Derivative and Hedging Instruments

9 Months Ended

Sep. 30, 2022

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 September 30, 2022 and December 31, 2021:


(Dollars in millions)
As of September 30, 2022
Facility Amount		Facility Name	Purpose	Start	End	Notional		Cap Interest Rate (1)
$	400.0	Warehouse Facility II	Cap Floating Rate	07/2022	12/2023	$	205.0	6.50	%
300.0		Warehouse Facility IV	Cap Floating Rate	07/2019	07/2023	250.0		6.50	%
125.0		Warehouse Facility V	Cap Floating Rate	12/2020	01/2026	94.0		5.50	%

200.0		Warehouse Facility VIII	Cap Floating Rate	08/2019	08/2023	166.7		5.50	%
			Cap Floating Rate	09/2022	09/2025	33.3		5.50	%
						200.0

100.0		Term ABS 2021-1	Cap Floating Rate	02/2021	06/2024	100.0		5.50	%


(Dollars in millions)
As of December 31, 2021
Facility Amount		Facility Name	Purpose	Start	End	Notional		Cap Interest Rate (1)
$	400.0	Warehouse Facility II	Cap Floating Rate	12/2020	07/2022	$	205.0	5.50	%
300.0		Warehouse Facility IV	Cap Floating Rate	07/2019	07/2023	300.0		6.50	%
125.0		Warehouse Facility V	Cap Floating Rate	12/2020	01/2026	94.0		5.50	%
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	%

(1)Rate excludes the spread over the corresponding benchmark rate.

The interest rate caps have not been designated as hedging instruments. As of September 30, 2022 and December 31, 2021, the interest rate caps had a fair value of $2.6 million and $0.2 million, respectively. The increase in fair value from December 31, 2021 was the result of an increase in market rates.