BALANCE SHEET NETTING (Tables)

6 Months Ended

Jun. 30, 2021

Offsetting [Abstract]

Offsetting Assets

The table below represents financial assets and liabilities that are subject to master netting arrangements or similar agreements categorized by financial instrument, together with corresponding financial instruments and corresponding collateral received or pledged. Warehouse lines and secured debt obligations were secured by sufficient collateral with fair value that exceeded the liability amount recorded on the consolidated balance sheets as of June 30, 2021 and December 31, 2020, respectively.

	June 30, 2021
	Gross amounts recognized		Gross amounts offset in consolidated balance sheet		Net amounts presented in consolidated balance sheet		Gross amounts not offset in consolidated balance sheet				Net amount
							Financial instruments		Cash collateral
Assets:
Forward delivery contracts	$	26,188	$	(23,753)	$	2,435	$	—	$	—	$	2,435
Put options on treasuries	—		—		—		—		—		—
MBS put options	2,341				2,341		—		—		2,341
Interest rate swap futures	10,028		—		10,028		—		—		10,028
Total Assets	$	38,557	$	(23,753)	$	14,804	$	—	$	—	$	14,804
Liabilities:
Forward delivery contracts	$	51,322	$	(23,753)	$	27,569	$	—	$	—	$	27,569
Put options on treasuries	29,500		—		29,500		—		—		29,500
Interest rate swap futures	—		—		—		—		—		—
Warehouse lines of credit	8,498,365		—		8,498,365		(8,498,365)		—		—
Secured debt obligations (1)	390,868		—		390,868		(390,868)		—		—
Total Liabilities	$	8,970,055	$	(23,753)	$	8,946,302	$	(8,889,233)	$	—	$	57,069

(1)Secured debt obligations as of June 30, 2021 included the Secured Credit Facilities, GMSR VFN, Term Notes, and 2020-VF1 Notes.

	December 31, 2020
	Gross amounts recognized		Gross amounts offset in consolidated balance sheet		Net amounts presented in consolidated balance sheet		Gross amounts not offset in consolidated balance sheet				Net amount
							Financial instruments		Cash collateral
Assets:
Forward delivery contracts	$	71,029	$	(70,922)	$	107	$	—	$	—	$	107
Interest rate swap futures	483		—		483		—		—		483
Total Assets	$	71,512	$	(70,922)	$	590	$	—	$	—	$	590
Liabilities:
Forward delivery contracts	$	234,488	$	(70,922)	$	163,566	$	—	$	—	$	163,566
Put options on treasuries	4,299		—		4,299		—		—		4,299
Warehouse lines of credit	6,577,429		—		6,577,429		(6,577,429)		—		—
Secured debt obligations (1)	223,593		—		223,593		(223,593)		—		—
Total Liabilities	$	7,039,809	$	(70,922)	$	6,968,887	$	(6,801,022)	$	—	$	167,865

(1)Secured debt obligations as of December 31, 2020 included the GMSR VFN, Term Notes, and 2020-VF1 Notes.

Offsetting Liabilities

The table below represents financial assets and liabilities that are subject to master netting arrangements or similar agreements categorized by financial instrument, together with corresponding financial instruments and corresponding collateral received or pledged. Warehouse lines and secured debt obligations were secured by sufficient collateral with fair value that exceeded the liability amount recorded on the consolidated balance sheets as of June 30, 2021 and December 31, 2020, respectively.

	June 30, 2021
	Gross amounts recognized		Gross amounts offset in consolidated balance sheet		Net amounts presented in consolidated balance sheet		Gross amounts not offset in consolidated balance sheet				Net amount
							Financial instruments		Cash collateral
Assets:
Forward delivery contracts	$	26,188	$	(23,753)	$	2,435	$	—	$	—	$	2,435
Put options on treasuries	—		—		—		—		—		—
MBS put options	2,341				2,341		—		—		2,341
Interest rate swap futures	10,028		—		10,028		—		—		10,028
Total Assets	$	38,557	$	(23,753)	$	14,804	$	—	$	—	$	14,804
Liabilities:
Forward delivery contracts	$	51,322	$	(23,753)	$	27,569	$	—	$	—	$	27,569
Put options on treasuries	29,500		—		29,500		—		—		29,500
Interest rate swap futures	—		—		—		—		—		—
Warehouse lines of credit	8,498,365		—		8,498,365		(8,498,365)		—		—
Secured debt obligations (1)	390,868		—		390,868		(390,868)		—		—
Total Liabilities	$	8,970,055	$	(23,753)	$	8,946,302	$	(8,889,233)	$	—	$	57,069

(1)Secured debt obligations as of June 30, 2021 included the Secured Credit Facilities, GMSR VFN, Term Notes, and 2020-VF1 Notes.

	December 31, 2020
	Gross amounts recognized		Gross amounts offset in consolidated balance sheet		Net amounts presented in consolidated balance sheet		Gross amounts not offset in consolidated balance sheet				Net amount
							Financial instruments		Cash collateral
Assets:
Forward delivery contracts	$	71,029	$	(70,922)	$	107	$	—	$	—	$	107
Interest rate swap futures	483		—		483		—		—		483
Total Assets	$	71,512	$	(70,922)	$	590	$	—	$	—	$	590
Liabilities:
Forward delivery contracts	$	234,488	$	(70,922)	$	163,566	$	—	$	—	$	163,566
Put options on treasuries	4,299		—		4,299		—		—		4,299
Warehouse lines of credit	6,577,429		—		6,577,429		(6,577,429)		—		—
Secured debt obligations (1)	223,593		—		223,593		(223,593)		—		—
Total Liabilities	$	7,039,809	$	(70,922)	$	6,968,887	$	(6,801,022)	$	—	$	167,865

(1)Secured debt obligations as of December 31, 2020 included the GMSR VFN, Term Notes, and 2020-VF1 Notes.