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Derivative Financial Instruments and Hedging | 9 Months Ended
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Sep. 30, 2022
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 entered into in order to manage underlying credit risk, market risk, and interest rate risk. In addition, the Company is also subject to counterparty risk should its counterparties fail to meet the contract terms. Derivative assets are reported in other investments. Derivative liabilities are reported within other liabilities and accrued expenses. Interest Rate Lock Commitments Derivatives for our mortgage business are primarily comprised of interest rate lock commitments (IRLCs), forward delivery contracts, and TBA mortgage backed securities. The fair value of these instruments is based upon valuation pricing models, which represent the amount the Company would expect to receive or pay at the balance sheet date to exit the position. Our mortgage origination subsidiary issues IRLCs to their customers, which are carried at estimated fair value on the Company’s condensed consolidated balance sheets. The estimated fair values of these commitments are generally calculated by reference to the value of the underlying loan associated with the IRLC net of costs to produce and an expected pull through assumption. The fair values of these commitments generally fall under Level 3 in the fair value hierarchy. Forward Delivery Contracts and TBA Mortgage Backed Securities Our mortgage origination subsidiaries manage their exposure by entering into forward delivery commitments with loan investors. For loans not locked with investors under a forward delivery commitment, the Company enters into hedge instruments, primarily TBAs, to protect against movements in interest rates. The fair values of TBA mortgage-backed securities and forward delivery contracts generally fall under Level 2 in the fair value hierarchy. The remaining derivatives are generally comprised of a combination of swaps, options and short positions, which are generally classified as Level 2 in the fair value hierarchy. In addition, the Fortegra Additional Warrant (Warburg) is a derivative liability and classified as Level 3 in the fair value hierarchy. See Note (17) Stockholders’ Equity for additional information regarding the Fortegra Additional Warrant. The following table presents the gross notional and fair value amounts of derivatives (on a gross basis) categorized by underlying risk:
| As of September 30, 2022 |  | As of December 31, 2021
| Notional values |  | Asset derivatives |  | Liability derivatives |  | Notional values |  | Asset derivatives |  | Liability derivatives
Interest rate lock commitments | $ | 189,046 |  |  | $ | 1,505 |  |  | $ | — |  |  | $ | 268,878 |  |  | $ | 7,514 |  |  | $ | — |
Forward delivery contracts | 28,644 |  |  | 287 |  |  | 1 |  |  | 56,593 |  |  | 204 |  |  | 59 |
TBA mortgage backed securities | 220,000 |  |  | 5,612 |  |  | 550 |  |  | 316,000 |  |  | 262 |  |  | 425 |
Fortegra Additional Warrants (Warburg)(1) | — |  |  | — |  |  | 6,230 |  |  | — |  |  | — |  |  | — |
Other | 22,943 |  |  | 350 |  |  | 7,164 |  |  | 9,232 |  |  | 216 |  |  | 1,657 |
Total | $ | 460,633 |  |  | $ | 7,754 |  |  | $ | 13,945 |  |  | $ | 650,703 |  |  | $ | 8,196 |  |  | $ | 2,141 |
(1) See Note (17) Stockholders’ Equity for additional information.

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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 https://asc.fasb.org/topic&trid=2229140 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 40 -Section 50 -Paragraph 5 -Subparagraph (f) -URI https://asc.fasb.org/extlink&oid=126731327&loc=d3e90205-114008 + Details
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