Stock and, in the case of the Series C Preferred Stock, a warrant to purchase 1.5 shares of Common Stock, on terms agreed to by the requisite percentage of holders of Series B Preferred Stock and Series C Preferred Stock and provided notice of the subsequent redemption of any remaining outstanding Series B Preferred Stock and its Series C Preferred Stock for Common Stock (other than any failure to receive such approvals and to provide such notice of redemption arising from (i) any breach of any covenant or agreement with the Company by any holder(s) of its capital stock or (ii) the institution of any legal or similar proceedings by any holder(s) of its capital stock or any Governmental Authority, see Note 12.—Equity and Share Based Payments, Redeemable Preferred Stock for further description on the exchange offer), then the stated maturity date of these Notes shall mean November 9, 2022. The interest rate on the Notes remains at 7.0% per annum.

On October 20, 2022, the Company received the requisite stockholder consents for the exchange of its Series B Preferred Stock and Series C Preferred Stock and subsequently provided timely notice of the redemption of any remaining Series B Preferred stock and Series C Preferred stock which did not participate in the exchange offers, as further described in Note 12.—Equity and Share Based Payments, Redeemable Preferred Stock. As a result, the Notes are due and payable in three equal installments of $5.0 million on each of May 9, 2023, May 9, 2024 and the stated maturity date of May 9, 2025.

Long-term Debt

The Company carries its Junior Subordinated Notes at estimated fair value as more fully described in Note 7.—Fair Value of Financial Instruments. The following table shows the remaining principal balance and fair value of Junior Subordinated Notes issued as of September 30, 2022 and December 31, 2021:


	September 30,		December 31,
	2022		2021
Junior Subordinated Notes (1)	$	62,000	$	62,000
Fair value adjustment		(28,736)		(15,464)
Total Junior Subordinated Notes	$	33,264	$	46,536

(1)	Stated maturity of March 2034; requires quarterly interest payments at a variable rate of 3-month LIBOR plus 3.75% per annum.

- Definition

The entire disclosure for information about short-term and long-term debt arrangements, which includes amounts of borrowings under each line of credit, note payable, commercial paper issue, bonds indenture, debenture issue, own-share lending arrangements and any other contractual agreement to repay funds, and about the underlying arrangements, rationale for a classification as long-term, including repayment terms, interest rates, collateral provided, restrictions on use of assets and activities, whether or not in compliance with debt covenants, and other matters important to users of the financial statements, such as the effects of refinancing and noncompliance with debt covenants.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 470
-URI http://asc.fasb.org/topic&trid=2208564

Reference 2: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 470
-SubTopic 20
-Section 50
-Paragraph 1B
-Subparagraph (h)
-URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495323-112611

Reference 3: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 470
-SubTopic 20
-Section 50
-Paragraph 1C
-Subparagraph (c)
-URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495334-112611

Reference 4: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 470
-SubTopic 20
-Section 50
-Paragraph 1I
-Subparagraph (a)
-URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495371-112611

Reference 5: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 470
-SubTopic 20
-Section 50
-Paragraph 1I
-Subparagraph (d)
-URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495371-112611

Reference 6: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 235
-SubTopic 10
-Section S99
-Paragraph 1
-Subparagraph (SX 210.4-08(c))
-URI http://asc.fasb.org/extlink&oid=120395691&loc=d3e23780-122690

Reference 7: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 470
-SubTopic 20
-Section 50
-Paragraph 1B
-Subparagraph (g)
-URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495323-112611

Reference 8: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 470
-SubTopic 20
-Section 50
-Paragraph 1C
-Subparagraph (b)
-URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495334-112611

Reference 9: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 470
-SubTopic 20
-Section 50
-Paragraph 1C
-Subparagraph (a)
-URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495334-112611

Reference 10: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 470
-SubTopic 20
-Section 50
-Paragraph 1E
-Subparagraph (b)
-URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495348-112611

Reference 11: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 470
-SubTopic 20
-Section 50
-Paragraph 1B
-URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495323-112611

Reference 12: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 470
-SubTopic 20
-Section 50
-Paragraph 1I
-Subparagraph (b)
-URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495371-112611

Reference 13: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 470
-SubTopic 20
-Section 50
-Paragraph 1B
-Subparagraph (i)
-URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495323-112611

+ Details

Commitments and Contingencies

9 Months Ended

Sep. 30, 2022

Commitments and Contingencies

Commitments and Contingencies

Note 11.—Commitments and Contingencies

Legal Proceedings

The Company is a defendant in or a party to a number of legal actions or proceedings that arise in the ordinary course of business. In some of these actions and proceedings, claims for monetary damages are asserted against the Company. In view of the inherent difficulty of predicting the outcome of such legal actions and proceedings, the Company generally cannot predict what the eventual outcome of the pending matters will be, what the timing of the ultimate resolution of these matters will be, or what the eventual loss related to each pending matter may be, if any.

In accordance with applicable accounting guidance, the Company establishes an accrued liability for litigation when those matters present loss contingencies that are both probable and estimable. In any case, there may be an exposure to losses in excess of any such amounts whether accrued or not. Any estimated loss is subject to significant judgment and is based upon currently available information, a variety of assumptions, and known and unknown uncertainties. The matters underlying the estimated loss will change from time to time, and actual results may vary significantly from the current estimate. Therefore, an estimate of possible loss represents what the Company believes to be an estimate of possible loss only for certain matters meeting these criteria. It does not represent the Company’s maximum loss exposure.

Based on the Company’s current understanding of these pending legal actions and proceedings, management does not believe that judgments or settlements arising from pending or threatened legal matters, individually or in the aggregate, will have a material adverse effect on the consolidated financial position, operating results or cash flows of the Company. However, in light of the inherent uncertainties involved in these matters, some of which are beyond the Company’s control, and the very large or indeterminate damages sought in some of these matters, an adverse outcome in one or more of these matters could be material to the Company’s results of operations or cash flows for any particular reporting period.

The legal matter updates summarized below are ongoing and may have an effect on the Company’s business and future financial condition and results of operations:

Timm, et al v. Impac Mortgage Holdings, Inc., et al.

On December 7, 2011, a purported class action was filed in the Circuit Court of Baltimore City (Circuit Court) entitled Timm, et al v. Impac Mortgage Holdings, Inc., et al. (Maryland Action) on behalf of holders of the Company’s 9.375% Series B Cumulative Redeemable Preferred Stock (Series B Preferred) and 9.125% Series C Cumulative Redeemable Preferred Stock (Series C Preferred) who did not tender their stock in connection with the Company’s 2009 Offer to Purchase and Consent Solicitation (2009 Offer), including that the Company failed to achieve the requisite number of votes to amend the 2004 Series B Articles Supplementary, that the consents of the holders of Series B Preferred and Series C Preferred stock to amend the 2004 Series B Articles Supplementary and 2004 Series C Articles Supplementary (together, the 2004 Articles Supplementary) were not effective, and that the Company’s Board of Directors breached their fiduciary duties by recommending and approving the 2009 Offer.

The Maryland Action sought a judicial declaration that the Article Amendments related to the 2009 Offer (the 2009 Article Amendments) were ineffective, reinstatement of cumulative dividends on the Series B Preferred and Series C Preferred, payment of additional dividends that would have been required if the 2004 Articles Supplementary had remained in effect after June 29, 2009 (due to the Company’s purchase of certain Preferred Stock before year end 2009), the election of two directors by the holders of Series B Preferred and Series C Preferred stock, punitive damages and legal expenses.

In 2013, the Company and the individual defendants in the Maryland Action prevailed on a motion to dismiss all claims, except the claim that the Company had failed to receive the requisite number of votes to amend the 2004 Series B Articles Supplementary and related remedies. All claims made on behalf of the holders of Series C Preferred and all claims against individual defendants were dismissed. The case proceeded to discovery and cross-motions for summary judgment on the remaining primary dispute as to whether the 2004 Series B Articles Supplementary required the approval of the holders of two-thirds (2/3rds) of the Series B Preferred, voting as a separate class, in order to make the 2009 Article Amendments to the 2004 Series B Articles Supplementary, which was the plaintiff’s position, or required the approval of the holders of two-thirds (2/3rds) of the Series C Preferred and Series C Preferred, voting together as a single class, which was the Company’s position.

The Circuit Court entered a Judgment Order (Judgment Order) on July 16, 2018 (amended on July 24, 2018), whereby it entered a partial final judgment: (1) in favor of the Company and all other defendants on all claims on behalf of the holders of Series C Preferred and all claims against all individual defendants, thereby affirming the validity of the 2009 Article Amendments to the 2004 Series C Articles Supplementary; (2) declaring its interpretation of the voting provision language in the 2004 Series B Articles Supplementary to mean that consent of the holders of two-thirds (2/3rds) of the Series B Preferred, voting as a separate class, was required to approve and amend the 2009 Article Amendments to the 2004 Series B Articles Supplementary, which was not obtained, thus rendering the amendments invalid and leaving the 2004 Series B Articles Supplementary continuously in effect; (3) ordering the Company to hold a special election within sixty (60) days for the holders of Series B Preferred to elect two directors to the Board of Directors pursuant to the 2004 Series B Articles Supplementary (who would remain on the Board until all accumulated dividends on the Series B Preferred stock have been paid or set aside for payment); and (4) declaring that the Company is required to pay three quarters of dividends on the Series B Preferred under the 2004 Series B Articles Supplementary (approximately $1.2 million), but did not order the Company to make any payment at that time (the 2009 Dividend Amount), however the amount was accrued by the Company. The Circuit Court declined to certify any class pending the outcome of appeals and certified its partial Judgment Order for immediate appeal.

The Company appealed from the Judgment Order and one co-Plaintiff cross-appealed to the Court of Special Appeals (CSA). After briefing and argument, the CSA issued an opinion on April 1, 2020, affirming the Circuit Court’s judgments. Specifically, the CSA affirmed judgment in favor of the Company and other defendants on all claims involving Series C Preferred and affirmed judgment in favor of plaintiffs on the Series B Preferred voting rights interpretation, finding that the voting rights language in the 2004 Series B Articles Supplementary required consent of the holders of two-thirds (2/3rds) of the Series B Preferred, voting as a separate class, to amend the 2004 Series B Articles Supplementary in 2009.

The Company filed a petition for a writ of certiorari to the Maryland Court of Appeals (Court of Appeals) seeking review of the voting rights decision, which was granted. Neither of the two co-Plaintiffs sought further review. The Court of Appeals issued its decision on July 15, 2021, affirming the decisions of the Circuit Court and the Court of Special

Appeals granting summary judgment in favor of the plaintiffs on the Series B Preferred voting rights language interpretation. Accordingly, the 2009 Article Amendments to the 2004 Series B Articles Supplementary were not validly adopted and the 2004 Series B Articles Supplementary remained in effect.

On August 17, 2021, the Court of Appeals issued its mandate returning the case to the Circuit Court for final proceedings on certain open issues, discussed below. On October 25, 2021, the case was assigned to a judge of the Circuit Court to oversee final disposition of outstanding issues.

On remand, the Circuit Court directed the parties to submit briefs on any outstanding issues. The two co-Plaintiffs filed motions taking differing positions regarding certification of a Series B Preferred (the Class), appointment of a Class representative and Class counsel, notice to the Class regarding payment of the 2009 Dividend Amount and any award of attorney’s fees to Plaintiffs’ counsel from future dividends. After a hearing on February 18, 2022, the Circuit Court took all such matters under submission.

On July 22, 2022, the Circuit Court issued an Order Certifying Class and Providing for Class Notice and Final Hearing, accompanied by a Memorandum Opinion explaining the Circuit Court’s rulings on the matters under submission. The Circuit Court denied plaintiff Curtis Timm’s Motion for Class Certification and Other Relief and granted plaintiff Camac Fund LP’s Motion to Certify Class, Appoint Class Representative and Lead Counsel, Preliminarily Determine Right to Receive Dividends, and Set Final Judgment Hearing. The Circuit Court certified a non-opt out class of owners of Series B Preferred stock from the close of the tender offer on June 29, 2009 to the date of the class certification order, appointed plaintiff Camac Fund as Lead Class Plaintiff and its counsel, Tydings & Rosenberg LLP, as Lead Class Counsel, ordered the co-plaintiffs to file any petitions for award of attorneys’ fees and expenses or other form of monetary award no later than August 12, 2022, and directed Impac to provide shareholder information to the parties’ class notice administrator by August 12, 2022.

In addition, the Circuit Court made a preliminary determination that the 2009 Dividend Amount should be paid to current Series B Preferred stockholders, as of a record date to be established. The Circuit Court stated that it anticipated entering final injunctive relief, prior to a final class hearing date, directing the Company to declare a record date for payment to then current Series B Preferred stockholders of the dividends previously determined to be due for three quarters in 2009 and to deposit such funds in escrow until after the proper recipients of the funds are determined following the final hearing.

The Circuit Court held a further conference on July 27, 2022, during which the parties discussed proposed revisions to the Class definition to include all Series B Preferred stockholders through the date of finality of final orders to be issued in the case, the method for the establishing a record date for the Company’s satisfaction of its obligations to distribute the adjudicated amount of the 2009 Dividend Amount, the final hearing date and other matters. On August 8, 2022, the Circuit Court issued an Amended Class Certification Order, which amends the definition of the class to include all Series B Preferred stockholders through the date of finality of final orders to be issued in the case, directs the Company to establish a record date of August 15, 2022 for distribution of the 2009 Dividend Amount in the amount of $1.2 million, and to pay that amount into the registry of the Circuit Court no later than August 19, 2022, to be held pending final resolution of all issues and final determination by the Court of the appropriate distribution of those funds. The Company deposited the funds on August 18, 2022. The Amended Class Certification Order states that the Company shall have no further right or obligation with respect to the funds deposited in the registry, except as necessary to effectual the final determination of the Court. The Company can take no action with respect to the 2009 Dividend Amount until the Circuit Court makes further orders.

On August 12, 2022, Class Representative Camac and Lead Class Counsel filed an application for an award of attorney’s fees, expenses and an incentive award, and plaintiff Timm filed an application for an award of incentive award and expenses, in each case to be paid from benefits that members of the Series B Preferred class receive as a result of the Maryland Action, including but not limited to a portion of the 2009 Dividend Amount on deposit in the registry of the Circuit Court, and future dividends or, if the Exchange Offer (as described elsewhere in this document) closes, cash or stock to be received by Series B Preferred stockholders pursuant to the Exchange Offer and subsequent redemption. On August 25, 2022, the Circuit Court issued a further Order directing Impac to segregate cash funds and/or stock that otherwise would be paid to the Series B Preferred stockholders in the Exchange Offer and subsequent redemption within five (5) business days after closing of the Exchange Offer, either by depositing cash to Court’s registry or by transferring stock to the custody of a third party custodian or escrow holder, as the case may be. The August 25, 2022 Order provides

that upon such deposit or transfer, the Company shall have no further right or obligation with respect to the disposition of such cash or stock, except to pay the costs associated with such deposit or escrow and subsequent distributions as may be ordered by the Court in its final determination following the December 5, 2022 final class hearing in the Maryland Action. The Exchange Offer was approved and closed with respect to tendered shares on October 26, 2022, and the Company deposited the required stock with a third party pursuant to the August 25, 2022 Order.

On August 29, 2022, the Circuit Court issued an order approving the form and substance of the notice by which the Company and the class notice administrator are required to give notice to the Series B class of the final hearing date of December 5, 2022, and the opportunity to file objections to the proposed final injunctive relief and to the applications for awards of attorney’s fees, expenses and incentives. On dates between September 7 through September 19, the Company and the notice administrator provided the notice required by the August 29, 2022 order.

McNair v Impac Mortgage Corp.

On September 18, 2018, a purported class action was filed in the Superior Court of California, Orange County, entitled McNair v. Impac Mortgage Corp. dba CashCall Mortgage. The plaintiff contends the defendant did not pay the plaintiff and purported class members overtime compensation, provide required meal and rest breaks, or provide accurate wage statements. The action seeks damages, restitution, penalties, interest, attorney’s fees, and all other appropriate injunctive, declaratory, and equitable relief. On March 8, 2019, a First Amended Complaint was filed, which added a claim alleging PAGA violations. On March 12, 2019, the parties filed a stipulation with the court stating (1) the plaintiff’s individual claims should be arbitrated pursuant to the parties’ arbitration agreement, (2) the class claims should be struck from the First Amended Complaint, and (3) the plaintiff will proceed solely with regard to her PAGA claims. This case was consolidated with the Batres v. Impac Mortgage Corp. dba CashCall Mortgage case discussed below with a rescheduled trial date of January 18, 2022. On October 28, 2021, the Company entered into a settlement agreement, which was amended and restated on February 17, 2022. On March 14, 2022, the court issued an order granting preliminary approval of the settlement. On October 4, 2022, the court issued an order, subsequently revised on October 19, 2022, granting final approval of the class action settlement and entering judgment, which was previously accrued for in the third quarter of 2021.

Batres v. Impac Mortgage Corp.

On December 27, 2018, a purported class action was filed in the Superior Court of California, Orange County, entitled Batres v. Impac Mortgage Corp. dba CashCall Mortgage. The plaintiff contends the defendant did not pay the plaintiff and purported class members overtime compensation, provide required meal and rest breaks, or provide accurate wage statements. The action seeks damages, restitution, penalties, interest, attorney’s fees, and all other appropriate injunctive, declaratory, and equitable relief. On March 14, 2019, the plaintiff filed an amended complaint alleging only PAGA violations and seeking penalties, attorneys’ fees, and such other appropriate relief. This case was consolidated with the McNair v. Impac Mortgage Corp. dba CashCall Mortgage discussed above with a rescheduled trial date of January 18, 2022. On October 28, 2021, the Company entered into a settlement agreement, which was amended and restated on February 17, 2022. On March 14, 2022, the court issued an order granting preliminary approval of the settlement. On October 4, 2022, the court issued an order, subsequently revised on October 19, 2022, granting final approval of the class action settlement and entering judgment, which was previously accrued for in the third quarter of 2021.

UBS Americas Inc., et al. v. Impac Funding Corporation et al.

On December 17, 2021, a summons with notice was filed in the Supreme Court of the State of New York, County of New York (NY Court), initiating a lawsuit entitled UBS Americas Inc., et al. v. Impac Funding Corporation et al. The plaintiffs contend that the defendants are required to indemnify payments that plaintiffs made to resolve claims asserted by the Federal Home Loan Bank of San Francisco and HSH Nordbank AG related to certain residential mortgage-backed securities (RMBS). Plaintiffs contend that the RMBS included loans that the defendants allegedly sold to certain UBS entities in breach of contractual representations and warranties. Plaintiffs further contend that they settled the cases for which plaintiffs are demanding indemnification in December 2015 and March 2016. On April 18, 2022, the Company accepted service of the summons with notice on behalf of Impac Funding Corp. and Impac Mortgage Holdings, Inc. On June 2, 2022, a complaint was filed with the NY Court related to the summons with notice, however Impac Mortgage Holdings, Inc. was no longer listed as a defendant in the matter. On July 25, 2022, Impac Funding Corporation filed a

motion to dismiss the complaint. The Company believes the claims are without merit and intends to defend itself vigorously.

CrossCountry Mortgage, LLC v Impac Mortgage Holdings, Inc. and Impac Mortgage Corp.

On August 4, 2022, a complaint was filed in the United States District Court for the Northern District of Ohio – Eastern Division by CrossCountry Mortgage, LLC (Plaintiff) against the Company and its wholly-owned subsidiary Impac Mortgage Corp. dba CashCall Mortgage (IMC). The Plaintiff alleges infringement of Plaintiff’s federally-registered trademark, unfair competition and false designation of origin and for substantial and related claims of deceptive trade practice under the statutory and common laws of the State of Ohio. Plaintiff is seeking injunctive and monetary relief. The Company and IMC were served with the complaint on August 8, 2022, and filed an answer on September 29, 2022. The Company and IMC believe the claims are without merit and the Company intends to defend itself vigorously.

The Company is a party to other litigation and claims which are in the course of the Company’s operations. While the results of such other litigation and claims cannot be predicted with certainty, the Company believes the final outcome of such matters will not have a material adverse effect on the Company’s financial condition or results of operations. The Company believes that it has meritorious defenses to the claims and intends to defend these claims vigorously and as such the Company believes the final outcome of such matters will not have a material adverse effect on its financial condition or results of operations. 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, 2021 for additional information regarding litigation and claims.

Repurchase Reserve

When the Company sells mortgage loans, it makes customary representations and warranties to the purchasers about various characteristics of each loan such as the origination and underwriting guidelines, including but not limited to the validity of the lien securing the loan, property eligibility, borrower credit, income and asset requirements, and compliance with applicable federal, state and local law. The Company’s whole loan sale agreements generally require it to repurchase loans if the Company breached a representation or warranty given to the loan purchaser as well as refunds of premiums to investors for early payoffs on loans sold.

The following table summarizes the repurchase reserve activity, within other liabilities on the consolidated balance sheets, related to previously sold loans as of and for the nine months ended September 30, 2022 and year ended December 31, 2021:


	September 30,		December 31,
	2022		2021
Beginning balance	$	4,744	$	7,054
Provision for repurchases (1)		2,963		111
Settlements		(1,517)		(2,421)
Total repurchase reserve	$	6,190	$	4,744

(1)

The provision for repurchases is included in (loss) gain on sale of loans, net in the accompanying consolidated statements of operations and comprehensive (loss) earnings.

Corporate-owned Life Insurance Trusts

During the first quarter of 2020, there was a triggering event that caused the Company to reevaluate the consolidation of certain corporate-owned life insurance trusts. As a result, the Company has consolidated life insurance trusts for three former executive officers. The corporate-owned life insurance contracts are recorded at cash surrender value, which is provided by a third party and held within trusts. At September 30, 2022, the cash surrender value of the policies was $11.6 million and were recorded within other assets on the consolidated balance sheets. At September 30, 2022, the liability associated with the corporate-owned life insurance trusts was $13.4 million and is recorded in other liabilities on the consolidated balance sheets.


	At September 30, 2022
Corporate-owned life insurance trusts:	Trust #1		Trust #2		Trust #3		Total
Corporate-owned life insurance cash surrender value	$	5,330	$	4,134	$	2,184	$	11,648
Corporate-owned life insurance liability		6,189		4,852		2,364		13,405
Corporate-owned life insurance shortfall (1)	$	(859)	$	(718)	$	(180)	$	(1,757)

(1)

Commitments to Extend Credit

The Company enters into IRLCs with prospective borrowers whereby the Company commits to lend a certain loan amount under specific terms and interest rates to the borrower. These loan commitments are treated as derivatives and are carried at fair value. See Note 7. — Fair Value of Financial Instruments for more information.

Mortgage Servicing Rights (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended		12 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021	Dec. 31, 2021
Changes in the fair value of MSRs
Balance at beginning of year			$ 749
Fair value of MSRs at end of period	$ 865		865		$ 749
Total loans serviced	69,585		69,585		71,841
Proceeds from the sale of mortgage servicing rights				$ 143
Mortgage Servicing Rights Sensitivity Analysis
Change in fair value of mortgage servicing rights	15	$ (42)	70	(41)
Gain on sale of mortgage servicing rights	181	143	281	143
Gain (loss) on mortgage servicing rights, net	196	101	351	102
Servicing (expense) fees, net:
Contractual servicing fees	58	50	192	123
Subservicing and other costs	(26)	(174)	(165)	(516)
Servicing (expenses) fees, net	32	$ (124)	27	(393)
Loans eligible for repurchase from GNMA	601		601		337
Government
Changes in the fair value of MSRs
Total loans serviced	69,585		69,585		71,841
Mortgage servicing rights
Changes in the fair value of MSRs
Balance at beginning of year			749	$ 339	339
Additions from servicing retained loan sales			46		536
Changes in fair value			70		(126)
Fair value of MSRs at end of period	865		865		749
Mortgage Servicing Rights Sensitivity Analysis
Fair value of MSRs	865		865		749
Prepayment Speed, Decrease in fair value from 10% adverse change	(16)		(16)		(24)
Prepayment Speed, Decrease in fair value from 20% adverse change	(35)		(35)		(48)
Prepayment Speed, Decrease in fair value from 30% adverse change	(53)		(53)		(70)
Discount Rate, Decrease in fair value from 10% adverse change	(39)		(39)		(31)
Discount Rate, Decrease in fair value from 20% adverse change	(74)		(74)		(59)
Discount Rate, Decrease in fair value from 30% adverse change	$ (107)		$ (107)		$ (85)

CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY - USD ($) $ in Thousands	Preferred Stock	Common Stock	Additional Paid-In Capital	Cumulative Dividends Declared	Accumulated Deficit	Accumulated Other Comprehensive Earnings, net of tax	Total
Balance at Dec. 31, 2020	$ 21	$ 212	$ 1,237,102	$ (822,520)	$ (423,930)	$ 24,766	$ 15,651
Balance (in shares) at Dec. 31, 2020	2,070,678	21,238,191
Increase (Decrease) in Stockholders' Equity
Issuance of restricted stock units		$ 1					1
Issuance of restricted stock units (in shares)		94,493
Stock based compensation			218				218
Other comprehensive loss						(1,667)	(1,667)
Net loss					(683)		(683)
Balance at Mar. 31, 2021	$ 21	$ 213	1,237,320	(822,520)	(424,613)	23,099	13,520
Balance (in shares) at Mar. 31, 2021	2,070,678	21,332,684
Balance at Dec. 31, 2020	$ 21	$ 212	1,237,102	(822,520)	(423,930)	24,766	15,651
Balance (in shares) at Dec. 31, 2020	2,070,678	21,238,191
Increase (Decrease) in Stockholders' Equity
Net loss							(7,461)
Balance at Sep. 30, 2021	$ 21	$ 213	1,237,767	(822,520)	(431,391)	23,192	7,282
Balance (in shares) at Sep. 30, 2021	2,070,678	21,332,684
Balance at Mar. 31, 2021	$ 21	$ 213	1,237,320	(822,520)	(424,613)	23,099	13,520
Balance (in shares) at Mar. 31, 2021	2,070,678	21,332,684
Increase (Decrease) in Stockholders' Equity
Stock based compensation			224				224
Other comprehensive loss						(538)	(538)
Net loss					(8,864)		(8,864)
Balance at Jun. 30, 2021	$ 21	$ 213	1,237,544	(822,520)	(433,477)	22,561	4,342
Balance (in shares) at Jun. 30, 2021	2,070,678	21,332,684
Increase (Decrease) in Stockholders' Equity
Stock based compensation			223				223
Other comprehensive loss						631	631
Net loss					2,086		2,086
Balance at Sep. 30, 2021	$ 21	$ 213	1,237,767	(822,520)	(431,391)	23,192	7,282
Balance (in shares) at Sep. 30, 2021	2,070,678	21,332,684
Balance at Dec. 31, 2021	$ 21	$ 213	1,237,986	(822,520)	(427,808)	22,044	9,936
Balance (in shares) at Dec. 31, 2021	2,070,678	21,332,684
Increase (Decrease) in Stockholders' Equity
Issuance of restricted stock units		$ 2					2
Issuance of restricted stock units (in shares)		122,486
Stock based compensation			260				260
Other comprehensive loss						(2,269)	(2,269)
Net loss					(1,184)		(1,184)
Balance at Mar. 31, 2022	$ 21	$ 215	1,238,246	(822,520)	(428,992)	19,775	6,745
Balance (in shares) at Mar. 31, 2022	2,070,678	21,455,170
Balance at Dec. 31, 2021	$ 21	$ 213	1,237,986	(822,520)	(427,808)	22,044	9,936
Balance (in shares) at Dec. 31, 2021	2,070,678	21,332,684
Increase (Decrease) in Stockholders' Equity
Net loss							(27,664)
Balance at Sep. 30, 2022	$ 21	$ 215	1,238,526	(822,520)	(455,472)	33,159	(6,071)
Balance (in shares) at Sep. 30, 2022	2,070,678	21,500,935
Balance at Mar. 31, 2022	$ 21	$ 215	1,238,246	(822,520)	(428,992)	19,775	6,745
Balance (in shares) at Mar. 31, 2022	2,070,678	21,455,170
Increase (Decrease) in Stockholders' Equity
Issuance of deferred stock units (in shares)		15,000
Issuance of restricted stock units (in shares)		30,765
Stock based compensation			137				137
Other comprehensive loss						10,037	10,037
Net loss					(13,467)		(13,467)
Balance at Jun. 30, 2022	$ 21	$ 215	1,238,383	(822,520)	(442,459)	29,812	3,452
Balance (in shares) at Jun. 30, 2022	2,070,678	21,500,935
Increase (Decrease) in Stockholders' Equity
Stock based compensation			143				143
Other comprehensive loss						3,347	3,347
Net loss					(13,013)		(13,013)
Balance at Sep. 30, 2022	$ 21	$ 215	$ 1,238,526	$ (822,520)	$ (455,472)	$ 33,159	$ (6,071)
Balance (in shares) at Sep. 30, 2022	2,070,678	21,500,935

- Definition

The portion of profit or loss for the period, net of income taxes, which is attributable to the parent.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 942
-SubTopic 220
-Section S99
-Paragraph 1
-Subparagraph (SX 210.9-04(22))
-URI http://asc.fasb.org/extlink&oid=120399700&loc=SL114874048-224260

Reference 2: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 280
-SubTopic 10
-Section 50
-Paragraph 32
-Subparagraph (f)
-URI http://asc.fasb.org/extlink&oid=123359005&loc=d3e8933-108599

Reference 3: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 250
-SubTopic 10
-Section 50
-Paragraph 4
-URI http://asc.fasb.org/extlink&oid=124431687&loc=d3e22595-107794

Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 944
-SubTopic 220
-Section S99
-Paragraph 1
-Subparagraph (SX 210.7-04(18))
-URI http://asc.fasb.org/extlink&oid=120400993&loc=SL114874131-224263

Reference 5: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 40
-Section 65
-Paragraph 1
-Subparagraph (f)
-URI http://asc.fasb.org/extlink&oid=123482062&loc=SL123482106-238011

Reference 6: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 220
-SubTopic 10
-Section 50
-Paragraph 6
-URI http://asc.fasb.org/extlink&oid=124431353&loc=SL124452729-227067

Reference 7: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 470
-SubTopic 10
-Section S99
-Paragraph 1B
-Subparagraph (SX 210.13-02(a)(5))
-URI http://asc.fasb.org/extlink&oid=124359900&loc=SL124442552-122756

Reference 8: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 220
-SubTopic 10
-Section S99
-Paragraph 2
-Subparagraph (SX 210.5-03(20))
-URI http://asc.fasb.org/extlink&oid=123367319&loc=SL114868664-224227

Reference 9: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 230
-SubTopic 10
-Section 45
-Paragraph 28
-URI http://asc.fasb.org/extlink&oid=123570139&loc=d3e3602-108585

Reference 10: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 250
-SubTopic 10
-Section 50
-Paragraph 1
-Subparagraph (b)(2)
-URI http://asc.fasb.org/extlink&oid=124431687&loc=d3e22499-107794

Reference 11: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 470
-SubTopic 10
-Section S99
-Paragraph 1A
-Subparagraph (SX 210.13-01(a)(4)(iv))
-URI http://asc.fasb.org/extlink&oid=124359900&loc=SL124442526-122756

Reference 12: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 470
-SubTopic 10
-Section S99
-Paragraph 1A
-Subparagraph (SX 210.13-01(a)(4)(iii)(A))
-URI http://asc.fasb.org/extlink&oid=124359900&loc=SL124442526-122756

Reference 13: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 470
-SubTopic 10
-Section S99
-Paragraph 1B
-Subparagraph (SX 210.13-02(a)(4)(i))
-URI http://asc.fasb.org/extlink&oid=124359900&loc=SL124442552-122756

Reference 14: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 470
-SubTopic 10
-Section S99
-Paragraph 1A
-Subparagraph (SX 210.13-01(a)(4)(i))
-URI http://asc.fasb.org/extlink&oid=124359900&loc=SL124442526-122756

Reference 15: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 250
-SubTopic 10
-Section 50
-Paragraph 9
-URI http://asc.fasb.org/extlink&oid=124431687&loc=d3e22663-107794

Reference 16: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 470
-SubTopic 10
-Section S99
-Paragraph 1B
-Subparagraph (SX 210.13-02(a)(4)(iv))
-URI http://asc.fasb.org/extlink&oid=124359900&loc=SL124442552-122756

Reference 17: http://www.xbrl.org/2009/role/commonPracticeRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 470
-SubTopic 10
-Section S99
-Paragraph 1A
-Subparagraph (SX 210.13-01(a)(4)(ii))
-URI http://asc.fasb.org/extlink&oid=124359900&loc=SL124442526-122756

Reference 18: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 825
-SubTopic 10
-Section 50
-Paragraph 28
-Subparagraph (f)
-URI http://asc.fasb.org/extlink&oid=123596393&loc=d3e14064-108612

Reference 19: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 250
-SubTopic 10
-Section 50
-Paragraph 3
-URI http://asc.fasb.org/extlink&oid=124431687&loc=d3e22583-107794

Reference 20: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 235
-SubTopic 10
-Section S99
-Paragraph 1
-Subparagraph (SX 210.4-08(g)(1)(ii))
-URI http://asc.fasb.org/extlink&oid=120395691&loc=d3e23780-122690

Reference 21: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 260
-SubTopic 10
-Section 45
-Paragraph 60B
-Subparagraph (a)
-URI http://asc.fasb.org/extlink&oid=125511455&loc=SL5780133-109256

Reference 22: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 323
-SubTopic 10
-Section 50
-Paragraph 3
-Subparagraph (c)
-URI http://asc.fasb.org/extlink&oid=114001798&loc=d3e33918-111571

Reference 23: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 250
-SubTopic 10
-Section 50
-Paragraph 8
-URI http://asc.fasb.org/extlink&oid=124431687&loc=d3e22658-107794

Reference 24: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 220
-SubTopic 10
-Section 45
-Paragraph 1A
-Subparagraph (a)
-URI http://asc.fasb.org/extlink&oid=124509347&loc=SL7669619-108580

Reference 25: http://www.xbrl.org/2003/role/exampleRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 280
-SubTopic 10
-Section 50
-Paragraph 31
-URI http://asc.fasb.org/extlink&oid=123359005&loc=d3e8924-108599

Reference 26: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 250
-SubTopic 10
-Section 50
-Paragraph 11
-Subparagraph (b)
-URI http://asc.fasb.org/extlink&oid=124431687&loc=d3e22694-107794

Reference 27: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 250
-SubTopic 10
-Section 50
-Paragraph 11
-Subparagraph (a)
-URI http://asc.fasb.org/extlink&oid=124431687&loc=d3e22694-107794

Reference 28: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 205
-SubTopic 20
-Section 50
-Paragraph 7
-URI http://asc.fasb.org/extlink&oid=109222650&loc=SL51721683-107760

Reference 29: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 220
-SubTopic 10
-Section 45
-Paragraph 1B
-Subparagraph (a)
-URI http://asc.fasb.org/extlink&oid=124509347&loc=SL7669625-108580

Reference 30: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 280
-SubTopic 10
-Section 50
-Paragraph 22
-URI http://asc.fasb.org/extlink&oid=123359005&loc=d3e8736-108599

Reference 31: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 470
-SubTopic 10
-Section S99
-Paragraph 1A
-Subparagraph (SX 210.13-01(a)(5))
-URI http://asc.fasb.org/extlink&oid=124359900&loc=SL124442526-122756

Reference 32: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 470
-SubTopic 10
-Section S99
-Paragraph 1B
-Subparagraph (SX 210.13-02(a)(4)(iii)(B))
-URI http://asc.fasb.org/extlink&oid=124359900&loc=SL124442552-122756

Reference 33: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 470
-SubTopic 10
-Section S99
-Paragraph 1B
-Subparagraph (SX 210.13-02(a)(4)(iii)(A))
-URI http://asc.fasb.org/extlink&oid=124359900&loc=SL124442552-122756

Reference 34: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 280
-SubTopic 10
-Section 50
-Paragraph 30
-Subparagraph (b)
-URI http://asc.fasb.org/extlink&oid=123359005&loc=d3e8906-108599

Reference 35: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 280
-SubTopic 10
-Section 50
-Paragraph 32
-Subparagraph (c)
-URI http://asc.fasb.org/extlink&oid=123359005&loc=d3e8933-108599

+ Details

- Definition

Total of all stockholders' equity (deficit) items, net of receivables from officers, directors, owners, and affiliates of the entity which are attributable to the parent. The amount of the economic entity's stockholders' equity attributable to the parent excludes the amount of stockholders' equity which is allocable to that ownership interest in subsidiary equity which is not attributable to the parent (noncontrolling interest, minority interest). This excludes temporary equity and is sometimes called permanent equity.

+ References

Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 235
-SubTopic 10
-Section S99
-Paragraph 1
-Subparagraph (SX 210.4-08(g)(1)(ii))
-URI http://asc.fasb.org/extlink&oid=120395691&loc=d3e23780-122690

Reference 2: http://www.xbrl.org/2003/role/exampleRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 852
-SubTopic 10
-Section 55
-Paragraph 10
-URI http://asc.fasb.org/extlink&oid=84165509&loc=d3e56426-112766

Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 310
-SubTopic 10
-Section S99
-Paragraph 2
-Subparagraph (SAB Topic 4.E)
-URI http://asc.fasb.org/extlink&oid=122038336&loc=d3e74512-122707

Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 210
-SubTopic 10
-Section S99
-Paragraph 1
-Subparagraph (SX 210.5-02(31))
-URI http://asc.fasb.org/extlink&oid=120391452&loc=d3e13212-122682

Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 210
-SubTopic 10
-Section S99
-Paragraph 1
-Subparagraph (SX 210.5-02(29))
-URI http://asc.fasb.org/extlink&oid=120391452&loc=d3e13212-122682

Reference 6: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 210
-SubTopic 10
-Section S99
-Paragraph 1
-Subparagraph (SX 210.5-02(30))
-URI http://asc.fasb.org/extlink&oid=120391452&loc=d3e13212-122682

Reference 7: http://www.xbrl.org/2009/role/commonPracticeRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 825
-SubTopic 10
-Section 50
-Paragraph 28
-Subparagraph (f)
-URI http://asc.fasb.org/extlink&oid=123596393&loc=d3e14064-108612

Reference 8: http://www.xbrl.org/2009/role/commonPracticeRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 323
-SubTopic 10
-Section 50
-Paragraph 3
-Subparagraph (c)
-URI http://asc.fasb.org/extlink&oid=114001798&loc=d3e33918-111571

+ Details

Leases - Maturities (Details) $ in Thousands	Sep. 30, 2022 USD ($)
Total lease liabilities:
Year remaining 2022	$ 1,224
Year 2023	4,909
Year 2024	3,729
Total lease commitments	9,862
Less: imputed interest	(482)
Lease Liability	$ 9,380