Impac Mortgage Holdings, Inc. said today that it will not file its third quarter earnings statement with the Securities and Exchange Commision as the former Alt-A mortgage giant grapples with a margin call from Bear Stearns and possible future margin calls from other creditors. From the company's SEC filing:
Impac Mortgage Holdings, Inc. (the “Company�) received a notice of event of default dated September 12, 2007 from Bear Stearns Funding Inc. (“Bear Stearns�) pursuant to a Master Repurchase Agreement among the Company and its subsidiaries and Bear Stearns with respect to margin calls. Subsequently, Bear Stearns notified the Company that it had elected to terminate the facility and demanded immediate payment of the entire amount of approximately $286 million and seized the collateral. As of November 9, 2007, the loans on the facility have been liquidated, and the Company no longer has margin call or loss exposure associated with this facility.
The rest of the SEC filing covers possible defaults under the terms of the company's other credit arrangements, well worth your read. In a press statement today, Impac said that it expects to report a "significant change" in its third quarter results, although it could not estimate the magnitude of any losses:
...the Company expects to significantly add to its loan loss provisions primarily due to increased delinquencies in our long term investment portfolio and increased loss severities related to the sale and liquidation of real estate owned ("REO") properties. Principally, because of the increase in provision for loan losses the Company anticipates to report a stockholders deficit as of September 30, 2007.
As an industry insider, I'm very interested in the admission that the company is seeing "increased loss severities" on its REO portfolio -- especially since months ago the rating agencies had already adjusted their own severity estimates. Most lenders would have followed suit at that time. Keep in mind, too, that Impac had earlier in the year touted its adoption of an auction-based model for REO disposition as part of a strategy to preserve capital -- a move that it said in June it expected to increase loss severity but speed up overall asset disposition. That was in June, so it looks like its REO strategy has worked out even worse than the elevated loss severities expected in June.