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Derivative and Hedging Instruments

3 Months Ended

Mar. 31, 2017

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative and Hedging Instruments

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, 2017 and December 31, 2016:

(Dollars in millions)
As of March 31, 2017
Facility Amount				Facility Name		Purpose		Start		End		Notional				Cap Interest Rate (1)
$	400.0			Warehouse Facility II		Cap Floating Rate		06/2016		12/2017		$	325.0			5.50	%
75.0				Warehouse Facility IV		Cap Floating Rate		04/2016		04/2019		75.0				5.50	%
100.0				Warehouse Facility V		Cap Floating Rate		06/2015		07/2018		75.0				5.50	%
385.0				Term ABS 2016-1		Cap Floating Rate		04/2016		02/2019		385.0				5.00	%

(Dollars in millions)
As of December 31, 2016
Facility Amount				Facility Name		Purpose		Start		End		Notional				Cap Interest Rate (1)
$	400.0			Warehouse Facility II		Cap Floating Rate		06/2016		12/2017		$	325.0			5.50	%
75.0				Warehouse Facility IV		Cap Floating Rate		03/2014		03/2017		18.8				5.50	%
						Cap Floating Rate		04/2016		04/2019		56.2				5.50	%
												75.0
100.0				Warehouse Facility V		Cap Floating Rate		06/2015		07/2018		75.0				5.50	%
385.0				Term ABS 2016-1		Cap Floating Rate		04/2016		02/2019		385.0				5.00	%

(1) Rate excludes the spread over the LIBOR rate.

The interest rate caps have not been designated as hedging instruments. As of March 31, 2017 and December 31, 2016, the interest rate caps had a fair value of less than $0.1 million as the capped rates were significantly above market rates.

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The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts.

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