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BALANCE SHEET NETTING (Tables)

9 Months Ended

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.

X

- References

No definition available.

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- Definition

Tabular disclosure of derivative and other financial assets that are subject to offsetting, including master netting arrangements.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 210
-SubTopic 20
-Section 50
-Paragraph 3
-URI http://asc.fasb.org/extlink&oid=51824906&loc=SL20225862-175312

Reference 2: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 210
-SubTopic 20
-Section 50
-Paragraph 4
-URI http://asc.fasb.org/extlink&oid=51824906&loc=SL20225877-175312

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- Definition

Tabular disclosure of derivative and other financial liabilities that are subject to offsetting, including master netting arrangements.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 210
-SubTopic 20
-Section 50
-Paragraph 3
-URI http://asc.fasb.org/extlink&oid=51824906&loc=SL20225862-175312

Reference 2: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 210
-SubTopic 20
-Section 50
-Paragraph 4
-URI http://asc.fasb.org/extlink&oid=51824906&loc=SL20225877-175312

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