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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended September 30, 2021

or

TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from               to               

Commission File Number: 1-14100

IMPAC MORTGAGE HOLDINGS, INC.

(Exact name of registrant as specified in its charter)

Maryland

33-0675505

(State or other jurisdiction of

(I.R.S. Employer

incorporation or organization)

Identification No.)

19500 Jamboree RoadIrvine, California 92612

(Address of principal executive offices)

(949) 475-3600

(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:

Title of each class

Trading Symbol(s)

Name of each exchange on which registered

Common Stock, $0.01 par value

IMH

NYSE American

Preferred Stock Purchase Rights

IMH

NYSE American

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.  Yes  No 

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).  Yes  No 

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, or a non-accelerated filer, smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer

Accelerated filer

Non-accelerated filer

Smaller reporting company

Emerging growth company 

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.    

Indicate by check mark whether the registrant is a shell company (as defined in Exchange Act Rule 12b-2)  Yes  No 

There were 21,332,684 shares of common stock outstanding as of November 5, 2021.

1

IMPAC MORTGAGE HOLDINGS, INC. AND SUBSIDIARIES

FORM 10-Q QUARTERLY REPORT

TABLE OF CONTENTS

Page

PART I. FINANCIAL INFORMATION

ITEM 1.

CONSOLIDATED FINANCIAL STATEMENTS

Consolidated Balance Sheets as of September 30, 2021 (unaudited) and December 31, 2020

3

Consolidated Statements of Operations and Comprehensive Earnings (Loss) for the Three and Nine Months Ended September 30, 2021 and 2020 (unaudited)

4

Consolidated Statements of Changes in Stockholders’ Equity for the Three and Nine Months Ended September 30, 2021 and 2020 (unaudited)

5

Consolidated Statements of Cash Flows for the Nine Months Ended September 30, 2021 and 2020 (unaudited)

7

Notes to Unaudited Consolidated Financial Statements

8

ITEM 2.

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

33

Forward-Looking Statements

33

The Mortgage Industry and Discussion of Relevant Fiscal Periods

33

Selected Financial Results

34

Status of Operations

34

Liquidity and Capital Resources

38

Critical Accounting Policies

40

Financial Condition and Results of Operations

41

ITEM 3.

QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

62

ITEM 4.

CONTROLS AND PROCEDURES

62

PART II. OTHER INFORMATION

ITEM 1.

LEGAL PROCEEDINGS

63

ITEM 1A.

RISK FACTORS

63

ITEM 2.

UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS

63

ITEM 3.

DEFAULTS UPON SENIOR SECURITIES

63

ITEM 4.

MINE SAFETY DISCLOSURES

63

ITEM 5.

OTHER INFORMATION

63

ITEM 6.

EXHIBITS

63

SIGNATURES

64

CERTIFICATIONS

2

PART I. FINANCIAL INFORMATION

ITEM 1.

CONSOLIDATED FINANCIAL STATEMENTS

IMPAC MORTGAGE HOLDINGS, INC. AND SUBSIDIARIES

CONSOLIDATED BALANCE SHEETS

(in thousands, except share data)

    

September 30, 

    

December 31, 

 

2021

2020

 

ASSETS

(unaudited)

Cash and cash equivalents

$

42,192

$

54,150

Restricted cash

 

5,812

 

5,602

Mortgage loans held-for-sale

 

275,544

 

164,422

Mortgage servicing rights

 

757

 

339

Securitized mortgage trust assets

 

1,727,736

 

2,103,269

Other assets

 

38,467

 

41,524

Total assets

$

2,090,508

$

2,369,306

LIABILITIES

Warehouse borrowings

$

261,464

$

151,932

Convertible notes, net

 

20,000

 

20,000

Long-term debt

 

46,458

 

44,413

Securitized mortgage trust liabilities

 

1,707,494

 

2,086,557

Other liabilities

 

47,810

 

50,753

Total liabilities

 

2,083,226

 

2,353,655

Commitments and contingencies (See Note 11)

STOCKHOLDERS’ EQUITY

Series A-1 junior participating preferred stock, $0.01 par value; 2,500,000 shares authorized; none issued or outstanding

 

 

Series B 9.375% redeemable preferred stock, $0.01 par value; liquidation value $35,360; 2,000,000 shares authorized, 665,592 cumulative shares issued and outstanding as of September 30, 2021 and December 31, 2020 (See Note 12)

 

7

 

7

Series C 9.125% redeemable preferred stock, $0.01 par value; liquidation value $35,127; 5,500,000 shares authorized; 1,405,086 cumulative shares issued and outstanding as of September 30, 2021 and December 31, 2020 (See Note 12)

 

14

 

14

Common stock, $0.01 par value; 200,000,000 shares authorized; 21,332,684 and 21,238,191 shares issued and outstanding as of September 30, 2021 and December 31, 2020, respectively

 

213

 

212

Additional paid-in capital

 

1,237,767

 

1,237,102

Accumulated other comprehensive earnings, net of tax

23,192

24,766

Total accumulated deficit:

 

Cumulative dividends declared

 

(822,520)

 

(822,520)

Accumulated deficit

 

(431,391)

 

(423,930)

Total accumulated deficit

 

(1,253,911)

 

(1,246,450)

Total stockholders’ equity

 

7,282

 

15,651

Total liabilities and stockholders’ equity

$

2,090,508

$

2,369,306

See accompanying notes to unaudited consolidated financial statements

3

IMPAC MORTGAGE HOLDINGS, INC. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE EARNINGS (LOSS)

(in thousands, except per share data)

(Unaudited)

For the Three Months Ended

For the Nine Months Ended

September 30, 

September 30, 

    

2021

    

2020

    

2021

    

2020

Revenues

    

    

    

    

Gain (loss) on sale of loans, net

$

19,608

$

19,261

$

50,432

$

(7,451)

Real estate services fees, net

 

244

 

332

 

932

 

1,018

Gain (loss) on mortgage servicing rights, net

101

(133)

102

(26,885)

Servicing (expense) fees, net

 

(124)

 

(125)

 

(393)

 

3,733

Other

 

(11)

 

143

 

308

 

1,495

Total revenues, net

 

19,818

 

19,478

 

51,381

 

(28,090)

Expenses

Personnel

 

12,685

 

11,186

 

39,574

 

39,624

General, administrative and other

 

4,927

 

4,828

 

15,991

 

18,418

Business promotion

2,185

104

5,146

3,307

Total expenses

 

19,797

 

16,118

 

60,711

 

61,349

Operating earnings (loss)

21

3,360

(9,330)

(89,439)

Other income (expense)

Interest income

 

17,197

 

25,965

 

49,429

 

97,893

Interest expense

 

(16,420)

 

(25,245)

 

(47,433)

 

(93,464)

Change in fair value of long-term debt

(1,803)

(1,127)

638

3,701

Change in fair value of net trust assets, including trust REO gains

 

3,112

 

(1,349)

 

(702)

 

(4,596)

Total other income (expense), net

 

2,086

 

(1,756)

 

1,932

 

3,534

Earnings (loss) before income taxes

 

2,107

 

1,604

 

(7,398)

 

(85,905)

Income tax expense

 

21

 

4

 

63

 

55

Net earnings (loss)

$

2,086

$

1,600

$

(7,461)

$

(85,960)

Other comprehensive earnings (loss)

Change in fair value of instrument specific credit risk of long-term debt

631

362

(1,574)

(525)

Total comprehensive earnings (loss)

$

2,717

$

1,962

$

(9,035)

$

(86,485)

Net earnings (loss) per common share:

Basic

$

0.08

$

0.08

$

(0.37)

$

(4.05)

Diluted

$

0.08

$

0.08

$

(0.37)

$

(4.05)

See accompanying notes to unaudited consolidated financial statements

4

IMPAC MORTGAGE HOLDINGS, INC. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS’ EQUITY

(in thousands, except share amounts)

(Unaudited)

    

Preferred

    

    

Common

    

    

Additional

    

Cumulative

    

Accumulated Other

    

Total

 

Shares

Preferred

Shares

Common

Paid-In

Dividends

Accumulated

Comprehensive

Stockholders’

 

Outstanding

Stock

Outstanding

Stock

Capital

Declared

Deficit

Earnings, net of tax

Equity

 

Balance, December 31, 2020

 

2,070,678

$

21

 

21,238,191

$

212

$

1,237,102

$

(822,520)

$

(423,930)

$

24,766

$

15,651

Stock based compensation

 

 

 

 

218

 

 

 

 

218

Issuance of restricted stock units

94,493

1

1

Other comprehensive loss

(1,667)

(1,667)

Net loss

 

 

 

 

 

 

 

(683)

 

 

(683)

Balance, March 31, 2021

 

2,070,678

$

21

 

21,332,684

$

213

$

1,237,320

$

(822,520)

$

(424,613)

$

23,099

$

13,520

Stock based compensation

 

 

 

 

224

 

 

 

 

224

Other comprehensive loss

(538)

(538)

Net loss

 

 

 

 

 

 

 

(8,864)

 

 

(8,864)

Balance, June 30, 2021

 

2,070,678

$

21

 

21,332,684

$

213

$

1,237,544

$

(822,520)

$

(433,477)

$

22,561

$

4,342

Stock based compensation

 

 

 

 

223

 

 

 

 

223

Other comprehensive earnings

631

631

Net earnings

 

 

 

 

 

 

 

2,086

 

 

2,086

Balance, September 30, 2021

 

2,070,678

$

21

 

21,332,684

$

213

$

1,237,767

$

(822,520)

$

(431,391)

$

23,192

$

7,282

See accompanying notes to unaudited consolidated financial statements

5

IMPAC MORTGAGE HOLDINGS, INC. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS’ EQUITY

(in thousands, except share amounts)

(Unaudited)

    

Preferred

    

    

Common

    

    

Additional

    

Cumulative

    

Accumulated Other

    

Total

Shares

Preferred

Shares

Common

Paid-In

Dividends

Accumulated

Comprehensive

Stockholders’

Outstanding

Stock

Outstanding

Stock

Capital

Declared

Deficit

Earnings, net of tax

Equity

Balance, December 31, 2019

 

2,070,678

$

21

 

21,255,426

$

212

$

1,236,237

$

(822,520)

$

(334,499)

$

24,786

$

104,237

Proceeds and tax benefit from exercise of stock options

 

 

 

9,500

1

 

46

 

 

 

 

47

Stock based compensation

 

 

 

 

238

 

 

 

 

238

Other comprehensive loss

(3,073)

(3,073)

Consolidation of corporate-owned life insurance trusts

(1,281)

(1,281)

Net loss

 

 

 

 

 

 

 

(64,731)

 

 

(64,731)

Balance, March 31, 2020

 

2,070,678

$

21

 

21,264,926

$

213

$

1,236,521

$

(822,520)

$

(400,511)

$

21,713

$

35,437

Proceeds from exercise of stock options

 

 

 

(35,069)

(1)

 

(125)

 

 

 

 

(126)

Stock based compensation

 

 

 

 

111

 

 

 

 

111

Issuance of warrants in connection with debt financing

242

242

Other comprehensive earnings

2,186

2,186

Net loss

 

 

 

 

 

 

 

(22,829)

 

 

(22,829)

Balance, June 30, 2020

 

2,070,678

$

21

 

21,229,857

$

212

$

1,236,749

$

(822,520)

$

(423,340)

$

23,899

$

15,021

Stock based compensation

 

 

 

 

199

 

 

 

 

199

Other comprehensive earnings

362

362

Net earnings

 

 

 

 

 

 

 

1,600

 

 

1,600

Balance, September 30, 2020

 

2,070,678

$

21

 

21,229,857

$

212

$

1,236,948

$

(822,520)

$

(421,740)

$

24,261

$

17,182

See accompanying notes to unaudited consolidated financial statements

6

IMPAC MORTGAGE HOLDINGS, INC. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF CASH FLOWS

(in thousands)

(Unaudited)

For the Nine Months Ended

September 30, 

2021

2020

CASH FLOWS FROM OPERATING ACTIVITIES

    

    

    

    

Net loss

$

(7,461)

$

(85,960)

(Gain) loss on sale of mortgage servicing rights

(143)

4,925

Change in fair value of mortgage servicing rights

 

41

 

21,960

Gain on sale of mortgage loans

 

(47,017)

 

(13,520)

Change in fair value of mortgage loans held-for-sale

 

(3,632)

 

16,595

Change in fair value of derivatives lending, net

 

504

 

100

Change in provision for repurchases

 

(287)

 

4,276

Origination of mortgage loans held-for-sale

 

(2,144,067)

 

(1,936,904)

Sale and principal reduction on mortgage loans held-for-sale

 

2,083,135

 

2,566,925

Gain from trust REO

 

(1,289)

 

(4,959)

Change in fair value of net trust assets, excluding trust REO

 

1,991

 

9,555

Change in fair value of long-term debt

 

(638)

 

(3,701)

Accretion of interest income and expense

 

40,335

 

49,320

Amortization of debt issuance costs and discount on note payable

 

 

4

Stock-based compensation

 

665

 

548

Accretion of interest expense on corporate debt

202

Loss on disposal of premises and equipment

102

Net change in other assets

1,585

5,703

Net change in other liabilities

 

(1,928)

 

(13,933)

Net cash (used in) provided by operating activities

 

(78,104)

 

621,136

CASH FLOWS FROM INVESTING ACTIVITIES

Net change in securitized mortgage collateral

 

462,387

 

313,451

Proceeds from the sale of mortgage servicing rights

 

143

 

16,338

Investment in corporate-owned life insurance

 

(177)

 

(1,220)

Purchase of premises and equipment

 

(27)

 

(534)

Proceeds from the sale of trust REO

 

6,696

 

18,199

Net cash provided by investing activities

 

469,022

 

346,234

CASH FLOWS FROM FINANCING ACTIVITIES

Repayment of MSR financing

(15,448)

Borrowings under MSR financing

 

 

15,448

Repayment of warehouse borrowings

 

(1,975,667)

 

(2,424,655)

Borrowings under warehouse agreements

 

2,085,199

 

1,865,328

Repayment of securitized mortgage borrowings

 

(512,540)

 

(385,610)

Net change in liabilities related to corporate-owned life insurance

341

1,699

Tax payments on stock based compensation awards

(2)

Issuance of restricted stock

1

Retirement of restricted stock

(126)

Proceeds from exercise of stock options

 

 

47

Net cash used in financing activities

 

(402,666)

 

(943,319)

Net change in cash, cash equivalents and restricted cash

 

(11,748)

 

24,051

Cash, cash equivalents and restricted cash at beginning of year

 

59,752

 

37,132

Cash, cash equivalents and restricted cash at end of period

$

48,004

$

61,183

NON-CASH TRANSACTIONS

Transfer of securitized mortgage collateral to trust REO

$

5,676

$

8,117

Mortgage servicing rights retained from issuance of mortgage backed securities and loan sales

 

459

 

1,753

Recognition of corporate-owned life insurance cash surrender value (included in Other assets)

9,476

Recognition of corporate-owned life insurance trusts (included in Other liabilities)

10,757

Issuance of warrants

242

See accompanying notes to unaudited consolidated financial statements

7

IMPAC MORTGAGE HOLDINGS, INC. AND SUBSIDIARIES

NOTES TO UNAUDITED CONSOLIDATED FINANCIAL STATEMENTS

(dollars in thousands, except share and per share data or as otherwise indicated)

Note 1.—Summary of Business and Financial Statement Presentation

Business Summary

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

Financial Statement Presentation

The accompanying unaudited consolidated financial statements of IMH and its subsidiaries (as defined above) have been prepared in accordance with accounting principles generally accepted in the United States of America (GAAP) for interim financial information and with the instructions to Form 10-Q and Rule 8-03 of Regulation S-X. Accordingly, they do not include all of the information and footnotes required by GAAP for complete financial statements. In the opinion of management, all adjustments, consisting of normal recurring adjustments considered necessary for a fair presentation, have been included. Operating results for the nine months ended September 30, 2021 are not necessarily indicative of the results that may be expected for the year ending December 31, 2021. 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, 2020, filed with the United States Securities and Exchange Commission.

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

Management has made a number of material estimates and assumptions relating to the reporting of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period to prepare these consolidated financial statements in conformity with GAAP.  Additionally, other items affected by such estimates and assumptions include the valuation of trust assets and trust liabilities, contingencies, the estimated obligation of repurchase reserves related to sold loans, the valuation of long-term debt, mortgage servicing rights (MSR), mortgage loans held-for-sale (LHFS) and derivative instruments, including interest rate lock commitments (IRLC). Actual results could differ from those estimates and assumptions.

Recent Accounting Pronouncements Not Yet Effective

There have been no developments to recently issued accounting standards, including the expected dates of adoption and estimated effects on the Company’s consolidated financial statements and footnote disclosures, from those disclosed in the 2020 Annual Report on Form 10-K, except for the following:

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

8

In May 2021, the FASB issued ASU 2021-04, “Earnings Per Share (Topic 260), Debt—Modifications and Extinguishments (Subtopic 470-50), Compensation—Stock Compensation (Topic 718), and Derivatives and Hedging—Contracts in Entity’s Own Equity (Subtopic 815-40): Issuer’s Accounting for Certain Modifications or Exchanges of Freestanding Equity-Classified Written Call Options (a consensus of the FASB Emerging Issues Task Force)”. The amendments in this update are effective for all entities for fiscal years beginning after December 15, 2021, including interim periods within those fiscal years.  The Company is currently evaluating the impact the adoption of this ASU would have on the Company’s consolidated financial statements.

Note 2.—Mortgage Loans Held-for-Sale

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

September 30, 

December 31, 

2021

2020

 

Government (1)

    

$

5,388

    

$

7,924

Conventional (2)

 

136,659

 

141,139

Jumbo & Non-qualified mortgages (NonQM)

125,570

11,064

Fair value adjustment (3)

 

7,927

 

4,295

Total mortgage loans held-for-sale

$

275,544

$

164,422

(1) Includes all government-insured loans including Federal Housing Administration (FHA), Veterans Affairs (VA) and United States Department of Agriculture (USDA).
(2) Includes loans eligible for sale to Federal National Mortgage Association (Fannie Mae or FNMA) and Federal Home Loan Mortgage Corporation (Freddie Mac or FHLMC).
(3) Changes in fair value are included in gain (loss) on sale of loans, net in the accompanying consolidated statements of operations and comprehensive earnings (loss).

At September 30, 2021, no loans were in nonaccrual status and $1.2 million in UPB of mortgage LHFS were in nonaccrual status at December 31, 2020, as the loans were 90 days or more delinquent.  The carrying value of the nonaccrual loans at December 31, 2020 was $1.1 million.

Gain (loss) on sale of loans, net in the consolidated statements of operations and comprehensive earnings (loss), is comprised of the following for the three and nine months ended September 30, 2021 and 2020:

For the Three Months Ended

For the Nine Months Ended

September 30, 

September 30, 

2021

2020

2021

2020

Gain on sale of mortgage loans

    

$

19,230

    

$

8,454

    

$

58,345

    

$

34,093

Premium from servicing retained loan sales

 

246

 

 

459

 

1,753

Unrealized gain (loss) from derivative financial instruments

 

2,591

 

5,241

 

(504)

 

(100)

(Loss) gain from derivative financial instruments

 

(2,085)

 

 

829

 

(11,035)

Mark to market gain (loss) on LHFS

 

4,228

 

6,607

 

3,632

 

(16,595)

Direct origination expenses, net

 

(4,677)

 

(1,774)

 

(12,616)

 

(11,291)

Change in provision for repurchases

 

75

 

733

 

287

 

(4,276)

Gain (loss) on sale of loans, net

$

19,608

$

19,261

$

50,432

$

(7,451)

Note 3.—Mortgage Servicing Rights

The Company selectively retains MSRs from its sales and securitization of certain mortgage loans or as a result of purchase transactions. MSRs are reported at fair value based on the expected income derived from the net projected cash flows associated with the servicing contracts. The Company receives servicing fees, less subservicing costs, on the UPB of the underlying mortgage loans. The servicing fees are collected from the monthly payments made by the mortgagors, or if delinquent, when the underlying real estate is foreclosed upon and liquidated. The Company may receive

9

other remuneration from rights to various mortgagor-contracted fees, such as late charges, collateral reconveyance charges and nonsufficient fund fees, and the Company is generally entitled to retain the interest earned on funds held pending remittance (or float) related to its collection of mortgagor principal, interest, tax and insurance payments.

The following table summarizes the activity of MSRs for the nine months ended September 30, 2021 and year ended December 31, 2020:

September 30, 

December 31, 

2021

2020

Balance at beginning of year

    

$

339

    

$

41,470

Additions from servicing retained loan sales

 

459

 

2,094

Reductions from bulk sales

 

 

(21,263)

Changes in fair value (1)

 

(41)

 

(21,962)

Fair value of MSRs at end of period

$

757

$

339

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

At September 30, 2021 and December 31, 2020, the UPB of the mortgage servicing portfolio was comprised of the following:

September 30, 

December 31, 

2021

2020

 

Government insured

    

$

65,142

    

$

30,524

Conventional

 

 

Total loans serviced

$

65,142

$

30,524

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