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Derivative Financial Instruments and Hedging | 3 Months Ended
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Mar. 31, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Financial Instruments and Hedging | Derivative Financial Instruments and Hedging The Company utilizes derivative financial instruments as part of its overall investment and hedging activities. Derivative contracts are subject to additional risk that can result in a loss of all or part of an investment. The Company’s derivative activities are primarily classified by underlying credit risk and interest rate risk. In addition, the Company is also subject to additional counterparty risk should its counterparties fail to meet the contract terms. The derivative financial instruments are reported in other investments. Derivative liabilities are reported within other liabilities and accrued expenses. Derivatives, at fair value Interest Rate Lock Commitments The Company enters into interest rate lock commitments (IRLCs) with customers in connection with its mortgage banking activities to fund residential mortgage loans with certain terms at specified times in the future. IRLCs that relate to the origination of mortgage loans that will be classified as held-for-sale are considered derivative instruments under applicable accounting guidance. As such, these IRLCs are recorded at fair value with changes in fair value typically resulting in recognition of a gain when the Company enters into IRLCs. In estimating the fair value of an IRLC, the Company assigns a probability that the loan commitment will be exercised and the loan will be funded (“pull through”). The fair value of the commitments is derived from the fair value of related mortgage loans, net of estimated costs to complete. Outstanding IRLCs expose the Company to the risk that the price of the loans underlying the commitments might decline from inception of the rate lock to funding of the loan. To manage this risk, the Company utilizes forward delivery contracts and to be announced (TBA) mortgage backed securities to economically hedge the risk of potential changes in the value of the loans that would result from the commitments. Forward Delivery Contracts and TBA Mortgage Backed Securities The Company enters into forward delivery contracts with loan aggregators and other investors as one of the tools to manage the interest rate risk associated with IRLCs and loans held for sale. In addition, the Company enters into TBA mortgage backed securities which facilitate hedging and funding by allowing the Company to prearrange prices for mortgages that are in the process of originating. The Company utilizes these hedging instruments for Agency (Fannie Mae and Freddie Mac) and FHA/VA (Ginnie Mae) eligible IRLCs. The following table presents the gross notional and fair value amounts of derivatives (on a gross basis) categorized by underlying risk:
| As of March 31, 2021 |  | As of December 31, 2020
| Notional values |  | Asset derivatives |  | Liability derivatives |  | Notional values |  | Asset derivatives |  | Liability derivatives
Interest rate lock commitments | $ | 304,757 |  |  | $ | 8,284 |  |  | $ | — |  |  | $ | 219,929 |  |  | $ | 9,207 |  |  | $ | — |
Forward delivery contracts | 51,981 |  |  | 109 |  |  | — |  |  | 35,979 |  |  | — |  |  | 22 |
TBA mortgage backed securities | 395,000 |  |  | 3,628 |  |  | 403 |  |  | 291,000 |  |  | 232 |  |  | 1,508 |
Other | 1,467 |  |  | 667 |  |  | 692 |  |  | 3,058 |  |  | 2,090 |  |  | 560 |
Total | $ | 753,205 |  |  | $ | 12,688 |  |  | $ | 1,095 |  |  | $ | 549,966 |  |  | $ | 11,529 |  |  | $ | 2,090 |

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- Definition 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. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI http://asc.fasb.org/topic&trid=2229140 + Details
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