Derivative and Hedging Instruments

3 Months Ended

Mar. 31, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

DERIVATIVE AND HEDGING INSTRUMENTS

Interest Rate Caps. We utilize interest rate cap agreements to manage the interest rate risk on certain secured financings. The following tables provide the terms of our interest rate cap agreements that were in effect as of March 31, 2021 and December 31, 2020:


(Dollars in millions)
As of March 31, 2021
Facility Amount		Facility Name	Purpose	Start	End	Notional		Cap Interest Rate (1)
$	400.0	Warehouse Facility II	Cap Floating Rate	12/2020	7/2022	$	205.0	5.50	%

300.0		Warehouse Facility IV	Cap Floating Rate	05/2017	04/2021	8.3		6.50	%
			Cap Floating Rate	05/2018	04/2021	12.5		6.50	%
			Cap Floating Rate	07/2019	07/2023	279.2		6.50	%
						300.0

125.0		Warehouse Facility V	Cap Floating Rate	12/2020	01/2026	94.0		5.50	%

150.0		Warehouse Facility VII	Cap Floating Rate	12/2017	11/2021	50.0		5.50	%
			Cap Floating Rate	01/2020	12/2023	100.0		5.50	%
						150.0

200.0		Warehouse Facility VIII	Cap Floating Rate	08/2019	08/2023	200.0		5.50	%
100.0		Term ABS 2021-1	Cap Floating Rate	02/2021	06/2024	100.0		5.50	%


(Dollars in millions)
As of December 31, 2020
Facility Amount		Facility Name	Purpose	Start	End	Notional		Cap Interest Rate (1)
$	400.0	Warehouse Facility II	Cap Floating Rate	12/2020	7/2022	$	205.0	5.50	%

300.0		Warehouse Facility IV	Cap Floating Rate	05/2017	04/2021	33.3		6.50	%
			Cap Floating Rate	05/2018	04/2021	50.0		6.50	%
			Cap Floating Rate	07/2019	07/2023	216.7		6.50	%
						300.0

125.0		Warehouse Facility V	Cap Floating Rate	12/2020	01/2026	94.0		5.50	%

150.0		Warehouse Facility VII	Cap Floating Rate	12/2017	11/2021	68.7		5.50	%
			Cap Floating Rate	01/2020	12/2023	81.3		5.50	%
						150.0

200.0		Warehouse Facility VIII	Cap Floating Rate	08/2019	08/2023	200.0		5.50	%

(1)Rate excludes the spread over the corresponding LIBOR or commercial paper rate.

The interest rate caps have not been designated as hedging instruments. As of March 31, 2021 and December 31, 2020, the interest rate caps had a fair value of $0.2 million and $0.1 million, respectively, as the capped rates were significantly above market rates.