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v3.21.2

BALANCE SHEET NETTING (Tables) | 9 Months Ended
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Sep. 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 September 30, 2021 and December 31, 2020, respectively.
|  | September 30, 2021
|  | Gross amounts recognized |  | Gross amounts offset in consolidated balance sheets |  | Net amounts presented in consolidated balance sheets |  | Gross amounts not offset in consolidated balance sheets |  | Net amount
|  |  |  |  | Financial instruments |  | Cash collateral |
Assets: |  |  |  |  |  |  |  |  |  |  |  |
Forward delivery contracts |  | $ | 126,084 |  |  | $ | (50,843) |  |  | $ | 75,241 |  |  | $ | — |  |  | $ | (88,040) |  |  | $ | (12,799) |
Total Assets |  | $ | 126,084 |  |  | $ | (50,843) |  |  | $ | 75,241 |  |  | $ | — |  |  | $ | (88,040) |  |  | $ | (12,799) |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Forward delivery contracts |  | $ | 50,882 |  |  | $ | (50,843) |  |  | $ | 39 |  |  | $ | — |  |  | $ | (30) |  |  | $ | 9 |
Put options on treasuries |  | 10,889 |  |  | — |  |  | 10,889 |  |  | — |  |  | — |  |  | 10,889 |
Interest rate swap futures |  | 31,063 |  |  | — |  |  | 31,063 |  |  | — |  |  | — |  |  | 31,063 |
Warehouse lines of credit |  | 8,212,142 |  |  | — |  |  | 8,212,142 |  |  | (8,212,142) |  |  | — |  |  | — |
Secured debt obligations (1) |  | 325,089 |  |  | — |  |  | 325,089 |  |  | (325,089) |  |  | — |  |  | — |
Total Liabilities |  | $ | 8,630,065 |  |  | $ | (50,843) |  |  | $ | 8,579,222 |  |  | $ | (8,537,231) |  |  | $ | (30) |  |  | $ | 41,961 |
(1)Secured debt obligations as of September 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 sheets |  | Net amounts presented in consolidated balance sheets |  | Gross amounts not offset in consolidated balance sheets |  | 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 September 30, 2021 and December 31, 2020, respectively.
|  | September 30, 2021
|  | Gross amounts recognized |  | Gross amounts offset in consolidated balance sheets |  | Net amounts presented in consolidated balance sheets |  | Gross amounts not offset in consolidated balance sheets |  | Net amount
|  |  |  |  | Financial instruments |  | Cash collateral |
Assets: |  |  |  |  |  |  |  |  |  |  |  |
Forward delivery contracts |  | $ | 126,084 |  |  | $ | (50,843) |  |  | $ | 75,241 |  |  | $ | — |  |  | $ | (88,040) |  |  | $ | (12,799) |
Total Assets |  | $ | 126,084 |  |  | $ | (50,843) |  |  | $ | 75,241 |  |  | $ | — |  |  | $ | (88,040) |  |  | $ | (12,799) |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Forward delivery contracts |  | $ | 50,882 |  |  | $ | (50,843) |  |  | $ | 39 |  |  | $ | — |  |  | $ | (30) |  |  | $ | 9 |
Put options on treasuries |  | 10,889 |  |  | — |  |  | 10,889 |  |  | — |  |  | — |  |  | 10,889 |
Interest rate swap futures |  | 31,063 |  |  | — |  |  | 31,063 |  |  | — |  |  | — |  |  | 31,063 |
Warehouse lines of credit |  | 8,212,142 |  |  | — |  |  | 8,212,142 |  |  | (8,212,142) |  |  | — |  |  | — |
Secured debt obligations (1) |  | 325,089 |  |  | — |  |  | 325,089 |  |  | (325,089) |  |  | — |  |  | — |
Total Liabilities |  | $ | 8,630,065 |  |  | $ | (50,843) |  |  | $ | 8,579,222 |  |  | $ | (8,537,231) |  |  | $ | (30) |  |  | $ | 41,961 |
(1)Secured debt obligations as of September 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 sheets |  | Net amounts presented in consolidated balance sheets |  | Gross amounts not offset in consolidated balance sheets |  | 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.

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