Document and Entity Information
Document and Entity Information | 6 Months Ended |
Jun. 30, 2022 | |
Document and Entity Information | |
Document Type | S-4/A |
Entity Registrant Name | IMPAC MORTGAGE HOLDINGS, INC. |
Entity Filer Category | Non-accelerated Filer |
Entity Small Business | true |
Entity Emerging Growth Company | false |
Entity Central Index Key | 0001000298 |
Amendment Flag | true |
Amendment Description | Amendment No. 2 |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Jun. 30, 2022 | Mar. 31, 2022 | Dec. 31, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 |
ASSETS | |||||||
Cash and cash equivalents | $ 61,173 | $ 29,555 | $ 54,150 | ||||
Restricted cash | 5,196 | 5,657 | 5,602 | ||||
Mortgage loans held-for-sale | 37,035 | 308,477 | 164,422 | ||||
Mortgage servicing rights | 850 | 749 | 339 | ||||
Securitized mortgage trust assets | 1,642,730 | 2,103,269 | |||||
Other assets | 29,404 | 35,603 | 41,524 | ||||
Total assets | 133,658 | 2,022,771 | 2,369,306 | ||||
LIABILITIES | |||||||
Warehouse borrowings | 37,795 | 285,539 | 151,932 | ||||
Convertible notes, net | 15,000 | 20,000 | 20,000 | ||||
Long-term debt | 35,889 | 46,536 | 44,413 | ||||
Securitized mortgage trust liabilities | 1,614,862 | 2,086,557 | |||||
Other liabilities | 41,522 | 45,898 | 50,753 | ||||
Total liabilities | 130,206 | 2,012,835 | 2,353,655 | ||||
Commitments and contingencies (See Note 13) | |||||||
STOCKHOLDERS' EQUITY | |||||||
Common stock, $0.01 par value; 200,000,000 shares authorized; 21,332,684 and 21,238,191 shares issued and outstanding as of December 31, 2021 and December 31, 2020, respectively | 215 | 213 | 212 | ||||
Additional paid-in capital | 1,238,383 | 1,237,986 | 1,237,102 | ||||
Accumulated other comprehensive earnings, net of tax | 29,812 | 22,044 | 24,766 | ||||
Total accumulated deficit: | |||||||
Cumulative dividends declared | (822,520) | (822,520) | (822,520) | ||||
Accumulated deficit | (442,459) | (427,808) | (423,930) | ||||
Total accumulated deficit | (1,264,979) | (1,250,328) | (1,246,450) | ||||
Total stockholders' equity | 3,452 | $ 6,745 | 9,936 | $ 4,342 | $ 13,520 | 15,651 | $ 104,237 |
Total liabilities and stockholders' equity | 133,658 | 2,022,771 | 2,369,306 | ||||
Series A-1 junior participating preferred stock | |||||||
STOCKHOLDERS' EQUITY | |||||||
Preferred stock | |||||||
Series B 9.375% redeemable preferred stock | |||||||
STOCKHOLDERS' EQUITY | |||||||
Preferred stock | 7 | 7 | 7 | ||||
Series C 9.125% redeemable preferred stock | |||||||
STOCKHOLDERS' EQUITY | |||||||
Preferred stock | $ 14 | $ 14 | $ 14 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | |||
Apr. 29, 2022 | Dec. 07, 2011 | Jun. 30, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | $ 0.01 | ||
Common stock, shares authorized | 200,000,000 | 200,000,000 | 200,000,000 | ||
Common stock, shares issued | 21,500,935 | 21,332,684 | 21,238,191 | ||
Common stock, shares outstanding | 21,500,935 | 21,332,684 | 21,238,191 | ||
Series A-1 junior participating preferred stock | |||||
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | $ 0.01 | ||
Preferred stock, shares authorized | 2,500,000 | 2,500,000 | 2,500,000 | ||
Preferred stock, shares issued | 0 | 0 | 0 | ||
Preferred stock, shares outstanding | 0 | 0 | 0 | ||
Series B 9.375% redeemable preferred stock | |||||
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | $ 0.01 | ||
Preferred stock, dividend rate (as a percent) | 9.375% | 9.375% | 9.375% | 9.375% | 9.375% |
Preferred stock, liquidation value (in dollars) | $ 36,530 | $ 36,530 | $ 35,750 | ||
Preferred stock, shares authorized | 2,000,000 | 2,000,000 | 2,000,000 | ||
Preferred stock, shares issued | 665,592 | 665,592 | 665,592 | ||
Preferred stock, shares outstanding | 665,592 | 665,592 | 665,592 | ||
Series C 9.125% redeemable preferred stock | |||||
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | $ 0.01 | ||
Preferred stock, dividend rate (as a percent) | 9.125% | 9.125% | 9.125% | 9.125% | 9.125% |
Preferred stock, liquidation value (in dollars) | $ 35,127 | $ 35,127 | $ 35,127 | ||
Preferred stock, shares authorized | 5,500,000 | 5,500,000 | 5,500,000 | ||
Preferred stock, shares issued | 1,405,086 | 1,405,086 | 1,405,086 | ||
Preferred stock, shares outstanding | 1,405,086 | 1,405,086 | 1,405,086 |
CONSOLIDATED STATEMENTS OF OPER
CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE LOSS - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||||
Jun. 30, 2022 | Mar. 31, 2022 | Jun. 30, 2021 | Mar. 31, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | |
Revenues | ||||||||
Gain on sale of loans, net | $ 179 | $ 10,693 | $ 6,134 | $ 30,824 | $ 65,294 | $ 14,004 | ||
Real estate services fees, net | 257 | 478 | 442 | 688 | 1,144 | 1,312 | ||
Gain (loss) on mortgage servicing rights, net | 45 | (37) | 155 | 1 | 34 | (28,509) | ||
Servicing (expense) fees, net | 7 | (150) | (5) | (269) | (432) | 3,603 | ||
Other | 7 | (4) | 959 | 320 | 279 | 1,498 | ||
Total revenues, net | 495 | 10,980 | 7,685 | 31,564 | 66,319 | (8,092) | ||
Expenses | ||||||||
Personnel | 8,024 | 11,964 | 19,945 | 26,888 | 52,778 | 52,880 | ||
General, administrative and other | 5,323 | 5,882 | 10,458 | 11,063 | 21,031 | 24,534 | ||
Business promotion | 1,319 | 1,770 | 3,620 | 2,963 | 7,395 | 3,859 | ||
Total expenses | 14,666 | 19,616 | 34,023 | 40,914 | 81,204 | 81,273 | ||
Operating loss | (14,171) | (8,636) | (26,338) | (9,350) | (14,885) | (89,365) | ||
Other income | ||||||||
Interest income | 943 | 15,707 | 14,048 | 32,231 | 65,666 | 118,908 | ||
Interest expense | (2,203) | (15,149) | (15,192) | (31,013) | (63,268) | (113,771) | ||
Change in fair value of long-term debt | 1,980 | 1,417 | 3,622 | 2,442 | 2,098 | 1,899 | ||
Change in fair value of net trust assets, including trust REO gains | (2,141) | 9,248 | (3,814) | 6,582 | (5,688) | |||
Total other income (expense), net | 720 | (166) | 11,726 | (154) | 11,078 | 1,348 | ||
Net (loss) earnings before income taxes | (13,451) | (8,802) | (14,612) | (9,504) | (3,807) | (88,017) | ||
Income tax expense | 16 | 62 | 39 | 43 | 71 | 133 | ||
Net loss | (13,467) | $ (1,184) | (8,864) | $ (683) | (14,651) | (9,547) | (3,878) | (88,150) |
Other comprehensive loss | ||||||||
Change in fair value of instrument specific credit risk of long-term debt | 10,037 | (538) | 7,768 | (2,205) | (2,722) | (20) | ||
Total comprehensive loss | $ (3,430) | $ (9,402) | $ (6,883) | $ (11,752) | $ (6,600) | $ (88,170) | ||
Net loss per common share: | ||||||||
Basic (in dollars per share) | $ (0.64) | $ (0.42) | $ (0.72) | $ (0.45) | $ (0.22) | $ (4.15) | ||
Diluted (in dollars per share) | $ (0.64) | $ (0.42) | $ (0.72) | $ (0.45) | $ (0.22) | $ (4.15) |
CONSOLIDATED STATEMENTS OF CHAN
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, 2019 | $ 21 | $ 212 | $ 1,236,237 | $ (822,520) | $ (334,499) | $ 24,786 | $ 104,237 |
Balance (in shares) at Dec. 31, 2019 | 2,070,678,000 | 21,255,426,000 | |||||
Increase (Decrease) in Stockholders' Equity | |||||||
Retirement of restricted stock | (125) | (125) | |||||
Retirement of restricted stock (in shares) | (35,069) | ||||||
Proceeds from exercise of stock options | 46 | 46 | |||||
Proceeds from exercise of stock options (in shares) | 9,500 | ||||||
Issuance of restricted stock units (in shares) | (8,334) | ||||||
Stock based compensation | 702 | 702 | |||||
Issuance of warrants in connection with debt financing | 242 | 242 | |||||
Other comprehensive loss | (20) | (20) | |||||
Consolidation of corporate-owned life insurance trusts | (1,281) | (1,281) | |||||
Net loss | (88,150) | (88,150) | |||||
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 | (9,547) | ||||||
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 | |||||
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 | 884 | 884 | |||||
Other comprehensive loss | (2,722) | (2,722) | |||||
Net loss | (3,878) | (3,878) | |||||
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 | |||||
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 | |||||
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 | |||||||
Consolidation of corporate-owned life insurance trusts | (1,300) | ||||||
Net loss | (14,651) | ||||||
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 | |||||
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 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 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2022 | Jun. 30, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | |
CASH FLOWS FROM OPERATING ACTIVITIES: | ||||
Net loss | $ (14,651) | $ (9,547) | $ (3,878) | $ (88,150) |
(Gain) loss on sale of mortgage servicing rights | (100) | (160) | 6,547 | |
Change in fair value of mortgage servicing rights | (55) | (1) | 126 | 21,962 |
Gain on sale of mortgage loans | (18,607) | (34,304) | (66,086) | (35,193) |
Change in fair value of mortgage loans held-for-sale | 7,482 | 597 | (3,395) | 15,955 |
Change in fair value of derivatives lending, net | 2,558 | 3,095 | 4,076 | 7 |
Change in provision for repurchases | 2,433 | (212) | 111 | 5,227 |
Origination of mortgage loans held-for-sale | (2,903,454) | (2,746,893) | ||
Sale and principal reduction on mortgage loans held-for-sale | 892,710 | 1,506,802 | 2,828,344 | 3,381,758 |
Gain from trust REO | (1,559) | (111) | (7,393) | |
Change in fair value of net trust assets, excluding trust REO | (9,248) | 5,373 | (6,471) | 13,081 |
Change in fair value of long-term debt | (3,622) | (2,442) | (2,098) | (1,899) |
Accretion of interest income and expense | 6,288 | 28,221 | 50,751 | 65,524 |
Amortization of debt issuance costs and discount on note payable | 4 | |||
Stock-based compensation | 397 | 442 | 884 | 702 |
Accretion of interest expense on corporate debt | 242 | |||
Loss on disposal of premises and equipment | 99 | |||
Net change in other assets | 4,569 | 77 | 2,307 | 18,289 |
Net change in other liabilities | (7,209) | (5,126) | (5,559) | (15,918) |
Net cash provided by (used in) operating activities | 252,879 | 30,074 | (104,514) | 633,852 |
CASH FLOWS FROM INVESTING ACTIVITIES | ||||
Net change in securitized mortgage collateral | 72,889 | 308,189 | 160 | 14,716 |
Investment in corporate-owned life insurance | 108 | (224) | ||
Purchase of premises and equipment | (893) | (23) | 7,703 | 21,977 |
Proceeds from the sale of trust REO | 4,421 | 599,981 | 460,260 | |
Net cash provided by investing activities | 109,604 | 312,363 | ||
CASH FLOWS FROM FINANCING ACTIVITIES | ||||
Repayment of MSR financing | (2,640,818) | (3,200,268) | ||
Borrowings under MSR financing | 2,774,425 | 2,650,637 | ||
Repayment of warehouse borrowings | (833,320) | (1,436,116) | (654,073) | (518,594) |
Borrowings under warehouse agreements | 585,576 | 1,432,348 | 458 | 1,812 |
Repayment of securitized mortgage borrowings | (78,818) | (342,581) | (5,000) | |
Repayment of convertible notes | (5,000) | (125) | ||
Net change in liabilities related to corporate owned life insurance | 234 | 225 | 1 | |
Issuance of restricted stock | 2 | 1 | 46 | |
Retirement of restricted stock | (520,007) | (1,071,492) | ||
Net cash used in financing activities | (331,326) | (346,123) | ||
Net change in cash, cash equivalents and restricted cash | 31,157 | (3,686) | ||
Cash, cash equivalents and restricted cash at end of period | 66,369 | 56,066 | ||
SUPPLEMENTARY INFORMATION: | ||||
Interest paid | 7,976 | 10,922 | ||
Taxes (paid) refunded, net | $ 536 | 2,094 | ||
NON-CASH TRANSACTIONS | ||||
Transfer of securitized mortgage collateral from trust REO | 10,757 | |||
Mortgage servicing rights retained from issuance of mortgage backed securities and loan sales | $ 46 | $ 213 | 242 | |
Recognition of corporate-owned life insurance cash surrender value (included in Other assets) | 125 | |||
Recognition of corporate-owned life insurance trusts (included in Other liabilities) | $ 125 |
Summary of Business and Financi
Summary of Business and Financial Statement Presentation | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
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 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. 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 six months ended June 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. | IMPAC MORTGAGE HOLDINGS, INC. AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (dollars in thousands, except per share data or as otherwise indicated) Note 1. — Summary of Business and Financial Statement Presentation including Significant Accounting Policies Business Summary 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 Corporation (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. IMC’s mortgage lending operations include the activities of its division, CashCall Mortgage. Financial Statement Presentation Basis of Presentation The accompanying 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). All significant inter-company balances and transactions have been eliminated in consolidation. In addition, certain immaterial amounts in the prior periods’ consolidated financial statements have been reclassified to conform to the current year 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 consolidated 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, contingencies, the estimated obligation of repurchase liabilities related to sold loans, the valuation of long-term debt, mortgage servicing rights (MSRs), mortgage loans held-for-sale (LHFS) and derivative instruments, including interest rate lock commitments (IRLCs). Actual results could differ from those estimates and assumptions. Principles of Consolidation The accompanying consolidated financial statements include accounts of IMH and its wholly-owned subsidiaries. The usual condition for a controlling financial interest is ownership of a majority of the voting interests of an entity. However, a controlling financial interest may also exist in entities, such as variable interest entities (VIEs), through arrangements that do not involve voting interests. The VIE framework requires a variable interest holder (counterparty to a VIE) to consolidate the VIE if that party has the power to direct activities of the VIE that most significantly impact the entity’s economic performance, will absorb a majority of the expected losses of the VIE, will receive a majority of the residual returns of the VIE, or both, and directs the significant activities of the entity. This party is considered the primary beneficiary of the entity. The determination of whether the Company meets the criteria to be considered the primary beneficiary of a VIE requires an evaluation of all transactions (such as investments, liquidity commitments, derivatives and fee arrangements) with the entity. The assessment of whether or not the Company is the primary beneficiary of the VIE is performed on an ongoing basis. Significant Accounting Policies Fair Value and the Fair Value Option Fair value is a market-based measurement, not an entity-specific measurement. For some assets and liabilities, observable market transactions or market information might be available. For other assets and liabilities, observable market transactions and market information might not be available. However, the objective of a fair value measurement in both cases is the same — to estimate the price at which an orderly transaction to sell the asset or to transfer the liability would take place between market participants at the measurement date under current market conditions (that is, an exit price at the measurement date from the perspective of a market participant that holds the asset or owes the liability). The fair value option permits entities to choose, at specified election dates, to measure eligible financial assets and financial liabilities at fair value. The decision to elect the fair value option is applied on an instrument by instrument basis, is irrevocable unless a new election date occurs, and is applied to an entire instrument. Cash and Cash Equivalents and Restricted Cash Cash and cash equivalents consist of cash and highly liquid investments with maturities of three months or less at the date of acquisition. The carrying amount of cash and cash equivalents approximates fair value. Cash balances that have restrictions as to the Company’s ability to withdraw funds are considered restricted cash. At December 31, 2021 and 2020, restricted cash totaled $5.7 million and $5.6 million, respectively. The restricted cash is the result of the terms of the Company’s warehouse borrowing agreements as well as collateral against letter of credit financing associated with corporate-owned life insurance (See Note 13. — Commitments and Contingencies). In accordance with the terms of the Master Repurchase Agreements related to the warehouse borrowings, the Company is required to maintain cash balances with the lender as additional collateral for the borrowings (See Note 5. — Debt). Mortgage Loans Held-for-Sale Mortgage LHFS are accounted for using the fair value option, with changes in fair value recorded in gain on sale of loans, net in the accompanying consolidated statements of operations and comprehensive loss. In accordance with Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) 825, Financial Instruments Revenue derived from the Company’s mortgage lending activities includes loan fees collected at the time of origination and gain or loss from the sale of LHFS. Loan fees consist of fee income earned on all loan originations, including loans closed and held-for-sale. Loan fees are recognized as earned and consist of amounts collected for application and underwriting fees, fees on cancelled loans and discount points. The related direct loan origination costs are recognized when incurred and consists of broker fees and commissions. Gain or loss from the sale and mark-to-market adjustments of LHFS includes both realized and unrealized gains and losses and are included in gain on sale of loans, net in the accompanying consolidated statements of operations and comprehensive loss. The valuation of LHFS approximates a whole-loan price, which includes the value of the related mortgage servicing rights. The Company primarily sells its LHFS to investors and government sponsored entities (GSEs). The Company evaluates its loan sales for sales treatment. To the extent the transfer of loans qualifies as a sale, the Company derecognizes the loans and records a realized gain or loss on the sale date. In the event the Company determines that the transfer of loans does not qualify as a sale, the transfer would be treated as a secured borrowing. Interest on loans is recorded as income when earned and deemed collectible. LHFS are placed on nonaccrual status when any portion of the principal or interest is 90 days past due or earlier if factors indicate that the ultimate collectability of the principal or interest is not probable. Interest received from loans on nonaccrual status is recorded as income when collected. Loans return to accrual status when the principal and interest become current and it is probable that the amounts are fully collectible. Mortgage Servicing Rights The Company accounts for mortgage loan sales in accordance with FASB ASC 860, Transfers and Servicing Changes in estimated fair value are reported in the accompanying consolidated statements of operations and comprehensive loss within loss on mortgage servicing rights, net. When the Company sells mortgage servicing rights, the Company records a gain or loss on such sale based on the selling price of the mortgage servicing rights less the carrying value and transaction costs. Gains and losses are reported in the accompanying consolidated statements of operations and comprehensive loss within loss on mortgage servicing rights, net. Consolidated Non-recourse Securitizations Securitized Mortgage Collateral The Company’s long-term mortgage portfolio primarily includes adjustable rate and, to a lesser extent, fixed rate non-conforming mortgages and commercial mortgages that were acquired and originated by the Company’s mortgage and commercial operations prior to 2008. Historically, the Company securitized mortgages in the form of collateralized mortgage obligations (CMO) or real estate mortgage investment conduits (REMICs). These securitizations are evaluated for consolidation based on the provisions of FASB ASC 810-10- 25. Amounts consolidated are included in trust assets and liabilities as securitized mortgage collateral, real estate owned (REO) and securitized mortgage borrowings in the accompanying consolidated balance sheets. The Company also retained the master servicing rights associated with these securitizations which pays the Company approximately 3 basis points on the outstanding unpaid principal balance (UPB) of each securitization trust. The retention of the master servicing rights or the retained economic subordinated residual interests provide the Company with clean up call rights on these securitizations. The Company accounts for securitized mortgage collateral at fair value, with changes in fair value during the period reflected in earnings. Fair value measurements are based on the Company’s estimated cash flow models, which incorporate assumptions, inputs of other market participants and quoted prices for the underlying bonds. The Company’s assumptions include its expectations of inputs that other market participants would use. These assumptions include judgments about the underlying collateral, prepayment speeds, credit losses, investor yield requirements, forward interest rates and certain other factors. Interest income on securitized mortgage collateral is recorded using the effective yield for the period based on the previous quarter-end’s estimated fair value. Securitized mortgage collateral is generally not placed on nonaccrual status as the servicer advances the interest payments to the trust regardless of the delinquency status of the underlying mortgage loan, until it becomes apparent to the servicer that the advance is not collectible. Real Estate Owned Real estate owned on the consolidated balance sheets are primarily assets within the securitized trusts but are recorded as a separate asset for accounting and reporting purposes and are within the long-term mortgage portfolio. REO, which consists of residential real estate acquired in satisfaction of loans, is carried at net realizable value, which includes the estimated fair value of the residential real estate less estimated selling and holding costs. Adjustments to the loan carrying value required at the time of foreclosure affect the carrying amount of REO. Subsequent write-downs in the net realizable value of REO are included in change in fair value of net trust assets, including trust REO gains (losses) in the consolidated statements of operations and comprehensive loss. Securitized Mortgage Borrowings The Company records securitized mortgage borrowings in the accompanying consolidated balance sheets for the consolidated CMO and REMIC securitized trusts within the long-term mortgage portfolio. The debt from each issuance of a securitized mortgage borrowing is payable from the principal and interest payments on the underlying mortgages collateralizing such debt, as well as the proceeds from liquidations of REO. If the principal and interest payments are insufficient to repay the debt, the shortfall is allocated first to the residual interest holders (generally owned by the Company) then, if necessary, to the certificate holders (e.g. third party investors in the securitized mortgage borrowings) in accordance with the specific terms of the various respective indentures. Securitized mortgage borrowings typically are structured as one-month London Interbank Offered Rate (LIBOR) “floaters” and fixed rate securities with interest payable to certificate holders monthly. The maturity of each class of securitized mortgage borrowing is directly affected by the amount of net interest spread, overcollateralization and the rate of principal prepayments and defaults on the related securitized mortgage collateral. The actual maturity of any class of a securitized mortgage borrowing can occur later than the stated maturities of the underlying mortgages. When the Company issued securitized mortgage borrowings, the Company generally sought an investment grade rating for the Company’s securitized mortgages by nationally recognized rating agencies. To secure such ratings, it was often necessary to incorporate certain structural features that provide for credit enhancement. This generally included the pledge of collateral in excess of the principal amount of the securities to be issued, a bond guaranty insurance policy for some or all of the issued securities, or additional forms of mortgage insurance. These securitization transactions are non-recourse to the Company and the total loss exposure is limited to the Company’s initial net economic investment in each trust, which is referred to as a residual interest. The Company accounts for securitized mortgage borrowings at fair value, with changes in fair value during the period reflected in earnings. Fair value measurements are based on the Company’s estimated cash flow models, which incorporate assumptions, inputs of other market participants and quoted prices for the underlying bonds. The Company’s assumptions include its expectations of inputs that other market participants would use. These assumptions include judgments about the underlying collateral, prepayment speeds, credit losses, investor yield requirements, forward interest rates and certain other factors. Interest expense on securitized mortgage borrowings are recorded quarterly using the effective yield for the period based on the previous quarter-end’s estimated fair value. Leases The Company has three operating leases for office space expiring at various dates through 2024 and one financing lease which concludes in 2023. The Company determines if a contract is a lease at the inception of the arrangement and reviews all options to extend, terminate, or purchase its right of use (ROU) assets at the inception of the lease and accounts for these options when they are reasonably certain of being exercised. Regarding the discount rate, Leases (Topic 842) requires the use of the rate implicit in the lease whenever this rate is readily determinable. When the Company cannot readily determine the rate implicit in the lease, the Company determines its incremental borrowing rate by using the rate of interest that it would have to pay to borrow on a collateralized basis over a similar term. As a practical expedient permitted under Topic 842, the Company elected to account for the lease and non-lease components as a single lease component for all leases of which it is the lessee. Leases with an initial term of 12 months or less are not recorded in the consolidated balance sheets and lease expense for these leases is recognized on a straight-line basis over the lease term. Derivative Instruments In accordance with FASB ASC 815-10 Derivatives and Hedging — Overview The mortgage lending operation enters into IRLCs with consumers to originate mortgage loans at a specified interest rate. These IRLCs are accounted for as derivative instruments and reported at fair value. The concept of fair value relating to IRLCs is no different than fair value for any other financial asset or liability: fair value is the price at which an orderly transaction to sell the asset or to transfer the liability would take place between market participants at the measurement date under current market conditions. Because IRLCs do not trade in the market, the Company determines the estimated fair value based on expectations of what an investor would pay to acquire the Company’s IRLCs, which utilizes current market information for secondary market prices for underlying loans and estimated servicing value with similar coupons, maturities and credit quality, subject to the anticipated loan funding probability (pull- through rate). This value is adjusted for other costs that would be required by a market participant acquiring the IRLCs. The fair value of IRLCs is subject to change primarily due to changes in interest rates and the estimated pull-through rate. The Company reports IRLCs within other assets and other liabilities at fair value with changes in fair value being recorded in the accompanying consolidated statements of operations and comprehensive loss within gain on sale of loans, net. The Company hedges the changes in fair value associated with changes in interest rates related to IRLCs and uncommitted LHFS by using forward delivery commitments on mortgage-backed securities, including Federal National Mortgage Association (Fannie Mae or FNMA) and Government National Mortgage Association (Ginnie Mae or GNMA) mortgage-backed securities known as to-be-announced mortgage-backed securities (TBA MBS or Hedging Instruments) as well as forward delivery commitments on whole loans. The Hedging Instruments and forward delivery loan commitments are used to fix the forward sales price that will be realized upon the sale of mortgage loans into the secondary market and are accounted for as derivative instruments. The fair value of Hedging Instruments and forward delivery loan commitments are subject to change primarily due to changes in interest rates. The Company reports Hedging Instruments and forward delivery loan commitments within other assets and other liabilities at fair value with changes in fair value being recorded in the accompanying consolidated statements of operations and comprehensive loss within gain on sale of loans, net. The fair value of IRLCs and Hedging Instruments are represented as derivative assets, lending, net and derivative liabilities, lending, net in Note 9. — Fair Value of Financial Instruments . Long-term Debt Long- term debt (junior subordinated notes) is reported at fair value. These securities are measured based upon an analysis prepared by management, which considers the Company’s own credit risk and discounted cash flow analysis. With the adoption of FASB ASU 2016-01 in 2018, which applies when the Company elects the fair value election on its own debt, the Company effectively bifurcates the market and instrument specific credit risk components of changes in long-term debt. The market portion continues to be a component of net loss as the change in fair value of long-term debt, but the instrument specific credit risk portion is a component of accumulated other comprehensive loss in the accompanying consolidated statements of operations and comprehensive loss. Repurchase Reserve The Company sells mortgage loans in the secondary market, including U.S. GSEs, and issues mortgage- backed securities through Ginnie Mae and Fannie Mae. When the Company sells or issues securities, 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 laws. In the event of a breach of its representations and warranties, the Company may be required to either repurchase the mortgage loans with the identified defects or indemnify the investor or insurer for any loss. In addition, the Company may be required to repurchase loans as a result of borrower fraud or if a payment default occurs on a mortgage loan shortly after its sale. The Company’s loss may be reduced by proceeds from the sale or liquidation of the repurchased loan. Also, the Company’s loss may be reduced by any recourse it has to correspondent lenders that, in turn, had sold such mortgage loans to the Company and breached similar or other representations and warranties. In such event, the Company has the right to seek a recovery of related repurchase losses from that correspondent lender. The Company records a provision for losses relating to such representations and warranties as part of its loan sale transactions. The method used to estimate the liability for representations and warranties is a function of the representations and warranties given and considers a combination of factors, including, but not limited to, estimated future defaults and loan repurchase rates and the potential severity of loss in the event of defaults including any loss on sale or liquidation of the repurchased loan and the probability of reimbursement by the correspondent loan seller. The Company establishes a liability at the time loans are sold and continually updates its estimated repurchase liability. The level of the repurchase liability for representations and warranties is difficult to estimate and requires considerable management judgment. The level of mortgage loan repurchase losses is dependent on economic factors, investor demands for loan repurchases and other external conditions that may change over the lives of the underlying loans. Revenue Recognition for Fees from Services The Company follows FASB ASC 606, Revenue Recognition The Company’s primary sources of revenue are derived from financial instruments that are not within the scope of FASB ASC 606. The Company has evaluated the nature of its contracts with customers and determined that further disaggregation of revenue from contracts with customers into more granular categories beyond what is presented in the consolidated statements of operations and comprehensive loss, was not necessary. The Company generally fully satisfies its performance obligations on its contracts with customers as services are rendered and the transaction prices are typically fixed; charged either on a periodic basis or based on activity. Because performance obligations are satisfied as services are rendered and the transaction prices are fixed, the Company has made no significant judgments in applying the revenue guidance prescribed in ASC 606 that affect the determination of the amount and timing of revenue from contracts with customers. The revenues from these services are recognized in income in the period when services are rendered and collectability is reasonably certain. Advertising Costs Advertising costs are expensed as incurred and are included in business promotion expense in the accompanying consolidated statements of operations and comprehensive loss. For the years ended December 31, 2021 and 2020, business promotion expense was Equity-Based Compensation The Company accounts for stock-based compensation in accordance with FASB ASC 718 Compensation — Stock Compensation FASB ASC 718 requires forfeitures to be estimated at the time of grant and prospectively revised, if necessary, in subsequent periods if actual forfeitures differ from initial estimates. Stock-based compensation expense is recorded net of estimated forfeitures for the years ended December 31, 2021 and 2020, such that the expense was recorded only for those stock-based awards that were expected to vest during such periods. The cost of equity-based compensation is recorded to personnel expense. Refer to Note 14. — Share Based Payments and Employee Benefit Plans. Income Taxes In accordance with FASB ASC 740, Income Taxes The Company is subject to federal income taxes as a regular (Subchapter C) corporation and files a consolidated U.S. federal income tax return on qualifying subsidiaries. The Company files federal and various states income tax returns in the U.S. The Company adopted FASB ASU 2019-12 on a prospective basis on January 1, 2020 (See Note 11. — Income Taxes). The most significant impact to the Company included the removal of the exception to the incremental approach for intraperiod tax allocation when there is a loss from continuing operations and income or a gain from other items (for example, discontinued operations or other comprehensive income). The changes also add a requirement for an entity to reflect the effect of an enacted change in tax laws or rates in the annual effective tax rate computation in the interim period that includes the enactment date. The adoption of this standard did not have a material impact on the Company's consolidated financial statements. Loss Per Common Share Basic loss per common share is computed on the basis of the weighted average number of shares outstanding for the year divided by net loss for the year. Diluted loss per common share is computed on the basis of the weighted average number of shares and dilutive common equivalent shares outstanding for the year divided by net loss for the year, unless anti-dilutive. Refer to Note 10.—Reconciliation of Loss Per Common Share. Recent Accounting Pronouncements Not Yet Effective In June 2016, the FASB issued ASU 2016-13, “Financial Instruments — Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments,” , earlier recognition of allowances for losses. For available-for-sale debt securities with unrealized losses, entities will measure credit losses in a manner similar to current practice, except that the losses will be recognized as an allowance. Subsequent to issuing ASU 2016-13, the FASB issued ASU 2018-19, “ Codification Improvements to Topic 326, Financial Instruments — Credit Losses” Codification Improvements to Topic 326, Financial Instruments-Credit Losses, Topic 815, Derivatives and Hedging Topic 825, Financial Instruments (ASU 2019-04) Financial Instruments — Credit Losses (Topic 326)” In March 2020 and January 2021, the FASB issued 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 does not expect the adoption of this ASU to have a material impact on the Company’s consolidated financial statements. In August 2020, the FASB issued ASU 2020-06, Debt — Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging — Contracts in Entity’s Own Equity (Subtopic 815-40): Accounting for Convertible Instruments and Contracts in an Entity’s Own Equity 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. |
Mortgage Loans Held-for-Sale
Mortgage Loans Held-for-Sale | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
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: June 30, December 31, 2022 2021 Government (1) $ 613 $ 6,886 Conventional (2) 7,375 62,759 Jumbo & Non-qualified mortgages (NonQM) 28,839 231,142 Fair value adjustment (3) 208 7,690 Total mortgage loans held-for-sale $ 37,035 $ 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 gain on sale of loans, net in the accompanying consolidated statements of operations and comprehensive loss. At June 30, 2022 and December 31, 2021, the Company had no mortgage loans that were 90 days or more delinquent. Gain on sale of loans, net in the consolidated statements of operations and comprehensive loss, is comprised of the following for the three and six months ended June 30, 2022 and 2021: For the Three Months Ended For the Six Months Ended June 30, June 30, 2022 2021 2022 2021 Gain on sale of mortgage loans $ 2,562 $ 17,852 $ 16,587 $ 39,115 Premium from servicing retained loan sales — 92 46 213 Unrealized loss from derivative financial instruments (1,244) (2,880) (2,558) (3,095) Gain (loss) from derivative financial instruments 1,862 (315) 6,005 2,914 Mark to market (loss) gain on LHFS (217) 271 (7,482) (597) Direct origination expenses, net (925) (3,737) (4,031) (7,938) Change in provision for repurchases (1,859) (590) (2,433) 212 Gain on sale of loans, net $ 179 $ 10,693 $ 6,134 $ 30,824 | Note 2. — Mortgage Loans held-for-sale A summary of the UPB of mortgage LHFS by type is presented below: December 31, December 31, 2021 2020 Government (1) $ 6,886 $ 7,924 Conventional (2) 62,759 141,139 Jumbo & Non-qualified mortgages (NonQM) 231,142 11,064 Fair value adjustment (3) 7,690 4,295 Total mortgage loans held-for-sale $ 308,477 $ 164,422 (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 Fannie Mae and Federal home Loan Mortgage Corporation (Freddie Mac or FHLMC). (3) Changes in fair value are included in gain on sale of loans, net on the accompanying consolidated statements of operations and comprehensive loss. As of December 31, 2021, the Company had no mortgage LHFS that were 90 days or more delinquent. As of December 31, 2020, there were million. Gain on sale of loans, net in the consolidated statements of operations and comprehensive loss is comprised of the following for the years ended December 31, 2021 and 2020: For the Year Ended December 31, 2021 2020 Gain on sale of mortgage loans $ 81,362 $ 59,330 Premium from servicing retained loan sales 536 2,094 Unrealized loss from derivative financial instruments (4,076) (7) Gain (loss) from derivative financial instruments 1,934 (11,040) Mark to market gain (loss) on LHFS 3,395 (15,955) Direct origination expenses, net (17,746) (15,191) Change in provision for repurchases (111) (5,227) Gain on sale of loans, net $ 65,294 $ 14,004 On July 7, 2020, the Company received notification from Freddie Mac that the Company’s eligibility to sell whole loans to Freddie Mac was suspended, without cause. As noted in Freddie Mac’s Seller/Servicer Guide, Freddie Mac may elect, in its sole discretion, to suspend a Seller from eligibility, without cause, thereby restricting the Seller from obtaining new purchase commitments during the suspension period. |
Mortgage Servicing Rights
Mortgage Servicing Rights | 6 Months Ended |
Jun. 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 six months ended June 30, 2022 and year ended December 31, 2021: June 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) 55 (126) Fair value of MSRs at end of period $ 850 $ 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. At June 30, 2022 and December 31, 2021, the UPB of the mortgage servicing portfolio was comprised of the following: June 30, December 31, 2022 2021 Government insured $ 71,381 $ 71,841 Conventional — — Total loans serviced $ 71,381 $ 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. June 30, December 31, Mortgage Servicing Rights Sensitivity Analysis 2022 2021 Fair value of MSRs $ 850 $ 749 Prepayment Speed: Decrease in fair value from 10% adverse change (18) (24) Decrease in fair value from 20% adverse change (37) (48) Decrease in fair value from 30% adverse change (56) (70) Discount Rate: Decrease in fair value from 10% adverse change (38) (31) Decrease in fair value from 20% adverse change (72) (59) Decrease in fair value from 30% adverse change (104) (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 (loss) on mortgage servicing rights, net is comprised of the following for the three and six months ended June 30, 2022 and 2021: For the Three Months Ended For the Six Months Ended June 30, June 30, 2022 2021 2022 2021 Change in fair value of mortgage servicing rights $ (6) $ (37) $ 55 $ 1 Gain on sale of mortgage servicing rights 51 — 100 — Gain (loss) on mortgage servicing rights, net $ 45 $ (37) $ 155 $ 1 Servicing fees (expense), net is comprised of the following for the three and six months ended June 30, 2022 and 2021: For the Three Months Ended For the Six Months Ended June 30, June 30, 2022 2021 2022 2021 Contractual servicing fees $ 64 $ 41 $ 134 $ 73 Subservicing and other costs (57) (191) (139) (342) Servicing fees (expense), net $ 7 $ (150) $ (5) $ (269) 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 June 30, 2022 and December 31, 2021, loans eligible for repurchase from GNMA totaled $608 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. |
Other Assets
Other Assets | 12 Months Ended |
Dec. 31, 2021 | |
Other Assets | |
Other Assets | Note 4. — Other Assets Other assets consisted of the following: December 31, December 31, 2021 2020 Corporate-owned life insurance (See Note 13) $ 10,788 $ 10,659 Right of use asset (See Note 13) 10,209 13,512 Accounts receivable, net 4,770 3,190 Prepaid expenses 3,460 3,429 Derivative assets – 3,111 7,275 Other 1,102 1,103 Premises and equipment, net 636 930 Accrued interest receivable 625 286 Servicing advances 565 947 Loans eligible for repurchase from Ginnie Mae 337 114 Real estate owned – — 79 Total other assets $ 35,603 $ 41,524 Accounts Receivable, net Accounts receivable are primarily loan sales that have not settled, and fees earned for real estate services rendered, generally collected one month in arrears. Accounts receivable are stated at their carrying value, net of $50 thousand and $329 thousand reserve for doubtful accounts as of December 31, 2021 and 2020, respectively. Servicing Advances The Company is required to advance certain amounts to meet its contractual loan servicing requirements. The Company advances principal, interest, property taxes and insurance for borrowers that have insufficient escrow accounts, plus any other costs to preserve the properties. Also, the Company will advance funds to maintain, repair and market foreclosed real estate properties. The Company is entitled to recover advances from the borrowers for reinstated and performing loans or from proceeds of liquidated properties. Loans Eligible for Repurchase from 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 December 31, 2021 and 2020, loans eligible for repurchase from GNMA totaled Premises and Equipment, net December 31, 2021 2020 Premises and equipment $ 6,391 $ 6,230 Less: Accumulated depreciation (5,755) (5,300) Total premises and equipment, net $ 636 $ 930 The Company recognized $493 thousand and $722 thousand of depreciation expense within general, administrative and other expense in the accompanying consolidated statements of operations and comprehensive loss, for the years ended December 31, 2021 and 2020, respectively. |
Debt
Debt | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
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 June 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 June 30, December 31, Capacity 2022 2021 Maturity Date Short-term borrowings: Repurchase agreement 1 (1) $ — $ — $ 30,009 May 24, 2022 Repurchase agreement 2 (2) 200,000 19,838 153,006 September 13, 2022 Repurchase agreement 3 300,000 6,136 56,794 September 23, 2022 Repurchase agreement 4 50,000 11,821 45,730 March 31, 2023 Total warehouse borrowings $ 550,000 $ 37,795 $ 285,539 (1) Repurchase agreement 1 was not renewed. (2) In July 2022, the maximum borrowing capacity was reduced to $50.0 million and the Company does not anticipate renewing the line upon expiration. 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. 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 June 30, 2022 and December 31, 2021: June 30, December 31, 2022 2021 Junior Subordinated Notes (1) $ 62,000 $ 62,000 Fair value adjustment (26,111) (15,464) Total Junior Subordinated Notes $ 35,889 $ 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. | Note 5. — Debt The following table shows contractual future debt maturities as of December 31, 2021: Payments Due by Period Less Than One to Three to More Than Total One Year Three Years Five Years Five Years Warehouse borrowings $ 285,539 $ 285,539 $ — $ — $ — Convertible notes 20,000 20,000 — — — Long-term debt 62,000 — — — 62,000 Total debt obligations $ 367,539 $ 305,539 $ — $ — $ 62,000 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 Company’s warehouse lines are scheduled to expire in 2022 under 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. As of December 31, 2021 and 2020, there was $1.3 million and $1.3 million, respectively, held in these accounts which are recorded as a component of restricted cash on the consolidated balance sheets. Under the terms of these warehouse lines, the Company is required to maintain various financial and other covenants. At December 31, 2021, 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 Allowable Borrowing December 31, December 31, Advance Rate Capacity 2021 2020 Rates (%) Range Maturity Date Short-term borrowings: Repurchase agreement 1 (1) $ 65,000 $ 30,009 $ 49,963 90 - 98 1ML + 2.00 – 2.25% March 24, 2022 Repurchase agreement 2 200,000 153,006 51,310 100 1ML + 1.75% September 13, 2022 Repurchase agreement 3 300,000 56,794 50,659 100 Note Rate – 0.375% September 23, 2022 Repurchase agreement 4 50,000 45,730 — 99 Note Rate – 0.50 – 0.75% March 31, 2022 Total warehouse borrowings $ 615,000 $ 285,539 $ 151,932 (1) The maximum borrowing capacity of repurchase agreement 1 was temporarily increased to $65.0 million from $50.0 million until February 25, 2022. The following table presents certain information on warehouse borrowings for the periods indicated: For the Year Ended December 31, 2021 2020 Maximum outstanding balance during the year $ 336,648 $ 810,818 Average balance outstanding for the year 191,794 252,565 UPB of underlying collateral (mortgage loans) 296,841 153,675 Weighted average interest rate for period 3.41 % 3.74 % MSR Financings In May 2018, IMC (Borrower) amended the Line of Credit Promissory Note (FHLMC and GNMA Financing) originally entered into in August 2017, increasing the maximum borrowing capacity of the revolving line of credit to $60.0 million, increasing the borrowing capacity up to 60% of the fair market value of the pledged mortgage servicing rights and reducing the interest rate per annum to one-month LIBOR plus 3.0% . As part of the May 2018 amendment, the obligations under the Line of Credit were secured by FHLMC and GNMA pledged mortgage servicing rights (subject to an acknowledgement agreement) and was guaranteed by IRES. In January 2020, the maturity of the line was extended to March 31, 2020. In April 2020, the maturity of the line was extended to May 31, 2020. In May 2020, the line was repaid with the proceeds from the MSR sale (as disclosed in Note 3.—Mortgage Servicing Rights) and the line expired. The following table presents certain information on MSR Financings for the periods indicated: For the Year Ended December 31, 2021 2020 Maximum outstanding balance during the year $ — $ 15,000 Average balance outstanding for the year — 2,943 Weighted average rate for period — % 3.91 % MSR Advance Financing In April 2020, Ginnie Mae announced they revised and expanded their issuer assistance program to provide financing to fund servicer advances through the Pass-Through Assistance Program (PTAP). The PTAP funds advanced by Ginnie Mae bear interest at a fixed rate that will apply to a given months pass-through assistance and will be posted on Ginnie Mae’s website each month. The maturity date was the earlier of the 2021. In July 2020, the outstanding PTAP funds were repaid. At December 31, 2021 and 2020, the Company had 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 . The warrants are exercisable commencing on October 16, 2020 and expire on April 15, 2025. The First Amendment was accounted for as an extinguishment. 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 upon conclusion of the term on November 9, 2020. The new notes have an 18-month term due 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 remains at 7.0% per annum. The Second Amendment was accounted for as an extinguishment. Long-term Debt The Company carries its Junior Subordinated Notes at estimated fair value as more fully described in Note 9. — Fair Value of Financial Instruments. The following table shows the remaining principal balance and fair value of Junior Subordinated Notes issued as of December 31, 2021 and 2020: December 31, 2021 2020 Junior Subordinated Notes (1) $ 62,000 $ 62,000 Fair value adjustment (15,464) (17,587) Total Junior Subordinated Notes $ 46,536 $ 44,413 (1) Stated maturity of March 2034; requires quarterly interest payments at a variable rate of 3-month LIBOR plus 3.75% per annum. At December 31, 2021, the interest rate was 3.97%. |
Securitized Mortgage Trusts
Securitized Mortgage Trusts | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
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 June 30, 2022 and December 31, 2021: June 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 June 30, 2022 and December 31, 2021: June 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 six months ended June 30, 2022 and 2021: For the Three Months Ended For the Six Months Ended June 30, June 30, 2022 2021 2022 2021 Change in fair value of net trust assets, excluding REO $ — $ (1,828) $ 9,248 $ (5,373) (Losses) gains from trust REO — (313) — 1,559 Change in fair value of net trust assets, including trust REO gains (losses) $ — $ (2,141) $ 9,248 $ (3,814) | Note 6. — Securitized Mortgage Trusts Securitized Mortgage Trust Assets Securitized mortgage trust assets are comprised of the following at December 31, 2021 and 2020: December 31, December 31, 2021 2020 Securitized mortgage collateral, at fair value $ 1,639,251 $ 2,100,175 REO, at net realizable value (NRV) 3,479 3,094 Total securitized mortgage trust assets $ 1,642,730 $ 2,103,269 Securitized Mortgage Collateral Securitized mortgage collateral consisted of the following: December 31, December 31, 2021 2020 Mortgages secured by residential real estate $ 1,653,749 $ 2,205,575 Mortgages secured by commercial real estate 89,801 170,418 Fair value adjustment (104,299) (275,818) Total securitized mortgage collateral, at fair value $ 1,639,251 $ 2,100,175 As of December 31, 2021, the Company was also a master servicer of mortgages for others of approximately $164.6 million in UPB that were primarily collateralizing REMIC securitizations, compared to $216.3 million at December 31, 2020. Related fiduciary funds are held in trust for investors in non-interest bearing accounts and are not included in the Company’s consolidated balance sheets. The Company may also be required to advance funds or cause loan servicers to advance funds to cover principal and interest payments not received from borrowers depending on the status of their mortgages. Real Estate Owned The Company’s REO consisted of the following: December 31, December 31, 2021 2020 REO $ 10,335 $ 10,140 Impairment (1) (6,856) (6,967) Ending balance $ 3,479 $ 3,173 REO inside trusts $ 3,479 $ 3,094 REO outside trusts — 79 Total $ 3,479 $ 3,173 (1) Impairment represents the cumulative write-downs of net realizable value subsequent to foreclosure. Securitized Mortgage Trust Liabilities Securitized mortgage trust liabilities, which are recorded at estimated fair market value as more fully described in Note 9.—Fair Value of Financial Instruments, are comprised of the following at December 31, 2021 and 2020: December 31, December 31, 2021 2020 Securitized mortgage borrowings $ 1,614,862 $ 2,086,557 Securitized Mortgage Borrowings – Non-recourse Selected information on securitized mortgage borrowings for the periods indicated consisted of the following (dollars in millions): Securitized mortgage borrowings outstanding as of December 31, Range of Interest Rates (%) Interest Interest Rate Rate Original Fixed Margins over Margins after Issuance Interest One-Month Contractual Year of Issuance Amount 2021 2020 Rates LIBOR (1) Call Date (2) 2002 $ 3,876.1 $ 2.7 $ 3.4 5.25 – 12.00 0.27 – 2.75 0.54 – 3.68 2003 5,966.1 12.9 19.1 4.34 – 12.75 0.27 – 3.00 0.54 – 4.50 2004 17,710.7 210.9 287.3 3.58 – 5.56 0.25 – 2.50 0.50 – 3.75 2005 13,387.7 1,198.2 1,404.6 — 0.24 – 2.90 0.48 – 4.35 2006 5,971.4 1,626.0 1,860.3 6.25 0.10 – 2.75 0.20 – 4.13 2007 3,860.5 882.5 1,012.5 — 0.06 – 2.00 0.12 – 3.00 Subtotal contractual principal balance (3) 3,933.2 4,587.2 Fair value adjustment (4) (2,318.3) (2,500.6) Total securitized mortgage borrowings $ 1,614.9 $ 2,086.6 (1) One-month LIBOR was 0.10% as of December 31, 2021. (2) Interest rate margins are generally adjusted when the unpaid principal balance is reduced to less than 10-20% of the original issuance amount, or if certain other triggers are met. (3) Represents the outstanding balance in accordance with trustee reporting. (4) Fair value adjustment is inclusive of $ 2.2 billion in bond losses at December 31, 2021 and 2020. As of December 31, 2021, expected principal reductions of the securitized mortgage borrowings, which is based on contractual principal payments and expected prepayment and loss assumptions for securitized mortgage collateral, was as follows (dollars in millions): Payments Due by Period Less Than One to Three to More Than Total One Year Three Years Five Years Five Years Securitized mortgage borrowings (1) $ 3,933.2 $ 420.8 $ 511.4 $ 296.4 $ 2,704.6 (1) Represents the outstanding balance in accordance with trustee reporting. Change in Fair Value of Net Trust Assets, including Trust REO Losses Changes in fair value of net trust assets, including trust REO losses are comprised of the following for the years ended December 31, 2021 and 2020: For the Year Ended December 31, 2021 2020 Change in fair value of net trust assets, excluding REO $ 6,471 $ (13,081) Gains from trust REO 111 7,393 Change in fair value of net trust assets, including trust REO gains $ 6,582 $ (5,688) Call Rights The Company holds cleanup call options (call rights) with respect to its securitized trusts whereby, when the UPB of the underlying residential mortgage loans falls below a pre-determined threshold, the Company can purchase the underlying residential mortgage loans at par, plus unreimbursed servicer advances, resulting in the repayment of all of the outstanding securitization financing at par. The Company’s ability to exercise its call rights is limited based available capital and liquidity, and/or in situations where the related securitization trustee does not permit the exercise of such rights. The Company holds the cleanup call options through either its economically owned residuals interests or its master servicing rights. To date, the Company has not exercised any call rights with respect to these securitized trusts however evaluates the potential economic benefits within its fair value estimation process. |
Derivative Instruments
Derivative Instruments | 12 Months Ended |
Dec. 31, 2021 | |
Derivative Instruments | |
Derivative Instruments | Note 7. — Derivative Instruments The mortgage lending operation enters into IRLCs with prospective borrowers to originate mortgage loans at a specified interest rate and Hedging Instruments and forward delivery loan commitments to hedge the fair value changes associated with changes in interest rates relating to its mortgage loan origination operations. The fair value of IRLCs, Hedging Instruments and forward delivery loan commitments related to mortgage loan origination are included in other assets or liabilities in the consolidated balance sheets. As of December 31, 2021, the estimated fair value of IRLCs was an asset of $3.1 million while Hedging Instruments were a liability of $55 thousand. As of December 31, 2020, the estimated fair value of IRLCs was an asset of thousand. At December 31, 2021, there were forward delivery commitments accounted for as derivate instruments as the forward delivery commitments had no pair-off mechanism. At December 31, 2020, forward delivery commitments had fair value as they were marked within LHFS to the price of the trades. The following table includes information for the derivative assets and liabilities, lending for the periods presented: Total Gains (Losses) Notional Amount For the Year Ended December 31, December 31, December 31, 2021 2020 2021 2020 Derivative – IRLC’s (1) $ 255,150 $ 450,913 $ (4,164) $ (516) Derivative – TBA MBS (1) 102,000 45,000 2,022 (10,531) Derivative – Forward delivery loan commitment (2) — 20,000 — — (1) Amounts included in gain on sale of loans, net within the accompanying consolidated statements of operations and comprehensive loss. (2) As of December 31, 2021, there were no forward delivery loan commitments accounted for as derivative instruments. As of December 31, 2020, $20.0 million in mortgage loans had been allocated to forward delivery loan commitments and were recorded at fair value within LHFS in the accompanying consolidated balance sheets . |
Redeemable Preferred Stock
Redeemable Preferred Stock | 12 Months Ended |
Dec. 31, 2021 | |
Redeemable Preferred Stock | |
Redeemable Preferred Stock | Note 8. — Redeemable Preferred Stock As disclosed within Note 13. — Commitments and Contingencies, on July 15, 2021, the Maryland Court of Appeals affirmed the decision of the Circuit Court (and the Court of Special Appeals) in granting summary judgment in favor of the plaintiffs on the Preferred B voting rights and, although the Court of Appeals found the voting rights provision to be ambiguous, it concluded that the extrinsic evidence presented to the Circuit Court, which it found to be undisputed, supported the plaintiffs’ interpretation that the voting rights provision required separate voting by the Preferred B stockholders to amend the Preferred B Articles Supplementary. Accordingly, the 2009 amendments to the Preferred B Articles Supplementary were not validly adopted and the 2004 Preferred Articles Supplementary remain in effect. As a result, as of December 31, 2021, the Company has cumulative undeclared dividends in arrears of approximately $19.1 million, or approximately $28.71 per outstanding share of Preferred B, thereby increasing the liquidation value to approximately $53.71 per share. Additionally, every quarter the cumulative undeclared dividends in arrears will increase by $0.5859 per Preferred B share, or approximately $390 thousand. The liquidation preference, inclusive of Preferred B cumulative undeclared dividends in arrears, is only payable upon declaration by the Board of Directors, settlement, voluntary or involuntary liquidation, dissolution or winding up of the Company’s affairs. In addition, once the Circuit Court determines basis for an appropriate record date, the Company will be required to pay the million, which had been previously accrued for.) Co-Plaintiff Camac Fund LP called for a special meeting of the Preferred B stockholders for the election of At December 31, 2021, the Company had $70.9 million in outstanding liquidation preference of Series B and Series C Preferred Stock. The holders of each series of Preferred Stock, which are non-voting and 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 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. 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 Preferred B 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. |
Fair Value of Financial Instrum
Fair Value of Financial Instruments | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
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: June 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 $ 61,173 $ 61,173 $ — $ — $ 29,555 $ 29,555 $ — $ — Restricted cash 5,196 5,196 — — 5,657 5,657 — — Mortgage loans held-for-sale 37,035 — 37,035 — 308,477 — 308,477 — Mortgage servicing rights 850 — — 850 749 — — 749 Derivative assets, lending, net (1) 510 — 12 498 3,111 — — 3,111 Securitized mortgage collateral — — — — 1,639,251 — — 1,639,251 Liabilities Warehouse borrowings $ 37,795 $ — $ 37,795 $ — $ 285,539 $ — $ 285,539 $ — Convertible notes 15,000 — — 15,000 20,000 — — 20,000 Long-term debt 35,889 — — 35,889 46,536 — — 46,536 Securitized mortgage borrowings — — — — 1,614,862 — — 1,614,862 Derivative liabilities, lending, net (2) 12 — 12 — 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 40% and 83% and 84% , respectively, of total assets and total liabilities measured at estimated fair value at June 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 six months ended June 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 June 30, 2022 and December 31, 2021, based on the fair value hierarchy: Recurring Fair Value Measurements June 30, 2022 December 31, 2021 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 Assets Mortgage loans held-for-sale $ — $ 37,035 $ — $ — $ 308,477 $ — Derivative assets, lending, net (1) — 12 498 — — 3,111 Mortgage servicing rights — — 850 — — 749 Securitized mortgage collateral — — — — — 1,639,251 Total assets at fair value $ — $ 37,047 $ 1,348 $ — $ 308,477 $ 1,643,111 Liabilities Securitized mortgage borrowings $ — $ — $ — $ — $ — $ 1,614,862 Long-term debt — — 35,889 — — 46,536 Derivative liabilities, lending, net (2) — 12 — — 55 — Total liabilities at fair value $ — $ 12 $ 35,889 $ — $ 55 $ 1,661,398 (1) At June 30, 2022, derivative assets, lending, net included $498 thousand in IRLCs and $12 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. 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 June 30, 2022 and 2021: Level 3 Recurring Fair Value Measurements For the Three Months Ended June 30, 2022 Interest Securitized Securitized Mortgage rate lock Long- mortgage mortgage servicing commitments, term collateral borrowings rights net debt Fair value, March 31, 2022 $ — $ — $ 856 $ 846 $ (47,549) Total gains (losses) included in earnings: Interest income — — — — — Interest expense — — — — (357) Change in fair value — — (6) (348) 1,980 Change in instrument specific credit risk — — — — 10,037 (1) Total gains (losses) included in earnings — — (6) (348) 11,660 Transfers in and/or out of Level 3 — — — — — Purchases, issuances and settlements: Purchases — — — — — Issuances — — — — — Settlements — — — — — Fair value, June 30, 2022 $ — $ — $ 850 $ 498 $ (35,889) (1) Amount represents the change in instrument specific credit risk in other comprehensive gain (loss) in the consolidated statements of operations and comprehensive loss. Level 3 Recurring Fair Value Measurements For the Three Months Ended June 30, 2021 Interest Securitized Securitized Mortgage rate lock Long- mortgage mortgage servicing commitments, term collateral borrowings rights net debt Fair value, March 31, 2021 $ 2,038,545 $ (2,028,210) $ 498 $ 5,078 $ (45,361) Total gains (losses) included in earnings: Interest income (1) (4,722) — — — — Interest expense (1) — (8,909) — — (418) Change in fair value (2,550) 722 (37) (816) 1,417 Change in instrument specific credit risk — — — — (538) (2) Total gains (losses) included in earnings (7,272) (8,187) (37) (816) 461 Transfers in and/or out of Level 3 — — — — — Purchases, issuances and settlements: Purchases — — — — — Issuances — — 92 — — Settlements (172,850) 189,173 — — — Fair value, June 30, 2021 $ 1,858,423 $ (1,847,224) $ 553 $ 4,262 $ (44,900) (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 $2.1 million for the three months ended June 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 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 gain (loss) in the consolidated statements of operations and comprehensive loss. 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 six months ended June 30, 2022 and 2021: Level 3 Recurring Fair Value Measurements For the Six Months Ended June 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) — — (743) Change in fair value 9,248 — 55 (2,613) 3,622 Change in instrument specific credit risk — — — — 7,768 (2) Total gains (losses) included in earnings 11,267 (7,564) 55 (2,613) 10,647 Transfers in and/or out of Level 3 — — — — — Purchases, issuances and settlements: Purchases — — — — — Issuances — — 46 — — Settlements (1,650,518) 1,622,426 — — — Fair value, June 30, 2022 $ — $ — $ 850 $ 498 $ (35,889) Unrealized gains (losses) still held (3) $ — $ — $ 850 $ 498 $ 26,111 (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 six months ended June 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 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 gain (loss) in the consolidated statements of operations and comprehensive loss. (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 June 30, 2022. Level 3 Recurring Fair Value Measurements For the Six Months Ended June 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 (losses) gains included in earnings: Interest income (1) (9,479) — — — — Interest expense (1) — (18,018) — — (724) Change in fair value 79,857 (85,230) 1 (3,013) 2,442 Change in instrument specific credit risk — — — — (2,205) (2) Total gains (losses) included in earnings 70,378 (103,248) 1 (3,013) (487) Transfers in and/or out of Level 3 — — — — — Purchases, issuances and settlements: Purchases — — — — — Issuances — — 213 — — Settlements (312,130) 342,581 — — — Fair value, June 30, 2021 $ 1,858,423 $ (1,847,224) $ 553 $ 4,262 $ (44,900) Unrealized (losses) gains still held (3) $ (186,507) $ 2,397,426 $ 553 $ 4,262 $ 17,100 (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 $4.3 million for the three and six months ended June 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 gain (loss) 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 in the consolidated statements of operations and comprehensive loss. (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 June 30, 2021 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 June 30, 2022 and December 31, 2021: June 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 – 12.5 % 8.5 % 8.01 – 29.1 % 10.3 % Derivative assets - IRLCs, net Pull-through rates 40.0 – 99.0 % 69.5 % 50.0 – 98.0 % 79.0 % Long-term debt Discount rates 14.2 % 14.2 % 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 for the three months ended June 30, 2022 and 2021: Recurring Fair Value Measurements Changes in Fair Value Included in Net Loss For the Three Months Ended June 30, 2022 Change in Fair Value of Interest Interest Net Trust Long-term Other Revenue Gain on Sale Income (1) Expense (1) Assets Debt and Expense of Loans, net Total Securitized mortgage collateral $ — $ — $ — $ — $ — $ — $ — Securitized mortgage borrowings — — — — — — — Long-term debt — (357) — 1,980 — — 1,623 Mortgage servicing rights (2) — — — — (6) — (6) Mortgage loans held-for-sale — — — — — (217) (217) Derivative assets — IRLCs — — — — — (348) (348) Derivative liabilities — Hedging Instruments — — — — — (896) (896) Total $ — $ (357) $ — $ 1,980 $ (6) $ (1,461) $ 156 (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 (loss) on MSRs, net in the consolidated statements of operations and comprehensive loss. Recurring Fair Value Measurements Changes in Fair Value Included in Net Loss For the Three Months Ended June 30, 2021 Change in Fair Value of Interest Interest Net Trust Long-term Other Revenue Gain on Sale Income (1) Expense (1) Assets Debt and Expense of Loans, net Total Securitized mortgage collateral $ (4,722) $ — $ (2,550) $ — $ — $ — $ (7,272) Securitized mortgage borrowings — (8,909) 722 — — — (8,187) Long-term debt — (418) — 1,417 — — 999 Mortgage servicing rights (2) — — — — (37) — (37) Mortgage loans held-for-sale — — — — — 271 271 Derivative assets — IRLCs — — — — — (816) (816) Derivative liabilities — Hedging Instruments — — — — — (2,064) (2,064) Total $ (4,722) $ (9,327) $ (1,828) (3) $ 1,417 $ (37) $ (2,609) $ (17,106) (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 (loss) on MSRs, net in the consolidated statements of operations and comprehensive loss. (3) For the three months ended June 30, 2021, change in the fair value of net trust assets, excluding REO was $1.8 million. The following tables present the changes in recurring fair value measurements included in net earnings (loss) for the six months ended June 30, 2022 and 2021: Recurring Fair Value Measurements Changes in Fair Value Included in Net Loss For the Six Months Ended June 30, 2022 Change in Fair Value of Interest Interest Net Trust Long-term Other Income 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 — (743) — 3,622 — — 2,879 Mortgage servicing rights (2) — — — — 55 — 55 Mortgage loans held-for-sale — — — — — (7,482) (7,482) Derivative assets — IRLCs — — — — — (2,613) (2,613) Derivative liabilities — Hedging Instruments — — — — — 55 55 Total $ 2,019 $ (8,307) $ 9,248 (3) $ 3,622 $ 55 $ (10,040) $ (3,403) (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 (loss) on MSRs, net in the consolidated statements of operations and comprehensive loss. (3) For the six months ended June 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 For the Six Months Ended June 30, 2021 Change in Fair Value of Interest Interest Net Trust Long-term Other Income Gain on Sale Income (1) Expense (1) Assets Debt and Expense of Loans, net Total Securitized mortgage collateral $ (9,479) $ — 79,857 $ — $ — $ — $ 70,378 Securitized mortgage borrowings — (18,018) (85,230) — — — (103,248) Long-term debt — (724) — 2,442 — — 1,718 Mortgage servicing rights (2) — — — — 1 — 1 Mortgage loans held-for-sale — — — — — (597) (597) Derivative assets — IRLCs — — — — — (3,013) (3,013) Derivative liabilities — Hedging Instruments — — — — — (82) (82) Total $ (9,479) $ (18,742) $ (5,373) (3) $ 2,442 $ 1 $ (3,692) $ (34,843) (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 (loss) on MSRs, net in the consolidated statements of operations and comprehensive loss. (3) For the six months ended June 30, 2021, change in the fair value of net trust assets, excluding REO was $5.4 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 June 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 June 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 notes 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 June 30, 2022, long-term debt had UPB of $62.0 million compared to an estimated fair value of $35.9 million. The aggregate UPB exceeded the fair value by $26.1 million at June 30, 2022. The long-term debt is considered a Level 3 measurement at June 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 June 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 June 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 Six Months Ended June 30, December 31, June 30, June 30, 2022 2021 2022 2021 2022 2021 Derivative – IRLC's (1) $ 55,175 $ 255,150 $ (348) $ (816) $ (2,613) $ (3,013) Derivative – TBA MBS (1) 12,500 102,000 1,072 (2,379) 4,760 2,832 Derivative – Swap Futures (1) 3,300 — (106) — 1,300 — (1) Amounts included in gain on sale of loans, net within the accompanying consolidated statements of operations and comprehensive loss. 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. There were no financial or non-financial assets measured using nonrecurring fair value measurements at June 30, 2022. The following tables present financial and non-financial assets measured using nonrecurring fair value measurements at June 30, 2022 and 2021, and total (losses) gains for the three and six months ended June 30, 2022 and 2021, respectively: Nonrecurring Fair Value Measurements Total Losses (1) June 30, 2022 For the Three Months Ended For the Six Months Ended Level 1 Level 2 Level 3 June 30, 2022 June 30, 2022 ROU asset impairment — — 8,366 (123) (123) (1) Total losses reflect losses from all nonrecurring measurements during the period. Nonrecurring Fair Value Measurements Total (Losses) Gains (1) June 30, 2021 For the Three Months Ended For the Six Months Ended Level 1 Level 2 Level 3 June 30, 2021 June 30, 2021 REO (2) $ — $ 4,251 $ — $ (313) $ 1,559 (1) Total gains (losses) reflect gains (losses) from all nonrecurring measurements during the period. (2) For the three and six months ended June 30, 2021, the Company recorded $( 313) thousand and $1.6 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. 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 whi | Note 9. — 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. FASB ASC 825 requires disclosure of the estimated fair value of certain financial instruments and the methods and significant assumptions used to estimate such fair values. The Company uses exit price notion when measuring the fair values of financial instruments for disclosure purposes. The following table presents the estimated fair value of financial instruments included in the consolidated financial statements as of the dates indicated: December 31, 2021 December 31, 2020 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 $ 29,555 $ 29,555 $ — $ — $ 54,150 $ 54,150 $ — $ — Restricted cash 5,657 5,657 — — 5,602 5,602 — — Mortgage loans held-for-sale 308,477 — 308,477 — 164,422 — 164,422 — Mortgage servicing rights 749 — — 749 339 — — 339 Derivative assets, lending, net (1) 3,111 — — 3,111 7,275 — — 7,275 Securitized mortgage collateral 1,639,251 — — 1,639,251 2,100,175 — — 2,100,175 Liabilities Warehouse borrowings $ 285,539 $ — $ 285,539 $ — $ 151,932 $ — $ 151,932 $ — Convertible notes 20,000 — — 20,000 20,000 — — 20,000 Long-term debt 46,536 — — 46,536 44,413 — — 44,413 Securitized mortgage borrowings 1,614,862 — — 1,614,862 2,086,557 — — 2,086,557 Derivative liabilities, lending, net (2) 55 — 55 — 143 — 143 — (1) Represents IRLCs 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 the consolidated non-recourse securitizations, the fair value of the financial liabilities of the consolidated non-recourse securitizations (securitized mortgage borrowings) is more observable than the fair value of the financial assets of the consolidated non-recourse securitizations (securitized mortgage collateral). In accordance with FASB ASU 2014-13, the financial liabilities of the consolidated non-recourse securitizations are the more observable input and measured at fair value and the financial assets are being measured in consolidation as: (1) the sum of the fair value of the securitized mortgage borrowings and the fair value of the beneficial interests retained by the Company less (2) the carrying value of any REO. The resulting amount is allocated to securitized mortgage collateral. For securitized mortgage collateral and securitized mortgage borrowings, the underlying Alt-A (non-conforming) residential and commercial loans and mortgage-backed securities market have experienced significant declines in market activity, along with a lack of orderly transactions. The Company’s methodology to estimate fair value of these assets and liabilities include the use of internal pricing techniques such as the net present value of future expected cash flows (with observable market participant assumptions, where available) discounted at a rate of return based on the Company’s estimates of market participant requirements. The significant assumptions utilized in these internal pricing techniques, which are based on the characteristics of the underlying collateral, include estimated credit losses, estimated prepayment speeds and appropriate discount rates. Fair Value Hierarchy The application of fair value measurements may be on a recurring or nonrecurring basis depending on the accounting principles applicable to the specific asset or liability or whether management has elected to carry the item at its estimated fair value. FASB ASC 820-10-35 specifies a hierarchy of valuation techniques based on whether the inputs to those techniques are observable or unobservable. Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect the Company’s market assumptions. These two types of inputs create the following fair value hierarchy: ● Level 1 — Quoted prices (unadjusted) in active markets for identical instruments or liabilities that an entity has the ability to assess at measurement date. ● Level 2 — Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; inputs other than quoted prices that are observable for an asset or liability, including interest rates and yield curves observable at commonly quoted intervals, prepayment speeds, loss severities, credit risks and default rates; and market-corroborated inputs. ● Level 3 — Valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable. This hierarchy requires the Company to use observable market data, when available, and to minimize the use of unobservable inputs when estimating fair value. As a result of the lack of observable market data resulting from inactive markets, the Company has classified its securitized mortgage collateral and borrowings, derivative assets (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 83% and 84% and 90% and 93%, respectively, of total assets and total liabilities measured at estimated fair value at December 31, 2021 and 2020. 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 FASB 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 year ended December 31, 2021. 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 December 31, 2021 and 2020, based on the fair value hierarchy: Recurring Fair Value Measurements December 31, 2021 December 31, 2020 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 Assets Mortgage loans held-for-sale $ — $ 308,477 $ — $ — $ 164,422 $ — Derivative assets, lending, net (1) — — 3,111 — — 7,275 Mortgage servicing rights — — 749 — — 339 Securitized mortgage collateral — — 1,639,251 — — 2,100,175 Total assets at fair value $ — $ 308,477 $ 1,643,111 $ — $ 164,422 $ 2,107,789 Liabilities Securitized mortgage borrowings $ — $ — $ 1,614,862 $ — $ — $ 2,086,557 Long-term debt — — 46,536 — — 44,413 Derivative liabilities, lending, net (2) — 55 — — 143 — Total liabilities at fair value $ — $ 55 $ 1,661,398 $ — $ 143 $ 2,130,970 (1) 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. At December 31, 2020, derivative assets, lending, net included $7.3 million in IRLCs and is included in other assets in accompanying consolidated balance sheets. (2) At December 31, 2021 and 2020, derivative liabilities, lending, net are included in other liabilities in the accompanying consolidated balance sheets. The following tables present reconciliation for all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the years ended December 31, 2021 and 2020: Level 3 Recurring Fair Value Measurements For the Year Ended December 31, 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 (losses) gains included in earnings: Interest income (1) (12,162) — — — — Interest expense (1) — (37,090) — — (1,499) Change in fair value 151,759 (145,288) (126) (4,164) 2,098 Change in instrument specific credit risk — — — — (2,722) (2) Total gains (losses) included in earnings 139,597 (182,378) (126) (4,164) (2,123) Transfers in and/or out of Level 3 — — — — — Purchases, issuances and settlements: Purchases — — — — — Issuances — — 536 — — Settlements (600,521) 654,073 — — — Fair value, December 31, 2021 $ 1,639,251 $ (1,614,862) $ 749 $ 3,111 $ (46,536) Unrealized (losses) gains still held (3) $ (104,299) $ 2,318,296 $ 749 $ 3,111 $ 15,464 (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 $8.1 million for the year ended December 31, 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 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 in the consolidated statements of operations and comprehensive loss. (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 December 31, 2021 . Level 3 Recurring Fair Value Measurements For the Year Ended December 31, 2020 Interest Securitized Securitized Mortgage rate lock Long- mortgage mortgage servicing commitments, term collateral borrowings rights net debt Fair value, December 31, 2019 $ 2,628,064 $ (2,619,210) $ 41,470 $ 7,791 $ (45,434) Total (losses) gains included in earnings: Interest income (1) 747 — — — — Interest expense (1) — (65,421) — — (850) Change in fair value (92,562) 79,481 (21,962) (516) 1,899 Change in instrument specific credit risk — — — — (28) (2) Total (losses) gains included in earnings (91,815) 14,060 (21,962) (516) 1,021 Transfers in and/or out of Level 3 — — — — — Purchases, issuances and settlements: Purchases — — — — — Issuances — — 2,094 — — Settlements (436,074) 518,593 (21,263) — — Fair value, December 31, 2020 $ 2,100,175 $ (2,086,557) $ 339 $ 7,275 $ (44,413) Unrealized (losses) gains still held (3) $ (275,818) $ 2,500,674 $ 339 $ 7,275 $ 17,587 (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 $8.9 million for the year ended December 31, 2020. 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 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 in the consolidated statements of operations and comprehensive loss. (3) Represents the amount of unrealized (losses) gains relating to assets and liabilities classified as Level 3 that were still held and reflected in the fair values at December 31, 2020. 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 non-recurring basis at December 31, 2021. Estimated Valuation Unobservable Range of Weighted Financial Instrument Fair Value Technique Input Inputs Average Assets and liabilities backed by real estate Securitized mortgage collateral, and $ 1,639,251 Discounted Cash Flow Prepayment rates 2.9 – 46.3 % 10.7 % Securitized mortgage borrowings (1,614,862) 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 $ 749 Discounted Cash Flow Discount rates 12.5 – 15.0 % 12.8 % Prepayment rates 8.01 – 29.1 % 10.3 % Derivative assets - IRLCs, net 3,111 Market pricing Pull-through rates 50.0 – 98.0 % 79.0 % Long-term debt (46,536) Discounted Cash Flow Discount rates 8.6 % 8.6 % For assets and liabilities backed by real estate, a significant increase in discount rates, default rates or loss severities would result in a significantly lower estimated fair value. The effect of changes in prepayment speeds would have differing effects depending on the seniority or other characteristics of the instrument. 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 losses for the years ended December 31, 2021 and 2020: Recurring Fair Value Measurements Changes in Fair Value Included in Net Earnings (Loss) For the Year Ended December 31, 2021 Change in Fair Value of Interest Interest Net Trust Long-term Other Income Gain (Loss) on Sale Income (1) Expense (1) Assets Debt and Expense of Loans, net Total Securitized mortgage collateral $ (12,162) $ — $ 151,759 $ — $ — $ — $ 139,597 Securitized mortgage borrowings — (37,090) (145,288) — — — (182,378) Long-term debt — (1,499) — 2,098 — — 599 Mortgage servicing rights (2) — — — — (126) — (126) Mortgage loans held-for-sale — — — — — 3,395 3,395 Derivative assets – — — — — — (4,164) (4,164) Derivative liabilities – — — — — — 88 88 Total $ (12,162) $ (38,589) $ 6,471 (3) $ 2,098 $ (126) $ (681) $ (42,989) (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 (loss) on mortgage servicing rights, net in the consolidated statements of operations and comprehensive loss. (3) For the year ended December 31, 2021, change in the fair value of trust assets, excluding REO was $6.5 million . Recurring Fair Value Measurements Changes in Fair Value Included in Net Earnings (Loss) For the Year Ended December 31, 2020 Change in Fair Value of Interest Interest Net Trust Long-term Other Income Gain (Loss) on Sale Income (1) Expense (1) Assets Debt and Expense of Loans, net Total Securitized mortgage collateral $ 747 $ — $ (92,562) $ — $ — $ — $ (91,815) Securitized mortgage borrowings — (65,421) 79,481 — — — 14,060 Long-term debt — (850) — 1,899 — — 1,049 Mortgage servicing rights (2) — — — — (21,962) — (21,962) Mortgage loans held-for-sale — — — — — (15,955) (15,955) Derivative assets – — — — — — (516) (516) Derivative liabilities – — — — — — 509 509 Total $ 747 $ (66,271) $ (13,081) (3) $ 1,899 $ (21,962) $ (15,962) $ (114,630) (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 (loss) on mortgage servicing rights, net in the consolidated statements of operations and comprehensive loss. (3) For the year ended December 31, 2020, change in the fair value of trust assets, excluding REO was $13.1 million. The following is a description of the measurement techniques for items recorded at estimated fair value on a recurring basis. Mortgage servicing rights Mortgage loans held-for-sale Securitized mortgage collateral Securitized mortgage borrowings Long-term debt Derivative assets and liabilities, Lending — loan pricing adjustments specific to each loan. For all IRLCs, the base value is then adjusted for the anticipated Pull-through Rate, less discounts that would be required by a market participant acquiring the IRLCs. 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 December 31, 2021 and 2020. 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 December 31, 2021 and 2020. 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 table presents financial and non-financial assets and liabilities measured using nonrecurring fair value measurements at December 31, 2021 and 2020, respectively: Nonrecurring Fair Value Measurements December 31, 2021 December 31, 2020 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 REO (1) $ — $ 3,479 $ — $ — $ 3,173 $ — ROU asset — — 10,209 — — 13,512 (1) Balance represents REO at December 31, 2021 and December 31, 2020 which has been impaired subsequent to foreclosure. The following table presents total gains on financial and non-financial assets and liabilities measured using nonrecurring fair value measurements for the years ended December 31, 2021 and 2020, respectively: Total Gains (1) For the Year Ended December 31, 2021 2020 REO (2) $ 111 $ 7,393 (1) Total gains reflect gains from all nonrecurring measurements during the year. (2) For the years ended December 31, 2021 and 2020, the Company recorded $111 thousand and $7.4 million, respectively, of gains related to changes in the NRV of REO. 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 . Real estate owned ROU asset The impairment charge is included in general, administrative and other expense in the consolidated statements of operations and comprehensive loss. |
Reconciliation of Loss Per Comm
Reconciliation of Loss Per Common Share | 6 Months Ended |
Jun. 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 Six Months Ended June 30, June 30, 2022 2021 2022 2021 Numerator for basic loss per share: Net loss $ (13,467) $ (8,864) $ (14,651) $ (9,547) Less: cumulative non-declared dividends on preferred stock (1) (390) — (780) — Net loss attributable to common stockholders $ (13,857) $ (8,864) $ (15,431) $ (9,547) Numerator for diluted loss per share: Net loss $ (13,857) $ (8,864) $ (15,431) $ (9,547) Interest expense attributable to convertible notes (2) — — — — Net loss plus interest expense attributable to convertible notes $ (13,857) $ (8,864) $ (15,431) $ (9,547) Denominator for basic loss per share (3): Basic weighted average common shares outstanding during the period 21,509 21,344 21,463 21,319 Denominator for diluted loss per share (3): Basic weighted average common shares outstanding during the period 21,509 21,344 21,463 21,319 Net effect of dilutive convertible notes and warrants (2) — — — — Net effect of dilutive stock options, DSU’s, RSA's and RSU's (2) — — — — Diluted weighted average common shares 21,509 21,344 21,463 21,319 Net loss per common share: Basic $ (0.64) $ (0.42) $ (0.72) $ (0.45) Diluted $ (0.64) $ (0.42) $ (0.72) $ (0.45) (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 Preferred B voting rights (see Note 12. — Equity and Share Based Payments). (2) Adjustments to diluted loss per share for the three and six months ended June 30, 2022 and 2021, were excluded from the calculation, as they were anti-dilutive. (3) Number of shares presented in thousands. At June 30, 2022 and 2021, there were 804 thousand and 1.0 million shares, respectively, of stock options, RSUs and DSUs outstanding in the aggregate. For the three and six months ended June 30, 2022, there were 698 thousand and 930 thousand shares, respectively, attributable to the Notes that were anti-dilutive. For the three and six months ended June 30, 2021, there were 930 thousand shares attributable to the Notes that were anti-dilutive. Additionally, for the three and six months ended June 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, see Note 12.—Equity and Share Based Payments, Redeemable Preferred Stock , for a description of cumulative undeclared dividends in arrears. 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 Preferred B voting rights. 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. |
Income Taxes
Income Taxes | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
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 six months ended June 30, 2022, the Company recorded income tax expense was approximately $ 16 thousand and $39 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 six months ended June 30, 2021, the Company recorded income tax expense of approximately $62 thousand and $43 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 June 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. | Note 11. — Income Taxes The Company is subject to federal income taxes as a regular (Subchapter C) corporation and files a consolidated U.S. federal income tax return. Income taxes for the years ended December 31, 2021 and 2020 were as follows: For the Year Ended December 31, 2021 2020 Current income taxes: Federal $ — $ 8 State 71 125 Total current income tax expense 71 133 Deferred income taxes: Federal — — State — — Total deferred income tax expense — — Total income tax expense $ 71 $ 133 The Company recorded income tax expense of $71 thousand and $133 thousand for the years ended December 31, 2021 and 2020, respectively. The income tax expense for the year endeds December 31, 2021 and 2020, was primarily the result of state minimum taxes and franchise taxes. Deferred tax assets are recognized subject to management's judgment that realization is "more likely than not". A valuation allowance is recognized for a deferred tax asset if, based on the weight of the available evidence, it is more likely than not that some portion of the deferred tax asset will not be realized. In making such judgments, significant weight is given to evidence that can be objectively verified. As of each reporting date, the Company considers new evidence, both positive and negative, that could impact management's view with regard to future realization of deferred tax assets. Significant judgment is required in assessing future earnings trends, the availability of tax planning strategies, recent pretax losses and the timing of reversals of temporary differences. The Company's evaluation is based on current tax laws as well as management's expectation of future performance. The Company's deferred tax assets are primarily the result of net operating losses and basis differences on mortgage securities and goodwill. The Company has recorded a full valuation allowance against its deferred tax assets at December 31, 2021 as it is more likely than not that the deferred tax assets will not be realized. The valuation allowance is based on the management's assessment that it is more likely than not that certain deferred tax assets, primarily net operating loss carryforwards, may not be realized in the foreseeable future due to objective negative evidence. Deferred tax assets are comprised of the following temporary differences between the financial statement carrying value and the tax basis of assets: For the Year Ended December 31, 2021 2020 Deferred tax assets: Federal and state net operating losses $ 178,194 $ 173,652 Mortgage securities 55,283 54,624 Depreciation and amortization 24,355 26,752 Capital loss carryover 172 171 Compensation and other accruals 3,058 3,060 Repurchase reserve 1,493 2,200 Total gross deferred tax assets 262,555 260,459 Deferred tax liabilities: Fair value adjustments on long-term debt (3,980) (4,639) Mortgage servicing rights (236) (106) Corporate-owned life insurance (1,017) (968) Total gross deferred tax liabilities (5,233) (5,713) Valuation allowance (257,322) (254,746) Total net deferred tax assets $ — $ — The following is a reconciliation of income taxes to the expected statutory federal corporate income tax rates for the years ended December 31, 2021 and 2020: For the Year Ended December 31, 2021 2020 Expected income tax expense $ (799) $ (18,483) State tax expense, net of federal benefit 56 99 State rate change (640) (731) Change in valuation allowance 1,218 19,016 Corporate-owned life insurance interest and premiums 96 170 Other 140 62 Total income tax expense $ 71 $ 133 At December 31, 2021, the Company had accumulated other comprehensive earnings of $22.0 million, which was net of tax of $10.5 million. 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 million of NOLs with an indefinite carryover period. 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. On October 23, 2019, the Company adopted a Tax Benefits Preservation Rights Agreement (Rights Plan) to help preserve the value of certain deferred tax benefits, including those generated by net operating losses (collectively, Tax Benefits). In general, the Company may “carry forward” net operating losses in certain circumstances to offset current and future taxable income, which will reduce federal and state income tax liability, subject to certain requirements and restrictions. The Company’s ability to use these Tax Benefits would be substantially limited and impaired if it were to experience an “ownership change” for purposes of Section 382 of the Internal Revenue Code of 1986, as amended (the Code) and the Treasury Regulations promulgated thereunder. Generally, the Company will experience an “ownership change” if the percentage of the shares of Common Stock owned by one or more “five-percent shareholders” increases by more than 50 percentage points over the lowest percentage of shares of Common Stock owned by such stockholder at any time during the prior three year on a rolling basis. As such, the Rights Plan has a 4.99% “trigger” threshold that is intended to act as a deterrent to any person or entity seeking to acquire 4.99% or more of the outstanding Common Stock without the prior approval of the board of directors. The Rights Plan also has certain ancillary anti-takeover effects. The rights accompany each share of common stock of the Company and are evidenced by ownership of common stock. The rights are not exercisable except upon the occurrence of certain change of control events. Once triggered, the rights would entitle the stockholders, other than a person qualifying as an “Acquiring Person” pursuant to the rights plan, to certain “flip in”, “flip over” and exchange rights. The rights issued under the Rights Plan may be redeemed by the board of directors at a nominal redemption price of $0.001 per right, and the board of directors may amend the rights in any respect until the rights are triggered. The Rights Plan was approved at the Company’s 2020 annual meeting of stockholders and will expire on the three-year anniversary of its adoption. The Company adopted ASU 2019-12 on a prospective basis on January 1, 2020. The most significant impact to the Company included the removal of the exception to the incremental approach for intraperiod tax allocation when there is a loss from continuing operations and income or a gain from other items (for example, discontinued operations or other comprehensive earnings). The changes also add a requirement for an entity to reflect the effect of an enacted change in tax laws or rates in the annual effective tax rate computation in the interim period that includes the enactment date. The adoption of this standard did not have a material impact on the Company's consolidated financial statements. The Company files numerous tax returns in various jurisdictions. While the Company is subject to examination by various taxing authorities, the Company believes there are no unresolved issues or claims likely to be material to its financial position. The Company classifies interest and penalties on taxes as provision for income taxes. As of December 31, 2021 and 2020, the Company has no material uncertain tax positions. The Company has state alternative minimum tax (AMT) credits in the amount of $404 thousand as of December 31, 2021. |
Segment Reporting
Segment Reporting | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
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 June 30, 2022: Lending Services Portfolio and other Consolidated Gain on sale of loans, net $ 179 $ — $ — $ — $ 179 Servicing income, net 7 — — — 7 Gain on mortgage servicing rights, net 45 — — — 45 Real estate services fees, net — 257 — — 257 Other revenue (expense) 1 — 28 (22) 7 Other operating expense (9,378) (359) (129) (4,800) (14,666) Other income (expense) 261 — 877 (418) 720 Net (loss) earnings before income tax expense $ (8,885) $ (102) $ 776 $ (5,240) (13,451) Income tax expense 16 Net loss $ (13,467) Statement of Operations Items for the Mortgage Real Estate Long-term Corporate Three Months Ended June 30, 2021: Lending Services Portfolio and other Consolidated Gain on sale of loans, net $ 10,693 $ — $ — $ — $ 10,693 Servicing expenses, net (150) — — — (150) Loss on mortgage servicing rights, net (37) — — — (37) Real estate services fees, net — 478 — — 478 Other revenue (expense) — — 42 (46) (4) Other operating expense (15,288) (356) (135) (3,837) (19,616) Other (expense) income (16) — 314 (464) (166) Net (loss) earnings before income tax expense $ (4,798) $ 122 $ 221 $ (4,347) $ (8,802) Income tax expense 62 Net loss $ (8,864) Statement of Operations Items for the Mortgage Real Estate Long-term Corporate Six Months Ended June 30, 2022: Lending Services Portfolio and other Consolidated Gain on sale of loans, net $ 6,134 $ — $ — $ — $ 6,134 Servicing expense, net (5) — — — (5) Gain on mortgage servicing rights, net 155 — — — 155 Real estate services fees, net — 442 — — 442 Other revenue 4 — 43 912 959 Other operating expense (23,880) (718) (141) (9,284) (34,023) Other income (expense) 649 — 11,959 (882) 11,726 Net (loss) earnings before income tax expense $ (16,943) $ (276) $ 11,861 $ (9,254) (14,612) Income tax expense 39 Net loss $ (14,651) Statement of Operations Items for the Mortgage Real Estate Long-term Corporate Six Months Ended June 30, 2021: Lending Services Portfolio and other Consolidated Gain on sale of loans, net $ 30,824 $ — $ — $ — $ 30,824 Servicing expense, net (269) — — — (269) Gain on mortgage servicing rights, net 1 — — — 1 Real estate services fees, net — 688 — — 688 Other revenue 23 — 69 228 320 Other operating expense (31,516) (725) (256) (8,417) (40,914) Other (expense) income (199) — 969 (924) (154) Net (loss) earnings before income tax expense $ (1,136) $ (37) $ 782 $ (9,113) $ (9,504) Income tax expense 43 Net loss $ (9,547) Mortgage Real Estate Long-term Corporate Balance Sheet Items as of: Lending Services Portfolio and other Consolidated Total Assets at June 30, 2022 (1) $ 108,870 $ 502 $ 63 $ 24,223 $ 133,658 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. | Note 12. — 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. The following table presents selected balance sheet data by reporting segment as of the dates indicated: Balance Sheet Items as of Mortgage Real Estate Long-term Corporate December 31, 2021: Lending Services Portfolio and other Consolidated Cash and cash equivalents $ 26,239 $ 500 $ — 2,816 $ 29,555 Restricted cash 5,657 — — — 5,657 Mortgage loans held-for-sale 308,477 — — — 308,477 Mortgage servicing rights 749 — — — 749 Trust assets — — 1,642,730 — 1,642,730 Other assets (1) 10,051 2 141 25,409 35,603 Total assets $ 351,173 $ 502 $ 1,642,871 $ 28,225 $ 2,022,771 Total liabilities $ 298,726 $ — $ 1,661,729 $ 52,380 $ 2,012,835 Balance Sheet Items as of Mortgage Real Estate Long-term Corporate December 31, 2020: Lending Services Portfolio and other Consolidated Cash and cash equivalents $ 50,968 $ 501 $ — $ 2,681 $ 54,150 Restricted cash 5,602 — — — 5,602 Mortgage loans held-for-sale 164,422 — — — 164,422 Mortgage servicing rights 339 — — — 339 Trust assets — — 2,103,269 — 2,103,269 Other assets (1) 12,510 2 130 28,882 41,524 Total assets $ 233,841 $ 503 $ 2,103,399 $ 31,563 $ 2,369,306 Total liabilities $ 166,285 $ — $ 2,131,178 $ 56,192 $ 2,353,655 (1) All segment asset balances exclude intercompany balances. The following table presents selected statement of operations information by reporting segment for the years ended December 31, 2021 and 2020: Statement of Operations Items for the Mortgage Real Estate Long-term Corporate Year Ended December 31, 2021: Lending Services Portfolio and other Consolidated Gain on sale of loans, net $ 65,294 $ — $ — $ — $ 65,294 Servicing expense, net (432) — — — (432) Gain on mortgage servicing rights, net 34 — — — 34 Real estate services fees, net — 1,144 — — 1,144 Other revenue 24 — 110 145 279 Other operating expense (62,605) (1,409) (778) (16,412) (81,204) Other income (expense) 98 — 12,840 (1,860) 11,078 Net earnings (loss) before income tax expense $ 2,413 $ (265) $ 12,172 $ (18,127) (3,807) Income tax expense 71 Net loss $ (3,878) Statement of Operations Items for the Mortgage Real Estate Long-term Corporate Year Ended December 31, 2020: Lending Services Portfolio and other Consolidated Gain on sale of loans, net $ 14,004 $ — $ — $ — $ 14,004 Servicing fees, net 3,603 — — — 3,603 Loss on mortgage servicing rights, net (28,509) — — — (28,509) Real estate services fees, net — 1,312 — — 1,312 Other revenue 135 — 143 1,220 1,498 Other operating expense (60,869) (1,485) (633) (18,286) (81,273) Other income (expense) 2,366 — 1,344 (2,362) 1,348 Net (loss) earnings before income tax expense $ (69,270) $ (173) $ 854 $ (19,428) $ (88,017) Income tax expense 133 Net loss $ (88,150) |
Commitments and Contingencies
Commitments and Contingencies | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
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 (Preferred B) and 9.125% Series C Cumulative Redeemable Preferred Stock (Preferred C) 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 Preferred B and Preferred C 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 Preferred B and Preferred C, 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 Preferred B and Preferred C 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 Preferred C 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 Preferred B, 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 Preferred B and Preferred C, 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 Preferred C 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 Preferred B, 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 Preferred B 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 Preferred B 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 Outstanding 2009 Dividends), 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 Preferred C and affirmed judgment in favor of plaintiffs on the Preferred B 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 Preferred B, 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 Preferred B 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 Preferred B (the Class), appointment of a Class representative and Class counsel, notice to the Class regarding payment of the Outstanding 2009 Dividends 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 Preferred B 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 Outstanding 2009 Dividends should be paid to current Preferred B stockholders, as of a record date to be established. The Circuit Court stated that it anticipates entering final injunctive relief, prior to a final class hearing date, directing the Company to declare a record date for payment to then current Preferred B 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 specified the method by which the Company and the notice administrator are to give notice to the Class of the final hearing date and the opportunity to file objections to the proposed final injunctive relief and to the petitions for attorney’s fees and awards. Any awards of attorney’s fees and other monetary awards would be withheld from payment of the Outstanding 2009 Dividends and potentially withheld or deducted from future distributions to the Preferred B holders, including in connection with the Company’s recently filed Form S-4 for an Exchange Offer and Consent Solicitation, and distributed in accordance with the final rulings of the court. 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 Preferred B 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 Outstanding 2009 Dividends, the final hearing date and other matters. The Circuit Court took the matters under further submission. On August 8, 2022, the Circuit Court issued an Amended Class Certification Order, which amends the definition of the class to include all Preferred B 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 Outstanding 2009 Dividends 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 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 Outstanding 2009 Dividends until the Circuit Court makes further orders. 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. No assurances can be given that such settlement will receive final approval by the court. 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. No assurances can be given that such settlement will receive final approval by the court. 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. The Company and IMC believe the claims are without merit and we intend to defend ourselves 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 six months ended June 30, 2022 and year ended December 31, 2021: June 30, December 31, 2022 2021 Beginning balance $ 4,744 $ 7,054 Provision for repurchases (1) 2,433 111 Settlements (1,178) (2,421) Total repurchase reserve $ 5,999 $ 4,744 (1) The provision for repurchases is included in gain on sale of loans, net in the accompanying consolidated statements of operations and comprehensive loss. 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 June 30, 2022, the cash surrender value of the policies was $11.7 million and were recorded within other assets on the consolidated balance sheets. At June 30, 2022, the liability associated with the corporate-owned life insurance trusts was $13.3 million and is recorded in other liabilities on the consolidated balance sheets. At June 30, 2022 Corporate-owned life insurance trusts: Trust #1 Trust #2 Trust #3 Total Corporate-owned life insurance cash surrender value $ 5,345 $ 4,148 $ 2,188 $ 11,681 Corporate-owned life insurance liability 6,123 4,800 2,338 13,261 Corporate-owned life insurance shortfall (1) $ (778) $ (652) $ (150) $ (1,580) (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. 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. | Note 13. — 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 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 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 matters summarized below are ongoing and may have an effect on the Company’s business and future financial condition and results of operations: On December 7, 2011, a purported class action was filed in the Circuit Court of Baltimore City entitled Timm v. Impac Mortgage Holdings, Inc., et al. alleging on behalf of holders of the Company’s 9.375% Series B Cumulative Redeemable Preferred Stock (Preferred B) and 9.125% Series C Cumulative Redeemable Preferred Stock (Preferred C) who did not tender their stock in connection with the Company’s 2009 completion of its Offer to Purchase and Consent Solicitation that the Company failed to achieve the required consent of the Preferred B and C holders, the consents to amend the Preferred stock were not effective because they were given on unissued stock (after redemption), the Company tied the tender offer with a consent requirement that constituted an improper “vote buying” scheme, and that the tender offer was a breach of a fiduciary duty. The action sought the payment of two quarterly dividends for the Preferred B and C holders, the unwinding of the consents and reinstatement of the cumulative dividend on the Preferred B and C stock, and the election of two directors by the Preferred B and C holders. The action also sought punitive damages and legal expenses. On July 16, 2018, the Circuit Court entered a Judgment Order (“Judgment Order”) whereby it (1) declared and entered judgment in favor of all defendants on all claims related to the Preferred C holders and all claims against all individual defendants thereby affirming the validity of the 2009 amendments to the Preferred C Articles Supplementary; (2) declared its interpretation of the voting provision language in the Preferred B Articles Supplementary to mean that consent of two-thirds million, but did not order the Company to make any payment at that time). The Circuit Court declined to certify any class pending the outcome of appeals and certified its Judgment Order for immediate appeal. On October 2, 2019, the Court of Special Appeals held oral argument for all appeals in the matter. On April 1, 2020, the Court of Special Appeals issued an opinion affirming the judgment in favor of the plaintiffs on all claims involving Preferred C, and affirming judgment for plaintiffs on the Preferred B voting rights finding that the voting rights provision was not ambiguous. In response, the Company filed a petition for a writ of certiorari to the Maryland Court of Appeals appealing the Court of Special Appeals opinion, which was granted on July 13, 2020. All parties submitted their briefs and oral argument was held on December 4, 2020. On July 15, 2021, the Maryland Court of Appeals affirmed the decision of the Circuit Court (and the Court of Special Appeals) in granting summary judgment in favor of the plaintiffs on the Preferred B voting rights and, although the Court of Appeals found the voting rights provision to be ambiguous, it concluded that the extrinsic evidence presented to the Circuit Court, which it found to be undisputed, supported the plaintiffs’ interpretation that the voting rights provision required separate voting by the Preferred B stockholders to amend the 2004 Preferred B Articles Supplementary. Accordingly, the 2009 amendments to the Preferred B Articles Supplementary were not validly adopted and the 2004 Preferred Articles Supplementary remain in effect. On August 17, 2021, the Court of Appeals issued its mandate returning the case to the Circuit Court for final proceedings. On October 25, 2021, the case was assigned to a judge of the Circuit Court to oversee final disposition of outstanding issues. Thereafter, and in consideration of the Circuit Court’s outstanding Order, co-Plaintiff Camac Fund LP called upon the Company to hold a special meeting of the Preferred B stockholders for the election of directors (“Special Meeting”) under the 2004 Preferred B Articles Supplementary. The Special Meeting was convened on October 13, 2021, then adjourned by a vote of all shares present to November 23, 2021 due to lack of a quorum sufficient for election of directors. A quorum was not present at the meeting as reconvened on November 23, 2021, and the Special Meeting was further adjourned to January 6, 2022. At the reconvened Special Meeting held on January 6, 2022, a quorum was again not present, and the meeting was concluded. As a quorum was not established at the Special Meeting, directors have yet been elected by the holders of Series B Preferred Shares. On April 20, 2017, a purported class action was filed in the United States District Court, Central District of California, entitled Nguyen v. Impac Mortgage Corp. dba CashCall Mortgage et al. The plaintiffs contend the defendants did not pay purported class members overtime compensation or provide meal and rest breaks, as required by law. The action seeks to invalidate any waiver signed by a purported class member of their right to bring a class action and seeks damages, restitution, penalties, attorney’s fees, interest, and an injunction against unfair, deceptive, and unlawful activities. On August 23, 2018, the court (1) granted the defendants motion to compel arbitration as to all claims, except for the plaintiffs’ claims under California’s Labor Code Private Attorneys General Act (PAGA); (2) ordered the plaintiffs to submit their claims (other than PAGA claims) to arbitration on an individual, non-class, non-collective, and non-representative basis; (3) dismissed all class and collective claims with prejudice to the plaintiffs and without prejudice to putative class members; and (4) stayed all claims that were compelled to arbitration, as well as the PAGA claims. Plaintiffs Jason Nguyen and Tam Nguyen each submitted their respective demands for individual arbitration to the American Arbitration Association. The Company settled all individual claims brought by Jason Nguyen and Tam Nguyen and each of their arbitration claims were dismissed with prejudice on September 1, 2021. 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 is subject to court review and approval, to resolve all claims brought by Plaintiff McNair and the class members. No assurances can be given that such settlement will be approved by the court. 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 is subject to court review and approval, to resolve all claims brought by Plaintiff McNair and the class members. No assurances can be given that such settlement will be approved by the court. On July 3, 2019, a representative action was filed in the Superior Court of California, Orange County, entitled Law v. Impac Mortgage Corp. dba CashCall Mortgage under PAGA. The plaintiff contends the defendant did not pay its employees overtime compensation, provide required meal and rest breaks, or provide accurate wage statements as required by law. The action seeks penalties, attorneys’ fees, and such other appropriate relief. The Law action was deemed related to the McNair action on August 19, 2019. On January 13, 2020, the Law action was stayed pending resolution of the above-referenced McNair action. On March 2, 2021, Law submitted his individual claims related to his wage and hour claims to arbitration. The Company settled all claims brought by Law and his arbitration matter was closed and his action with the Superior Court of California was dismissed with prejudice on August 12, 2021.On December 17, 2021, a lawsuit was filed in the Supreme Court of the State of New York, County of New York, entitled UBS Americas Inc., et al. v. Impac Funding Corporation et ano. 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 Company’s former subsidiary, Novelle Financial Services, Inc., 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. The lawsuit has not been served. The Company believes the claims are without merit and intends to defend itself vigorously. The Company is a party to other litigation and claims which are normal 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 its financial condition or results of operations. The Company believes that it has meritorious defenses to the above claims and intends to defend these claims vigorously 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. An adverse judgment in any of these matters could have a material adverse effect on the Company’s financial position and results of operations. Lease Commitments 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 leases as of December 31, 2021: December 31, Lease Assets and Liabilities Classification 2021 Assets Lease ROU assets Other assets $ 10,209 Liabilities Lease liabilities Other liabilities $ 12,562 Weighted average remaining lease term (in years) 2.7 Weighted average discount rate 4.8 % The following table presents the maturities of the Company’s operating lease liabilities as of December 31, 2021: Year 2022 $ 4,809 Year 2023 4,909 Year 2024 3,729 Total lease commitments $ 13,447 Less: imputed interest (885) Total lease liability $ 12,562 During the years ended December 31, 2021 and 2020, cash paid for operating leases was $4.6 million and $5.2 million, respectively. Total operating lease expense for the years ended December 31, 2021 and 2020 was $4.0 million and $4.7 million, respectively. Operating lease expense includes short-term leases and sublease income, both of which are immaterial. During the year ended December 31, 2020, the Company recognized ROU asset impairment of $393 thousand related to the consolidation of one floor of 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. As of December 31, 2021, the Company had no additional operating leases that had not yet commenced. Repurchase Reserve The provision for repurchases represents an estimate of losses to be incurred on the repurchase of loans or indemnification of purchaser's losses related to loan sales. Certain sale contracts and GSE standards require the Company to repurchase a loan or indemnify the purchaser or insurer for losses if a borrower fails to make initial loan payments or if the accompanying mortgage loan fails to meet certain customary representations and warranties. In the event of a breach of the representations and warranties, the Company may be required to either repurchase the loan or indemnify the purchaser for losses it sustains on the loan. In addition, an investor may request that the Company refund a portion of the premium paid on the sale of mortgage loans if a loan is prepaid within a certain amount of time from the date of sale. The Company records a reserve for estimated losses associated with loan repurchases, purchaser indemnification and premium refunds. The provision for repurchase losses is charged against gain on sale of loans, net in the consolidated statements of operations and comprehensive loss. A release of repurchase reserves is recorded when the Company's assessment reveals that previously recorded reserves are no longer needed. Loans sold to Ginnie Mae are insured by the FHA or are guaranteed by the VA. As servicer, the Company may elect to repurchase delinquent loans in accordance with Ginnie Mae guidelines; however, the loans continue to be insured. The Company may also indemnify the FHA and VA for losses related to loans not originated in accordance with their guidelines. A selling representation and warranty framework was introduced by the GSEs in 2013 and enhanced in 2014 that helps address concerns of loan sellers with respect to loan repurchase risk. Under the framework, a GSE will not exercise its remedies, including the issuance of repurchase requests, for breaches of certain selling representations and warranties if a mortgage meets certain eligibility requirements. For loans sold to GSEs on or after January 1, 2013, repurchase risk for Home Affordable Refinance Program (HARP) loans is lowered if the borrower stays current on the loan for 12 months and representation and warranty risks are limited for non-HARP loans that stay current for 36 months. The Company regularly evaluates the adequacy of repurchase reserves based on trends in repurchase and indemnification requests, actual loss experience, settlement negotiation, estimated future loss exposure and other relevant factors including economic conditions. The Company sold $2.8 billion and $3.3 billion of loans for the years ended December 31, 2021 and 2020, respectively, which are subject to repurchase representations and warranties. The Company believes its reserve balances as of December 31, 2021 are sufficient to cover loss exposure associated with repurchase contingencies. The following table summarizes the repurchase reserve activity (included in other liabilities in the accompanying consolidated balance sheets) related to previously sold loans for the years ended December 31, 2021 and 2020: December 31, December 31, 2021 2020 Beginning balance $ 7,054 $ 8,969 Provision for repurchases (1) 111 5,227 Settlements (2,421) (7,142) Total repurchase reserve $ 4,744 $ 7,054 (1) All segment asset balances exclude intercompany balances. 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 December 31, 2021, the cash surrender value of the policies was million and was recorded within other liabilities on the consolidated balance sheets. At December 31, 2021 Corporate-owned life insurance trusts: Trust #1 Trust #2 Trust #3 Total Corporate-owned life insurance cash surrender value $ 4,972 $ 3,821 $ 1,995 $ 10,788 Corporate-owned life insurance liability 6,015 4,715 2,297 13,027 Corporate-owned life insurance shortfall (1) $ (1,043) $ (894) $ (302) $ (2,239) (1) $1.3 million of the total shortfall was recorded as a change in retained deficit at the time of the consolidation of the trusts in 2020. The additional shortfall was recorded in the accompanying consolidated statements of operations and comprehensive loss. Concentration of Risk The aggregate unpaid principal balance of loans in the Company’s long-term mortgage portfolio secured by properties in California and Florida was $817.1 million and $204.6 million, or 46% and 12%, respectively, at December 31, 2021. The Company sells mortgage loans to various third-party investors. The largest seven investors accounted for 81% of the Company’s loan sales for the year ended December 31, 2021. No other investors accounted for more than 5% of the loan sales for the year ended December 31, 2021. The Company also has geographic concentration risk because |
Share Based Payments and Employ
Share Based Payments and Employee Benefit Plans | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Equity and Share Based Payments | ||
Share Based Payments and Employee Benefit Plans | 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 and the Court of Special Appeals granting summary judgment in favor of the plaintiffs on the Preferred B 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 June 30, 2022, the Company has cumulative undeclared dividends in arrears of approximately $19.9 million, or approximately $29.88 per outstanding share of Preferred B, thereby increasing the liquidation value to approximately $54.88 per share. Additionally, every quarter the cumulative undeclared dividends in arrears will increase by $0.5859 per Preferred B share, or approximately $390 thousand. The accrued and unpaid dividends on the Preferred B are payable only upon declaration by the Board of Directors, and the liquidation preference, inclusive of Preferred B cumulative undeclared dividends in arrears, is only payable upon voluntary or involuntary liquidation, dissolution or winding up of the Company’s affairs. In addition, once the Circuit Court determines basis for an appropriate record date, the Company will be required to pay an amount equal to three quarters of dividends on the Preferred B stock under the 2004 Preferred B Articles Supplementary (approximately $1.2 million, which had been previously accrued for). Co-Plaintiff Camac Fund LP called for a special meeting of the Preferred B stockholders for the election of two additional directors, which was originally convened at approximately 9:00 a.m. pacific time on October 13, 2021. A quorum was not present at the meeting as originally convened and all of the shares present at the Special Meeting voted in favor of adjourning the Special Meeting to Tuesday, November 23, 2021 at 9:00 a.m., Pacific Time. A quorum was not present at the meeting as reconvened on Tuesday, November 23, 2021 at 9:00 a.m. pacific time, and the Special Meeting was further adjourned to January 6, 2022 at 9:00 a.m. pacific time. At the reconvened Special Meeting held on Thursday, January 6, 2022, a quorum was not present, and the meeting was concluded. As a quorum was not established at the Special Meeting, no Preferred Directors have yet been elected by the holders of Preferred B shares. At June 30, 2022, the Company had $71.7 million in outstanding liquidation preference of Preferred B and Preferred C stock (including cumulative unpaid dividends in the case of the Preferred B 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 Preferred B 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 Preferred B stock, before any dividends or other distributions are made to holders of junior stock, including the Company’s common stock). On April 29, 2022, the Company entered into voting agreements (the Voting Agreements), with certain holders of outstanding shares of Preferred B stock, Preferred C stock and common stock, which were subsequently amended on or after June 21, 2022, requiring parties to the Voting Agreements to vote in favor of proposed amendments to the provisions of the Company’s charter setting forth the terms of the Preferred B stock and Preferred C stock (the Proposed Amendments) to (1) permit closing of a proposed exchange offer, described below (the Exchange Offer), without payment of any accrued or accumulated dividends on any outstanding shares of Preferred B stock or Preferred C stock, and (2) provide that, following the effectiveness of the Proposed Amendments and the Exchange Offer, the remaining outstanding shares of Preferred B stock and Preferred C stock would be subject to redemption at the election of the Company or the holders of any outstanding shares of Preferred B stock or Preferred C stock, as the case may be, for the following redemption consideration: (i) for each outstanding share of Preferred B stock, (a) cash in the amount of $3.00 or, if the payment of cash in the Exchange Offer would cause the Company to violate the Cash Consideration Restrictions described below, thirty (30) shares of a new series of Preferred Stock (the New Proposed Preferred Stock) and (b) 13.33 shares of Common Stock and (ii) for each outstanding share of Preferred C stock, (a) cash in the amount of $0.10 or, if the payment of cash in the Exchange Offer would cause the Company to violate the Cash Consideration Restrictions, one (1) share of New Preferred Stock; (b) 1.25 shares of Common Stock and (c) 1.5 warrants to purchase 1.5 shares of Common Stock at a purchase price of $5.00 per share of Common Stock. 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 Maryland General Corporation Law (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. The New Preferred Stock will rank senior to the Preferred B stock and the Preferred C stock as to dividends and upon liquidation; be non-participating, and bear cumulative cash dividends 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 New Preferred Stock); bear a liquidation preference of $0.10 per share; and be mandatorily redeemable by the Company on the 60 th 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 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 New Preferred Stock and for any stock ranking on parity with the New Preferred 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, or (B) any date fixed by the Company not more than sixty (60) days after any determination by the Company’s 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 New Preferred Stock and any stock ranking on parity with the New Preferred Stock with respect to redemption rights which have become redeemable as of such redemption date would not cause us to violate the Cash Consideration Restrictions. The Company currently intends to redeem the New Preferred Stock for cash promptly when it is legally and contractually permitted to do so, but if the Company is unable to raise additional capital, it may be unable to redeem the New Preferred Stock. In the proposed Exchange Offer, the Company currently intends to offer to repurchase each outstanding share of Preferred B stock and each outstanding share of Preferred C stock in exchange for the corresponding redemption consideration described above, subject to potential reduction as a result of any attorneys’ fees or costs ordered or that may be ordered to be paid to the attorneys representing holders of Preferred B stock or any order entered by a court in respect of such petition. Closing of the Exchange Offer, if effected by the Company, is expected to be contingent upon, among other conditions, the approval of the Proposed Amendments by the stockholders of the Company, which will require the affirmative vote of holders of at least each of 66 2/3% of the outstanding shares of Preferred B stock, 66 2/3% of the outstanding shares of Preferred C stock and shares of Common Stock entitled to cast a majority of votes entitled to be cast, and acceptance for record of the Proposed Amendments by the State Department of Assessments and Taxation of Maryland. The Voting Agreements also limit transferability of the shares of Preferred B stock, Preferred C stock and Common Stock during the term of the Voting Agreement and certain holders of Preferred B stock and Preferred C stock have also agreed, as part of the Voting Agreements, to trading limitations in connection with any Common Stock they receive in the Exchange Offer or as part of the redemption. 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 Preferred B 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. Share Based Payments The following table summarizes activity, pricing and other information for the Company’s stock options for the six months ended June 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 (10,000) 3.39 Options outstanding at the end of the period 560,228 7.97 Options exercisable at the end of the period 518,874 $ 8.34 As of June 30, 2022, there was approximately $54 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 1.6 years. The following table summarizes activity, pricing and other information for the Company’s RSU’s for the six months ended June 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 (153,251) 4.32 RSUs forfeited/cancelled (18,333) 3.85 RSUs outstanding at end of the period 226,245 $ 3.99 As of June 30, 2022, there was approximately $604 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 1.3 years. The following table summarizes activity, pricing and other information for the Company’s DSU’s for the six months ended June 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 (15,000) 3.75 DSUs forfeited/cancelled — — DSUs outstanding at the end of the period 39,500 $ 7.70 As of June 30, 2022, there was no unrecognized compensation cost related to the DSU compensation arrangements granted under the plan. | Note 14. — Share Based Payments and Employee Benefit Plans The Company maintains an equity-based incentive compensation plan, the terms of which are governed by the 2020 Equity Incentive Plan (the 2020 Incentive Plan). The 2020 Incentive Plan provides for the grant of stock appreciation rights, RSUs, DSUs, performance shares and other stock and cash- based incentive awards. Employees, directors, consultants or other persons providing services to the Company or its affiliates are eligible to receive awards pursuant to the 2020 Incentive Plan. In connection with the adoption of the 2020 Incentive Plan, the Company’s 2010 Omnibus Incentive Plan (2010 Plan), which was scheduled to expire in July 2020, was frozen for new grants. The 2010 Plan will remain in place only for the issuance of shares of common stock pursuant to equity compensation awards outstanding under the 2010 Plan, which awards will continue to be governed by the terms of the 2010 Plan. As of December 31, 2021, the aggregate number of shares reserved under the 2020 Incentive Plan and 2010 Plan, is The fair value of options granted, which is amortized to expense over the option service period, is estimated on the date of grant with the following weighted average assumptions: For the Year Ended December 31, 2021 2020 Risk-free interest rate 0.50 % 1.45 % Expected lives (in years) 4.54 4.94 Expected volatility 77.55 % 61.21 % Expected dividend yield 0.00 % 0.00 % Fair value per share $ 1.96 $ 3.13 The following table summarizes activity, pricing and other information for the Company’s stock options for the years presented below: For the Year Ended December 31, 2021 2020 Weighted- Weighted- Average Average Number of Exercise Number of Exercise Shares Price Shares Price Options outstanding at the beginning of the year 524,357 $ 8.58 914,470 $ 8.10 Options granted 85,154 3.29 30,000 5.34 Options exercised — — (9,500) 4.84 Options forfeited/cancelled (39,283) 7.15 (410,613) 7.35 Options outstanding at the end of the period 570,228 7.89 524,357 8.58 Options exercisable at the end of the period 406,361 $ 9.65 327,366 $ 11.46 The aggregate intrinsic value in the following table represents the total pre-tax intrinsic value, based on the Company’s closing stock price of $1.11 and $3.04 per common share as of December 31, 2021 and 2020, respectively. Aggregate intrinsic value represents the amount of proceeds the option holders would have received had all option holders exercised their options and sold the stock as of that date. As of December 31, 2021 2020 Weighted- Weighted- Average Aggregate Average Aggregate Remaining Intrinsic Remaining Intrinsic Life Value Life Value (Years) (in thousands) (Years) (in thousands) Options outstanding at end of year 6.17 $ — 6.77 $ — Options exercisable at end of year 5.43 $ — 5.96 $ — As of December 31, 2021, there was approximately $127 thousand of total unrecognized compensation cost related to stock option compensation arrangements granted, net of estimated forfeitures. That cost is expected to be recognized over the remaining weighted average period of 1.5 years. For the years ended December 31, 2021 and 2020, the aggregate grant-date fair value of stock options granted was approximately $167 thousand and $94 thousand, respectively. For the years ended December 31, 2021 and 2020, total stock-based compensation expense was $884 thousand and $702 thousand, respectively. Additional information regarding stock options outstanding as of December 31, 2021 is as follows: Stock Options Outstanding Options Exercisable Weighted- Average Weighted- Weighted- Exercise Remaining Average Average Price Number Contractual Exercise Number Exercise Range Outstanding Life in Years Price Exercisable Price $ 3.22 – 150,872 7.91 $ 3.45 53,671 $ 3.59 3.75 – 5.38 200,000 7.16 3.75 133,334 3.75 5.39 – 27,582 4.01 7.01 27,582 7.01 86,524 4.15 11.99 86,524 11.99 17.40 – 51,250 4.55 17.40 51,250 17.40 20.50 – 20.50 54,000 3.56 20.50 54,000 20.50 $ – 570,228 6.17 $ 7.89 406,361 $ 9.65 In addition to the options granted, the Company has granted DSUs, which vest between one any The following table summarizes activity, pricing and other information for the Company’s DSUs for the year ended December 31, 2021: 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 — — DSUs forfeited/cancelled — — DSUs outstanding at the end of the period 54,500 $ 6.61 As of December 31, 2021, there was approximately $6 thousand of total unrecognized compensation cost related to the DSU compensation arrangements granted under the plan. This cost is expected to be recognized over a weighted average period of 0.2 years. The following table summarizes activity, pricing and other information for the Company’s RSUs for the ended December 31, 2021: Weighted- Average Number of Grant Date Shares Fair Value RSUs outstanding at beginning of the year 267,221 $ 5.04 RSUs granted 245,332 3.29 RSUs issued (94,493) 4.78 RSUs forfeited/cancelled (20,231) 3.29 RSUs outstanding at end of the period 397,829 $ 4.11 For the year ended December 31, 2021, the aggregate grant-date fair value of RSUs granted was approximately $807 thousand. As of December 31, 2021, there was approximately $1.0 million of total unrecognized compensation cost related to the RSU compensation arrangements granted under the plan. This cost is expected to be recognized over a weighted average period of 1.7 years. 401(k) Plan After meeting certain employment requirements, employees can participate in the Company’s 401(k) plan. Under the 401(k) plan, employees may contribute up to 25% of their salaries, pursuant to certain restrictions. Effective January 1, 2020, the Company matches 50% of the first 6% of employee contributions. Additional contributions may be made at the discretion of the board of directors. During the years ended December 31, 2021 and 2020, the Company recorded compensation expense of approximately $1.0 million and $1.0 million for basic matching contributions, respectively. There were no discretionary matching contributions recorded during the years ended December 31, 2021 or 2020. |
Related Party Transactions
Related Party Transactions | 12 Months Ended |
Dec. 31, 2021 | |
Related Party Transactions | |
Related Party Transactions | Note 15. — Related Party Transactions In May 2015, the Company issued the 2015 Convertible Notes to purchasers, some of which are related parties. See Note 5. — Debt — |
Subsequent Events
Subsequent Events | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Subsequent Events | ||
Subsequent Events | Note 13.—Subsequent Events Subsequent events have been evaluated through the date of this filing. | Note 16. — Subsequent Events Subsequent events have been evaluated through the date of this filing. |
Summary of Business and Finan_2
Summary of Business and Financial Statement Presentation (Policies) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
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 six months ended June 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. | Basis of Presentation The accompanying 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). All significant inter-company balances and transactions have been eliminated in consolidation. In addition, certain immaterial amounts in the prior periods’ consolidated financial statements have been reclassified to conform to the current year 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 consolidated 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, contingencies, the estimated obligation of repurchase liabilities related to sold loans, the valuation of long-term debt, mortgage servicing rights (MSRs), mortgage loans held-for-sale (LHFS) and derivative instruments, including interest rate lock commitments (IRLCs). Actual results could differ from those estimates and assumptions. |
Principles of Consolidation | Principles of Consolidation The accompanying consolidated financial statements include accounts of IMH and its wholly-owned subsidiaries. The usual condition for a controlling financial interest is ownership of a majority of the voting interests of an entity. However, a controlling financial interest may also exist in entities, such as variable interest entities (VIEs), through arrangements that do not involve voting interests. The VIE framework requires a variable interest holder (counterparty to a VIE) to consolidate the VIE if that party has the power to direct activities of the VIE that most significantly impact the entity’s economic performance, will absorb a majority of the expected losses of the VIE, will receive a majority of the residual returns of the VIE, or both, and directs the significant activities of the entity. This party is considered the primary beneficiary of the entity. The determination of whether the Company meets the criteria to be considered the primary beneficiary of a VIE requires an evaluation of all transactions (such as investments, liquidity commitments, derivatives and fee arrangements) with the entity. The assessment of whether or not the Company is the primary beneficiary of the VIE is performed on an ongoing basis. | |
Fair Value Option | Fair Value and the Fair Value Option Fair value is a market-based measurement, not an entity-specific measurement. For some assets and liabilities, observable market transactions or market information might be available. For other assets and liabilities, observable market transactions and market information might not be available. However, the objective of a fair value measurement in both cases is the same — to estimate the price at which an orderly transaction to sell the asset or to transfer the liability would take place between market participants at the measurement date under current market conditions (that is, an exit price at the measurement date from the perspective of a market participant that holds the asset or owes the liability). The fair value option permits entities to choose, at specified election dates, to measure eligible financial assets and financial liabilities at fair value. The decision to elect the fair value option is applied on an instrument by instrument basis, is irrevocable unless a new election date occurs, and is applied to an entire instrument. | |
Cash and Cash Equivalents and Restricted Cash | Cash and Cash Equivalents and Restricted Cash Cash and cash equivalents consist of cash and highly liquid investments with maturities of three months or less at the date of acquisition. The carrying amount of cash and cash equivalents approximates fair value. Cash balances that have restrictions as to the Company’s ability to withdraw funds are considered restricted cash. At December 31, 2021 and 2020, restricted cash totaled $5.7 million and $5.6 million, respectively. The restricted cash is the result of the terms of the Company’s warehouse borrowing agreements as well as collateral against letter of credit financing associated with corporate-owned life insurance (See Note 13. — Commitments and Contingencies). In accordance with the terms of the Master Repurchase Agreements related to the warehouse borrowings, the Company is required to maintain cash balances with the lender as additional collateral for the borrowings (See Note 5. — Debt). | |
Mortgage Loans Held-for-Sale | Mortgage Loans Held-for-Sale Mortgage LHFS are accounted for using the fair value option, with changes in fair value recorded in gain on sale of loans, net in the accompanying consolidated statements of operations and comprehensive loss. In accordance with Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) 825, Financial Instruments Revenue derived from the Company’s mortgage lending activities includes loan fees collected at the time of origination and gain or loss from the sale of LHFS. Loan fees consist of fee income earned on all loan originations, including loans closed and held-for-sale. Loan fees are recognized as earned and consist of amounts collected for application and underwriting fees, fees on cancelled loans and discount points. The related direct loan origination costs are recognized when incurred and consists of broker fees and commissions. Gain or loss from the sale and mark-to-market adjustments of LHFS includes both realized and unrealized gains and losses and are included in gain on sale of loans, net in the accompanying consolidated statements of operations and comprehensive loss. The valuation of LHFS approximates a whole-loan price, which includes the value of the related mortgage servicing rights. The Company primarily sells its LHFS to investors and government sponsored entities (GSEs). The Company evaluates its loan sales for sales treatment. To the extent the transfer of loans qualifies as a sale, the Company derecognizes the loans and records a realized gain or loss on the sale date. In the event the Company determines that the transfer of loans does not qualify as a sale, the transfer would be treated as a secured borrowing. Interest on loans is recorded as income when earned and deemed collectible. LHFS are placed on nonaccrual status when any portion of the principal or interest is 90 days past due or earlier if factors indicate that the ultimate collectability of the principal or interest is not probable. Interest received from loans on nonaccrual status is recorded as income when collected. Loans return to accrual status when the principal and interest become current and it is probable that the amounts are fully collectible. | |
Mortgage Servicing Rights | Mortgage Servicing Rights The Company accounts for mortgage loan sales in accordance with FASB ASC 860, Transfers and Servicing Changes in estimated fair value are reported in the accompanying consolidated statements of operations and comprehensive loss within loss on mortgage servicing rights, net. When the Company sells mortgage servicing rights, the Company records a gain or loss on such sale based on the selling price of the mortgage servicing rights less the carrying value and transaction costs. Gains and losses are reported in the accompanying consolidated statements of operations and comprehensive loss within loss on mortgage servicing rights, net. | |
Securitized Mortgage Collateral | Securitized Mortgage Collateral The Company’s long-term mortgage portfolio primarily includes adjustable rate and, to a lesser extent, fixed rate non-conforming mortgages and commercial mortgages that were acquired and originated by the Company’s mortgage and commercial operations prior to 2008. Historically, the Company securitized mortgages in the form of collateralized mortgage obligations (CMO) or real estate mortgage investment conduits (REMICs). These securitizations are evaluated for consolidation based on the provisions of FASB ASC 810-10- 25. Amounts consolidated are included in trust assets and liabilities as securitized mortgage collateral, real estate owned (REO) and securitized mortgage borrowings in the accompanying consolidated balance sheets. The Company also retained the master servicing rights associated with these securitizations which pays the Company approximately 3 basis points on the outstanding unpaid principal balance (UPB) of each securitization trust. The retention of the master servicing rights or the retained economic subordinated residual interests provide the Company with clean up call rights on these securitizations. The Company accounts for securitized mortgage collateral at fair value, with changes in fair value during the period reflected in earnings. Fair value measurements are based on the Company’s estimated cash flow models, which incorporate assumptions, inputs of other market participants and quoted prices for the underlying bonds. The Company’s assumptions include its expectations of inputs that other market participants would use. These assumptions include judgments about the underlying collateral, prepayment speeds, credit losses, investor yield requirements, forward interest rates and certain other factors. Interest income on securitized mortgage collateral is recorded using the effective yield for the period based on the previous quarter-end’s estimated fair value. Securitized mortgage collateral is generally not placed on nonaccrual status as the servicer advances the interest payments to the trust regardless of the delinquency status of the underlying mortgage loan, until it becomes apparent to the servicer that the advance is not collectible. | |
Real Estate Owned | Real Estate Owned Real estate owned on the consolidated balance sheets are primarily assets within the securitized trusts but are recorded as a separate asset for accounting and reporting purposes and are within the long-term mortgage portfolio. REO, which consists of residential real estate acquired in satisfaction of loans, is carried at net realizable value, which includes the estimated fair value of the residential real estate less estimated selling and holding costs. Adjustments to the loan carrying value required at the time of foreclosure affect the carrying amount of REO. Subsequent write-downs in the net realizable value of REO are included in change in fair value of net trust assets, including trust REO gains (losses) in the consolidated statements of operations and comprehensive loss. | |
Securitized Mortgage Borrowings | Securitized Mortgage Borrowings The Company records securitized mortgage borrowings in the accompanying consolidated balance sheets for the consolidated CMO and REMIC securitized trusts within the long-term mortgage portfolio. The debt from each issuance of a securitized mortgage borrowing is payable from the principal and interest payments on the underlying mortgages collateralizing such debt, as well as the proceeds from liquidations of REO. If the principal and interest payments are insufficient to repay the debt, the shortfall is allocated first to the residual interest holders (generally owned by the Company) then, if necessary, to the certificate holders (e.g. third party investors in the securitized mortgage borrowings) in accordance with the specific terms of the various respective indentures. Securitized mortgage borrowings typically are structured as one-month London Interbank Offered Rate (LIBOR) “floaters” and fixed rate securities with interest payable to certificate holders monthly. The maturity of each class of securitized mortgage borrowing is directly affected by the amount of net interest spread, overcollateralization and the rate of principal prepayments and defaults on the related securitized mortgage collateral. The actual maturity of any class of a securitized mortgage borrowing can occur later than the stated maturities of the underlying mortgages. When the Company issued securitized mortgage borrowings, the Company generally sought an investment grade rating for the Company’s securitized mortgages by nationally recognized rating agencies. To secure such ratings, it was often necessary to incorporate certain structural features that provide for credit enhancement. This generally included the pledge of collateral in excess of the principal amount of the securities to be issued, a bond guaranty insurance policy for some or all of the issued securities, or additional forms of mortgage insurance. These securitization transactions are non-recourse to the Company and the total loss exposure is limited to the Company’s initial net economic investment in each trust, which is referred to as a residual interest. The Company accounts for securitized mortgage borrowings at fair value, with changes in fair value during the period reflected in earnings. Fair value measurements are based on the Company’s estimated cash flow models, which incorporate assumptions, inputs of other market participants and quoted prices for the underlying bonds. The Company’s assumptions include its expectations of inputs that other market participants would use. These assumptions include judgments about the underlying collateral, prepayment speeds, credit losses, investor yield requirements, forward interest rates and certain other factors. Interest expense on securitized mortgage borrowings are recorded quarterly using the effective yield for the period based on the previous quarter-end’s estimated fair value. | |
Leases | Leases The Company has three operating leases for office space expiring at various dates through 2024 and one financing lease which concludes in 2023. The Company determines if a contract is a lease at the inception of the arrangement and reviews all options to extend, terminate, or purchase its right of use (ROU) assets at the inception of the lease and accounts for these options when they are reasonably certain of being exercised. Regarding the discount rate, Leases (Topic 842) requires the use of the rate implicit in the lease whenever this rate is readily determinable. When the Company cannot readily determine the rate implicit in the lease, the Company determines its incremental borrowing rate by using the rate of interest that it would have to pay to borrow on a collateralized basis over a similar term. As a practical expedient permitted under Topic 842, the Company elected to account for the lease and non-lease components as a single lease component for all leases of which it is the lessee. Leases with an initial term of 12 months or less are not recorded in the consolidated balance sheets and lease expense for these leases is recognized on a straight-line basis over the lease term. | |
Derivative Instruments | Derivative Instruments In accordance with FASB ASC 815-10 Derivatives and Hedging — Overview The mortgage lending operation enters into IRLCs with consumers to originate mortgage loans at a specified interest rate. These IRLCs are accounted for as derivative instruments and reported at fair value. The concept of fair value relating to IRLCs is no different than fair value for any other financial asset or liability: fair value is the price at which an orderly transaction to sell the asset or to transfer the liability would take place between market participants at the measurement date under current market conditions. Because IRLCs do not trade in the market, the Company determines the estimated fair value based on expectations of what an investor would pay to acquire the Company’s IRLCs, which utilizes current market information for secondary market prices for underlying loans and estimated servicing value with similar coupons, maturities and credit quality, subject to the anticipated loan funding probability (pull- through rate). This value is adjusted for other costs that would be required by a market participant acquiring the IRLCs. The fair value of IRLCs is subject to change primarily due to changes in interest rates and the estimated pull-through rate. The Company reports IRLCs within other assets and other liabilities at fair value with changes in fair value being recorded in the accompanying consolidated statements of operations and comprehensive loss within gain on sale of loans, net. The Company hedges the changes in fair value associated with changes in interest rates related to IRLCs and uncommitted LHFS by using forward delivery commitments on mortgage-backed securities, including Federal National Mortgage Association (Fannie Mae or FNMA) and Government National Mortgage Association (Ginnie Mae or GNMA) mortgage-backed securities known as to-be-announced mortgage-backed securities (TBA MBS or Hedging Instruments) as well as forward delivery commitments on whole loans. The Hedging Instruments and forward delivery loan commitments are used to fix the forward sales price that will be realized upon the sale of mortgage loans into the secondary market and are accounted for as derivative instruments. The fair value of Hedging Instruments and forward delivery loan commitments are subject to change primarily due to changes in interest rates. The Company reports Hedging Instruments and forward delivery loan commitments within other assets and other liabilities at fair value with changes in fair value being recorded in the accompanying consolidated statements of operations and comprehensive loss within gain on sale of loans, net. The fair value of IRLCs and Hedging Instruments are represented as derivative assets, lending, net and derivative liabilities, lending, net in Note 9. — Fair Value of Financial Instruments . | |
Long-term Debt | Long-term Debt Long- term debt (junior subordinated notes) is reported at fair value. These securities are measured based upon an analysis prepared by management, which considers the Company’s own credit risk and discounted cash flow analysis. With the adoption of FASB ASU 2016-01 in 2018, which applies when the Company elects the fair value election on its own debt, the Company effectively bifurcates the market and instrument specific credit risk components of changes in long-term debt. The market portion continues to be a component of net loss as the change in fair value of long-term debt, but the instrument specific credit risk portion is a component of accumulated other comprehensive loss in the accompanying consolidated statements of operations and comprehensive loss. | |
Repurchase Reserve | Repurchase Reserve The Company sells mortgage loans in the secondary market, including U.S. GSEs, and issues mortgage- backed securities through Ginnie Mae and Fannie Mae. When the Company sells or issues securities, 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 laws. In the event of a breach of its representations and warranties, the Company may be required to either repurchase the mortgage loans with the identified defects or indemnify the investor or insurer for any loss. In addition, the Company may be required to repurchase loans as a result of borrower fraud or if a payment default occurs on a mortgage loan shortly after its sale. The Company’s loss may be reduced by proceeds from the sale or liquidation of the repurchased loan. Also, the Company’s loss may be reduced by any recourse it has to correspondent lenders that, in turn, had sold such mortgage loans to the Company and breached similar or other representations and warranties. In such event, the Company has the right to seek a recovery of related repurchase losses from that correspondent lender. The Company records a provision for losses relating to such representations and warranties as part of its loan sale transactions. The method used to estimate the liability for representations and warranties is a function of the representations and warranties given and considers a combination of factors, including, but not limited to, estimated future defaults and loan repurchase rates and the potential severity of loss in the event of defaults including any loss on sale or liquidation of the repurchased loan and the probability of reimbursement by the correspondent loan seller. The Company establishes a liability at the time loans are sold and continually updates its estimated repurchase liability. The level of the repurchase liability for representations and warranties is difficult to estimate and requires considerable management judgment. The level of mortgage loan repurchase losses is dependent on economic factors, investor demands for loan repurchases and other external conditions that may change over the lives of the underlying loans. | |
Revenue Recognition for Fees from Services | Revenue Recognition for Fees from Services The Company follows FASB ASC 606, Revenue Recognition The Company’s primary sources of revenue are derived from financial instruments that are not within the scope of FASB ASC 606. The Company has evaluated the nature of its contracts with customers and determined that further disaggregation of revenue from contracts with customers into more granular categories beyond what is presented in the consolidated statements of operations and comprehensive loss, was not necessary. The Company generally fully satisfies its performance obligations on its contracts with customers as services are rendered and the transaction prices are typically fixed; charged either on a periodic basis or based on activity. Because performance obligations are satisfied as services are rendered and the transaction prices are fixed, the Company has made no significant judgments in applying the revenue guidance prescribed in ASC 606 that affect the determination of the amount and timing of revenue from contracts with customers. The revenues from these services are recognized in income in the period when services are rendered and collectability is reasonably certain. | |
Advertising Costs | Advertising Costs Advertising costs are expensed as incurred and are included in business promotion expense in the accompanying consolidated statements of operations and comprehensive loss. For the years ended December 31, 2021 and 2020, business promotion expense was | |
Equity-Based Compensation | Equity-Based Compensation The Company accounts for stock-based compensation in accordance with FASB ASC 718 Compensation — Stock Compensation FASB ASC 718 requires forfeitures to be estimated at the time of grant and prospectively revised, if necessary, in subsequent periods if actual forfeitures differ from initial estimates. Stock-based compensation expense is recorded net of estimated forfeitures for the years ended December 31, 2021 and 2020, such that the expense was recorded only for those stock-based awards that were expected to vest during such periods. The cost of equity-based compensation is recorded to personnel expense. Refer to Note 14. — Share Based Payments and Employee Benefit Plans. | |
Income Taxes | Income Taxes In accordance with FASB ASC 740, Income Taxes The Company is subject to federal income taxes as a regular (Subchapter C) corporation and files a consolidated U.S. federal income tax return on qualifying subsidiaries. The Company files federal and various states income tax returns in the U.S. The Company adopted FASB ASU 2019-12 on a prospective basis on January 1, 2020 (See Note 11. — Income Taxes). The most significant impact to the Company included the removal of the exception to the incremental approach for intraperiod tax allocation when there is a loss from continuing operations and income or a gain from other items (for example, discontinued operations or other comprehensive income). The changes also add a requirement for an entity to reflect the effect of an enacted change in tax laws or rates in the annual effective tax rate computation in the interim period that includes the enactment date. The adoption of this standard did not have a material impact on the Company's consolidated financial statements. | |
Loss per Common Share | Loss Per Common Share Basic loss per common share is computed on the basis of the weighted average number of shares outstanding for the year divided by net loss for the year. Diluted loss per common share is computed on the basis of the weighted average number of shares and dilutive common equivalent shares outstanding for the year divided by net loss for the year, unless anti-dilutive. Refer to Note 10.—Reconciliation of Loss Per Common Share. | |
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. | Recent Accounting Pronouncements Not Yet Effective In June 2016, the FASB issued ASU 2016-13, “Financial Instruments — Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments,” , earlier recognition of allowances for losses. For available-for-sale debt securities with unrealized losses, entities will measure credit losses in a manner similar to current practice, except that the losses will be recognized as an allowance. Subsequent to issuing ASU 2016-13, the FASB issued ASU 2018-19, “ Codification Improvements to Topic 326, Financial Instruments — Credit Losses” Codification Improvements to Topic 326, Financial Instruments-Credit Losses, Topic 815, Derivatives and Hedging Topic 825, Financial Instruments (ASU 2019-04) Financial Instruments — Credit Losses (Topic 326)” In March 2020 and January 2021, the FASB issued 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 does not expect the adoption of this ASU to have a material impact on the Company’s consolidated financial statements. In August 2020, the FASB issued ASU 2020-06, Debt — Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging — Contracts in Entity’s Own Equity (Subtopic 815-40): Accounting for Convertible Instruments and Contracts in an Entity’s Own Equity 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. |
Mortgage Loans Held-for-Sale (T
Mortgage Loans Held-for-Sale (Tables) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Mortgage Loans Held-for-Sale | ||
Summary of the unpaid principal balance (UPB ) of mortgage loans held-for-sale by type | June 30, December 31, 2022 2021 Government (1) $ 613 $ 6,886 Conventional (2) 7,375 62,759 Jumbo & Non-qualified mortgages (NonQM) 28,839 231,142 Fair value adjustment (3) 208 7,690 Total mortgage loans held-for-sale $ 37,035 $ 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 gain on sale of loans, net in the accompanying consolidated statements of operations and comprehensive loss. | December 31, December 31, 2021 2020 Government (1) $ 6,886 $ 7,924 Conventional (2) 62,759 141,139 Jumbo & Non-qualified mortgages (NonQM) 231,142 11,064 Fair value adjustment (3) 7,690 4,295 Total mortgage loans held-for-sale $ 308,477 $ 164,422 (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 Fannie Mae and Federal home Loan Mortgage Corporation (Freddie Mac or FHLMC). (3) Changes in fair value are included in gain on sale of loans, net on the accompanying consolidated statements of operations and comprehensive loss. |
Schedule of gain (loss) on sale of loans, net | For the Three Months Ended For the Six Months Ended June 30, June 30, 2022 2021 2022 2021 Gain on sale of mortgage loans $ 2,562 $ 17,852 $ 16,587 $ 39,115 Premium from servicing retained loan sales — 92 46 213 Unrealized loss from derivative financial instruments (1,244) (2,880) (2,558) (3,095) Gain (loss) from derivative financial instruments 1,862 (315) 6,005 2,914 Mark to market (loss) gain on LHFS (217) 271 (7,482) (597) Direct origination expenses, net (925) (3,737) (4,031) (7,938) Change in provision for repurchases (1,859) (590) (2,433) 212 Gain on sale of loans, net $ 179 $ 10,693 $ 6,134 $ 30,824 | For the Year Ended December 31, 2021 2020 Gain on sale of mortgage loans $ 81,362 $ 59,330 Premium from servicing retained loan sales 536 2,094 Unrealized loss from derivative financial instruments (4,076) (7) Gain (loss) from derivative financial instruments 1,934 (11,040) Mark to market gain (loss) on LHFS 3,395 (15,955) Direct origination expenses, net (17,746) (15,191) Change in provision for repurchases (111) (5,227) Gain on sale of loans, net $ 65,294 $ 14,004 |
Mortgage Servicing Rights (Tabl
Mortgage Servicing Rights (Tables) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Mortgage Servicing Rights | ||
Schedule of changes in the fair value of MSRs | June 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) 55 (126) Fair value of MSRs at end of period $ 850 $ 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. | December 31, December 31, 2021 2020 Balance at beginning of year $ 339 $ 41,470 Additions from servicing retained loan sales 536 2,094 Reductions from bulk sales — (21,263) Changes in fair value (1) (126) (21,962) Fair value of MSRs at end of period $ 749 $ 339 (1) Changes in fair value are included within gain (loss) on mortgage servicing rights, net in the accompanying consolidated statements of operations and comprehensive loss. |
Schedule of the outstanding loans serviced by entity | June 30, December 31, 2022 2021 Government insured $ 71,381 $ 71,841 Conventional — — Total loans serviced $ 71,381 $ 71,841 | December 31, December 31, 2021 2020 Government insured $ 71,841 $ 30,524 Conventional — — Total loans serviced $ 71,841 $ 30,524 |
Schedule of hypothetical changes in the fair values of MSRs | June 30, December 31, Mortgage Servicing Rights Sensitivity Analysis 2022 2021 Fair value of MSRs $ 850 $ 749 Prepayment Speed: Decrease in fair value from 10% adverse change (18) (24) Decrease in fair value from 20% adverse change (37) (48) Decrease in fair value from 30% adverse change (56) (70) Discount Rate: Decrease in fair value from 10% adverse change (38) (31) Decrease in fair value from 20% adverse change (72) (59) Decrease in fair value from 30% adverse change (104) (85) | December 31, December 31, Mortgage Servicing Rights Sensitivity Analysis 2021 2020 Fair value of MSRs $ 749 $ 339 Prepayment Speed: Decrease in fair value from 10% adverse change (24) (13) Decrease in fair value from 20% adverse change (48) (26) Decrease in fair value from 30% adverse change (70) (38) Discount Rate: Decrease in fair value from 10% adverse change (31) (13) Decrease in fair value from 20% adverse change (59) (25) Decrease in fair value from 30% adverse change (85) (37) |
Schedule of gain (loss) on mortgage servicing rights | For the Three Months Ended For the Six Months Ended June 30, June 30, 2022 2021 2022 2021 Change in fair value of mortgage servicing rights $ (6) $ (37) $ 55 $ 1 Gain on sale of mortgage servicing rights 51 — 100 — Gain (loss) on mortgage servicing rights, net $ 45 $ (37) $ 155 $ 1 | For the Year Ended December 31, 2021 2020 Change in fair value of mortgage servicing rights $ (126) $ (21,962) Gain (loss) on sale of mortgage servicing rights 160 (6,547) Gain (loss) on mortgage servicing rights, net $ 34 $ (28,509) |
Schedule of components of servicing (expense) fees, net | For the Three Months Ended For the Six Months Ended June 30, June 30, 2022 2021 2022 2021 Contractual servicing fees $ 64 $ 41 $ 134 $ 73 Subservicing and other costs (57) (191) (139) (342) Servicing fees (expense), net $ 7 $ (150) $ (5) $ (269) | For the Year Ended December 31, 2021 2020 Contractual servicing fees $ 193 $ 5,159 Late and ancillary fees — 67 Subservicing and other costs (625) (1,623) Servicing (expense) fees, net $ (432) $ 3,603 |
Other Assets (Tables)
Other Assets (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Other Assets | |
Schedule of other assets | December 31, December 31, 2021 2020 Corporate-owned life insurance (See Note 13) $ 10,788 $ 10,659 Right of use asset (See Note 13) 10,209 13,512 Accounts receivable, net 4,770 3,190 Prepaid expenses 3,460 3,429 Derivative assets – 3,111 7,275 Other 1,102 1,103 Premises and equipment, net 636 930 Accrued interest receivable 625 286 Servicing advances 565 947 Loans eligible for repurchase from Ginnie Mae 337 114 Real estate owned – — 79 Total other assets $ 35,603 $ 41,524 |
Schedule of premises and equipment and accumulated depreciation | December 31, 2021 2020 Premises and equipment $ 6,391 $ 6,230 Less: Accumulated depreciation (5,755) (5,300) Total premises and equipment, net $ 636 $ 930 |
Debt (Tables)
Debt (Tables) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Long-term Debt | ||
Schedule of contractual debt maturities | Payments Due by Period Less Than One to Three to More Than Total One Year Three Years Five Years Five Years Warehouse borrowings $ 285,539 $ 285,539 $ — $ — $ — Convertible notes 20,000 20,000 — — — Long-term debt 62,000 — — — 62,000 Total debt obligations $ 367,539 $ 305,539 $ — $ — $ 62,000 | |
Schedule of information on warehouse borrowings | Maximum Balance Outstanding at Borrowing June 30, December 31, Capacity 2022 2021 Maturity Date Short-term borrowings: Repurchase agreement 1 (1) $ — $ — $ 30,009 May 24, 2022 Repurchase agreement 2 (2) 200,000 19,838 153,006 September 13, 2022 Repurchase agreement 3 300,000 6,136 56,794 September 23, 2022 Repurchase agreement 4 50,000 11,821 45,730 March 31, 2023 Total warehouse borrowings $ 550,000 $ 37,795 $ 285,539 | The following table presents certain information on warehouse borrowings for the periods indicated: Maximum Balance Outstanding at Allowable Borrowing December 31, December 31, Advance Rate Capacity 2021 2020 Rates (%) Range Maturity Date Short-term borrowings: Repurchase agreement 1 (1) $ 65,000 $ 30,009 $ 49,963 90 - 98 1ML + 2.00 – 2.25% March 24, 2022 Repurchase agreement 2 200,000 153,006 51,310 100 1ML + 1.75% September 13, 2022 Repurchase agreement 3 300,000 56,794 50,659 100 Note Rate – 0.375% September 23, 2022 Repurchase agreement 4 50,000 45,730 — 99 Note Rate – 0.50 – 0.75% March 31, 2022 Total warehouse borrowings $ 615,000 $ 285,539 $ 151,932 (1) The maximum borrowing capacity of repurchase agreement 1 was temporarily increased to $65.0 million from $50.0 million until February 25, 2022. The following table presents certain information on warehouse borrowings for the periods indicated: For the Year Ended December 31, 2021 2020 Maximum outstanding balance during the year $ 336,648 $ 810,818 Average balance outstanding for the year 191,794 252,565 UPB of underlying collateral (mortgage loans) 296,841 153,675 Weighted average interest rate for period 3.41 % 3.74 % |
Schedule of certain information on MSR Financings | For the Year Ended December 31, 2021 2020 Maximum outstanding balance during the year $ — $ 15,000 Average balance outstanding for the year — 2,943 Weighted average rate for period — % 3.91 % | |
Junior subordinated notes | ||
Long-term Debt | ||
Schedule of remaining principal balance and fair value | June 30, December 31, 2022 2021 Junior Subordinated Notes (1) $ 62,000 $ 62,000 Fair value adjustment (26,111) (15,464) Total Junior Subordinated Notes $ 35,889 $ 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. | (1) Stated maturity of March 2034; requires quarterly interest payments at a variable rate of 3-month LIBOR plus 3.75% per annum. At December 31, 2021, the interest rate was 3.97%. |
Securitized Mortgage Trusts (Ta
Securitized Mortgage Trusts (Tables) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Securitized Mortgage Collateral | ||
Schedule of securitized mortgage trust assets | June 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 | December 31, December 31, 2021 2020 Securitized mortgage collateral, at fair value $ 1,639,251 $ 2,100,175 REO, at net realizable value (NRV) 3,479 3,094 Total securitized mortgage trust assets $ 1,642,730 $ 2,103,269 |
Summary of securitized mortgage collateral | December 31, December 31, 2021 2020 Mortgages secured by residential real estate $ 1,653,749 $ 2,205,575 Mortgages secured by commercial real estate 89,801 170,418 Fair value adjustment (104,299) (275,818) Total securitized mortgage collateral, at fair value $ 1,639,251 $ 2,100,175 | |
Schedule of real estate owned | December 31, December 31, 2021 2020 REO $ 10,335 $ 10,140 Impairment (1) (6,856) (6,967) Ending balance $ 3,479 $ 3,173 REO inside trusts $ 3,479 $ 3,094 REO outside trusts — 79 Total $ 3,479 $ 3,173 (1) Impairment represents the cumulative write-downs of net realizable value subsequent to foreclosure. | |
Schedule of securitized mortgage trust liabilities | June 30, December 31, 2022 2021 Securitized mortgage borrowings $ — $ 1,614,862 | December 31, December 31, 2021 2020 Securitized mortgage borrowings $ 1,614,862 $ 2,086,557 |
Schedule of securitized mortgage borrowings | Securitized mortgage borrowings outstanding as of December 31, Range of Interest Rates (%) Interest Interest Rate Rate Original Fixed Margins over Margins after Issuance Interest One-Month Contractual Year of Issuance Amount 2021 2020 Rates LIBOR (1) Call Date (2) 2002 $ 3,876.1 $ 2.7 $ 3.4 5.25 – 12.00 0.27 – 2.75 0.54 – 3.68 2003 5,966.1 12.9 19.1 4.34 – 12.75 0.27 – 3.00 0.54 – 4.50 2004 17,710.7 210.9 287.3 3.58 – 5.56 0.25 – 2.50 0.50 – 3.75 2005 13,387.7 1,198.2 1,404.6 — 0.24 – 2.90 0.48 – 4.35 2006 5,971.4 1,626.0 1,860.3 6.25 0.10 – 2.75 0.20 – 4.13 2007 3,860.5 882.5 1,012.5 — 0.06 – 2.00 0.12 – 3.00 Subtotal contractual principal balance (3) 3,933.2 4,587.2 Fair value adjustment (4) (2,318.3) (2,500.6) Total securitized mortgage borrowings $ 1,614.9 $ 2,086.6 (1) One-month LIBOR was 0.10% as of December 31, 2021. (2) Interest rate margins are generally adjusted when the unpaid principal balance is reduced to less than 10-20% of the original issuance amount, or if certain other triggers are met. (3) Represents the outstanding balance in accordance with trustee reporting. (4) Fair value adjustment is inclusive of $ 2.2 billion in bond losses at December 31, 2021 and 2020. | |
Schedule of expected principal reductions of securitized mortgage borrowings | Payments Due by Period Less Than One to Three to More Than Total One Year Three Years Five Years Five Years Warehouse borrowings $ 285,539 $ 285,539 $ — $ — $ — Convertible notes 20,000 20,000 — — — Long-term debt 62,000 — — — 62,000 Total debt obligations $ 367,539 $ 305,539 $ — $ — $ 62,000 | |
Schedule of changes in fair value of net trust assets, including trust REO gains | For the Three Months Ended For the Six Months Ended June 30, June 30, 2022 2021 2022 2021 Change in fair value of net trust assets, excluding REO $ — $ (1,828) $ 9,248 $ (5,373) (Losses) gains from trust REO — (313) — 1,559 Change in fair value of net trust assets, including trust REO gains (losses) $ — $ (2,141) $ 9,248 $ (3,814) | For the Year Ended December 31, 2021 2020 Change in fair value of net trust assets, excluding REO $ 6,471 $ (13,081) Gains from trust REO 111 7,393 Change in fair value of net trust assets, including trust REO gains $ 6,582 $ (5,688) |
Securitized mortgage borrowings | ||
Securitized Mortgage Collateral | ||
Schedule of expected principal reductions of securitized mortgage borrowings | As of December 31, 2021, expected principal reductions of the securitized mortgage borrowings, which is based on contractual principal payments and expected prepayment and loss assumptions for securitized mortgage collateral, was as follows (dollars in millions): Payments Due by Period Less Than One to Three to More Than Total One Year Three Years Five Years Five Years Securitized mortgage borrowings (1) $ 3,933.2 $ 420.8 $ 511.4 $ 296.4 $ 2,704.6 (1) Represents the outstanding balance in accordance with trustee reporting. |
Derivative Instruments (Tables)
Derivative Instruments (Tables) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Derivative Instruments | ||
Schedule of information for derivative assets and liabilities - lending | Total Gains (Losses) Total Gains (Losses) Notional Amount For the Three Months Ended For the Six Months Ended June 30, December 31, June 30, June 30, 2022 2021 2022 2021 2022 2021 Derivative – IRLC's (1) $ 55,175 $ 255,150 $ (348) $ (816) $ (2,613) $ (3,013) Derivative – TBA MBS (1) 12,500 102,000 1,072 (2,379) 4,760 2,832 Derivative – Swap Futures (1) 3,300 — (106) — 1,300 — (1) Amounts included in gain on sale of loans, net within the accompanying consolidated statements of operations and comprehensive loss. | Total Gains (Losses) Notional Amount For the Year Ended December 31, December 31, December 31, 2021 2020 2021 2020 Derivative – IRLC’s (1) $ 255,150 $ 450,913 $ (4,164) $ (516) Derivative – TBA MBS (1) 102,000 45,000 2,022 (10,531) Derivative – Forward delivery loan commitment (2) — 20,000 — — (1) Amounts included in gain on sale of loans, net within the accompanying consolidated statements of operations and comprehensive loss. (2) As of December 31, 2021, there were no forward delivery loan commitments accounted for as derivative instruments. As of December 31, 2020, $20.0 million in mortgage loans had been allocated to forward delivery loan commitments and were recorded at fair value within LHFS in the accompanying consolidated balance sheets . |
Fair Value of Financial Instr_2
Fair Value of Financial Instruments (Tables) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Fair Value of Financial Instruments | ||
Schedule of estimated fair value of financial instruments included in consolidated financial statements | June 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 $ 61,173 $ 61,173 $ — $ — $ 29,555 $ 29,555 $ — $ — Restricted cash 5,196 5,196 — — 5,657 5,657 — — Mortgage loans held-for-sale 37,035 — 37,035 — 308,477 — 308,477 — Mortgage servicing rights 850 — — 850 749 — — 749 Derivative assets, lending, net (1) 510 — 12 498 3,111 — — 3,111 Securitized mortgage collateral — — — — 1,639,251 — — 1,639,251 Liabilities Warehouse borrowings $ 37,795 $ — $ 37,795 $ — $ 285,539 $ — $ 285,539 $ — Convertible notes 15,000 — — 15,000 20,000 — — 20,000 Long-term debt 35,889 — — 35,889 46,536 — — 46,536 Securitized mortgage borrowings — — — — 1,614,862 — — 1,614,862 Derivative liabilities, lending, net (2) 12 — 12 — 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. | December 31, 2021 December 31, 2020 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 $ 29,555 $ 29,555 $ — $ — $ 54,150 $ 54,150 $ — $ — Restricted cash 5,657 5,657 — — 5,602 5,602 — — Mortgage loans held-for-sale 308,477 — 308,477 — 164,422 — 164,422 — Mortgage servicing rights 749 — — 749 339 — — 339 Derivative assets, lending, net (1) 3,111 — — 3,111 7,275 — — 7,275 Securitized mortgage collateral 1,639,251 — — 1,639,251 2,100,175 — — 2,100,175 Liabilities Warehouse borrowings $ 285,539 $ — $ 285,539 $ — $ 151,932 $ — $ 151,932 $ — Convertible notes 20,000 — — 20,000 20,000 — — 20,000 Long-term debt 46,536 — — 46,536 44,413 — — 44,413 Securitized mortgage borrowings 1,614,862 — — 1,614,862 2,086,557 — — 2,086,557 Derivative liabilities, lending, net (2) 55 — 55 — 143 — 143 — (1) Represents IRLCs 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 June 30, 2022 December 31, 2021 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 Assets Mortgage loans held-for-sale $ — $ 37,035 $ — $ — $ 308,477 $ — Derivative assets, lending, net (1) — 12 498 — — 3,111 Mortgage servicing rights — — 850 — — 749 Securitized mortgage collateral — — — — — 1,639,251 Total assets at fair value $ — $ 37,047 $ 1,348 $ — $ 308,477 $ 1,643,111 Liabilities Securitized mortgage borrowings $ — $ — $ — $ — $ — $ 1,614,862 Long-term debt — — 35,889 — — 46,536 Derivative liabilities, lending, net (2) — 12 — — 55 — Total liabilities at fair value $ — $ 12 $ 35,889 $ — $ 55 $ 1,661,398 (1) At June 30, 2022, derivative assets, lending, net included $498 thousand in IRLCs and $12 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. | Recurring Fair Value Measurements December 31, 2021 December 31, 2020 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 Assets Mortgage loans held-for-sale $ — $ 308,477 $ — $ — $ 164,422 $ — Derivative assets, lending, net (1) — — 3,111 — — 7,275 Mortgage servicing rights — — 749 — — 339 Securitized mortgage collateral — — 1,639,251 — — 2,100,175 Total assets at fair value $ — $ 308,477 $ 1,643,111 $ — $ 164,422 $ 2,107,789 Liabilities Securitized mortgage borrowings $ — $ — $ 1,614,862 $ — $ — $ 2,086,557 Long-term debt — — 46,536 — — 44,413 Derivative liabilities, lending, net (2) — 55 — — 143 — Total liabilities at fair value $ — $ 55 $ 1,661,398 $ — $ 143 $ 2,130,970 (1) 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. At December 31, 2020, derivative assets, lending, net included $7.3 million in IRLCs and is included in other assets in accompanying consolidated balance sheets. (2) At December 31, 2021 and 2020, 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 June 30, 2022 Interest Securitized Securitized Mortgage rate lock Long- mortgage mortgage servicing commitments, term collateral borrowings rights net debt Fair value, March 31, 2022 $ — $ — $ 856 $ 846 $ (47,549) Total gains (losses) included in earnings: Interest income — — — — — Interest expense — — — — (357) Change in fair value — — (6) (348) 1,980 Change in instrument specific credit risk — — — — 10,037 (1) Total gains (losses) included in earnings — — (6) (348) 11,660 Transfers in and/or out of Level 3 — — — — — Purchases, issuances and settlements: Purchases — — — — — Issuances — — — — — Settlements — — — — — Fair value, June 30, 2022 $ — $ — $ 850 $ 498 $ (35,889) (1) Amount represents the change in instrument specific credit risk in other comprehensive gain (loss) in the consolidated statements of operations and comprehensive loss. Level 3 Recurring Fair Value Measurements For the Three Months Ended June 30, 2021 Interest Securitized Securitized Mortgage rate lock Long- mortgage mortgage servicing commitments, term collateral borrowings rights net debt Fair value, March 31, 2021 $ 2,038,545 $ (2,028,210) $ 498 $ 5,078 $ (45,361) Total gains (losses) included in earnings: Interest income (1) (4,722) — — — — Interest expense (1) — (8,909) — — (418) Change in fair value (2,550) 722 (37) (816) 1,417 Change in instrument specific credit risk — — — — (538) (2) Total gains (losses) included in earnings (7,272) (8,187) (37) (816) 461 Transfers in and/or out of Level 3 — — — — — Purchases, issuances and settlements: Purchases — — — — — Issuances — — 92 — — Settlements (172,850) 189,173 — — — Fair value, June 30, 2021 $ 1,858,423 $ (1,847,224) $ 553 $ 4,262 $ (44,900) (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 $2.1 million for the three months ended June 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 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 gain (loss) in the consolidated statements of operations and comprehensive loss. Level 3 Recurring Fair Value Measurements For the Six Months Ended June 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) — — (743) Change in fair value 9,248 — 55 (2,613) 3,622 Change in instrument specific credit risk — — — — 7,768 (2) Total gains (losses) included in earnings 11,267 (7,564) 55 (2,613) 10,647 Transfers in and/or out of Level 3 — — — — — Purchases, issuances and settlements: Purchases — — — — — Issuances — — 46 — — Settlements (1,650,518) 1,622,426 — — — Fair value, June 30, 2022 $ — $ — $ 850 $ 498 $ (35,889) Unrealized gains (losses) still held (3) $ — $ — $ 850 $ 498 $ 26,111 (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 six months ended June 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 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 gain (loss) in the consolidated statements of operations and comprehensive loss. (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 June 30, 2022. Level 3 Recurring Fair Value Measurements For the Six Months Ended June 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 (losses) gains included in earnings: Interest income (1) (9,479) — — — — Interest expense (1) — (18,018) — — (724) Change in fair value 79,857 (85,230) 1 (3,013) 2,442 Change in instrument specific credit risk — — — — (2,205) (2) Total gains (losses) included in earnings 70,378 (103,248) 1 (3,013) (487) Transfers in and/or out of Level 3 — — — — — Purchases, issuances and settlements: Purchases — — — — — Issuances — — 213 — — Settlements (312,130) 342,581 — — — Fair value, June 30, 2021 $ 1,858,423 $ (1,847,224) $ 553 $ 4,262 $ (44,900) Unrealized (losses) gains still held (3) $ (186,507) $ 2,397,426 $ 553 $ 4,262 $ 17,100 (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 $4.3 million for the three and six months ended June 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 gain (loss) 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 in the consolidated statements of operations and comprehensive loss. (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 June 30, 2021 | Level 3 Recurring Fair Value Measurements For the Year Ended December 31, 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 (losses) gains included in earnings: Interest income (1) (12,162) — — — — Interest expense (1) — (37,090) — — (1,499) Change in fair value 151,759 (145,288) (126) (4,164) 2,098 Change in instrument specific credit risk — — — — (2,722) (2) Total gains (losses) included in earnings 139,597 (182,378) (126) (4,164) (2,123) Transfers in and/or out of Level 3 — — — — — Purchases, issuances and settlements: Purchases — — — — — Issuances — — 536 — — Settlements (600,521) 654,073 — — — Fair value, December 31, 2021 $ 1,639,251 $ (1,614,862) $ 749 $ 3,111 $ (46,536) Unrealized (losses) gains still held (3) $ (104,299) $ 2,318,296 $ 749 $ 3,111 $ 15,464 (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 $8.1 million for the year ended December 31, 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 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 in the consolidated statements of operations and comprehensive loss. (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 December 31, 2021 . Level 3 Recurring Fair Value Measurements For the Year Ended December 31, 2020 Interest Securitized Securitized Mortgage rate lock Long- mortgage mortgage servicing commitments, term collateral borrowings rights net debt Fair value, December 31, 2019 $ 2,628,064 $ (2,619,210) $ 41,470 $ 7,791 $ (45,434) Total (losses) gains included in earnings: Interest income (1) 747 — — — — Interest expense (1) — (65,421) — — (850) Change in fair value (92,562) 79,481 (21,962) (516) 1,899 Change in instrument specific credit risk — — — — (28) (2) Total (losses) gains included in earnings (91,815) 14,060 (21,962) (516) 1,021 Transfers in and/or out of Level 3 — — — — — Purchases, issuances and settlements: Purchases — — — — — Issuances — — 2,094 — — Settlements (436,074) 518,593 (21,263) — — Fair value, December 31, 2020 $ 2,100,175 $ (2,086,557) $ 339 $ 7,275 $ (44,413) Unrealized (losses) gains still held (3) $ (275,818) $ 2,500,674 $ 339 $ 7,275 $ 17,587 (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 $8.9 million for the year ended December 31, 2020. 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 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 in the consolidated statements of operations and comprehensive loss. (3) Represents the amount of unrealized (losses) gains relating to assets and liabilities classified as Level 3 that were still held and reflected in the fair values at December 31, 2020. |
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 June 30, 2022 and December 31, 2021: June 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 – 12.5 % 8.5 % 8.01 – 29.1 % 10.3 % Derivative assets - IRLCs, net Pull-through rates 40.0 – 99.0 % 69.5 % 50.0 – 98.0 % 79.0 % Long-term debt Discount rates 14.2 % 14.2 % 8.6 % 8.6 % | 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 non-recurring basis at December 31, 2021. Estimated Valuation Unobservable Range of Weighted Financial Instrument Fair Value Technique Input Inputs Average Assets and liabilities backed by real estate Securitized mortgage collateral, and $ 1,639,251 Discounted Cash Flow Prepayment rates 2.9 – 46.3 % 10.7 % Securitized mortgage borrowings (1,614,862) 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 $ 749 Discounted Cash Flow Discount rates 12.5 – 15.0 % 12.8 % Prepayment rates 8.01 – 29.1 % 10.3 % Derivative assets - IRLCs, net 3,111 Market pricing Pull-through rates 50.0 – 98.0 % 79.0 % Long-term debt (46,536) Discounted Cash Flow Discount rates 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 For the Three Months Ended June 30, 2022 Change in Fair Value of Interest Interest Net Trust Long-term Other Revenue Gain on Sale Income (1) Expense (1) Assets Debt and Expense of Loans, net Total Securitized mortgage collateral $ — $ — $ — $ — $ — $ — $ — Securitized mortgage borrowings — — — — — — — Long-term debt — (357) — 1,980 — — 1,623 Mortgage servicing rights (2) — — — — (6) — (6) Mortgage loans held-for-sale — — — — — (217) (217) Derivative assets — IRLCs — — — — — (348) (348) Derivative liabilities — Hedging Instruments — — — — — (896) (896) Total $ — $ (357) $ — $ 1,980 $ (6) $ (1,461) $ 156 (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 (loss) on MSRs, net in the consolidated statements of operations and comprehensive loss. Recurring Fair Value Measurements Changes in Fair Value Included in Net Loss For the Three Months Ended June 30, 2021 Change in Fair Value of Interest Interest Net Trust Long-term Other Revenue Gain on Sale Income (1) Expense (1) Assets Debt and Expense of Loans, net Total Securitized mortgage collateral $ (4,722) $ — $ (2,550) $ — $ — $ — $ (7,272) Securitized mortgage borrowings — (8,909) 722 — — — (8,187) Long-term debt — (418) — 1,417 — — 999 Mortgage servicing rights (2) — — — — (37) — (37) Mortgage loans held-for-sale — — — — — 271 271 Derivative assets — IRLCs — — — — — (816) (816) Derivative liabilities — Hedging Instruments — — — — — (2,064) (2,064) Total $ (4,722) $ (9,327) $ (1,828) (3) $ 1,417 $ (37) $ (2,609) $ (17,106) (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 (loss) on MSRs, net in the consolidated statements of operations and comprehensive loss. (3) For the three months ended June 30, 2021, change in the fair value of net trust assets, excluding REO was $1.8 million. Recurring Fair Value Measurements Changes in Fair Value Included in Net Loss For the Six Months Ended June 30, 2022 Change in Fair Value of Interest Interest Net Trust Long-term Other Income 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 — (743) — 3,622 — — 2,879 Mortgage servicing rights (2) — — — — 55 — 55 Mortgage loans held-for-sale — — — — — (7,482) (7,482) Derivative assets — IRLCs — — — — — (2,613) (2,613) Derivative liabilities — Hedging Instruments — — — — — 55 55 Total $ 2,019 $ (8,307) $ 9,248 (3) $ 3,622 $ 55 $ (10,040) $ (3,403) (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 (loss) on MSRs, net in the consolidated statements of operations and comprehensive loss. (3) For the six months ended June 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 For the Six Months Ended June 30, 2021 Change in Fair Value of Interest Interest Net Trust Long-term Other Income Gain on Sale Income (1) Expense (1) Assets Debt and Expense of Loans, net Total Securitized mortgage collateral $ (9,479) $ — 79,857 $ — $ — $ — $ 70,378 Securitized mortgage borrowings — (18,018) (85,230) — — — (103,248) Long-term debt — (724) — 2,442 — — 1,718 Mortgage servicing rights (2) — — — — 1 — 1 Mortgage loans held-for-sale — — — — — (597) (597) Derivative assets — IRLCs — — — — — (3,013) (3,013) Derivative liabilities — Hedging Instruments — — — — — (82) (82) Total $ (9,479) $ (18,742) $ (5,373) (3) $ 2,442 $ 1 $ (3,692) $ (34,843) (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 (loss) on MSRs, net in the consolidated statements of operations and comprehensive loss. (3) For the six months ended June 30, 2021, change in the fair value of net trust assets, excluding REO was $5.4 million. | Recurring Fair Value Measurements Changes in Fair Value Included in Net Earnings (Loss) For the Year Ended December 31, 2021 Change in Fair Value of Interest Interest Net Trust Long-term Other Income Gain (Loss) on Sale Income (1) Expense (1) Assets Debt and Expense of Loans, net Total Securitized mortgage collateral $ (12,162) $ — $ 151,759 $ — $ — $ — $ 139,597 Securitized mortgage borrowings — (37,090) (145,288) — — — (182,378) Long-term debt — (1,499) — 2,098 — — 599 Mortgage servicing rights (2) — — — — (126) — (126) Mortgage loans held-for-sale — — — — — 3,395 3,395 Derivative assets – — — — — — (4,164) (4,164) Derivative liabilities – — — — — — 88 88 Total $ (12,162) $ (38,589) $ 6,471 (3) $ 2,098 $ (126) $ (681) $ (42,989) (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 (loss) on mortgage servicing rights, net in the consolidated statements of operations and comprehensive loss. (3) For the year ended December 31, 2021, change in the fair value of trust assets, excluding REO was $6.5 million . Recurring Fair Value Measurements Changes in Fair Value Included in Net Earnings (Loss) For the Year Ended December 31, 2020 Change in Fair Value of Interest Interest Net Trust Long-term Other Income Gain (Loss) on Sale Income (1) Expense (1) Assets Debt and Expense of Loans, net Total Securitized mortgage collateral $ 747 $ — $ (92,562) $ — $ — $ — $ (91,815) Securitized mortgage borrowings — (65,421) 79,481 — — — 14,060 Long-term debt — (850) — 1,899 — — 1,049 Mortgage servicing rights (2) — — — — (21,962) — (21,962) Mortgage loans held-for-sale — — — — — (15,955) (15,955) Derivative assets – — — — — — (516) (516) Derivative liabilities – — — — — — 509 509 Total $ 747 $ (66,271) $ (13,081) (3) $ 1,899 $ (21,962) $ (15,962) $ (114,630) (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 (loss) on mortgage servicing rights, net in the consolidated statements of operations and comprehensive loss. (3) For the year ended December 31, 2020, change in the fair value of trust assets, excluding REO was $13.1 million. |
Schedule of financial and non-financial assets and liabilities measured using nonrecurring fair value measurements | Nonrecurring Fair Value Measurements Total Losses (1) June 30, 2022 For the Three Months Ended For the Six Months Ended Level 1 Level 2 Level 3 June 30, 2022 June 30, 2022 ROU asset impairment — — 8,366 (123) (123) (1) Total losses reflect losses from all nonrecurring measurements during the period. Nonrecurring Fair Value Measurements Total (Losses) Gains (1) June 30, 2021 For the Three Months Ended For the Six Months Ended Level 1 Level 2 Level 3 June 30, 2021 June 30, 2021 REO (2) $ — $ 4,251 $ — $ (313) $ 1,559 (1) Total gains (losses) reflect gains (losses) from all nonrecurring measurements during the period. (2) For the three and six months ended June 30, 2021, the Company recorded $( 313) thousand and $1.6 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. | The following table presents financial and non-financial assets and liabilities measured using nonrecurring fair value measurements at December 31, 2021 and 2020, respectively: Nonrecurring Fair Value Measurements December 31, 2021 December 31, 2020 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 REO (1) $ — $ 3,479 $ — $ — $ 3,173 $ — ROU asset — — 10,209 — — 13,512 (1) Balance represents REO at December 31, 2021 and December 31, 2020 which has been impaired subsequent to foreclosure. The following table presents total gains on financial and non-financial assets and liabilities measured using nonrecurring fair value measurements for the years ended December 31, 2021 and 2020, respectively: Total Gains (1) For the Year Ended December 31, 2021 2020 REO (2) $ 111 $ 7,393 (1) Total gains reflect gains from all nonrecurring measurements during the year. (2) For the years ended December 31, 2021 and 2020, the Company recorded $111 thousand and $7.4 million, respectively, of gains related to changes in the NRV of REO. 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 . |
Reconciliation of Loss Per Co_2
Reconciliation of Loss Per Common Share (Tables) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Reconciliation of Loss Per Common Share | ||
Schedule of computation of basic and diluted earnings per common share | For the Three Months Ended For the Six Months Ended June 30, June 30, 2022 2021 2022 2021 Numerator for basic loss per share: Net loss $ (13,467) $ (8,864) $ (14,651) $ (9,547) Less: cumulative non-declared dividends on preferred stock (1) (390) — (780) — Net loss attributable to common stockholders $ (13,857) $ (8,864) $ (15,431) $ (9,547) Numerator for diluted loss per share: Net loss $ (13,857) $ (8,864) $ (15,431) $ (9,547) Interest expense attributable to convertible notes (2) — — — — Net loss plus interest expense attributable to convertible notes $ (13,857) $ (8,864) $ (15,431) $ (9,547) Denominator for basic loss per share (3): Basic weighted average common shares outstanding during the period 21,509 21,344 21,463 21,319 Denominator for diluted loss per share (3): Basic weighted average common shares outstanding during the period 21,509 21,344 21,463 21,319 Net effect of dilutive convertible notes and warrants (2) — — — — Net effect of dilutive stock options, DSU’s, RSA's and RSU's (2) — — — — Diluted weighted average common shares 21,509 21,344 21,463 21,319 Net loss per common share: Basic $ (0.64) $ (0.42) $ (0.72) $ (0.45) Diluted $ (0.64) $ (0.42) $ (0.72) $ (0.45) (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 Preferred B voting rights (see Note 12. — Equity and Share Based Payments). (2) Adjustments to diluted loss per share for the three and six months ended June 30, 2022 and 2021, were excluded from the calculation, as they were anti-dilutive. (3) Number of shares presented in thousands. | For the Year Ended December 31, 2021 2020 Numerator for basic loss per share: Net loss $ (3,878) $ (88,150) Less: Cumulative non-declared dividends on preferred stock (1) (780) — Net loss attributable to common stockholders $ (4,658) $ (88,150) Numerator for diluted loss per share: Net loss $ (4,658) $ (88,150) Interest expense attributable to convertible notes (2) — — Net loss plus interest expense attributable to convertible notes $ (4,658) $ (88,150) Denominator for basic loss per share (3): Basic weighted average common shares outstanding during the period 21,332 21,251 Denominator for diluted loss per share (3) : Basic weighted average common shares outstanding during the period 21,332 21,251 Net effect of dilutive convertible notes and warrants (2) — — Net effect of dilutive stock options, DSU’s, RSA’s and RSU’s (2) — — Diluted weighted average common shares 21,332 21,251 Net loss per common share: Basic $ (0.22) $ (4.15) Diluted $ (0.22) $ (4.15) (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 Preferred B voting rights (see Note 13. — Commitments and Contingencies). (2) Adjustments to diluted loss per share for the Notes for the years ended December 31, 2021 and 2020, were excluded from the calculation, as they were anti-dilutive. (3) Share amounts presented in thousands. |
Income Taxes (Tables)
Income Taxes (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Income Taxes | |
Schedule of income taxes | For the Year Ended December 31, 2021 2020 Current income taxes: Federal $ — $ 8 State 71 125 Total current income tax expense 71 133 Deferred income taxes: Federal — — State — — Total deferred income tax expense — — Total income tax expense $ 71 $ 133 |
Schedule of deferred tax assets and liabilities temporary differences between the financial statement carrying value and the tax basis of assets | For the Year Ended December 31, 2021 2020 Deferred tax assets: Federal and state net operating losses $ 178,194 $ 173,652 Mortgage securities 55,283 54,624 Depreciation and amortization 24,355 26,752 Capital loss carryover 172 171 Compensation and other accruals 3,058 3,060 Repurchase reserve 1,493 2,200 Total gross deferred tax assets 262,555 260,459 Deferred tax liabilities: Fair value adjustments on long-term debt (3,980) (4,639) Mortgage servicing rights (236) (106) Corporate-owned life insurance (1,017) (968) Total gross deferred tax liabilities (5,233) (5,713) Valuation allowance (257,322) (254,746) Total net deferred tax assets $ — $ — |
Schedule of a reconciliation of income taxes to the statutory federal corporate income tax rates | For the Year Ended December 31, 2021 2020 Expected income tax expense $ (799) $ (18,483) State tax expense, net of federal benefit 56 99 State rate change (640) (731) Change in valuation allowance 1,218 19,016 Corporate-owned life insurance interest and premiums 96 170 Other 140 62 Total income tax expense $ 71 $ 133 |
Segment Reporting (Tables)
Segment Reporting (Tables) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Segment Reporting | ||
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 June 30, 2022 (1) $ 108,870 $ 502 $ 63 $ 24,223 $ 133,658 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. | Balance Sheet Items as of Mortgage Real Estate Long-term Corporate December 31, 2021: Lending Services Portfolio and other Consolidated Cash and cash equivalents $ 26,239 $ 500 $ — 2,816 $ 29,555 Restricted cash 5,657 — — — 5,657 Mortgage loans held-for-sale 308,477 — — — 308,477 Mortgage servicing rights 749 — — — 749 Trust assets — — 1,642,730 — 1,642,730 Other assets (1) 10,051 2 141 25,409 35,603 Total assets $ 351,173 $ 502 $ 1,642,871 $ 28,225 $ 2,022,771 Total liabilities $ 298,726 $ — $ 1,661,729 $ 52,380 $ 2,012,835 Balance Sheet Items as of Mortgage Real Estate Long-term Corporate December 31, 2020: Lending Services Portfolio and other Consolidated Cash and cash equivalents $ 50,968 $ 501 $ — $ 2,681 $ 54,150 Restricted cash 5,602 — — — 5,602 Mortgage loans held-for-sale 164,422 — — — 164,422 Mortgage servicing rights 339 — — — 339 Trust assets — — 2,103,269 — 2,103,269 Other assets (1) 12,510 2 130 28,882 41,524 Total assets $ 233,841 $ 503 $ 2,103,399 $ 31,563 $ 2,369,306 Total liabilities $ 166,285 $ — $ 2,131,178 $ 56,192 $ 2,353,655 (1) All segment asset balances exclude intercompany balances. |
Reconciliation of earnings from segment to consolidated | Statement of Operations Items for the Mortgage Real Estate Long-term Corporate Three Months Ended June 30, 2022: Lending Services Portfolio and other Consolidated Gain on sale of loans, net $ 179 $ — $ — $ — $ 179 Servicing income, net 7 — — — 7 Gain on mortgage servicing rights, net 45 — — — 45 Real estate services fees, net — 257 — — 257 Other revenue (expense) 1 — 28 (22) 7 Other operating expense (9,378) (359) (129) (4,800) (14,666) Other income (expense) 261 — 877 (418) 720 Net (loss) earnings before income tax expense $ (8,885) $ (102) $ 776 $ (5,240) (13,451) Income tax expense 16 Net loss $ (13,467) Statement of Operations Items for the Mortgage Real Estate Long-term Corporate Three Months Ended June 30, 2021: Lending Services Portfolio and other Consolidated Gain on sale of loans, net $ 10,693 $ — $ — $ — $ 10,693 Servicing expenses, net (150) — — — (150) Loss on mortgage servicing rights, net (37) — — — (37) Real estate services fees, net — 478 — — 478 Other revenue (expense) — — 42 (46) (4) Other operating expense (15,288) (356) (135) (3,837) (19,616) Other (expense) income (16) — 314 (464) (166) Net (loss) earnings before income tax expense $ (4,798) $ 122 $ 221 $ (4,347) $ (8,802) Income tax expense 62 Net loss $ (8,864) Statement of Operations Items for the Mortgage Real Estate Long-term Corporate Six Months Ended June 30, 2022: Lending Services Portfolio and other Consolidated Gain on sale of loans, net $ 6,134 $ — $ — $ — $ 6,134 Servicing expense, net (5) — — — (5) Gain on mortgage servicing rights, net 155 — — — 155 Real estate services fees, net — 442 — — 442 Other revenue 4 — 43 912 959 Other operating expense (23,880) (718) (141) (9,284) (34,023) Other income (expense) 649 — 11,959 (882) 11,726 Net (loss) earnings before income tax expense $ (16,943) $ (276) $ 11,861 $ (9,254) (14,612) Income tax expense 39 Net loss $ (14,651) Statement of Operations Items for the Mortgage Real Estate Long-term Corporate Six Months Ended June 30, 2021: Lending Services Portfolio and other Consolidated Gain on sale of loans, net $ 30,824 $ — $ — $ — $ 30,824 Servicing expense, net (269) — — — (269) Gain on mortgage servicing rights, net 1 — — — 1 Real estate services fees, net — 688 — — 688 Other revenue 23 — 69 228 320 Other operating expense (31,516) (725) (256) (8,417) (40,914) Other (expense) income (199) — 969 (924) (154) Net (loss) earnings before income tax expense $ (1,136) $ (37) $ 782 $ (9,113) $ (9,504) Income tax expense 43 Net loss $ (9,547) | Statement of Operations Items for the Mortgage Real Estate Long-term Corporate Year Ended December 31, 2021: Lending Services Portfolio and other Consolidated Gain on sale of loans, net $ 65,294 $ — $ — $ — $ 65,294 Servicing expense, net (432) — — — (432) Gain on mortgage servicing rights, net 34 — — — 34 Real estate services fees, net — 1,144 — — 1,144 Other revenue 24 — 110 145 279 Other operating expense (62,605) (1,409) (778) (16,412) (81,204) Other income (expense) 98 — 12,840 (1,860) 11,078 Net earnings (loss) before income tax expense $ 2,413 $ (265) $ 12,172 $ (18,127) (3,807) Income tax expense 71 Net loss $ (3,878) Statement of Operations Items for the Mortgage Real Estate Long-term Corporate Year Ended December 31, 2020: Lending Services Portfolio and other Consolidated Gain on sale of loans, net $ 14,004 $ — $ — $ — $ 14,004 Servicing fees, net 3,603 — — — 3,603 Loss on mortgage servicing rights, net (28,509) — — — (28,509) Real estate services fees, net — 1,312 — — 1,312 Other revenue 135 — 143 1,220 1,498 Other operating expense (60,869) (1,485) (633) (18,286) (81,273) Other income (expense) 2,366 — 1,344 (2,362) 1,348 Net (loss) earnings before income tax expense $ (69,270) $ (173) $ 854 $ (19,428) $ (88,017) Income tax expense 133 Net loss $ (88,150) |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Schedule of balance sheets, weighted average remaining lease term and weighted average discount rates | June 30, Lease Assets and Liabilities Classification 2022 Assets Lease ROU assets Other assets $ 8,366 Liabilities Lease liabilities Other liabilities $ 10,481 Weighted average remaining lease term (in years) 2.2 Weighted average discount rate 4.8 % | |
Schedule of maturities of operating leases | The following table presents the maturities of the Company’s operating lease liabilities as of December 31, 2021: Year 2022 $ 4,809 Year 2023 4,909 Year 2024 3,729 Total lease commitments $ 13,447 Less: imputed interest (885) Total lease liability $ 12,562 | |
Schedule of the activity related to the repurchase reserve for previously sold loans | June 30, December 31, 2022 2021 Beginning balance $ 4,744 $ 7,054 Provision for repurchases (1) 2,433 111 Settlements (1,178) (2,421) Total repurchase reserve $ 5,999 $ 4,744 (1) The provision for repurchases is included in gain on sale of loans, net in the accompanying consolidated statements of operations and comprehensive loss. | December 31, December 31, 2021 2020 Beginning balance $ 7,054 $ 8,969 Provision for repurchases (1) 111 5,227 Settlements (2,421) (7,142) Total repurchase reserve $ 4,744 $ 7,054 |
Schedule of corporate-owned life insurance trusts | At June 30, 2022 Corporate-owned life insurance trusts: Trust #1 Trust #2 Trust #3 Total Corporate-owned life insurance cash surrender value $ 5,345 $ 4,148 $ 2,188 $ 11,681 Corporate-owned life insurance liability 6,123 4,800 2,338 13,261 Corporate-owned life insurance shortfall (1) $ (778) $ (652) $ (150) $ (1,580) (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. | At December 31, 2021 Corporate-owned life insurance trusts: Trust #1 Trust #2 Trust #3 Total Corporate-owned life insurance cash surrender value $ 4,972 $ 3,821 $ 1,995 $ 10,788 Corporate-owned life insurance liability 6,015 4,715 2,297 13,027 Corporate-owned life insurance shortfall (1) $ (1,043) $ (894) $ (302) $ (2,239) |
ASU 2016-02 | ||
Schedule of balance sheets, weighted average remaining lease term and weighted average discount rates | December 31, Lease Assets and Liabilities Classification 2021 Assets Lease ROU assets Other assets $ 10,209 Liabilities Lease liabilities Other liabilities $ 12,562 Weighted average remaining lease term (in years) 2.7 Weighted average discount rate 4.8 % |
Share Based Payments and Empl_2
Share Based Payments and Employee Benefit Plans (Tables) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Schedule of weighted average assumptions used in estimation of the fair value of options granted | For the Year Ended December 31, 2021 2020 Risk-free interest rate 0.50 % 1.45 % Expected lives (in years) 4.54 4.94 Expected volatility 77.55 % 61.21 % Expected dividend yield 0.00 % 0.00 % Fair value per share $ 1.96 $ 3.13 | |
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 (10,000) 3.39 Options outstanding at the end of the period 560,228 7.97 Options exercisable at the end of the period 518,874 $ 8.34 | For the Year Ended December 31, 2021 2020 Weighted- Weighted- Average Average Number of Exercise Number of Exercise Shares Price Shares Price Options outstanding at the beginning of the year 524,357 $ 8.58 914,470 $ 8.10 Options granted 85,154 3.29 30,000 5.34 Options exercised — — (9,500) 4.84 Options forfeited/cancelled (39,283) 7.15 (410,613) 7.35 Options outstanding at the end of the period 570,228 7.89 524,357 8.58 Options exercisable at the end of the period 406,361 $ 9.65 327,366 $ 11.46 |
Schedule of aggregate intrinsic value | As of December 31, 2021 2020 Weighted- Weighted- Average Aggregate Average Aggregate Remaining Intrinsic Remaining Intrinsic Life Value Life Value (Years) (in thousands) (Years) (in thousands) Options outstanding at end of year 6.17 $ — 6.77 $ — Options exercisable at end of year 5.43 $ — 5.96 $ — | |
Schedule of additional information regarding stock options outstanding | Stock Options Outstanding Options Exercisable Weighted- Average Weighted- Weighted- Exercise Remaining Average Average Price Number Contractual Exercise Number Exercise Range Outstanding Life in Years Price Exercisable Price $ 3.22 – 150,872 7.91 $ 3.45 53,671 $ 3.59 3.75 – 5.38 200,000 7.16 3.75 133,334 3.75 5.39 – 27,582 4.01 7.01 27,582 7.01 86,524 4.15 11.99 86,524 11.99 17.40 – 51,250 4.55 17.40 51,250 17.40 20.50 – 20.50 54,000 3.56 20.50 54,000 20.50 $ – 570,228 6.17 $ 7.89 406,361 $ 9.65 | |
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 (153,251) 4.32 RSUs forfeited/cancelled (18,333) 3.85 RSUs outstanding at end of the period 226,245 $ 3.99 | Weighted- Average Number of Grant Date Shares Fair Value RSUs outstanding at beginning of the year 267,221 $ 5.04 RSUs granted 245,332 3.29 RSUs issued (94,493) 4.78 RSUs forfeited/cancelled (20,231) 3.29 RSUs outstanding at end of the period 397,829 $ 4.11 |
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 (15,000) 3.75 DSUs forfeited/cancelled — — DSUs outstanding at the end of the period 39,500 $ 7.70 | 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 — — DSUs forfeited/cancelled — — DSUs outstanding at the end of the period 54,500 $ 6.61 |
Summary of Business and Finan_3
Summary of Business and Financial Statement Presentation including Significant Accounting Policies (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||
Jun. 30, 2022 USD ($) | Jun. 30, 2021 USD ($) | Jun. 30, 2022 USD ($) lease | Jun. 30, 2021 USD ($) | Dec. 31, 2021 USD ($) lease | Dec. 31, 2020 USD ($) | |
Mortgage Loans Held-for-Sale | ||||||
Maximum past due period of principal or interest based on LHFS are placed on nonaccrual status | 90 days | |||||
Recent Accounting Pronouncements | ||||||
Restricted cash | $ 5,196 | $ 5,196 | $ 5,657 | $ 5,602 | ||
Business promotion | 1,319 | $ 1,770 | $ 3,620 | $ 2,963 | $ 7,395 | 3,859 |
Number of operating leases | lease | 3 | 3 | ||||
Number of financing leases | lease | 1 | |||||
Accumulated other comprehensive earnings, net of tax | $ 29,812 | $ 29,812 | $ 22,044 | $ 24,766 |
Mortgage Loans Held-for-Sale (D
Mortgage Loans Held-for-Sale (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | |
Mortgage loans held-for-Sale | ||||||
Total mortgage loans held-for-sale | $ 37,035 | $ 37,035 | $ 308,477 | $ 164,422 | ||
Gain on LHFS | ||||||
Change in provision for repurchases | (2,433) | $ 212 | (111) | (5,227) | ||
Gain on sale of loans, net | 18,607 | 34,304 | 66,086 | 35,193 | ||
Government | ||||||
Mortgage loans held-for-Sale | ||||||
Total mortgage loans held-for-sale | 613 | 613 | 6,886 | 7,924 | ||
Conventional | ||||||
Mortgage loans held-for-Sale | ||||||
Total mortgage loans held-for-sale | 7,375 | 7,375 | 62,759 | 141,139 | ||
Jumbo & Non-qualified mortgages (NonQM) | ||||||
Mortgage loans held-for-Sale | ||||||
Total mortgage loans held-for-sale | 28,839 | 28,839 | 231,142 | 11,064 | ||
Mortgage loans, held-for-sale | ||||||
Mortgage loans held-for-Sale | ||||||
Fair value adjustment | 208 | 208 | 7,690 | 4,295 | ||
Gain on LHFS | ||||||
Gain on sale of mortgage loans | 2,562 | $ 17,852 | 16,587 | 39,115 | 81,362 | 59,330 |
Premium from servicing retained loan sales | 92 | 46 | 213 | 536 | 2,094 | |
Unrealized loss from derivative financial instruments | (1,244) | (2,880) | (2,558) | (3,095) | (4,076) | (7) |
Gains (losses) from derivative financial instruments | 1,862 | (315) | 6,005 | 2,914 | 1,934 | (11,040) |
Mark to market loss on LHFS | (217) | 271 | (7,482) | (597) | 3,395 | (15,955) |
Direct origination expenses, net | (925) | (3,737) | (4,031) | (7,938) | (17,746) | (15,191) |
Change in provision for repurchases | (1,859) | (590) | (2,433) | 212 | (111) | (5,227) |
Gain on sale of loans, net | 179 | $ 10,693 | 6,134 | $ 30,824 | 65,294 | 14,004 |
Mortgage loans, held-for-sale | 90 days or more past due | ||||||
Mortgage loans held-for-Sale | ||||||
Unpaid principal balance of mortgage loans held for sale | 0 | 1,200 | ||||
Carrying value of nonaccrual loans | $ 0 | $ 0 | $ 0 | $ 1,100 |
Mortgage Servicing Rights (Deta
Mortgage Servicing Rights (Details) - USD ($) $ in Thousands | 1 Months Ended | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||||
Jul. 31, 2020 | May 31, 2020 | Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | |
Changes in the fair value of MSRs | ||||||||
Balance at beginning of year | $ 749 | $ 339 | $ 339 | |||||
Fair value of MSRs at end of period | $ 850 | 850 | 749 | $ 339 | ||||
Total loans serviced | 71,381 | 71,381 | 71,841 | 30,524 | ||||
Mortgage Servicing Rights Sensitivity Analysis | ||||||||
Fair value of MSRs | 749 | 339 | ||||||
Change in fair value of mortgage servicing rights | (6) | $ (37) | 55 | 1 | (126) | (21,962) | ||
Gain (loss) on sale of mortgage servicing rights | 51 | 100 | 160 | (6,547) | ||||
Gain (loss) on mortgage servicing rights, net | 45 | (37) | 155 | 1 | 34 | (28,509) | ||
Servicing (expense) fees, net: | ||||||||
Contractual servicing fees | 64 | 41 | 134 | 73 | 193 | 5,159 | ||
Late and ancillary fees | 67 | |||||||
Subservicing and other costs | (57) | (191) | (139) | (342) | (625) | (1,623) | ||
Servicing (expenses) fees, net | 7 | $ (150) | (5) | (269) | (432) | 3,603 | ||
Government | ||||||||
Changes in the fair value of MSRs | ||||||||
Total loans serviced | 71,381 | 71,381 | 71,841 | 30,524 | ||||
Mortgage servicing rights | ||||||||
Changes in the fair value of MSRs | ||||||||
Balance at beginning of year | 749 | $ 339 | 339 | 41,470 | ||||
Additions from servicing retained loan sales | 46 | 536 | 2,094 | |||||
Reductions from bulk sales | (21,263) | |||||||
Changes in fair value | 55 | (126) | (21,962) | |||||
Fair value of MSRs at end of period | 850 | 850 | 749 | 339 | ||||
Mortgage Servicing Rights Sensitivity Analysis | ||||||||
Fair value of MSRs | 850 | 850 | 749 | |||||
Prepayment Speed, Decrease in fair value from 10% adverse change | (18) | (18) | (24) | (13) | ||||
Prepayment Speed, Decrease in fair value from 20% adverse change | (37) | (37) | (48) | (26) | ||||
Prepayment Speed, Decrease in fair value from 30% adverse change | (56) | (56) | (70) | (38) | ||||
Discount Rate, Decrease in fair value from 10% adverse change | (38) | (38) | (31) | (13) | ||||
Discount Rate, Decrease in fair value from 20% adverse change | (72) | (72) | (59) | (25) | ||||
Discount Rate, Decrease in fair value from 30% adverse change | $ (104) | $ (104) | (85) | (37) | ||||
Change in fair value of mortgage servicing rights | (126) | (21,962) | ||||||
Gain (loss) on sale of mortgage servicing rights | 160 | (6,547) | ||||||
Gain (loss) on mortgage servicing rights, net | $ 34 | $ (28,509) | ||||||
Mortgage servicing rights | Government | ||||||||
Changes in the fair value of MSRs | ||||||||
Total amount received from sale of MSR | $ 225 | |||||||
Proceeds from the sale of mortgage servicing rights | $ 163 | |||||||
Mortgage servicing rights | Conventional | ||||||||
Changes in the fair value of MSRs | ||||||||
Total amount received from sale of MSR | $ 20,100 | |||||||
Proceeds from the sale of mortgage servicing rights | $ 15,000 |
Other Assets - Summary of Other
Other Assets - Summary of Other Assets (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Jun. 30, 2022 | Dec. 31, 2020 | |
Other Assets | |||
Corporate-owned life insurance | $ 10,788 | $ 10,659 | |
Right of Use asset | 10,209 | 13,512 | |
Accounts receivable, net | 4,770 | 3,190 | |
Prepaid expenses | 3,460 | 3,429 | |
Derivative assets - lending | 3,111 | 7,275 | |
Other | 1,102 | 1,103 | |
Premises and equipment, net | 636 | 930 | |
Accrued interest receivable | 625 | 286 | |
Servicing advances | 565 | 947 | |
Loans eligible for repurchase from Ginnie Mae | 337 | 114 | |
Real estate owned - outside trust | 79 | ||
Total other assets | $ 35,603 | $ 29,404 | 41,524 |
Accounts Receivable, net | |||
Average number of months in arrears for collection of receivables related to hedging instruments and real estate service fees | 1 month | ||
Reserve for doubtful accounts | $ 50 | $ 329 |
Other Assets - Loans Eligible f
Other Assets - Loans Eligible for Repurchase from Ginnie Mae (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Other Assets | ||
Loans eligible for repurchase from Ginnie Mae | $ 337 | $ 114 |
Other Assets - Premises and Equ
Other Assets - Premises and Equipment, Net (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Other Assets | ||
Premises and equipment | $ 6,391 | $ 6,230 |
Less: Accumulated depreciation | (5,755) | (5,300) |
Total premises and equipment, net | 636 | 930 |
Depreciation | $ 493 | $ 722 |
Debt - Contractual Reductions o
Debt - Contractual Reductions of Debt (Details) $ in Thousands | Dec. 31, 2021 USD ($) |
Contractual reductions of debt | |
Total | $ 367,539 |
Less Than One Year | 305,539 |
More Than Five Years | 62,000 |
Convertible Notes | |
Contractual reductions of debt | |
Total | 20,000 |
Less Than One Year | 20,000 |
Long-term debt | |
Contractual reductions of debt | |
Total | 62,000 |
More Than Five Years | 62,000 |
Warehouse borrowings | |
Contractual reductions of debt | |
Total | 285,539 |
Less Than One Year | $ 285,539 |
Debt - Warehouse Borrowings (De
Debt - Warehouse Borrowings (Details) - USD ($) $ in Thousands | 12 Months Ended | ||||||
Oct. 28, 2020 | Apr. 15, 2020 | Dec. 31, 2021 | Dec. 31, 2020 | Jul. 31, 2022 | Jun. 30, 2022 | Nov. 30, 2021 | |
Warehouse Borrowings | |||||||
Maximum Borrowing Capacity | $ 550,000 | ||||||
Balance Outstanding | $ 285,539 | $ 151,932 | 37,795 | ||||
Instrument term | 18 months | 6 months | |||||
Restricted cash | $ 5,657 | 5,602 | 5,196 | ||||
One Month LIBOR | |||||||
Warehouse Borrowings | |||||||
Interest margin over base rate (as a percent) | 0.10% | ||||||
Warehouse borrowings | |||||||
Warehouse Borrowings | |||||||
Maximum Borrowing Capacity | $ 615,000 | ||||||
Balance Outstanding | $ 285,539 | 151,932 | |||||
Instrument term | 1 year | ||||||
Restricted cash | $ 1,300 | 1,300 | |||||
Information on warehouse borrowings | |||||||
Amount outstanding | 336,648 | 810,818 | |||||
Average balance outstanding for the year | 191,794 | 252,565 | |||||
UPB of underlying collateral (mortgage loans) | $ 296,841 | $ 153,675 | |||||
Weighted average rate for period (as a percent) | 3.41% | 3.74% | |||||
Repurchase agreement 1 | |||||||
Warehouse Borrowings | |||||||
Maximum Borrowing Capacity | $ 65,000 | $ 50,000 | |||||
Balance Outstanding | $ 30,009 | $ 49,963 | |||||
Repurchase agreement 1 | Minimum | |||||||
Warehouse Borrowings | |||||||
Allowable Advance Rates (as a percent) | 90% | ||||||
Repurchase agreement 1 | Minimum | One Month LIBOR | |||||||
Warehouse Borrowings | |||||||
Interest margin over base rate (as a percent) | 2% | ||||||
Repurchase agreement 1 | Maximum | |||||||
Warehouse Borrowings | |||||||
Allowable Advance Rates (as a percent) | 98% | ||||||
Repurchase agreement 1 | Maximum | One Month LIBOR | |||||||
Warehouse Borrowings | |||||||
Interest margin over base rate (as a percent) | 2.25% | ||||||
Repurchase agreement 2 | |||||||
Warehouse Borrowings | |||||||
Maximum Borrowing Capacity | $ 200,000 | $ 50,000 | 200,000 | ||||
Balance Outstanding | $ 153,006 | 51,310 | 19,838 | ||||
Allowable Advance Rates (as a percent) | 100% | ||||||
Repurchase agreement 2 | One Month LIBOR | |||||||
Warehouse Borrowings | |||||||
Interest margin over base rate (as a percent) | 1.75% | ||||||
Repurchase agreement 3 | |||||||
Warehouse Borrowings | |||||||
Maximum Borrowing Capacity | $ 300,000 | 300,000 | |||||
Balance Outstanding | $ 56,794 | $ 50,659 | 6,136 | ||||
Allowable Advance Rates (as a percent) | 100% | ||||||
Repurchase agreement 3 | Note Rate | |||||||
Warehouse Borrowings | |||||||
Interest margin over base rate (as a percent) | (0.375%) | ||||||
Repurchase agreement 4 | |||||||
Warehouse Borrowings | |||||||
Maximum Borrowing Capacity | $ 50,000 | 50,000 | |||||
Balance Outstanding | $ 45,730 | $ 11,821 | |||||
Allowable Advance Rates (as a percent) | 99% | ||||||
Repurchase agreement 4 | Minimum | Note Rate | |||||||
Warehouse Borrowings | |||||||
Interest margin over base rate (as a percent) | (0.50%) | ||||||
Repurchase agreement 4 | Maximum | Note Rate | |||||||
Warehouse Borrowings | |||||||
Interest margin over base rate (as a percent) | (0.75%) |
Debt - MSR Financings and MSR A
Debt - MSR Financings and MSR Advance Financings (Details) - USD ($) $ in Thousands | 1 Months Ended | 12 Months Ended | ||||
Oct. 28, 2020 | Apr. 15, 2020 | May 31, 2018 | Dec. 31, 2021 | Dec. 31, 2020 | Jun. 30, 2022 | |
Long-term Debt | ||||||
Maximum Borrowing Capacity | $ 550,000 | |||||
Agreement term | 18 months | 6 months | ||||
One Month LIBOR | ||||||
Long-term Debt | ||||||
Interest margin over base rate (as a percent) | 0.10% | |||||
MSR Financings | ||||||
Long-term Debt | ||||||
Amount outstanding | $ 15,000 | |||||
Average balance outstanding for the year | $ 2,943 | |||||
Weighted average rate for period (as a percent) | 3.91% | |||||
MSR Advance Financing | ||||||
Long-term Debt | ||||||
PTAP funds outstanding | $ 0 | $ 0 | ||||
MSR Advance Financing | Maximum | ||||||
Long-term Debt | ||||||
Agreement term | 7 months | |||||
Working capital line of credit agreement | FHLMC and GNMA Financing | IMC | ||||||
Long-term Debt | ||||||
Maximum Borrowing Capacity | $ 60,000 | |||||
Maximum borrowing capacity as a percentage of fair market value of pledged mortgage servicing rights | 60% | |||||
Working capital line of credit agreement | FHLMC and GNMA Financing | One Month LIBOR | IMC | ||||||
Long-term Debt | ||||||
Interest margin over base rate (as a percent) | 3% |
Debt - Convertible Notes (Detai
Debt - Convertible Notes (Details) $ / shares in Units, $ in Thousands | 1 Months Ended | |||
Apr. 29, 2022 USD ($) | Oct. 28, 2020 USD ($) | Apr. 15, 2020 USD ($) $ / shares shares | May 31, 2015 USD ($) D $ / shares | |
Convertible Notes | ||||
Amount of debt | $ 25,000 | $ 25,000 | $ 25,000 | |
Debt principal after scheduled paydown | $ 15,000 | 20,000 | ||
Scheduled decrease in the aggregate principal amount | $ 5,000 | $ 5,000 | ||
Interest rate of debt (as a percent) | 7% | 7% | 7% | 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 | |||
Agreement term | 18 months | 6 months | ||
Warrant cash exercise price | $ / shares | $ 2.97 | |||
Relative fair value of warrants recorded as debt discount | $ 242 | |||
Effective interest rate | 8.90% | |||
Maximum | ||||
Convertible Notes | ||||
Aggregate number of common shares which can be purchased with warrants issued | shares | 212,649 |
Debt - Long-term Debt (Details)
Debt - Long-term Debt (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Apr. 15, 2020 | |
Long-term Debt | ||||
Effective interest rate | 8.90% | |||
Junior subordinated notes | ||||
Long-term Debt | ||||
Effective interest rate | 3.97% | |||
Junior Subordinated Notes, Fair Value | ||||
Long-term debt | $ 62,000 | $ 62,000 | $ 62,000 | |
Fair value adjustment | (26,111) | (15,464) | (17,587) | |
Total | $ 35,889 | $ 46,536 | $ 44,413 | |
Junior subordinated notes | London Interbank Offered Rate (LIBOR) | ||||
Long-term Debt | ||||
Applicable margin (as a percent) | 3.75% | 3.75% |
Securitized Mortgage Trusts - S
Securitized Mortgage Trusts - Securitized Mortgage Trust Assets (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Trust Assets | ||
Securitized mortgage collateral, at fair value | $ 1,639,251 | $ 2,100,175 |
REO, at net realizable value (NRV) | 3,479 | 3,094 |
Total securitized mortgage trust assets | 1,642,730 | 2,103,269 |
Mortgages secured by residential real estate | ||
Trust Assets | ||
Securitized mortgage collateral, at fair value | 1,653,749 | 2,205,575 |
Mortgages secured by commercial real estate | ||
Trust Assets | ||
Securitized mortgage collateral, at fair value | 89,801 | 170,418 |
Securitized mortgage collateral | ||
Trust Assets | ||
Securitized mortgage collateral, at fair value | 1,639,251 | 2,100,175 |
Fair value adjustment | (104,299) | (275,818) |
Mortgages serviced for others | ||
Trust Assets | ||
Other mortgages primarily collateralized by REMIC | 164,600 | 216,300 |
REO inside trusts | ||
Trust Assets | ||
REO, at net realizable value (NRV) | $ 3,479 | $ 3,094 |
Securitized Mortgage Trusts -_2
Securitized Mortgage Trusts - Securitized Mortgage Trust Liabilities (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Securitized Mortgage Trusts | ||
REO | $ 10,335 | $ 10,140 |
Impairment (1) | (6,856) | (6,967) |
Ending balance | 3,479 | 3,173 |
REO inside trust | 3,479 | 3,094 |
REO outside trust | 79 | |
Securitized Mortgage Trust Liabilities | ||
Securitized mortgage borrowings | $ 1,614,862 | $ 2,086,557 |
Securitized Mortgage Trusts -_3
Securitized Mortgage Trusts - Securitized Mortgage Borrowings (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | Apr. 15, 2020 | |
Securitized Mortgage Borrowings | |||
Securitized mortgage borrowings | $ 1,614,862 | $ 2,086,557 | |
Bond losses | $ 2,200,000 | 2,200,000 | |
Range of interest rates | |||
Reference rate (as a percent) | 8.90% | ||
Minimum | |||
Range of interest rates | |||
Interest rate margin adjustment trigger, percentage of unpaid principal balance to original issuance amount | 10% | ||
Maximum | |||
Range of interest rates | |||
Interest rate margin adjustment trigger, percentage of unpaid principal balance to original issuance amount | 20% | ||
One Month LIBOR | |||
Range of interest rates | |||
Applicable margin (as a percent) | 0.10% | ||
Securitized mortgage borrowings | |||
Securitized Mortgage Borrowings | |||
Subtotal contractual principal balance (3) | $ 3,933,200 | 4,587,200 | |
Fair value adjustment | (2,318,300) | (2,500,600) | |
Securitized mortgage borrowings | 1,614,900 | 2,086,600 | |
2002 | |||
Securitized Mortgage Borrowings | |||
Original Issuance Amount | 3,876,100 | ||
Securitized mortgage borrowings | $ 2,700 | 3,400 | |
2002 | Minimum | |||
Range of interest rates | |||
Fixed interest rate (as a percent) | 5.25% | ||
Interest Rate Margins after Contractual Call Date (as a percent) | 0.54% | ||
2002 | Maximum | |||
Range of interest rates | |||
Fixed interest rate (as a percent) | 12% | ||
Interest Rate Margins after Contractual Call Date (as a percent) | 3.68% | ||
2002 | One Month LIBOR | Minimum | |||
Range of interest rates | |||
Applicable margin (as a percent) | 0.27% | ||
2002 | One Month LIBOR | Maximum | |||
Range of interest rates | |||
Applicable margin (as a percent) | 2.75% | ||
2003 | |||
Securitized Mortgage Borrowings | |||
Original Issuance Amount | $ 5,966,100 | ||
Securitized mortgage borrowings | $ 12,900 | 19,100 | |
2003 | Minimum | |||
Range of interest rates | |||
Fixed interest rate (as a percent) | 4.34% | ||
Interest Rate Margins after Contractual Call Date (as a percent) | 0.54% | ||
2003 | Maximum | |||
Range of interest rates | |||
Fixed interest rate (as a percent) | 12.75% | ||
Interest Rate Margins after Contractual Call Date (as a percent) | 4.50% | ||
2003 | One Month LIBOR | Minimum | |||
Range of interest rates | |||
Applicable margin (as a percent) | 0.27% | ||
2003 | One Month LIBOR | Maximum | |||
Range of interest rates | |||
Applicable margin (as a percent) | 3% | ||
2004 | |||
Securitized Mortgage Borrowings | |||
Original Issuance Amount | $ 17,710,700 | ||
Securitized mortgage borrowings | $ 210,900 | 287,300 | |
2004 | Minimum | |||
Range of interest rates | |||
Fixed interest rate (as a percent) | 3.58% | ||
Interest Rate Margins after Contractual Call Date (as a percent) | 0.50% | ||
2004 | Maximum | |||
Range of interest rates | |||
Fixed interest rate (as a percent) | 5.56% | ||
Interest Rate Margins after Contractual Call Date (as a percent) | 3.75% | ||
2004 | One Month LIBOR | Minimum | |||
Range of interest rates | |||
Applicable margin (as a percent) | 0.25% | ||
2004 | One Month LIBOR | Maximum | |||
Range of interest rates | |||
Applicable margin (as a percent) | 2.50% | ||
2005 | |||
Securitized Mortgage Borrowings | |||
Original Issuance Amount | $ 13,387,700 | ||
Securitized mortgage borrowings | $ 1,198,200 | 1,404,600 | |
2005 | Minimum | |||
Range of interest rates | |||
Interest Rate Margins after Contractual Call Date (as a percent) | 0.48% | ||
2005 | Maximum | |||
Range of interest rates | |||
Interest Rate Margins after Contractual Call Date (as a percent) | 4.35% | ||
2005 | One Month LIBOR | Minimum | |||
Range of interest rates | |||
Applicable margin (as a percent) | 0.24% | ||
2005 | One Month LIBOR | Maximum | |||
Range of interest rates | |||
Applicable margin (as a percent) | 2.90% | ||
2006 | |||
Securitized Mortgage Borrowings | |||
Original Issuance Amount | $ 5,971,400 | ||
Securitized mortgage borrowings | $ 1,626,000 | 1,860,300 | |
Range of interest rates | |||
Fixed interest rate (as a percent) | 6.25% | ||
2006 | Minimum | |||
Range of interest rates | |||
Interest Rate Margins after Contractual Call Date (as a percent) | 0.20% | ||
2006 | Maximum | |||
Range of interest rates | |||
Interest Rate Margins after Contractual Call Date (as a percent) | 4.13% | ||
2006 | One Month LIBOR | Minimum | |||
Range of interest rates | |||
Applicable margin (as a percent) | 0.10% | ||
2006 | One Month LIBOR | Maximum | |||
Range of interest rates | |||
Applicable margin (as a percent) | 2.75% | ||
2007 | |||
Securitized Mortgage Borrowings | |||
Original Issuance Amount | $ 3,860,500 | ||
Securitized mortgage borrowings | $ 882,500 | $ 1,012,500 | |
2007 | Minimum | |||
Range of interest rates | |||
Interest Rate Margins after Contractual Call Date (as a percent) | 0.12% | ||
2007 | Maximum | |||
Range of interest rates | |||
Interest Rate Margins after Contractual Call Date (as a percent) | 3% | ||
2007 | One Month LIBOR | Minimum | |||
Range of interest rates | |||
Applicable margin (as a percent) | 0.06% | ||
2007 | One Month LIBOR | Maximum | |||
Range of interest rates | |||
Applicable margin (as a percent) | 2% |
Securitized Mortgage Trusts - E
Securitized Mortgage Trusts - Expected Principal Reductions of the Securitized Mortgage Borrowings (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Securitized Mortgage Borrowings | ||
Less Than One Year | $ 305,539 | |
More Than Five Years | 62,000 | |
Securitized mortgage borrowings | ||
Securitized Mortgage Borrowings | ||
Total | 3,933,200 | $ 4,587,200 |
Less Than One Year | 420,800 | |
One to Three Years | 511,400 | |
Three to Five Years | 296,400 | |
More Than Five Years | $ 2,704,600 |
Securitized Mortgage Trusts - C
Securitized Mortgage Trusts - Change in Fair Value of Net Trust Assets (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||
Mar. 31, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | |
Change in fair value of net trust assets, including trust REO gains: | ||||||
Change in fair value of net trust assets, excluding REO | $ 9,200 | $ (1,828) | $ 9,248 | $ (5,373) | $ 6,471 | $ (13,081) |
(Losses) gains from trust REO | (313) | 1,559 | 111 | 7,393 | ||
Change in fair value of net trust assets, including trust REO gains (losses) | $ (2,141) | $ 9,248 | $ (3,814) | $ 6,582 | $ (5,688) |
Derivative Instruments (Details
Derivative Instruments (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Interest rate lock commitments (IRLCs) | ||
Derivative assets and liabilities - lending | ||
Derivative Asset, Notional Amount | $ 255,150 | $ 450,913 |
Gains (losses) from derivative financial instruments | (4,164) | (516) |
Hedging Instruments | ||
Derivative assets and liabilities - lending | ||
Derivative Liability, Notional Amount | 102,000 | 45,000 |
Gains (losses) from derivative financial instruments | 2,022 | (10,531) |
Forward delivery loan commitment | ||
Derivative assets and liabilities - lending | ||
Derivative Asset, Notional Amount | 0 | 20,000 |
Forward delivery loan commitment | Mortgage loans, held-for-sale | ||
Derivative assets and liabilities - lending | ||
Derivative Asset, Notional Amount | 0 | 20,000 |
Mortgage lending operations | Interest rate lock commitments (IRLCs) | ||
Derivative assets and liabilities - lending | ||
Assets fair value | 3,100 | 7,300 |
Mortgage lending operations | Hedging Instruments | ||
Derivative assets and liabilities - lending | ||
Liabilities fair value | $ 55 | 143 |
Mortgage lending operations | Forward delivery loan commitment | ||
Derivative assets and liabilities - lending | ||
Assets fair value | $ 0 |
Redeemable Preferred Stock (Det
Redeemable Preferred Stock (Details) $ / shares in Units, $ in Thousands | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2022 USD ($) director item $ / shares | Dec. 31, 2021 USD ($) item director $ / shares | Jan. 06, 2022 director | Dec. 31, 2020 USD ($) | |
Series B and C Preferred Stock | ||||
Outstanding liquidation preference | $ 71,700 | $ 70,900 | ||
Liquidation preference amount per share (in dollars per share) | $ / shares | $ 25 | $ 25 | ||
Series B 9.375% redeemable preferred stock | ||||
Outstanding liquidation preference | $ 36,530 | $ 36,530 | $ 35,750 | |
Cumulative undeclared dividends in arrears | $ 19,900 | $ 19,100 | ||
Cumulative undeclared dividends in arrears (per share) | $ / shares | $ 29.88 | $ 28.71 | ||
Liquidation preference amount per share (in dollars per share) | $ / shares | 53.71 | |||
Cumulative undeclared dividends in arrears, increase in every quarter (per share) | $ / shares | $ 0.5859 | $ 0.5859 | ||
Amount of increase in cumulative undeclared dividends in arrears in each quarter | $ 390 | $ 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 | ||
Number of additional directors to be elected by Preferred shareholders | director | 2 | |||
Number of directors elected by Preferred shareholders | director | 2 | 0 | ||
Series C 9.125% redeemable preferred stock | ||||
Outstanding liquidation preference | $ 35,127 | $ 35,127 | $ 35,127 |
Fair Value of Financial Instr_3
Fair Value of Financial Instruments - Fair value of Financial Instruments Included in the Consolidated Financial Statements (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 | Dec. 31, 2020 |
Assets | |||
Mortgage servicing rights | $ 850 | $ 749 | $ 339 |
Carrying Amount | |||
Assets | |||
Cash and cash equivalents | 61,173 | 29,555 | 54,150 |
Restricted cash | 5,196 | 5,657 | 5,602 |
Mortgage loans held for-for-sale | 37,035 | 308,477 | 164,422 |
Mortgage servicing rights | 850 | 749 | 339 |
Derivatives assets, lending, net | 510 | 3,111 | 7,275 |
Securitized mortgage collateral | 1,639,251 | 2,100,175 | |
Liabilities | |||
Warehouse borrowings | 37,795 | 285,539 | 151,932 |
Convertible notes | 15,000 | 20,000 | 20,000 |
Long-term debt | 35,889 | 46,536 | 44,413 |
Securitized mortgage borrowings | 1,614,862 | 2,086,557 | |
Derivative liabilities, lending, net | 12 | 55 | 143 |
Estimated Fair Value | Level 1 | |||
Assets | |||
Cash and cash equivalents | 61,173 | 29,555 | 54,150 |
Restricted cash | 5,196 | 5,657 | 5,602 |
Estimated Fair Value | Level 2 | |||
Assets | |||
Mortgage loans held for-for-sale | 37,035 | 308,477 | 164,422 |
Derivatives assets, lending, net | 12 | ||
Liabilities | |||
Warehouse borrowings | 37,795 | 285,539 | 151,932 |
Derivative liabilities, lending, net | 12 | 55 | 143 |
Estimated Fair Value | Level 3 | |||
Assets | |||
Mortgage servicing rights | 850 | 749 | 339 |
Derivatives assets, lending, net | 498 | 3,111 | 7,275 |
Securitized mortgage collateral | 1,639,251 | 2,100,175 | |
Liabilities | |||
Convertible notes | 15,000 | 20,000 | 20,000 |
Long-term debt | $ 35,889 | 46,536 | 44,413 |
Securitized mortgage borrowings | $ 1,614,862 | $ 2,086,557 |
Fair Value of Financial Instr_4
Fair Value of Financial Instruments - Assets and Liabilities Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 | Dec. 31, 2020 |
Assets | |||
Mortgage servicing rights | $ 850 | $ 749 | $ 339 |
Level 3 | |||
Fair Value Measurements | |||
Percentage of level three assets to total assets measured at fair value | 1% | 83% | 90% |
Percentage of level three liabilities to total liabilities measured at fair value | 40% | 84% | 93% |
Recurring basis | Level 2 | |||
Assets | |||
Mortgage loans held for-for-sale | $ 37,035 | $ 308,477 | $ 164,422 |
Derivatives assets, lending, net | 12 | ||
Total assets at fair value | 37,047 | 308,477 | 164,422 |
Liabilities | |||
Derivative liabilities, lending, net | 12 | 55 | 143 |
Total liabilities at fair value | 12 | 55 | 143 |
Recurring basis | Level 3 | |||
Assets | |||
Derivatives assets, lending, net | 498 | 3,111 | 7,275 |
Mortgage servicing rights | 850 | 749 | 339 |
Securitized mortgage collateral | 1,639,251 | 2,100,175 | |
Total assets at fair value | 1,348 | 1,643,111 | 2,107,789 |
Liabilities | |||
Securitized mortgage borrowings | 1,614,862 | 2,086,557 | |
Long-term debt | 35,889 | 46,536 | 44,413 |
Total liabilities at fair value | 35,889 | 1,661,398 | 2,130,970 |
Recurring basis | Interest rate lock commitments (IRLCs) | Level 3 | |||
Assets | |||
Derivatives assets, lending, net | $ 498 | 3,100 | |
Recurring basis | Derivative assets, lending, net | Interest rate lock commitments (IRLCs) | Level 3 | |||
Assets | |||
Total assets at fair value | $ 3,100 | $ 7,300 |
Fair Value of Financial Instr_5
Fair Value of Financial Instruments - Reconciliation of All Assets and Liabilities Measured Using Level 3 Input (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | |
Purchases, issuances and settlements: | |||||
Net interest income including cash received and paid | $ 2,100 | $ 1,200 | $ 4,300 | ||
Level 3 | |||||
Purchases, issuances and settlements: | |||||
Net interest income including cash received and paid | $ 8,100 | $ 8,900 | |||
Securitized mortgage borrowings | |||||
Changes in fair value of assets during the period | |||||
Fair value at the beginning of the period | (2,086,557) | (2,086,557) | (2,619,210) | ||
Purchases, issuances and settlements | |||||
Fair value at the end of the period | (2,086,557) | ||||
Changes in fair value of liabilities during the period | |||||
Fair value in the beginning of the period | (1,614,862) | (2,086,557) | (2,086,557) | ||
Total (losses) gains included in earnings: | |||||
Total (losses) gains included in earnings | (182,378) | 14,060 | |||
Purchases, issuances and settlements: | |||||
Settlements | 654,073 | 518,593 | |||
Fair value at the end of the period | (1,614,862) | (2,086,557) | |||
Unrealized gains (losses) still held | 2,318,296 | 2,500,674 | |||
Securitized mortgage borrowings | Interest expense | |||||
Total (losses) gains included in earnings: | |||||
Total (losses) gains included in earnings | (37,090) | (65,421) | |||
Securitized mortgage borrowings | Change in fair value | |||||
Total (losses) gains included in earnings: | |||||
Total (losses) gains included in earnings | (145,288) | 79,481 | |||
Long-term debt | |||||
Changes in fair value of assets during the period | |||||
Fair value at the beginning of the period | 46,536 | (44,413) | (44,413) | (45,434) | |
Total (losses) gains included in earnings: | |||||
Total (losses) gains included in earnings | (2,123) | ||||
Purchases, issuances and settlements | |||||
Fair value at the end of the period | 46,536 | (44,413) | |||
Unrealized gains (losses) still held | 15,464 | ||||
Changes in fair value of liabilities during the period | |||||
Fair value in the beginning of the period | 17,587 | 17,587 | |||
Total (losses) gains included in earnings: | |||||
Total (losses) gains included in earnings | 1,021 | ||||
Purchases, issuances and settlements: | |||||
Settlements | (44,413) | ||||
Fair value at the end of the period | 17,587 | ||||
Long-term debt | Interest expense | |||||
Total (losses) gains included in earnings: | |||||
Total (losses) gains included in earnings | (1,499) | ||||
Total (losses) gains included in earnings: | |||||
Total (losses) gains included in earnings | (850) | ||||
Long-term debt | Change in fair value | |||||
Total (losses) gains included in earnings: | |||||
Total (losses) gains included in earnings | 2,098 | ||||
Total (losses) gains included in earnings: | |||||
Total (losses) gains included in earnings | 1,899 | ||||
Long-term debt | Change in instrument specific credit risk | |||||
Total (losses) gains included in earnings: | |||||
Total (losses) gains included in earnings | (2,722) | ||||
Total (losses) gains included in earnings: | |||||
Total (losses) gains included in earnings | (28) | ||||
Securitized mortgage collateral | |||||
Changes in fair value of assets during the period | |||||
Fair value at the beginning of the period | (1,639,251) | 2,100,175 | 2,100,175 | 2,628,064 | |
Total (losses) gains included in earnings: | |||||
Total (losses) gains included in earnings | 139,597 | (91,815) | |||
Purchases, issuances and settlements | |||||
Settlements | (600,521) | (436,074) | |||
Fair value at the end of the period | (1,639,251) | 2,100,175 | |||
Unrealized gains (losses) still held | (104,299) | ||||
Changes in fair value of liabilities during the period | |||||
Fair value in the beginning of the period | 2,100,175 | 2,100,175 | |||
Purchases, issuances and settlements: | |||||
Fair value at the end of the period | 2,100,175 | ||||
Unrealized gains (losses) still held | (275,818) | ||||
Securitized mortgage collateral | Interest income | |||||
Total (losses) gains included in earnings: | |||||
Total (losses) gains included in earnings | (12,162) | 747 | |||
Securitized mortgage collateral | Change in fair value | |||||
Total (losses) gains included in earnings: | |||||
Total (losses) gains included in earnings | 151,759 | (92,562) | |||
Mortgage servicing rights | |||||
Changes in fair value of assets during the period | |||||
Fair value at the beginning of the period | (749) | 339 | 339 | 41,470 | |
Total (losses) gains included in earnings: | |||||
Total (losses) gains included in earnings | (126) | (21,962) | |||
Purchases, issuances and settlements | |||||
Issuances | 536 | 2,094 | |||
Settlements | (21,263) | ||||
Fair value at the end of the period | (749) | 339 | |||
Unrealized gains (losses) still held | 749 | ||||
Purchases, issuances and settlements: | |||||
Unrealized gains (losses) still held | 339 | ||||
Mortgage servicing rights | Change in fair value | |||||
Total (losses) gains included in earnings: | |||||
Total (losses) gains included in earnings | (126) | (21,962) | |||
Interest rate lock commitments (IRLCs) | |||||
Changes in fair value of assets during the period | |||||
Fair value at the beginning of the period | $ (3,111) | $ 7,275 | 7,275 | 7,791 | |
Total (losses) gains included in earnings: | |||||
Total (losses) gains included in earnings | (4,164) | (516) | |||
Purchases, issuances and settlements | |||||
Fair value at the end of the period | (3,111) | 7,275 | |||
Unrealized gains (losses) still held | 3,111 | ||||
Purchases, issuances and settlements: | |||||
Unrealized gains (losses) still held | 7,275 | ||||
Interest rate lock commitments (IRLCs) | Change in fair value | |||||
Total (losses) gains included in earnings: | |||||
Total (losses) gains included in earnings | $ (4,164) | $ (516) |
Fair Value of Financial Instr_6
Fair Value of Financial Instruments - Valuation Techniques And Unobservable Inputs Applied (Details) - Level 3 | Jun. 30, 2022 | Dec. 31, 2021 USD ($) |
Measurement Input, Prepayment Rate | Weighted Average | ||
Unobservable input | ||
Measurement input, mortgage servicing rights | 0.103 | |
Securitized mortgage borrowings | DCF | ||
Valuation techniques | ||
Estimated fair value of liabilities | $ (1,614,862,000) | |
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, Default Rate | DCF | Minimum | ||
Unobservable input | ||
Measurement input, securitized mortgage borrowings | 0.06 | |
Securitized mortgage borrowings | Measurement Input, Default Rate | DCF | Maximum | ||
Unobservable input | ||
Measurement input, securitized mortgage borrowings | 0.043 | |
Securitized mortgage borrowings | Measurement Input, Default Rate | DCF | 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, Loss Severity | DCF | Minimum | ||
Unobservable input | ||
Measurement input, securitized mortgage borrowings | 0.01 | |
Securitized mortgage borrowings | Measurement Input, Loss Severity | DCF | Maximum | ||
Unobservable input | ||
Measurement input, securitized mortgage borrowings | 0.976 | |
Securitized mortgage borrowings | Measurement Input, Loss Severity | DCF | 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 | |
Securitized mortgage borrowings | Measurement Input, Discount Rate | DCF | Minimum | ||
Unobservable input | ||
Measurement input, securitized mortgage borrowings | 0.021 | |
Securitized mortgage borrowings | Measurement Input, Discount Rate | DCF | Maximum | ||
Unobservable input | ||
Measurement input, securitized mortgage borrowings | 0.130 | |
Securitized mortgage borrowings | Measurement Input, Discount Rate | DCF | Weighted Average | ||
Unobservable input | ||
Measurement input, securitized mortgage borrowings | 0.036 | |
Long-term debt | DCF | ||
Valuation techniques | ||
Estimated fair value of liabilities | $ (46,536,000) | |
Long-term debt | Measurement Input, Discount Rate | ||
Unobservable input | ||
Measurement input, long-term debt | 0.142 | 0.086 |
Long-term debt | Measurement Input, Discount Rate | Weighted Average | ||
Unobservable input | ||
Measurement input, long-term debt | 0.142 | 0.086 |
Long-term debt | Measurement Input, Discount Rate | DCF | ||
Unobservable input | ||
Measurement input, long-term debt | 0.086 | |
Long-term debt | Measurement Input, Discount Rate | DCF | Weighted Average | ||
Unobservable input | ||
Measurement input, long-term debt | 0.086 | |
Securitized mortgage collateral | DCF | ||
Valuation techniques | ||
Estimated fair value of assets | $ 1,639,251,000 | |
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 | |
Securitized mortgage collateral | Measurement Input, Prepayment Rate | DCF | Minimum | ||
Unobservable input | ||
Measurement input, securitized mortgage collateral | 0.029 | |
Securitized mortgage collateral | Measurement Input, Prepayment Rate | DCF | Maximum | ||
Unobservable input | ||
Measurement input, securitized mortgage collateral | 0.463 | |
Securitized mortgage collateral | Measurement Input, Prepayment Rate | DCF | Weighted Average | ||
Unobservable input | ||
Measurement input, securitized mortgage collateral | 0.107 | |
Mortgage servicing rights | DCF | ||
Valuation techniques | ||
Estimated fair value of assets | $ 749,000 | |
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 | 0.125 | 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, Prepayment Rate | DCF | Minimum | ||
Unobservable input | ||
Measurement input, mortgage servicing rights | 0.0801 | |
Mortgage servicing rights | Measurement Input, Prepayment Rate | DCF | Maximum | ||
Unobservable input | ||
Measurement input, mortgage servicing rights | 0.291 | |
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 |
Mortgage servicing rights | Measurement Input, Discount Rate | DCF | Minimum | ||
Unobservable input | ||
Measurement input, mortgage servicing rights | 0.125 | |
Mortgage servicing rights | Measurement Input, Discount Rate | DCF | Maximum | ||
Unobservable input | ||
Measurement input, mortgage servicing rights | 0.150 | |
Mortgage servicing rights | Measurement Input, Discount Rate | DCF | Weighted Average | ||
Unobservable input | ||
Measurement input, mortgage servicing rights | 0.128 | |
Interest rate lock commitments (IRLCs) | Market pricing | ||
Valuation techniques | ||
Estimated fair value of assets | $ 3,111,000 | |
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 | 0.990 | 0.980 |
Interest rate lock commitments (IRLCs) | Measurement Input, Pull-through Rate | Weighted Average | ||
Unobservable input | ||
Measurement input, derivative assets - IRLCs, net | 0.695 | 0.790 |
Interest rate lock commitments (IRLCs) | Measurement Input, Pull-through Rate | Market pricing | Minimum | ||
Unobservable input | ||
Measurement input, derivative assets - IRLCs, net | 0.500 | |
Interest rate lock commitments (IRLCs) | Measurement Input, Pull-through Rate | Market pricing | Maximum | ||
Unobservable input | ||
Measurement input, derivative assets - IRLCs, net | 0.980 | |
Interest rate lock commitments (IRLCs) | Measurement Input, Pull-through Rate | Market pricing | Weighted Average | ||
Unobservable input | ||
Measurement input, derivative assets - IRLCs, net | 0.790 |
Fair Value of Financial Instr_7
Fair Value of Financial Instruments - Changes in Recurring Fair Value Measurements Included in Earnings (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | |
Change in Fair Value Included in Net Loss | ||||||
Change in fair value of net trust assets, excluding trust REO | $ (9,248) | $ 5,373 | $ (6,471) | $ 13,081 | ||
Securitized Mortgage Borrowings | ||||||
Outstanding principal balance of securitized mortgage borrowings | $ 71,381 | 71,381 | 71,841 | 30,524 | ||
Change in Fair Value of Net Trust Assets | ||||||
Change in Fair Value Included in Net Loss | ||||||
Change in fair value of net trust assets, excluding trust REO | 6,500 | 13,100 | ||||
Recurring basis | ||||||
Change in Fair Value Included in Net Loss | ||||||
Total | 156 | $ (17,106) | (3,403) | (34,843) | (42,989) | (114,630) |
Recurring basis | Interest income | ||||||
Change in Fair Value Included in Net Loss | ||||||
Total | (4,722) | 2,019 | (9,479) | (12,162) | 747 | |
Recurring basis | Interest expense | ||||||
Change in Fair Value Included in Net Loss | ||||||
Total | (357) | (9,327) | (8,307) | (18,742) | (38,589) | (66,271) |
Recurring basis | Change in Fair Value of Net Trust Assets | ||||||
Change in Fair Value Included in Net Loss | ||||||
Total | (1,828) | 9,248 | (5,373) | 6,471 | (13,081) | |
Change in fair value of net trust assets, excluding trust REO | 1,800 | 9,200 | (5,400) | |||
Recurring basis | Change in Fair Value of Long-term Debt | ||||||
Change in Fair Value Included in Net Loss | ||||||
Total | 1,980 | 1,417 | 3,622 | 2,442 | 2,098 | 1,899 |
Recurring basis | Other revenue | ||||||
Change in Fair Value Included in Net Loss | ||||||
Total | (6) | (37) | 55 | 1 | (126) | (21,962) |
Recurring basis | Gain on sale of loans, net | ||||||
Change in Fair Value Included in Net Loss | ||||||
Total | (1,461) | (2,609) | (10,040) | (3,692) | (681) | (15,962) |
Recurring basis | Hedging Instruments | ||||||
Change in Fair Value Included in Net Loss | ||||||
Change in fair value of liabilities | 88 | 509 | ||||
Recurring basis | Hedging Instruments | Gain on sale of loans, net | ||||||
Change in Fair Value Included in Net Loss | ||||||
Change in fair value of liabilities | 88 | 509 | ||||
Recurring basis | Securitized mortgage borrowings | ||||||
Change in Fair Value Included in Net Loss | ||||||
Change in fair value of liabilities | (8,187) | (7,564) | (103,248) | (182,378) | 14,060 | |
Recurring basis | Securitized mortgage borrowings | Interest expense | ||||||
Change in Fair Value Included in Net Loss | ||||||
Change in fair value of liabilities | (8,909) | (7,564) | (18,018) | (37,090) | (65,421) | |
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 | 722 | (85,230) | (145,288) | 79,481 | ||
Recurring basis | Long-term debt | ||||||
Change in Fair Value Included in Net Loss | ||||||
Change in fair value of liabilities | 1,623 | 999 | 2,879 | 1,718 | 599 | 1,049 |
Recurring basis | Long-term debt | Interest expense | ||||||
Change in Fair Value Included in Net Loss | ||||||
Change in fair value of liabilities | (357) | (418) | (743) | (724) | (1,499) | (850) |
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 | 1,980 | 1,417 | 3,622 | 2,442 | 2,098 | 1,899 |
Recurring basis | Securitized mortgage collateral | ||||||
Change in Fair Value Included in Net Loss | ||||||
Change in fair value of assets | (7,272) | 11,267 | 70,378 | 139,597 | (91,815) | |
Recurring basis | Securitized mortgage collateral | Interest income | ||||||
Change in Fair Value Included in Net Loss | ||||||
Change in fair value of assets | (4,722) | 2,019 | (9,479) | (12,162) | 747 | |
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 | (2,550) | 9,248 | 79,857 | 151,759 | (92,562) | |
Recurring basis | Mortgage servicing rights | ||||||
Change in Fair Value Included in Net Loss | ||||||
Change in fair value of assets | (6) | (37) | 55 | 1 | (126) | (21,962) |
Recurring basis | Mortgage servicing rights | Other revenue | ||||||
Change in Fair Value Included in Net Loss | ||||||
Change in fair value of assets | (6) | (37) | 55 | 1 | (126) | (21,962) |
Recurring basis | Derivative assets, net | ||||||
Change in Fair Value Included in Net Loss | ||||||
Change in fair value of assets | (4,164) | (516) | ||||
Recurring basis | Derivative assets, net | Gain on sale of loans, net | ||||||
Change in Fair Value Included in Net Loss | ||||||
Change in fair value of assets | (4,164) | (516) | ||||
Recurring basis | Mortgage loans held-for-sale | ||||||
Change in Fair Value Included in Net Loss | ||||||
Change in fair value of assets | (217) | 271 | (7,482) | (597) | 3,395 | (15,955) |
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 | (217) | $ 271 | (7,482) | $ (597) | 3,395 | (15,955) |
Recurring basis | Level 3 | ||||||
Long-term debt | ||||||
Estimated fair value of long-term debt | 35,889 | 35,889 | 46,536 | $ 44,413 | ||
Recurring basis | Level 3 | Long-term debt | ||||||
Long-term debt | ||||||
Long-term debt unpaid principal balance | 62,000 | 62,000 | 62,000 | |||
Estimated fair value of long-term debt | 35,900 | 35,900 | 46,500 | |||
Difference between aggregate unpaid principal balances and fair value of long-term debt | $ 26,100 | $ 26,100 | 15,500 | |||
Recurring basis | Level 3 | Securitized mortgage collateral | ||||||
Securitized mortgage collateral | ||||||
Unpaid principal balance of securitized mortgage collateral | 1,700,000 | |||||
Estimated fair value of securitized mortgage collateral | 1,600,000 | |||||
Difference between aggregate unpaid principal balance and fair value of securitized mortgage collateral | 100,000 | |||||
Unpaid principal balance of loans 90 days or more past due | 300,000 | |||||
Estimated fair value of loans 90 days or more past due | 100,000 | |||||
Difference between aggregate unpaid principal balances and fair value of mortgage loans | 200,000 | |||||
Securitized Mortgage Borrowings | ||||||
Outstanding principal balance of securitized mortgage borrowings | 1,700,000 | |||||
Estimated fair value of securitized mortgage borrowings | 1,600,000 | |||||
Bond losses | 2,200,000 | |||||
Difference between aggregate unpaid principal balances and fair value of securitized mortgage borrowings | $ 100,000 |
Fair Value of Financial Instr_8
Fair Value of Financial Instruments - Nonrecurring Fair Value Measurements (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||||
Jun. 30, 2022 | Jun. 30, 2021 | Mar. 31, 2020 | Jun. 30, 2022 | Jun. 30, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | |
Fair Value Measurements | |||||||
Retained earnings | $ (1,264,979) | $ (1,264,979) | $ (1,250,328) | $ (1,246,450) | |||
Total Losses | |||||||
REO | 111 | 7,393 | |||||
ROU asset impairment | 123 | 123 | 393 | ||||
Nonrecurring Fair Value Measurements | |||||||
Total Losses | |||||||
REO | $ (313) | $ 1,559 | 111 | 7,400 | |||
ROU asset impairment | 123 | $ 393 | 123 | ||||
Nonrecurring Fair Value Measurements | Level 2 | |||||||
Fair Value Measurements | |||||||
REO | $ 4,251 | $ 4,251 | 3,479 | 3,173 | |||
Nonrecurring Fair Value Measurements | Level 3 | |||||||
Fair Value Measurements | |||||||
ROU asset | $ 8,366 | $ 8,366 | $ 10,209 | $ 13,512 |
Reconciliation of Loss Per Co_3
Reconciliation of Loss Per Common Share (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||||
Jun. 30, 2022 | Mar. 31, 2022 | Jun. 30, 2021 | Mar. 31, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | |
Numerator for basic loss per share: | ||||||||
Net loss | $ (13,467) | $ (1,184) | $ (8,864) | $ (683) | $ (14,651) | $ (9,547) | $ (3,878) | $ (88,150) |
Less: Cumulative non-declared dividends on preferred stock | (390) | (780) | (780) | |||||
Net earnings (loss) attributable to common stockholders | (13,857) | (8,864) | (15,431) | (9,547) | (4,658) | (88,150) | ||
Numerator for diluted loss per share: | ||||||||
Net earnings (loss) attributable to common stockholders | (13,857) | (8,864) | (15,431) | (9,547) | (4,658) | (88,150) | ||
Net loss plus interest expense attributable to convertible notes | $ (13,857) | $ (8,864) | $ (15,431) | $ (9,547) | $ (4,658) | $ (88,150) | ||
Denominator for basic loss per share: | ||||||||
Basic weighted average common shares outstanding during the period | 21,509 | 21,344 | 21,463 | 21,319 | 21,332 | 21,251 | ||
Denominator for diluted loss per share : | ||||||||
Basic weighted average common shares outstanding during the period | 21,509 | 21,344 | 21,463 | 21,319 | 21,332 | 21,251 | ||
Diluted weighted average common shares | 21,509 | 21,344 | 21,463 | 21,319 | 21,332 | 21,251 | ||
Basic (in dollars per share) | $ (0.64) | $ (0.42) | $ (0.72) | $ (0.45) | $ (0.22) | $ (4.15) | ||
Diluted (in dollars per share) | $ (0.64) | $ (0.42) | $ (0.72) | $ (0.45) | $ (0.22) | $ (4.15) | ||
Stock options, RSAs, RSUs and DSUs | ||||||||
Denominator for diluted loss per share : | ||||||||
Antidilutive securities excluded from weighted average share calculations (in shares) | 1,000 | 829 | ||||||
Convertible Notes | ||||||||
Denominator for diluted loss per share : | ||||||||
Antidilutive securities excluded from weighted average share calculations (in shares) | 698 | 930 | 930 | 930 | 930 | 930 |
Income Taxes - Summary of Incom
Income Taxes - Summary of Income Taxes (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | |
Current income taxes: | ||||||
Federal | $ 8 | |||||
State | $ 71 | 125 | ||||
Total current income tax expense | 71 | 133 | ||||
Deferred income taxes: | ||||||
Total income tax expense | $ 16 | $ 62 | $ 39 | $ 43 | $ 71 | $ 133 |
Income Taxes - Summary of Defer
Income Taxes - Summary of Deferred Tax Assets and Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Deferred tax assets: | ||
Federal and state net operating losses | $ 178,194 | $ 173,652 |
Mortgage securities | 55,283 | 54,624 |
Depreciation and amortization | 24,355 | 26,752 |
Capital loss carryover | 172 | 171 |
Compensation and other accruals | 3,058 | 3,060 |
Repurchase reserve | 1,493 | 2,200 |
Total gross deferred tax assets | 262,555 | 260,459 |
Deferred tax liabilities: | ||
Fair value adjustments on long-term debt | (3,980) | (4,639) |
Mortgage servicing rights | (236) | (106) |
Corporate-owned life insurance | (1,017) | (968) |
Total gross deferred tax liabilities | (5,233) | (5,713) |
Valuation allowance | (257,322) | (254,746) |
Total net deferred tax assets | $ 0 | $ 0 |
Income Taxes - Reconciliation o
Income Taxes - Reconciliation of Income Taxes (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | |
Reconciliation of income taxes to the expected statutory federal corporate income tax rates | ||||||
Expected income tax expense | $ (799) | $ (18,483) | ||||
State tax expense, net of federal benefit | 56 | 99 | ||||
State rate change | (640) | (731) | ||||
Change in valuation allowance | 1,218 | 19,016 | ||||
Corporate-owned life insurance interest and premiums | 96 | 170 | ||||
Other | 140 | 62 | ||||
Total income tax expense | $ 16 | $ 62 | $ 39 | $ 43 | $ 71 | $ 133 |
Income Taxes - Narrative (Detai
Income Taxes - Narrative (Details) $ / shares in Units, $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||||
Oct. 23, 2019 shareholder $ / shares | Jun. 30, 2022 USD ($) | Jun. 30, 2021 USD ($) | Jun. 30, 2022 USD ($) | Jun. 30, 2021 USD ($) | Dec. 31, 2021 USD ($) | Dec. 31, 2020 USD ($) | |
Operating loss carryforwards | |||||||
Income tax expense | $ 16 | $ 62 | $ 39 | $ 43 | $ 71 | $ 133 | |
Accumulated other comprehensive earnings | $ 29,812 | $ 29,812 | 22,044 | $ 24,766 | |||
Accumulated other comprehensive earnings, tax | 10,500 | ||||||
Number of five-percent stockholders which, in the event of an increase in their ownership percentage by more than fifty percent, could result in the entity experiencing an ownership change | shareholder | 1 | ||||||
Rolling time period used for measurement of ownership increase of five-percent shareholders | 3 years | ||||||
Threshold percentage of outstanding stock in an unapproved stock purchase that would trigger activation of rights under the Rights Plan | 4.99% | ||||||
Redemption price of rights issued under Rights Plan | $ / shares | $ 0.001 | ||||||
Term of Rights Plan | 3 years | ||||||
AMT credit | 404 | ||||||
Minimum | |||||||
Operating loss carryforwards | |||||||
Percentage of ownership increase by five-percent shareholders which could potentially trigger an ownership change | 50% | ||||||
Federal | |||||||
Operating loss carryforwards | |||||||
Net operating loss carryforwards | 623,500 | ||||||
Net operating loss carryforwards with indefinite carryover period | 65,900 | ||||||
California | |||||||
Operating loss carryforwards | |||||||
Net operating loss carryforwards | $ 435,200 |
Segment Reporting - Balance She
Segment Reporting - Balance Sheet Items (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 | Dec. 31, 2020 |
Segment Reporting | |||
Cash and cash equivalents | $ 61,173 | $ 29,555 | $ 54,150 |
Restricted cash | 5,196 | 5,657 | 5,602 |
Mortgage loans held-for-sale | 37,035 | 308,477 | 164,422 |
Mortgage servicing rights | 850 | 749 | 339 |
Trust assets | 1,642,730 | 2,103,269 | |
Other assets | 29,404 | 35,603 | 41,524 |
Total assets | 133,658 | 2,022,771 | 2,369,306 |
Total liabilities | 130,206 | 2,012,835 | 2,353,655 |
Corporate and other | |||
Segment Reporting | |||
Cash and cash equivalents | 2,816 | 2,681 | |
Other assets | 25,409 | 28,882 | |
Total assets | 24,223 | 28,225 | 31,563 |
Total liabilities | 52,380 | 56,192 | |
Mortgage Lending | Operating segments | |||
Segment Reporting | |||
Cash and cash equivalents | 26,239 | 50,968 | |
Restricted cash | 5,657 | 5,602 | |
Mortgage loans held-for-sale | 308,477 | 164,422 | |
Mortgage servicing rights | 749 | 339 | |
Other assets | 10,051 | 12,510 | |
Total assets | 108,870 | 351,173 | 233,841 |
Total liabilities | 298,726 | 166,285 | |
Real Estate Services | Operating segments | |||
Segment Reporting | |||
Cash and cash equivalents | 500 | 501 | |
Other assets | 2 | 2 | |
Total assets | 502 | 502 | 503 |
Long-term Mortgage Portfolio | Operating segments | |||
Segment Reporting | |||
Trust assets | 1,642,730 | 2,103,269 | |
Other assets | 141 | 130 | |
Total assets | $ 63 | 1,642,871 | 2,103,399 |
Total liabilities | $ 1,661,729 | $ 2,131,178 |
Segment Reporting - Statement o
Segment Reporting - Statement of Operations (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||||
Jun. 30, 2022 USD ($) item | Mar. 31, 2022 USD ($) | Jun. 30, 2021 USD ($) item | Mar. 31, 2021 USD ($) | Jun. 30, 2022 USD ($) item | Jun. 30, 2021 USD ($) item | Dec. 31, 2021 USD ($) item | Dec. 31, 2020 USD ($) | |
Segment Reporting | ||||||||
Number of reportable segments | item | 3 | 3 | 3 | 3 | 3 | |||
Gain on sale of loans, net | $ 179 | $ 10,693 | $ 6,134 | $ 30,824 | $ 65,294 | $ 14,004 | ||
Servicing (expense) fees, net | 7 | (150) | (5) | (269) | (432) | 3,603 | ||
Gain (loss) on mortgage servicing rights, net | 45 | (37) | 155 | 1 | 34 | (28,509) | ||
Real estate services fees, net | 257 | 478 | 442 | 688 | 1,144 | 1,312 | ||
Other revenue (expense) | 7 | (4) | 959 | 320 | 279 | 1,498 | ||
Other operating expense | (14,666) | (19,616) | (34,023) | (40,914) | (81,204) | (81,273) | ||
Other income (expense) | 720 | (166) | 11,726 | (154) | 11,078 | 1,348 | ||
Net (loss) earnings before income taxes | (13,451) | (8,802) | (14,612) | (9,504) | (3,807) | (88,017) | ||
Income tax expense | 16 | 62 | 39 | 43 | 71 | 133 | ||
Net loss | (13,467) | $ (1,184) | (8,864) | $ (683) | (14,651) | (9,547) | (3,878) | (88,150) |
Corporate and other | ||||||||
Segment Reporting | ||||||||
Other revenue (expense) | (22) | (46) | 912 | 228 | 145 | 1,220 | ||
Other operating expense | (4,800) | (3,837) | (9,284) | (8,417) | (16,412) | (18,286) | ||
Other income (expense) | (418) | (464) | (882) | (924) | (1,860) | (2,362) | ||
Net (loss) earnings before income taxes | (5,240) | (4,347) | (9,254) | (9,113) | (18,127) | (19,428) | ||
Mortgage Lending | Operating segments | ||||||||
Segment Reporting | ||||||||
Gain on sale of loans, net | 179 | 10,693 | 6,134 | 30,824 | 65,294 | 14,004 | ||
Servicing (expense) fees, net | 7 | (150) | (5) | (269) | (432) | 3,603 | ||
Gain (loss) on mortgage servicing rights, net | 45 | (37) | 155 | 1 | 34 | (28,509) | ||
Other revenue (expense) | 1 | 4 | 23 | 24 | 135 | |||
Other operating expense | (9,378) | (15,288) | (23,880) | (31,516) | (62,605) | (60,869) | ||
Other income (expense) | 261 | (16) | 649 | (199) | 98 | 2,366 | ||
Net (loss) earnings before income taxes | (8,885) | (4,798) | (16,943) | (1,136) | 2,413 | (69,270) | ||
Real Estate Services | Operating segments | ||||||||
Segment Reporting | ||||||||
Real estate services fees, net | 257 | 478 | 442 | 688 | 1,144 | 1,312 | ||
Other operating expense | (359) | (356) | (718) | (725) | (1,409) | (1,485) | ||
Net (loss) earnings before income taxes | (102) | 122 | (276) | (37) | (265) | (173) | ||
Long-term Mortgage Portfolio | Operating segments | ||||||||
Segment Reporting | ||||||||
Other revenue (expense) | 28 | 42 | 43 | 69 | 110 | 143 | ||
Other operating expense | (129) | (135) | (141) | (256) | (778) | (633) | ||
Other income (expense) | 877 | 314 | 11,959 | 969 | 12,840 | 1,344 | ||
Net (loss) earnings before income taxes | $ 776 | $ 221 | $ 11,861 | $ 782 | $ 12,172 | $ 854 |
Commitments and Contingencies -
Commitments and Contingencies - Legal Proceedings (Details) $ in Millions | 6 Months Ended | 12 Months Ended | |||||||
Apr. 29, 2022 | Jul. 16, 2018 USD ($) director item | Dec. 07, 2011 director item | Jun. 30, 2022 USD ($) item director | Dec. 31, 2021 USD ($) item director | Dec. 31, 2020 | Aug. 08, 2022 USD ($) | Jul. 22, 2022 item | Jan. 06, 2022 director | |
Series B 9.375% redeemable preferred stock | |||||||||
Repurchase reserve | |||||||||
Preferred stock, dividend rate (as a percent) | 9.375% | 9.375% | 9.375% | 9.375% | 9.375% | ||||
Number of additional directors to be elected by Preferred shareholders | 2 | ||||||||
Number of directors elected by Preferred shareholders | 2 | 0 | |||||||
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 | $ | $ 1.2 | $ 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% | 9.125% | ||||
Curtis J. Timm | |||||||||
Repurchase reserve | |||||||||
Preferred B stock approval percentage | 66.70% | ||||||||
Curtis J. Timm | Series B and C Preferred Stock | |||||||||
Repurchase reserve | |||||||||
Number of additional directors to be elected by Preferred shareholders | 2 | ||||||||
Number of directors elected by Preferred shareholders | 2 | ||||||||
Number of quarterly dividend payments sought for Preferred shareholders | item | 2 | ||||||||
Curtis J. Timm | Series B 9.375% redeemable preferred stock | |||||||||
Repurchase reserve | |||||||||
Number of additional directors to be elected by Preferred shareholders | 2 | ||||||||
Number of directors elected by Preferred shareholders | 0 | ||||||||
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 | item | 3 | 3 | |||||||
Dividend amount required to be paid by company in three quarterly payments | $ | $ 1.2 | $ 1.2 |
Commitments and Contingencies_2
Commitments and Contingencies - Lease Commitments (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Lease Assets and Liabilities | ||
Operating lease ROU assets | $ 10,209 | $ 13,512 |
Operating lease liabilities | $ 12,562 | |
Balance sheet classification - Operating lease liabilities | Other liabilities | |
Weighted average remaining lease term (in years) | 2 years 8 months 12 days | |
Weighted average discount rate | 4.80% |
Commitments and Contingencies_3
Commitments and Contingencies - Future Minimum Commitments (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | |
Commitments and Contingencies | ||||||
Year 2022 | $ 4,809 | |||||
Year 2023 | 4,909 | |||||
Year 2024 | 3,729 | |||||
Total lease commitments | 13,447 | |||||
Less: imputed interest | (885) | |||||
Operating lease liabilities | 12,562 | |||||
Cash paid for operating leases | $ 1,200 | $ 1,100 | $ 2,400 | $ 2,300 | 4,600 | $ 5,200 |
Total operating lease expense | 1,100 | $ 984 | 2,100 | $ 2,000 | 4,000 | $ 4,700 |
ROU asset impairment | $ 123 | $ 123 | $ 393 |
Commitments and Contingencies_4
Commitments and Contingencies - Repurchase Reserve (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Commitments and Contingencies | |||
Beginning balance | $ 4,744 | $ 7,054 | $ 8,969 |
Provision for repurchases | 2,433 | 111 | 5,227 |
Settlements | (1,178) | (2,421) | (7,142) |
Total repurchase reserve | $ 5,999 | 4,744 | 7,054 |
Loans subject to representations and warranties | $ 2,800,000 | $ 3,300,000 | |
HARP | |||
Commitments and Contingencies | |||
Threshold period to stay current for loans to limit representation and warranty risk | 12 months | ||
Non-HARP | |||
Commitments and Contingencies | |||
Threshold period to stay current for loans to limit representation and warranty risk | 36 months |
Commitments and Contingencies_5
Commitments and Contingencies - Corporate-owned Life Insurance Trusts (Details) $ in Thousands | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2022 USD ($) item | Dec. 31, 2021 USD ($) item | Dec. 31, 2020 USD ($) | |
Corporate-owned life insurance trusts | |||
Number of life insurance trusts held for former executive officers | item | 3 | 3 | |
Corporate-owned life insurance cash surrender value | $ 11,681 | $ 10,788 | |
Corporate-owned life insurance liability | 13,261 | 13,027 | |
Corporate-owned life insurance short-fall | (1,580) | (2,239) | |
Consolidation of corporate-owned life insurance trusts | $ 1,281 | ||
Accumulated Deficit | |||
Corporate-owned life insurance trusts | |||
Consolidation of corporate-owned life insurance trusts | 1,300 | $ 1,281 | |
Trust #1 | |||
Corporate-owned life insurance trusts | |||
Corporate-owned life insurance cash surrender value | 5,345 | 4,972 | |
Corporate-owned life insurance liability | 6,123 | 6,015 | |
Corporate-owned life insurance short-fall | (778) | (1,043) | |
Trust #2 | |||
Corporate-owned life insurance trusts | |||
Corporate-owned life insurance cash surrender value | 4,148 | 3,821 | |
Corporate-owned life insurance liability | 4,800 | 4,715 | |
Corporate-owned life insurance short-fall | (652) | (894) | |
Trust #3 | |||
Corporate-owned life insurance trusts | |||
Corporate-owned life insurance cash surrender value | 2,188 | 1,995 | |
Corporate-owned life insurance liability | 2,338 | 2,297 | |
Corporate-owned life insurance short-fall | $ (150) | $ (302) |
Commitments and Contingencies_6
Commitments and Contingencies - Concentration of Risk (Details) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2021 USD ($) item | Jun. 30, 2022 USD ($) | Dec. 31, 2020 USD ($) | |
Concentration of Risk | |||
Aggregate unpaid principal balance of loans secured by properties | $ 308,477 | $ 37,035 | $ 164,422 |
Mortgage loans | Geographic concentration | California Country | |||
Concentration of Risk | |||
Percentage of risk | 77% | ||
Mortgage loans | Investor concentration | Largest investors | |||
Concentration of Risk | |||
Percentage of risk | 81% | ||
Number of investors | item | 7 | ||
Properties kept as security for long-term mortgage portfolio | Geographic concentration | California Country | |||
Concentration of Risk | |||
Aggregate unpaid principal balance of loans secured by properties | $ 817,100 | ||
Percentage of risk | 46% | ||
Properties kept as security for long-term mortgage portfolio | Geographic concentration | Florida | |||
Concentration of Risk | |||
Aggregate unpaid principal balance of loans secured by properties | $ 204,600 | ||
Percentage of risk | 12% |
Share Based Payments and Empl_3
Share Based Payments and Employee Benefit Plans - Incentive Plan and Weighted Average Assumptions Used (Details) - $ / shares | 12 Months Ended | ||
Dec. 31, 2021 | Dec. 31, 2020 | May 31, 2015 | |
Equity and Share Based Payments | |||
Conversion price of convertible notes into common stock (in dollars per share) | $ 21.50 | ||
2020 Incentive Plan | |||
Equity and Share Based Payments | |||
Number of shares available under the Plan | 2,000,000 | ||
Shares available for grant as stock options, restricted stock and deferred stock awards | 1,477,760 | ||
2010 Incentive Plan | |||
Equity and Share Based Payments | |||
Number of shares available under the Plan | 952,646 | ||
Stock options | |||
Weighted average assumptions used in estimating fair value of options granted | |||
Risk-free interest rate (as a percent) | 0.50% | 1.45% | |
Expected lives (in years) | 4 years 6 months 14 days | 4 years 11 months 8 days | |
Expected volatility (as a percent) | 77.55% | 61.21% | |
Expected dividend yield (as a percent) | 0% | 0% | |
Fair value per share (in dollars per share) | $ 1.96 | $ 3.13 |
Share Based Payments and Empl_4
Share Based Payments and Employee Benefit Plans - Stock Options (Details) - Stock options - USD ($) $ / shares in Units, $ in Thousands | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Number of Shares | |||
Options outstanding at beginning of period (in shares) | 570,228 | 524,357 | 914,470 |
Options granted (in shares) | 85,154 | 30,000 | |
Options exercised (in shares) | (9,500) | ||
Options forfeited / cancelled (in shares) | (10,000) | (39,283) | (410,613) |
Options outstanding at end of year (in shares) | 560,228 | 570,228 | 524,357 |
Options exercisable at end of year (in shares) | 518,874 | 406,361 | 327,366 |
Weighted-Average Exercise Price | |||
Options outstanding at beginning of period (in dollars per share) | $ 7.89 | $ 8.58 | $ 8.10 |
Options granted (in dollars per share) | 3.29 | 5.34 | |
Options exercised (in dollars per share) | 4.84 | ||
Options forfeited / cancelled (in dollars per share) | 3.39 | 7.15 | 7.35 |
Options outstanding at end of year (in dollars per share) | 7.97 | 7.89 | 8.58 |
Options exercisable at end of year (in dollars per share) | $ 8.34 | $ 9.65 | $ 11.46 |
Weighted-Average Remaining Life | |||
Weighted-Average Remaining Life, Options outstanding at end of year | 6 years 2 months 1 day | 6 years 9 months 7 days | |
Weighted-Average Remaining Life, Options exercisable at end of year | 5 years 5 months 4 days | 5 years 11 months 15 days | |
Additional disclosure related to options | |||
Market price of common stock | $ 1.11 | $ 3.04 | |
Unrecognized compensation cost | $ 54 | $ 127 | |
Weighted-average period over which compensation cost is expected to be recognized | 1 year 7 months 6 days | 1 year 6 months | |
Aggregate grant-date fair value of stock options granted | $ 167 | $ 94 | |
Stock-based compensation expense | $ 884 | $ 702 |
Share Based Payments and Empl_5
Share Based Payments and Employee Benefit Plans - Options Exercise Price Range (Details) | 12 Months Ended |
Dec. 31, 2021 $ / shares shares | |
$3.22 - 3.74 | |
Additional information regarding stock options outstanding | |
Exercise price range, lower limit (in dollars per share) | $ 3.22 |
Exercise price range, upper limit (in dollars per share) | $ 3.74 |
Stock Options Outstanding, Number Outstanding (in shares) | shares | 150,872 |
Stock Options Outstanding, Weighted-Average Remaining Contractual Life (in years) | 7 years 10 months 28 days |
Stock Options Outstanding, Weighted-Average Exercise Price (in dollars per share) | $ 3.45 |
Options Exercisable, Number Exercisable (in shares) | shares | 53,671 |
Options Exercisable, Weighted-Average Exercise Price (in dollars per share) | $ 3.59 |
$3.75 - 5.38 | |
Additional information regarding stock options outstanding | |
Exercise price range, lower limit (in dollars per share) | 3.75 |
Exercise price range, upper limit (in dollars per share) | $ 5.38 |
Stock Options Outstanding, Number Outstanding (in shares) | shares | 200,000 |
Stock Options Outstanding, Weighted-Average Remaining Contractual Life (in years) | 7 years 1 month 28 days |
Stock Options Outstanding, Weighted-Average Exercise Price (in dollars per share) | $ 3.75 |
Options Exercisable, Number Exercisable (in shares) | shares | 133,334 |
Options Exercisable, Weighted-Average Exercise Price (in dollars per share) | $ 3.75 |
$5.39 - 9.85 | |
Additional information regarding stock options outstanding | |
Exercise price range, lower limit (in dollars per share) | 5.39 |
Exercise price range, upper limit (in dollars per share) | $ 9.85 |
Stock Options Outstanding, Number Outstanding (in shares) | shares | 27,582 |
Stock Options Outstanding, Weighted-Average Remaining Contractual Life (in years) | 4 years 3 days |
Stock Options Outstanding, Weighted-Average Exercise Price (in dollars per share) | $ 7.01 |
Options Exercisable, Number Exercisable (in shares) | shares | 27,582 |
Options Exercisable, Weighted-Average Exercise Price (in dollars per share) | $ 7.01 |
$9.86 - 17.39 | |
Additional information regarding stock options outstanding | |
Exercise price range, lower limit (in dollars per share) | 9.86 |
Exercise price range, upper limit (in dollars per share) | $ 17.39 |
Stock Options Outstanding, Number Outstanding (in shares) | shares | 86,524 |
Stock Options Outstanding, Weighted-Average Remaining Contractual Life (in years) | 4 years 1 month 24 days |
Stock Options Outstanding, Weighted-Average Exercise Price (in dollars per share) | $ 11.99 |
Options Exercisable, Number Exercisable (in shares) | shares | 86,524 |
Options Exercisable, Weighted-Average Exercise Price (in dollars per share) | $ 11.99 |
$17.40 - 20.49 | |
Additional information regarding stock options outstanding | |
Exercise price range, lower limit (in dollars per share) | 17.40 |
Exercise price range, upper limit (in dollars per share) | $ 20.49 |
Stock Options Outstanding, Number Outstanding (in shares) | shares | 51,250 |
Stock Options Outstanding, Weighted-Average Remaining Contractual Life (in years) | 4 years 6 months 18 days |
Stock Options Outstanding, Weighted-Average Exercise Price (in dollars per share) | $ 17.40 |
Options Exercisable, Number Exercisable (in shares) | shares | 51,250 |
Options Exercisable, Weighted-Average Exercise Price (in dollars per share) | $ 17.40 |
$20.50 - $20.50 | |
Additional information regarding stock options outstanding | |
Exercise price range, lower limit (in dollars per share) | 20.50 |
Exercise price range, upper limit (in dollars per share) | $ 20.50 |
Stock Options Outstanding, Number Outstanding (in shares) | shares | 54,000 |
Stock Options Outstanding, Weighted-Average Remaining Contractual Life (in years) | 3 years 6 months 21 days |
Stock Options Outstanding, Weighted-Average Exercise Price (in dollars per share) | $ 20.50 |
Options Exercisable, Number Exercisable (in shares) | shares | 54,000 |
Options Exercisable, Weighted-Average Exercise Price (in dollars per share) | $ 20.50 |
$3.22 to $20.50 | |
Additional information regarding stock options outstanding | |
Exercise price range, lower limit (in dollars per share) | 3.22 |
Exercise price range, upper limit (in dollars per share) | $ 20.50 |
Stock Options Outstanding, Number Outstanding (in shares) | shares | 570,228 |
Stock Options Outstanding, Weighted-Average Remaining Contractual Life (in years) | 6 years 2 months 1 day |
Stock Options Outstanding, Weighted-Average Exercise Price (in dollars per share) | $ 7.89 |
Options Exercisable, Number Exercisable (in shares) | shares | 406,361 |
Options Exercisable, Weighted-Average Exercise Price (in dollars per share) | $ 9.65 |
Share Based Payments and Empl_6
Share Based Payments and Employee Benefit Plans - Stock Units And Awards (Details) - USD ($) $ / shares in Units, $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Restricted stock units (RSU's) | ||
stock units | ||
Fair value of stock granted | $ 807,000 | |
Number of Shares | ||
Outstanding at beginning of year (in shares) | 397,829 | 267,221 |
Granted (in shares) | 245,332 | |
Issued (in shares) | (153,251) | (94,493) |
Forfeited / cancelled (in shares) | (18,333) | (20,231) |
Outstanding at end of period (in shares) | 226,245 | 397,829 |
Weighted-Average Grant Date Fair Value | ||
Outstanding at beginning of year (in dollars per share) | $ 4.11 | $ 5.04 |
Granted (in dollars per share) | 3.29 | |
Issued (in dollars per share) | 4.32 | 4.78 |
Forfeited / cancelled (in dollars per share) | 3.85 | 3.29 |
Outstanding at end of period (in dollars per share) | $ 3.99 | $ 4.11 |
Additional information | ||
Unrecognized compensation cost | $ 604 | $ 1,000 |
Weighted-average period over which compensation cost is expected to be recognized | 1 year 3 months 18 days | 1 year 8 months 12 days |
Deferred stock units | ||
Number of Shares | ||
Outstanding at beginning of year (in shares) | 54,500 | 54,500 |
Granted (in shares) | 0 | |
Issued (in shares) | (15,000) | |
Outstanding at end of period (in shares) | 39,500 | 54,500 |
Weighted-Average Grant Date Fair Value | ||
Outstanding at beginning of year (in dollars per share) | $ 6.61 | $ 6.61 |
Issued (in dollars per share) | 3.75 | |
Outstanding at end of period (in dollars per share) | $ 7.70 | $ 6.61 |
Additional information | ||
Unrecognized compensation cost | $ 0 | $ 6 |
Weighted-average period over which compensation cost is expected to be recognized | 2 months 12 days | |
Deferred stock units | Minimum | ||
stock units | ||
Vesting period | 1 year | |
Deferred stock units | Maximum | ||
stock units | ||
Vesting period | 3 years |
Share Based Payments and Empl_7
Share Based Payments and Employee Benefit Plans - 401(k) Plan (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Equity and Share Based Payments | ||
Maximum employee contribution (as a percent) | 25% | |
Percentage of eligible compensation matched by employer | 50% | |
Percentage of employer match of eligible employee compensation | 6% | |
Basic matching contributions recorded | $ 1 | $ 1 |
Employer discretionary contributions | $ 0 | $ 0 |
CONSOLIDATED BALANCE SHEETS_2
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Jun. 30, 2022 | Mar. 31, 2022 | Dec. 31, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 |
ASSETS | |||||||
Cash and cash equivalents | $ 61,173 | $ 29,555 | $ 54,150 | ||||
Restricted cash | 5,196 | 5,657 | 5,602 | ||||
Mortgage loans held-for-sale | 37,035 | 308,477 | 164,422 | ||||
Mortgage servicing rights | 850 | 749 | 339 | ||||
Securitized mortgage trust assets | 1,642,730 | 2,103,269 | |||||
Other assets | 29,404 | 35,603 | 41,524 | ||||
Total assets | 133,658 | 2,022,771 | 2,369,306 | ||||
LIABILITIES | |||||||
Warehouse borrowings | 37,795 | 285,539 | 151,932 | ||||
Convertible notes | 15,000 | 20,000 | 20,000 | ||||
Long-term debt | 35,889 | 46,536 | 44,413 | ||||
Securitized mortgage trust liabilities | 1,614,862 | 2,086,557 | |||||
Other liabilities | 41,522 | 45,898 | 50,753 | ||||
Total liabilities | 130,206 | 2,012,835 | 2,353,655 | ||||
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 | 212 | ||||
Additional paid-in capital | 1,238,383 | 1,237,986 | 1,237,102 | ||||
Accumulated other comprehensive earnings, net of tax | 29,812 | 22,044 | 24,766 | ||||
Total accumulated deficit: | |||||||
Cumulative dividends declared | (822,520) | (822,520) | (822,520) | ||||
Accumulated deficit | (442,459) | (427,808) | (423,930) | ||||
Total accumulated deficit | (1,264,979) | (1,250,328) | (1,246,450) | ||||
Total stockholders' equity | 3,452 | $ 6,745 | 9,936 | $ 4,342 | $ 13,520 | 15,651 | $ 104,237 |
Total liabilities and stockholders' equity | 133,658 | 2,022,771 | 2,369,306 | ||||
Series A-1 junior participating preferred stock | |||||||
STOCKHOLDERS' EQUITY | |||||||
Preferred stock | |||||||
Series B 9.375% redeemable preferred stock | |||||||
STOCKHOLDERS' EQUITY | |||||||
Preferred stock | 7 | 7 | 7 | ||||
Series C 9.125% redeemable preferred stock | |||||||
STOCKHOLDERS' EQUITY | |||||||
Preferred stock | $ 14 | $ 14 | $ 14 |
CONSOLIDATED BALANCE SHEETS (_2
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | |||
Apr. 29, 2022 | Dec. 07, 2011 | Jun. 30, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | $ 0.01 | ||
Common stock, shares authorized | 200,000,000 | 200,000,000 | 200,000,000 | ||
Common stock, shares issued | 21,500,935 | 21,332,684 | 21,238,191 | ||
Common stock, shares outstanding | 21,500,935 | 21,332,684 | 21,238,191 | ||
Series A-1 junior participating preferred stock | |||||
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | $ 0.01 | ||
Preferred stock, shares authorized | 2,500,000 | 2,500,000 | 2,500,000 | ||
Preferred stock, shares issued | 0 | 0 | 0 | ||
Preferred stock, shares outstanding | 0 | 0 | 0 | ||
Series B 9.375% redeemable preferred stock | |||||
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | $ 0.01 | ||
Preferred stock, dividend rate (as a percent) | 9.375% | 9.375% | 9.375% | 9.375% | 9.375% |
Preferred stock, liquidation value (in dollars) | $ 36,530 | $ 36,530 | $ 35,750 | ||
Preferred stock, shares authorized | 2,000,000 | 2,000,000 | 2,000,000 | ||
Preferred stock, shares issued | 665,592 | 665,592 | 665,592 | ||
Preferred stock, shares outstanding | 665,592 | 665,592 | 665,592 | ||
Series C 9.125% redeemable preferred stock | |||||
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | $ 0.01 | ||
Preferred stock, dividend rate (as a percent) | 9.125% | 9.125% | 9.125% | 9.125% | 9.125% |
Preferred stock, liquidation value (in dollars) | $ 35,127 | $ 35,127 | $ 35,127 | ||
Preferred stock, shares authorized | 5,500,000 | 5,500,000 | 5,500,000 | ||
Preferred stock, shares issued | 1,405,086 | 1,405,086 | 1,405,086 | ||
Preferred stock, shares outstanding | 1,405,086 | 1,405,086 | 1,405,086 |
CONSOLIDATED STATEMENTS OF OP_2
CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE LOSS - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||||
Jun. 30, 2022 | Mar. 31, 2022 | Jun. 30, 2021 | Mar. 31, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | |
Revenues | ||||||||
Gain on sale of loans, net | $ 179 | $ 10,693 | $ 6,134 | $ 30,824 | $ 65,294 | $ 14,004 | ||
Real estate services fees, net | 257 | 478 | 442 | 688 | 1,144 | 1,312 | ||
Gain (loss) on mortgage servicing rights, net | 45 | (37) | 155 | 1 | 34 | (28,509) | ||
Servicing fees (expense), net | 7 | (150) | (5) | (269) | (432) | 3,603 | ||
Other | 7 | (4) | 959 | 320 | 279 | 1,498 | ||
Total revenues, net | 495 | 10,980 | 7,685 | 31,564 | 66,319 | (8,092) | ||
Expenses | ||||||||
Personnel | 8,024 | 11,964 | 19,945 | 26,888 | 52,778 | 52,880 | ||
General, administrative and other | 5,323 | 5,882 | 10,458 | 11,063 | 21,031 | 24,534 | ||
Business promotion | 1,319 | 1,770 | 3,620 | 2,963 | 7,395 | 3,859 | ||
Total expenses | 14,666 | 19,616 | 34,023 | 40,914 | 81,204 | 81,273 | ||
Operating loss | (14,171) | (8,636) | (26,338) | (9,350) | (14,885) | (89,365) | ||
Other income (expense) | ||||||||
Interest income | 943 | 15,707 | 14,048 | 32,231 | 65,666 | 118,908 | ||
Interest expense | (2,203) | (15,149) | (15,192) | (31,013) | (63,268) | (113,771) | ||
Change in fair value of long-term debt | 1,980 | 1,417 | 3,622 | 2,442 | 2,098 | 1,899 | ||
Change in fair value of net trust assets, including trust REO gains | (2,141) | 9,248 | (3,814) | 6,582 | (5,688) | |||
Total other income (expense), net | 720 | (166) | 11,726 | (154) | 11,078 | 1,348 | ||
Net (loss) earnings before income taxes | (13,451) | (8,802) | (14,612) | (9,504) | (3,807) | (88,017) | ||
Income tax expense | 16 | 62 | 39 | 43 | 71 | 133 | ||
Net loss | (13,467) | $ (1,184) | (8,864) | $ (683) | (14,651) | (9,547) | (3,878) | (88,150) |
Other comprehensive loss | ||||||||
Change in fair value of instrument specific credit risk of long-term debt | 10,037 | (538) | 7,768 | (2,205) | (2,722) | (20) | ||
Total comprehensive loss | $ (3,430) | $ (9,402) | $ (6,883) | $ (11,752) | $ (6,600) | $ (88,170) | ||
Net loss per common share: | ||||||||
Basic (in dollars per share) | $ (0.64) | $ (0.42) | $ (0.72) | $ (0.45) | $ (0.22) | $ (4.15) | ||
Diluted (in dollars per share) | $ (0.64) | $ (0.42) | $ (0.72) | $ (0.45) | $ (0.22) | $ (4.15) |
CONSOLIDATED STATEMENTS OF CH_2
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, 2019 | $ 21 | $ 212 | $ 1,236,237 | $ (822,520) | $ (334,499) | $ 24,786 | $ 104,237 |
Balance (in shares) at Dec. 31, 2019 | 2,070,678,000 | 21,255,426,000 | |||||
Increase (Decrease) in Stockholders' Equity | |||||||
Retirement of restricted stock | (125) | (125) | |||||
Retirement of restricted stock (in shares) | (35,069) | ||||||
Proceeds from exercise of stock options | 46 | 46 | |||||
Proceeds from exercise of stock options (in shares) | 9,500 | ||||||
Issuance of restricted stock units (in shares) | (8,334) | ||||||
Stock based compensation | 702 | 702 | |||||
Issuance of warrants in connection with debt financing | 242 | 242 | |||||
Other comprehensive loss | (20) | (20) | |||||
Net loss | (88,150) | (88,150) | |||||
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 | (9,547) | ||||||
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 | |||||
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 | 884 | 884 | |||||
Other comprehensive loss | (2,722) | (2,722) | |||||
Net loss | (3,878) | (3,878) | |||||
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 | |||||
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 | |||||
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 | (14,651) | ||||||
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 | |||||
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 |
CONSOLIDATED STATEMENTS OF CA_2
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2022 | Jun. 30, 2021 | |
CASH FLOWS FROM OPERATING ACTIVITIES | ||
Net loss | $ (14,651) | $ (9,547) |
Gain on sale of mortgage servicing rights | (100) | |
Change in fair value of mortgage servicing rights | (55) | (1) |
Gain on sale of mortgage loans | (18,607) | (34,304) |
Change in fair value of mortgage loans held-for-sale | 7,482 | 597 |
Change in fair value of derivatives lending, net | 2,558 | 3,095 |
Change in provision for repurchases | 2,433 | (212) |
Origination of mortgage loans held-for-sale | (610,189) | (1,461,444) |
Sale and principal reduction on mortgage loans held-for-sale | 892,710 | 1,506,802 |
Gain from trust REO | (1,559) | |
Change in fair value of net trust assets, excluding trust REO | (9,248) | 5,373 |
Change in fair value of long-term debt | (3,622) | (2,442) |
Accretion of interest income and expense | 6,288 | 28,221 |
Stock-based compensation | 397 | 442 |
ROU asset impairment | 123 | |
Loss on disposal of premises and equipment | 102 | |
Net change in other assets | 4,569 | 77 |
Net change in other liabilities | (7,209) | (5,126) |
Net cash provided by (used in) operating activities | 252,879 | 30,074 |
CASH FLOWS FROM INVESTING ACTIVITIES | ||
Net change in securitized mortgage collateral | 72,889 | 308,189 |
Proceeds from transfer of trust assets and liabilities | 37,500 | |
Investment in corporate-owned life insurance | 108 | (224) |
Purchase of premises and equipment | (893) | (23) |
Proceeds from the sale of trust REO | 4,421 | |
Net cash provided by investing activities | 109,604 | 312,363 |
CASH FLOWS FROM FINANCING ACTIVITIES | ||
Repayment of warehouse borrowings | (833,320) | (1,436,116) |
Borrowings under warehouse agreements | 585,576 | 1,432,348 |
Repayment of securitized mortgage borrowings | (78,818) | (342,581) |
Repayment of convertible notes | (5,000) | |
Net change in liabilities related to corporate-owned life insurance | 234 | 225 |
Issuance of restricted stock | 2 | 1 |
Net cash used in financing activities | (331,326) | (346,123) |
Net change in cash, cash equivalents and restricted cash | 31,157 | (3,686) |
Cash, cash equivalents and restricted cash at end of period | 66,369 | 56,066 |
NON-CASH TRANSACTIONS | ||
Transfer of securitized mortgage collateral to trust REO | 467 | 3,940 |
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 | $ 213 |
Summary of Business and Finan_4
Summary of Business and Financial Statement Presentation | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
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 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. 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 six months ended June 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. | IMPAC MORTGAGE HOLDINGS, INC. AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (dollars in thousands, except per share data or as otherwise indicated) Note 1. — Summary of Business and Financial Statement Presentation including Significant Accounting Policies Business Summary 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 Corporation (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. IMC’s mortgage lending operations include the activities of its division, CashCall Mortgage. Financial Statement Presentation Basis of Presentation The accompanying 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). All significant inter-company balances and transactions have been eliminated in consolidation. In addition, certain immaterial amounts in the prior periods’ consolidated financial statements have been reclassified to conform to the current year 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 consolidated 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, contingencies, the estimated obligation of repurchase liabilities related to sold loans, the valuation of long-term debt, mortgage servicing rights (MSRs), mortgage loans held-for-sale (LHFS) and derivative instruments, including interest rate lock commitments (IRLCs). Actual results could differ from those estimates and assumptions. Principles of Consolidation The accompanying consolidated financial statements include accounts of IMH and its wholly-owned subsidiaries. The usual condition for a controlling financial interest is ownership of a majority of the voting interests of an entity. However, a controlling financial interest may also exist in entities, such as variable interest entities (VIEs), through arrangements that do not involve voting interests. The VIE framework requires a variable interest holder (counterparty to a VIE) to consolidate the VIE if that party has the power to direct activities of the VIE that most significantly impact the entity’s economic performance, will absorb a majority of the expected losses of the VIE, will receive a majority of the residual returns of the VIE, or both, and directs the significant activities of the entity. This party is considered the primary beneficiary of the entity. The determination of whether the Company meets the criteria to be considered the primary beneficiary of a VIE requires an evaluation of all transactions (such as investments, liquidity commitments, derivatives and fee arrangements) with the entity. The assessment of whether or not the Company is the primary beneficiary of the VIE is performed on an ongoing basis. Significant Accounting Policies Fair Value and the Fair Value Option Fair value is a market-based measurement, not an entity-specific measurement. For some assets and liabilities, observable market transactions or market information might be available. For other assets and liabilities, observable market transactions and market information might not be available. However, the objective of a fair value measurement in both cases is the same — to estimate the price at which an orderly transaction to sell the asset or to transfer the liability would take place between market participants at the measurement date under current market conditions (that is, an exit price at the measurement date from the perspective of a market participant that holds the asset or owes the liability). The fair value option permits entities to choose, at specified election dates, to measure eligible financial assets and financial liabilities at fair value. The decision to elect the fair value option is applied on an instrument by instrument basis, is irrevocable unless a new election date occurs, and is applied to an entire instrument. Cash and Cash Equivalents and Restricted Cash Cash and cash equivalents consist of cash and highly liquid investments with maturities of three months or less at the date of acquisition. The carrying amount of cash and cash equivalents approximates fair value. Cash balances that have restrictions as to the Company’s ability to withdraw funds are considered restricted cash. At December 31, 2021 and 2020, restricted cash totaled $5.7 million and $5.6 million, respectively. The restricted cash is the result of the terms of the Company’s warehouse borrowing agreements as well as collateral against letter of credit financing associated with corporate-owned life insurance (See Note 13. — Commitments and Contingencies). In accordance with the terms of the Master Repurchase Agreements related to the warehouse borrowings, the Company is required to maintain cash balances with the lender as additional collateral for the borrowings (See Note 5. — Debt). Mortgage Loans Held-for-Sale Mortgage LHFS are accounted for using the fair value option, with changes in fair value recorded in gain on sale of loans, net in the accompanying consolidated statements of operations and comprehensive loss. In accordance with Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) 825, Financial Instruments Revenue derived from the Company’s mortgage lending activities includes loan fees collected at the time of origination and gain or loss from the sale of LHFS. Loan fees consist of fee income earned on all loan originations, including loans closed and held-for-sale. Loan fees are recognized as earned and consist of amounts collected for application and underwriting fees, fees on cancelled loans and discount points. The related direct loan origination costs are recognized when incurred and consists of broker fees and commissions. Gain or loss from the sale and mark-to-market adjustments of LHFS includes both realized and unrealized gains and losses and are included in gain on sale of loans, net in the accompanying consolidated statements of operations and comprehensive loss. The valuation of LHFS approximates a whole-loan price, which includes the value of the related mortgage servicing rights. The Company primarily sells its LHFS to investors and government sponsored entities (GSEs). The Company evaluates its loan sales for sales treatment. To the extent the transfer of loans qualifies as a sale, the Company derecognizes the loans and records a realized gain or loss on the sale date. In the event the Company determines that the transfer of loans does not qualify as a sale, the transfer would be treated as a secured borrowing. Interest on loans is recorded as income when earned and deemed collectible. LHFS are placed on nonaccrual status when any portion of the principal or interest is 90 days past due or earlier if factors indicate that the ultimate collectability of the principal or interest is not probable. Interest received from loans on nonaccrual status is recorded as income when collected. Loans return to accrual status when the principal and interest become current and it is probable that the amounts are fully collectible. Mortgage Servicing Rights The Company accounts for mortgage loan sales in accordance with FASB ASC 860, Transfers and Servicing Changes in estimated fair value are reported in the accompanying consolidated statements of operations and comprehensive loss within loss on mortgage servicing rights, net. When the Company sells mortgage servicing rights, the Company records a gain or loss on such sale based on the selling price of the mortgage servicing rights less the carrying value and transaction costs. Gains and losses are reported in the accompanying consolidated statements of operations and comprehensive loss within loss on mortgage servicing rights, net. Consolidated Non-recourse Securitizations Securitized Mortgage Collateral The Company’s long-term mortgage portfolio primarily includes adjustable rate and, to a lesser extent, fixed rate non-conforming mortgages and commercial mortgages that were acquired and originated by the Company’s mortgage and commercial operations prior to 2008. Historically, the Company securitized mortgages in the form of collateralized mortgage obligations (CMO) or real estate mortgage investment conduits (REMICs). These securitizations are evaluated for consolidation based on the provisions of FASB ASC 810-10- 25. Amounts consolidated are included in trust assets and liabilities as securitized mortgage collateral, real estate owned (REO) and securitized mortgage borrowings in the accompanying consolidated balance sheets. The Company also retained the master servicing rights associated with these securitizations which pays the Company approximately 3 basis points on the outstanding unpaid principal balance (UPB) of each securitization trust. The retention of the master servicing rights or the retained economic subordinated residual interests provide the Company with clean up call rights on these securitizations. The Company accounts for securitized mortgage collateral at fair value, with changes in fair value during the period reflected in earnings. Fair value measurements are based on the Company’s estimated cash flow models, which incorporate assumptions, inputs of other market participants and quoted prices for the underlying bonds. The Company’s assumptions include its expectations of inputs that other market participants would use. These assumptions include judgments about the underlying collateral, prepayment speeds, credit losses, investor yield requirements, forward interest rates and certain other factors. Interest income on securitized mortgage collateral is recorded using the effective yield for the period based on the previous quarter-end’s estimated fair value. Securitized mortgage collateral is generally not placed on nonaccrual status as the servicer advances the interest payments to the trust regardless of the delinquency status of the underlying mortgage loan, until it becomes apparent to the servicer that the advance is not collectible. Real Estate Owned Real estate owned on the consolidated balance sheets are primarily assets within the securitized trusts but are recorded as a separate asset for accounting and reporting purposes and are within the long-term mortgage portfolio. REO, which consists of residential real estate acquired in satisfaction of loans, is carried at net realizable value, which includes the estimated fair value of the residential real estate less estimated selling and holding costs. Adjustments to the loan carrying value required at the time of foreclosure affect the carrying amount of REO. Subsequent write-downs in the net realizable value of REO are included in change in fair value of net trust assets, including trust REO gains (losses) in the consolidated statements of operations and comprehensive loss. Securitized Mortgage Borrowings The Company records securitized mortgage borrowings in the accompanying consolidated balance sheets for the consolidated CMO and REMIC securitized trusts within the long-term mortgage portfolio. The debt from each issuance of a securitized mortgage borrowing is payable from the principal and interest payments on the underlying mortgages collateralizing such debt, as well as the proceeds from liquidations of REO. If the principal and interest payments are insufficient to repay the debt, the shortfall is allocated first to the residual interest holders (generally owned by the Company) then, if necessary, to the certificate holders (e.g. third party investors in the securitized mortgage borrowings) in accordance with the specific terms of the various respective indentures. Securitized mortgage borrowings typically are structured as one-month London Interbank Offered Rate (LIBOR) “floaters” and fixed rate securities with interest payable to certificate holders monthly. The maturity of each class of securitized mortgage borrowing is directly affected by the amount of net interest spread, overcollateralization and the rate of principal prepayments and defaults on the related securitized mortgage collateral. The actual maturity of any class of a securitized mortgage borrowing can occur later than the stated maturities of the underlying mortgages. When the Company issued securitized mortgage borrowings, the Company generally sought an investment grade rating for the Company’s securitized mortgages by nationally recognized rating agencies. To secure such ratings, it was often necessary to incorporate certain structural features that provide for credit enhancement. This generally included the pledge of collateral in excess of the principal amount of the securities to be issued, a bond guaranty insurance policy for some or all of the issued securities, or additional forms of mortgage insurance. These securitization transactions are non-recourse to the Company and the total loss exposure is limited to the Company’s initial net economic investment in each trust, which is referred to as a residual interest. The Company accounts for securitized mortgage borrowings at fair value, with changes in fair value during the period reflected in earnings. Fair value measurements are based on the Company’s estimated cash flow models, which incorporate assumptions, inputs of other market participants and quoted prices for the underlying bonds. The Company’s assumptions include its expectations of inputs that other market participants would use. These assumptions include judgments about the underlying collateral, prepayment speeds, credit losses, investor yield requirements, forward interest rates and certain other factors. Interest expense on securitized mortgage borrowings are recorded quarterly using the effective yield for the period based on the previous quarter-end’s estimated fair value. Leases The Company has three operating leases for office space expiring at various dates through 2024 and one financing lease which concludes in 2023. The Company determines if a contract is a lease at the inception of the arrangement and reviews all options to extend, terminate, or purchase its right of use (ROU) assets at the inception of the lease and accounts for these options when they are reasonably certain of being exercised. Regarding the discount rate, Leases (Topic 842) requires the use of the rate implicit in the lease whenever this rate is readily determinable. When the Company cannot readily determine the rate implicit in the lease, the Company determines its incremental borrowing rate by using the rate of interest that it would have to pay to borrow on a collateralized basis over a similar term. As a practical expedient permitted under Topic 842, the Company elected to account for the lease and non-lease components as a single lease component for all leases of which it is the lessee. Leases with an initial term of 12 months or less are not recorded in the consolidated balance sheets and lease expense for these leases is recognized on a straight-line basis over the lease term. Derivative Instruments In accordance with FASB ASC 815-10 Derivatives and Hedging — Overview The mortgage lending operation enters into IRLCs with consumers to originate mortgage loans at a specified interest rate. These IRLCs are accounted for as derivative instruments and reported at fair value. The concept of fair value relating to IRLCs is no different than fair value for any other financial asset or liability: fair value is the price at which an orderly transaction to sell the asset or to transfer the liability would take place between market participants at the measurement date under current market conditions. Because IRLCs do not trade in the market, the Company determines the estimated fair value based on expectations of what an investor would pay to acquire the Company’s IRLCs, which utilizes current market information for secondary market prices for underlying loans and estimated servicing value with similar coupons, maturities and credit quality, subject to the anticipated loan funding probability (pull- through rate). This value is adjusted for other costs that would be required by a market participant acquiring the IRLCs. The fair value of IRLCs is subject to change primarily due to changes in interest rates and the estimated pull-through rate. The Company reports IRLCs within other assets and other liabilities at fair value with changes in fair value being recorded in the accompanying consolidated statements of operations and comprehensive loss within gain on sale of loans, net. The Company hedges the changes in fair value associated with changes in interest rates related to IRLCs and uncommitted LHFS by using forward delivery commitments on mortgage-backed securities, including Federal National Mortgage Association (Fannie Mae or FNMA) and Government National Mortgage Association (Ginnie Mae or GNMA) mortgage-backed securities known as to-be-announced mortgage-backed securities (TBA MBS or Hedging Instruments) as well as forward delivery commitments on whole loans. The Hedging Instruments and forward delivery loan commitments are used to fix the forward sales price that will be realized upon the sale of mortgage loans into the secondary market and are accounted for as derivative instruments. The fair value of Hedging Instruments and forward delivery loan commitments are subject to change primarily due to changes in interest rates. The Company reports Hedging Instruments and forward delivery loan commitments within other assets and other liabilities at fair value with changes in fair value being recorded in the accompanying consolidated statements of operations and comprehensive loss within gain on sale of loans, net. The fair value of IRLCs and Hedging Instruments are represented as derivative assets, lending, net and derivative liabilities, lending, net in Note 9. — Fair Value of Financial Instruments . Long-term Debt Long- term debt (junior subordinated notes) is reported at fair value. These securities are measured based upon an analysis prepared by management, which considers the Company’s own credit risk and discounted cash flow analysis. With the adoption of FASB ASU 2016-01 in 2018, which applies when the Company elects the fair value election on its own debt, the Company effectively bifurcates the market and instrument specific credit risk components of changes in long-term debt. The market portion continues to be a component of net loss as the change in fair value of long-term debt, but the instrument specific credit risk portion is a component of accumulated other comprehensive loss in the accompanying consolidated statements of operations and comprehensive loss. Repurchase Reserve The Company sells mortgage loans in the secondary market, including U.S. GSEs, and issues mortgage- backed securities through Ginnie Mae and Fannie Mae. When the Company sells or issues securities, 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 laws. In the event of a breach of its representations and warranties, the Company may be required to either repurchase the mortgage loans with the identified defects or indemnify the investor or insurer for any loss. In addition, the Company may be required to repurchase loans as a result of borrower fraud or if a payment default occurs on a mortgage loan shortly after its sale. The Company’s loss may be reduced by proceeds from the sale or liquidation of the repurchased loan. Also, the Company’s loss may be reduced by any recourse it has to correspondent lenders that, in turn, had sold such mortgage loans to the Company and breached similar or other representations and warranties. In such event, the Company has the right to seek a recovery of related repurchase losses from that correspondent lender. The Company records a provision for losses relating to such representations and warranties as part of its loan sale transactions. The method used to estimate the liability for representations and warranties is a function of the representations and warranties given and considers a combination of factors, including, but not limited to, estimated future defaults and loan repurchase rates and the potential severity of loss in the event of defaults including any loss on sale or liquidation of the repurchased loan and the probability of reimbursement by the correspondent loan seller. The Company establishes a liability at the time loans are sold and continually updates its estimated repurchase liability. The level of the repurchase liability for representations and warranties is difficult to estimate and requires considerable management judgment. The level of mortgage loan repurchase losses is dependent on economic factors, investor demands for loan repurchases and other external conditions that may change over the lives of the underlying loans. Revenue Recognition for Fees from Services The Company follows FASB ASC 606, Revenue Recognition The Company’s primary sources of revenue are derived from financial instruments that are not within the scope of FASB ASC 606. The Company has evaluated the nature of its contracts with customers and determined that further disaggregation of revenue from contracts with customers into more granular categories beyond what is presented in the consolidated statements of operations and comprehensive loss, was not necessary. The Company generally fully satisfies its performance obligations on its contracts with customers as services are rendered and the transaction prices are typically fixed; charged either on a periodic basis or based on activity. Because performance obligations are satisfied as services are rendered and the transaction prices are fixed, the Company has made no significant judgments in applying the revenue guidance prescribed in ASC 606 that affect the determination of the amount and timing of revenue from contracts with customers. The revenues from these services are recognized in income in the period when services are rendered and collectability is reasonably certain. Advertising Costs Advertising costs are expensed as incurred and are included in business promotion expense in the accompanying consolidated statements of operations and comprehensive loss. For the years ended December 31, 2021 and 2020, business promotion expense was Equity-Based Compensation The Company accounts for stock-based compensation in accordance with FASB ASC 718 Compensation — Stock Compensation FASB ASC 718 requires forfeitures to be estimated at the time of grant and prospectively revised, if necessary, in subsequent periods if actual forfeitures differ from initial estimates. Stock-based compensation expense is recorded net of estimated forfeitures for the years ended December 31, 2021 and 2020, such that the expense was recorded only for those stock-based awards that were expected to vest during such periods. The cost of equity-based compensation is recorded to personnel expense. Refer to Note 14. — Share Based Payments and Employee Benefit Plans. Income Taxes In accordance with FASB ASC 740, Income Taxes The Company is subject to federal income taxes as a regular (Subchapter C) corporation and files a consolidated U.S. federal income tax return on qualifying subsidiaries. The Company files federal and various states income tax returns in the U.S. The Company adopted FASB ASU 2019-12 on a prospective basis on January 1, 2020 (See Note 11. — Income Taxes). The most significant impact to the Company included the removal of the exception to the incremental approach for intraperiod tax allocation when there is a loss from continuing operations and income or a gain from other items (for example, discontinued operations or other comprehensive income). The changes also add a requirement for an entity to reflect the effect of an enacted change in tax laws or rates in the annual effective tax rate computation in the interim period that includes the enactment date. The adoption of this standard did not have a material impact on the Company's consolidated financial statements. Loss Per Common Share Basic loss per common share is computed on the basis of the weighted average number of shares outstanding for the year divided by net loss for the year. Diluted loss per common share is computed on the basis of the weighted average number of shares and dilutive common equivalent shares outstanding for the year divided by net loss for the year, unless anti-dilutive. Refer to Note 10.—Reconciliation of Loss Per Common Share. Recent Accounting Pronouncements Not Yet Effective In June 2016, the FASB issued ASU 2016-13, “Financial Instruments — Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments,” , earlier recognition of allowances for losses. For available-for-sale debt securities with unrealized losses, entities will measure credit losses in a manner similar to current practice, except that the losses will be recognized as an allowance. Subsequent to issuing ASU 2016-13, the FASB issued ASU 2018-19, “ Codification Improvements to Topic 326, Financial Instruments — Credit Losses” Codification Improvements to Topic 326, Financial Instruments-Credit Losses, Topic 815, Derivatives and Hedging Topic 825, Financial Instruments (ASU 2019-04) Financial Instruments — Credit Losses (Topic 326)” In March 2020 and January 2021, the FASB issued 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 does not expect the adoption of this ASU to have a material impact on the Company’s consolidated financial statements. In August 2020, the FASB issued ASU 2020-06, Debt — Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging — Contracts in Entity’s Own Equity (Subtopic 815-40): Accounting for Convertible Instruments and Contracts in an Entity’s Own Equity 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. |
Mortgage Loans Held-for-Sale_2
Mortgage Loans Held-for-Sale | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
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: June 30, December 31, 2022 2021 Government (1) $ 613 $ 6,886 Conventional (2) 7,375 62,759 Jumbo & Non-qualified mortgages (NonQM) 28,839 231,142 Fair value adjustment (3) 208 7,690 Total mortgage loans held-for-sale $ 37,035 $ 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 gain on sale of loans, net in the accompanying consolidated statements of operations and comprehensive loss. At June 30, 2022 and December 31, 2021, the Company had no mortgage loans that were 90 days or more delinquent. Gain on sale of loans, net in the consolidated statements of operations and comprehensive loss, is comprised of the following for the three and six months ended June 30, 2022 and 2021: For the Three Months Ended For the Six Months Ended June 30, June 30, 2022 2021 2022 2021 Gain on sale of mortgage loans $ 2,562 $ 17,852 $ 16,587 $ 39,115 Premium from servicing retained loan sales — 92 46 213 Unrealized loss from derivative financial instruments (1,244) (2,880) (2,558) (3,095) Gain (loss) from derivative financial instruments 1,862 (315) 6,005 2,914 Mark to market (loss) gain on LHFS (217) 271 (7,482) (597) Direct origination expenses, net (925) (3,737) (4,031) (7,938) Change in provision for repurchases (1,859) (590) (2,433) 212 Gain on sale of loans, net $ 179 $ 10,693 $ 6,134 $ 30,824 | Note 2. — Mortgage Loans held-for-sale A summary of the UPB of mortgage LHFS by type is presented below: December 31, December 31, 2021 2020 Government (1) $ 6,886 $ 7,924 Conventional (2) 62,759 141,139 Jumbo & Non-qualified mortgages (NonQM) 231,142 11,064 Fair value adjustment (3) 7,690 4,295 Total mortgage loans held-for-sale $ 308,477 $ 164,422 (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 Fannie Mae and Federal home Loan Mortgage Corporation (Freddie Mac or FHLMC). (3) Changes in fair value are included in gain on sale of loans, net on the accompanying consolidated statements of operations and comprehensive loss. As of December 31, 2021, the Company had no mortgage LHFS that were 90 days or more delinquent. As of December 31, 2020, there were million. Gain on sale of loans, net in the consolidated statements of operations and comprehensive loss is comprised of the following for the years ended December 31, 2021 and 2020: For the Year Ended December 31, 2021 2020 Gain on sale of mortgage loans $ 81,362 $ 59,330 Premium from servicing retained loan sales 536 2,094 Unrealized loss from derivative financial instruments (4,076) (7) Gain (loss) from derivative financial instruments 1,934 (11,040) Mark to market gain (loss) on LHFS 3,395 (15,955) Direct origination expenses, net (17,746) (15,191) Change in provision for repurchases (111) (5,227) Gain on sale of loans, net $ 65,294 $ 14,004 On July 7, 2020, the Company received notification from Freddie Mac that the Company’s eligibility to sell whole loans to Freddie Mac was suspended, without cause. As noted in Freddie Mac’s Seller/Servicer Guide, Freddie Mac may elect, in its sole discretion, to suspend a Seller from eligibility, without cause, thereby restricting the Seller from obtaining new purchase commitments during the suspension period. |
Mortgage Servicing Rights_2
Mortgage Servicing Rights | 6 Months Ended |
Jun. 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 six months ended June 30, 2022 and year ended December 31, 2021: June 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) 55 (126) Fair value of MSRs at end of period $ 850 $ 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. At June 30, 2022 and December 31, 2021, the UPB of the mortgage servicing portfolio was comprised of the following: June 30, December 31, 2022 2021 Government insured $ 71,381 $ 71,841 Conventional — — Total loans serviced $ 71,381 $ 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. June 30, December 31, Mortgage Servicing Rights Sensitivity Analysis 2022 2021 Fair value of MSRs $ 850 $ 749 Prepayment Speed: Decrease in fair value from 10% adverse change (18) (24) Decrease in fair value from 20% adverse change (37) (48) Decrease in fair value from 30% adverse change (56) (70) Discount Rate: Decrease in fair value from 10% adverse change (38) (31) Decrease in fair value from 20% adverse change (72) (59) Decrease in fair value from 30% adverse change (104) (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 (loss) on mortgage servicing rights, net is comprised of the following for the three and six months ended June 30, 2022 and 2021: For the Three Months Ended For the Six Months Ended June 30, June 30, 2022 2021 2022 2021 Change in fair value of mortgage servicing rights $ (6) $ (37) $ 55 $ 1 Gain on sale of mortgage servicing rights 51 — 100 — Gain (loss) on mortgage servicing rights, net $ 45 $ (37) $ 155 $ 1 Servicing fees (expense), net is comprised of the following for the three and six months ended June 30, 2022 and 2021: For the Three Months Ended For the Six Months Ended June 30, June 30, 2022 2021 2022 2021 Contractual servicing fees $ 64 $ 41 $ 134 $ 73 Subservicing and other costs (57) (191) (139) (342) Servicing fees (expense), net $ 7 $ (150) $ (5) $ (269) 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 June 30, 2022 and December 31, 2021, loans eligible for repurchase from GNMA totaled $608 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. |
Leases
Leases | 6 Months Ended |
Jun. 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 six months ended June 30, 2022, cash paid for operating leases was $1.2 million and $2.4 million, respectively, while total operating lease expense was $1.1 million and $2.1 million, respectively. During the three and six months ended June 30, 2021, cash paid for operating leases was $1.1 million and $2.3 million, respectively, while total operating lease expense was $984 thousand and $2.0 million, respectively. Operating lease expense includes short-term leases and sublease income, both of which are immaterial. Additionally, during the three and six months ended June 30, 2022, the Company recorded right of use (ROU) asset impairment of $123 thousand related to the sublease of approximately 29,000 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. 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 June 30, 2022: June 30, Lease Assets and Liabilities Classification 2022 Assets Lease ROU assets Other assets $ 8,366 Liabilities Lease liabilities Other liabilities $ 10,481 Weighted average remaining lease term (in years) 2.2 Weighted average discount rate 4.8 % The following table presents the maturity of the Company’s operating and financing lease liabilities as of June 30, 2022: Year remaining 2022 $ 2,415 Year 2023 4,909 Year 2024 3,729 Total lease commitments $ 11,053 Less: imputed interest (572) Total lease liability $ 10,481 |
Debt_2
Debt | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
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 June 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 June 30, December 31, Capacity 2022 2021 Maturity Date Short-term borrowings: Repurchase agreement 1 (1) $ — $ — $ 30,009 May 24, 2022 Repurchase agreement 2 (2) 200,000 19,838 153,006 September 13, 2022 Repurchase agreement 3 300,000 6,136 56,794 September 23, 2022 Repurchase agreement 4 50,000 11,821 45,730 March 31, 2023 Total warehouse borrowings $ 550,000 $ 37,795 $ 285,539 (1) Repurchase agreement 1 was not renewed. (2) In July 2022, the maximum borrowing capacity was reduced to $50.0 million and the Company does not anticipate renewing the line upon expiration. 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. 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 June 30, 2022 and December 31, 2021: June 30, December 31, 2022 2021 Junior Subordinated Notes (1) $ 62,000 $ 62,000 Fair value adjustment (26,111) (15,464) Total Junior Subordinated Notes $ 35,889 $ 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. | Note 5. — Debt The following table shows contractual future debt maturities as of December 31, 2021: Payments Due by Period Less Than One to Three to More Than Total One Year Three Years Five Years Five Years Warehouse borrowings $ 285,539 $ 285,539 $ — $ — $ — Convertible notes 20,000 20,000 — — — Long-term debt 62,000 — — — 62,000 Total debt obligations $ 367,539 $ 305,539 $ — $ — $ 62,000 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 Company’s warehouse lines are scheduled to expire in 2022 under 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. As of December 31, 2021 and 2020, there was $1.3 million and $1.3 million, respectively, held in these accounts which are recorded as a component of restricted cash on the consolidated balance sheets. Under the terms of these warehouse lines, the Company is required to maintain various financial and other covenants. At December 31, 2021, 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 Allowable Borrowing December 31, December 31, Advance Rate Capacity 2021 2020 Rates (%) Range Maturity Date Short-term borrowings: Repurchase agreement 1 (1) $ 65,000 $ 30,009 $ 49,963 90 - 98 1ML + 2.00 – 2.25% March 24, 2022 Repurchase agreement 2 200,000 153,006 51,310 100 1ML + 1.75% September 13, 2022 Repurchase agreement 3 300,000 56,794 50,659 100 Note Rate – 0.375% September 23, 2022 Repurchase agreement 4 50,000 45,730 — 99 Note Rate – 0.50 – 0.75% March 31, 2022 Total warehouse borrowings $ 615,000 $ 285,539 $ 151,932 (1) The maximum borrowing capacity of repurchase agreement 1 was temporarily increased to $65.0 million from $50.0 million until February 25, 2022. The following table presents certain information on warehouse borrowings for the periods indicated: For the Year Ended December 31, 2021 2020 Maximum outstanding balance during the year $ 336,648 $ 810,818 Average balance outstanding for the year 191,794 252,565 UPB of underlying collateral (mortgage loans) 296,841 153,675 Weighted average interest rate for period 3.41 % 3.74 % MSR Financings In May 2018, IMC (Borrower) amended the Line of Credit Promissory Note (FHLMC and GNMA Financing) originally entered into in August 2017, increasing the maximum borrowing capacity of the revolving line of credit to $60.0 million, increasing the borrowing capacity up to 60% of the fair market value of the pledged mortgage servicing rights and reducing the interest rate per annum to one-month LIBOR plus 3.0% . As part of the May 2018 amendment, the obligations under the Line of Credit were secured by FHLMC and GNMA pledged mortgage servicing rights (subject to an acknowledgement agreement) and was guaranteed by IRES. In January 2020, the maturity of the line was extended to March 31, 2020. In April 2020, the maturity of the line was extended to May 31, 2020. In May 2020, the line was repaid with the proceeds from the MSR sale (as disclosed in Note 3.—Mortgage Servicing Rights) and the line expired. The following table presents certain information on MSR Financings for the periods indicated: For the Year Ended December 31, 2021 2020 Maximum outstanding balance during the year $ — $ 15,000 Average balance outstanding for the year — 2,943 Weighted average rate for period — % 3.91 % MSR Advance Financing In April 2020, Ginnie Mae announced they revised and expanded their issuer assistance program to provide financing to fund servicer advances through the Pass-Through Assistance Program (PTAP). The PTAP funds advanced by Ginnie Mae bear interest at a fixed rate that will apply to a given months pass-through assistance and will be posted on Ginnie Mae’s website each month. The maturity date was the earlier of the 2021. In July 2020, the outstanding PTAP funds were repaid. At December 31, 2021 and 2020, the Company had 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 . The warrants are exercisable commencing on October 16, 2020 and expire on April 15, 2025. The First Amendment was accounted for as an extinguishment. 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 upon conclusion of the term on November 9, 2020. The new notes have an 18-month term due 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 remains at 7.0% per annum. The Second Amendment was accounted for as an extinguishment. Long-term Debt The Company carries its Junior Subordinated Notes at estimated fair value as more fully described in Note 9. — Fair Value of Financial Instruments. The following table shows the remaining principal balance and fair value of Junior Subordinated Notes issued as of December 31, 2021 and 2020: December 31, 2021 2020 Junior Subordinated Notes (1) $ 62,000 $ 62,000 Fair value adjustment (15,464) (17,587) Total Junior Subordinated Notes $ 46,536 $ 44,413 (1) Stated maturity of March 2034; requires quarterly interest payments at a variable rate of 3-month LIBOR plus 3.75% per annum. At December 31, 2021, the interest rate was 3.97%. |
Securitized Mortgage Trusts_2
Securitized Mortgage Trusts | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
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 June 30, 2022 and December 31, 2021: June 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 June 30, 2022 and December 31, 2021: June 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 six months ended June 30, 2022 and 2021: For the Three Months Ended For the Six Months Ended June 30, June 30, 2022 2021 2022 2021 Change in fair value of net trust assets, excluding REO $ — $ (1,828) $ 9,248 $ (5,373) (Losses) gains from trust REO — (313) — 1,559 Change in fair value of net trust assets, including trust REO gains (losses) $ — $ (2,141) $ 9,248 $ (3,814) | Note 6. — Securitized Mortgage Trusts Securitized Mortgage Trust Assets Securitized mortgage trust assets are comprised of the following at December 31, 2021 and 2020: December 31, December 31, 2021 2020 Securitized mortgage collateral, at fair value $ 1,639,251 $ 2,100,175 REO, at net realizable value (NRV) 3,479 3,094 Total securitized mortgage trust assets $ 1,642,730 $ 2,103,269 Securitized Mortgage Collateral Securitized mortgage collateral consisted of the following: December 31, December 31, 2021 2020 Mortgages secured by residential real estate $ 1,653,749 $ 2,205,575 Mortgages secured by commercial real estate 89,801 170,418 Fair value adjustment (104,299) (275,818) Total securitized mortgage collateral, at fair value $ 1,639,251 $ 2,100,175 As of December 31, 2021, the Company was also a master servicer of mortgages for others of approximately $164.6 million in UPB that were primarily collateralizing REMIC securitizations, compared to $216.3 million at December 31, 2020. Related fiduciary funds are held in trust for investors in non-interest bearing accounts and are not included in the Company’s consolidated balance sheets. The Company may also be required to advance funds or cause loan servicers to advance funds to cover principal and interest payments not received from borrowers depending on the status of their mortgages. Real Estate Owned The Company’s REO consisted of the following: December 31, December 31, 2021 2020 REO $ 10,335 $ 10,140 Impairment (1) (6,856) (6,967) Ending balance $ 3,479 $ 3,173 REO inside trusts $ 3,479 $ 3,094 REO outside trusts — 79 Total $ 3,479 $ 3,173 (1) Impairment represents the cumulative write-downs of net realizable value subsequent to foreclosure. Securitized Mortgage Trust Liabilities Securitized mortgage trust liabilities, which are recorded at estimated fair market value as more fully described in Note 9.—Fair Value of Financial Instruments, are comprised of the following at December 31, 2021 and 2020: December 31, December 31, 2021 2020 Securitized mortgage borrowings $ 1,614,862 $ 2,086,557 Securitized Mortgage Borrowings – Non-recourse Selected information on securitized mortgage borrowings for the periods indicated consisted of the following (dollars in millions): Securitized mortgage borrowings outstanding as of December 31, Range of Interest Rates (%) Interest Interest Rate Rate Original Fixed Margins over Margins after Issuance Interest One-Month Contractual Year of Issuance Amount 2021 2020 Rates LIBOR (1) Call Date (2) 2002 $ 3,876.1 $ 2.7 $ 3.4 5.25 – 12.00 0.27 – 2.75 0.54 – 3.68 2003 5,966.1 12.9 19.1 4.34 – 12.75 0.27 – 3.00 0.54 – 4.50 2004 17,710.7 210.9 287.3 3.58 – 5.56 0.25 – 2.50 0.50 – 3.75 2005 13,387.7 1,198.2 1,404.6 — 0.24 – 2.90 0.48 – 4.35 2006 5,971.4 1,626.0 1,860.3 6.25 0.10 – 2.75 0.20 – 4.13 2007 3,860.5 882.5 1,012.5 — 0.06 – 2.00 0.12 – 3.00 Subtotal contractual principal balance (3) 3,933.2 4,587.2 Fair value adjustment (4) (2,318.3) (2,500.6) Total securitized mortgage borrowings $ 1,614.9 $ 2,086.6 (1) One-month LIBOR was 0.10% as of December 31, 2021. (2) Interest rate margins are generally adjusted when the unpaid principal balance is reduced to less than 10-20% of the original issuance amount, or if certain other triggers are met. (3) Represents the outstanding balance in accordance with trustee reporting. (4) Fair value adjustment is inclusive of $ 2.2 billion in bond losses at December 31, 2021 and 2020. As of December 31, 2021, expected principal reductions of the securitized mortgage borrowings, which is based on contractual principal payments and expected prepayment and loss assumptions for securitized mortgage collateral, was as follows (dollars in millions): Payments Due by Period Less Than One to Three to More Than Total One Year Three Years Five Years Five Years Securitized mortgage borrowings (1) $ 3,933.2 $ 420.8 $ 511.4 $ 296.4 $ 2,704.6 (1) Represents the outstanding balance in accordance with trustee reporting. Change in Fair Value of Net Trust Assets, including Trust REO Losses Changes in fair value of net trust assets, including trust REO losses are comprised of the following for the years ended December 31, 2021 and 2020: For the Year Ended December 31, 2021 2020 Change in fair value of net trust assets, excluding REO $ 6,471 $ (13,081) Gains from trust REO 111 7,393 Change in fair value of net trust assets, including trust REO gains $ 6,582 $ (5,688) Call Rights The Company holds cleanup call options (call rights) with respect to its securitized trusts whereby, when the UPB of the underlying residential mortgage loans falls below a pre-determined threshold, the Company can purchase the underlying residential mortgage loans at par, plus unreimbursed servicer advances, resulting in the repayment of all of the outstanding securitization financing at par. The Company’s ability to exercise its call rights is limited based available capital and liquidity, and/or in situations where the related securitization trustee does not permit the exercise of such rights. The Company holds the cleanup call options through either its economically owned residuals interests or its master servicing rights. To date, the Company has not exercised any call rights with respect to these securitized trusts however evaluates the potential economic benefits within its fair value estimation process. |
Fair Value of Financial Instr_9
Fair Value of Financial Instruments | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
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: June 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 $ 61,173 $ 61,173 $ — $ — $ 29,555 $ 29,555 $ — $ — Restricted cash 5,196 5,196 — — 5,657 5,657 — — Mortgage loans held-for-sale 37,035 — 37,035 — 308,477 — 308,477 — Mortgage servicing rights 850 — — 850 749 — — 749 Derivative assets, lending, net (1) 510 — 12 498 3,111 — — 3,111 Securitized mortgage collateral — — — — 1,639,251 — — 1,639,251 Liabilities Warehouse borrowings $ 37,795 $ — $ 37,795 $ — $ 285,539 $ — $ 285,539 $ — Convertible notes 15,000 — — 15,000 20,000 — — 20,000 Long-term debt 35,889 — — 35,889 46,536 — — 46,536 Securitized mortgage borrowings — — — — 1,614,862 — — 1,614,862 Derivative liabilities, lending, net (2) 12 — 12 — 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 40% and 83% and 84% , respectively, of total assets and total liabilities measured at estimated fair value at June 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 six months ended June 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 June 30, 2022 and December 31, 2021, based on the fair value hierarchy: Recurring Fair Value Measurements June 30, 2022 December 31, 2021 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 Assets Mortgage loans held-for-sale $ — $ 37,035 $ — $ — $ 308,477 $ — Derivative assets, lending, net (1) — 12 498 — — 3,111 Mortgage servicing rights — — 850 — — 749 Securitized mortgage collateral — — — — — 1,639,251 Total assets at fair value $ — $ 37,047 $ 1,348 $ — $ 308,477 $ 1,643,111 Liabilities Securitized mortgage borrowings $ — $ — $ — $ — $ — $ 1,614,862 Long-term debt — — 35,889 — — 46,536 Derivative liabilities, lending, net (2) — 12 — — 55 — Total liabilities at fair value $ — $ 12 $ 35,889 $ — $ 55 $ 1,661,398 (1) At June 30, 2022, derivative assets, lending, net included $498 thousand in IRLCs and $12 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. 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 June 30, 2022 and 2021: Level 3 Recurring Fair Value Measurements For the Three Months Ended June 30, 2022 Interest Securitized Securitized Mortgage rate lock Long- mortgage mortgage servicing commitments, term collateral borrowings rights net debt Fair value, March 31, 2022 $ — $ — $ 856 $ 846 $ (47,549) Total gains (losses) included in earnings: Interest income — — — — — Interest expense — — — — (357) Change in fair value — — (6) (348) 1,980 Change in instrument specific credit risk — — — — 10,037 (1) Total gains (losses) included in earnings — — (6) (348) 11,660 Transfers in and/or out of Level 3 — — — — — Purchases, issuances and settlements: Purchases — — — — — Issuances — — — — — Settlements — — — — — Fair value, June 30, 2022 $ — $ — $ 850 $ 498 $ (35,889) (1) Amount represents the change in instrument specific credit risk in other comprehensive gain (loss) in the consolidated statements of operations and comprehensive loss. Level 3 Recurring Fair Value Measurements For the Three Months Ended June 30, 2021 Interest Securitized Securitized Mortgage rate lock Long- mortgage mortgage servicing commitments, term collateral borrowings rights net debt Fair value, March 31, 2021 $ 2,038,545 $ (2,028,210) $ 498 $ 5,078 $ (45,361) Total gains (losses) included in earnings: Interest income (1) (4,722) — — — — Interest expense (1) — (8,909) — — (418) Change in fair value (2,550) 722 (37) (816) 1,417 Change in instrument specific credit risk — — — — (538) (2) Total gains (losses) included in earnings (7,272) (8,187) (37) (816) 461 Transfers in and/or out of Level 3 — — — — — Purchases, issuances and settlements: Purchases — — — — — Issuances — — 92 — — Settlements (172,850) 189,173 — — — Fair value, June 30, 2021 $ 1,858,423 $ (1,847,224) $ 553 $ 4,262 $ (44,900) (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 $2.1 million for the three months ended June 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 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 gain (loss) in the consolidated statements of operations and comprehensive loss. 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 six months ended June 30, 2022 and 2021: Level 3 Recurring Fair Value Measurements For the Six Months Ended June 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) — — (743) Change in fair value 9,248 — 55 (2,613) 3,622 Change in instrument specific credit risk — — — — 7,768 (2) Total gains (losses) included in earnings 11,267 (7,564) 55 (2,613) 10,647 Transfers in and/or out of Level 3 — — — — — Purchases, issuances and settlements: Purchases — — — — — Issuances — — 46 — — Settlements (1,650,518) 1,622,426 — — — Fair value, June 30, 2022 $ — $ — $ 850 $ 498 $ (35,889) Unrealized gains (losses) still held (3) $ — $ — $ 850 $ 498 $ 26,111 (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 six months ended June 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 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 gain (loss) in the consolidated statements of operations and comprehensive loss. (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 June 30, 2022. Level 3 Recurring Fair Value Measurements For the Six Months Ended June 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 (losses) gains included in earnings: Interest income (1) (9,479) — — — — Interest expense (1) — (18,018) — — (724) Change in fair value 79,857 (85,230) 1 (3,013) 2,442 Change in instrument specific credit risk — — — — (2,205) (2) Total gains (losses) included in earnings 70,378 (103,248) 1 (3,013) (487) Transfers in and/or out of Level 3 — — — — — Purchases, issuances and settlements: Purchases — — — — — Issuances — — 213 — — Settlements (312,130) 342,581 — — — Fair value, June 30, 2021 $ 1,858,423 $ (1,847,224) $ 553 $ 4,262 $ (44,900) Unrealized (losses) gains still held (3) $ (186,507) $ 2,397,426 $ 553 $ 4,262 $ 17,100 (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 $4.3 million for the three and six months ended June 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 gain (loss) 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 in the consolidated statements of operations and comprehensive loss. (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 June 30, 2021 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 June 30, 2022 and December 31, 2021: June 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 – 12.5 % 8.5 % 8.01 – 29.1 % 10.3 % Derivative assets - IRLCs, net Pull-through rates 40.0 – 99.0 % 69.5 % 50.0 – 98.0 % 79.0 % Long-term debt Discount rates 14.2 % 14.2 % 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 for the three months ended June 30, 2022 and 2021: Recurring Fair Value Measurements Changes in Fair Value Included in Net Loss For the Three Months Ended June 30, 2022 Change in Fair Value of Interest Interest Net Trust Long-term Other Revenue Gain on Sale Income (1) Expense (1) Assets Debt and Expense of Loans, net Total Securitized mortgage collateral $ — $ — $ — $ — $ — $ — $ — Securitized mortgage borrowings — — — — — — — Long-term debt — (357) — 1,980 — — 1,623 Mortgage servicing rights (2) — — — — (6) — (6) Mortgage loans held-for-sale — — — — — (217) (217) Derivative assets — IRLCs — — — — — (348) (348) Derivative liabilities — Hedging Instruments — — — — — (896) (896) Total $ — $ (357) $ — $ 1,980 $ (6) $ (1,461) $ 156 (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 (loss) on MSRs, net in the consolidated statements of operations and comprehensive loss. Recurring Fair Value Measurements Changes in Fair Value Included in Net Loss For the Three Months Ended June 30, 2021 Change in Fair Value of Interest Interest Net Trust Long-term Other Revenue Gain on Sale Income (1) Expense (1) Assets Debt and Expense of Loans, net Total Securitized mortgage collateral $ (4,722) $ — $ (2,550) $ — $ — $ — $ (7,272) Securitized mortgage borrowings — (8,909) 722 — — — (8,187) Long-term debt — (418) — 1,417 — — 999 Mortgage servicing rights (2) — — — — (37) — (37) Mortgage loans held-for-sale — — — — — 271 271 Derivative assets — IRLCs — — — — — (816) (816) Derivative liabilities — Hedging Instruments — — — — — (2,064) (2,064) Total $ (4,722) $ (9,327) $ (1,828) (3) $ 1,417 $ (37) $ (2,609) $ (17,106) (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 (loss) on MSRs, net in the consolidated statements of operations and comprehensive loss. (3) For the three months ended June 30, 2021, change in the fair value of net trust assets, excluding REO was $1.8 million. The following tables present the changes in recurring fair value measurements included in net earnings (loss) for the six months ended June 30, 2022 and 2021: Recurring Fair Value Measurements Changes in Fair Value Included in Net Loss For the Six Months Ended June 30, 2022 Change in Fair Value of Interest Interest Net Trust Long-term Other Income 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 — (743) — 3,622 — — 2,879 Mortgage servicing rights (2) — — — — 55 — 55 Mortgage loans held-for-sale — — — — — (7,482) (7,482) Derivative assets — IRLCs — — — — — (2,613) (2,613) Derivative liabilities — Hedging Instruments — — — — — 55 55 Total $ 2,019 $ (8,307) $ 9,248 (3) $ 3,622 $ 55 $ (10,040) $ (3,403) (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 (loss) on MSRs, net in the consolidated statements of operations and comprehensive loss. (3) For the six months ended June 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 For the Six Months Ended June 30, 2021 Change in Fair Value of Interest Interest Net Trust Long-term Other Income Gain on Sale Income (1) Expense (1) Assets Debt and Expense of Loans, net Total Securitized mortgage collateral $ (9,479) $ — 79,857 $ — $ — $ — $ 70,378 Securitized mortgage borrowings — (18,018) (85,230) — — — (103,248) Long-term debt — (724) — 2,442 — — 1,718 Mortgage servicing rights (2) — — — — 1 — 1 Mortgage loans held-for-sale — — — — — (597) (597) Derivative assets — IRLCs — — — — — (3,013) (3,013) Derivative liabilities — Hedging Instruments — — — — — (82) (82) Total $ (9,479) $ (18,742) $ (5,373) (3) $ 2,442 $ 1 $ (3,692) $ (34,843) (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 (loss) on MSRs, net in the consolidated statements of operations and comprehensive loss. (3) For the six months ended June 30, 2021, change in the fair value of net trust assets, excluding REO was $5.4 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 June 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 June 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 notes 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 June 30, 2022, long-term debt had UPB of $62.0 million compared to an estimated fair value of $35.9 million. The aggregate UPB exceeded the fair value by $26.1 million at June 30, 2022. The long-term debt is considered a Level 3 measurement at June 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 June 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 June 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 Six Months Ended June 30, December 31, June 30, June 30, 2022 2021 2022 2021 2022 2021 Derivative – IRLC's (1) $ 55,175 $ 255,150 $ (348) $ (816) $ (2,613) $ (3,013) Derivative – TBA MBS (1) 12,500 102,000 1,072 (2,379) 4,760 2,832 Derivative – Swap Futures (1) 3,300 — (106) — 1,300 — (1) Amounts included in gain on sale of loans, net within the accompanying consolidated statements of operations and comprehensive loss. 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. There were no financial or non-financial assets measured using nonrecurring fair value measurements at June 30, 2022. The following tables present financial and non-financial assets measured using nonrecurring fair value measurements at June 30, 2022 and 2021, and total (losses) gains for the three and six months ended June 30, 2022 and 2021, respectively: Nonrecurring Fair Value Measurements Total Losses (1) June 30, 2022 For the Three Months Ended For the Six Months Ended Level 1 Level 2 Level 3 June 30, 2022 June 30, 2022 ROU asset impairment — — 8,366 (123) (123) (1) Total losses reflect losses from all nonrecurring measurements during the period. Nonrecurring Fair Value Measurements Total (Losses) Gains (1) June 30, 2021 For the Three Months Ended For the Six Months Ended Level 1 Level 2 Level 3 June 30, 2021 June 30, 2021 REO (2) $ — $ 4,251 $ — $ (313) $ 1,559 (1) Total gains (losses) reflect gains (losses) from all nonrecurring measurements during the period. (2) For the three and six months ended June 30, 2021, the Company recorded $( 313) thousand and $1.6 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. 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 whi | Note 9. — 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. FASB ASC 825 requires disclosure of the estimated fair value of certain financial instruments and the methods and significant assumptions used to estimate such fair values. The Company uses exit price notion when measuring the fair values of financial instruments for disclosure purposes. The following table presents the estimated fair value of financial instruments included in the consolidated financial statements as of the dates indicated: December 31, 2021 December 31, 2020 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 $ 29,555 $ 29,555 $ — $ — $ 54,150 $ 54,150 $ — $ — Restricted cash 5,657 5,657 — — 5,602 5,602 — — Mortgage loans held-for-sale 308,477 — 308,477 — 164,422 — 164,422 — Mortgage servicing rights 749 — — 749 339 — — 339 Derivative assets, lending, net (1) 3,111 — — 3,111 7,275 — — 7,275 Securitized mortgage collateral 1,639,251 — — 1,639,251 2,100,175 — — 2,100,175 Liabilities Warehouse borrowings $ 285,539 $ — $ 285,539 $ — $ 151,932 $ — $ 151,932 $ — Convertible notes 20,000 — — 20,000 20,000 — — 20,000 Long-term debt 46,536 — — 46,536 44,413 — — 44,413 Securitized mortgage borrowings 1,614,862 — — 1,614,862 2,086,557 — — 2,086,557 Derivative liabilities, lending, net (2) 55 — 55 — 143 — 143 — (1) Represents IRLCs 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 the consolidated non-recourse securitizations, the fair value of the financial liabilities of the consolidated non-recourse securitizations (securitized mortgage borrowings) is more observable than the fair value of the financial assets of the consolidated non-recourse securitizations (securitized mortgage collateral). In accordance with FASB ASU 2014-13, the financial liabilities of the consolidated non-recourse securitizations are the more observable input and measured at fair value and the financial assets are being measured in consolidation as: (1) the sum of the fair value of the securitized mortgage borrowings and the fair value of the beneficial interests retained by the Company less (2) the carrying value of any REO. The resulting amount is allocated to securitized mortgage collateral. For securitized mortgage collateral and securitized mortgage borrowings, the underlying Alt-A (non-conforming) residential and commercial loans and mortgage-backed securities market have experienced significant declines in market activity, along with a lack of orderly transactions. The Company’s methodology to estimate fair value of these assets and liabilities include the use of internal pricing techniques such as the net present value of future expected cash flows (with observable market participant assumptions, where available) discounted at a rate of return based on the Company’s estimates of market participant requirements. The significant assumptions utilized in these internal pricing techniques, which are based on the characteristics of the underlying collateral, include estimated credit losses, estimated prepayment speeds and appropriate discount rates. Fair Value Hierarchy The application of fair value measurements may be on a recurring or nonrecurring basis depending on the accounting principles applicable to the specific asset or liability or whether management has elected to carry the item at its estimated fair value. FASB ASC 820-10-35 specifies a hierarchy of valuation techniques based on whether the inputs to those techniques are observable or unobservable. Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect the Company’s market assumptions. These two types of inputs create the following fair value hierarchy: ● Level 1 — Quoted prices (unadjusted) in active markets for identical instruments or liabilities that an entity has the ability to assess at measurement date. ● Level 2 — Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; inputs other than quoted prices that are observable for an asset or liability, including interest rates and yield curves observable at commonly quoted intervals, prepayment speeds, loss severities, credit risks and default rates; and market-corroborated inputs. ● Level 3 — Valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable. This hierarchy requires the Company to use observable market data, when available, and to minimize the use of unobservable inputs when estimating fair value. As a result of the lack of observable market data resulting from inactive markets, the Company has classified its securitized mortgage collateral and borrowings, derivative assets (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 83% and 84% and 90% and 93%, respectively, of total assets and total liabilities measured at estimated fair value at December 31, 2021 and 2020. 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 FASB 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 year ended December 31, 2021. 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 December 31, 2021 and 2020, based on the fair value hierarchy: Recurring Fair Value Measurements December 31, 2021 December 31, 2020 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 Assets Mortgage loans held-for-sale $ — $ 308,477 $ — $ — $ 164,422 $ — Derivative assets, lending, net (1) — — 3,111 — — 7,275 Mortgage servicing rights — — 749 — — 339 Securitized mortgage collateral — — 1,639,251 — — 2,100,175 Total assets at fair value $ — $ 308,477 $ 1,643,111 $ — $ 164,422 $ 2,107,789 Liabilities Securitized mortgage borrowings $ — $ — $ 1,614,862 $ — $ — $ 2,086,557 Long-term debt — — 46,536 — — 44,413 Derivative liabilities, lending, net (2) — 55 — — 143 — Total liabilities at fair value $ — $ 55 $ 1,661,398 $ — $ 143 $ 2,130,970 (1) 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. At December 31, 2020, derivative assets, lending, net included $7.3 million in IRLCs and is included in other assets in accompanying consolidated balance sheets. (2) At December 31, 2021 and 2020, derivative liabilities, lending, net are included in other liabilities in the accompanying consolidated balance sheets. The following tables present reconciliation for all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the years ended December 31, 2021 and 2020: Level 3 Recurring Fair Value Measurements For the Year Ended December 31, 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 (losses) gains included in earnings: Interest income (1) (12,162) — — — — Interest expense (1) — (37,090) — — (1,499) Change in fair value 151,759 (145,288) (126) (4,164) 2,098 Change in instrument specific credit risk — — — — (2,722) (2) Total gains (losses) included in earnings 139,597 (182,378) (126) (4,164) (2,123) Transfers in and/or out of Level 3 — — — — — Purchases, issuances and settlements: Purchases — — — — — Issuances — — 536 — — Settlements (600,521) 654,073 — — — Fair value, December 31, 2021 $ 1,639,251 $ (1,614,862) $ 749 $ 3,111 $ (46,536) Unrealized (losses) gains still held (3) $ (104,299) $ 2,318,296 $ 749 $ 3,111 $ 15,464 (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 $8.1 million for the year ended December 31, 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 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 in the consolidated statements of operations and comprehensive loss. (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 December 31, 2021 . Level 3 Recurring Fair Value Measurements For the Year Ended December 31, 2020 Interest Securitized Securitized Mortgage rate lock Long- mortgage mortgage servicing commitments, term collateral borrowings rights net debt Fair value, December 31, 2019 $ 2,628,064 $ (2,619,210) $ 41,470 $ 7,791 $ (45,434) Total (losses) gains included in earnings: Interest income (1) 747 — — — — Interest expense (1) — (65,421) — — (850) Change in fair value (92,562) 79,481 (21,962) (516) 1,899 Change in instrument specific credit risk — — — — (28) (2) Total (losses) gains included in earnings (91,815) 14,060 (21,962) (516) 1,021 Transfers in and/or out of Level 3 — — — — — Purchases, issuances and settlements: Purchases — — — — — Issuances — — 2,094 — — Settlements (436,074) 518,593 (21,263) — — Fair value, December 31, 2020 $ 2,100,175 $ (2,086,557) $ 339 $ 7,275 $ (44,413) Unrealized (losses) gains still held (3) $ (275,818) $ 2,500,674 $ 339 $ 7,275 $ 17,587 (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 $8.9 million for the year ended December 31, 2020. 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 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 in the consolidated statements of operations and comprehensive loss. (3) Represents the amount of unrealized (losses) gains relating to assets and liabilities classified as Level 3 that were still held and reflected in the fair values at December 31, 2020. 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 non-recurring basis at December 31, 2021. Estimated Valuation Unobservable Range of Weighted Financial Instrument Fair Value Technique Input Inputs Average Assets and liabilities backed by real estate Securitized mortgage collateral, and $ 1,639,251 Discounted Cash Flow Prepayment rates 2.9 – 46.3 % 10.7 % Securitized mortgage borrowings (1,614,862) 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 $ 749 Discounted Cash Flow Discount rates 12.5 – 15.0 % 12.8 % Prepayment rates 8.01 – 29.1 % 10.3 % Derivative assets - IRLCs, net 3,111 Market pricing Pull-through rates 50.0 – 98.0 % 79.0 % Long-term debt (46,536) Discounted Cash Flow Discount rates 8.6 % 8.6 % For assets and liabilities backed by real estate, a significant increase in discount rates, default rates or loss severities would result in a significantly lower estimated fair value. The effect of changes in prepayment speeds would have differing effects depending on the seniority or other characteristics of the instrument. 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 losses for the years ended December 31, 2021 and 2020: Recurring Fair Value Measurements Changes in Fair Value Included in Net Earnings (Loss) For the Year Ended December 31, 2021 Change in Fair Value of Interest Interest Net Trust Long-term Other Income Gain (Loss) on Sale Income (1) Expense (1) Assets Debt and Expense of Loans, net Total Securitized mortgage collateral $ (12,162) $ — $ 151,759 $ — $ — $ — $ 139,597 Securitized mortgage borrowings — (37,090) (145,288) — — — (182,378) Long-term debt — (1,499) — 2,098 — — 599 Mortgage servicing rights (2) — — — — (126) — (126) Mortgage loans held-for-sale — — — — — 3,395 3,395 Derivative assets – — — — — — (4,164) (4,164) Derivative liabilities – — — — — — 88 88 Total $ (12,162) $ (38,589) $ 6,471 (3) $ 2,098 $ (126) $ (681) $ (42,989) (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 (loss) on mortgage servicing rights, net in the consolidated statements of operations and comprehensive loss. (3) For the year ended December 31, 2021, change in the fair value of trust assets, excluding REO was $6.5 million . Recurring Fair Value Measurements Changes in Fair Value Included in Net Earnings (Loss) For the Year Ended December 31, 2020 Change in Fair Value of Interest Interest Net Trust Long-term Other Income Gain (Loss) on Sale Income (1) Expense (1) Assets Debt and Expense of Loans, net Total Securitized mortgage collateral $ 747 $ — $ (92,562) $ — $ — $ — $ (91,815) Securitized mortgage borrowings — (65,421) 79,481 — — — 14,060 Long-term debt — (850) — 1,899 — — 1,049 Mortgage servicing rights (2) — — — — (21,962) — (21,962) Mortgage loans held-for-sale — — — — — (15,955) (15,955) Derivative assets – — — — — — (516) (516) Derivative liabilities – — — — — — 509 509 Total $ 747 $ (66,271) $ (13,081) (3) $ 1,899 $ (21,962) $ (15,962) $ (114,630) (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 (loss) on mortgage servicing rights, net in the consolidated statements of operations and comprehensive loss. (3) For the year ended December 31, 2020, change in the fair value of trust assets, excluding REO was $13.1 million. The following is a description of the measurement techniques for items recorded at estimated fair value on a recurring basis. Mortgage servicing rights Mortgage loans held-for-sale Securitized mortgage collateral Securitized mortgage borrowings Long-term debt Derivative assets and liabilities, Lending — loan pricing adjustments specific to each loan. For all IRLCs, the base value is then adjusted for the anticipated Pull-through Rate, less discounts that would be required by a market participant acquiring the IRLCs. 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 December 31, 2021 and 2020. 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 December 31, 2021 and 2020. 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 table presents financial and non-financial assets and liabilities measured using nonrecurring fair value measurements at December 31, 2021 and 2020, respectively: Nonrecurring Fair Value Measurements December 31, 2021 December 31, 2020 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 REO (1) $ — $ 3,479 $ — $ — $ 3,173 $ — ROU asset — — 10,209 — — 13,512 (1) Balance represents REO at December 31, 2021 and December 31, 2020 which has been impaired subsequent to foreclosure. The following table presents total gains on financial and non-financial assets and liabilities measured using nonrecurring fair value measurements for the years ended December 31, 2021 and 2020, respectively: Total Gains (1) For the Year Ended December 31, 2021 2020 REO (2) $ 111 $ 7,393 (1) Total gains reflect gains from all nonrecurring measurements during the year. (2) For the years ended December 31, 2021 and 2020, the Company recorded $111 thousand and $7.4 million, respectively, of gains related to changes in the NRV of REO. 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 . Real estate owned ROU asset The impairment charge is included in general, administrative and other expense in the consolidated statements of operations and comprehensive loss. |
Income Taxes_2
Income Taxes | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
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 six months ended June 30, 2022, the Company recorded income tax expense was approximately $ 16 thousand and $39 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 six months ended June 30, 2021, the Company recorded income tax expense of approximately $62 thousand and $43 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 June 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. | Note 11. — Income Taxes The Company is subject to federal income taxes as a regular (Subchapter C) corporation and files a consolidated U.S. federal income tax return. Income taxes for the years ended December 31, 2021 and 2020 were as follows: For the Year Ended December 31, 2021 2020 Current income taxes: Federal $ — $ 8 State 71 125 Total current income tax expense 71 133 Deferred income taxes: Federal — — State — — Total deferred income tax expense — — Total income tax expense $ 71 $ 133 The Company recorded income tax expense of $71 thousand and $133 thousand for the years ended December 31, 2021 and 2020, respectively. The income tax expense for the year endeds December 31, 2021 and 2020, was primarily the result of state minimum taxes and franchise taxes. Deferred tax assets are recognized subject to management's judgment that realization is "more likely than not". A valuation allowance is recognized for a deferred tax asset if, based on the weight of the available evidence, it is more likely than not that some portion of the deferred tax asset will not be realized. In making such judgments, significant weight is given to evidence that can be objectively verified. As of each reporting date, the Company considers new evidence, both positive and negative, that could impact management's view with regard to future realization of deferred tax assets. Significant judgment is required in assessing future earnings trends, the availability of tax planning strategies, recent pretax losses and the timing of reversals of temporary differences. The Company's evaluation is based on current tax laws as well as management's expectation of future performance. The Company's deferred tax assets are primarily the result of net operating losses and basis differences on mortgage securities and goodwill. The Company has recorded a full valuation allowance against its deferred tax assets at December 31, 2021 as it is more likely than not that the deferred tax assets will not be realized. The valuation allowance is based on the management's assessment that it is more likely than not that certain deferred tax assets, primarily net operating loss carryforwards, may not be realized in the foreseeable future due to objective negative evidence. Deferred tax assets are comprised of the following temporary differences between the financial statement carrying value and the tax basis of assets: For the Year Ended December 31, 2021 2020 Deferred tax assets: Federal and state net operating losses $ 178,194 $ 173,652 Mortgage securities 55,283 54,624 Depreciation and amortization 24,355 26,752 Capital loss carryover 172 171 Compensation and other accruals 3,058 3,060 Repurchase reserve 1,493 2,200 Total gross deferred tax assets 262,555 260,459 Deferred tax liabilities: Fair value adjustments on long-term debt (3,980) (4,639) Mortgage servicing rights (236) (106) Corporate-owned life insurance (1,017) (968) Total gross deferred tax liabilities (5,233) (5,713) Valuation allowance (257,322) (254,746) Total net deferred tax assets $ — $ — The following is a reconciliation of income taxes to the expected statutory federal corporate income tax rates for the years ended December 31, 2021 and 2020: For the Year Ended December 31, 2021 2020 Expected income tax expense $ (799) $ (18,483) State tax expense, net of federal benefit 56 99 State rate change (640) (731) Change in valuation allowance 1,218 19,016 Corporate-owned life insurance interest and premiums 96 170 Other 140 62 Total income tax expense $ 71 $ 133 At December 31, 2021, the Company had accumulated other comprehensive earnings of $22.0 million, which was net of tax of $10.5 million. 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 million of NOLs with an indefinite carryover period. 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. On October 23, 2019, the Company adopted a Tax Benefits Preservation Rights Agreement (Rights Plan) to help preserve the value of certain deferred tax benefits, including those generated by net operating losses (collectively, Tax Benefits). In general, the Company may “carry forward” net operating losses in certain circumstances to offset current and future taxable income, which will reduce federal and state income tax liability, subject to certain requirements and restrictions. The Company’s ability to use these Tax Benefits would be substantially limited and impaired if it were to experience an “ownership change” for purposes of Section 382 of the Internal Revenue Code of 1986, as amended (the Code) and the Treasury Regulations promulgated thereunder. Generally, the Company will experience an “ownership change” if the percentage of the shares of Common Stock owned by one or more “five-percent shareholders” increases by more than 50 percentage points over the lowest percentage of shares of Common Stock owned by such stockholder at any time during the prior three year on a rolling basis. As such, the Rights Plan has a 4.99% “trigger” threshold that is intended to act as a deterrent to any person or entity seeking to acquire 4.99% or more of the outstanding Common Stock without the prior approval of the board of directors. The Rights Plan also has certain ancillary anti-takeover effects. The rights accompany each share of common stock of the Company and are evidenced by ownership of common stock. The rights are not exercisable except upon the occurrence of certain change of control events. Once triggered, the rights would entitle the stockholders, other than a person qualifying as an “Acquiring Person” pursuant to the rights plan, to certain “flip in”, “flip over” and exchange rights. The rights issued under the Rights Plan may be redeemed by the board of directors at a nominal redemption price of $0.001 per right, and the board of directors may amend the rights in any respect until the rights are triggered. The Rights Plan was approved at the Company’s 2020 annual meeting of stockholders and will expire on the three-year anniversary of its adoption. The Company adopted ASU 2019-12 on a prospective basis on January 1, 2020. The most significant impact to the Company included the removal of the exception to the incremental approach for intraperiod tax allocation when there is a loss from continuing operations and income or a gain from other items (for example, discontinued operations or other comprehensive earnings). The changes also add a requirement for an entity to reflect the effect of an enacted change in tax laws or rates in the annual effective tax rate computation in the interim period that includes the enactment date. The adoption of this standard did not have a material impact on the Company's consolidated financial statements. The Company files numerous tax returns in various jurisdictions. While the Company is subject to examination by various taxing authorities, the Company believes there are no unresolved issues or claims likely to be material to its financial position. The Company classifies interest and penalties on taxes as provision for income taxes. As of December 31, 2021 and 2020, the Company has no material uncertain tax positions. The Company has state alternative minimum tax (AMT) credits in the amount of $404 thousand as of December 31, 2021. |
Reconciliation of Loss Per Co_4
Reconciliation of Loss Per Common Share | 6 Months Ended |
Jun. 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 Six Months Ended June 30, June 30, 2022 2021 2022 2021 Numerator for basic loss per share: Net loss $ (13,467) $ (8,864) $ (14,651) $ (9,547) Less: cumulative non-declared dividends on preferred stock (1) (390) — (780) — Net loss attributable to common stockholders $ (13,857) $ (8,864) $ (15,431) $ (9,547) Numerator for diluted loss per share: Net loss $ (13,857) $ (8,864) $ (15,431) $ (9,547) Interest expense attributable to convertible notes (2) — — — — Net loss plus interest expense attributable to convertible notes $ (13,857) $ (8,864) $ (15,431) $ (9,547) Denominator for basic loss per share (3): Basic weighted average common shares outstanding during the period 21,509 21,344 21,463 21,319 Denominator for diluted loss per share (3): Basic weighted average common shares outstanding during the period 21,509 21,344 21,463 21,319 Net effect of dilutive convertible notes and warrants (2) — — — — Net effect of dilutive stock options, DSU’s, RSA's and RSU's (2) — — — — Diluted weighted average common shares 21,509 21,344 21,463 21,319 Net loss per common share: Basic $ (0.64) $ (0.42) $ (0.72) $ (0.45) Diluted $ (0.64) $ (0.42) $ (0.72) $ (0.45) (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 Preferred B voting rights (see Note 12. — Equity and Share Based Payments). (2) Adjustments to diluted loss per share for the three and six months ended June 30, 2022 and 2021, were excluded from the calculation, as they were anti-dilutive. (3) Number of shares presented in thousands. At June 30, 2022 and 2021, there were 804 thousand and 1.0 million shares, respectively, of stock options, RSUs and DSUs outstanding in the aggregate. For the three and six months ended June 30, 2022, there were 698 thousand and 930 thousand shares, respectively, attributable to the Notes that were anti-dilutive. For the three and six months ended June 30, 2021, there were 930 thousand shares attributable to the Notes that were anti-dilutive. Additionally, for the three and six months ended June 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, see Note 12.—Equity and Share Based Payments, Redeemable Preferred Stock , for a description of cumulative undeclared dividends in arrears. 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 Preferred B voting rights. 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. |
Segment Reporting_2
Segment Reporting | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
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 June 30, 2022: Lending Services Portfolio and other Consolidated Gain on sale of loans, net $ 179 $ — $ — $ — $ 179 Servicing income, net 7 — — — 7 Gain on mortgage servicing rights, net 45 — — — 45 Real estate services fees, net — 257 — — 257 Other revenue (expense) 1 — 28 (22) 7 Other operating expense (9,378) (359) (129) (4,800) (14,666) Other income (expense) 261 — 877 (418) 720 Net (loss) earnings before income tax expense $ (8,885) $ (102) $ 776 $ (5,240) (13,451) Income tax expense 16 Net loss $ (13,467) Statement of Operations Items for the Mortgage Real Estate Long-term Corporate Three Months Ended June 30, 2021: Lending Services Portfolio and other Consolidated Gain on sale of loans, net $ 10,693 $ — $ — $ — $ 10,693 Servicing expenses, net (150) — — — (150) Loss on mortgage servicing rights, net (37) — — — (37) Real estate services fees, net — 478 — — 478 Other revenue (expense) — — 42 (46) (4) Other operating expense (15,288) (356) (135) (3,837) (19,616) Other (expense) income (16) — 314 (464) (166) Net (loss) earnings before income tax expense $ (4,798) $ 122 $ 221 $ (4,347) $ (8,802) Income tax expense 62 Net loss $ (8,864) Statement of Operations Items for the Mortgage Real Estate Long-term Corporate Six Months Ended June 30, 2022: Lending Services Portfolio and other Consolidated Gain on sale of loans, net $ 6,134 $ — $ — $ — $ 6,134 Servicing expense, net (5) — — — (5) Gain on mortgage servicing rights, net 155 — — — 155 Real estate services fees, net — 442 — — 442 Other revenue 4 — 43 912 959 Other operating expense (23,880) (718) (141) (9,284) (34,023) Other income (expense) 649 — 11,959 (882) 11,726 Net (loss) earnings before income tax expense $ (16,943) $ (276) $ 11,861 $ (9,254) (14,612) Income tax expense 39 Net loss $ (14,651) Statement of Operations Items for the Mortgage Real Estate Long-term Corporate Six Months Ended June 30, 2021: Lending Services Portfolio and other Consolidated Gain on sale of loans, net $ 30,824 $ — $ — $ — $ 30,824 Servicing expense, net (269) — — — (269) Gain on mortgage servicing rights, net 1 — — — 1 Real estate services fees, net — 688 — — 688 Other revenue 23 — 69 228 320 Other operating expense (31,516) (725) (256) (8,417) (40,914) Other (expense) income (199) — 969 (924) (154) Net (loss) earnings before income tax expense $ (1,136) $ (37) $ 782 $ (9,113) $ (9,504) Income tax expense 43 Net loss $ (9,547) Mortgage Real Estate Long-term Corporate Balance Sheet Items as of: Lending Services Portfolio and other Consolidated Total Assets at June 30, 2022 (1) $ 108,870 $ 502 $ 63 $ 24,223 $ 133,658 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. | Note 12. — 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. The following table presents selected balance sheet data by reporting segment as of the dates indicated: Balance Sheet Items as of Mortgage Real Estate Long-term Corporate December 31, 2021: Lending Services Portfolio and other Consolidated Cash and cash equivalents $ 26,239 $ 500 $ — 2,816 $ 29,555 Restricted cash 5,657 — — — 5,657 Mortgage loans held-for-sale 308,477 — — — 308,477 Mortgage servicing rights 749 — — — 749 Trust assets — — 1,642,730 — 1,642,730 Other assets (1) 10,051 2 141 25,409 35,603 Total assets $ 351,173 $ 502 $ 1,642,871 $ 28,225 $ 2,022,771 Total liabilities $ 298,726 $ — $ 1,661,729 $ 52,380 $ 2,012,835 Balance Sheet Items as of Mortgage Real Estate Long-term Corporate December 31, 2020: Lending Services Portfolio and other Consolidated Cash and cash equivalents $ 50,968 $ 501 $ — $ 2,681 $ 54,150 Restricted cash 5,602 — — — 5,602 Mortgage loans held-for-sale 164,422 — — — 164,422 Mortgage servicing rights 339 — — — 339 Trust assets — — 2,103,269 — 2,103,269 Other assets (1) 12,510 2 130 28,882 41,524 Total assets $ 233,841 $ 503 $ 2,103,399 $ 31,563 $ 2,369,306 Total liabilities $ 166,285 $ — $ 2,131,178 $ 56,192 $ 2,353,655 (1) All segment asset balances exclude intercompany balances. The following table presents selected statement of operations information by reporting segment for the years ended December 31, 2021 and 2020: Statement of Operations Items for the Mortgage Real Estate Long-term Corporate Year Ended December 31, 2021: Lending Services Portfolio and other Consolidated Gain on sale of loans, net $ 65,294 $ — $ — $ — $ 65,294 Servicing expense, net (432) — — — (432) Gain on mortgage servicing rights, net 34 — — — 34 Real estate services fees, net — 1,144 — — 1,144 Other revenue 24 — 110 145 279 Other operating expense (62,605) (1,409) (778) (16,412) (81,204) Other income (expense) 98 — 12,840 (1,860) 11,078 Net earnings (loss) before income tax expense $ 2,413 $ (265) $ 12,172 $ (18,127) (3,807) Income tax expense 71 Net loss $ (3,878) Statement of Operations Items for the Mortgage Real Estate Long-term Corporate Year Ended December 31, 2020: Lending Services Portfolio and other Consolidated Gain on sale of loans, net $ 14,004 $ — $ — $ — $ 14,004 Servicing fees, net 3,603 — — — 3,603 Loss on mortgage servicing rights, net (28,509) — — — (28,509) Real estate services fees, net — 1,312 — — 1,312 Other revenue 135 — 143 1,220 1,498 Other operating expense (60,869) (1,485) (633) (18,286) (81,273) Other income (expense) 2,366 — 1,344 (2,362) 1,348 Net (loss) earnings before income tax expense $ (69,270) $ (173) $ 854 $ (19,428) $ (88,017) Income tax expense 133 Net loss $ (88,150) |
Commitments and Contingencies_7
Commitments and Contingencies | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
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 (Preferred B) and 9.125% Series C Cumulative Redeemable Preferred Stock (Preferred C) 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 Preferred B and Preferred C 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 Preferred B and Preferred C, 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 Preferred B and Preferred C 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 Preferred C 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 Preferred B, 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 Preferred B and Preferred C, 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 Preferred C 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 Preferred B, 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 Preferred B 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 Preferred B 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 Outstanding 2009 Dividends), 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 Preferred C and affirmed judgment in favor of plaintiffs on the Preferred B 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 Preferred B, 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 Preferred B 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 Preferred B (the Class), appointment of a Class representative and Class counsel, notice to the Class regarding payment of the Outstanding 2009 Dividends 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 Preferred B 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 Outstanding 2009 Dividends should be paid to current Preferred B stockholders, as of a record date to be established. The Circuit Court stated that it anticipates entering final injunctive relief, prior to a final class hearing date, directing the Company to declare a record date for payment to then current Preferred B 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 specified the method by which the Company and the notice administrator are to give notice to the Class of the final hearing date and the opportunity to file objections to the proposed final injunctive relief and to the petitions for attorney’s fees and awards. Any awards of attorney’s fees and other monetary awards would be withheld from payment of the Outstanding 2009 Dividends and potentially withheld or deducted from future distributions to the Preferred B holders, including in connection with the Company’s recently filed Form S-4 for an Exchange Offer and Consent Solicitation, and distributed in accordance with the final rulings of the court. 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 Preferred B 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 Outstanding 2009 Dividends, the final hearing date and other matters. The Circuit Court took the matters under further submission. On August 8, 2022, the Circuit Court issued an Amended Class Certification Order, which amends the definition of the class to include all Preferred B 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 Outstanding 2009 Dividends 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 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 Outstanding 2009 Dividends until the Circuit Court makes further orders. 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. No assurances can be given that such settlement will receive final approval by the court. 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. No assurances can be given that such settlement will receive final approval by the court. 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. The Company and IMC believe the claims are without merit and we intend to defend ourselves 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 six months ended June 30, 2022 and year ended December 31, 2021: June 30, December 31, 2022 2021 Beginning balance $ 4,744 $ 7,054 Provision for repurchases (1) 2,433 111 Settlements (1,178) (2,421) Total repurchase reserve $ 5,999 $ 4,744 (1) The provision for repurchases is included in gain on sale of loans, net in the accompanying consolidated statements of operations and comprehensive loss. 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 June 30, 2022, the cash surrender value of the policies was $11.7 million and were recorded within other assets on the consolidated balance sheets. At June 30, 2022, the liability associated with the corporate-owned life insurance trusts was $13.3 million and is recorded in other liabilities on the consolidated balance sheets. At June 30, 2022 Corporate-owned life insurance trusts: Trust #1 Trust #2 Trust #3 Total Corporate-owned life insurance cash surrender value $ 5,345 $ 4,148 $ 2,188 $ 11,681 Corporate-owned life insurance liability 6,123 4,800 2,338 13,261 Corporate-owned life insurance shortfall (1) $ (778) $ (652) $ (150) $ (1,580) (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. 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. | Note 13. — 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 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 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 matters summarized below are ongoing and may have an effect on the Company’s business and future financial condition and results of operations: On December 7, 2011, a purported class action was filed in the Circuit Court of Baltimore City entitled Timm v. Impac Mortgage Holdings, Inc., et al. alleging on behalf of holders of the Company’s 9.375% Series B Cumulative Redeemable Preferred Stock (Preferred B) and 9.125% Series C Cumulative Redeemable Preferred Stock (Preferred C) who did not tender their stock in connection with the Company’s 2009 completion of its Offer to Purchase and Consent Solicitation that the Company failed to achieve the required consent of the Preferred B and C holders, the consents to amend the Preferred stock were not effective because they were given on unissued stock (after redemption), the Company tied the tender offer with a consent requirement that constituted an improper “vote buying” scheme, and that the tender offer was a breach of a fiduciary duty. The action sought the payment of two quarterly dividends for the Preferred B and C holders, the unwinding of the consents and reinstatement of the cumulative dividend on the Preferred B and C stock, and the election of two directors by the Preferred B and C holders. The action also sought punitive damages and legal expenses. On July 16, 2018, the Circuit Court entered a Judgment Order (“Judgment Order”) whereby it (1) declared and entered judgment in favor of all defendants on all claims related to the Preferred C holders and all claims against all individual defendants thereby affirming the validity of the 2009 amendments to the Preferred C Articles Supplementary; (2) declared its interpretation of the voting provision language in the Preferred B Articles Supplementary to mean that consent of two-thirds million, but did not order the Company to make any payment at that time). The Circuit Court declined to certify any class pending the outcome of appeals and certified its Judgment Order for immediate appeal. On October 2, 2019, the Court of Special Appeals held oral argument for all appeals in the matter. On April 1, 2020, the Court of Special Appeals issued an opinion affirming the judgment in favor of the plaintiffs on all claims involving Preferred C, and affirming judgment for plaintiffs on the Preferred B voting rights finding that the voting rights provision was not ambiguous. In response, the Company filed a petition for a writ of certiorari to the Maryland Court of Appeals appealing the Court of Special Appeals opinion, which was granted on July 13, 2020. All parties submitted their briefs and oral argument was held on December 4, 2020. On July 15, 2021, the Maryland Court of Appeals affirmed the decision of the Circuit Court (and the Court of Special Appeals) in granting summary judgment in favor of the plaintiffs on the Preferred B voting rights and, although the Court of Appeals found the voting rights provision to be ambiguous, it concluded that the extrinsic evidence presented to the Circuit Court, which it found to be undisputed, supported the plaintiffs’ interpretation that the voting rights provision required separate voting by the Preferred B stockholders to amend the 2004 Preferred B Articles Supplementary. Accordingly, the 2009 amendments to the Preferred B Articles Supplementary were not validly adopted and the 2004 Preferred Articles Supplementary remain in effect. On August 17, 2021, the Court of Appeals issued its mandate returning the case to the Circuit Court for final proceedings. On October 25, 2021, the case was assigned to a judge of the Circuit Court to oversee final disposition of outstanding issues. Thereafter, and in consideration of the Circuit Court’s outstanding Order, co-Plaintiff Camac Fund LP called upon the Company to hold a special meeting of the Preferred B stockholders for the election of directors (“Special Meeting”) under the 2004 Preferred B Articles Supplementary. The Special Meeting was convened on October 13, 2021, then adjourned by a vote of all shares present to November 23, 2021 due to lack of a quorum sufficient for election of directors. A quorum was not present at the meeting as reconvened on November 23, 2021, and the Special Meeting was further adjourned to January 6, 2022. At the reconvened Special Meeting held on January 6, 2022, a quorum was again not present, and the meeting was concluded. As a quorum was not established at the Special Meeting, directors have yet been elected by the holders of Series B Preferred Shares. On April 20, 2017, a purported class action was filed in the United States District Court, Central District of California, entitled Nguyen v. Impac Mortgage Corp. dba CashCall Mortgage et al. The plaintiffs contend the defendants did not pay purported class members overtime compensation or provide meal and rest breaks, as required by law. The action seeks to invalidate any waiver signed by a purported class member of their right to bring a class action and seeks damages, restitution, penalties, attorney’s fees, interest, and an injunction against unfair, deceptive, and unlawful activities. On August 23, 2018, the court (1) granted the defendants motion to compel arbitration as to all claims, except for the plaintiffs’ claims under California’s Labor Code Private Attorneys General Act (PAGA); (2) ordered the plaintiffs to submit their claims (other than PAGA claims) to arbitration on an individual, non-class, non-collective, and non-representative basis; (3) dismissed all class and collective claims with prejudice to the plaintiffs and without prejudice to putative class members; and (4) stayed all claims that were compelled to arbitration, as well as the PAGA claims. Plaintiffs Jason Nguyen and Tam Nguyen each submitted their respective demands for individual arbitration to the American Arbitration Association. The Company settled all individual claims brought by Jason Nguyen and Tam Nguyen and each of their arbitration claims were dismissed with prejudice on September 1, 2021. 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 is subject to court review and approval, to resolve all claims brought by Plaintiff McNair and the class members. No assurances can be given that such settlement will be approved by the court. 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 is subject to court review and approval, to resolve all claims brought by Plaintiff McNair and the class members. No assurances can be given that such settlement will be approved by the court. On July 3, 2019, a representative action was filed in the Superior Court of California, Orange County, entitled Law v. Impac Mortgage Corp. dba CashCall Mortgage under PAGA. The plaintiff contends the defendant did not pay its employees overtime compensation, provide required meal and rest breaks, or provide accurate wage statements as required by law. The action seeks penalties, attorneys’ fees, and such other appropriate relief. The Law action was deemed related to the McNair action on August 19, 2019. On January 13, 2020, the Law action was stayed pending resolution of the above-referenced McNair action. On March 2, 2021, Law submitted his individual claims related to his wage and hour claims to arbitration. The Company settled all claims brought by Law and his arbitration matter was closed and his action with the Superior Court of California was dismissed with prejudice on August 12, 2021.On December 17, 2021, a lawsuit was filed in the Supreme Court of the State of New York, County of New York, entitled UBS Americas Inc., et al. v. Impac Funding Corporation et ano. 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 Company’s former subsidiary, Novelle Financial Services, Inc., 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. The lawsuit has not been served. The Company believes the claims are without merit and intends to defend itself vigorously. The Company is a party to other litigation and claims which are normal 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 its financial condition or results of operations. The Company believes that it has meritorious defenses to the above claims and intends to defend these claims vigorously 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. An adverse judgment in any of these matters could have a material adverse effect on the Company’s financial position and results of operations. Lease Commitments 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 leases as of December 31, 2021: December 31, Lease Assets and Liabilities Classification 2021 Assets Lease ROU assets Other assets $ 10,209 Liabilities Lease liabilities Other liabilities $ 12,562 Weighted average remaining lease term (in years) 2.7 Weighted average discount rate 4.8 % The following table presents the maturities of the Company’s operating lease liabilities as of December 31, 2021: Year 2022 $ 4,809 Year 2023 4,909 Year 2024 3,729 Total lease commitments $ 13,447 Less: imputed interest (885) Total lease liability $ 12,562 During the years ended December 31, 2021 and 2020, cash paid for operating leases was $4.6 million and $5.2 million, respectively. Total operating lease expense for the years ended December 31, 2021 and 2020 was $4.0 million and $4.7 million, respectively. Operating lease expense includes short-term leases and sublease income, both of which are immaterial. During the year ended December 31, 2020, the Company recognized ROU asset impairment of $393 thousand related to the consolidation of one floor of 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. As of December 31, 2021, the Company had no additional operating leases that had not yet commenced. Repurchase Reserve The provision for repurchases represents an estimate of losses to be incurred on the repurchase of loans or indemnification of purchaser's losses related to loan sales. Certain sale contracts and GSE standards require the Company to repurchase a loan or indemnify the purchaser or insurer for losses if a borrower fails to make initial loan payments or if the accompanying mortgage loan fails to meet certain customary representations and warranties. In the event of a breach of the representations and warranties, the Company may be required to either repurchase the loan or indemnify the purchaser for losses it sustains on the loan. In addition, an investor may request that the Company refund a portion of the premium paid on the sale of mortgage loans if a loan is prepaid within a certain amount of time from the date of sale. The Company records a reserve for estimated losses associated with loan repurchases, purchaser indemnification and premium refunds. The provision for repurchase losses is charged against gain on sale of loans, net in the consolidated statements of operations and comprehensive loss. A release of repurchase reserves is recorded when the Company's assessment reveals that previously recorded reserves are no longer needed. Loans sold to Ginnie Mae are insured by the FHA or are guaranteed by the VA. As servicer, the Company may elect to repurchase delinquent loans in accordance with Ginnie Mae guidelines; however, the loans continue to be insured. The Company may also indemnify the FHA and VA for losses related to loans not originated in accordance with their guidelines. A selling representation and warranty framework was introduced by the GSEs in 2013 and enhanced in 2014 that helps address concerns of loan sellers with respect to loan repurchase risk. Under the framework, a GSE will not exercise its remedies, including the issuance of repurchase requests, for breaches of certain selling representations and warranties if a mortgage meets certain eligibility requirements. For loans sold to GSEs on or after January 1, 2013, repurchase risk for Home Affordable Refinance Program (HARP) loans is lowered if the borrower stays current on the loan for 12 months and representation and warranty risks are limited for non-HARP loans that stay current for 36 months. The Company regularly evaluates the adequacy of repurchase reserves based on trends in repurchase and indemnification requests, actual loss experience, settlement negotiation, estimated future loss exposure and other relevant factors including economic conditions. The Company sold $2.8 billion and $3.3 billion of loans for the years ended December 31, 2021 and 2020, respectively, which are subject to repurchase representations and warranties. The Company believes its reserve balances as of December 31, 2021 are sufficient to cover loss exposure associated with repurchase contingencies. The following table summarizes the repurchase reserve activity (included in other liabilities in the accompanying consolidated balance sheets) related to previously sold loans for the years ended December 31, 2021 and 2020: December 31, December 31, 2021 2020 Beginning balance $ 7,054 $ 8,969 Provision for repurchases (1) 111 5,227 Settlements (2,421) (7,142) Total repurchase reserve $ 4,744 $ 7,054 (1) All segment asset balances exclude intercompany balances. 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 December 31, 2021, the cash surrender value of the policies was million and was recorded within other liabilities on the consolidated balance sheets. At December 31, 2021 Corporate-owned life insurance trusts: Trust #1 Trust #2 Trust #3 Total Corporate-owned life insurance cash surrender value $ 4,972 $ 3,821 $ 1,995 $ 10,788 Corporate-owned life insurance liability 6,015 4,715 2,297 13,027 Corporate-owned life insurance shortfall (1) $ (1,043) $ (894) $ (302) $ (2,239) (1) $1.3 million of the total shortfall was recorded as a change in retained deficit at the time of the consolidation of the trusts in 2020. The additional shortfall was recorded in the accompanying consolidated statements of operations and comprehensive loss. Concentration of Risk The aggregate unpaid principal balance of loans in the Company’s long-term mortgage portfolio secured by properties in California and Florida was $817.1 million and $204.6 million, or 46% and 12%, respectively, at December 31, 2021. The Company sells mortgage loans to various third-party investors. The largest seven investors accounted for 81% of the Company’s loan sales for the year ended December 31, 2021. No other investors accounted for more than 5% of the loan sales for the year ended December 31, 2021. The Company also has geographic concentration risk because |
Equity and Share Based Payments
Equity and Share Based Payments | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
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 and the Court of Special Appeals granting summary judgment in favor of the plaintiffs on the Preferred B 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 June 30, 2022, the Company has cumulative undeclared dividends in arrears of approximately $19.9 million, or approximately $29.88 per outstanding share of Preferred B, thereby increasing the liquidation value to approximately $54.88 per share. Additionally, every quarter the cumulative undeclared dividends in arrears will increase by $0.5859 per Preferred B share, or approximately $390 thousand. The accrued and unpaid dividends on the Preferred B are payable only upon declaration by the Board of Directors, and the liquidation preference, inclusive of Preferred B cumulative undeclared dividends in arrears, is only payable upon voluntary or involuntary liquidation, dissolution or winding up of the Company’s affairs. In addition, once the Circuit Court determines basis for an appropriate record date, the Company will be required to pay an amount equal to three quarters of dividends on the Preferred B stock under the 2004 Preferred B Articles Supplementary (approximately $1.2 million, which had been previously accrued for). Co-Plaintiff Camac Fund LP called for a special meeting of the Preferred B stockholders for the election of two additional directors, which was originally convened at approximately 9:00 a.m. pacific time on October 13, 2021. A quorum was not present at the meeting as originally convened and all of the shares present at the Special Meeting voted in favor of adjourning the Special Meeting to Tuesday, November 23, 2021 at 9:00 a.m., Pacific Time. A quorum was not present at the meeting as reconvened on Tuesday, November 23, 2021 at 9:00 a.m. pacific time, and the Special Meeting was further adjourned to January 6, 2022 at 9:00 a.m. pacific time. At the reconvened Special Meeting held on Thursday, January 6, 2022, a quorum was not present, and the meeting was concluded. As a quorum was not established at the Special Meeting, no Preferred Directors have yet been elected by the holders of Preferred B shares. At June 30, 2022, the Company had $71.7 million in outstanding liquidation preference of Preferred B and Preferred C stock (including cumulative unpaid dividends in the case of the Preferred B 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 Preferred B 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 Preferred B stock, before any dividends or other distributions are made to holders of junior stock, including the Company’s common stock). On April 29, 2022, the Company entered into voting agreements (the Voting Agreements), with certain holders of outstanding shares of Preferred B stock, Preferred C stock and common stock, which were subsequently amended on or after June 21, 2022, requiring parties to the Voting Agreements to vote in favor of proposed amendments to the provisions of the Company’s charter setting forth the terms of the Preferred B stock and Preferred C stock (the Proposed Amendments) to (1) permit closing of a proposed exchange offer, described below (the Exchange Offer), without payment of any accrued or accumulated dividends on any outstanding shares of Preferred B stock or Preferred C stock, and (2) provide that, following the effectiveness of the Proposed Amendments and the Exchange Offer, the remaining outstanding shares of Preferred B stock and Preferred C stock would be subject to redemption at the election of the Company or the holders of any outstanding shares of Preferred B stock or Preferred C stock, as the case may be, for the following redemption consideration: (i) for each outstanding share of Preferred B stock, (a) cash in the amount of $3.00 or, if the payment of cash in the Exchange Offer would cause the Company to violate the Cash Consideration Restrictions described below, thirty (30) shares of a new series of Preferred Stock (the New Proposed Preferred Stock) and (b) 13.33 shares of Common Stock and (ii) for each outstanding share of Preferred C stock, (a) cash in the amount of $0.10 or, if the payment of cash in the Exchange Offer would cause the Company to violate the Cash Consideration Restrictions, one (1) share of New Preferred Stock; (b) 1.25 shares of Common Stock and (c) 1.5 warrants to purchase 1.5 shares of Common Stock at a purchase price of $5.00 per share of Common Stock. 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 Maryland General Corporation Law (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. The New Preferred Stock will rank senior to the Preferred B stock and the Preferred C stock as to dividends and upon liquidation; be non-participating, and bear cumulative cash dividends 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 New Preferred Stock); bear a liquidation preference of $0.10 per share; and be mandatorily redeemable by the Company on the 60 th 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 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 New Preferred Stock and for any stock ranking on parity with the New Preferred 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, or (B) any date fixed by the Company not more than sixty (60) days after any determination by the Company’s 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 New Preferred Stock and any stock ranking on parity with the New Preferred Stock with respect to redemption rights which have become redeemable as of such redemption date would not cause us to violate the Cash Consideration Restrictions. The Company currently intends to redeem the New Preferred Stock for cash promptly when it is legally and contractually permitted to do so, but if the Company is unable to raise additional capital, it may be unable to redeem the New Preferred Stock. In the proposed Exchange Offer, the Company currently intends to offer to repurchase each outstanding share of Preferred B stock and each outstanding share of Preferred C stock in exchange for the corresponding redemption consideration described above, subject to potential reduction as a result of any attorneys’ fees or costs ordered or that may be ordered to be paid to the attorneys representing holders of Preferred B stock or any order entered by a court in respect of such petition. Closing of the Exchange Offer, if effected by the Company, is expected to be contingent upon, among other conditions, the approval of the Proposed Amendments by the stockholders of the Company, which will require the affirmative vote of holders of at least each of 66 2/3% of the outstanding shares of Preferred B stock, 66 2/3% of the outstanding shares of Preferred C stock and shares of Common Stock entitled to cast a majority of votes entitled to be cast, and acceptance for record of the Proposed Amendments by the State Department of Assessments and Taxation of Maryland. The Voting Agreements also limit transferability of the shares of Preferred B stock, Preferred C stock and Common Stock during the term of the Voting Agreement and certain holders of Preferred B stock and Preferred C stock have also agreed, as part of the Voting Agreements, to trading limitations in connection with any Common Stock they receive in the Exchange Offer or as part of the redemption. 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 Preferred B 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. Share Based Payments The following table summarizes activity, pricing and other information for the Company’s stock options for the six months ended June 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 (10,000) 3.39 Options outstanding at the end of the period 560,228 7.97 Options exercisable at the end of the period 518,874 $ 8.34 As of June 30, 2022, there was approximately $54 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 1.6 years. The following table summarizes activity, pricing and other information for the Company’s RSU’s for the six months ended June 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 (153,251) 4.32 RSUs forfeited/cancelled (18,333) 3.85 RSUs outstanding at end of the period 226,245 $ 3.99 As of June 30, 2022, there was approximately $604 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 1.3 years. The following table summarizes activity, pricing and other information for the Company’s DSU’s for the six months ended June 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 (15,000) 3.75 DSUs forfeited/cancelled — — DSUs outstanding at the end of the period 39,500 $ 7.70 As of June 30, 2022, there was no unrecognized compensation cost related to the DSU compensation arrangements granted under the plan. | Note 14. — Share Based Payments and Employee Benefit Plans The Company maintains an equity-based incentive compensation plan, the terms of which are governed by the 2020 Equity Incentive Plan (the 2020 Incentive Plan). The 2020 Incentive Plan provides for the grant of stock appreciation rights, RSUs, DSUs, performance shares and other stock and cash- based incentive awards. Employees, directors, consultants or other persons providing services to the Company or its affiliates are eligible to receive awards pursuant to the 2020 Incentive Plan. In connection with the adoption of the 2020 Incentive Plan, the Company’s 2010 Omnibus Incentive Plan (2010 Plan), which was scheduled to expire in July 2020, was frozen for new grants. The 2010 Plan will remain in place only for the issuance of shares of common stock pursuant to equity compensation awards outstanding under the 2010 Plan, which awards will continue to be governed by the terms of the 2010 Plan. As of December 31, 2021, the aggregate number of shares reserved under the 2020 Incentive Plan and 2010 Plan, is The fair value of options granted, which is amortized to expense over the option service period, is estimated on the date of grant with the following weighted average assumptions: For the Year Ended December 31, 2021 2020 Risk-free interest rate 0.50 % 1.45 % Expected lives (in years) 4.54 4.94 Expected volatility 77.55 % 61.21 % Expected dividend yield 0.00 % 0.00 % Fair value per share $ 1.96 $ 3.13 The following table summarizes activity, pricing and other information for the Company’s stock options for the years presented below: For the Year Ended December 31, 2021 2020 Weighted- Weighted- Average Average Number of Exercise Number of Exercise Shares Price Shares Price Options outstanding at the beginning of the year 524,357 $ 8.58 914,470 $ 8.10 Options granted 85,154 3.29 30,000 5.34 Options exercised — — (9,500) 4.84 Options forfeited/cancelled (39,283) 7.15 (410,613) 7.35 Options outstanding at the end of the period 570,228 7.89 524,357 8.58 Options exercisable at the end of the period 406,361 $ 9.65 327,366 $ 11.46 The aggregate intrinsic value in the following table represents the total pre-tax intrinsic value, based on the Company’s closing stock price of $1.11 and $3.04 per common share as of December 31, 2021 and 2020, respectively. Aggregate intrinsic value represents the amount of proceeds the option holders would have received had all option holders exercised their options and sold the stock as of that date. As of December 31, 2021 2020 Weighted- Weighted- Average Aggregate Average Aggregate Remaining Intrinsic Remaining Intrinsic Life Value Life Value (Years) (in thousands) (Years) (in thousands) Options outstanding at end of year 6.17 $ — 6.77 $ — Options exercisable at end of year 5.43 $ — 5.96 $ — As of December 31, 2021, there was approximately $127 thousand of total unrecognized compensation cost related to stock option compensation arrangements granted, net of estimated forfeitures. That cost is expected to be recognized over the remaining weighted average period of 1.5 years. For the years ended December 31, 2021 and 2020, the aggregate grant-date fair value of stock options granted was approximately $167 thousand and $94 thousand, respectively. For the years ended December 31, 2021 and 2020, total stock-based compensation expense was $884 thousand and $702 thousand, respectively. Additional information regarding stock options outstanding as of December 31, 2021 is as follows: Stock Options Outstanding Options Exercisable Weighted- Average Weighted- Weighted- Exercise Remaining Average Average Price Number Contractual Exercise Number Exercise Range Outstanding Life in Years Price Exercisable Price $ 3.22 – 150,872 7.91 $ 3.45 53,671 $ 3.59 3.75 – 5.38 200,000 7.16 3.75 133,334 3.75 5.39 – 27,582 4.01 7.01 27,582 7.01 86,524 4.15 11.99 86,524 11.99 17.40 – 51,250 4.55 17.40 51,250 17.40 20.50 – 20.50 54,000 3.56 20.50 54,000 20.50 $ – 570,228 6.17 $ 7.89 406,361 $ 9.65 In addition to the options granted, the Company has granted DSUs, which vest between one any The following table summarizes activity, pricing and other information for the Company’s DSUs for the year ended December 31, 2021: 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 — — DSUs forfeited/cancelled — — DSUs outstanding at the end of the period 54,500 $ 6.61 As of December 31, 2021, there was approximately $6 thousand of total unrecognized compensation cost related to the DSU compensation arrangements granted under the plan. This cost is expected to be recognized over a weighted average period of 0.2 years. The following table summarizes activity, pricing and other information for the Company’s RSUs for the ended December 31, 2021: Weighted- Average Number of Grant Date Shares Fair Value RSUs outstanding at beginning of the year 267,221 $ 5.04 RSUs granted 245,332 3.29 RSUs issued (94,493) 4.78 RSUs forfeited/cancelled (20,231) 3.29 RSUs outstanding at end of the period 397,829 $ 4.11 For the year ended December 31, 2021, the aggregate grant-date fair value of RSUs granted was approximately $807 thousand. As of December 31, 2021, there was approximately $1.0 million of total unrecognized compensation cost related to the RSU compensation arrangements granted under the plan. This cost is expected to be recognized over a weighted average period of 1.7 years. 401(k) Plan After meeting certain employment requirements, employees can participate in the Company’s 401(k) plan. Under the 401(k) plan, employees may contribute up to 25% of their salaries, pursuant to certain restrictions. Effective January 1, 2020, the Company matches 50% of the first 6% of employee contributions. Additional contributions may be made at the discretion of the board of directors. During the years ended December 31, 2021 and 2020, the Company recorded compensation expense of approximately $1.0 million and $1.0 million for basic matching contributions, respectively. There were no discretionary matching contributions recorded during the years ended December 31, 2021 or 2020. |
Subsequent Events_2
Subsequent Events | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Subsequent Events | ||
Subsequent Events | Note 13.—Subsequent Events Subsequent events have been evaluated through the date of this filing. | Note 16. — Subsequent Events Subsequent events have been evaluated through the date of this filing. |
Summary of Business and Finan_5
Summary of Business and Financial Statement Presentation (Policies) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
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 six months ended June 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. | Basis of Presentation The accompanying 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). All significant inter-company balances and transactions have been eliminated in consolidation. In addition, certain immaterial amounts in the prior periods’ consolidated financial statements have been reclassified to conform to the current year 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 consolidated 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, contingencies, the estimated obligation of repurchase liabilities related to sold loans, the valuation of long-term debt, mortgage servicing rights (MSRs), mortgage loans held-for-sale (LHFS) and derivative instruments, including interest rate lock commitments (IRLCs). Actual results could differ from those estimates and assumptions. |
Principles of Consolidation | Principles of Consolidation The accompanying consolidated financial statements include accounts of IMH and its wholly-owned subsidiaries. The usual condition for a controlling financial interest is ownership of a majority of the voting interests of an entity. However, a controlling financial interest may also exist in entities, such as variable interest entities (VIEs), through arrangements that do not involve voting interests. The VIE framework requires a variable interest holder (counterparty to a VIE) to consolidate the VIE if that party has the power to direct activities of the VIE that most significantly impact the entity’s economic performance, will absorb a majority of the expected losses of the VIE, will receive a majority of the residual returns of the VIE, or both, and directs the significant activities of the entity. This party is considered the primary beneficiary of the entity. The determination of whether the Company meets the criteria to be considered the primary beneficiary of a VIE requires an evaluation of all transactions (such as investments, liquidity commitments, derivatives and fee arrangements) with the entity. The assessment of whether or not the Company is the primary beneficiary of the VIE is performed on an ongoing basis. | |
Fair Value Option | Fair Value and the Fair Value Option Fair value is a market-based measurement, not an entity-specific measurement. For some assets and liabilities, observable market transactions or market information might be available. For other assets and liabilities, observable market transactions and market information might not be available. However, the objective of a fair value measurement in both cases is the same — to estimate the price at which an orderly transaction to sell the asset or to transfer the liability would take place between market participants at the measurement date under current market conditions (that is, an exit price at the measurement date from the perspective of a market participant that holds the asset or owes the liability). The fair value option permits entities to choose, at specified election dates, to measure eligible financial assets and financial liabilities at fair value. The decision to elect the fair value option is applied on an instrument by instrument basis, is irrevocable unless a new election date occurs, and is applied to an entire instrument. | |
Cash and Cash Equivalents and Restricted Cash | Cash and Cash Equivalents and Restricted Cash Cash and cash equivalents consist of cash and highly liquid investments with maturities of three months or less at the date of acquisition. The carrying amount of cash and cash equivalents approximates fair value. Cash balances that have restrictions as to the Company’s ability to withdraw funds are considered restricted cash. At December 31, 2021 and 2020, restricted cash totaled $5.7 million and $5.6 million, respectively. The restricted cash is the result of the terms of the Company’s warehouse borrowing agreements as well as collateral against letter of credit financing associated with corporate-owned life insurance (See Note 13. — Commitments and Contingencies). In accordance with the terms of the Master Repurchase Agreements related to the warehouse borrowings, the Company is required to maintain cash balances with the lender as additional collateral for the borrowings (See Note 5. — Debt). | |
Mortgage Loans Held-for-Sale | Mortgage Loans Held-for-Sale Mortgage LHFS are accounted for using the fair value option, with changes in fair value recorded in gain on sale of loans, net in the accompanying consolidated statements of operations and comprehensive loss. In accordance with Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) 825, Financial Instruments Revenue derived from the Company’s mortgage lending activities includes loan fees collected at the time of origination and gain or loss from the sale of LHFS. Loan fees consist of fee income earned on all loan originations, including loans closed and held-for-sale. Loan fees are recognized as earned and consist of amounts collected for application and underwriting fees, fees on cancelled loans and discount points. The related direct loan origination costs are recognized when incurred and consists of broker fees and commissions. Gain or loss from the sale and mark-to-market adjustments of LHFS includes both realized and unrealized gains and losses and are included in gain on sale of loans, net in the accompanying consolidated statements of operations and comprehensive loss. The valuation of LHFS approximates a whole-loan price, which includes the value of the related mortgage servicing rights. The Company primarily sells its LHFS to investors and government sponsored entities (GSEs). The Company evaluates its loan sales for sales treatment. To the extent the transfer of loans qualifies as a sale, the Company derecognizes the loans and records a realized gain or loss on the sale date. In the event the Company determines that the transfer of loans does not qualify as a sale, the transfer would be treated as a secured borrowing. Interest on loans is recorded as income when earned and deemed collectible. LHFS are placed on nonaccrual status when any portion of the principal or interest is 90 days past due or earlier if factors indicate that the ultimate collectability of the principal or interest is not probable. Interest received from loans on nonaccrual status is recorded as income when collected. Loans return to accrual status when the principal and interest become current and it is probable that the amounts are fully collectible. | |
Mortgage Servicing Rights | Mortgage Servicing Rights The Company accounts for mortgage loan sales in accordance with FASB ASC 860, Transfers and Servicing Changes in estimated fair value are reported in the accompanying consolidated statements of operations and comprehensive loss within loss on mortgage servicing rights, net. When the Company sells mortgage servicing rights, the Company records a gain or loss on such sale based on the selling price of the mortgage servicing rights less the carrying value and transaction costs. Gains and losses are reported in the accompanying consolidated statements of operations and comprehensive loss within loss on mortgage servicing rights, net. | |
Securitized Mortgage Collateral | Securitized Mortgage Collateral The Company’s long-term mortgage portfolio primarily includes adjustable rate and, to a lesser extent, fixed rate non-conforming mortgages and commercial mortgages that were acquired and originated by the Company’s mortgage and commercial operations prior to 2008. Historically, the Company securitized mortgages in the form of collateralized mortgage obligations (CMO) or real estate mortgage investment conduits (REMICs). These securitizations are evaluated for consolidation based on the provisions of FASB ASC 810-10- 25. Amounts consolidated are included in trust assets and liabilities as securitized mortgage collateral, real estate owned (REO) and securitized mortgage borrowings in the accompanying consolidated balance sheets. The Company also retained the master servicing rights associated with these securitizations which pays the Company approximately 3 basis points on the outstanding unpaid principal balance (UPB) of each securitization trust. The retention of the master servicing rights or the retained economic subordinated residual interests provide the Company with clean up call rights on these securitizations. The Company accounts for securitized mortgage collateral at fair value, with changes in fair value during the period reflected in earnings. Fair value measurements are based on the Company’s estimated cash flow models, which incorporate assumptions, inputs of other market participants and quoted prices for the underlying bonds. The Company’s assumptions include its expectations of inputs that other market participants would use. These assumptions include judgments about the underlying collateral, prepayment speeds, credit losses, investor yield requirements, forward interest rates and certain other factors. Interest income on securitized mortgage collateral is recorded using the effective yield for the period based on the previous quarter-end’s estimated fair value. Securitized mortgage collateral is generally not placed on nonaccrual status as the servicer advances the interest payments to the trust regardless of the delinquency status of the underlying mortgage loan, until it becomes apparent to the servicer that the advance is not collectible. | |
Real Estate Owned | Real Estate Owned Real estate owned on the consolidated balance sheets are primarily assets within the securitized trusts but are recorded as a separate asset for accounting and reporting purposes and are within the long-term mortgage portfolio. REO, which consists of residential real estate acquired in satisfaction of loans, is carried at net realizable value, which includes the estimated fair value of the residential real estate less estimated selling and holding costs. Adjustments to the loan carrying value required at the time of foreclosure affect the carrying amount of REO. Subsequent write-downs in the net realizable value of REO are included in change in fair value of net trust assets, including trust REO gains (losses) in the consolidated statements of operations and comprehensive loss. | |
Securitized Mortgage Borrowings | Securitized Mortgage Borrowings The Company records securitized mortgage borrowings in the accompanying consolidated balance sheets for the consolidated CMO and REMIC securitized trusts within the long-term mortgage portfolio. The debt from each issuance of a securitized mortgage borrowing is payable from the principal and interest payments on the underlying mortgages collateralizing such debt, as well as the proceeds from liquidations of REO. If the principal and interest payments are insufficient to repay the debt, the shortfall is allocated first to the residual interest holders (generally owned by the Company) then, if necessary, to the certificate holders (e.g. third party investors in the securitized mortgage borrowings) in accordance with the specific terms of the various respective indentures. Securitized mortgage borrowings typically are structured as one-month London Interbank Offered Rate (LIBOR) “floaters” and fixed rate securities with interest payable to certificate holders monthly. The maturity of each class of securitized mortgage borrowing is directly affected by the amount of net interest spread, overcollateralization and the rate of principal prepayments and defaults on the related securitized mortgage collateral. The actual maturity of any class of a securitized mortgage borrowing can occur later than the stated maturities of the underlying mortgages. When the Company issued securitized mortgage borrowings, the Company generally sought an investment grade rating for the Company’s securitized mortgages by nationally recognized rating agencies. To secure such ratings, it was often necessary to incorporate certain structural features that provide for credit enhancement. This generally included the pledge of collateral in excess of the principal amount of the securities to be issued, a bond guaranty insurance policy for some or all of the issued securities, or additional forms of mortgage insurance. These securitization transactions are non-recourse to the Company and the total loss exposure is limited to the Company’s initial net economic investment in each trust, which is referred to as a residual interest. The Company accounts for securitized mortgage borrowings at fair value, with changes in fair value during the period reflected in earnings. Fair value measurements are based on the Company’s estimated cash flow models, which incorporate assumptions, inputs of other market participants and quoted prices for the underlying bonds. The Company’s assumptions include its expectations of inputs that other market participants would use. These assumptions include judgments about the underlying collateral, prepayment speeds, credit losses, investor yield requirements, forward interest rates and certain other factors. Interest expense on securitized mortgage borrowings are recorded quarterly using the effective yield for the period based on the previous quarter-end’s estimated fair value. | |
Leases | Leases The Company has three operating leases for office space expiring at various dates through 2024 and one financing lease which concludes in 2023. The Company determines if a contract is a lease at the inception of the arrangement and reviews all options to extend, terminate, or purchase its right of use (ROU) assets at the inception of the lease and accounts for these options when they are reasonably certain of being exercised. Regarding the discount rate, Leases (Topic 842) requires the use of the rate implicit in the lease whenever this rate is readily determinable. When the Company cannot readily determine the rate implicit in the lease, the Company determines its incremental borrowing rate by using the rate of interest that it would have to pay to borrow on a collateralized basis over a similar term. As a practical expedient permitted under Topic 842, the Company elected to account for the lease and non-lease components as a single lease component for all leases of which it is the lessee. Leases with an initial term of 12 months or less are not recorded in the consolidated balance sheets and lease expense for these leases is recognized on a straight-line basis over the lease term. | |
Derivative Instruments | Derivative Instruments In accordance with FASB ASC 815-10 Derivatives and Hedging — Overview The mortgage lending operation enters into IRLCs with consumers to originate mortgage loans at a specified interest rate. These IRLCs are accounted for as derivative instruments and reported at fair value. The concept of fair value relating to IRLCs is no different than fair value for any other financial asset or liability: fair value is the price at which an orderly transaction to sell the asset or to transfer the liability would take place between market participants at the measurement date under current market conditions. Because IRLCs do not trade in the market, the Company determines the estimated fair value based on expectations of what an investor would pay to acquire the Company’s IRLCs, which utilizes current market information for secondary market prices for underlying loans and estimated servicing value with similar coupons, maturities and credit quality, subject to the anticipated loan funding probability (pull- through rate). This value is adjusted for other costs that would be required by a market participant acquiring the IRLCs. The fair value of IRLCs is subject to change primarily due to changes in interest rates and the estimated pull-through rate. The Company reports IRLCs within other assets and other liabilities at fair value with changes in fair value being recorded in the accompanying consolidated statements of operations and comprehensive loss within gain on sale of loans, net. The Company hedges the changes in fair value associated with changes in interest rates related to IRLCs and uncommitted LHFS by using forward delivery commitments on mortgage-backed securities, including Federal National Mortgage Association (Fannie Mae or FNMA) and Government National Mortgage Association (Ginnie Mae or GNMA) mortgage-backed securities known as to-be-announced mortgage-backed securities (TBA MBS or Hedging Instruments) as well as forward delivery commitments on whole loans. The Hedging Instruments and forward delivery loan commitments are used to fix the forward sales price that will be realized upon the sale of mortgage loans into the secondary market and are accounted for as derivative instruments. The fair value of Hedging Instruments and forward delivery loan commitments are subject to change primarily due to changes in interest rates. The Company reports Hedging Instruments and forward delivery loan commitments within other assets and other liabilities at fair value with changes in fair value being recorded in the accompanying consolidated statements of operations and comprehensive loss within gain on sale of loans, net. The fair value of IRLCs and Hedging Instruments are represented as derivative assets, lending, net and derivative liabilities, lending, net in Note 9. — Fair Value of Financial Instruments . | |
Long-term Debt | Long-term Debt Long- term debt (junior subordinated notes) is reported at fair value. These securities are measured based upon an analysis prepared by management, which considers the Company’s own credit risk and discounted cash flow analysis. With the adoption of FASB ASU 2016-01 in 2018, which applies when the Company elects the fair value election on its own debt, the Company effectively bifurcates the market and instrument specific credit risk components of changes in long-term debt. The market portion continues to be a component of net loss as the change in fair value of long-term debt, but the instrument specific credit risk portion is a component of accumulated other comprehensive loss in the accompanying consolidated statements of operations and comprehensive loss. | |
Repurchase Reserve | Repurchase Reserve The Company sells mortgage loans in the secondary market, including U.S. GSEs, and issues mortgage- backed securities through Ginnie Mae and Fannie Mae. When the Company sells or issues securities, 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 laws. In the event of a breach of its representations and warranties, the Company may be required to either repurchase the mortgage loans with the identified defects or indemnify the investor or insurer for any loss. In addition, the Company may be required to repurchase loans as a result of borrower fraud or if a payment default occurs on a mortgage loan shortly after its sale. The Company’s loss may be reduced by proceeds from the sale or liquidation of the repurchased loan. Also, the Company’s loss may be reduced by any recourse it has to correspondent lenders that, in turn, had sold such mortgage loans to the Company and breached similar or other representations and warranties. In such event, the Company has the right to seek a recovery of related repurchase losses from that correspondent lender. The Company records a provision for losses relating to such representations and warranties as part of its loan sale transactions. The method used to estimate the liability for representations and warranties is a function of the representations and warranties given and considers a combination of factors, including, but not limited to, estimated future defaults and loan repurchase rates and the potential severity of loss in the event of defaults including any loss on sale or liquidation of the repurchased loan and the probability of reimbursement by the correspondent loan seller. The Company establishes a liability at the time loans are sold and continually updates its estimated repurchase liability. The level of the repurchase liability for representations and warranties is difficult to estimate and requires considerable management judgment. The level of mortgage loan repurchase losses is dependent on economic factors, investor demands for loan repurchases and other external conditions that may change over the lives of the underlying loans. | |
Revenue Recognition for Fees from Services | Revenue Recognition for Fees from Services The Company follows FASB ASC 606, Revenue Recognition The Company’s primary sources of revenue are derived from financial instruments that are not within the scope of FASB ASC 606. The Company has evaluated the nature of its contracts with customers and determined that further disaggregation of revenue from contracts with customers into more granular categories beyond what is presented in the consolidated statements of operations and comprehensive loss, was not necessary. The Company generally fully satisfies its performance obligations on its contracts with customers as services are rendered and the transaction prices are typically fixed; charged either on a periodic basis or based on activity. Because performance obligations are satisfied as services are rendered and the transaction prices are fixed, the Company has made no significant judgments in applying the revenue guidance prescribed in ASC 606 that affect the determination of the amount and timing of revenue from contracts with customers. The revenues from these services are recognized in income in the period when services are rendered and collectability is reasonably certain. | |
Advertising Costs | Advertising Costs Advertising costs are expensed as incurred and are included in business promotion expense in the accompanying consolidated statements of operations and comprehensive loss. For the years ended December 31, 2021 and 2020, business promotion expense was | |
Equity-Based Compensation | Equity-Based Compensation The Company accounts for stock-based compensation in accordance with FASB ASC 718 Compensation — Stock Compensation FASB ASC 718 requires forfeitures to be estimated at the time of grant and prospectively revised, if necessary, in subsequent periods if actual forfeitures differ from initial estimates. Stock-based compensation expense is recorded net of estimated forfeitures for the years ended December 31, 2021 and 2020, such that the expense was recorded only for those stock-based awards that were expected to vest during such periods. The cost of equity-based compensation is recorded to personnel expense. Refer to Note 14. — Share Based Payments and Employee Benefit Plans. | |
Income Taxes | Income Taxes In accordance with FASB ASC 740, Income Taxes The Company is subject to federal income taxes as a regular (Subchapter C) corporation and files a consolidated U.S. federal income tax return on qualifying subsidiaries. The Company files federal and various states income tax returns in the U.S. The Company adopted FASB ASU 2019-12 on a prospective basis on January 1, 2020 (See Note 11. — Income Taxes). The most significant impact to the Company included the removal of the exception to the incremental approach for intraperiod tax allocation when there is a loss from continuing operations and income or a gain from other items (for example, discontinued operations or other comprehensive income). The changes also add a requirement for an entity to reflect the effect of an enacted change in tax laws or rates in the annual effective tax rate computation in the interim period that includes the enactment date. The adoption of this standard did not have a material impact on the Company's consolidated financial statements. | |
Loss per Common Share | Loss Per Common Share Basic loss per common share is computed on the basis of the weighted average number of shares outstanding for the year divided by net loss for the year. Diluted loss per common share is computed on the basis of the weighted average number of shares and dilutive common equivalent shares outstanding for the year divided by net loss for the year, unless anti-dilutive. Refer to Note 10.—Reconciliation of Loss Per Common Share. | |
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. | Recent Accounting Pronouncements Not Yet Effective In June 2016, the FASB issued ASU 2016-13, “Financial Instruments — Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments,” , earlier recognition of allowances for losses. For available-for-sale debt securities with unrealized losses, entities will measure credit losses in a manner similar to current practice, except that the losses will be recognized as an allowance. Subsequent to issuing ASU 2016-13, the FASB issued ASU 2018-19, “ Codification Improvements to Topic 326, Financial Instruments — Credit Losses” Codification Improvements to Topic 326, Financial Instruments-Credit Losses, Topic 815, Derivatives and Hedging Topic 825, Financial Instruments (ASU 2019-04) Financial Instruments — Credit Losses (Topic 326)” In March 2020 and January 2021, the FASB issued 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 does not expect the adoption of this ASU to have a material impact on the Company’s consolidated financial statements. In August 2020, the FASB issued ASU 2020-06, Debt — Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging — Contracts in Entity’s Own Equity (Subtopic 815-40): Accounting for Convertible Instruments and Contracts in an Entity’s Own Equity 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. |
Mortgage Loans Held-for-Sale _2
Mortgage Loans Held-for-Sale (Tables) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Mortgage Loans Held-for-Sale | ||
Summary of the unpaid principal balance (UPB ) of mortgage loans held-for-sale by type | June 30, December 31, 2022 2021 Government (1) $ 613 $ 6,886 Conventional (2) 7,375 62,759 Jumbo & Non-qualified mortgages (NonQM) 28,839 231,142 Fair value adjustment (3) 208 7,690 Total mortgage loans held-for-sale $ 37,035 $ 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 gain on sale of loans, net in the accompanying consolidated statements of operations and comprehensive loss. | December 31, December 31, 2021 2020 Government (1) $ 6,886 $ 7,924 Conventional (2) 62,759 141,139 Jumbo & Non-qualified mortgages (NonQM) 231,142 11,064 Fair value adjustment (3) 7,690 4,295 Total mortgage loans held-for-sale $ 308,477 $ 164,422 (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 Fannie Mae and Federal home Loan Mortgage Corporation (Freddie Mac or FHLMC). (3) Changes in fair value are included in gain on sale of loans, net on the accompanying consolidated statements of operations and comprehensive loss. |
Schedule of gain on sale of loans, net | For the Three Months Ended For the Six Months Ended June 30, June 30, 2022 2021 2022 2021 Gain on sale of mortgage loans $ 2,562 $ 17,852 $ 16,587 $ 39,115 Premium from servicing retained loan sales — 92 46 213 Unrealized loss from derivative financial instruments (1,244) (2,880) (2,558) (3,095) Gain (loss) from derivative financial instruments 1,862 (315) 6,005 2,914 Mark to market (loss) gain on LHFS (217) 271 (7,482) (597) Direct origination expenses, net (925) (3,737) (4,031) (7,938) Change in provision for repurchases (1,859) (590) (2,433) 212 Gain on sale of loans, net $ 179 $ 10,693 $ 6,134 $ 30,824 | For the Year Ended December 31, 2021 2020 Gain on sale of mortgage loans $ 81,362 $ 59,330 Premium from servicing retained loan sales 536 2,094 Unrealized loss from derivative financial instruments (4,076) (7) Gain (loss) from derivative financial instruments 1,934 (11,040) Mark to market gain (loss) on LHFS 3,395 (15,955) Direct origination expenses, net (17,746) (15,191) Change in provision for repurchases (111) (5,227) Gain on sale of loans, net $ 65,294 $ 14,004 |
Mortgage Servicing Rights (Ta_2
Mortgage Servicing Rights (Tables) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Mortgage Servicing Rights | ||
Schedule of changes in the fair value of MSRs | June 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) 55 (126) Fair value of MSRs at end of period $ 850 $ 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. | December 31, December 31, 2021 2020 Balance at beginning of year $ 339 $ 41,470 Additions from servicing retained loan sales 536 2,094 Reductions from bulk sales — (21,263) Changes in fair value (1) (126) (21,962) Fair value of MSRs at end of period $ 749 $ 339 (1) Changes in fair value are included within gain (loss) on mortgage servicing rights, net in the accompanying consolidated statements of operations and comprehensive loss. |
Schedule of the outstanding loans serviced by entity | June 30, December 31, 2022 2021 Government insured $ 71,381 $ 71,841 Conventional — — Total loans serviced $ 71,381 $ 71,841 | December 31, December 31, 2021 2020 Government insured $ 71,841 $ 30,524 Conventional — — Total loans serviced $ 71,841 $ 30,524 |
Schedule of hypothetical changes in the fair values of MSRs | June 30, December 31, Mortgage Servicing Rights Sensitivity Analysis 2022 2021 Fair value of MSRs $ 850 $ 749 Prepayment Speed: Decrease in fair value from 10% adverse change (18) (24) Decrease in fair value from 20% adverse change (37) (48) Decrease in fair value from 30% adverse change (56) (70) Discount Rate: Decrease in fair value from 10% adverse change (38) (31) Decrease in fair value from 20% adverse change (72) (59) Decrease in fair value from 30% adverse change (104) (85) | December 31, December 31, Mortgage Servicing Rights Sensitivity Analysis 2021 2020 Fair value of MSRs $ 749 $ 339 Prepayment Speed: Decrease in fair value from 10% adverse change (24) (13) Decrease in fair value from 20% adverse change (48) (26) Decrease in fair value from 30% adverse change (70) (38) Discount Rate: Decrease in fair value from 10% adverse change (31) (13) Decrease in fair value from 20% adverse change (59) (25) Decrease in fair value from 30% adverse change (85) (37) |
Schedule of gain on mortgage servicing rights | For the Three Months Ended For the Six Months Ended June 30, June 30, 2022 2021 2022 2021 Change in fair value of mortgage servicing rights $ (6) $ (37) $ 55 $ 1 Gain on sale of mortgage servicing rights 51 — 100 — Gain (loss) on mortgage servicing rights, net $ 45 $ (37) $ 155 $ 1 | For the Year Ended December 31, 2021 2020 Change in fair value of mortgage servicing rights $ (126) $ (21,962) Gain (loss) on sale of mortgage servicing rights 160 (6,547) Gain (loss) on mortgage servicing rights, net $ 34 $ (28,509) |
Schedule of components of servicing (expense) fees, net | For the Three Months Ended For the Six Months Ended June 30, June 30, 2022 2021 2022 2021 Contractual servicing fees $ 64 $ 41 $ 134 $ 73 Subservicing and other costs (57) (191) (139) (342) Servicing fees (expense), net $ 7 $ (150) $ (5) $ (269) | For the Year Ended December 31, 2021 2020 Contractual servicing fees $ 193 $ 5,159 Late and ancillary fees — 67 Subservicing and other costs (625) (1,623) Servicing (expense) fees, net $ (432) $ 3,603 |
Leases (Tables)
Leases (Tables) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Lessee, Lease, Description [Line Items] | ||
Schedule of balance sheets, weighted average remaining lease term and weighted average discount rates | June 30, Lease Assets and Liabilities Classification 2022 Assets Lease ROU assets Other assets $ 8,366 Liabilities Lease liabilities Other liabilities $ 10,481 Weighted average remaining lease term (in years) 2.2 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 June 30, 2022: Year remaining 2022 $ 2,415 Year 2023 4,909 Year 2024 3,729 Total lease commitments $ 11,053 Less: imputed interest (572) Total lease liability $ 10,481 | |
Schedule of maturities of operating leases | The following table presents the maturities of the Company’s operating lease liabilities as of December 31, 2021: Year 2022 $ 4,809 Year 2023 4,909 Year 2024 3,729 Total lease commitments $ 13,447 Less: imputed interest (885) Total lease liability $ 12,562 | |
ASU 2016-02 | ||
Lessee, Lease, Description [Line Items] | ||
Schedule of balance sheets, weighted average remaining lease term and weighted average discount rates | December 31, Lease Assets and Liabilities Classification 2021 Assets Lease ROU assets Other assets $ 10,209 Liabilities Lease liabilities Other liabilities $ 12,562 Weighted average remaining lease term (in years) 2.7 Weighted average discount rate 4.8 % |
Debt (Tables)_2
Debt (Tables) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Long-term Debt | ||
Schedule of contractual debt maturities | Payments Due by Period Less Than One to Three to More Than Total One Year Three Years Five Years Five Years Warehouse borrowings $ 285,539 $ 285,539 $ — $ — $ — Convertible notes 20,000 20,000 — — — Long-term debt 62,000 — — — 62,000 Total debt obligations $ 367,539 $ 305,539 $ — $ — $ 62,000 | |
Schedule of information on warehouse borrowings | Maximum Balance Outstanding at Borrowing June 30, December 31, Capacity 2022 2021 Maturity Date Short-term borrowings: Repurchase agreement 1 (1) $ — $ — $ 30,009 May 24, 2022 Repurchase agreement 2 (2) 200,000 19,838 153,006 September 13, 2022 Repurchase agreement 3 300,000 6,136 56,794 September 23, 2022 Repurchase agreement 4 50,000 11,821 45,730 March 31, 2023 Total warehouse borrowings $ 550,000 $ 37,795 $ 285,539 | The following table presents certain information on warehouse borrowings for the periods indicated: Maximum Balance Outstanding at Allowable Borrowing December 31, December 31, Advance Rate Capacity 2021 2020 Rates (%) Range Maturity Date Short-term borrowings: Repurchase agreement 1 (1) $ 65,000 $ 30,009 $ 49,963 90 - 98 1ML + 2.00 – 2.25% March 24, 2022 Repurchase agreement 2 200,000 153,006 51,310 100 1ML + 1.75% September 13, 2022 Repurchase agreement 3 300,000 56,794 50,659 100 Note Rate – 0.375% September 23, 2022 Repurchase agreement 4 50,000 45,730 — 99 Note Rate – 0.50 – 0.75% March 31, 2022 Total warehouse borrowings $ 615,000 $ 285,539 $ 151,932 (1) The maximum borrowing capacity of repurchase agreement 1 was temporarily increased to $65.0 million from $50.0 million until February 25, 2022. The following table presents certain information on warehouse borrowings for the periods indicated: For the Year Ended December 31, 2021 2020 Maximum outstanding balance during the year $ 336,648 $ 810,818 Average balance outstanding for the year 191,794 252,565 UPB of underlying collateral (mortgage loans) 296,841 153,675 Weighted average interest rate for period 3.41 % 3.74 % |
Schedule of certain information on MSR Financings | For the Year Ended December 31, 2021 2020 Maximum outstanding balance during the year $ — $ 15,000 Average balance outstanding for the year — 2,943 Weighted average rate for period — % 3.91 % | |
Junior subordinated notes | ||
Long-term Debt | ||
Schedule of remaining principal balance and fair value | June 30, December 31, 2022 2021 Junior Subordinated Notes (1) $ 62,000 $ 62,000 Fair value adjustment (26,111) (15,464) Total Junior Subordinated Notes $ 35,889 $ 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. | (1) Stated maturity of March 2034; requires quarterly interest payments at a variable rate of 3-month LIBOR plus 3.75% per annum. At December 31, 2021, the interest rate was 3.97%. |
Securitized Mortgage Trusts (_2
Securitized Mortgage Trusts (Tables) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Securitized Mortgage Collateral | ||
Schedule of securitized mortgage trust assets | June 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 | December 31, December 31, 2021 2020 Securitized mortgage collateral, at fair value $ 1,639,251 $ 2,100,175 REO, at net realizable value (NRV) 3,479 3,094 Total securitized mortgage trust assets $ 1,642,730 $ 2,103,269 |
Summary of securitized mortgage collateral | December 31, December 31, 2021 2020 Mortgages secured by residential real estate $ 1,653,749 $ 2,205,575 Mortgages secured by commercial real estate 89,801 170,418 Fair value adjustment (104,299) (275,818) Total securitized mortgage collateral, at fair value $ 1,639,251 $ 2,100,175 | |
Schedule of real estate owned | December 31, December 31, 2021 2020 REO $ 10,335 $ 10,140 Impairment (1) (6,856) (6,967) Ending balance $ 3,479 $ 3,173 REO inside trusts $ 3,479 $ 3,094 REO outside trusts — 79 Total $ 3,479 $ 3,173 (1) Impairment represents the cumulative write-downs of net realizable value subsequent to foreclosure. | |
Schedule of securitized mortgage trust liabilities | June 30, December 31, 2022 2021 Securitized mortgage borrowings $ — $ 1,614,862 | December 31, December 31, 2021 2020 Securitized mortgage borrowings $ 1,614,862 $ 2,086,557 |
Schedule of securitized mortgage borrowings | Securitized mortgage borrowings outstanding as of December 31, Range of Interest Rates (%) Interest Interest Rate Rate Original Fixed Margins over Margins after Issuance Interest One-Month Contractual Year of Issuance Amount 2021 2020 Rates LIBOR (1) Call Date (2) 2002 $ 3,876.1 $ 2.7 $ 3.4 5.25 – 12.00 0.27 – 2.75 0.54 – 3.68 2003 5,966.1 12.9 19.1 4.34 – 12.75 0.27 – 3.00 0.54 – 4.50 2004 17,710.7 210.9 287.3 3.58 – 5.56 0.25 – 2.50 0.50 – 3.75 2005 13,387.7 1,198.2 1,404.6 — 0.24 – 2.90 0.48 – 4.35 2006 5,971.4 1,626.0 1,860.3 6.25 0.10 – 2.75 0.20 – 4.13 2007 3,860.5 882.5 1,012.5 — 0.06 – 2.00 0.12 – 3.00 Subtotal contractual principal balance (3) 3,933.2 4,587.2 Fair value adjustment (4) (2,318.3) (2,500.6) Total securitized mortgage borrowings $ 1,614.9 $ 2,086.6 (1) One-month LIBOR was 0.10% as of December 31, 2021. (2) Interest rate margins are generally adjusted when the unpaid principal balance is reduced to less than 10-20% of the original issuance amount, or if certain other triggers are met. (3) Represents the outstanding balance in accordance with trustee reporting. (4) Fair value adjustment is inclusive of $ 2.2 billion in bond losses at December 31, 2021 and 2020. | |
Schedule of expected principal reductions of securitized mortgage borrowings | Payments Due by Period Less Than One to Three to More Than Total One Year Three Years Five Years Five Years Warehouse borrowings $ 285,539 $ 285,539 $ — $ — $ — Convertible notes 20,000 20,000 — — — Long-term debt 62,000 — — — 62,000 Total debt obligations $ 367,539 $ 305,539 $ — $ — $ 62,000 | |
Schedule of changes in fair value of net trust assets, including trust REO gains | For the Three Months Ended For the Six Months Ended June 30, June 30, 2022 2021 2022 2021 Change in fair value of net trust assets, excluding REO $ — $ (1,828) $ 9,248 $ (5,373) (Losses) gains from trust REO — (313) — 1,559 Change in fair value of net trust assets, including trust REO gains (losses) $ — $ (2,141) $ 9,248 $ (3,814) | For the Year Ended December 31, 2021 2020 Change in fair value of net trust assets, excluding REO $ 6,471 $ (13,081) Gains from trust REO 111 7,393 Change in fair value of net trust assets, including trust REO gains $ 6,582 $ (5,688) |
Securitized mortgage borrowings | ||
Securitized Mortgage Collateral | ||
Schedule of expected principal reductions of securitized mortgage borrowings | As of December 31, 2021, expected principal reductions of the securitized mortgage borrowings, which is based on contractual principal payments and expected prepayment and loss assumptions for securitized mortgage collateral, was as follows (dollars in millions): Payments Due by Period Less Than One to Three to More Than Total One Year Three Years Five Years Five Years Securitized mortgage borrowings (1) $ 3,933.2 $ 420.8 $ 511.4 $ 296.4 $ 2,704.6 (1) Represents the outstanding balance in accordance with trustee reporting. |
Fair Value of Financial Inst_10
Fair Value of Financial Instruments (Tables) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Fair Value of Financial Instruments | ||
Schedule of estimated fair value of financial instruments included in consolidated financial statements | June 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 $ 61,173 $ 61,173 $ — $ — $ 29,555 $ 29,555 $ — $ — Restricted cash 5,196 5,196 — — 5,657 5,657 — — Mortgage loans held-for-sale 37,035 — 37,035 — 308,477 — 308,477 — Mortgage servicing rights 850 — — 850 749 — — 749 Derivative assets, lending, net (1) 510 — 12 498 3,111 — — 3,111 Securitized mortgage collateral — — — — 1,639,251 — — 1,639,251 Liabilities Warehouse borrowings $ 37,795 $ — $ 37,795 $ — $ 285,539 $ — $ 285,539 $ — Convertible notes 15,000 — — 15,000 20,000 — — 20,000 Long-term debt 35,889 — — 35,889 46,536 — — 46,536 Securitized mortgage borrowings — — — — 1,614,862 — — 1,614,862 Derivative liabilities, lending, net (2) 12 — 12 — 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. | December 31, 2021 December 31, 2020 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 $ 29,555 $ 29,555 $ — $ — $ 54,150 $ 54,150 $ — $ — Restricted cash 5,657 5,657 — — 5,602 5,602 — — Mortgage loans held-for-sale 308,477 — 308,477 — 164,422 — 164,422 — Mortgage servicing rights 749 — — 749 339 — — 339 Derivative assets, lending, net (1) 3,111 — — 3,111 7,275 — — 7,275 Securitized mortgage collateral 1,639,251 — — 1,639,251 2,100,175 — — 2,100,175 Liabilities Warehouse borrowings $ 285,539 $ — $ 285,539 $ — $ 151,932 $ — $ 151,932 $ — Convertible notes 20,000 — — 20,000 20,000 — — 20,000 Long-term debt 46,536 — — 46,536 44,413 — — 44,413 Securitized mortgage borrowings 1,614,862 — — 1,614,862 2,086,557 — — 2,086,557 Derivative liabilities, lending, net (2) 55 — 55 — 143 — 143 — (1) Represents IRLCs 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 June 30, 2022 December 31, 2021 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 Assets Mortgage loans held-for-sale $ — $ 37,035 $ — $ — $ 308,477 $ — Derivative assets, lending, net (1) — 12 498 — — 3,111 Mortgage servicing rights — — 850 — — 749 Securitized mortgage collateral — — — — — 1,639,251 Total assets at fair value $ — $ 37,047 $ 1,348 $ — $ 308,477 $ 1,643,111 Liabilities Securitized mortgage borrowings $ — $ — $ — $ — $ — $ 1,614,862 Long-term debt — — 35,889 — — 46,536 Derivative liabilities, lending, net (2) — 12 — — 55 — Total liabilities at fair value $ — $ 12 $ 35,889 $ — $ 55 $ 1,661,398 (1) At June 30, 2022, derivative assets, lending, net included $498 thousand in IRLCs and $12 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. | Recurring Fair Value Measurements December 31, 2021 December 31, 2020 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 Assets Mortgage loans held-for-sale $ — $ 308,477 $ — $ — $ 164,422 $ — Derivative assets, lending, net (1) — — 3,111 — — 7,275 Mortgage servicing rights — — 749 — — 339 Securitized mortgage collateral — — 1,639,251 — — 2,100,175 Total assets at fair value $ — $ 308,477 $ 1,643,111 $ — $ 164,422 $ 2,107,789 Liabilities Securitized mortgage borrowings $ — $ — $ 1,614,862 $ — $ — $ 2,086,557 Long-term debt — — 46,536 — — 44,413 Derivative liabilities, lending, net (2) — 55 — — 143 — Total liabilities at fair value $ — $ 55 $ 1,661,398 $ — $ 143 $ 2,130,970 (1) 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. At December 31, 2020, derivative assets, lending, net included $7.3 million in IRLCs and is included in other assets in accompanying consolidated balance sheets. (2) At December 31, 2021 and 2020, 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 June 30, 2022 Interest Securitized Securitized Mortgage rate lock Long- mortgage mortgage servicing commitments, term collateral borrowings rights net debt Fair value, March 31, 2022 $ — $ — $ 856 $ 846 $ (47,549) Total gains (losses) included in earnings: Interest income — — — — — Interest expense — — — — (357) Change in fair value — — (6) (348) 1,980 Change in instrument specific credit risk — — — — 10,037 (1) Total gains (losses) included in earnings — — (6) (348) 11,660 Transfers in and/or out of Level 3 — — — — — Purchases, issuances and settlements: Purchases — — — — — Issuances — — — — — Settlements — — — — — Fair value, June 30, 2022 $ — $ — $ 850 $ 498 $ (35,889) (1) Amount represents the change in instrument specific credit risk in other comprehensive gain (loss) in the consolidated statements of operations and comprehensive loss. Level 3 Recurring Fair Value Measurements For the Three Months Ended June 30, 2021 Interest Securitized Securitized Mortgage rate lock Long- mortgage mortgage servicing commitments, term collateral borrowings rights net debt Fair value, March 31, 2021 $ 2,038,545 $ (2,028,210) $ 498 $ 5,078 $ (45,361) Total gains (losses) included in earnings: Interest income (1) (4,722) — — — — Interest expense (1) — (8,909) — — (418) Change in fair value (2,550) 722 (37) (816) 1,417 Change in instrument specific credit risk — — — — (538) (2) Total gains (losses) included in earnings (7,272) (8,187) (37) (816) 461 Transfers in and/or out of Level 3 — — — — — Purchases, issuances and settlements: Purchases — — — — — Issuances — — 92 — — Settlements (172,850) 189,173 — — — Fair value, June 30, 2021 $ 1,858,423 $ (1,847,224) $ 553 $ 4,262 $ (44,900) (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 $2.1 million for the three months ended June 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 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 gain (loss) in the consolidated statements of operations and comprehensive loss. Level 3 Recurring Fair Value Measurements For the Six Months Ended June 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) — — (743) Change in fair value 9,248 — 55 (2,613) 3,622 Change in instrument specific credit risk — — — — 7,768 (2) Total gains (losses) included in earnings 11,267 (7,564) 55 (2,613) 10,647 Transfers in and/or out of Level 3 — — — — — Purchases, issuances and settlements: Purchases — — — — — Issuances — — 46 — — Settlements (1,650,518) 1,622,426 — — — Fair value, June 30, 2022 $ — $ — $ 850 $ 498 $ (35,889) Unrealized gains (losses) still held (3) $ — $ — $ 850 $ 498 $ 26,111 (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 six months ended June 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 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 gain (loss) in the consolidated statements of operations and comprehensive loss. (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 June 30, 2022. Level 3 Recurring Fair Value Measurements For the Six Months Ended June 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 (losses) gains included in earnings: Interest income (1) (9,479) — — — — Interest expense (1) — (18,018) — — (724) Change in fair value 79,857 (85,230) 1 (3,013) 2,442 Change in instrument specific credit risk — — — — (2,205) (2) Total gains (losses) included in earnings 70,378 (103,248) 1 (3,013) (487) Transfers in and/or out of Level 3 — — — — — Purchases, issuances and settlements: Purchases — — — — — Issuances — — 213 — — Settlements (312,130) 342,581 — — — Fair value, June 30, 2021 $ 1,858,423 $ (1,847,224) $ 553 $ 4,262 $ (44,900) Unrealized (losses) gains still held (3) $ (186,507) $ 2,397,426 $ 553 $ 4,262 $ 17,100 (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 $4.3 million for the three and six months ended June 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 gain (loss) 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 in the consolidated statements of operations and comprehensive loss. (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 June 30, 2021 | Level 3 Recurring Fair Value Measurements For the Year Ended December 31, 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 (losses) gains included in earnings: Interest income (1) (12,162) — — — — Interest expense (1) — (37,090) — — (1,499) Change in fair value 151,759 (145,288) (126) (4,164) 2,098 Change in instrument specific credit risk — — — — (2,722) (2) Total gains (losses) included in earnings 139,597 (182,378) (126) (4,164) (2,123) Transfers in and/or out of Level 3 — — — — — Purchases, issuances and settlements: Purchases — — — — — Issuances — — 536 — — Settlements (600,521) 654,073 — — — Fair value, December 31, 2021 $ 1,639,251 $ (1,614,862) $ 749 $ 3,111 $ (46,536) Unrealized (losses) gains still held (3) $ (104,299) $ 2,318,296 $ 749 $ 3,111 $ 15,464 (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 $8.1 million for the year ended December 31, 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 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 in the consolidated statements of operations and comprehensive loss. (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 December 31, 2021 . Level 3 Recurring Fair Value Measurements For the Year Ended December 31, 2020 Interest Securitized Securitized Mortgage rate lock Long- mortgage mortgage servicing commitments, term collateral borrowings rights net debt Fair value, December 31, 2019 $ 2,628,064 $ (2,619,210) $ 41,470 $ 7,791 $ (45,434) Total (losses) gains included in earnings: Interest income (1) 747 — — — — Interest expense (1) — (65,421) — — (850) Change in fair value (92,562) 79,481 (21,962) (516) 1,899 Change in instrument specific credit risk — — — — (28) (2) Total (losses) gains included in earnings (91,815) 14,060 (21,962) (516) 1,021 Transfers in and/or out of Level 3 — — — — — Purchases, issuances and settlements: Purchases — — — — — Issuances — — 2,094 — — Settlements (436,074) 518,593 (21,263) — — Fair value, December 31, 2020 $ 2,100,175 $ (2,086,557) $ 339 $ 7,275 $ (44,413) Unrealized (losses) gains still held (3) $ (275,818) $ 2,500,674 $ 339 $ 7,275 $ 17,587 (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 $8.9 million for the year ended December 31, 2020. 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 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 in the consolidated statements of operations and comprehensive loss. (3) Represents the amount of unrealized (losses) gains relating to assets and liabilities classified as Level 3 that were still held and reflected in the fair values at December 31, 2020. |
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 June 30, 2022 and December 31, 2021: June 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 – 12.5 % 8.5 % 8.01 – 29.1 % 10.3 % Derivative assets - IRLCs, net Pull-through rates 40.0 – 99.0 % 69.5 % 50.0 – 98.0 % 79.0 % Long-term debt Discount rates 14.2 % 14.2 % 8.6 % 8.6 % | 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 non-recurring basis at December 31, 2021. Estimated Valuation Unobservable Range of Weighted Financial Instrument Fair Value Technique Input Inputs Average Assets and liabilities backed by real estate Securitized mortgage collateral, and $ 1,639,251 Discounted Cash Flow Prepayment rates 2.9 – 46.3 % 10.7 % Securitized mortgage borrowings (1,614,862) 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 $ 749 Discounted Cash Flow Discount rates 12.5 – 15.0 % 12.8 % Prepayment rates 8.01 – 29.1 % 10.3 % Derivative assets - IRLCs, net 3,111 Market pricing Pull-through rates 50.0 – 98.0 % 79.0 % Long-term debt (46,536) Discounted Cash Flow Discount rates 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 For the Three Months Ended June 30, 2022 Change in Fair Value of Interest Interest Net Trust Long-term Other Revenue Gain on Sale Income (1) Expense (1) Assets Debt and Expense of Loans, net Total Securitized mortgage collateral $ — $ — $ — $ — $ — $ — $ — Securitized mortgage borrowings — — — — — — — Long-term debt — (357) — 1,980 — — 1,623 Mortgage servicing rights (2) — — — — (6) — (6) Mortgage loans held-for-sale — — — — — (217) (217) Derivative assets — IRLCs — — — — — (348) (348) Derivative liabilities — Hedging Instruments — — — — — (896) (896) Total $ — $ (357) $ — $ 1,980 $ (6) $ (1,461) $ 156 (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 (loss) on MSRs, net in the consolidated statements of operations and comprehensive loss. Recurring Fair Value Measurements Changes in Fair Value Included in Net Loss For the Three Months Ended June 30, 2021 Change in Fair Value of Interest Interest Net Trust Long-term Other Revenue Gain on Sale Income (1) Expense (1) Assets Debt and Expense of Loans, net Total Securitized mortgage collateral $ (4,722) $ — $ (2,550) $ — $ — $ — $ (7,272) Securitized mortgage borrowings — (8,909) 722 — — — (8,187) Long-term debt — (418) — 1,417 — — 999 Mortgage servicing rights (2) — — — — (37) — (37) Mortgage loans held-for-sale — — — — — 271 271 Derivative assets — IRLCs — — — — — (816) (816) Derivative liabilities — Hedging Instruments — — — — — (2,064) (2,064) Total $ (4,722) $ (9,327) $ (1,828) (3) $ 1,417 $ (37) $ (2,609) $ (17,106) (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 (loss) on MSRs, net in the consolidated statements of operations and comprehensive loss. (3) For the three months ended June 30, 2021, change in the fair value of net trust assets, excluding REO was $1.8 million. Recurring Fair Value Measurements Changes in Fair Value Included in Net Loss For the Six Months Ended June 30, 2022 Change in Fair Value of Interest Interest Net Trust Long-term Other Income 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 — (743) — 3,622 — — 2,879 Mortgage servicing rights (2) — — — — 55 — 55 Mortgage loans held-for-sale — — — — — (7,482) (7,482) Derivative assets — IRLCs — — — — — (2,613) (2,613) Derivative liabilities — Hedging Instruments — — — — — 55 55 Total $ 2,019 $ (8,307) $ 9,248 (3) $ 3,622 $ 55 $ (10,040) $ (3,403) (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 (loss) on MSRs, net in the consolidated statements of operations and comprehensive loss. (3) For the six months ended June 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 For the Six Months Ended June 30, 2021 Change in Fair Value of Interest Interest Net Trust Long-term Other Income Gain on Sale Income (1) Expense (1) Assets Debt and Expense of Loans, net Total Securitized mortgage collateral $ (9,479) $ — 79,857 $ — $ — $ — $ 70,378 Securitized mortgage borrowings — (18,018) (85,230) — — — (103,248) Long-term debt — (724) — 2,442 — — 1,718 Mortgage servicing rights (2) — — — — 1 — 1 Mortgage loans held-for-sale — — — — — (597) (597) Derivative assets — IRLCs — — — — — (3,013) (3,013) Derivative liabilities — Hedging Instruments — — — — — (82) (82) Total $ (9,479) $ (18,742) $ (5,373) (3) $ 2,442 $ 1 $ (3,692) $ (34,843) (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 (loss) on MSRs, net in the consolidated statements of operations and comprehensive loss. (3) For the six months ended June 30, 2021, change in the fair value of net trust assets, excluding REO was $5.4 million. | Recurring Fair Value Measurements Changes in Fair Value Included in Net Earnings (Loss) For the Year Ended December 31, 2021 Change in Fair Value of Interest Interest Net Trust Long-term Other Income Gain (Loss) on Sale Income (1) Expense (1) Assets Debt and Expense of Loans, net Total Securitized mortgage collateral $ (12,162) $ — $ 151,759 $ — $ — $ — $ 139,597 Securitized mortgage borrowings — (37,090) (145,288) — — — (182,378) Long-term debt — (1,499) — 2,098 — — 599 Mortgage servicing rights (2) — — — — (126) — (126) Mortgage loans held-for-sale — — — — — 3,395 3,395 Derivative assets – — — — — — (4,164) (4,164) Derivative liabilities – — — — — — 88 88 Total $ (12,162) $ (38,589) $ 6,471 (3) $ 2,098 $ (126) $ (681) $ (42,989) (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 (loss) on mortgage servicing rights, net in the consolidated statements of operations and comprehensive loss. (3) For the year ended December 31, 2021, change in the fair value of trust assets, excluding REO was $6.5 million . Recurring Fair Value Measurements Changes in Fair Value Included in Net Earnings (Loss) For the Year Ended December 31, 2020 Change in Fair Value of Interest Interest Net Trust Long-term Other Income Gain (Loss) on Sale Income (1) Expense (1) Assets Debt and Expense of Loans, net Total Securitized mortgage collateral $ 747 $ — $ (92,562) $ — $ — $ — $ (91,815) Securitized mortgage borrowings — (65,421) 79,481 — — — 14,060 Long-term debt — (850) — 1,899 — — 1,049 Mortgage servicing rights (2) — — — — (21,962) — (21,962) Mortgage loans held-for-sale — — — — — (15,955) (15,955) Derivative assets – — — — — — (516) (516) Derivative liabilities – — — — — — 509 509 Total $ 747 $ (66,271) $ (13,081) (3) $ 1,899 $ (21,962) $ (15,962) $ (114,630) (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 (loss) on mortgage servicing rights, net in the consolidated statements of operations and comprehensive loss. (3) For the year ended December 31, 2020, change in the fair value of trust assets, excluding REO was $13.1 million. |
Schedule of derivative assets and liabilities | Total Gains (Losses) Total Gains (Losses) Notional Amount For the Three Months Ended For the Six Months Ended June 30, December 31, June 30, June 30, 2022 2021 2022 2021 2022 2021 Derivative – IRLC's (1) $ 55,175 $ 255,150 $ (348) $ (816) $ (2,613) $ (3,013) Derivative – TBA MBS (1) 12,500 102,000 1,072 (2,379) 4,760 2,832 Derivative – Swap Futures (1) 3,300 — (106) — 1,300 — (1) Amounts included in gain on sale of loans, net within the accompanying consolidated statements of operations and comprehensive loss. | Total Gains (Losses) Notional Amount For the Year Ended December 31, December 31, December 31, 2021 2020 2021 2020 Derivative – IRLC’s (1) $ 255,150 $ 450,913 $ (4,164) $ (516) Derivative – TBA MBS (1) 102,000 45,000 2,022 (10,531) Derivative – Forward delivery loan commitment (2) — 20,000 — — (1) Amounts included in gain on sale of loans, net within the accompanying consolidated statements of operations and comprehensive loss. (2) As of December 31, 2021, there were no forward delivery loan commitments accounted for as derivative instruments. As of December 31, 2020, $20.0 million in mortgage loans had been allocated to forward delivery loan commitments and were recorded at fair value within LHFS in the accompanying consolidated balance sheets . |
Schedule of financial and non-financial assets and liabilities measured using nonrecurring fair value measurements | Nonrecurring Fair Value Measurements Total Losses (1) June 30, 2022 For the Three Months Ended For the Six Months Ended Level 1 Level 2 Level 3 June 30, 2022 June 30, 2022 ROU asset impairment — — 8,366 (123) (123) (1) Total losses reflect losses from all nonrecurring measurements during the period. Nonrecurring Fair Value Measurements Total (Losses) Gains (1) June 30, 2021 For the Three Months Ended For the Six Months Ended Level 1 Level 2 Level 3 June 30, 2021 June 30, 2021 REO (2) $ — $ 4,251 $ — $ (313) $ 1,559 (1) Total gains (losses) reflect gains (losses) from all nonrecurring measurements during the period. (2) For the three and six months ended June 30, 2021, the Company recorded $( 313) thousand and $1.6 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. | The following table presents financial and non-financial assets and liabilities measured using nonrecurring fair value measurements at December 31, 2021 and 2020, respectively: Nonrecurring Fair Value Measurements December 31, 2021 December 31, 2020 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 REO (1) $ — $ 3,479 $ — $ — $ 3,173 $ — ROU asset — — 10,209 — — 13,512 (1) Balance represents REO at December 31, 2021 and December 31, 2020 which has been impaired subsequent to foreclosure. The following table presents total gains on financial and non-financial assets and liabilities measured using nonrecurring fair value measurements for the years ended December 31, 2021 and 2020, respectively: Total Gains (1) For the Year Ended December 31, 2021 2020 REO (2) $ 111 $ 7,393 (1) Total gains reflect gains from all nonrecurring measurements during the year. (2) For the years ended December 31, 2021 and 2020, the Company recorded $111 thousand and $7.4 million, respectively, of gains related to changes in the NRV of REO. 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 . |
Reconciliation of Loss Per Co_5
Reconciliation of Loss Per Common Share (Tables) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Reconciliation of Loss Per Common Share | ||
Schedule of computation of basic and diluted earnings per common share | For the Three Months Ended For the Six Months Ended June 30, June 30, 2022 2021 2022 2021 Numerator for basic loss per share: Net loss $ (13,467) $ (8,864) $ (14,651) $ (9,547) Less: cumulative non-declared dividends on preferred stock (1) (390) — (780) — Net loss attributable to common stockholders $ (13,857) $ (8,864) $ (15,431) $ (9,547) Numerator for diluted loss per share: Net loss $ (13,857) $ (8,864) $ (15,431) $ (9,547) Interest expense attributable to convertible notes (2) — — — — Net loss plus interest expense attributable to convertible notes $ (13,857) $ (8,864) $ (15,431) $ (9,547) Denominator for basic loss per share (3): Basic weighted average common shares outstanding during the period 21,509 21,344 21,463 21,319 Denominator for diluted loss per share (3): Basic weighted average common shares outstanding during the period 21,509 21,344 21,463 21,319 Net effect of dilutive convertible notes and warrants (2) — — — — Net effect of dilutive stock options, DSU’s, RSA's and RSU's (2) — — — — Diluted weighted average common shares 21,509 21,344 21,463 21,319 Net loss per common share: Basic $ (0.64) $ (0.42) $ (0.72) $ (0.45) Diluted $ (0.64) $ (0.42) $ (0.72) $ (0.45) (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 Preferred B voting rights (see Note 12. — Equity and Share Based Payments). (2) Adjustments to diluted loss per share for the three and six months ended June 30, 2022 and 2021, were excluded from the calculation, as they were anti-dilutive. (3) Number of shares presented in thousands. | For the Year Ended December 31, 2021 2020 Numerator for basic loss per share: Net loss $ (3,878) $ (88,150) Less: Cumulative non-declared dividends on preferred stock (1) (780) — Net loss attributable to common stockholders $ (4,658) $ (88,150) Numerator for diluted loss per share: Net loss $ (4,658) $ (88,150) Interest expense attributable to convertible notes (2) — — Net loss plus interest expense attributable to convertible notes $ (4,658) $ (88,150) Denominator for basic loss per share (3): Basic weighted average common shares outstanding during the period 21,332 21,251 Denominator for diluted loss per share (3) : Basic weighted average common shares outstanding during the period 21,332 21,251 Net effect of dilutive convertible notes and warrants (2) — — Net effect of dilutive stock options, DSU’s, RSA’s and RSU’s (2) — — Diluted weighted average common shares 21,332 21,251 Net loss per common share: Basic $ (0.22) $ (4.15) Diluted $ (0.22) $ (4.15) (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 Preferred B voting rights (see Note 13. — Commitments and Contingencies). (2) Adjustments to diluted loss per share for the Notes for the years ended December 31, 2021 and 2020, were excluded from the calculation, as they were anti-dilutive. (3) Share amounts presented in thousands. |
Segment Reporting (Tables)_2
Segment Reporting (Tables) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Segment Reporting | ||
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 June 30, 2022 (1) $ 108,870 $ 502 $ 63 $ 24,223 $ 133,658 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. | Balance Sheet Items as of Mortgage Real Estate Long-term Corporate December 31, 2021: Lending Services Portfolio and other Consolidated Cash and cash equivalents $ 26,239 $ 500 $ — 2,816 $ 29,555 Restricted cash 5,657 — — — 5,657 Mortgage loans held-for-sale 308,477 — — — 308,477 Mortgage servicing rights 749 — — — 749 Trust assets — — 1,642,730 — 1,642,730 Other assets (1) 10,051 2 141 25,409 35,603 Total assets $ 351,173 $ 502 $ 1,642,871 $ 28,225 $ 2,022,771 Total liabilities $ 298,726 $ — $ 1,661,729 $ 52,380 $ 2,012,835 Balance Sheet Items as of Mortgage Real Estate Long-term Corporate December 31, 2020: Lending Services Portfolio and other Consolidated Cash and cash equivalents $ 50,968 $ 501 $ — $ 2,681 $ 54,150 Restricted cash 5,602 — — — 5,602 Mortgage loans held-for-sale 164,422 — — — 164,422 Mortgage servicing rights 339 — — — 339 Trust assets — — 2,103,269 — 2,103,269 Other assets (1) 12,510 2 130 28,882 41,524 Total assets $ 233,841 $ 503 $ 2,103,399 $ 31,563 $ 2,369,306 Total liabilities $ 166,285 $ — $ 2,131,178 $ 56,192 $ 2,353,655 (1) All segment asset balances exclude intercompany balances. |
Reconciliation of earnings from segment to consolidated | Statement of Operations Items for the Mortgage Real Estate Long-term Corporate Three Months Ended June 30, 2022: Lending Services Portfolio and other Consolidated Gain on sale of loans, net $ 179 $ — $ — $ — $ 179 Servicing income, net 7 — — — 7 Gain on mortgage servicing rights, net 45 — — — 45 Real estate services fees, net — 257 — — 257 Other revenue (expense) 1 — 28 (22) 7 Other operating expense (9,378) (359) (129) (4,800) (14,666) Other income (expense) 261 — 877 (418) 720 Net (loss) earnings before income tax expense $ (8,885) $ (102) $ 776 $ (5,240) (13,451) Income tax expense 16 Net loss $ (13,467) Statement of Operations Items for the Mortgage Real Estate Long-term Corporate Three Months Ended June 30, 2021: Lending Services Portfolio and other Consolidated Gain on sale of loans, net $ 10,693 $ — $ — $ — $ 10,693 Servicing expenses, net (150) — — — (150) Loss on mortgage servicing rights, net (37) — — — (37) Real estate services fees, net — 478 — — 478 Other revenue (expense) — — 42 (46) (4) Other operating expense (15,288) (356) (135) (3,837) (19,616) Other (expense) income (16) — 314 (464) (166) Net (loss) earnings before income tax expense $ (4,798) $ 122 $ 221 $ (4,347) $ (8,802) Income tax expense 62 Net loss $ (8,864) Statement of Operations Items for the Mortgage Real Estate Long-term Corporate Six Months Ended June 30, 2022: Lending Services Portfolio and other Consolidated Gain on sale of loans, net $ 6,134 $ — $ — $ — $ 6,134 Servicing expense, net (5) — — — (5) Gain on mortgage servicing rights, net 155 — — — 155 Real estate services fees, net — 442 — — 442 Other revenue 4 — 43 912 959 Other operating expense (23,880) (718) (141) (9,284) (34,023) Other income (expense) 649 — 11,959 (882) 11,726 Net (loss) earnings before income tax expense $ (16,943) $ (276) $ 11,861 $ (9,254) (14,612) Income tax expense 39 Net loss $ (14,651) Statement of Operations Items for the Mortgage Real Estate Long-term Corporate Six Months Ended June 30, 2021: Lending Services Portfolio and other Consolidated Gain on sale of loans, net $ 30,824 $ — $ — $ — $ 30,824 Servicing expense, net (269) — — — (269) Gain on mortgage servicing rights, net 1 — — — 1 Real estate services fees, net — 688 — — 688 Other revenue 23 — 69 228 320 Other operating expense (31,516) (725) (256) (8,417) (40,914) Other (expense) income (199) — 969 (924) (154) Net (loss) earnings before income tax expense $ (1,136) $ (37) $ 782 $ (9,113) $ (9,504) Income tax expense 43 Net loss $ (9,547) | Statement of Operations Items for the Mortgage Real Estate Long-term Corporate Year Ended December 31, 2021: Lending Services Portfolio and other Consolidated Gain on sale of loans, net $ 65,294 $ — $ — $ — $ 65,294 Servicing expense, net (432) — — — (432) Gain on mortgage servicing rights, net 34 — — — 34 Real estate services fees, net — 1,144 — — 1,144 Other revenue 24 — 110 145 279 Other operating expense (62,605) (1,409) (778) (16,412) (81,204) Other income (expense) 98 — 12,840 (1,860) 11,078 Net earnings (loss) before income tax expense $ 2,413 $ (265) $ 12,172 $ (18,127) (3,807) Income tax expense 71 Net loss $ (3,878) Statement of Operations Items for the Mortgage Real Estate Long-term Corporate Year Ended December 31, 2020: Lending Services Portfolio and other Consolidated Gain on sale of loans, net $ 14,004 $ — $ — $ — $ 14,004 Servicing fees, net 3,603 — — — 3,603 Loss on mortgage servicing rights, net (28,509) — — — (28,509) Real estate services fees, net — 1,312 — — 1,312 Other revenue 135 — 143 1,220 1,498 Other operating expense (60,869) (1,485) (633) (18,286) (81,273) Other income (expense) 2,366 — 1,344 (2,362) 1,348 Net (loss) earnings before income tax expense $ (69,270) $ (173) $ 854 $ (19,428) $ (88,017) Income tax expense 133 Net loss $ (88,150) |
Commitments and Contingencies_8
Commitments and Contingencies (Tables) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Commitments and Contingencies | ||
Schedule of the activity related to the repurchase reserve for previously sold loans | June 30, December 31, 2022 2021 Beginning balance $ 4,744 $ 7,054 Provision for repurchases (1) 2,433 111 Settlements (1,178) (2,421) Total repurchase reserve $ 5,999 $ 4,744 (1) The provision for repurchases is included in gain on sale of loans, net in the accompanying consolidated statements of operations and comprehensive loss. | December 31, December 31, 2021 2020 Beginning balance $ 7,054 $ 8,969 Provision for repurchases (1) 111 5,227 Settlements (2,421) (7,142) Total repurchase reserve $ 4,744 $ 7,054 |
Schedule of corporate-owned life insurance trusts | At June 30, 2022 Corporate-owned life insurance trusts: Trust #1 Trust #2 Trust #3 Total Corporate-owned life insurance cash surrender value $ 5,345 $ 4,148 $ 2,188 $ 11,681 Corporate-owned life insurance liability 6,123 4,800 2,338 13,261 Corporate-owned life insurance shortfall (1) $ (778) $ (652) $ (150) $ (1,580) (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. | At December 31, 2021 Corporate-owned life insurance trusts: Trust #1 Trust #2 Trust #3 Total Corporate-owned life insurance cash surrender value $ 4,972 $ 3,821 $ 1,995 $ 10,788 Corporate-owned life insurance liability 6,015 4,715 2,297 13,027 Corporate-owned life insurance shortfall (1) $ (1,043) $ (894) $ (302) $ (2,239) |
Equity and Share Based Paymen_2
Equity and Share Based Payments (Tables) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Schedule of weighted average assumptions used in estimation of the fair value of options granted | For the Year Ended December 31, 2021 2020 Risk-free interest rate 0.50 % 1.45 % Expected lives (in years) 4.54 4.94 Expected volatility 77.55 % 61.21 % Expected dividend yield 0.00 % 0.00 % Fair value per share $ 1.96 $ 3.13 | |
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 (10,000) 3.39 Options outstanding at the end of the period 560,228 7.97 Options exercisable at the end of the period 518,874 $ 8.34 | For the Year Ended December 31, 2021 2020 Weighted- Weighted- Average Average Number of Exercise Number of Exercise Shares Price Shares Price Options outstanding at the beginning of the year 524,357 $ 8.58 914,470 $ 8.10 Options granted 85,154 3.29 30,000 5.34 Options exercised — — (9,500) 4.84 Options forfeited/cancelled (39,283) 7.15 (410,613) 7.35 Options outstanding at the end of the period 570,228 7.89 524,357 8.58 Options exercisable at the end of the period 406,361 $ 9.65 327,366 $ 11.46 |
Schedule of aggregate intrinsic value | As of December 31, 2021 2020 Weighted- Weighted- Average Aggregate Average Aggregate Remaining Intrinsic Remaining Intrinsic Life Value Life Value (Years) (in thousands) (Years) (in thousands) Options outstanding at end of year 6.17 $ — 6.77 $ — Options exercisable at end of year 5.43 $ — 5.96 $ — | |
Schedule of additional information regarding stock options outstanding | Stock Options Outstanding Options Exercisable Weighted- Average Weighted- Weighted- Exercise Remaining Average Average Price Number Contractual Exercise Number Exercise Range Outstanding Life in Years Price Exercisable Price $ 3.22 – 150,872 7.91 $ 3.45 53,671 $ 3.59 3.75 – 5.38 200,000 7.16 3.75 133,334 3.75 5.39 – 27,582 4.01 7.01 27,582 7.01 86,524 4.15 11.99 86,524 11.99 17.40 – 51,250 4.55 17.40 51,250 17.40 20.50 – 20.50 54,000 3.56 20.50 54,000 20.50 $ – 570,228 6.17 $ 7.89 406,361 $ 9.65 | |
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 (153,251) 4.32 RSUs forfeited/cancelled (18,333) 3.85 RSUs outstanding at end of the period 226,245 $ 3.99 | Weighted- Average Number of Grant Date Shares Fair Value RSUs outstanding at beginning of the year 267,221 $ 5.04 RSUs granted 245,332 3.29 RSUs issued (94,493) 4.78 RSUs forfeited/cancelled (20,231) 3.29 RSUs outstanding at end of the period 397,829 $ 4.11 |
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 (15,000) 3.75 DSUs forfeited/cancelled — — DSUs outstanding at the end of the period 39,500 $ 7.70 | 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 — — DSUs forfeited/cancelled — — DSUs outstanding at the end of the period 54,500 $ 6.61 |
Mortgage Loans Held-for-Sale _3
Mortgage Loans Held-for-Sale (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | |
Mortgage loans held-for-Sale | ||||||
Total mortgage loans held-for-sale | $ 37,035 | $ 37,035 | $ 308,477 | $ 164,422 | ||
Gain on LHFS | ||||||
Change in provision for repurchases | (2,433) | $ 212 | (111) | (5,227) | ||
Gain on sale of loans, net | 18,607 | 34,304 | 66,086 | 35,193 | ||
Government | ||||||
Mortgage loans held-for-Sale | ||||||
Total mortgage loans held-for-sale | 613 | 613 | 6,886 | 7,924 | ||
Conventional | ||||||
Mortgage loans held-for-Sale | ||||||
Total mortgage loans held-for-sale | 7,375 | 7,375 | 62,759 | 141,139 | ||
Jumbo & Non-qualified mortgages (NonQM) | ||||||
Mortgage loans held-for-Sale | ||||||
Total mortgage loans held-for-sale | 28,839 | 28,839 | 231,142 | 11,064 | ||
Mortgage loans, held-for-sale | ||||||
Mortgage loans held-for-Sale | ||||||
Fair value adjustment | 208 | 208 | 7,690 | 4,295 | ||
Gain on LHFS | ||||||
Gain on sale of mortgage loans | 2,562 | $ 17,852 | 16,587 | 39,115 | 81,362 | 59,330 |
Premium from servicing retained loan sales | 92 | 46 | 213 | 536 | 2,094 | |
Unrealized loss from derivative financial instruments | (1,244) | (2,880) | (2,558) | (3,095) | (4,076) | (7) |
Gain (loss) from derivative financial instruments | 1,862 | (315) | 6,005 | 2,914 | 1,934 | (11,040) |
Mark to market (loss) gain on LHFS | (217) | 271 | (7,482) | (597) | 3,395 | (15,955) |
Direct origination expenses, net | (925) | (3,737) | (4,031) | (7,938) | (17,746) | (15,191) |
Change in provision for repurchases | (1,859) | (590) | (2,433) | 212 | (111) | (5,227) |
Gain on sale of loans, net | 179 | $ 10,693 | 6,134 | $ 30,824 | 65,294 | 14,004 |
Mortgage loans, held-for-sale | 90 days or more past due | ||||||
Mortgage loans held-for-Sale | ||||||
Unpaid principal balance of mortgage loans held for sale | 0 | 1,200 | ||||
Carrying value of nonaccrual loans | $ 0 | $ 0 | $ 0 | $ 1,100 |
Mortgage Servicing Rights (De_2
Mortgage Servicing Rights (Details) - USD ($) $ in Thousands | 1 Months Ended | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||||
Jul. 31, 2020 | May 31, 2020 | Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | |
Changes in the fair value of MSRs | ||||||||
Balance at beginning of year | $ 749 | $ 339 | $ 339 | |||||
Fair value of MSRs at end of period | $ 850 | 850 | 749 | $ 339 | ||||
Total loans serviced | 71,381 | 71,381 | 71,841 | 30,524 | ||||
Mortgage Servicing Rights Sensitivity Analysis | ||||||||
Fair value of MSRs | 749 | 339 | ||||||
Change in fair value of mortgage servicing rights | (6) | $ (37) | 55 | 1 | (126) | (21,962) | ||
Gain on sale of mortgage servicing rights | 51 | 100 | 160 | (6,547) | ||||
Gain (loss) on mortgage servicing rights, net | 45 | (37) | 155 | 1 | 34 | (28,509) | ||
Servicing (expense) fees, net: | ||||||||
Contractual servicing fees | 64 | 41 | 134 | 73 | 193 | 5,159 | ||
Late and ancillary fees | 67 | |||||||
Subservicing and other costs | (57) | (191) | (139) | (342) | (625) | (1,623) | ||
Servicing (expenses) fees, net | 7 | $ (150) | (5) | (269) | (432) | 3,603 | ||
Loans eligible for repurchase from GNMA | 608 | 608 | 337 | |||||
Government | ||||||||
Changes in the fair value of MSRs | ||||||||
Total loans serviced | 71,381 | 71,381 | 71,841 | 30,524 | ||||
Mortgage servicing rights | ||||||||
Changes in the fair value of MSRs | ||||||||
Balance at beginning of year | 749 | $ 339 | 339 | 41,470 | ||||
Additions from servicing retained loan sales | 46 | 536 | 2,094 | |||||
Reductions from bulk sales | (21,263) | |||||||
Changes in fair value | 55 | (126) | (21,962) | |||||
Fair value of MSRs at end of period | 850 | 850 | 749 | 339 | ||||
Mortgage Servicing Rights Sensitivity Analysis | ||||||||
Fair value of MSRs | 850 | 850 | 749 | |||||
Prepayment Speed, Decrease in fair value from 10% adverse change | (18) | (18) | (24) | (13) | ||||
Prepayment Speed, Decrease in fair value from 20% adverse change | (37) | (37) | (48) | (26) | ||||
Prepayment Speed, Decrease in fair value from 30% adverse change | (56) | (56) | (70) | (38) | ||||
Discount Rate, Decrease in fair value from 10% adverse change | (38) | (38) | (31) | (13) | ||||
Discount Rate, Decrease in fair value from 20% adverse change | (72) | (72) | (59) | (25) | ||||
Discount Rate, Decrease in fair value from 30% adverse change | $ (104) | $ (104) | (85) | (37) | ||||
Change in fair value of mortgage servicing rights | (126) | (21,962) | ||||||
Gain on sale of mortgage servicing rights | 160 | (6,547) | ||||||
Gain (loss) on mortgage servicing rights, net | $ 34 | $ (28,509) | ||||||
Mortgage servicing rights | Government | ||||||||
Changes in the fair value of MSRs | ||||||||
Total amount received from sale of MSR | $ 225 | |||||||
Proceeds from the sale of mortgage servicing rights | $ 163 | |||||||
Mortgage servicing rights | Conventional | ||||||||
Changes in the fair value of MSRs | ||||||||
Total amount received from sale of MSR | $ 20,100 | |||||||
Proceeds from the sale of mortgage servicing rights | $ 15,000 |
Leases (Details)
Leases (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||
Jun. 30, 2022 USD ($) ft² | Jun. 30, 2021 USD ($) | Jun. 30, 2022 USD ($) ft² lease | Jun. 30, 2021 USD ($) | Dec. 31, 2021 USD ($) lease | Dec. 31, 2020 USD ($) | |
Leases | ||||||
Number of operating leases | lease | 3 | 3 | ||||
Number of finance leases | lease | 1 | |||||
Cash paid for operating leases | $ 1,200 | $ 1,100 | $ 2,400 | $ 2,300 | $ 4,600 | $ 5,200 |
Total operating lease expense | 1,100 | $ 984 | 2,100 | $ 2,000 | 4,000 | $ 4,700 |
ROU asset impairment | $ 123 | $ 123 | $ 393 | |||
Sublease square footage | ft² | 29,000 | 29,000 |
Leases - Lease Information (Det
Leases - Lease Information (Details) - USD ($) $ in Thousands | 6 Months Ended | ||
Jun. 30, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Lease Assets and Liabilities | |||
Lease liabilities | $ 10,481 | ||
Weighted average remaining lease term (in years) | 2 years 2 months 12 days | ||
Weighted average discount rate | 4.80% | ||
Operating lease ROU assets | $ 10,209 | $ 13,512 | |
Operating lease liabilities | $ 12,562 | ||
Balance sheet classification - Operating lease liabilities | Other liabilities | ||
Weighted average remaining lease term (in years) | 2 years 8 months 12 days | ||
Weighted average discount rate | 4.80% | ||
Other assets | |||
Lease Assets and Liabilities | |||
Lease ROU assets | $ 8,366 | ||
Other liabilities | |||
Lease Assets and Liabilities | |||
Lease liabilities | $ 10,481 |
Leases - Maturities (Details)
Leases - Maturities (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 |
Operating lease liabilities: | ||
Year 2023 | $ 4,809 | |
Year 2024 | 4,909 | |
Year 2025 | 3,729 | |
Total lease commitments | 13,447 | |
Less: imputed interest | (885) | |
Total lease liability | $ 12,562 | |
Total lease liabilities: | ||
Year remaining 2022 | $ 2,415 | |
Year 2023 | 4,909 | |
Year 2024 | 3,729 | |
Total lease commitments | 11,053 | |
Less: imputed interest | (572) | |
Lease Liability | $ 10,481 |
Debt - Warehouse Borrowings (_2
Debt - Warehouse Borrowings (Details) - USD ($) $ in Thousands | 12 Months Ended | ||||
Dec. 31, 2021 | Dec. 31, 2020 | Jul. 31, 2022 | Jun. 30, 2022 | Nov. 30, 2021 | |
Warehouse Borrowings | |||||
Maximum Borrowing Capacity | $ 550,000 | ||||
Balance Outstanding | $ 285,539 | $ 151,932 | 37,795 | ||
One Month LIBOR | |||||
Warehouse Borrowings | |||||
Interest margin over base rate (as a percent) | 0.10% | ||||
Warehouse borrowings | |||||
Warehouse Borrowings | |||||
Maximum Borrowing Capacity | $ 615,000 | ||||
Balance Outstanding | 285,539 | 151,932 | |||
Information on warehouse borrowings | |||||
Amount outstanding | 336,648 | 810,818 | |||
Average balance outstanding for the year | 191,794 | 252,565 | |||
UPB of underlying collateral (mortgage loans) | $ 296,841 | $ 153,675 | |||
Weighted average rate for period (as a percent) | 3.41% | 3.74% | |||
Repurchase agreement 1 | |||||
Warehouse Borrowings | |||||
Maximum Borrowing Capacity | $ 65,000 | $ 50,000 | |||
Balance Outstanding | $ 30,009 | $ 49,963 | |||
Repurchase agreement 1 | Minimum | |||||
Warehouse Borrowings | |||||
Allowable Advance Rates (as a percent) | 90% | ||||
Repurchase agreement 1 | Minimum | One Month LIBOR | |||||
Warehouse Borrowings | |||||
Interest margin over base rate (as a percent) | 2% | ||||
Repurchase agreement 1 | Maximum | |||||
Warehouse Borrowings | |||||
Allowable Advance Rates (as a percent) | 98% | ||||
Repurchase agreement 1 | Maximum | One Month LIBOR | |||||
Warehouse Borrowings | |||||
Interest margin over base rate (as a percent) | 2.25% | ||||
Repurchase agreement 2 | |||||
Warehouse Borrowings | |||||
Maximum Borrowing Capacity | $ 200,000 | $ 50,000 | 200,000 | ||
Balance Outstanding | $ 153,006 | 51,310 | 19,838 | ||
Allowable Advance Rates (as a percent) | 100% | ||||
Repurchase agreement 2 | One Month LIBOR | |||||
Warehouse Borrowings | |||||
Interest margin over base rate (as a percent) | 1.75% | ||||
Repurchase agreement 3 | |||||
Warehouse Borrowings | |||||
Maximum Borrowing Capacity | $ 300,000 | 300,000 | |||
Balance Outstanding | $ 56,794 | $ 50,659 | 6,136 | ||
Allowable Advance Rates (as a percent) | 100% | ||||
Repurchase agreement 3 | Note Rate | |||||
Warehouse Borrowings | |||||
Interest margin over base rate (as a percent) | (0.375%) | ||||
Repurchase agreement 4 | |||||
Warehouse Borrowings | |||||
Maximum Borrowing Capacity | $ 50,000 | 50,000 | |||
Balance Outstanding | $ 45,730 | $ 11,821 | |||
Allowable Advance Rates (as a percent) | 99% | ||||
Repurchase agreement 4 | Minimum | Note Rate | |||||
Warehouse Borrowings | |||||
Interest margin over base rate (as a percent) | (0.50%) | ||||
Repurchase agreement 4 | Maximum | Note Rate | |||||
Warehouse Borrowings | |||||
Interest margin over base rate (as a percent) | (0.75%) |
Debt - Convertible Notes (Det_2
Debt - Convertible Notes (Details) $ / shares in Units, $ in Thousands | 1 Months Ended | 6 Months Ended | 12 Months Ended | |||||
Apr. 29, 2022 USD ($) installment $ / shares shares | Oct. 28, 2020 USD ($) | Apr. 15, 2020 USD ($) $ / shares shares | Dec. 07, 2011 | May 31, 2015 USD ($) D $ / shares | Jun. 30, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Convertible Notes | ||||||||
Amount of debt | $ 25,000 | $ 25,000 | $ 25,000 | |||||
Debt principal after scheduled paydown | $ 15,000 | 20,000 | ||||||
Scheduled decrease in the aggregate principal amount | $ 5,000 | $ 5,000 | ||||||
Interest rate of debt (as a percent) | 7% | 7% | 7% | 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 | |||||||
Agreement term | 18 months | 6 months | ||||||
Warrant cash exercise price | $ / shares | $ 2.97 | |||||||
Relative fair value of warrants recorded as debt discount | $ 242 | |||||||
Effective interest rate | 8.90% | |||||||
Number of installments | installment | 3 | |||||||
Principal payment | $ 5,000 | |||||||
Maximum | ||||||||
Convertible Notes | ||||||||
Aggregate number of common shares which can be purchased with warrants issued | shares | 212,649 | |||||||
Series B 9.375% redeemable preferred stock | ||||||||
Convertible Notes | ||||||||
Preferred stock, dividend rate (as a percent) | 9.375% | 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 | |||||||
Preferred stock, dividend rate (as a percent) | 9.125% | 9.125% | 9.125% | 9.125% | 9.125% |
Debt - Long-term Debt (Detail_2
Debt - Long-term Debt (Details) - Junior subordinated notes - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Junior Subordinated Notes, Fair Value | |||
Long-term debt | $ 62,000 | $ 62,000 | $ 62,000 |
Fair value adjustment | 26,111 | 15,464 | 17,587 |
Total | $ 35,889 | $ 46,536 | $ 44,413 |
London Interbank Offered Rate (LIBOR) | |||
Long-term Debt | |||
Applicable margin (as a percent) | 3.75% | 3.75% |
Securitized Mortgage Trusts - A
Securitized Mortgage Trusts - Additional Information (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||||
Mar. 16, 2022 USD ($) | Mar. 31, 2022 USD ($) item | Jun. 30, 2021 USD ($) | Jun. 30, 2022 USD ($) | Jun. 30, 2021 USD ($) | Dec. 31, 2021 USD ($) | Dec. 31, 2020 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 | $ (1,828) | $ 9,248 | $ (5,373) | $ 6,471 | $ (13,081) | |
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 |
Securitized Mortgage Trusts -_4
Securitized Mortgage Trusts - Securitized Mortgage Trust Assets (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Trust Assets | ||
Securitized mortgage collateral, at fair value | $ 1,639,251 | $ 2,100,175 |
REO, at net realizable value (NRV) | 3,479 | 3,094 |
Total securitized mortgage trust assets | 1,642,730 | 2,103,269 |
Mortgages secured by residential real estate | ||
Trust Assets | ||
Securitized mortgage collateral, at fair value | 1,653,749 | 2,205,575 |
Mortgages secured by commercial real estate | ||
Trust Assets | ||
Securitized mortgage collateral, at fair value | 89,801 | 170,418 |
Securitized mortgage collateral | ||
Trust Assets | ||
Securitized mortgage collateral, at fair value | 1,639,251 | 2,100,175 |
Mortgages serviced for others | ||
Trust Assets | ||
Other mortgages primarily collateralized by REMIC | 164,600 | 216,300 |
REO inside trusts | ||
Trust Assets | ||
REO, at net realizable value (NRV) | $ 3,479 | $ 3,094 |
Securitized Mortgage Trusts -_5
Securitized Mortgage Trusts - Securitized Mortgage Trust Liabilities (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Securitized Mortgage Trusts | ||
REO | $ 10,335 | $ 10,140 |
Impairment (1) | (6,856) | (6,967) |
Ending balance | 3,479 | 3,173 |
REO outside trust | 79 | |
Securitized Mortgage Trust Liabilities | ||
Securitized mortgage borrowings | $ 1,614,862 | $ 2,086,557 |
Securitized Mortgage Trusts -_6
Securitized Mortgage Trusts - Change in Fair Value of Net Trust Assets (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||
Mar. 31, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | |
Change in fair value of net trust assets, including trust REO gains: | ||||||
Change in fair value of net trust assets, excluding REO | $ 9,200 | $ (1,828) | $ 9,248 | $ (5,373) | $ 6,471 | $ (13,081) |
(Losses) gains from trust REO | (313) | 1,559 | 111 | 7,393 | ||
Change in fair value of net trust assets, including trust REO gains (losses) | $ (2,141) | $ 9,248 | $ (3,814) | $ 6,582 | $ (5,688) |
Fair Value of Financial Inst_11
Fair Value of Financial Instruments - Fair value of Financial Instruments Included in the Consolidated Financial Statements (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 | Dec. 31, 2020 |
Assets | |||
Mortgage servicing rights | $ 850 | $ 749 | $ 339 |
Carrying Amount | |||
Assets | |||
Cash and cash equivalents | 61,173 | 29,555 | 54,150 |
Restricted cash | 5,196 | 5,657 | 5,602 |
Mortgage loans held for-for-sale | 37,035 | 308,477 | 164,422 |
Mortgage servicing rights | 850 | 749 | 339 |
Derivatives assets, lending, net | 510 | 3,111 | 7,275 |
Securitized mortgage collateral | 1,639,251 | 2,100,175 | |
Liabilities | |||
Warehouse borrowings | 37,795 | 285,539 | 151,932 |
Convertible notes | 15,000 | 20,000 | 20,000 |
Long-term debt | 35,889 | 46,536 | 44,413 |
Securitized mortgage borrowings | 1,614,862 | 2,086,557 | |
Derivative liabilities, lending, net | 12 | 55 | 143 |
Estimated Fair Value | Level 1 | |||
Assets | |||
Cash and cash equivalents | 61,173 | 29,555 | 54,150 |
Restricted cash | 5,196 | 5,657 | 5,602 |
Estimated Fair Value | Level 2 | |||
Assets | |||
Mortgage loans held for-for-sale | 37,035 | 308,477 | 164,422 |
Derivatives assets, lending, net | 12 | ||
Liabilities | |||
Warehouse borrowings | 37,795 | 285,539 | 151,932 |
Derivative liabilities, lending, net | 12 | 55 | 143 |
Estimated Fair Value | Level 3 | |||
Assets | |||
Mortgage servicing rights | 850 | 749 | 339 |
Derivatives assets, lending, net | 498 | 3,111 | 7,275 |
Securitized mortgage collateral | 1,639,251 | 2,100,175 | |
Liabilities | |||
Convertible notes | 15,000 | 20,000 | 20,000 |
Long-term debt | $ 35,889 | 46,536 | 44,413 |
Securitized mortgage borrowings | $ 1,614,862 | $ 2,086,557 |
Fair Value of Financial Inst_12
Fair Value of Financial Instruments - Assets and Liabilities Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021 | Dec. 31, 2020 |
Assets | |||
Mortgage servicing rights | $ 850 | $ 749 | $ 339 |
Level 3 | |||
Fair Value Measurements | |||
Percentage of level three assets to total assets measured at fair value | 1% | 83% | 90% |
Percentage of level three liabilities to total liabilities measured at fair value | 40% | 84% | 93% |
Recurring basis | Level 2 | |||
Assets | |||
Mortgage loans held for-for-sale | $ 37,035 | $ 308,477 | $ 164,422 |
Derivatives assets, lending, net | 12 | ||
Total assets at fair value | 37,047 | 308,477 | 164,422 |
Liabilities | |||
Derivative liabilities, lending, net | 12 | 55 | 143 |
Total liabilities at fair value | 12 | 55 | 143 |
Recurring basis | Level 3 | |||
Assets | |||
Derivatives assets, lending, net | 498 | 3,111 | 7,275 |
Mortgage servicing rights | 850 | 749 | 339 |
Securitized mortgage collateral | 1,639,251 | 2,100,175 | |
Total assets at fair value | 1,348 | 1,643,111 | 2,107,789 |
Liabilities | |||
Securitized mortgage borrowings | 1,614,862 | 2,086,557 | |
Long-term debt | 35,889 | 46,536 | 44,413 |
Total liabilities at fair value | 35,889 | 1,661,398 | 2,130,970 |
Recurring basis | Interest rate lock commitments (IRLCs) | Level 3 | |||
Assets | |||
Derivatives assets, lending, net | 498 | 3,100 | |
Recurring basis | Hedging Instruments | Level 2 | |||
Assets | |||
Derivatives assets, lending, net | $ 12 | ||
Recurring basis | Derivative assets, lending, net | Interest rate lock commitments (IRLCs) | Level 3 | |||
Assets | |||
Total assets at fair value | $ 3,100 | $ 7,300 |
Fair Value of Financial Inst_13
Fair Value of Financial Instruments - Reconciliation of All Assets and Liabilities Measured Using Level 3 Input (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | |
Purchases, issuances and settlements: | ||||||
Net interest income including cash received and paid | $ 2,100 | $ 1,200 | $ 4,300 | |||
Level 3 | ||||||
Purchases, issuances and settlements: | ||||||
Net interest income including cash received and paid | $ 8,100 | $ 8,900 | ||||
Securitized mortgage borrowings | ||||||
Changes in fair value of assets during the period | ||||||
Fair value at the beginning of the period | (2,086,557) | (2,086,557) | (2,619,210) | |||
Purchases, issuances and settlements | ||||||
Fair value at the end of the period | (2,086,557) | |||||
Changes in fair value of liabilities during the period | ||||||
Fair value in the beginning of the period | (1,614,862) | (2,086,557) | (2,086,557) | |||
Purchases, issuances and settlements: | ||||||
Settlements | 654,073 | 518,593 | ||||
Fair value at the end of the period | (1,614,862) | (2,086,557) | ||||
Unrealized gains (losses) still held | 2,318,296 | 2,500,674 | ||||
Long-term debt | ||||||
Changes in fair value of assets during the period | ||||||
Fair value at the beginning of the period | 46,536 | (44,413) | (44,413) | (45,434) | ||
Purchases, issuances and settlements | ||||||
Fair value at the end of the period | 46,536 | (44,413) | ||||
Changes in fair value of liabilities during the period | ||||||
Fair value in the beginning of the period | 17,587 | 17,587 | ||||
Purchases, issuances and settlements: | ||||||
Settlements | (44,413) | |||||
Fair value at the end of the period | 17,587 | |||||
Securitized mortgage collateral | ||||||
Changes in fair value of assets during the period | ||||||
Fair value at the beginning of the period | (1,639,251) | 2,100,175 | 2,100,175 | 2,628,064 | ||
Purchases, issuances and settlements | ||||||
Settlements | (600,521) | (436,074) | ||||
Fair value at the end of the period | (1,639,251) | 2,100,175 | ||||
Changes in fair value of liabilities during the period | ||||||
Fair value in the beginning of the period | 2,100,175 | 2,100,175 | ||||
Purchases, issuances and settlements: | ||||||
Fair value at the end of the period | 2,100,175 | |||||
Unrealized gains (losses) still held | (275,818) | |||||
Mortgage servicing rights | ||||||
Changes in fair value of assets during the period | ||||||
Fair value at the beginning of the period | (749) | 339 | 339 | 41,470 | ||
Purchases, issuances and settlements | ||||||
Issuances | 536 | 2,094 | ||||
Settlements | (21,263) | |||||
Fair value at the end of the period | (749) | 339 | ||||
Purchases, issuances and settlements: | ||||||
Unrealized gains (losses) still held | 339 | |||||
Interest rate lock commitments (IRLCs) | ||||||
Changes in fair value of assets during the period | ||||||
Fair value at the beginning of the period | (3,111) | 7,275 | 7,275 | 7,791 | ||
Purchases, issuances and settlements | ||||||
Fair value at the end of the period | (3,111) | 7,275 | ||||
Purchases, issuances and settlements: | ||||||
Unrealized gains (losses) still held | 7,275 | |||||
Recurring basis | Securitized mortgage borrowings | Level 3 | ||||||
Changes in fair value of liabilities during the period | ||||||
Fair value in the beginning of the period | (2,028,210) | (1,614,862) | (2,086,557) | (2,086,557) | ||
Total gains (losses) included in earnings: | ||||||
Total (losses) gains included in earnings | (8,187) | $ (7,564) | (103,248) | |||
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 | 189,173 | $ 1,622,426 | 342,581 | |||
Fair value at the end of the period | (1,847,224) | (1,847,224) | (1,614,862) | (2,086,557) | ||
Unrealized gains (losses) still held | 2,397,426 | |||||
Recurring basis | Securitized mortgage borrowings | Interest expense | Level 3 | ||||||
Total gains (losses) included in earnings: | ||||||
Total (losses) gains included in earnings | (8,909) | (18,018) | ||||
Recurring basis | Securitized mortgage borrowings | Change in fair value | Level 3 | ||||||
Total gains (losses) included in earnings: | ||||||
Total (losses) gains included in earnings | 722 | (85,230) | ||||
Recurring basis | Long-term debt | Level 3 | ||||||
Changes in fair value of liabilities during the period | ||||||
Fair value in the beginning of the period | $ (47,549) | (45,361) | (46,536) | (44,413) | (44,413) | |
Total gains (losses) included in earnings: | ||||||
Total (losses) gains included in earnings | 11,660 | 461 | 10,647 | (487) | ||
Purchases, issuances and settlements: | ||||||
Fair value at the end of the period | (35,889) | (44,900) | (35,889) | (44,900) | (46,536) | (44,413) |
Unrealized gains (losses) still held | 26,111 | 17,100 | ||||
Recurring basis | Long-term debt | Interest expense | Level 3 | ||||||
Total gains (losses) included in earnings: | ||||||
Total (losses) gains included in earnings | (357) | (418) | (743) | (724) | ||
Recurring basis | Long-term debt | Change in fair value | Level 3 | ||||||
Total gains (losses) included in earnings: | ||||||
Total (losses) gains included in earnings | 1,980 | 1,417 | 3,622 | 2,442 | ||
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 | 10,037 | (538) | 7,768 | (2,205) | ||
Recurring basis | Securitized mortgage collateral | Level 3 | ||||||
Changes in fair value of assets during the period | ||||||
Fair value at the beginning of the period | 2,038,545 | 1,639,251 | 2,100,175 | 2,100,175 | ||
Total (losses) gains included in earnings: | ||||||
Total (losses) gains included in earnings | (7,272) | 11,267 | 70,378 | |||
Purchases, issuances and settlements | ||||||
Settlements | (172,850) | (1,650,518) | (312,130) | |||
Fair value at the end of the period | 1,858,423 | 1,858,423 | 1,639,251 | 2,100,175 | ||
Unrealized gains (losses) still held | (186,507) | |||||
Recurring basis | Securitized mortgage collateral | Interest income | Level 3 | ||||||
Total (losses) gains included in earnings: | ||||||
Total (losses) gains included in earnings | (4,722) | 2,019 | (9,479) | |||
Recurring basis | Securitized mortgage collateral | Change in fair value | Level 3 | ||||||
Total (losses) gains included in earnings: | ||||||
Total (losses) gains included in earnings | (2,550) | 9,248 | 79,857 | |||
Recurring basis | Mortgage servicing rights | Level 3 | ||||||
Changes in fair value of assets during the period | ||||||
Fair value at the beginning of the period | 856 | 498 | 749 | 339 | 339 | |
Total (losses) gains included in earnings: | ||||||
Total (losses) gains included in earnings | $ (6) | $ (37) | $ 55 | $ 1 | ||
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 | $ 92 | $ 46 | $ 213 | |||
Fair value at the end of the period | $ 850 | 553 | 850 | 553 | 749 | 339 |
Unrealized gains (losses) still held | 850 | 553 | ||||
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 | 846 | 5,078 | 3,111 | 7,275 | 7,275 | |
Total (losses) gains included in earnings: | ||||||
Total (losses) gains included in earnings | $ (348) | $ (816) | $ (2,613) | $ (3,013) | ||
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 | $ 498 | $ 4,262 | $ 498 | $ 4,262 | $ 3,111 | $ 7,275 |
Unrealized gains (losses) still held | $ 498 | $ 4,262 |
Fair Value of Financial Inst_14
Fair Value of Financial Instruments - Valuation Techniques And Unobservable Inputs Applied (Details) - Level 3 | Jun. 30, 2022 | Dec. 31, 2021 USD ($) |
Measurement Input, Prepayment Rate | Weighted Average | ||
Unobservable input | ||
Measurement input, mortgage servicing rights | 0.103 | |
Securitized mortgage borrowings | DCF | ||
Valuation techniques | ||
Estimated fair value of liabilities | $ (1,614,862,000) | |
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, Default Rate | DCF | Minimum | ||
Unobservable input | ||
Measurement input, securitized mortgage borrowings | 0.06 | |
Securitized mortgage borrowings | Measurement Input, Default Rate | DCF | Maximum | ||
Unobservable input | ||
Measurement input, securitized mortgage borrowings | 0.043 | |
Securitized mortgage borrowings | Measurement Input, Default Rate | DCF | 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, Loss Severity | DCF | Minimum | ||
Unobservable input | ||
Measurement input, securitized mortgage borrowings | 0.01 | |
Securitized mortgage borrowings | Measurement Input, Loss Severity | DCF | Maximum | ||
Unobservable input | ||
Measurement input, securitized mortgage borrowings | 0.976 | |
Securitized mortgage borrowings | Measurement Input, Loss Severity | DCF | 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 | |
Securitized mortgage borrowings | Measurement Input, Discount Rate | DCF | Minimum | ||
Unobservable input | ||
Measurement input, securitized mortgage borrowings | 0.021 | |
Securitized mortgage borrowings | Measurement Input, Discount Rate | DCF | Maximum | ||
Unobservable input | ||
Measurement input, securitized mortgage borrowings | 0.130 | |
Securitized mortgage borrowings | Measurement Input, Discount Rate | DCF | Weighted Average | ||
Unobservable input | ||
Measurement input, securitized mortgage borrowings | 0.036 | |
Long-term debt | DCF | ||
Valuation techniques | ||
Estimated fair value of liabilities | $ (46,536,000) | |
Long-term debt | Measurement Input, Discount Rate | ||
Unobservable input | ||
Measurement input, long-term debt | 0.142 | 0.086 |
Long-term debt | Measurement Input, Discount Rate | Weighted Average | ||
Unobservable input | ||
Measurement input, long-term debt | 0.142 | 0.086 |
Long-term debt | Measurement Input, Discount Rate | DCF | ||
Unobservable input | ||
Measurement input, long-term debt | 0.086 | |
Long-term debt | Measurement Input, Discount Rate | DCF | Weighted Average | ||
Unobservable input | ||
Measurement input, long-term debt | 0.086 | |
Securitized mortgage collateral | DCF | ||
Valuation techniques | ||
Estimated fair value of assets | $ 1,639,251,000 | |
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 | |
Securitized mortgage collateral | Measurement Input, Prepayment Rate | DCF | Minimum | ||
Unobservable input | ||
Measurement input, securitized mortgage collateral | 0.029 | |
Securitized mortgage collateral | Measurement Input, Prepayment Rate | DCF | Maximum | ||
Unobservable input | ||
Measurement input, securitized mortgage collateral | 0.463 | |
Securitized mortgage collateral | Measurement Input, Prepayment Rate | DCF | Weighted Average | ||
Unobservable input | ||
Measurement input, securitized mortgage collateral | 0.107 | |
Mortgage servicing rights | DCF | ||
Valuation techniques | ||
Estimated fair value of assets | $ 749,000 | |
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 | 0.125 | 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, Prepayment Rate | DCF | Minimum | ||
Unobservable input | ||
Measurement input, mortgage servicing rights | 0.0801 | |
Mortgage servicing rights | Measurement Input, Prepayment Rate | DCF | Maximum | ||
Unobservable input | ||
Measurement input, mortgage servicing rights | 0.291 | |
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 |
Mortgage servicing rights | Measurement Input, Discount Rate | DCF | Minimum | ||
Unobservable input | ||
Measurement input, mortgage servicing rights | 0.125 | |
Mortgage servicing rights | Measurement Input, Discount Rate | DCF | Maximum | ||
Unobservable input | ||
Measurement input, mortgage servicing rights | 0.150 | |
Mortgage servicing rights | Measurement Input, Discount Rate | DCF | Weighted Average | ||
Unobservable input | ||
Measurement input, mortgage servicing rights | 0.128 | |
Interest rate lock commitments (IRLCs) | Market pricing | ||
Valuation techniques | ||
Estimated fair value of assets | $ 3,111,000 | |
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 | 0.990 | 0.980 |
Interest rate lock commitments (IRLCs) | Measurement Input, Pull-through Rate | Weighted Average | ||
Unobservable input | ||
Measurement input, derivative assets - IRLCs, net | 0.695 | 0.790 |
Interest rate lock commitments (IRLCs) | Measurement Input, Pull-through Rate | Market pricing | Minimum | ||
Unobservable input | ||
Measurement input, derivative assets - IRLCs, net | 0.500 | |
Interest rate lock commitments (IRLCs) | Measurement Input, Pull-through Rate | Market pricing | Maximum | ||
Unobservable input | ||
Measurement input, derivative assets - IRLCs, net | 0.980 | |
Interest rate lock commitments (IRLCs) | Measurement Input, Pull-through Rate | Market pricing | Weighted Average | ||
Unobservable input | ||
Measurement input, derivative assets - IRLCs, net | 0.790 |
Fair Value of Financial Inst_15
Fair Value of Financial Instruments - Changes in Recurring Fair Value Measurements Included in Earnings (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | |
Change in Fair Value Included in Net Loss | ||||||
Change in fair value of net trust assets, excluding trust REO | $ (9,248) | $ 5,373 | $ (6,471) | $ 13,081 | ||
Change in Fair Value of Net Trust Assets | ||||||
Change in Fair Value Included in Net Loss | ||||||
Change in fair value of net trust assets, excluding trust REO | 6,500 | 13,100 | ||||
Derivative liabilities, net | TBA's | ||||||
Derivative assets and liabilities | ||||||
Derivative Liability, Notional Amount | $ 12,500 | 12,500 | 102,000 | |||
Gain (loss) from derivative financial instruments | 1,072 | $ (2,379) | 4,760 | 2,832 | ||
Derivative assets, net | Interest rate lock commitments (IRLCs) | ||||||
Derivative assets and liabilities | ||||||
Derivative Assets, Notional Balance | 55,175 | 55,175 | 255,150 | |||
Gain (loss) from derivative financial instruments | (348) | (816) | (2,613) | (3,013) | ||
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 | (106) | 1,300 | ||||
Recurring basis | ||||||
Change in Fair Value Included in Net Loss | ||||||
Total | 156 | (17,106) | (3,403) | (34,843) | (42,989) | (114,630) |
Recurring basis | Interest income | ||||||
Change in Fair Value Included in Net Loss | ||||||
Total | (4,722) | 2,019 | (9,479) | (12,162) | 747 | |
Recurring basis | Interest expense | ||||||
Change in Fair Value Included in Net Loss | ||||||
Total | (357) | (9,327) | (8,307) | (18,742) | (38,589) | (66,271) |
Recurring basis | Change in Fair Value of Net Trust Assets | ||||||
Change in Fair Value Included in Net Loss | ||||||
Total | (1,828) | 9,248 | (5,373) | 6,471 | (13,081) | |
Change in fair value of net trust assets, excluding trust REO | 1,800 | 9,200 | (5,400) | |||
Recurring basis | Change in Fair Value of Long-term Debt | ||||||
Change in Fair Value Included in Net Loss | ||||||
Total | 1,980 | 1,417 | 3,622 | 2,442 | 2,098 | 1,899 |
Recurring basis | Other revenue | ||||||
Change in Fair Value Included in Net Loss | ||||||
Total | (6) | (37) | 55 | 1 | (126) | (21,962) |
Recurring basis | Gain on sale of loans, net | ||||||
Change in Fair Value Included in Net Loss | ||||||
Total | (1,461) | (2,609) | (10,040) | (3,692) | (681) | (15,962) |
Recurring basis | Hedging Instruments | ||||||
Change in Fair Value Included in Net Loss | ||||||
Change in fair value of liabilities | 88 | 509 | ||||
Recurring basis | Hedging Instruments | Gain on sale of loans, net | ||||||
Change in Fair Value Included in Net Loss | ||||||
Change in fair value of liabilities | 88 | 509 | ||||
Recurring basis | Level 3 | ||||||
Long-term debt | ||||||
Estimated fair value of long-term debt | 35,889 | 35,889 | 46,536 | 44,413 | ||
Recurring basis | Securitized mortgage borrowings | ||||||
Change in Fair Value Included in Net Loss | ||||||
Change in fair value of liabilities | (8,187) | (7,564) | (103,248) | (182,378) | 14,060 | |
Recurring basis | Securitized mortgage borrowings | Interest expense | ||||||
Change in Fair Value Included in Net Loss | ||||||
Change in fair value of liabilities | (8,909) | (7,564) | (18,018) | (37,090) | (65,421) | |
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 | 722 | (85,230) | (145,288) | 79,481 | ||
Recurring basis | Derivative liabilities, net | Hedging Instruments | ||||||
Change in Fair Value Included in Net Loss | ||||||
Change in fair value of liabilities | (896) | (2,064) | 55 | (82) | ||
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 | (896) | (2,064) | 55 | (82) | ||
Recurring basis | Long-term debt | ||||||
Change in Fair Value Included in Net Loss | ||||||
Change in fair value of liabilities | 1,623 | 999 | 2,879 | 1,718 | 599 | 1,049 |
Recurring basis | Long-term debt | Interest expense | ||||||
Change in Fair Value Included in Net Loss | ||||||
Change in fair value of liabilities | (357) | (418) | (743) | (724) | (1,499) | (850) |
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 | 1,980 | 1,417 | 3,622 | 2,442 | 2,098 | 1,899 |
Recurring basis | Long-term debt | Level 3 | ||||||
Long-term debt | ||||||
Long-term debt unpaid principal balance | 62,000 | 62,000 | 62,000 | |||
Estimated fair value of long-term debt | 35,900 | 35,900 | 46,500 | |||
Difference between aggregate unpaid principal balances and fair value of long-term debt | 26,100 | 26,100 | 15,500 | |||
Recurring basis | Securitized mortgage collateral | ||||||
Change in Fair Value Included in Net Loss | ||||||
Change in fair value of assets | (7,272) | 11,267 | 70,378 | 139,597 | (91,815) | |
Recurring basis | Securitized mortgage collateral | Interest income | ||||||
Change in Fair Value Included in Net Loss | ||||||
Change in fair value of assets | (4,722) | 2,019 | (9,479) | (12,162) | 747 | |
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 | (2,550) | 9,248 | 79,857 | 151,759 | (92,562) | |
Recurring basis | Securitized mortgage collateral | Level 3 | ||||||
Securitized mortgage collateral | ||||||
Unpaid principal balance of securitized mortgage collateral | 1,700,000 | |||||
Estimated fair value of securitized mortgage collateral | 1,600,000 | |||||
Difference between aggregate unpaid principal balance and fair value of securitized mortgage collateral | 100,000 | |||||
Unpaid principal balance of loans 90 days or more past due | 300,000 | |||||
Estimated fair value of loans 90 days or more past due | 100,000 | |||||
Difference between aggregate unpaid principal balances and fair value of mortgage loans | 200,000 | |||||
Securitized Mortgage Borrowings | ||||||
Estimated fair value of securitized mortgage borrowings | 1,600,000 | |||||
Bond losses | 2,200,000 | |||||
Difference between aggregate unpaid principal balances and fair value of securitized mortgage borrowings | 100,000 | |||||
Recurring basis | Mortgage servicing rights | ||||||
Change in Fair Value Included in Net Loss | ||||||
Change in fair value of assets | (6) | (37) | 55 | 1 | (126) | (21,962) |
Recurring basis | Mortgage servicing rights | Other revenue | ||||||
Change in Fair Value Included in Net Loss | ||||||
Change in fair value of assets | (6) | (37) | 55 | 1 | (126) | (21,962) |
Recurring basis | Derivative assets, net | ||||||
Change in Fair Value Included in Net Loss | ||||||
Change in fair value of assets | (4,164) | (516) | ||||
Recurring basis | Derivative assets, net | Gain on sale of loans, net | ||||||
Change in Fair Value Included in Net Loss | ||||||
Change in fair value of assets | (4,164) | (516) | ||||
Recurring basis | Derivative assets, net | Interest rate lock commitments (IRLCs) | ||||||
Change in Fair Value Included in Net Loss | ||||||
Change in fair value of assets | (348) | (816) | (2,613) | (3,013) | ||
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 | (348) | (816) | (2,613) | (3,013) | ||
Recurring basis | Mortgage loans held-for-sale | ||||||
Change in Fair Value Included in Net Loss | ||||||
Change in fair value of assets | (217) | 271 | (7,482) | (597) | 3,395 | (15,955) |
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 | $ (217) | $ 271 | $ (7,482) | $ (597) | $ 3,395 | $ (15,955) |
Fair Value of Financial Inst_16
Fair Value of Financial Instruments - Securitized mortgage collateral And mortgage borrowings (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||||
Mar. 16, 2022 | Mar. 31, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | |
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 | $ (1,828) | $ 9,248 | $ (5,373) | $ 6,471 | $ (13,081) | |
Transaction Costs Related To Transfer of Securitization Trust | $ 277 |
Fair Value of Financial Inst_17
Fair Value of Financial Instruments - Nonrecurring Fair Value Measurements (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||||
Jun. 30, 2022 USD ($) ft² | Jun. 30, 2021 USD ($) | Mar. 31, 2020 USD ($) | Jun. 30, 2022 USD ($) ft² | Jun. 30, 2021 USD ($) | Dec. 31, 2021 USD ($) | Dec. 31, 2020 USD ($) | |
Fair Value Measurements | |||||||
Retained earnings | $ (1,264,979) | $ (1,264,979) | $ (1,250,328) | $ (1,246,450) | |||
Total Losses | |||||||
REO | 111 | 7,393 | |||||
ROU asset impairment | $ (123) | $ (123) | (393) | ||||
Sublease square footage | ft² | 29,000 | 29,000 | |||||
Nonrecurring Fair Value Measurements | |||||||
Total Losses | |||||||
REO | $ (313) | $ 1,559 | 111 | 7,400 | |||
ROU asset impairment | $ (123) | $ (393) | $ (123) | ||||
Nonrecurring Fair Value Measurements | Level 2 | |||||||
Fair Value Measurements | |||||||
REO | $ 4,251 | $ 4,251 | 3,479 | 3,173 | |||
Nonrecurring Fair Value Measurements | Level 3 | |||||||
Fair Value Measurements | |||||||
ROU asset | $ 8,366 | $ 8,366 | $ 10,209 | $ 13,512 |
Income Taxes (Details)
Income Taxes (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | |
Income taxes | ||||||
Income tax expense | $ 16 | $ 62 | $ 39 | $ 43 | $ 71 | $ 133 |
Accumulated other comprehensive earnings, tax | 10,500 | |||||
Reconciliation of income taxes to the expected statutory federal corporate income tax rates | ||||||
Federal Rate | (799) | (18,483) | ||||
State tax expense, net of federal benefit | 56 | 99 | ||||
Other | 140 | 62 | ||||
Reversal of valuation allowance | 1,218 | $ 19,016 | ||||
Operating loss carryforwards | ||||||
AMT credit | 404 | |||||
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 |
Reconciliation of Loss Per Co_6
Reconciliation of Loss Per Common Share (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||||
Jun. 30, 2022 | Mar. 31, 2022 | Jun. 30, 2021 | Mar. 31, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | Dec. 31, 2021 | Dec. 31, 2020 | |
Numerator for basic loss per share: | ||||||||
Net loss | $ (13,467) | $ (1,184) | $ (8,864) | $ (683) | $ (14,651) | $ (9,547) | $ (3,878) | $ (88,150) |
Less: Cumulative non-declared dividends on preferred stock | (390) | (780) | (780) | |||||
Net earnings (loss) attributable to common stockholders | (13,857) | (8,864) | (15,431) | (9,547) | (4,658) | (88,150) | ||
Numerator for diluted loss per share: | ||||||||
Net earnings (loss) attributable to common stockholders | (13,857) | (8,864) | (15,431) | (9,547) | (4,658) | (88,150) | ||
Net loss plus interest expense attributable to convertible notes | $ (13,857) | $ (8,864) | $ (15,431) | $ (9,547) | $ (4,658) | $ (88,150) | ||
Denominator for basic loss per share: | ||||||||
Basic weighted average common shares outstanding during the period | 21,509 | 21,344 | 21,463 | 21,319 | 21,332 | 21,251 | ||
Denominator for diluted loss per share : | ||||||||
Basic weighted average common shares outstanding during the period | 21,509 | 21,344 | 21,463 | 21,319 | 21,332 | 21,251 | ||
Diluted weighted average common shares | 21,509 | 21,344 | 21,463 | 21,319 | 21,332 | 21,251 | ||
Basic (in dollars per share) | $ (0.64) | $ (0.42) | $ (0.72) | $ (0.45) | $ (0.22) | $ (4.15) | ||
Diluted (in dollars per share) | $ (0.64) | $ (0.42) | $ (0.72) | $ (0.45) | $ (0.22) | $ (4.15) | ||
Stock options, RSAs, RSUs and DSUs | ||||||||
Denominator for diluted loss per share : | ||||||||
Antidilutive securities excluded from weighted average share calculations (in shares) | 1,000 | 829 | ||||||
Stock options, RSUs and DSUs | ||||||||
Denominator for diluted loss per share : | ||||||||
Antidilutive securities excluded from weighted average share calculations (in shares) | 804 | 1,000 | ||||||
Convertible Notes | ||||||||
Denominator for diluted loss per share : | ||||||||
Antidilutive securities excluded from weighted average share calculations (in shares) | 698 | 930 | 930 | 930 | 930 | 930 | ||
Warrants | ||||||||
Denominator for diluted loss per share : | ||||||||
Antidilutive securities excluded from weighted average share calculations (in shares) | 213 | 213 | 213 | 213 |
Segment Reporting - Statement_2
Segment Reporting - Statement of Operations (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||||
Jun. 30, 2022 USD ($) item | Mar. 31, 2022 USD ($) | Jun. 30, 2021 USD ($) item | Mar. 31, 2021 USD ($) | Jun. 30, 2022 USD ($) item | Jun. 30, 2021 USD ($) item | Dec. 31, 2021 USD ($) item | Dec. 31, 2020 USD ($) | |
Segment Reporting | ||||||||
Number of reportable segments | item | 3 | 3 | 3 | 3 | 3 | |||
Gain on sale of loans, net | $ 179 | $ 10,693 | $ 6,134 | $ 30,824 | $ 65,294 | $ 14,004 | ||
Servicing fees (expense), net | 7 | (150) | (5) | (269) | (432) | 3,603 | ||
Gain (loss) on mortgage servicing rights, net | 45 | (37) | 155 | 1 | 34 | (28,509) | ||
Real estate services fees, net | 257 | 478 | 442 | 688 | 1,144 | 1,312 | ||
Other revenue (expense) | 7 | (4) | 959 | 320 | 279 | 1,498 | ||
Other operating expense | (14,666) | (19,616) | (34,023) | (40,914) | (81,204) | (81,273) | ||
Other income (expense) | 720 | (166) | 11,726 | (154) | 11,078 | 1,348 | ||
Net (loss) earnings before income taxes | (13,451) | (8,802) | (14,612) | (9,504) | (3,807) | (88,017) | ||
Income tax expense | 16 | 62 | 39 | 43 | 71 | 133 | ||
Net loss | (13,467) | $ (1,184) | (8,864) | $ (683) | (14,651) | (9,547) | (3,878) | (88,150) |
Total assets | 133,658 | 133,658 | 2,022,771 | 2,369,306 | ||||
Operating segments | Mortgage Lending | ||||||||
Segment Reporting | ||||||||
Gain on sale of loans, net | 179 | 10,693 | 6,134 | 30,824 | 65,294 | 14,004 | ||
Servicing fees (expense), net | 7 | (150) | (5) | (269) | (432) | 3,603 | ||
Gain (loss) on mortgage servicing rights, net | 45 | (37) | 155 | 1 | 34 | (28,509) | ||
Other revenue (expense) | 1 | 4 | 23 | 24 | 135 | |||
Other operating expense | (9,378) | (15,288) | (23,880) | (31,516) | (62,605) | (60,869) | ||
Other income (expense) | 261 | (16) | 649 | (199) | 98 | 2,366 | ||
Net (loss) earnings before income taxes | (8,885) | (4,798) | (16,943) | (1,136) | 2,413 | (69,270) | ||
Total assets | 108,870 | 108,870 | 351,173 | 233,841 | ||||
Operating segments | Real Estate Services | ||||||||
Segment Reporting | ||||||||
Real estate services fees, net | 257 | 478 | 442 | 688 | 1,144 | 1,312 | ||
Other operating expense | (359) | (356) | (718) | (725) | (1,409) | (1,485) | ||
Net (loss) earnings before income taxes | (102) | 122 | (276) | (37) | (265) | (173) | ||
Total assets | 502 | 502 | 502 | 503 | ||||
Operating segments | Long-term Mortgage Portfolio | ||||||||
Segment Reporting | ||||||||
Other revenue (expense) | 28 | 42 | 43 | 69 | 110 | 143 | ||
Other operating expense | (129) | (135) | (141) | (256) | (778) | (633) | ||
Other income (expense) | 877 | 314 | 11,959 | 969 | 12,840 | 1,344 | ||
Net (loss) earnings before income taxes | 776 | 221 | 11,861 | 782 | 12,172 | 854 | ||
Total assets | 63 | 63 | 1,642,871 | 2,103,399 | ||||
Corporate and other | ||||||||
Segment Reporting | ||||||||
Other revenue (expense) | (22) | (46) | 912 | 228 | 145 | 1,220 | ||
Other operating expense | (4,800) | (3,837) | (9,284) | (8,417) | (16,412) | (18,286) | ||
Other income (expense) | (418) | (464) | (882) | (924) | (1,860) | (2,362) | ||
Net (loss) earnings before income taxes | (5,240) | $ (4,347) | (9,254) | $ (9,113) | (18,127) | (19,428) | ||
Total assets | $ 24,223 | $ 24,223 | $ 28,225 | $ 31,563 |
Commitments and Contingencies_9
Commitments and Contingencies - Legal Proceedings (Details) $ in Millions | 6 Months Ended | 12 Months Ended | |||||||||
Apr. 29, 2022 | Apr. 01, 2020 item | Jul. 16, 2018 USD ($) director item | Dec. 07, 2011 director item | Jun. 30, 2022 USD ($) item director | Dec. 31, 2021 USD ($) item director | Dec. 31, 2020 | Aug. 08, 2022 USD ($) | Jul. 22, 2022 item | Jan. 06, 2022 director | 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% | 9.375% | ||||||
Number of additional directors to be elected by Preferred shareholders | 2 | ||||||||||
Number of directors elected by Preferred shareholders | 2 | 0 | |||||||||
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 | $ | $ 1.2 | $ 1.2 | |||||||||
Percentage of shareholder approval required | 66.67% | ||||||||||
Series C 9.125% redeemable preferred stock | |||||||||||
Repurchase reserve | |||||||||||
Preferred stock, dividend rate (as a percent) | 9.125% | 9.125% | 9.125% | 9.125% | 9.125% | ||||||
Percentage of shareholder approval required | 66.67% | ||||||||||
Curtis J. Timm | |||||||||||
Repurchase reserve | |||||||||||
Preferred B stock approval percentage | 66.70% | ||||||||||
Curtis J. Timm | Series B and C Preferred Stock | |||||||||||
Repurchase reserve | |||||||||||
Number of additional directors to be elected by Preferred shareholders | 2 | ||||||||||
Number of directors elected by Preferred shareholders | 2 | ||||||||||
Number of quarterly dividend payments sought for Preferred shareholders | item | 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 | 2 | ||||||||||
Number of directors elected by Preferred shareholders | 0 | ||||||||||
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 | item | 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 | item | 1 | ||||||||||
Number of co-plaintiffs | item | 2 |
Commitments and Contingencie_10
Commitments and Contingencies - Repurchase Reserve (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Commitments and Contingencies | |||
Beginning balance | $ 4,744 | $ 7,054 | $ 8,969 |
Provision for repurchases | 2,433 | 111 | 5,227 |
Settlements | (1,178) | (2,421) | (7,142) |
Total repurchase reserve | $ 5,999 | 4,744 | 7,054 |
Loans subject to representations and warranties | $ 2,800,000 | $ 3,300,000 | |
HARP | |||
Commitments and Contingencies | |||
Threshold period to stay current for loans to limit representation and warranty risk | 12 months | ||
Non-HARP | |||
Commitments and Contingencies | |||
Threshold period to stay current for loans to limit representation and warranty risk | 36 months |
Commitments and Contingencie_11
Commitments and Contingencies - Corporate-owned Life Insurance Trusts (Details) $ in Thousands | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2022 USD ($) item | Dec. 31, 2021 USD ($) item | Dec. 31, 2020 USD ($) | |
Corporate-owned life insurance trusts | |||
Number of life insurance trusts held for former executive officers | item | 3 | 3 | |
Corporate-owned life insurance cash surrender value | $ 11,681 | $ 10,788 | |
Corporate-owned life insurance liability | 13,261 | 13,027 | |
Corporate-owned life insurance short-fall | (1,580) | (2,239) | |
Initial shortfall of corporate-owned life insurance trusts at consolidation of trusts | $ 1,281 | ||
Accumulated Deficit | |||
Corporate-owned life insurance trusts | |||
Initial shortfall of corporate-owned life insurance trusts at consolidation of trusts | 1,300 | $ 1,281 | |
Trust #1 | |||
Corporate-owned life insurance trusts | |||
Corporate-owned life insurance cash surrender value | 5,345 | 4,972 | |
Corporate-owned life insurance liability | 6,123 | 6,015 | |
Corporate-owned life insurance short-fall | (778) | (1,043) | |
Trust #2 | |||
Corporate-owned life insurance trusts | |||
Corporate-owned life insurance cash surrender value | 4,148 | 3,821 | |
Corporate-owned life insurance liability | 4,800 | 4,715 | |
Corporate-owned life insurance short-fall | (652) | (894) | |
Trust #3 | |||
Corporate-owned life insurance trusts | |||
Corporate-owned life insurance cash surrender value | 2,188 | 1,995 | |
Corporate-owned life insurance liability | 2,338 | 2,297 | |
Corporate-owned life insurance short-fall | $ (150) | $ (302) |
Equity and Share Based Paymen_3
Equity and Share Based Payments - Redeemable Preferred Stock (Details) $ / shares in Units, $ in Thousands | 6 Months Ended | 12 Months Ended | ||||||||||
Apr. 29, 2022 $ / shares shares | Dec. 07, 2011 director | Jun. 30, 2022 USD ($) director item $ / shares | Dec. 31, 2021 USD ($) item $ / shares | Dec. 31, 2020 USD ($) $ / shares | Aug. 08, 2022 USD ($) | Jul. 22, 2022 item | Jan. 06, 2022 director | Apr. 15, 2020 $ / shares | Apr. 01, 2020 | Jul. 16, 2018 USD ($) item | Dec. 31, 2013 | |
Equity and Share Based Payments | ||||||||||||
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | $ 0.01 | |||||||||
Warrant cash exercise price | $ 2.97 | |||||||||||
Series B and C Preferred Stock | ||||||||||||
Equity and Share Based Payments | ||||||||||||
Outstanding liquidation preference | $ | $ 71,700 | $ 70,900 | ||||||||||
Liquidation preference amount per share | $ 25 | $ 25 | ||||||||||
Series B 9.375% redeemable preferred stock | ||||||||||||
Equity and Share Based Payments | ||||||||||||
Outstanding liquidation preference | $ | $ 36,530 | $ 36,530 | $ 35,750 | |||||||||
Liquidation preference amount per share | $ 53.71 | |||||||||||
Liquidation value per share | $ 54.88 | |||||||||||
Cumulative undeclared dividends in arrears | $ | $ 19,900 | $ 19,100 | ||||||||||
Cumulative undeclared dividends in arrears (per share) | $ 29.88 | $ 28.71 | ||||||||||
Cumulative undeclared dividends in arrears, increase in every quarter (per share) | $ 0.5859 | $ 0.5859 | ||||||||||
Amount of increase in cumulative undeclared dividends in arrears in each quarter | $ | $ 390 | $ 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 | ||||||||||
Number of directors elected by Preferred shareholders | director | 2 | 0 | ||||||||||
Percentage of shareholder approval required | 66.67% | |||||||||||
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | $ 0.01 | |||||||||
Preferred stock, dividend rate (as a percent) | 9.375% | 9.375% | 9.375% | 9.375% | 9.375% | |||||||
Cash payable per share | $ 3 | |||||||||||
Shares of common stock to be issued | shares | 13.33 | |||||||||||
New series preferred shares to be issued in lieu of cash payment | shares | 30 | |||||||||||
Series C 9.125% redeemable preferred stock | ||||||||||||
Equity and Share Based Payments | ||||||||||||
Outstanding liquidation preference | $ | $ 35,127 | $ 35,127 | $ 35,127 | |||||||||
Percentage of shareholder approval required | 66.67% | |||||||||||
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | $ 0.01 | |||||||||
Preferred stock, dividend rate (as a percent) | 9.125% | 9.125% | 9.125% | 9.125% | 9.125% | |||||||
Cash payable per share | $ 0.10 | |||||||||||
Warrants to be issued | shares | 1.5 | |||||||||||
Shares of common stock to be issued | shares | 1.25 | |||||||||||
New series preferred shares to be issued in lieu of cash payment | shares | 1 | |||||||||||
Number of common shares that can be purchased with each warrant | shares | 1.5 | |||||||||||
Warrant cash exercise price | $ 5 | |||||||||||
New Proposed Preferred Stock | ||||||||||||
Equity and Share Based Payments | ||||||||||||
Liquidation preference amount per share | $ 0.10 | |||||||||||
Preferred stock, dividend rate (as a percent) | 8.25% | |||||||||||
Preferred stock, fixed annual dividend rate per share | $ 0.00825 | |||||||||||
Preferred stock mandatory redemption period | 60 days | |||||||||||
New Proposed Preferred Stock | Maximum | ||||||||||||
Equity and Share Based Payments | ||||||||||||
Preferred stock mandatory redemption period | 60 days | |||||||||||
Curtis J. Timm | Series B and C Preferred Stock | ||||||||||||
Equity and Share Based Payments | ||||||||||||
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 | ||||||||||||
Equity and Share Based Payments | ||||||||||||
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 | ||||||||||
Number of directors elected by Preferred shareholders | director | 0 | |||||||||||
Percentage of shareholder approval required | 66.67% | 66.67% | 66.67% |
Equity and Share Based Paymen_4
Equity and Share Based Payments - Stock Options (Details) - Stock options - USD ($) $ / shares in Units, $ in Thousands | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Number of Shares | |||
Options outstanding at beginning of period (in shares) | 570,228 | 524,357 | 914,470 |
Options granted (in shares) | 85,154 | 30,000 | |
Options exercised (in shares) | (9,500) | ||
Options forfeited / cancelled (in shares) | (10,000) | (39,283) | (410,613) |
Options outstanding at end of year (in shares) | 560,228 | 570,228 | 524,357 |
Options exercisable at end of year (in shares) | 518,874 | 406,361 | 327,366 |
Weighted-Average Exercise Price | |||
Options outstanding at beginning of period (in dollars per share) | $ 7.89 | $ 8.58 | $ 8.10 |
Options granted (in dollars per share) | 3.29 | 5.34 | |
Options exercised (in dollars per share) | 4.84 | ||
Options forfeited / cancelled (in dollars per share) | 3.39 | 7.15 | 7.35 |
Options outstanding at end of year (in dollars per share) | 7.97 | 7.89 | 8.58 |
Options exercisable at end of year (in dollars per share) | $ 8.34 | $ 9.65 | $ 11.46 |
Weighted-Average Remaining Life | |||
Weighted-Average Remaining Life, Options outstanding at end of year | 6 years 2 months 1 day | 6 years 9 months 7 days | |
Weighted-Average Remaining Life, Options exercisable at end of year | 5 years 5 months 4 days | 5 years 11 months 15 days | |
Additional disclosure related to options | |||
Market price of common stock | $ 1.11 | $ 3.04 | |
Unrecognized compensation cost | $ 54 | $ 127 | |
Weighted-average period over which compensation cost is expected to be recognized | 1 year 7 months 6 days | 1 year 6 months | |
Aggregate grant-date fair value of stock options granted | $ 167 | $ 94 | |
Stock-based compensation expense | $ 884 | $ 702 |
Equity and Share Based Paymen_5
Equity and Share Based Payments - Stock Units And Awards (Details) - USD ($) $ / shares in Units, $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2022 | Dec. 31, 2021 | |
Restricted stock units (RSU's) | ||
stock units | ||
Fair value of stock granted | $ 807,000 | |
Number of Shares | ||
Outstanding at beginning of year (in shares) | 397,829 | 267,221 |
Granted (in shares) | 245,332 | |
Issued (in shares) | (153,251) | (94,493) |
Forfeited / cancelled (in shares) | (18,333) | (20,231) |
Outstanding at end of period (in shares) | 226,245 | 397,829 |
Weighted-Average Grant Date Fair Value | ||
Outstanding at beginning of year (in dollars per share) | $ 4.11 | $ 5.04 |
Granted (in dollars per share) | 3.29 | |
Issued (in dollars per share) | 4.32 | 4.78 |
Forfeited / cancelled (in dollars per share) | 3.85 | 3.29 |
Outstanding at end of period (in dollars per share) | $ 3.99 | $ 4.11 |
Additional information | ||
Unrecognized compensation cost | $ 604 | $ 1,000 |
Weighted-average period over which compensation cost is expected to be recognized | 1 year 3 months 18 days | 1 year 8 months 12 days |
Deferred stock units | ||
Number of Shares | ||
Outstanding at beginning of year (in shares) | 54,500 | 54,500 |
Granted (in shares) | 0 | |
Issued (in shares) | (15,000) | |
Outstanding at end of period (in shares) | 39,500 | 54,500 |
Weighted-Average Grant Date Fair Value | ||
Outstanding at beginning of year (in dollars per share) | $ 6.61 | $ 6.61 |
Issued (in dollars per share) | 3.75 | |
Outstanding at end of period (in dollars per share) | $ 7.70 | $ 6.61 |
Additional information | ||
Unrecognized compensation cost | $ 0 | $ 6 |
Weighted-average period over which compensation cost is expected to be recognized | 2 months 12 days | |
Deferred stock units | Minimum | ||
stock units | ||
Vesting period | 1 year | |
Deferred stock units | Maximum | ||
stock units | ||
Vesting period | 3 years |