Derivative and Hedging Instruments

6 Months Ended

Jun. 30, 2023

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 June 30, 2023 and December 31, 2022:


(Dollars in millions)
As of June 30, 2023
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	25.0		6.50	%
			Cap Floating Rate	05/2023	11/2024	275.0		7.50	%
						300.0

200.0		Warehouse Facility V	Cap Floating Rate	04/2023	01/2026	94.0		5.44	%

200.0		Warehouse Facility VIII	Cap Floating Rate	08/2019	08/2023	33.3		5.42	%
			Cap Floating Rate	09/2022	09/2025	166.7		5.42	%
						200.0

100.0		Term ABS 2021-1	Cap Floating Rate	04/2023	06/2024	75.0		5.46	%
200.0		Term ABS 2022-2	Cap Floating Rate	12/2022	06/2024	200.0		6.50	%


(Dollars in millions)
As of December 31, 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	175.0		6.50	%
200.0		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	116.7		5.50	%
			Cap Floating Rate	09/2022	09/2025	83.3		5.50	%
						200.0

100.0		Term ABS 2021-1	Cap Floating Rate	02/2021	06/2024	100.0		5.50	%
200.0		Term ABS 2022-2	Cap Floating Rate	12/2022	06/2024	200.0		6.50	%

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

The interest rate caps have not been designated as hedging instruments. As of June 30, 2023 and December 31, 2022, the interest rate caps had a fair value of $1.4 million and $2.0 million, respectively.