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Offsetting assets and liabilities | 9 Months Ended
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Sep. 30, 2022
Offsetting assets and liabilities |
Offsetting assets and liabilities | ​ ​ Note 23. Offsetting assets and liabilities ​ In order to better define its contractual rights and to secure rights that will help the Company mitigate its counterparty risk, the Company may enter into an International Swaps and Derivatives Association (“ISDA”) Master Agreement with multiple derivative counterparties. An ISDA Master Agreement, published by ISDA, is a bilateral trading agreement between two parties that allow both parties to enter into over-the-counter (“OTC”), derivative contracts. The ISDA Master Agreement contains a Schedule to the Master Agreement and a Credit Support Annex, which governs the maintenance, reporting, collateral management and default process (netting provisions in the event of a default and/or a termination event). Under an ISDA Master Agreement, the Company may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default, including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event the Company’s stockholders’ equity declines by a stated percentage or the Company fails to meet the terms of its ISDA Master Agreements, which would cause the Company to accelerate payment of any net liability owed to the counterparty. As of September 30, 2022 and December 31, 2021, the Company was in good standing on all of its ISDA Master Agreements or similar arrangements with its counterparties. ​ For derivatives traded under an ISDA Master Agreement, the collateral requirements are listed under the Credit Support Annex, which is the sum of the mark to market for each derivative contract, the independent amount due to the derivative counterparty and any thresholds, if any. Collateral may be in the form of cash or any eligible securities, as defined in the respective ISDA agreements. Cash collateral pledged to and by the Company with the counterparty, if any, is reported separately in the consolidated balance sheets as restricted cash. All margin call amounts must be made before the notification time and must exceed a minimum transfer amount threshold before a transfer is required. All margin calls must be responded to and completed by the close of business on the same day of the margin call, unless otherwise specified. Any margin calls after the notification time must be completed by the next business day. Typically, the Company and its counterparties are not permitted to sell, rehypothecate or use the collateral posted. To the extent amounts due to the Company from its counterparties are not fully collateralized, the Company bears exposure and the risk of loss from a defaulting counterparty. The Company attempts to mitigate counterparty risk by establishing ISDA agreements with only high grade counterparties that have the financial health to honor their obligations and diversification by entering into agreements with multiple counterparties. ​ In accordance with ASU 2013-01, Balance Sheet (Topic 210): Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities, the Company is required to disclose the impact of offsetting of assets and liabilities represented in the consolidated balance sheets to enable users of the consolidated financial statements to evaluate the effect or potential effect of netting arrangements on its financial position for recognized assets and liabilities. These recognized assets and liabilities are financial instruments and derivative instruments that are either subject to enforceable master netting arrangements or ISDA Master Agreements or meet the following right of setoff criteria: (a) the amounts owed by the Company to another party are determinable, (b) the Company has the right to set off the amounts owed with the amounts owed by the counterparty, (c) the Company intends to offset, and (d) the Company’s right of offset is enforceable at law. As of September 30, 2022 and December 31, 2021, the Company has elected to offset assets and liabilities associated with its OTC derivative contracts in the consolidated balances sheets. ​ The table below presents the gross fair value of derivative contracts by product type and secured borrowings, the amount of netting reflected in the consolidated balance sheets, as well as the amount not offset in the consolidated balance sheets as they do not meet the enforceable credit support criteria for netting under U.S. GAAP. ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | Gross amounts not offset in the Consolidated Balance Sheets(1)
(in thousands) | Gross amounts of Assets / Liabilities | ​ | Gross amounts offset | ​ | Balance in Consolidated Balance Sheets | ​ | Financial Instruments | ​ | Cash Collateral Received / Paid | ​ | Net Amount
September 30, 2022 | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Assets | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
FX forwards | $ | 3,065 | ​ | $ | — | ​ | $ | 3,065 | ​ | $ | — | ​ | $ | — | ​ | $ | 3,065
TBA Agency Securities | ​ | 9,226 | ​ | ​ | 42 | ​ | ​ | 9,184 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 9,184
Interest rate swaps | ​ | 56,787 | ​ | ​ | 42,824 | ​ | ​ | 13,963 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 13,963
Total | $ | 69,078 | ​ | $ | 42,866 | ​ | $ | 26,212 | ​ | $ | — | ​ | $ | — | ​ | $ | 26,212
Liabilities | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
IRLCs | $ | 4,345 | ​ | $ | — | ​ | $ | 4,345 | ​ | $ | — | ​ | $ | — | ​ | $ | 4,345
TBA Agency Securities | ​ | 42 | ​ | ​ | 42 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | — | ​ | ​ | —
Secured borrowings | ​ | 3,348,249 | ​ | ​ | — | ​ | ​ | 3,348,249 | ​ | ​ | 3,348,249 | ​ | ​ | — | ​ | ​ | —
Paycheck Protection Program Liquidity Facility | ​ | 305,797 | ​ | ​ | — | ​ | ​ | 305,797 | ​ | ​ | 275,761 | ​ | ​ | — | ​ | ​ | 30,036
Total | $ | 3,658,433 | ​ | $ | 42 | ​ | $ | 3,658,391 | ​ | $ | 3,624,010 | ​ | $ | — | ​ | $ | 34,381
December 31, 2021 | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Assets | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
IRLCs | $ | 2,340 | ​ | $ | — | ​ | $ | 2,340 | ​ | $ | — | ​ | $ | — | ​ | $ | 2,340
FX forwards | ​ | 606 | ​ | ​ | — | ​ | ​ | 606 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 606
TBA Agency Securities | ​ | 128 | ​ | ​ | 128 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | — | ​ | ​ | —
Interest rate swaps | ​ | 6,076 | ​ | ​ | 2,000 | ​ | ​ | 4,076 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 4,076
Total | $ | 9,150 | ​ | $ | 2,128 | ​ | $ | 7,022 | ​ | $ | — | ​ | $ | — | ​ | $ | 7,022
Liabilities | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Interest rate swaps | $ | 3,830 | ​ | $ | 3,830 | ​ | $ | — | ​ | $ | — | ​ | $ | — | ​ | $ | —
TBA Agency Securities | ​ | 538 | ​ | ​ | 128 | ​ | ​ | 410 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 410
Secured borrowings | ​ | 2,517,600 | ​ | ​ | — | ​ | ​ | 2,517,600 | ​ | ​ | 2,517,600 | ​ | ​ | — | ​ | ​ | —
Paycheck Protection Program Liquidity Facility | ​ | 941,505 | ​ | ​ | — | ​ | ​ | 941,505 | ​ | ​ | 870,349 | ​ | ​ | — | ​ | ​ | 71,156
Total | $ | 3,463,473 | ​ | $ | 3,958 | ​ | $ | 3,459,515 | ​ | $ | 3,387,949 | ​ | $ | — | ​ | $ | 71,566
(1) | Amounts presented in these columns are limited in total to the net amount of assets or liabilities presented in the prior column by instrument. In certain cases, there is excess cash collateral or financial assets we have pledged to a counterparty that exceed the financial liabilities subject to a master netting repurchase arrangement or similar agreement. Additionally, in certain cases, counterparties may have pledged excess cash collateral to us that exceeds our corresponding financial assets. In each case, any of these excess amounts are excluded from the table although they are separately reported in our consolidated balance sheets as assets or liabilities, respectively.

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