Document and Entity Information
Document and Entity Information - shares | 3 Months Ended | |
Mar. 31, 2017 | May 05, 2017 | |
Document and Entity Information | ||
Entity Registrant Name | IMPAC MORTGAGE HOLDINGS INC | |
Entity Central Index Key | 1,000,298 | |
Document Type | 10-Q | |
Document Period End Date | Mar. 31, 2017 | |
Amendment Flag | false | |
Current Fiscal Year End Date | --12-31 | |
Entity Current Reporting Status | Yes | |
Entity Filer Category | Accelerated Filer | |
Entity Common Stock, Shares Outstanding | 20,448,947 | |
Document Fiscal Year Focus | 2,017 | |
Document Fiscal Period Focus | Q1 |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 |
ASSETS | ||
Cash and cash equivalents | $ 19,531 | $ 40,096 |
Restricted cash | 5,956 | 5,971 |
Mortgage loans held-for-sale | 434,322 | 388,422 |
Finance receivables | 37,556 | 62,937 |
Mortgage servicing rights | 141,586 | 131,537 |
Securitized mortgage trust assets | 3,911,676 | 4,033,290 |
Goodwill | 104,938 | 104,938 |
Intangible assets, net | 24,729 | 25,778 |
Deferred tax asset, net | 24,420 | 24,420 |
Other assets | 46,644 | 46,345 |
Total assets | 4,751,358 | 4,863,734 |
LIABILITIES | ||
Warehouse borrowings | 441,832 | 420,573 |
Convertible notes | 24,967 | 24,965 |
Contingent consideration | 24,498 | 31,072 |
Long-term debt | 50,044 | 47,207 |
Securitized mortgage trust liabilities | 3,892,668 | 4,017,603 |
Term financing | 29,910 | |
Other liabilities | 46,019 | 61,364 |
Total liabilities | 4,515,161 | 4,632,694 |
Commitments and contingencies (See Note 10) | ||
STOCKHOLDERS' EQUITY | ||
Common stock, $0.01 par value; 200,000,000 shares authorized; 16,025,483 and 16,019,983 shares issued and outstanding as of March 31, 2017 and December 31, 2016, respectively | 160 | 160 |
Additional paid-in capital | 1,168,655 | 1,168,125 |
Net accumulated deficit: | ||
Cumulative dividends declared | (822,520) | (822,520) |
Retained deficit | (110,119) | (114,746) |
Net accumulated deficit | (932,639) | (937,266) |
Total stockholders’ equity | 236,197 | 231,040 |
Total liabilities and stockholders' equity | 4,751,358 | 4,863,734 |
Series A-1 junior participating preferred stock | ||
STOCKHOLDERS' EQUITY | ||
Preferred stock | ||
Series B 9.375% redeemable preferred stock | ||
STOCKHOLDERS' EQUITY | ||
Preferred stock | 7 | 7 |
Series C 9.125% redeemable preferred stock | ||
STOCKHOLDERS' EQUITY | ||
Preferred stock | $ 14 | $ 14 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2017 | Dec. 31, 2016 | |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized | 200,000,000 | 200,000,000 |
Common stock, shares issued | 16,025,483 | 16,019,983 |
Common stock, shares outstanding | 16,025,483 | 16,019,983 |
Series A-1 junior participating preferred stock | ||
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred stock, shares authorized | 2,500,000 | 2,500,000 |
Preferred stock, shares issued | 0 | 0 |
Preferred stock, shares outstanding | 0 | 0 |
Series B 9.375% redeemable preferred stock | ||
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred stock, dividend rate (as a percent) | 9.375% | 9.375% |
Preferred stock, liquidation value (in dollars) | $ 16,640 | $ 16,640 |
Preferred stock, shares authorized | 2,000,000 | 2,000,000 |
Preferred stock, shares issued | 665,592 | 665,592 |
Preferred stock, shares outstanding | 665,592 | 665,592 |
Series C 9.125% redeemable preferred stock | ||
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred stock, dividend rate (as a percent) | 9.125% | 9.125% |
Preferred stock, liquidation value (in dollars) | $ 35,127 | $ 35,127 |
Preferred stock, shares authorized | 5,500,000 | 5,500,000 |
Preferred stock, shares issued | 1,405,086 | 1,405,086 |
Preferred stock, shares outstanding | 1,405,086 | 1,405,086 |
CONSOLIDATED STATEMENTS OF OPER
CONSOLIDATED STATEMENTS OF OPERATIONS - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Revenues: | ||
Gain on sale of loans, net | $ 37,319 | $ 53,869 |
Real estate services fees, net | 1,633 | 2,100 |
Servicing income, net | 7,320 | 2,088 |
Loss on mortgage servicing rights, net | (977) | (10,910) |
Other | 47 | 152 |
Total revenues | 45,342 | 47,299 |
Expenses: | ||
Personnel expense | 24,919 | 23,965 |
Business promotion | 10,231 | 9,191 |
General, administrative and other | 8,023 | 7,162 |
Accretion of contingent consideration | 845 | 1,895 |
Change in fair value of contingent consideration | 539 | 2,942 |
Total expenses | 44,557 | 45,155 |
Operating income | 785 | 2,144 |
Other income (expense): | ||
Interest income | 61,584 | 69,327 |
Interest expense | (61,138) | (69,428) |
Change in fair value of long-term debt | (2,497) | |
Change in fair value of net trust assets, including trust REO (losses) gains | 6,319 | (627) |
Total other income (expense) | 4,268 | (728) |
Earnings before income taxes | 5,053 | 1,416 |
Income tax expense | 426 | 435 |
Net earnings | $ 4,627 | $ 981 |
Earnings per common share : | ||
Basic (in dollars per share) | $ 0.29 | $ 0.09 |
Diluted (in dollars per share) | $ 0.29 | $ 0.08 |
CONSOLIDATED STATEMENTS OF CHAN
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY - 3 months ended Mar. 31, 2017 - USD ($) $ in Thousands | Preferred Stock | Common Stock | Additional Paid-In Capital | Cumulative Dividends Declared | Retained Deficit | Total |
Balance at Dec. 31, 2016 | $ 21 | $ 160 | $ 1,168,125 | $ (822,520) | $ (114,746) | $ 231,040 |
Balance (in shares) at Dec. 31, 2016 | 2,070,678 | 16,019,983 | ||||
Increase (Decrease) in Stockholders' Equity | ||||||
Proceeds and tax benefit from exercise of stock options | 30 | 30 | ||||
Proceeds and tax benefit from exercise of stock options (in shares) | 5,500 | |||||
Stock based compensation | 500 | 500 | ||||
Net earnings | 4,627 | 4,627 | ||||
Balance at Mar. 31, 2017 | $ 21 | $ 160 | $ 1,168,655 | $ (822,520) | $ (110,119) | $ 236,197 |
Balance (in shares) at Mar. 31, 2017 | 2,070,678 | 16,025,483 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
CASH FLOWS FROM OPERATING ACTIVITIES: | ||
Net earnings | $ 4,627 | $ 981 |
Loss on sale of mortgage servicing rights | 414 | 620 |
Change in fair value of mortgage servicing rights | 1,122 | 10,920 |
Gain on sale of mortgage loans | (31,595) | (38,118) |
Change in fair value of mortgage loans held-for-sale | (5,203) | (11,185) |
Change in fair value of derivatives lending, net | (79) | (5,176) |
(Recovery) provision for repurchases | (1,666) | 379 |
Origination of mortgage loans held-for-sale | (1,580,019) | (2,349,246) |
Sale and principal reduction on mortgage loans held-for-sale | 1,558,851 | 2,077,141 |
Losses (gains) from REO | (1,533) | 1,140 |
Change in fair value of net trust assets, excluding REO | (4,786) | (1,256) |
Change in fair value of long-term debt | 2,497 | |
Accretion of interest income and expense | 25,550 | 33,646 |
Amortization of intangible and other assets | 1,192 | 1,192 |
Accretion of contingent consideration | 845 | 1,895 |
Change in fair value of contingent consideration | 539 | 2,942 |
Amortization of debt issuance costs and discount on note payable | 100 | 211 |
Stock-based compensation | 500 | 448 |
Impairment of deferred charge | 276 | 424 |
Excess tax benefit (deficiency) from share based compensation | (12) | |
Net change in restricted cash | 15 | (1,304) |
Net change in other assets and liabilities | (13,825) | 3,629 |
Net cash used in operating activities | (42,166) | (270,717) |
CASH FLOWS FROM INVESTING ACTIVITIES: | ||
Net change in securitized mortgage collateral | 182,824 | 131,109 |
Proceeds (repayments of) from the sale of mortgage servicing rights | 481 | (620) |
Finance receivable advances to customers | (183,613) | (151,404) |
Repayments of finance receivables | 208,994 | 145,593 |
Net change in mortgages held-for-investment | 44 | |
Purchase of premises and equipment | (291) | (61) |
Net principal change on investment securities available-for-sale | 12 | |
Proceeds from the sale of REO | 6,859 | 10,229 |
Net cash provided by investing activities | 215,254 | 134,902 |
CASH FLOWS FROM FINANCING ACTIVITIES: | ||
Net proceeds from issuance of common stock | 2,079 | |
Borrowings under MSR financing | 35,133 | |
Repayment of warehouse borrowings | (1,498,519) | (1,993,732) |
Borrowings under warehouse agreement | 1,519,778 | 2,292,244 |
Repayment of term financing | (30,000) | |
Payment of acquisition related contingent consideration | (7,958) | (4,144) |
Repayment of securitized mortgage borrowings | (211,895) | (174,436) |
Principal payments on capital lease | (101) | (153) |
Debt issuance costs | (100) | |
Tax payments on stock based compensation awards | (21) | |
Proceeds from exercise of stock options | 30 | |
Net cash (used in) provided by financing activities | (193,653) | 121,858 |
Net change in cash and cash equivalents | (20,565) | (13,957) |
Cash and cash equivalents at beginning of year | 40,096 | 32,409 |
Cash and cash equivalents at end of period | 19,531 | 18,452 |
NON-CASH TRANSACTIONS: | ||
Transfer of securitized mortgage collateral to real estate owned | 2,267 | 10,533 |
Mortgage servicing rights retained from loan sales and issuance of mortgage backed securities | $ 12,066 | 18,822 |
Common stock issued upon conversion of debt | $ 20,000 |
Summary of Business and Financi
Summary of Business and Financial Statement Presentation | 3 Months Ended |
Mar. 31, 2017 | |
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 Maryland corporation incorporated in August 1995 and has the following wholly-owned subsidiaries: Integrated Real Estate Service Corporation (IRES), Impac Mortgage Corp. (IMC), IMH Assets Corp. (IMH Assets) and Impac Funding Corporation (IFC). The Company’s operations include the mortgage lending operations and real estate services conducted by IRES and IMC and the long-term mortgage portfolio (residual interests in securitizations reflected as net trust assets and liabilities in the consolidated balance sheets) conducted by IMH. IMC’s mortgage lending operations include the activities of CashCall Mortgage (CCM). Financial Statement Presentation The accompanying unaudited consolidated financial statements of IMH and its subsidiaries (as defined above) have been prepared in accordance with accounting principles generally accepted in the United States of America (GAAP) for interim financial information and with the instructions to Form 10-Q and Rule 8-03 of Regulation S-X. Accordingly, they do not include all of the information and footnotes required by GAAP for complete financial statements. In the opinion of management, all adjustments, consisting of normal recurring adjustments considered necessary for a fair presentation, have been included. Operating results for the three months ended March 31, 2017 are not necessarily indicative of the results that may be expected for the year ending December 31, 2017. 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, 2016, filed with the United States Securities and Exchange Commission (SEC). 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, contingencies, the estimated obligation of repurchase liabilities related to sold loans, the valuation of long-term debt, mortgage servicing rights, mortgage loans held-for-sale and derivative instruments, including interest rate lock commitments (IRLC). Actual results could differ from those estimates and assumptions. Recent Accounting Pronouncements In November 2015, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2015-17, " Income Taxes (Topic 740): Balance Sheet Classification of Deferred Taxes ". The amendments in ASU 2015-17 eliminates the current requirement for organizations to present deferred tax liabilities and assets as current and noncurrent in a classified balance sheet. Instead, organizations will be required to classify all deferred tax assets and liabilities as noncurrent. The amendments in this ASU are effective for public business entities for financial statements issued for annual periods beginning after December 15, 2016, and interim periods within those annual periods. The amendments may be applied prospectively to all deferred tax liabilities and assets or retrospectively to all periods presented. The Company adopted this change prospectively on January 1, 2017 and the adoption of this ASU did not have a material impact on the Company’s consolidated financial statements. In March 2016, the FASB issued ASU 2016-09, “ Improvements to Employee Share-Based Payment Accounting ". ASU 2016-09 simplifies several aspects of the accounting for share-based payment transactions, including the income tax consequences, classification of awards as either equity or liabilities and classification on the statement of cash flows. This ASU is effective for fiscal years, and interim periods within those years, beginning after December 15, 2016. The Company adopted this change prospectively on January 1, 2017 and did not adjust prior periods. The adoption of this ASU did not have a material impact on the Company’s consolidated financial statements. In August 2016, the FASB issued ASU No. 2016-15, “Statement of Cash Flows (Topic 230): Classification of Certain Cash Receipts and Cash Payments” . The update amends the guidance in Accounting Standards Codification 230, Statement of Cash Flows , and clarifies how entities should classify certain cash receipts and cash payments on the statement of cash flows with the objective of reducing the existing diversity in practice related to eight specific cash flow issues. The amendments in this update are effective for annual periods beginning after December 15, 2017, and interim periods within those fiscal years. Early adoption is permitted. The Company does not expect the adoption of this ASU to have a material impact on its consolidated financial statements. |
Mortgage Loans Held-for-Sale
Mortgage Loans Held-for-Sale | 3 Months Ended |
Mar. 31, 2017 | |
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 loans held-for-sale by type is presented below: March 31, December 31, 2017 2016 Government (1) $ 153,905 $ 146,305 Conventional (2) 148,653 168,581 Other (3) 115,726 62,701 Fair value adjustment (4) 16,038 10,835 Total mortgage loans held for sale $ 434,322 $ 388,422 (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 Federal National Mortgage Association (Fannie Mae or FNMA) and Federal Home Loan Mortgage Corporation (Freddie Mac or FHLMC). (3) Includes NonQM and Jumbo loans. (4) Changes in fair value are included in gain on sale of loans, net in the accompanying consolidated statements of operations. Gain on mortgage loans held-for-sale (LHFS), included in gain on sale of loans, net in the consolidated statements of operations, is comprised of the following for the three months ended March 31, 2017 and 2016: For the Three Months Ended March 31, 2017 2016 Gain on sale of mortgage loans $ 38,240 $ 59,212 Premium from servicing retained loan sales 12,066 18,822 Unrealized (losses) gains from derivative financial instruments (1,145) 4,945 Realized gains (losses) from derivative financial instruments 1,125 (8,457) Mark to market gain on LHFS 5,203 11,185 Direct origination expenses, net (19,836) (31,459) Recovery (provision) for repurchases 1,666 (379) Total gain on sale of loans, net $ 37,319 $ 53,869 |
Mortgage Servicing Rights
Mortgage Servicing Rights | 3 Months Ended |
Mar. 31, 2017 | |
Mortgage Servicing Rights | |
Mortgage Servicing Rights | Note 3.—Mortgage Servicing Rights The Company retains mortgage servicing rights (MSRs) from its sales of certain mortgage loans. MSRs are reported at fair value based on the 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 loans. The servicing fees are collected from the monthly payments made by the mortgagors or 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 three months ended March 31, 2017 and year ended December 31, 2016: March 31, December 31, 2017 2016 Balance at beginning of period $ 131,537 $ 36,425 Additions from servicing retained loan sales 12,066 128,273 Reductions from bulk sales (1) (895) (8,773) Changes in fair value (2) (1,122) (24,388) Fair value of MSRs at end of period $ 141,586 $ 131,537 (1) In the first quarter of 2017, the Company sold all but a small portion of our NonQM MSRs. (2) Changes in fair value are included within loss on mortgage servicing rights, net in the accompanying consolidated statements of operations. At March 31, 2017 and December 31, 2016, the outstanding principal balance of the mortgage servicing portfolio was comprised of the following: March 31, December 31, 2017 2016 Government insured $ 1,737,753 $ 1,359,569 Conventional (1) 11,501,180 10,815,998 NonQM 2,975 175,955 Total loans serviced $ 13,241,908 $ 12,351,522 (1) As of March 31, 2017, $6.5 billion of FNMA Conventional servicing rights have been pledged as collateral and subject to an acknowledgement agreement as part of the MSR Financing. (See Note 4. — Debt – MSR Financing.) 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 6.—Fair Value of Financial Instruments for a description of the key assumptions used to determine the fair value of MSRs. March 31, December 31, Mortgage Servicing Rights Sensitivity Analysis 2017 2016 Fair value of MSRs $ 141,586 $ 131,537 Prepayment Speed: Decrease in fair value from 10% adverse change (2,278) (4,956) Decrease in fair value from 20% adverse change (4,818) (9,593) Decrease in fair value from 30% adverse change (7,558) (13,940) Discount Rate: Decrease in fair value from 10% adverse change (5,301) (4,927) Decrease in fair value from 20% adverse change (10,232) (9,511) Decrease in fair value from 30% adverse change (14,829) (13,786) 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. Loss on mortgage servicing rights is comprised of the following for the three months ended March 31, 2017 and 2016: For the Three Months Ended March 31, 2017 2016 Change in fair value of mortgage servicing rights $ (1,122) $ (10,920) Loss on sale of mortgage servicing rights (414) (620) Realized and unrealized gains from hedging instruments 559 630 Loss on mortgage servicing rights, net $ (977) $ (10,910) Servicing income, net is comprised of the following for the three months ended March 31, 2017 and 2016: For the Three Months Ended March 31, 2017 2016 Contractual servicing fees $ 8,366 $ 2,633 Late and ancillary fees 85 34 Subservicing and other costs (1,131) (579) Servicing income, net $ 7,320 $ 2,088 Loans Eligible for Repurchase from GNMA The Company routinely sells loans in GNMA guaranteed mortgage‑backed securities (MBS) by pooling eligible loans through a pool custodian and assigning rights to the loans to GNMA. When these GNMA loans are initially pooled and securitized, the Company meets the criteria for sale treatment and de-recognizes the loans. The terms of the GNMA 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 GNMA pool loans it has previously sold and are more than 90 days past due, the Company then re-recognizes the loans on its consolidated balance sheets in other assets, at their unpaid principal balances and records a corresponding liability in other liabilities in the consolidated balance sheets. At March 31, 2017 and December 31, 2016, loans eligible for repurchase from GNMA total $12.2 million and $9.9 million, respectively. |
Debt
Debt | 3 Months Ended |
Mar. 31, 2017 | |
Debt | |
Debt | Note 4.—Debt Warehouse Borrowings The Company, through its subsidiaries, enters into Master Repurchase Agreements with lenders providing warehouse facilities. The warehouse facilities are uncommitted facilities used to fund, and are secured by, residential mortgage loans that are held for sale. In accordance with the terms of the Master Repurchase Agreements, the Company is required to maintain cash balances with the lender as additional collateral for the borrowings which are included in restricted cash in the accompanying consolidated balance sheets. The following table presents certain information on warehouse borrowings and related accrued interest for the periods indicated: Maximum Balance Outstanding At Borrowing March 31, December 31, Capacity 2017 2016 Maturity Date Short-term borrowings: Repurchase agreement 1 $ 150,000 $ 63,379 $ 106,609 June 16, 2017 Repurchase agreement 2 25,000 12,493 44,761 May 28, 2017 Repurchase agreement 3 (1) 225,000 168,188 125,320 December 22, 2017 Repurchase agreement 4 (2) 250,000 51,708 52,067 February 27, 2018 Repurchase agreement 5 (3) 100,000 88,212 56,655 March 31, 2018 Repurchase agreement 6 200,000 57,852 35,161 June 30, 2017 Total warehouse borrowings $ 950,000 $ 441,832 $ 420,573 (1) As of March 31, 2017 and December 31, 2016, $37.6 million and $62.9 million, respectively, are attributable to finance receivables made to the Company’s warehouse customers. (2) In February 2017, the lender granted the Company an increase in the maximum borrowing capacity to $250.0 million and extended the maturity date to February 27, 2018. (3) In March 2017, the maturity date of the line was extended to March 31, 2018. MSR Financing On February 10, 2017, IMC (Borrower), a subsidiary of the Company, entered into a Loan and Security Agreement (Agreement) with a lender (Lender) providing for a revolving loan commitment of $40.0 million for a period of two years (MSR Financing). The Borrower is able to borrow up to 55% of the fair market value of Fannie Mae pledged servicing rights. Upon the two year anniversary of the Agreement, any amounts outstanding will automatically be converted into a term loan due and payable in full on the one year anniversary of the conversion date. Interest payments are payable monthly and accrue interest at the rate per annum equal to one-month LIBOR plus 4.0% (4.8% at March 31, 2017) and the balance of the obligation may be prepaid at any time. The Borrower initially drew down $35.1 million, and used a portion of the proceeds to pay off the Term Financing (approximately $30.1 million) originally entered into in June 2015 as discussed below. The Borrower also paid the Lender an origination fee of $100 thousand, which is deferred and amortized over the life of the MSR Financing. Term Financing In June 2015, the Company and its subsidiaries (IRES, IMC and Impac Warehouse Lending, Inc. (IWLI), collectively the Borrowers) entered into a Loan Agreement with a lender pursuant to which the Creditor provided to the Borrowers a term loan in the aggregate principal amount of $30.0 million (Term Financing) due and payable on December 19, 2016, which could have been extended to December 18, 2017 at the Creditors’s discretion. In June 2016, the maturity of the Term Financing was extended to June 16, 2017 and the Company paid an additional $100 thousand extension fee, which was deferred and amortized over the life of the Term Financing. Interest on the Term Financing was payable monthly and accrued at a rate of one-month LIBOR plus 8.5% per annum. In February 2017, the proceeds from the MSR Financing were used to pay off the Term Financing. Convertible Notes In January 2016, pursuant to the terms of the $20.0 million Convertible Promissory Notes issued in April 2013 (the Notes), the Company exercised its option to convert the Notes to common stock. The conversion resulted in the Company issuing an aggregate of 1,839,080 shares of common stock in February 2016, at a conversion price of $10.875 per share. As a result of the transaction, the Company converted $20.0 million of debt into equity and paid interest through April 2016. No gain or loss was recorded as a result of the transaction. In May 2015, the Company issued an additional $25.0 million Convertible Promissory Notes (2015 Convertible Notes). The 2015 Convertible Notes mature on or before May 9, 2020 and accrue interest at a rate of 7.5% per annum, to be paid quarterly. The Company had approximately $50 thousand in transaction costs which are deferred and amortized over the life of the 2015 Convertible Notes. Noteholders may convert all or a portion of the outstanding principal amount of the 2015 Convertible 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 (the Conversion Price). The Company has the right to convert the entire outstanding principal of the 2015 Convertible 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 MKT (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. Upon conversion of the 2015 Convertible Notes by the Company, the entire amount of accrued and unpaid interest (and all other amounts owing) under the 2015 Convertible Notes are immediately due and payable. Furthermore, if the conversion of the 2015 Convertible Notes by the Company occurs prior to the third anniversary of the Closing Date, then the entire amount of interest under the 2015 Convertible Notes through the third anniversary is immediately due and payable. To the extent the Company pays any cash dividends on its shares of common stock prior to conversion of the 2015 Convertible Notes, upon conversion of the 2015 Convertible Notes, the Noteholders will also receive such dividends on an as-converted basis of the 2015 Convertible Notes less the amount of interest paid by the Company prior to such dividend. Unless an event of default has occurred and is continuing, each purchaser of the Convertible Notes agrees, for the three years after the Closing Date, to vote all Conversion Shares for each of the Company’s nominees for election to the Company’s board of directors and not to nominate any other candidate for election to the board of directors at any time within such three year period. |
Securitized Mortgage Trusts
Securitized Mortgage Trusts | 3 Months Ended |
Mar. 31, 2017 | |
Securitized Mortgage Trusts | |
Securitized Mortgage Trusts | Note 5.—Securitized Mortgage Trusts Securtized Mortgage Trust Assets Securitized mortgage trust assets, which are recorded at their estimated fair value (FMV), are comprised of the following at March 31, 2017 and December 31, 2016: March 31, December 31, 2017 2016 Securitized mortgage collateral $ 3,903,336 $ 4,021,891 REO 8,340 11,399 Total securitized mortgage trust assets $ 3,911,676 $ 4,033,290 Securitized Mortgage Trust Liabilities Securitized mortgage trust liabilities, which are recorded at their estimated FMV, are comprised of the following at March 31, 2017 and December 31, 2016: March 31, December 31, 2017 2016 Securitized mortgage borrowings $ 3,892,668 $ 4,017,603 Derivative liabilities, securitized trusts — — Total securitized mortgage trust liabilities $ 3,892,668 $ 4,017,603 Changes in fair value of net trust assets, including trust REO losses are comprised of the following for the three months ended March 31, 2017 and 2016: For the Three Months Ended March 31, 2017 2016 Change in fair value of net trust assets, excluding REO $ 4,786 $ 513 Gains (losses) from REO 1,533 (1,140) Change in fair value of net trust assets, including trust REO gains (losses) $ 6,319 $ (627) |
Fair Value of Financial Instrum
Fair Value of Financial Instruments | 3 Months Ended |
Mar. 31, 2017 | |
Fair Value of Financial Instruments | |
Fair Value of Financial Instruments | Note 6.—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 following table presents the estimated fair value of financial instruments included in the consolidated financial statements as of the dates indicated: March 31, 2017 December 31, 2016 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 $ 19,531 $ 19,531 $ — $ — $ 40,096 $ 40,096 $ — $ — Restricted cash 5,956 5,956 — — 5,971 5,971 — — Mortgage loans held-for-sale 434,322 — 434,322 — 388,422 — 388,422 — Finance receivables 37,556 — 37,556 — 62,937 — 62,937 — Mortgage servicing rights 141,586 — — 141,586 131,537 — — 131,537 Derivative assets, lending, net 12,333 — — 12,333 11,169 — — 11,169 Securitized mortgage collateral 3,903,336 — — 3,903,336 4,021,891 — — 4,021,891 Liabilities Warehouse borrowings $ 441,832 $ — $ 441,832 $ — $ 420,573 $ — $ 420,573 $ — MSR financing facility 35,133 — — 35,133 — — — — Term financing — — — — 29,910 — — 29,910 Convertible notes 24,967 — — 24,967 24,965 — — 24,965 Contingent consideration 24,498 — — 24,498 31,072 — — 31,072 Long-term debt 50,044 — — 50,044 47,207 — — 47,207 Securitized mortgage borrowings 3,892,668 — — 3,892,668 4,017,603 — — 4,017,603 Derivative liabilities, lending, net 1,422 — 1,422 — 336 — 336 — 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 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. Refer to Recurring Fair Value Measurements below for a description of the valuation methods used to determine the fair value of investment securities available-for-sale, securitized mortgage collateral and borrowings, derivative assets and liabilities, long-term debt, mortgage servicing rights and mortgage loans held-for-sale. The carrying amount of cash, cash equivalents and restricted cash approximates fair value. Finance receivables carrying amounts approximate fair value due to the short-term nature of the assets and do not present unanticipated interest rate or credit concerns. Warehouse borrowings carrying amounts approximate fair value due to the short-term nature of the liabilities and do not present unanticipated interest rate or credit concerns. Convertible notes are recorded at amortized cost. The estimated fair value is determined using a discounted cash flow model using estimated market rates. MSR financing carrying amount approximates fair value as the underlying facility bears interest at a rate that is periodically adjusted based on a market index. Term financing structured debt had a maturity of less than one year. The term financing was recorded at amortized cost. The carrying amount approximated fair value due to the short-term nature of the liability and did not present unanticipated interest rate or credit concerns. 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 investment securities available-for-sale, mortgage servicing rights, securitized mortgage collateral and borrowings, derivative assets and liabilities (trust and IRLCs), 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 90% and 99% and 92% and 99%, respectively, of total assets and total liabilities measured at estimated fair value at March 31, 2017 and December 31, 2016. Recurring Fair Value Measurements The Company assesses the financial instruments on a quarterly basis to determine the appropriate classification within the fair value hierarchy, as defined by ASC Topic 810. Transfers between fair value classifications occur when there are changes in pricing observability levels. Transfers of financial instruments among the levels occur at the beginning of the reporting period. There were no material transfers between our Level 1 and Level 2 classified instruments during the three months ended March 31, 2017. 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 March 31, 2017 and December 31, 2016, based on the fair value hierarchy: Recurring Fair Value Measurements March 31, 2017 December 31, 2016 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 Assets Mortgage loans held-for-sale $ — $ 434,322 $ — $ — $ 388,422 $ — Derivative assets, lending, net (1) — — 12,333 — — 11,169 Mortgage servicing rights — — 141,586 — — 131,537 Securitized mortgage collateral — — 3,903,336 — — 4,021,891 Total assets at fair value $ — $ 434,322 $ 4,057,255 $ — $ 388,422 $ 4,164,597 Liabilities Securitized mortgage borrowings $ — $ — $ 3,892,668 $ — $ — $ 4,017,603 Long-term debt — — 50,044 — — 47,207 Contingent consideration — — 24,498 — — 31,072 Derivative liabilities, lending, net (1) — 1,422 — — 336 — Total liabilities at fair value $ — $ 1,422 $ 3,967,210 $ — $ 336 $ 4,095,882 (1) At March 31, 2017 and December 31, 2016, derivative assets, lending, net included $12.3 million and $11.2 million, respectively, of IRLCs and is included in other assets in the accompanying consolidated balance sheets. At March 31, 2017 and December 31, 2016, derivative liabilities, lending, net included $1.4 million and $336 thousand, respectively, in Hedging Instruments and is 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 March 31, 2017 and 2016: Level 3 Recurring Fair Value Measurements For the Three Months Ended March 31, 2017 Derivative Investment liabilities, Interest securities Securitized Securitized net, Mortgage rate lock Long- available- mortgage mortgage securitized servicing commitments, term Contingent for-sale collateral borrowings trusts rights net debt consideration Fair value, December 31, 2016 $ — $ 4,021,891 $ (4,017,603) $ — $ 131,537 $ 11,169 $ (47,207) $ (31,072) Total gains (losses) included in earnings: Interest income (1) — 15,484 — — — — — — Interest expense (1) — — (40,695) — — — (340) — Change in fair value — 51,052 (46,266) — (1,122) 1,164 (2,497) (1,384) Total gains (losses) included in earnings — 66,536 (86,961) — (1,122) 1,164 (2,837) (1,384) Transfers in and/or out of Level 3 — — — — — — — — Purchases, issuances and settlements: Purchases — — — — — — — — Issuances — — — — 12,066 — — — Settlements — (185,091) 211,896 — (895) — — 7,958 Fair value, March 31, 2017 $ — $ 3,903,336 $ (3,892,668) $ — $ 141,586 $ 12,333 $ (50,044) $ (24,498) Unrealized gains (losses) still held (2) $ — $ (825,087) $ 2,977,521 $ — $ 141,586 $ 12,333 $ 20,719 $ (24,498) (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 three months ended March 31, 2017. The difference between accretion of interest income and expense and the amounts of interest income and expense recognized in the consolidated statements of operations is primarily from contractual interest on the securitized mortgage collateral and borrowings. (2) Represents the amount of unrealized gains (losses) relating to assets and liabilities classified as Level 3 that are still held and reflected in the fair values at March 31, 2017. Level 3 Recurring Fair Value Measurements For the Three Months Ended March 31, 2016 Derivative Investment liabilities, Interest securities Securitized Securitized net, Mortgage rate lock Long- available- mortgage mortgage securitized servicing commitments, term Contingent for-sale collateral borrowings trusts rights net debt consideration Fair value, December 31, 2015 $ 26 $ 4,574,919 $ (4,578,657) $ (1,669) $ 36,425 $ 9,184 $ (31,898) $ (48,079) Total gains (losses) included in earnings: Interest income (1) 1 17,642 — — — — — — Interest expense (1) — — (51,046) — — — (243) — Change in fair value 8 (86,362) 86,960 (93) (10,920) 6,291 — (4,836) Total gains (losses) included in earnings 9 (68,720) 35,914 (93) (10,920) 6,291 (243) (4,836) Transfers in and/or out of Level 3 — — — — — — — — Purchases, issuances and settlements: Purchases — — — — — — — — Issuances — — — — 18,822 — — — Settlements (12) (141,641) 174,387 793 — — — 4,143 Fair value, March 31, 2016 $ 23 $ 4,364,558 $ (4,368,356) $ (969) $ 44,327 $ 15,475 $ (32,141) $ (48,772) Unrealized gains (losses) still held (2) $ 23 $ (1,182,800) $ 3,326,935 $ (835) $ 44,327 $ 15,475 $ 38,622 $ (48,772) (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 $2.3 million for the three months ended March 31, 2016. The difference between accretion of interest income and expense and the amounts of interest income and expense recognized in the consolidated statements of operations is primarily from contractual interest on the securitized mortgage collateral and borrowings. (2) Represents the amount of unrealized gains (losses) relating to assets and liabilities classified as Level 3 that are still held and reflected in the fair values at March 31, 2016. 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 March 31, 2017: 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 $ 3,903,336 DCF Prepayment rates 2.5 - 30.5 % 7.2 % Securitized mortgage borrowings (3,892,668) Default rates 0.03 - 10.0 % 1.7 % Loss severities 9.6 - 98.3 % 41.9 % Discount rates 4.0 - 25.0 % 5.5 % Other assets and liabilities Mortgage servicing rights $ 141,586 DCF Discount rate 9.0 - 14.0 % 9.5 % Prepayment rates 8.0 - 86.6 % 9.3 % Derivative assets - IRLCs, net 12,333 Market pricing Pull-through rate 24.1 - 99.9 % 78.6 % Long-term debt (50,044) DCF Discount rate 9.8 % 9.8 % Contingent consideration (24,498) DCF Discount rate 13.5 % 13.5 % Margins 2.3 - 2.7 % 2.5 % Probability of outcomes (1) 25.0 - 50.0 % 33.2 % DCF = Discounted Cash Flow (1) Probability of outcomes is the probability of projected CCM earnings over the earn-out period based upon three scenarios (base, low and high). 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 in one-month LIBOR would result in a significantly higher estimated fair value for derivative liabilities, net, securitized trusts. 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 earnings (loss) for the three months ended March 31, 2017 and 2016: Recurring Fair Value Measurements Changes in Fair Value Included in Net Earnings For the Three Months Ended March 31, 2017 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 Investment securities available-for-sale $ — $ — $ — $ — $ — $ — $ — Securitized mortgage collateral 15,484 — 51,052 — — — 66,536 Securitized mortgage borrowings — (40,695) (46,266) — — — (86,961) Derivative liabilities, net, securitized trusts — — — — — — — Long-term debt — (340) — (2,497) — — (2,837) Mortgage servicing rights (2) — — — — (1,122) — (1,122) Contingent consideration — — — — (1,384) — (1,384) Mortgage loans held-for-sale — — — — — 5,203 5,203 Derivative assets — IRLCs — — — — — 1,164 1,164 Derivative liabilities — Hedging Instruments — — — — — (1,086) (1,086) Total $ 15,484 $ (41,035) $ 4,786 (3) $ (2,497) $ (2,506) $ 5,281 $ (20,487) (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 loss on mortgage servicing rights, net in the consolidated statements of operations. (3) For the three months ended March 31, 2017, change in the fair value of net trust assets, excluding REO was $4.8 million. Recurring Fair Value Measurements Changes in Fair Value Included in Net Earnings For the Three Months Ended March 31, 2016 Change in Fair Value of Interest Interest Net Trust long-term Other Gain on sale Income (1) Expense (1) Assets Debt Revenue of loans, net Total Investment securities available-for-sale $ 1 $ — $ 8 $ — $ — $ — $ 9 Securitized mortgage collateral 17,642 — (86,362) — — — (68,720) Securitized mortgage borrowings — (51,046) 86,960 — — — 35,914 Derivative liabilities, net, securitized trusts — — (93) (2) — — — (93) Long-term debt — (243) — — — — (243) Mortgage servicing rights (3) — — — — (10,920) — (10,920) Contingent consideration — — — — (4,836) — (4,836) Mortgage loans held-for-sale — — — — — 11,185 11,185 Derivative assets — IRLCs — — — — — 6,291 6,291 Derivative liabilities — Hedging Instruments — — — — — (1,114) (1,114) Total $ 17,643 $ (51,289) $ 513 (4) $ — $ (15,756) $ 16,362 $ (32,527) (1) Amounts primarily represent accretion to recognize interest income and interest expense using effective yields based on estimated fair values for trust assets and trust liabilities. (2) Included in this amount is $606 thousand in change in the fair value of derivative instruments, offset by $744 thousand in cash payments from the securitization trusts for the three months ended March 31, 2016. (3) Included in loss on mortgage servicing rights, net in the consolidated statements of operations. (4) For the three months ended March 31, 2016, change in the fair value of net trust assets, excluding REO was $513 thousand. Excluded from the $1.3 million change in fair value of net trust assets, excluding REO, in the accompanying consolidated statement of cash flows is $744 thousand in cash payments from the securitization trusts related to the Company’s net derivative liabilities. The following is a description of the measurement techniques for items recorded at estimated fair value on a recurring basis. Investment securities available-for-sale —Investment securities available-for-sale are carried at fair value. The investment securities consist primarily of non-investment grade mortgage-backed securities. The fair value of the investment securities is measured based upon the Company’s expectation of inputs that other market participants would use. Such assumptions include judgments about the underlying collateral, prepayment speeds, future credit losses, forward interest rates and certain other factors. Given the lack of observable market data as of March 31, 2017 and December 31, 2016 relating to these securities, the estimated fair value of the investment securities available-for-sale was measured using significant internal expectations of market participants’ assumptions. Investment securities available-for-sale is considered a Level 3 measurement at March 31, 2016. Mortgage servicing rights —The Company elected to carry its mortgage servicing rights arising from its mortgage loan origination operation at estimated fair value. The fair value of mortgage servicing rights is based upon market prices for similar instruments and 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. Mortgage servicing rights are considered a Level 3 measurement at March 31, 2017. Mortgage loans held-for-sale —The Company elected to carry its mortgage loans held-for-sale 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 loans held-for-sale as a Level 2 measurement at March 31, 2017. Securitized mortgage collateral —The Company elected to carry its securitized mortgage collateral at fair value. These assets consist primarily of non-conforming mortgage loans securitized between 2002 and 2007. Fair value measurements are based on the Company’s internal models used to compute the net present value of future expected cash flows with observable market participant assumptions, where available. The Company’s assumptions include its expectations of inputs that other market participants would use in pricing these assets. These assumptions include judgments about the underlying collateral, prepayment speeds, estimated future credit losses, forward interest rates, investor yield requirements and certain other factors. As of March 31, 2017, securitized mortgage collateral had UPB of $4.7 billion, compared to an estimated fair value on the Company’s balance sheet of $3.9 billion. The aggregate UPB exceeds the fair value by $0.8 billion at March 31, 2017. As of March 31, 2017, the UPB of loans 90 days or more past due was $0.7 billion compared to an estimated fair value of $0.2 billion. The aggregate UPB of loans 90 days or more past due exceed the fair value by $0.5 billion at March 31, 2017. Securitized mortgage collateral is considered a Level 3 measurement at March 31, 2017. Securitized mortgage borrowings —The Company elected to carry its securitized mortgage borrowings at fair value. These borrowings consist of individual tranches of bonds issued by securitization trusts and are primarily backed by non-conforming mortgage loans. Fair value measurements include the Company’s judgments about the underlying collateral and assumptions such as prepayment speeds, estimated future credit losses, forward interest rates, investor yield requirements and certain other factors. As of March 31, 2017, securitized mortgage borrowings had an outstanding principal balance of $4.7 billion, net of $2.2 billion in bond losses, compared to an estimated fair value of $3.9 billion. The aggregate outstanding principal balance exceeds the fair value by $0.8 billion at March 31, 2017. Securitized mortgage borrowings are considered a Level 3 measurement at March 31, 2017. Contingent consideration— Contingent consideration is applicable to the acquisition of CCM and is estimated and recorded at fair value at the acquisition date as part of purchase price consideration. Additionally, each reporting period, the Company estimates the change in fair value of the contingent consideration and any change in fair value is recognized in the Company’s consolidated statements of operations if it is determined to not be a measurement period adjustment. The estimate of the fair value of contingent consideration requires significant judgment and assumptions to be made about future operating results, discount rates and probabilities of various projected operating result scenarios. During the three months ended March 31, 2017, the change in fair value of contingent consideration was related to an increase in projected volumes and earnings of CCM. Future revisions to these assumptions could materially change the estimated fair value of contingent consideration and materially affect the Company’s financial results. Contingent consideration is considered a Level 3 measurement at March 31, 2017. Long-term debt —The Company elected to carry all of its long-term debt (consisting of trust preferred securities and junior subordinated notes) at fair value. These securities are measured based upon an analysis prepared by management, which considered the Company’s own credit risk, including settlements with trust preferred debt holders and discounted cash flow analysis. As of March 31, 2017, long-term debt had UPB of $70.5 million compared to an estimated fair value of $50.0 million. The aggregate UPB exceeds the fair value by $20.5 million at March 31, 2017. The long-term debt is considered a Level 3 measurement at March 31, 2017. Derivative assets and liabilities, Securitized trusts —For non-exchange traded contracts, fair value was based on the amounts that would be required to settle the positions with the related counterparties as of the valuation date. Valuations of derivative assets and liabilities were based on observable market inputs, if available. To the extent observable market inputs were not available, fair values measurements include the Company’s judgments about future cash flows, forward interest rates and certain other factors, including counterparty risk. Additionally, these values also took into account the Company’s own credit standing, to the extent applicable; thus, the valuation of the derivative instrument included the estimated value of the net credit differential between the counterparties to the derivative contract. As of March 31, 2017, there were no derivative assets or liabilities in the securitized trusts. These derivatives were included in the consolidated securitization trusts, which are nonrecourse to the Company, and thus the economic risk from these derivatives was limited to the Company’s residual interests in the securitization trusts. Derivative assets and liabilities, securitized trusts were considered a Level 3 measurement in 2016. Derivative assets and liabilities, Lending —The Company’s derivative assets and liabilities are carried at fair value as required by GAAP and are accounted for as free standing derivatives. The 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 TBA MBS) used to hedge the fair value changes associated with changes in interest rates relating to its mortgage lending originations as well as mortgage servicing rights. 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 easily 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 March 31, 2017. 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 March 31, 2017. The following table includes information for the derivative assets and liabilities, lending for the periods presented: Total Gains (Losses) (1) Notional Amount For the Three Months Ended March 31, December 31, March 31, 2017 2016 2017 2016 Derivative – IRLC's $ 590,952 $ 558,538 $ 1,164 $ 6,291 Derivative – TBA MBS 409,281 492,157 (1,184) (9,803) (1) Amounts included in gain on sale of loans, net within the accompanying consolidated statements of operations. Nonrecurring Fair Value Measurements The Company is required to measure certain assets and liabilities at estimated fair value from time to time. These fair value measurements typically result from the application of specific accounting pronouncements under GAAP. The fair value measurements are considered nonrecurring fair value measurements under FASB ASC 820-10. The following tables present financial and non-financial assets and liabilities measured using nonrecurring fair value measurements at March 31, 2017 and 2016, respectively: Nonrecurring Fair Value Measurements March 31, 2017 March 31, 2016 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 REO (1) $ — $ 6,342 $ — $ — $ 4,391 $ — Deferred charge — — 8,409 — — 9,539 (1) Balance represents REO at March 31, 2017 which has been impaired subsequent to foreclosure. Total Gains (Losses) (1) For the Three Months Ended March 31, 2017 2016 REO (2) $ 1,533 $ (1,140) Deferred charge (3) (277) (425) (1) Total losses reflect losses from all nonrecurring measurements during the period. (2) For the three months ended March 31, 2017 and 2016, the Company recorded $1.5 million and $1.1 million, respectively, in gains (losses) related to changes in the net realizable value (NRV) of properties. 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. 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. (3) For March 31, 2017 and 2016, the Company recorded $277 thousand and $425 thousand in income tax expense resulting from impairment write-downs of deferred charge based on changes in estimated cash flows and lives of the related mortgages retained in the securitized mortgage collateral. Real estate owned —REO consists of residential real estate acquired in satisfaction of loans. Upon foreclosure, REO is adjusted to the estimated fair value of the residential real estate less estimated selling and holding costs, offset by expected contractual mortgage insurance proceeds to be received, if any. Subsequently, REO is recorded at the lower of carrying value or estimated fair value less costs to sell. REO balance representing REOs which have been impaired subsequent to foreclosure are subject to nonrecurring fair value measurement and included in the nonrecurring fair value measurements tables. Fair values of REO are generally based on observable market inputs, and considered Level 2 measurements at March 31, 2017. Deferred charge— Deferred charge represents the deferral of income tax expense on inter-company profits that resulted from the sale of mortgages from taxable subsidiaries to IMH in prior years. The Company evaluates the deferred charge for impairment quarterly using internal estimates of estimated cash flows and lives of the related mortgages retained in the securitized mortgage collateral. If the deferred charge is determined to be impaired, it is recognized as a component of income tax expense. For the three months ended March 31, 2017, the Company recorded $277 thousand in income tax expense resulting from deferred charge impairment write-downs based on changes in estimated fair value of securitized mortgage collateral. Deferred charge is considered a Level 3 measurement at March 31, 2017. |
Income Taxes
Income Taxes | 3 Months Ended |
Mar. 31, 2017 | |
Income Taxes | |
Income Taxes | Note 7.—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, but temporary differences are not. The estimated annual effective tax rate represents the best 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. The Company recorded income tax expense of $426 thousand and $435 thousand for the the three months ended March 31, 2017 and 2016, respectively, primarily the result of amortization of the deferred charge, federal alternative minimum tax (AMT), and state income taxes from states where the Company does not have net operating loss carryforwards or state minimum taxes, including AMT. The deferred charge represents the deferral of income tax expense on inter-company profits that resulted from the sale of mortgages from taxable subsidiaries to IMH prior to 2008. The deferred charge is amortized and/or impaired, which does not result in any tax liability to be paid. The deferred charge is included in other assets in the accompanying consolidated balance sheets and is amortized as a component of income tax expense in the accompanying consolidated statements of operations. |
Reconciliation of Earnings Per
Reconciliation of Earnings Per Share | 3 Months Ended |
Mar. 31, 2017 | |
Reconciliation of Earnings Per Share | |
Reconciliation of Earnings Per Share | Note 8.—Reconciliation of Earnings Per Share Basic net earnings per share is computed by dividing net earnings available to common stockholders (numerator) by the weighted average number of vested, common shares outstanding during the period (denominator). Diluted net earnings per share is computed on the basis of the weighted average number of shares of common stock outstanding plus the effect of dilutive potential common shares outstanding during the period using the if-converted method. Dilutive potential common shares include shares issuable upon conversion of Convertible Notes, dilutive effect of outstanding stock options and deferred stock units (DSUs). For the Three Months Ended March 31, 2017 2016 Numerator for basic earnings per share: Net earnings $ 4,627 $ 981 Numerator for diluted earnings per share: Net earnings $ 4,627 $ 981 Interest expense attributable to convertible notes 454 — Net earnings plus interest expense attributable to convertible notes $ 5,081 $ 981 Denominator for basic earnings per share (1): Basic weighted average common shares outstanding during the period 16,025 11,380 Denominator for diluted earnings per share (1): Basic weighted average common shares outstanding during the period 16,025 11,380 Net effect of dilutive convertible notes 1,163 — Net effect of dilutive stock options and DSU’s 234 288 Diluted weighted average common shares 17,422 11,668 Net earnings per common share: Basic $ 0.29 $ 0.09 Diluted $ 0.29 $ 0.08 (1) Number of shares presented in thousands. For the three months ended March 31, 2017 there were 838 thousand anti-dilutive stock options outstanding. There were 345 thousand anti-dilutive stock options outstanding for the three months ended March 31, 2016. |
Segment Reporting
Segment Reporting | 3 Months Ended |
Mar. 31, 2017 | |
Segment Reporting | |
Segment Reporting | Note 9.—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 March 31, 2017: Lending Services Portfolio and other Consolidated Gain on sale of loans, net $ 37,319 $ — $ — $ — $ 37,319 Real estate services fees, net — 1,633 — — 1,633 Servicing income, net 7,320 — — — 7,320 Loss on mortgage servicing rights, net (977) — — — (977) Other revenue 14 — 61 (28) 47 Accretion of contingent consideration (845) — — — (845) Change in fair value of contingent consideration (539) — — — (539) Change in fair value of long-term debt — — (2,497) — (2,497) Other (expense) income (37,678) (995) 7,124 (4,859) (36,408) Net earnings (loss) before income taxes $ 4,614 $ 638 $ 4,688 $ (4,887) 5,053 Income tax expense 426 Net earnings $ 4,627 Statement of Operations Items for the Mortgage Real Estate Long-term Corporate Three Months Ended March 31, 2016: Lending Services Portfolio and other Consolidated Gain on sale of loans, net $ 53,869 $ — $ — $ — $ 53,869 Real estate services fees, net — 2,100 — — 2,100 Servicing income, net 2,088 — — — 2,088 Loss on mortgage servicing rights, net (10,910) — — — (10,910) Other revenue 49 — 67 36 152 Accretion of contingent consideration (1,895) — — — (1,895) Change in fair value of contingent consideration (2,942) — — — (2,942) Other (expense) income (37,140) (1,566) 639 (2,979) (41,046) Net earnings (loss) before income taxes $ 3,119 $ 534 $ 706 $ (2,943) $ 1,416 Income tax expense 435 Net earnings $ 981 Long-term Mortgage Real Estate Mortgage Corporate Balance Sheet Items as of: Lending Services Portfolio and other Consolidated Total Assets at March 31, 2017 (1) $ 792,935 $ 3,156 $ 3,920,349 $ 34,918 $ 4,751,358 Total Assets at December 31, 2016 (1) $ 762,924 $ 5,451 $ 4,042,273 $ 53,086 $ 4,863,734 (1) All segment asset balances exclude intercompany balances. |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2017 | |
Commitments and Contingencies | |
Commitments and Contingencies | Note 10.—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: On November 22, 2016, an action was filed in the United States District Court, Southern District of New York entitled Specialized Loan Servicing LLC v. Impac Mortgage Corp. d/b/a CashCall Mortgage. In the action the Plaintiff contends they purchased MSRs from IMC under a contract that imposed a restriction on IMCs ability to directly solicit the same borrowers for refinancing of the loan. The Plaintiff alleges IMC breached that provision and it suffered damages as a result. The action seeks damages, attorney’s fees, interest and an injunction against further direct solicitations. The parties have notified the court that they have reached a tentative settlement and the court dismissed the case with prejudice, with leave to be reopened if the settlement is not fully effectuated within 30 days. 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 Plaintiff contends IMC 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. The Company is a party to other litigation and claims which are normal in the course of our operations. While the results of such other litigation and claims cannot be predicted with certainty, we believe the final outcome of such matters will not have a material adverse effect on our financial condition or results of operations. The Company believes that it has meritorious defenses to the 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, 2016 for a description of 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. The following table summarizes the repurchase reserve activity, within other liabilities on the consolidated balance sheets, related to previously sold loans for the three months ended March 31, 2017 and year ended December 31, 2016: March 31, December 31, 2017 2016 Beginning balance $ 5,408 $ 5,236 (Recovery) provision for repurchases (1,666) 379 Settlements (198) (207) Total repurchase reserve $ 3,544 $ 5,408 Short-Term Loan Commitments The Company uses a portion of its warehouse borrowing capacity to provide secured short-term revolving financing to small and medium-size mortgage originators to finance mortgage loans from the closing of the mortgage loans until sold to investors (Finance Receivables). As of March 31, 2017, the warehouse lending operations had warehouse lines to non-affiliated customers totaling $151.0 million, of which there was an outstanding balance of $37.6 million in finance receivables compared to $62.9 million as of December 31, 2016. The finance receivables are generally secured by residential mortgage loans as well as personal guarantees. 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 6. — Fair value of Financial Instruments for more information. |
Equity and Share Based Payments
Equity and Share Based Payments | 3 Months Ended |
Mar. 31, 2017 | |
Equity and Share Based Payments | |
Share Based Payments and Employee Benefit Plans | Note 11.—Equity and Share Based Payments Equity As further described in Note 4. – Debt, Convertible Notes, in January 2016, the Company elected to exercise its option to convert the Notes to common stock. The conversion resulted in the Company issuing an aggregate of 1,839,080 shares of common stock at a conversion price of $10.875 per share. Share Based Payments The following table summarizes activity, pricing and other information for the Company’s stock options for the three months ended March 31, 2017: Weighted- Average Number of Exercise Shares Price Options outstanding at beginning of year 1,391,327 $ 13.37 Options granted — — Options exercised (5,500) 5.39 Options forfeited/cancelled (2,583) 16.98 Options outstanding at end of period 1,383,244 13.39 Options exercisable at end of period 711,655 $ 10.29 As of March 31, 2017, there was approximately $3.5 million 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 1.8 years. There were no options granted during the three months ended March 31, 2017 and 2016, respectively. The following table summarizes activity, pricing and other information for the Company’s DSU’s, also referred to as deferred stock units as the issuance of the stock is deferred until termination of service, for the three months ended March 31, 2017: Weighted- Average Number of Grant Date Shares Fair Value DSU’s outstanding at beginning of year 85,750 $ 9.83 DSU’s granted — — DSU’s exercised — — DSU’s forfeited/cancelled — — DSU’s outstanding at end of period 85,750 $ 9.83 As of March 31, 2017, there was approximately $67 thousand of total unrecognized compensation cost related to the DSU compensation arrangements granted under the plan. That cost is expected to be recognized over a weighted average period of 2.3 years. |
Subsequent Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2017 | |
Subsequent Events | |
Subsequent Events | Note 12.—Subsequent Events On April 18, 2017, the Company and certain purchasers entered into a securities purchase agreement, pursuant to which the Company sold $56.0 million worth of shares of its common stock in a registered direct offering (Offering) at a price of $12.66 per share. In the Offering, the Company issued an aggregate of 4,423,381 shares of common stock. The net proceeds to the Company from the Offering were approximately $55.4 million after deducting the financial advisory fee and estimated aggregate offering expenses payable by the Company. The Company intends to use the net proceeds from the Offering for general corporate purposes, including general administrative expenses and working capital and capital expenditures, development costs, strategic investments or possible acquisitions, or repayment of debt. On May 5, 2017, the Company and certain investors entered into an exchange agreement pursuant to which the Company agreed to issue 412,264 shares of its common stock in exchange for trust preferred securities with an aggregate liquidation amount of $8.5 million issued by Impac Capital Trust #4. Accrued and unpaid interest on the trust preferred securities will be paid in cash in the aggregate amount of approximately $13 thousand. The interest rate on the trust preferred securities is a variable rate of three-month LIBOR plus 3.75% per annum. At December 31, 2016, the interest rate was 4.75%. Subsequent events have been evaluated through the date of this filing. |
Summary of Business and Finan19
Summary of Business and Financial Statement Presentation (Policies) | 3 Months Ended |
Mar. 31, 2017 | |
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 three months ended March 31, 2017 are not necessarily indicative of the results that may be expected for the year ending December 31, 2017. 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, 2016, filed with the United States Securities and Exchange Commission (SEC). 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, contingencies, the estimated obligation of repurchase liabilities related to sold loans, the valuation of long-term debt, mortgage servicing rights, mortgage loans held-for-sale and derivative instruments, including interest rate lock commitments (IRLC). Actual results could differ from those estimates and assumptions. |
Recent Accounting Pronouncements | Recent Accounting Pronouncements In November 2015, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2015-17, " Income Taxes (Topic 740): Balance Sheet Classification of Deferred Taxes ". The amendments in ASU 2015-17 eliminates the current requirement for organizations to present deferred tax liabilities and assets as current and noncurrent in a classified balance sheet. Instead, organizations will be required to classify all deferred tax assets and liabilities as noncurrent. The amendments in this ASU are effective for public business entities for financial statements issued for annual periods beginning after December 15, 2016, and interim periods within those annual periods. The amendments may be applied prospectively to all deferred tax liabilities and assets or retrospectively to all periods presented. The Company adopted this change prospectively on January 1, 2017 and the adoption of this ASU did not have a material impact on the Company’s consolidated financial statements. In March 2016, the FASB issued ASU 2016-09, “ Improvements to Employee Share-Based Payment Accounting ". ASU 2016-09 simplifies several aspects of the accounting for share-based payment transactions, including the income tax consequences, classification of awards as either equity or liabilities and classification on the statement of cash flows. This ASU is effective for fiscal years, and interim periods within those years, beginning after December 15, 2016. The Company adopted this change prospectively on January 1, 2017 and did not adjust prior periods. The adoption of this ASU did not have a material impact on the Company’s consolidated financial statements. In August 2016, the FASB issued ASU No. 2016-15, “Statement of Cash Flows (Topic 230): Classification of Certain Cash Receipts and Cash Payments” . The update amends the guidance in Accounting Standards Codification 230, Statement of Cash Flows , and clarifies how entities should classify certain cash receipts and cash payments on the statement of cash flows with the objective of reducing the existing diversity in practice related to eight specific cash flow issues. The amendments in this update are effective for annual periods beginning after December 15, 2017, and interim periods within those fiscal years. Early adoption is permitted. The Company does not expect the adoption of this ASU to have a material impact on its consolidated financial statements. |
Mortgage Loans Held-for-Sale (T
Mortgage Loans Held-for-Sale (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
Mortgage Loans Held-for-Sale | |
Summary of the unpaid principal balance (UPB ) of mortgage loans held-for-sale by type | March 31, December 31, 2017 2016 Government (1) $ 153,905 $ 146,305 Conventional (2) 148,653 168,581 Other (3) 115,726 62,701 Fair value adjustment (4) 16,038 10,835 Total mortgage loans held for sale $ 434,322 $ 388,422 (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 Federal National Mortgage Association (Fannie Mae or FNMA) and Federal Home Loan Mortgage Corporation (Freddie Mac or FHLMC). (3) Includes NonQM and Jumbo loans. (4) Changes in fair value are included in gain on sale of loans, net in the accompanying consolidated statements of operations. |
Schedule of gain on loans held-for-sale (LHFS) | For the Three Months Ended March 31, 2017 2016 Gain on sale of mortgage loans $ 38,240 $ 59,212 Premium from servicing retained loan sales 12,066 18,822 Unrealized (losses) gains from derivative financial instruments (1,145) 4,945 Realized gains (losses) from derivative financial instruments 1,125 (8,457) Mark to market gain on LHFS 5,203 11,185 Direct origination expenses, net (19,836) (31,459) Recovery (provision) for repurchases 1,666 (379) Total gain on sale of loans, net $ 37,319 $ 53,869 |
Mortgage Servicing Rights (Tabl
Mortgage Servicing Rights (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
Mortgage Servicing Rights | |
Schedule of hypothetical changes in the fair values of MSRs | March 31, December 31, Mortgage Servicing Rights Sensitivity Analysis 2017 2016 Fair value of MSRs $ 141,586 $ 131,537 Prepayment Speed: Decrease in fair value from 10% adverse change (2,278) (4,956) Decrease in fair value from 20% adverse change (4,818) (9,593) Decrease in fair value from 30% adverse change (7,558) (13,940) Discount Rate: Decrease in fair value from 10% adverse change (5,301) (4,927) Decrease in fair value from 20% adverse change (10,232) (9,511) Decrease in fair value from 30% adverse change (14,829) (13,786) |
Schedule of Loss on mortgage servicing rights | For the Three Months Ended March 31, 2017 2016 Change in fair value of mortgage servicing rights $ (1,122) $ (10,920) Loss on sale of mortgage servicing rights (414) (620) Realized and unrealized gains from hedging instruments 559 630 Loss on mortgage servicing rights, net $ (977) $ (10,910) |
Schedule of components of servicing income | For the Three Months Ended March 31, 2017 2016 Contractual servicing fees $ 8,366 $ 2,633 Late and ancillary fees 85 34 Subservicing and other costs (1,131) (579) Servicing income, net $ 7,320 $ 2,088 |
Mortgage servicing rights | |
Mortgage Servicing Rights | |
Schedule of the outstanding loans serviced by entity | March 31, December 31, 2017 2016 Government insured $ 1,737,753 $ 1,359,569 Conventional (1) 11,501,180 10,815,998 NonQM 2,975 175,955 Total loans serviced $ 13,241,908 $ 12,351,522 (1) As of March 31, 2017, $6.5 billion of FNMA Conventional servicing rights have been pledged as collateral and subject to an acknowledgement agreement as part of the MSR Financing. (See Note 4. — Debt – MSR Financing.) |
Debt (Tables)
Debt (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
Debt | |
Schedule of information on warehouse borrowings | Maximum Balance Outstanding At Borrowing March 31, December 31, Capacity 2017 2016 Maturity Date Short-term borrowings: Repurchase agreement 1 $ 150,000 $ 63,379 $ 106,609 June 16, 2017 Repurchase agreement 2 25,000 12,493 44,761 May 28, 2017 Repurchase agreement 3 (1) 225,000 168,188 125,320 December 22, 2017 Repurchase agreement 4 (2) 250,000 51,708 52,067 February 27, 2018 Repurchase agreement 5 (3) 100,000 88,212 56,655 March 31, 2018 Repurchase agreement 6 200,000 57,852 35,161 June 30, 2017 Total warehouse borrowings $ 950,000 $ 441,832 $ 420,573 (1) As of March 31, 2017 and December 31, 2016, $37.6 million and $62.9 million, respectively, are attributable to finance receivables made to the Company’s warehouse customers. (2) In February 2017, the lender granted the Company an increase in the maximum borrowing capacity to $250.0 million and extended the maturity date to February 27, 2018. (3) In March 2017, the maturity date of the line was extended to March 31, 2018. |
Securitized Mortgage Trusts (Ta
Securitized Mortgage Trusts (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
Securitized Mortgage Trusts | |
Schedule of trust assets | March 31, December 31, 2017 2016 Securitized mortgage collateral $ 3,903,336 $ 4,021,891 REO 8,340 11,399 Total securitized mortgage trust assets $ 3,911,676 $ 4,033,290 |
Schedule of trust liabilities | March 31, December 31, 2017 2016 Securitized mortgage borrowings $ 3,892,668 $ 4,017,603 Derivative liabilities, securitized trusts — — Total securitized mortgage trust liabilities $ 3,892,668 $ 4,017,603 |
Schedule of changes in fair value of net trust assets, including trust REO losses | For the Three Months Ended March 31, 2017 2016 Change in fair value of net trust assets, excluding REO $ 4,786 $ 513 Gains (losses) from REO 1,533 (1,140) Change in fair value of net trust assets, including trust REO gains (losses) $ 6,319 $ (627) |
Fair Value of Financial Instr24
Fair Value of Financial Instruments (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
Fair Value of Financial Instruments | |
Schedule of estimated fair value of financial instruments included in consolidated financial statements | March 31, 2017 December 31, 2016 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 $ 19,531 $ 19,531 $ — $ — $ 40,096 $ 40,096 $ — $ — Restricted cash 5,956 5,956 — — 5,971 5,971 — — Mortgage loans held-for-sale 434,322 — 434,322 — 388,422 — 388,422 — Finance receivables 37,556 — 37,556 — 62,937 — 62,937 — Mortgage servicing rights 141,586 — — 141,586 131,537 — — 131,537 Derivative assets, lending, net 12,333 — — 12,333 11,169 — — 11,169 Securitized mortgage collateral 3,903,336 — — 3,903,336 4,021,891 — — 4,021,891 Liabilities Warehouse borrowings $ 441,832 $ — $ 441,832 $ — $ 420,573 $ — $ 420,573 $ — MSR financing facility 35,133 — — 35,133 — — — — Term financing — — — — 29,910 — — 29,910 Convertible notes 24,967 — — 24,967 24,965 — — 24,965 Contingent consideration 24,498 — — 24,498 31,072 — — 31,072 Long-term debt 50,044 — — 50,044 47,207 — — 47,207 Securitized mortgage borrowings 3,892,668 — — 3,892,668 4,017,603 — — 4,017,603 Derivative liabilities, lending, net 1,422 — 1,422 — 336 — 336 — |
Schedule of assets and liabilities that are measured at estimated fair value on recurring basis | Recurring Fair Value Measurements March 31, 2017 December 31, 2016 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 Assets Mortgage loans held-for-sale $ — $ 434,322 $ — $ — $ 388,422 $ — Derivative assets, lending, net (1) — — 12,333 — — 11,169 Mortgage servicing rights — — 141,586 — — 131,537 Securitized mortgage collateral — — 3,903,336 — — 4,021,891 Total assets at fair value $ — $ 434,322 $ 4,057,255 $ — $ 388,422 $ 4,164,597 Liabilities Securitized mortgage borrowings $ — $ — $ 3,892,668 $ — $ — $ 4,017,603 Long-term debt — — 50,044 — — 47,207 Contingent consideration — — 24,498 — — 31,072 Derivative liabilities, lending, net (1) — 1,422 — — 336 — Total liabilities at fair value $ — $ 1,422 $ 3,967,210 $ — $ 336 $ 4,095,882 (1) At March 31, 2017 and December 31, 2016, derivative assets, lending, net included $12.3 million and $11.2 million, respectively, of IRLCs and is included in other assets in the accompanying consolidated balance sheets. At March 31, 2017 and December 31, 2016, derivative liabilities, lending, net included $1.4 million and $336 thousand, respectively, in Hedging Instruments and is 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) | 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 March 31, 2017 and 2016: Level 3 Recurring Fair Value Measurements For the Three Months Ended March 31, 2017 Derivative Investment liabilities, Interest securities Securitized Securitized net, Mortgage rate lock Long- available- mortgage mortgage securitized servicing commitments, term Contingent for-sale collateral borrowings trusts rights net debt consideration Fair value, December 31, 2016 $ — $ 4,021,891 $ (4,017,603) $ — $ 131,537 $ 11,169 $ (47,207) $ (31,072) Total gains (losses) included in earnings: Interest income (1) — 15,484 — — — — — — Interest expense (1) — — (40,695) — — — (340) — Change in fair value — 51,052 (46,266) — (1,122) 1,164 (2,497) (1,384) Total gains (losses) included in earnings — 66,536 (86,961) — (1,122) 1,164 (2,837) (1,384) Transfers in and/or out of Level 3 — — — — — — — — Purchases, issuances and settlements: Purchases — — — — — — — — Issuances — — — — 12,066 — — — Settlements — (185,091) 211,896 — (895) — — 7,958 Fair value, March 31, 2017 $ — $ 3,903,336 $ (3,892,668) $ — $ 141,586 $ 12,333 $ (50,044) $ (24,498) Unrealized gains (losses) still held (2) $ — $ (825,087) $ 2,977,521 $ — $ 141,586 $ 12,333 $ 20,719 $ (24,498) (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 three months ended March 31, 2017. The difference between accretion of interest income and expense and the amounts of interest income and expense recognized in the consolidated statements of operations is primarily from contractual interest on the securitized mortgage collateral and borrowings. (2) Represents the amount of unrealized gains (losses) relating to assets and liabilities classified as Level 3 that are still held and reflected in the fair values at March 31, 2017. Level 3 Recurring Fair Value Measurements For the Three Months Ended March 31, 2016 Derivative Investment liabilities, Interest securities Securitized Securitized net, Mortgage rate lock Long- available- mortgage mortgage securitized servicing commitments, term Contingent for-sale collateral borrowings trusts rights net debt consideration Fair value, December 31, 2015 $ 26 $ 4,574,919 $ (4,578,657) $ (1,669) $ 36,425 $ 9,184 $ (31,898) $ (48,079) Total gains (losses) included in earnings: Interest income (1) 1 17,642 — — — — — — Interest expense (1) — — (51,046) — — — (243) — Change in fair value 8 (86,362) 86,960 (93) (10,920) 6,291 — (4,836) Total gains (losses) included in earnings 9 (68,720) 35,914 (93) (10,920) 6,291 (243) (4,836) Transfers in and/or out of Level 3 — — — — — — — — Purchases, issuances and settlements: Purchases — — — — — — — — Issuances — — — — 18,822 — — — Settlements (12) (141,641) 174,387 793 — — — 4,143 Fair value, March 31, 2016 $ 23 $ 4,364,558 $ (4,368,356) $ (969) $ 44,327 $ 15,475 $ (32,141) $ (48,772) Unrealized gains (losses) still held (2) $ 23 $ (1,182,800) $ 3,326,935 $ (835) $ 44,327 $ 15,475 $ 38,622 $ (48,772) (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 $2.3 million for the three months ended March 31, 2016. The difference between accretion of interest income and expense and the amounts of interest income and expense recognized in the consolidated statements of operations is primarily from contractual interest on the securitized mortgage collateral and borrowings. (2) Represents the amount of unrealized gains (losses) relating to assets and liabilities classified as Level 3 that are still held and reflected in the fair values at March 31, 2016. |
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 | 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 $ 3,903,336 DCF Prepayment rates 2.5 - 30.5 % 7.2 % Securitized mortgage borrowings (3,892,668) Default rates 0.03 - 10.0 % 1.7 % Loss severities 9.6 - 98.3 % 41.9 % Discount rates 4.0 - 25.0 % 5.5 % Other assets and liabilities Mortgage servicing rights $ 141,586 DCF Discount rate 9.0 - 14.0 % 9.5 % Prepayment rates 8.0 - 86.6 % 9.3 % Derivative assets - IRLCs, net 12,333 Market pricing Pull-through rate 24.1 - 99.9 % 78.6 % Long-term debt (50,044) DCF Discount rate 9.8 % 9.8 % Contingent consideration (24,498) DCF Discount rate 13.5 % 13.5 % Margins 2.3 - 2.7 % 2.5 % Probability of outcomes (1) 25.0 - 50.0 % 33.2 % DCF = Discounted Cash Flow (1) Probability of outcomes is the probability of projected CCM earnings over the earn-out period based upon three scenarios (base, low and high). |
Schedule of changes in recurring fair value measurements included in net earnings (loss) | Recurring Fair Value Measurements Changes in Fair Value Included in Net Earnings For the Three Months Ended March 31, 2017 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 Investment securities available-for-sale $ — $ — $ — $ — $ — $ — $ — Securitized mortgage collateral 15,484 — 51,052 — — — 66,536 Securitized mortgage borrowings — (40,695) (46,266) — — — (86,961) Derivative liabilities, net, securitized trusts — — — — — — — Long-term debt — (340) — (2,497) — — (2,837) Mortgage servicing rights (2) — — — — (1,122) — (1,122) Contingent consideration — — — — (1,384) — (1,384) Mortgage loans held-for-sale — — — — — 5,203 5,203 Derivative assets — IRLCs — — — — — 1,164 1,164 Derivative liabilities — Hedging Instruments — — — — — (1,086) (1,086) Total $ 15,484 $ (41,035) $ 4,786 (3) $ (2,497) $ (2,506) $ 5,281 $ (20,487) (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 loss on mortgage servicing rights, net in the consolidated statements of operations. (3) For the three months ended March 31, 2017, change in the fair value of net trust assets, excluding REO was $4.8 million. Recurring Fair Value Measurements Changes in Fair Value Included in Net Earnings For the Three Months Ended March 31, 2016 Change in Fair Value of Interest Interest Net Trust long-term Other Gain on sale Income (1) Expense (1) Assets Debt Revenue of loans, net Total Investment securities available-for-sale $ 1 $ — $ 8 $ — $ — $ — $ 9 Securitized mortgage collateral 17,642 — (86,362) — — — (68,720) Securitized mortgage borrowings — (51,046) 86,960 — — — 35,914 Derivative liabilities, net, securitized trusts — — (93) (2) — — — (93) Long-term debt — (243) — — — — (243) Mortgage servicing rights (3) — — — — (10,920) — (10,920) Contingent consideration — — — — (4,836) — (4,836) Mortgage loans held-for-sale — — — — — 11,185 11,185 Derivative assets — IRLCs — — — — — 6,291 6,291 Derivative liabilities — Hedging Instruments — — — — — (1,114) (1,114) Total $ 17,643 $ (51,289) $ 513 (4) $ — $ (15,756) $ 16,362 $ (32,527) (1) Amounts primarily represent accretion to recognize interest income and interest expense using effective yields based on estimated fair values for trust assets and trust liabilities. (2) Included in this amount is $606 thousand in change in the fair value of derivative instruments, offset by $744 thousand in cash payments from the securitization trusts for the three months ended March 31, 2016. (3) Included in loss on mortgage servicing rights, net in the consolidated statements of operations. (4) For the three months ended March 31, 2016, change in the fair value of net trust assets, excluding REO was $513 thousand. Excluded from the $1.3 million change in fair value of net trust assets, excluding REO, in the accompanying consolidated statement of cash flows is $744 thousand in cash payments from the securitization trusts related to the Company’s net derivative liabilities. |
Schedule of information for derivative assets and liabilities - lending | Total Gains (Losses) (1) Notional Amount For the Three Months Ended March 31, December 31, March 31, 2017 2016 2017 2016 Derivative – IRLC's $ 590,952 $ 558,538 $ 1,164 $ 6,291 Derivative – TBA MBS 409,281 492,157 (1,184) (9,803) (1) Amounts included in gain on sale of loans, net within the accompanying consolidated statements of operations. |
Schedule of financial and non-financial assets and liabilities measured using nonrecurring fair value measurements | Nonrecurring Fair Value Measurements March 31, 2017 March 31, 2016 Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 REO (1) $ — $ 6,342 $ — $ — $ 4,391 $ — Deferred charge — — 8,409 — — 9,539 (1) Balance represents REO at March 31, 2017 which has been impaired subsequent to foreclosure. Total Gains (Losses) (1) For the Three Months Ended March 31, 2017 2016 REO (2) $ 1,533 $ (1,140) Deferred charge (3) (277) (425) (1) Total losses reflect losses from all nonrecurring measurements during the period. (2) For the three months ended March 31, 2017 and 2016, the Company recorded $1.5 million and $1.1 million, respectively, in gains (losses) related to changes in the net realizable value (NRV) of properties. 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. 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. (3) For March 31, 2017 and 2016, the Company recorded $277 thousand and $425 thousand in income tax expense resulting from impairment write-downs of deferred charge based on changes in estimated cash flows and lives of the related mortgages retained in the securitized mortgage collateral. |
Reconciliation of Earnings Pe25
Reconciliation of Earnings Per Share (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
Reconciliation of Earnings Per Share | |
Schedule of computation of basic and diluted earnings per common share | For the Three Months Ended March 31, 2017 2016 Numerator for basic earnings per share: Net earnings $ 4,627 $ 981 Numerator for diluted earnings per share: Net earnings $ 4,627 $ 981 Interest expense attributable to convertible notes 454 — Net earnings plus interest expense attributable to convertible notes $ 5,081 $ 981 Denominator for basic earnings per share (1): Basic weighted average common shares outstanding during the period 16,025 11,380 Denominator for diluted earnings per share (1): Basic weighted average common shares outstanding during the period 16,025 11,380 Net effect of dilutive convertible notes 1,163 — Net effect of dilutive stock options and DSU’s 234 288 Diluted weighted average common shares 17,422 11,668 Net earnings per common share: Basic $ 0.29 $ 0.09 Diluted $ 0.29 $ 0.08 (1) Number of shares presented in thousands. |
Segment Reporting (Tables)
Segment Reporting (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
Segment Reporting | |
Schedule of the selected statement of operations information by reporting segment | Statement of Operations Items for the Mortgage Real Estate Long-term Corporate Three Months Ended March 31, 2017: Lending Services Portfolio and other Consolidated Gain on sale of loans, net $ 37,319 $ — $ — $ — $ 37,319 Real estate services fees, net — 1,633 — — 1,633 Servicing income, net 7,320 — — — 7,320 Loss on mortgage servicing rights, net (977) — — — (977) Other revenue 14 — 61 (28) 47 Accretion of contingent consideration (845) — — — (845) Change in fair value of contingent consideration (539) — — — (539) Change in fair value of long-term debt — — (2,497) — (2,497) Other (expense) income (37,678) (995) 7,124 (4,859) (36,408) Net earnings (loss) before income taxes $ 4,614 $ 638 $ 4,688 $ (4,887) 5,053 Income tax expense 426 Net earnings $ 4,627 Statement of Operations Items for the Mortgage Real Estate Long-term Corporate Three Months Ended March 31, 2016: Lending Services Portfolio and other Consolidated Gain on sale of loans, net $ 53,869 $ — $ — $ — $ 53,869 Real estate services fees, net — 2,100 — — 2,100 Servicing income, net 2,088 — — — 2,088 Loss on mortgage servicing rights, net (10,910) — — — (10,910) Other revenue 49 — 67 36 152 Accretion of contingent consideration (1,895) — — — (1,895) Change in fair value of contingent consideration (2,942) — — — (2,942) Other (expense) income (37,140) (1,566) 639 (2,979) (41,046) Net earnings (loss) before income taxes $ 3,119 $ 534 $ 706 $ (2,943) $ 1,416 Income tax expense 435 Net earnings $ 981 Long-term Mortgage Real Estate Mortgage Corporate Balance Sheet Items as of: Lending Services Portfolio and other Consolidated Total Assets at March 31, 2017 (1) $ 792,935 $ 3,156 $ 3,920,349 $ 34,918 $ 4,751,358 Total Assets at December 31, 2016 (1) $ 762,924 $ 5,451 $ 4,042,273 $ 53,086 $ 4,863,734 All segment asset balances exclude intercompany balances |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
Commitments and Contingencies | |
Schedule of the activity related to the repurchase reserve for previously sold loans | March 31, December 31, 2017 2016 Beginning balance $ 5,408 $ 5,236 (Recovery) provision for repurchases (1,666) 379 Settlements (198) (207) Total repurchase reserve $ 3,544 $ 5,408 |
Equity and Share Based Paymen28
Equity and Share Based Payments (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
Equity and Share Based Payments | |
Summary of activity, pricing and other information for the Company's stock options | The following table summarizes activity, pricing and other information for the Company’s stock options for the three months ended March 31, 2017: Weighted- Average Number of Exercise Shares Price Options outstanding at beginning of year 1,391,327 $ 13.37 Options granted — — Options exercised (5,500) 5.39 Options forfeited/cancelled (2,583) 16.98 Options outstanding at end of period 1,383,244 13.39 Options exercisable at end of period 711,655 $ 10.29 |
Summary of activity, pricing and other information for the Company's (DSU's) | The following table summarizes activity, pricing and other information for the Company’s DSU’s, also referred to as deferred stock units as the issuance of the stock is deferred until termination of service, for the three months ended March 31, 2017: Weighted- Average Number of Grant Date Shares Fair Value DSU’s outstanding at beginning of year 85,750 $ 9.83 DSU’s granted — — DSU’s exercised — — DSU’s forfeited/cancelled — — DSU’s outstanding at end of period 85,750 $ 9.83 |
Mortgage Loans Held-for-Sale (D
Mortgage Loans Held-for-Sale (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2017 | Mar. 31, 2016 | Dec. 31, 2016 | |
Mortgage loans held-for-Sale | |||
Fair value adjustment | $ 16,038 | $ 10,835 | |
Total mortgage loans held-for-sale | 434,322 | 388,422 | |
Gain on LHFS | |||
Premium from servicing retained loan sales | 7,320 | $ 2,088 | |
Recovery (provision) for repurchases | 1,666 | (379) | |
Total gain on sale of loans, net | 31,595 | 38,118 | |
Government | |||
Mortgage loans held-for-Sale | |||
Fair value adjustment | 153,905 | 146,305 | |
Conventional | |||
Mortgage loans held-for-Sale | |||
Fair value adjustment | 148,653 | 168,581 | |
Other | |||
Mortgage loans held-for-Sale | |||
Fair value adjustment | 115,726 | $ 62,701 | |
Mortgage loans, held-for-sale | |||
Gain on LHFS | |||
Gain on sale of mortgage loans | 38,240 | 59,212 | |
Premium from servicing retained loan sales | 12,066 | 18,822 | |
Unrealized (losses) gains from derivative financial instruments | (1,145) | 4,945 | |
Realized gains (losses) from derivative financial instruments | 1,125 | (8,457) | |
Mark to market gain on LHFS | 5,203 | 11,185 | |
Direct origination expenses, net | (19,836) | (31,459) | |
Recovery (provision) for repurchases | 1,666 | (379) | |
Total gain on sale of loans, net | $ 37,319 | $ 53,869 |
Mortgage Servicing Rights (Deta
Mortgage Servicing Rights (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | Dec. 31, 2016 | |
Changes in the fair value of MSRs | |||
Balance at beginning of period | $ 131,537 | $ 36,425 | $ 36,425 |
Additions from servicing retained loan sales | 12,066 | 128,273 | |
Reductions from bulk sales | (895) | (8,773) | |
Changes in fair value | (1,122) | (24,388) | |
Fair value of MSRs at end of period | 141,586 | 131,537 | |
Total loans serviced | 13,241,908 | 12,351,522 | |
Loans eligible for repurchase from GNMA | 12,200 | 9,900 | |
Mortgage Servicing Rights Sensitivity Analysis | |||
Change in fair value of mortgage servicing rights | (1,122) | (10,920) | |
Loss on sale of mortgage servicing rights | (414) | (620) | |
Realized and unrealized (losses) gains from hedging instruments | 559 | 630 | |
Loss on mortgage servicing rights, net | (977) | (10,910) | |
Servicing income, net | |||
Contractual servicing fees | 8,366 | 2,633 | |
Late and Ancillary fees | 85 | 34 | |
Subservicing and other costs | (1,131) | (579) | |
Servicing income, net | 7,320 | $ 2,088 | |
Government | |||
Changes in the fair value of MSRs | |||
Total loans serviced | 1,737,753 | 1,359,569 | |
Conventional | |||
Changes in the fair value of MSRs | |||
Total loans serviced | 11,501,180 | 10,815,998 | |
NonQM | |||
Changes in the fair value of MSRs | |||
Total loans serviced | 2,975 | 175,955 | |
Mortgage servicing rights | |||
Changes in the fair value of MSRs | |||
FNMA convensional servicing collateral | 6,500 | ||
Mortgage Servicing Rights Sensitivity Analysis | |||
Fair value of MSRs | 141,586 | 131,537 | |
Prepayment Speed, Decrease in fair value from 10% adverse change | (2,278) | (4,956) | |
Prepayment Speed, Decrease in fair value from 20% adverse change | (4,818) | (9,593) | |
Prepayment Speed, Decrease in fair value from 30% adverse change | (7,558) | (13,940) | |
Discount Rate, Decrease in fair value from 10% adverse change | (5,301) | (4,927) | |
Discount Rate, Decrease in fair value from 20% adverse change | (10,232) | (9,511) | |
Discount Rate, Decrease in fair value from 30% adverse change | $ (14,829) | $ (13,786) |
Debt - Warehouse Borrowings (De
Debt - Warehouse Borrowings (Details) - USD ($) $ in Thousands | Feb. 10, 2017 | Mar. 31, 2017 | Feb. 28, 2017 | Dec. 31, 2016 |
Contractual reductions of the convertible notes | ||||
Long-term debt | $ 50,044 | $ 47,207 | ||
Maximum Borrowing Capacity | 950,000 | |||
Warehouse Agreement Borrowings | 441,832 | 420,573 | ||
Information on warehouse borrowings | ||||
Securitized mortgage collateral | $ 3,903,336 | 4,021,891 | ||
Term financing | ||||
Contractual reductions of the convertible notes | ||||
Repayments of Debt | $ 30,100 | |||
Term financing | LIBOR | ||||
Contractual reductions of the convertible notes | ||||
Interest rate margin (as a percent) | 8.50% | |||
Warehouse Borrowings | Non-affiliated customers | ||||
Contractual reductions of the convertible notes | ||||
Maximum Borrowing Capacity | $ 151,000 | |||
Repurchase agreement 1 | ||||
Contractual reductions of the convertible notes | ||||
Maximum Borrowing Capacity | 150,000 | |||
Warehouse Agreement Borrowings | 63,379 | 106,609 | ||
Repurchase agreement 2 | ||||
Contractual reductions of the convertible notes | ||||
Maximum Borrowing Capacity | 25,000 | |||
Warehouse Agreement Borrowings | 12,493 | 44,761 | ||
Repurchase agreement 3 | ||||
Contractual reductions of the convertible notes | ||||
Maximum Borrowing Capacity | 225,000 | |||
Warehouse Agreement Borrowings | 168,188 | 125,320 | ||
Financing facility advances made to warehouse customers | 37,600 | 62,900 | ||
Repurchase agreement 4 | ||||
Contractual reductions of the convertible notes | ||||
Maximum Borrowing Capacity | 250,000 | |||
Warehouse Agreement Borrowings | 51,708 | 52,067 | ||
Repurchase agreement 5 | ||||
Contractual reductions of the convertible notes | ||||
Maximum Borrowing Capacity | 100,000 | $ 250,000 | ||
Warehouse Agreement Borrowings | 88,212 | 56,655 | ||
Repurchase agreement 6 | ||||
Contractual reductions of the convertible notes | ||||
Maximum Borrowing Capacity | 200,000 | |||
Warehouse Agreement Borrowings | $ 57,852 | $ 35,161 | ||
Impac Mortgage Corp. | 1ML | ||||
Contractual reductions of the convertible notes | ||||
Interest rate margin (as a percent) | 4.00% | 4.80% | ||
Loan and Security Agreement | ||||
Contractual reductions of the convertible notes | ||||
Maximum Borrowing Capacity | $ 100 | |||
Loan and Security Agreement | Impac Mortgage Corp. | ||||
Contractual reductions of the convertible notes | ||||
Maximum Borrowing Capacity | $ 40,000 | |||
Term | 1 year | |||
Maximum borrowing capacity (in percentage) | 55.00% | |||
Debt loan payment term | P2Y | |||
Issuance of secured debt | $ 35,100 |
Debt - Term Financing (Details)
Debt - Term Financing (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2017 | Dec. 31, 2016 | Jun. 15, 2015 | |
Long-term Debt | |||
Long-term debt | $ 50,044 | $ 47,207 | |
Term financing | |||
Long-term Debt | |||
Amount of debt issued | $ 30,000 | ||
Loan extension fee | $ 100 | ||
Term financing | LIBOR | |||
Long-term Debt | |||
Interest margin over base rate (as a percent) | 8.50% |
Debt - Convertible Notes (Detai
Debt - Convertible Notes (Details) $ / shares in Units, $ in Thousands | 1 Months Ended | 3 Months Ended | ||||
Feb. 29, 2016USD ($)$ / sharesshares | Jan. 31, 2016$ / sharesshares | May 31, 2015USD ($)item$ / shares | Mar. 31, 2017USD ($) | Mar. 31, 2016USD ($) | Apr. 30, 2013USD ($) | |
Convertible Notes | ||||||
Common stock issued upon conversion of notes (in shares) | shares | 1,839,080 | 1,839,080 | ||||
Conversion of debt into equity | $ 20,000 | |||||
Amount of debt converted | $ 20,000 | |||||
Conversion price (in dollars per share) | $ / shares | $ 10.875 | |||||
Interest expense | $ 61,138 | $ 69,428 | ||||
Convertible notes voting restriction period | 3 years | |||||
2013 Convertible Notes | ||||||
Convertible Notes | ||||||
Amount of debt issued | $ 20,000 | |||||
Conversion price (in dollars per share) | $ / shares | $ 10.875 | |||||
Gain (loss) on conversion of notes to common stock | $ 0 | |||||
2015 Convertible Notes | ||||||
Convertible Notes | ||||||
Amount of debt issued | $ 25,000 | |||||
Transaction costs | $ 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 | item | 20 | |||||
Number of consecutive trading days during which stock price must exceed specified price | 30 days | |||||
Interest rate of debt (as a percent) | 7.50% |
Securitized Mortgage Trusts- As
Securitized Mortgage Trusts- Assets (Details) - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 |
Trust Assets | ||
Securitized mortgage collateral | $ 3,903,336 | $ 4,021,891 |
REO | 8,340 | 11,399 |
Total securitized mortgage trust assets | $ 3,911,676 | $ 4,033,290 |
Securitized Mortgage Trusts - L
Securitized Mortgage Trusts - Liabilities (Details) - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 |
Trust Liabilities | ||
Securitized mortgage borrowings | $ 3,892,668 | $ 4,017,603 |
Total securitized mortgage trust liabilities | $ 3,892,668 | $ 4,017,603 |
Securitized Mortgage Trusts - C
Securitized Mortgage Trusts - Change in Fair Value (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Change in fair value of net trust assets, including trust REO losses | ||
Change in fair value of net trust assets, excluding REO | $ 4,786 | $ 513 |
Gains (losses) from REO | 1,533 | (1,140) |
Change in fair value of net trust assets, including trust REO gains (losses) | $ 6,319 | $ (627) |
Fair Value of Financial Instr37
Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | |
Assets | |||
Mortgage servicing rights | $ 141,586 | $ 131,537 | $ 36,425 |
Liabilities | |||
Borrowings under MSR financing | 35,133 | ||
Carrying Amount | |||
Assets | |||
Cash and cash equivalents. | 19,531 | 40,096 | |
Restricted cash. | 5,956 | 5,971 | |
Mortgage loans held for-for-sale | 434,322 | 388,422 | |
Finance receivables. | 37,556 | 62,937 | |
Mortgage servicing rights | 141,586 | 131,537 | |
Derivatives assets, lending, net | 12,333 | 11,169 | |
Securitized mortgage collateral | 3,903,336 | 4,021,891 | |
Liabilities | |||
Warehouse borrowings | 441,832 | 420,573 | |
Borrowings under MSR financing | 35,133 | ||
Term financing | 29,910 | ||
Convertible notes | 24,967 | 24,965 | |
Contingent consideration | 24,498 | 31,072 | |
Long-term debt | 50,044 | 47,207 | |
Securitized mortgage borrowings | 3,892,668 | 4,017,603 | |
Derivative liabilities, lending, net | 1,422 | 336 | |
Estimated Fair Value | Level 1 | |||
Assets | |||
Cash and cash equivalents. | 19,531 | 40,096 | |
Restricted cash. | 5,956 | 5,971 | |
Estimated Fair Value | Level 2 | |||
Assets | |||
Mortgage loans held for-for-sale | 434,322 | 388,422 | |
Finance receivables. | 37,556 | 62,937 | |
Liabilities | |||
Warehouse borrowings | 441,832 | 420,573 | |
Derivative liabilities, lending, net | 1,422 | 336 | |
Estimated Fair Value | Level 3 | |||
Assets | |||
Mortgage servicing rights | 141,586 | 131,537 | |
Derivatives assets, lending, net | 12,333 | 11,169 | |
Securitized mortgage collateral | 3,903,336 | 4,021,891 | |
Liabilities | |||
Borrowings under MSR financing | 35,133 | ||
Term financing | 29,910 | ||
Convertible notes | 24,967 | 24,965 | |
Contingent consideration | 24,498 | 31,072 | |
Long-term debt | 50,044 | 47,207 | |
Securitized mortgage borrowings | $ 3,892,668 | $ 4,017,603 |
Fair Value of Financial Instr38
Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 |
Assets | |||
Mortgage servicing rights | $ 141,586 | $ 131,537 | $ 36,425 |
Level 3 | |||
Fair Value Measurements | |||
Percentage of level three assets to total assets measured at fair value | 90.00% | 92.00% | |
Percentage of level three liabilities to total liabilities measured at fair value | 99.00% | 99.00% | |
Recurring basis | Level 2 | |||
Assets | |||
Mortgage loans held for-for-sale | $ 434,322 | $ 388,422 | |
Total assets at fair value | 434,322 | 388,422 | |
Liabilities | |||
Derivative liabilities, lending, net | 1,422 | 336 | |
Total liabilities at fair value | 1,422 | 336 | |
Recurring basis | Level 3 | |||
Assets | |||
Derivatives assets, lending, net | 12,333 | 11,169 | |
Mortgage servicing rights | 141,586 | 131,537 | |
Securitized mortgage collateral | 3,903,336 | 4,021,891 | |
Total assets at fair value | 4,057,255 | 4,164,597 | |
Liabilities | |||
Securitized mortgage borrowings | 3,892,668 | 4,017,603 | |
Long-term debt | 50,044 | 47,207 | |
Contingent consideration | 24,498 | 31,072 | |
Total liabilities at fair value | 3,967,210 | 4,095,882 | |
Recurring basis | Interest rate lock commitments. net (IRLCs) | |||
Assets | |||
Derivatives assets, lending, net | 12,300 | 11,200 | |
Recurring basis | Hedging Instruments | |||
Assets | |||
Derivatives assets, lending, net | 1,400 | $ 336 | |
Long-term debt | Recurring basis | Level 3 | |||
Liabilities | |||
Long-term debt | 50,000 | ||
Securitized mortgage borrowings | Level 3 | |||
Liabilities | |||
Total liabilities at fair value | $ 3,892,668 |
Fair Value of Financial Instr39
Fair Value of Financial Instruments - Reconciliations for Assets and Liabilities Measured Using Level 3 (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Level 3 | ||
Purchases, issuances and settlements | ||
Net interest income including cash received and paid | $ 2,100 | $ 2,300 |
Securitized mortgage borrowings | ||
Changes in fair value of liabilities during the period | ||
Fair value in the beginning of the period | (4,017,603) | (4,578,657) |
Total gains (losses) included in earnings: | ||
Total (losses) gains included in earnings | (86,961) | 35,914 |
Purchases, issuances and settlements | ||
Settlements | 211,896 | 174,387 |
Fair value at the end of the period | (3,892,668) | (4,368,356) |
Unrealized gains (losses) still held | 2,977,521 | 3,326,935 |
Securitized mortgage borrowings | Interest expense. | ||
Total gains (losses) included in earnings: | ||
Total (losses) gains included in earnings | (40,695) | (51,046) |
Securitized mortgage borrowings | Change in fair value | ||
Total gains (losses) included in earnings: | ||
Total (losses) gains included in earnings | (46,266) | 86,960 |
Derivative liabilities, net, securitized trusts | ||
Changes in fair value of liabilities during the period | ||
Fair value in the beginning of the period | (1,669) | |
Total gains (losses) included in earnings: | ||
Total (losses) gains included in earnings | (93) | |
Purchases, issuances and settlements | ||
Settlements | 793 | |
Fair value at the end of the period | (969) | |
Unrealized gains (losses) still held | (835) | |
Derivative liabilities, net, securitized trusts | Change in fair value | ||
Total gains (losses) included in earnings: | ||
Total (losses) gains included in earnings | (93) | |
Long-term debt | ||
Changes in fair value of liabilities during the period | ||
Fair value in the beginning of the period | (47,207) | (31,898) |
Total gains (losses) included in earnings: | ||
Total (losses) gains included in earnings | (2,837) | (243) |
Purchases, issuances and settlements | ||
Fair value at the end of the period | (50,044) | (32,141) |
Unrealized gains (losses) still held | 20,719 | 38,622 |
Long-term debt | Interest expense. | ||
Total gains (losses) included in earnings: | ||
Total (losses) gains included in earnings | (340) | (243) |
Long-term debt | Change in fair value | ||
Total gains (losses) included in earnings: | ||
Total (losses) gains included in earnings | (2,497) | |
Contingent consideration | ||
Changes in fair value of liabilities during the period | ||
Fair value in the beginning of the period | (31,072) | (48,079) |
Total gains (losses) included in earnings: | ||
Total (losses) gains included in earnings | (1,384) | (4,836) |
Purchases, issuances and settlements | ||
Settlements | 7,958 | 4,143 |
Fair value at the end of the period | (24,498) | (48,772) |
Unrealized gains (losses) still held | (24,498) | (48,772) |
Contingent consideration | Change in fair value | ||
Total gains (losses) included in earnings: | ||
Total (losses) gains included in earnings | (1,384) | (4,836) |
Investment securities available-for-sale | ||
Changes in fair value of assets during the period | ||
Fair value at the beginning of the period | 26 | |
Total gains (losses) included in earnings: | ||
Total gains (losses) included in earnings | 9 | |
Purchases, issuances and settlements | ||
Settlements | (12) | |
Fair value at the end of the period | 23 | |
Purchases, issuances and settlements | ||
Unrealized gains (losses) still held | 23 | |
Investment securities available-for-sale | Interest income | ||
Total gains (losses) included in earnings: | ||
Total gains (losses) included in earnings | 1 | |
Investment securities available-for-sale | Change in fair value | ||
Total gains (losses) included in earnings: | ||
Total gains (losses) included in earnings | 8 | |
Securitized mortgage collateral | ||
Changes in fair value of assets during the period | ||
Fair value at the beginning of the period | 4,021,891 | 4,574,919 |
Total gains (losses) included in earnings: | ||
Total gains (losses) included in earnings | 66,536 | (68,720) |
Purchases, issuances and settlements | ||
Settlements | (185,091) | (141,641) |
Fair value at the end of the period | 3,903,336 | 4,364,558 |
Purchases, issuances and settlements | ||
Unrealized gains (losses) still held | (825,087) | (1,182,800) |
Securitized mortgage collateral | Interest income | ||
Total gains (losses) included in earnings: | ||
Total gains (losses) included in earnings | 15,484 | 17,642 |
Securitized mortgage collateral | Change in fair value | ||
Total gains (losses) included in earnings: | ||
Total gains (losses) included in earnings | 51,052 | (86,362) |
Mortgage servicing rights | ||
Changes in fair value of assets during the period | ||
Fair value at the beginning of the period | 131,537 | 36,425 |
Total gains (losses) included in earnings: | ||
Total gains (losses) included in earnings | (1,122) | (10,920) |
Purchases, issuances and settlements | ||
Issuances | 12,066 | 18,822 |
Settlements | (895) | |
Fair value at the end of the period | 141,586 | 44,327 |
Purchases, issuances and settlements | ||
Unrealized gains (losses) still held | 141,586 | 44,327 |
Mortgage servicing rights | Change in fair value | ||
Total gains (losses) included in earnings: | ||
Total gains (losses) included in earnings | (1,122) | (10,920) |
Interest rate lock commitments. net (IRLCs) | ||
Changes in fair value of assets during the period | ||
Fair value at the beginning of the period | 11,169 | 9,184 |
Total gains (losses) included in earnings: | ||
Total gains (losses) included in earnings | 1,164 | 6,291 |
Purchases, issuances and settlements | ||
Fair value at the end of the period | 12,333 | 15,475 |
Purchases, issuances and settlements | ||
Unrealized gains (losses) still held | 12,333 | 15,475 |
Interest rate lock commitments. net (IRLCs) | Change in fair value | ||
Total gains (losses) included in earnings: | ||
Total gains (losses) included in earnings | $ 1,164 | $ 6,291 |
Fair Value of Financial Instr40
Fair Value of Financial Instruments - Valuation Techniques And Unobservable Inputs (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2017USD ($) | |
Level 3 | Minimum | |
Unobservable input | |
Loss severities (as a percent) | 9.60% |
Level 3 | Maximum | |
Unobservable input | |
Loss severities (as a percent) | 98.30% |
Level 3 | Weighted Average | |
Unobservable input | |
Discount rates (as a percent) | 5.50% |
Loss severities (as a percent) | 41.90% |
Probability of outcomes | 33.20% |
Securitized mortgage borrowings | Level 3 | |
Valuation techniques | |
Estimated fair value of liabilities | $ (3,892,668) |
Securitized mortgage borrowings | Level 3 | Minimum | |
Unobservable input | |
Default rates (as a percent) | 0.03% |
Securitized mortgage borrowings | Level 3 | Maximum | |
Unobservable input | |
Default rates (as a percent) | 10.00% |
Securitized mortgage borrowings | Level 3 | Weighted Average | |
Unobservable input | |
Default rates (as a percent) | 1.70% |
Securitized mortgage borrowings | DCF | Level 3 | Minimum | |
Unobservable input | |
Loss severities (as a percent) | 4.00% |
Securitized mortgage borrowings | DCF | Level 3 | Maximum | |
Unobservable input | |
Loss severities (as a percent) | 25.00% |
Long-term debt | DCF | Level 3 | |
Valuation techniques | |
Estimated fair value of liabilities | $ (50,044) |
Unobservable input | |
Discount rates (as a percent) | 9.80% |
Long-term debt | DCF | Level 3 | Weighted Average | |
Unobservable input | |
Discount rates (as a percent) | 9.80% |
Contingent consideration | Level 3 | Minimum | |
Unobservable input | |
Margins | 2.30% |
Contingent consideration | Level 3 | Maximum | |
Unobservable input | |
Margins | 2.70% |
Contingent consideration | Level 3 | Weighted Average | |
Unobservable input | |
Probability of outcomes | 2.50% |
Contingent consideration | LIBOR | Minimum | |
Unobservable input | |
Probability of outcomes | 25.00% |
Contingent consideration | LIBOR | Maximum | |
Unobservable input | |
Probability of outcomes | 50.00% |
Contingent consideration | DCF | Level 3 | |
Valuation techniques | |
Estimated fair value of liabilities | $ (24,498) |
Unobservable input | |
Margins | 13.50% |
Contingent consideration | DCF | Level 3 | Weighted Average | |
Unobservable input | |
Margins | 13.50% |
Securitized mortgage collateral | DCF | Level 3 | |
Valuation techniques | |
Estimated fair value of assets | $ 3,903,336 |
Securitized mortgage collateral | DCF | Level 3 | Minimum | |
Unobservable input | |
Prepayment rates (as a percent) | 2.50% |
Securitized mortgage collateral | DCF | Level 3 | Maximum | |
Unobservable input | |
Prepayment rates (as a percent) | 30.50% |
Securitized mortgage collateral | DCF | Level 3 | Weighted Average | |
Unobservable input | |
Prepayment rates (as a percent) | 7.20% |
Mortgage servicing rights | DCF | Level 3 | |
Valuation techniques | |
Estimated fair value of assets | $ 141,586 |
Mortgage servicing rights | DCF | Level 3 | Minimum | |
Unobservable input | |
Discount rates (as a percent) | 9.00% |
Prepayment rates (as a percent) | 8.00% |
Mortgage servicing rights | DCF | Level 3 | Maximum | |
Unobservable input | |
Discount rates (as a percent) | 14.00% |
Mortgage servicing rights | DCF | Level 3 | Weighted Average | |
Unobservable input | |
Discount rates (as a percent) | 9.50% |
Prepayment rates (as a percent) | 9.30% |
Mortgage servicing rights | Derivative liabilities, net, securitized trusts | DCF | Level 3 | Maximum | |
Unobservable input | |
Prepayment rates (as a percent) | 86.60% |
Interest rate lock commitments. net (IRLCs) | Market pricing | Level 3 | |
Valuation techniques | |
Estimated fair value of assets | $ 12,333 |
Interest rate lock commitments. net (IRLCs) | Market pricing | Level 3 | Minimum | |
Unobservable input | |
Pull-through rate (as a percent) | 24.10% |
Interest rate lock commitments. net (IRLCs) | Market pricing | Level 3 | Maximum | |
Unobservable input | |
Pull-through rate (as a percent) | 99.90% |
Interest rate lock commitments. net (IRLCs) | Market pricing | Level 3 | Weighted Average | |
Unobservable input | |
Pull-through rate (as a percent) | 78.60% |
Fair Value of Financial Instr41
Fair Value of Financial Instruments - Changes in Fair Value Included in Earnings (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2017 | Mar. 31, 2016 | Dec. 31, 2016 | |
Change in Fair Value Included in Net Earnings (Loss) | |||
Trust Assets Net Change in Fair Value Excluding Real Estate Owned | $ 4,786 | $ 513 | |
Change in the fair value of trust assets, excluding REO | 4,786 | 513 | |
Change in fair value of net trust assets, excluding REO | 4,786 | 1,256 | |
Securitized mortgage collateral | |||
Difference between aggregate unpaid principal balance and fair value of securitized mortgage collateral | 16,038 | $ 10,835 | |
Securitized Mortgage Borrowings | |||
Outstanding principal balance of securitized mortgage borrowings | 13,241,908 | 12,351,522 | |
Derivative liabilities, net, securitized trusts | TBA's | |||
Derivative assets and liabilities | |||
Derivative Liability, Notional Amount | 409,281 | 492,157 | |
Derivative, Gain (Loss) on Derivative, Net | (1,184) | (9,803) | |
Derivative assets - IRLCs | Interest rate lock commitments. net (IRLCs) | |||
Derivative assets and liabilities | |||
Derivative Liability, Notional Amount | 590,952 | 558,538 | |
Derivative, Gain (Loss) on Derivative, Net | 1,164 | 6,291 | |
Recurring basis | |||
Change in Fair Value Included in Net Earnings (Loss) | |||
Total | (20,487) | (32,527) | |
Recurring basis | Interest income | |||
Change in Fair Value Included in Net Earnings (Loss) | |||
Total | 15,484 | 17,643 | |
Recurring basis | Interest expense. | |||
Change in Fair Value Included in Net Earnings (Loss) | |||
Total | (41,035) | (51,289) | |
Recurring basis | Change in Fair Value of Net Trust Assets | |||
Change in Fair Value Included in Net Earnings (Loss) | |||
Total | 4,786 | 513 | |
Recurring basis | Change in Fair Value of Long-term Debt | |||
Change in Fair Value Included in Net Earnings (Loss) | |||
Total | (2,497) | ||
Recurring basis | Other revenue | |||
Change in Fair Value Included in Net Earnings (Loss) | |||
Total | (2,506) | (15,756) | |
Recurring basis | Gain on sale of loans, net | |||
Change in Fair Value Included in Net Earnings (Loss) | |||
Total | 5,281 | 16,362 | |
Recurring basis | Contingent consideration | |||
Change in Fair Value Included in Net Earnings (Loss) | |||
Change in fair value of liabilities | (1,384) | (4,836) | |
Recurring basis | Contingent consideration | Other revenue | |||
Change in Fair Value Included in Net Earnings (Loss) | |||
Change in fair value of liabilities | (1,384) | (4,836) | |
Recurring basis | Securitized mortgage borrowings | |||
Change in Fair Value Included in Net Earnings (Loss) | |||
Change in fair value of liabilities | (86,961) | 35,914 | |
Recurring basis | Securitized mortgage borrowings | Interest expense. | |||
Change in Fair Value Included in Net Earnings (Loss) | |||
Change in fair value of liabilities | (40,695) | (51,046) | |
Recurring basis | Securitized mortgage borrowings | Change in Fair Value of Net Trust Assets | |||
Change in Fair Value Included in Net Earnings (Loss) | |||
Change in fair value of liabilities | (46,266) | 86,960 | |
Recurring basis | Derivative liabilities, net, securitized trusts | |||
Change in Fair Value Included in Net Earnings (Loss) | |||
Change in fair value of liabilities | (93) | ||
Recurring basis | Derivative liabilities, net, securitized trusts | Change in Fair Value of Net Trust Assets | |||
Change in Fair Value Included in Net Earnings (Loss) | |||
Change in fair value of liabilities | (93) | ||
Changes in the fair value of derivative instruments | 606,000 | ||
Cash payments from the securitization trusts | 744 | ||
Recurring basis | Derivative liabilities, net, securitized trusts | Hedging Instruments | |||
Change in Fair Value Included in Net Earnings (Loss) | |||
Change in fair value of liabilities | (1,086) | (1,114) | |
Recurring basis | Derivative liabilities, net, securitized trusts | Hedging Instruments | Gain on sale of loans, net | |||
Change in Fair Value Included in Net Earnings (Loss) | |||
Change in fair value of liabilities | (1,086) | (1,114) | |
Recurring basis | Long-term debt | |||
Change in Fair Value Included in Net Earnings (Loss) | |||
Change in fair value of liabilities | (2,837) | (243) | |
Recurring basis | Long-term debt | Interest expense. | |||
Change in Fair Value Included in Net Earnings (Loss) | |||
Change in fair value of liabilities | (340) | (243) | |
Recurring basis | Long-term debt | Change in Fair Value of Long-term Debt | |||
Change in Fair Value Included in Net Earnings (Loss) | |||
Change in fair value of liabilities | (2,497) | ||
Recurring basis | Investment securities available-for-sale | |||
Change in Fair Value Included in Net Earnings (Loss) | |||
Change in fair value of assets | 9 | ||
Recurring basis | Investment securities available-for-sale | Interest income | |||
Change in Fair Value Included in Net Earnings (Loss) | |||
Change in fair value of assets | 1 | ||
Recurring basis | Investment securities available-for-sale | Change in Fair Value of Net Trust Assets | |||
Change in Fair Value Included in Net Earnings (Loss) | |||
Change in fair value of assets | 8 | ||
Recurring basis | Securitized mortgage collateral | |||
Change in Fair Value Included in Net Earnings (Loss) | |||
Change in fair value of assets | 66,536 | (68,720) | |
Recurring basis | Securitized mortgage collateral | Interest income | |||
Change in Fair Value Included in Net Earnings (Loss) | |||
Change in fair value of assets | 15,484 | 17,642 | |
Recurring basis | Securitized mortgage collateral | Change in Fair Value of Net Trust Assets | |||
Change in Fair Value Included in Net Earnings (Loss) | |||
Change in fair value of assets | 51,052 | (86,362) | |
Recurring basis | Mortgage servicing rights | |||
Change in Fair Value Included in Net Earnings (Loss) | |||
Change in fair value of assets | (1,122) | (10,920) | |
Recurring basis | Mortgage servicing rights | Other revenue | |||
Change in Fair Value Included in Net Earnings (Loss) | |||
Change in fair value of assets | (1,122) | (10,920) | |
Recurring basis | Mortgage loans held-for-sale | |||
Change in Fair Value Included in Net Earnings (Loss) | |||
Change in fair value of assets | 5,203 | 11,185 | |
Recurring basis | Mortgage loans held-for-sale | Gain on sale of loans, net | |||
Change in Fair Value Included in Net Earnings (Loss) | |||
Change in fair value of assets | 5,203 | 11,185 | |
Recurring basis | Derivative assets - IRLCs | Interest rate lock commitments. net (IRLCs) | |||
Change in Fair Value Included in Net Earnings (Loss) | |||
Change in fair value of assets | 1,164 | 6,291 | |
Recurring basis | Derivative assets - IRLCs | Interest rate lock commitments. net (IRLCs) | Gain on sale of loans, net | |||
Change in Fair Value Included in Net Earnings (Loss) | |||
Change in fair value of assets | 1,164 | $ 6,291 | |
Recurring basis | Level 3 | |||
Long-term debt | |||
Estimated fair value of long-term debt | 50,044 | $ 47,207 | |
Recurring basis | Level 3 | Long-term debt | |||
Long-term debt | |||
Long-term debt unpaid principal balance | 70,500 | ||
Estimated fair value of long-term debt | 50,000 | ||
Difference between aggregate unpaid principal balances and fair value of long-term debt | 20,500 | ||
Recurring basis | Level 3 | Securitized mortgage collateral | |||
Securitized mortgage collateral | |||
Unpaid principal balance of securitized mortgage collateral | 4,700,000 | ||
Estimated fair value of securitized mortgage collateral | 3,900,000 | ||
Difference between aggregate unpaid principal balance and fair value of securitized mortgage collateral | 800,000 | ||
Unpaid principal balance of loans 90 days or more past due | 700,000 | ||
Estimated fair value of loans 90 days or more past due | 200,000 | ||
Difference between aggregate unpaid principal balances and fair value of mortgage loans | 500,000 | ||
Securitized Mortgage Borrowings | |||
Outstanding principal balance of securitized mortgage borrowings | 4,700,000 | ||
Estimated fair value of securitized mortgage borrowings | 3,900,000 | ||
Bond losses | 2,200,000 | ||
Difference between aggregate unpaid principal balances and fair value of securitized mortgage borrowings | $ 800,000 |
Fair Value of Financial Instr42
Fair Value of Financial Instruments - Nonrecurring (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Total Gains (Losses) | ||
Deferred charge (3) | $ 277 | |
Level 2 | ||
Fair Value Measurements | ||
REO (1) | 4,391 | |
Nonrecurring Fair Value Measurements | Level 1 | ||
Total Gains (Losses) | ||
REO (2) | $ 1,533 | |
Deferred charge (3) | (277) | |
Nonrecurring Fair Value Measurements | Level 2 | ||
Fair Value Measurements | ||
REO (1) | 6,342 | |
Total Gains (Losses) | ||
REO (2) | (1,140) | |
Deferred charge (3) | (425) | |
Nonrecurring Fair Value Measurements | Level 3 | ||
Fair Value Measurements | ||
Deferred charge | $ 8,409 | |
Total Gains (Losses) | ||
Deferred charge (3) | $ 9,539 |
Income Taxes (Details)
Income Taxes (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2017 | Mar. 31, 2016 | Dec. 31, 2016 | |
Reconciliation of income taxes to the expected statutory federal corporate income tax rates | |||
Income tax expense | $ 426 | $ 435 | |
Deferred tax asset, net | $ 24,420 | $ 24,420 |
Reconciliation of Earnings Pe44
Reconciliation of Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Numerator for basic earnings per share: | ||
Net earnings | $ 4,627 | $ 981 |
Numerator for diluted earnings per share: | ||
Net earnings | 4,627 | 981 |
Interest expense attributable to convertible notes | 454 | |
Net earnings plus interest expense attributable to convertible notes | $ 5,081 | $ 981 |
Denominator for basic earnings per share: | ||
Basic weighted average common shares outstanding during the period | 16,025 | 11,380 |
Denominator for diluted earnings per share: | ||
Basic weighted average common shares outstanding during the period | 16,025 | 11,380 |
Net effect of dilutive convertible notes | 1,163 | |
Net effect of dilutive stock options and DSU's | 234 | 288 |
Diluted weighted average common shares | 17,422 | 11,668 |
Basic (in dollars per share) | $ 0.29 | $ 0.09 |
Diluted (in dollars per share) | $ 0.29 | $ 0.08 |
Stock options | ||
Denominator for diluted earnings per share: | ||
Antidilutive stock options excluded from weighted average share calculations (in shares) | 838,000 | 345,000 |
Segment Reporting - Statement o
Segment Reporting - Statement of Operations Items (Details) $ in Thousands | 3 Months Ended | |
Mar. 31, 2017USD ($)item | Mar. 31, 2016USD ($) | |
Segment Reporting | ||
Number of reportable segments | item | 3 | |
Gain on sale of loans, net | $ 37,319 | $ 53,869 |
Real estate services fees, net | 1,633 | 2,100 |
Servicing income, net | 7,320 | 2,088 |
Loss on mortgage servicing rights, net | (977) | (10,910) |
Other revenue | 47 | 152 |
Accretion of contingent consideration | (845) | (1,895) |
Change in fair value of contingent consideration | (539) | (2,942) |
Change in fair value of long-term debt | (2,497) | |
Other (expense) income | (36,408) | (41,046) |
Earnings before income taxes | 5,053 | 1,416 |
Income tax expense | 426 | 435 |
Net earnings | 4,627 | 981 |
Corporate and Other. | ||
Segment Reporting | ||
Other revenue | (28) | 36 |
Other (expense) income | (4,859) | (2,979) |
Earnings before income taxes | (4,887) | (2,943) |
Mortgage Lending | Operating segments | ||
Segment Reporting | ||
Gain on sale of loans, net | 37,319 | 53,869 |
Servicing income, net | 7,320 | 2,088 |
Loss on mortgage servicing rights, net | (977) | (10,910) |
Other revenue | 14 | 49 |
Accretion of contingent consideration | (845) | (1,895) |
Change in fair value of contingent consideration | (539) | (2,942) |
Other (expense) income | (37,678) | (37,140) |
Earnings before income taxes | 4,614 | 3,119 |
Real Estate Services | Operating segments | ||
Segment Reporting | ||
Real estate services fees, net | 1,633 | 2,100 |
Other (expense) income | (995) | (1,566) |
Earnings before income taxes | 638 | 534 |
Long-term Portfolio | Operating segments | ||
Segment Reporting | ||
Other revenue | 61 | 67 |
Change in fair value of long-term debt | (2,497) | |
Other (expense) income | 7,124 | 639 |
Earnings before income taxes | $ 4,688 | $ 706 |
Segment Reporting - Balance She
Segment Reporting - Balance Sheet Items (Details) - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 |
Segment Reporting | |||
Cash and cash equivalents | $ 19,531 | $ 40,096 | |
Restricted cash | 5,956 | 5,971 | |
Mortgage loans held-for-sale | 434,322 | 388,422 | |
Mortgage servicing rights | 141,586 | 131,537 | $ 36,425 |
Trust assets | 3,911,676 | 4,033,290 | |
Goodwill | 104,938 | 104,938 | |
Total assets | 4,751,358 | 4,863,734 | |
Total liabilities | 4,515,161 | 4,632,694 | |
Operating segments | |||
Segment Reporting | |||
Total assets | 34,918 | 53,086 | |
Mortgage Lending | Operating segments | |||
Segment Reporting | |||
Total assets | 792,935 | 762,924 | |
Real Estate Services | Operating segments | |||
Segment Reporting | |||
Total assets | 3,156 | 5,451 | |
Long-term Portfolio | Operating segments | |||
Segment Reporting | |||
Total assets | $ 3,920,349 | $ 4,042,273 |
Commitments and Contingencies -
Commitments and Contingencies - Loan Commitments (Details) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2017 | Dec. 31, 2016 | |
Series B 9.375% redeemable preferred stock | ||
Commitments and Contingencies | ||
Preferred stock, dividend rate (as a percent) | 9.375% | 9.375% |
Series C 9.125% redeemable preferred stock | ||
Commitments and Contingencies | ||
Preferred stock, dividend rate (as a percent) | 9.125% | 9.125% |
Commitments and Contingencies48
Commitments and Contingencies (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2017 | Dec. 31, 2016 | |
Continuing operations repurchase reserve activity | ||
Beginning balance | $ 5,408 | $ 5,236 |
(Recovery) provision for repurchases | (1,666) | 379 |
Settlements | (198) | (207) |
Total repurchase reserve | 3,544 | 5,408 |
Maximum borrowing capacity | 950,000 | |
Financing Receivable, Net | $ 37,600 | $ 62,900 |
Equity and Share Based Paymen49
Equity and Share Based Payments - Equity Offering Program (Details) - $ / shares | 1 Months Ended | |
Feb. 29, 2016 | Jan. 31, 2016 | |
Equity and Share Based Payments | ||
Common stock issued upon conversion of notes (in shares) | 1,839,080 | 1,839,080 |
Conversion price of convertible notes into common stock (in dollars per share) | $ 10.875 |
Equity and Share Based Paymen50
Equity and Share Based Payments - Stock Options (Details) - Stock options $ / shares in Units, $ in Millions | 3 Months Ended |
Mar. 31, 2017USD ($)$ / sharesshares | |
Number of Shares | |
Options outstanding at beginning of period (in shares) | shares | 1,391,327 |
Options exercised (in shares) | shares | (5,500) |
Options forfeited / cancelled (in shares) | shares | (2,583) |
Options outstanding at end of year (in shares) | shares | 1,383,244 |
Options exercisable at end of year (in shares) | shares | 711,655 |
Weighted-Average Exercise Price | |
Options outstanding at beginning of period (in dollars per share) | $ / shares | $ 13.37 |
Options exercised (in dollars per share) | $ / shares | 5.39 |
Options forfeited / cancelled (in dollars per share) | $ / shares | 16.98 |
Options outstanding at end of year (in dollars per share) | $ / shares | 13.39 |
Options exercisable at end of year (in dollars per share) | $ / shares | $ 10.29 |
Additional disclosure related to options | |
Unrecognized compensation cost | $ | $ 3.5 |
Weighted-average period over which compensation cost is expected to be recognized | 1 year 9 months 18 days |
Share Based Payments and Employ
Share Based Payments and Employee Benefit Plans - Deferred Stock Units (Details) - Deferred stock units $ / shares in Units, $ in Thousands | 3 Months Ended |
Mar. 31, 2017USD ($)$ / sharesshares | |
Number of Shares | |
DSU's outstanding at beginning of year (in shares) | shares | 85,750 |
DSU's outstanding at end of year (in shares) | shares | 85,750 |
Weighted-Average Grant Date Fair Value | |
DSU's outstanding at beginning of year (in dollars per share) | $ / shares | $ 9.83 |
DSU's outstanding at end of year (in dollars per share) | $ / shares | $ 9.83 |
Additional information regarding DSUs | |
Unrecognized compensation cost | $ | $ 67 |
Weighted-average period over which compensation cost is expected to be recognized | 2 years 3 months 18 days |
Subsequent Events (Details)
Subsequent Events (Details) - USD ($) | May 05, 2017 | Apr. 18, 2017 | Mar. 31, 2016 | Dec. 31, 2016 |
Subsequent events | ||||
Net proceeds from issuance of common stock | $ 2,079,000 | |||
Securities Purchase Agreement | Subsequent Event | ||||
Subsequent events | ||||
Sale of stock price issued | $ 56,000,000 | |||
Common stock issuance (in shares) | 4,423,381 | |||
Common stock price per issued | $ 12.66 | |||
Net proceeds from issuance of common stock | $ 55,400,000 | |||
Investors Exchange Agreement | ||||
Subsequent events | ||||
Effective interest rate | 4.75% | |||
Investors Exchange Agreement | Subsequent Event | ||||
Subsequent events | ||||
Trust preferred securities agreed to be exchanged | 412,264 | |||
Trust preferred securities, aggregate liquidation amount | $ 8,500,000 | |||
Interest Expenses | $ 13 | |||
Interest margin over base rate (as a percent) | 3.75% |