Securitized Mortgage Trusts (Tables)

12 Months Ended

Dec. 31, 2022


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


	December 31,		December 31,
	2022		2021
Mortgages secured by residential real estate	$	—	$	1,653,749
Mortgages secured by commercial real estate		—		89,801
Fair value adjustment		—		(104,299)
Total securitized mortgage collateral, at fair value	$	—	$	1,639,251

(1)	Impairment represents the cumulative write-downs of net realizable value subsequent to foreclosure.


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


			Securitized
			mortgage
			borrowings
			outstanding as of
			December 31,				Range of Interest Rates (%)
								Interest	Interest
								Rate	Rate
	Original						Fixed	Margins over	Margins after
	Issuance						Interest	One-Month	Contractual
Year of Issuance	Amount		2022		2021		Rates	LIBOR (1)	Call Date (2)
2002	$	3,876.1	$	—	$	2.7	5.25 - 12.00	0.27 - 2.75	0.54 - 3.68
2003		5,966.1		—		12.9	4.34 - 12.75	0.27 - 3.00	0.54 - 4.50
2004		17,710.7		—		210.9	3.58 - 5.56	0.25 - 2.50	0.50 - 3.75
2005		13,387.7		—		1,198.2	—	0.24 - 2.90	0.48 - 4.35
2006		5,971.4		—		1,626.0	6.25	0.10 - 2.75	0.20 - 4.13
2007		3,860.5		—		882.5	—	0.06 - 2.00	0.12 - 3.00
Subtotal contractual principal balance (3)				—		3,933.2
Fair value adjustment (4)				—		(2,318.3)
Total securitized mortgage borrowings			$	—	$	1,614.9

(1)	One-month LIBOR was 0.10 % as of December 31, 2021.

(2)	Interest rate margins are generally adjusted when the unpaid principal balance is reduced to less than 10-20% of the original issuance amount, or if certain other triggers are met.

(3)	Represents the outstanding balance in accordance with trustee reporting.

(4)	Fair value adjustment was inclusive of $0 and $2.2 billion in bond losses at December 31, 2022 and 2021, respectively.


	For the Year Ended
	December 31,
	2022		2021
Change in fair value of net trust assets, excluding REO	$	9,248	$	6,471
Gains from trust REO		—		111
Change in fair value of net trust assets, including trust REO gains	$	9,248	$	6,582

IMPAC MORTGAGE HOLDINGS INC 10-K