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Derivative Instruments

9 Months Ended

Sep. 30, 2021

NOTE 15 Derivative Instruments

The Company enters into interest rate swaps to facilitate client transactions and meet their financing needs. Upon entering into these instruments to meet client needs, the Company enters into offsetting positions with U.S. financial institutions in order to minimize risk to the Company. These swaps are derivatives but are not designated as hedging instruments.

The Company did not have any derivatives designated as hedging instruments as of September 30, 2021 and December 31, 2020. The following table presents the amounts recorded in the Company’s consolidated balance sheets, for derivatives not designated as hedging instruments, as of September 30, 2021 and December 31, 2020:


		September 30, 2021				December 31, 2020
		Fair		Notional		Fair		Notional
(dollars in thousands)		Value		Amount		Value		Amount
Asset Derivatives	Consolidated Balance Sheet Location
Interest rate swaps	Other assets	$	1,060	$	45,171	$	569	$	44,597
Interest rate lock commitments	Other assets		2,813		107,769		10,124		270,103
Forward loan sales commitments	Other assets		602		18,877		2,664		86,990
TBA mortgage backed securities	Other assets		405		189,470		—		—
Total asset derivatives		$	4,880	$	361,287	$	13,357	$	401,690
Liability Derivatives
Interest rate swaps	Accrued expenses and other liabilities	$	1,062	$	45,171	$	572	$	44,597
TBA mortgage backed securities	Accrued expenses and other liabilities		—		—		2,339		307,000
Total liability derivatives		$	1,062	$	45,171	$	2,911	$	351,597

The gain (loss) recognized on derivative instruments for the three and nine months ended September 30, 2021 and 2020 was as follows:


		Three months ended				Nine months ended
	Consolidated Statements	September 30,		September 30,		September 30,		September 30,
(dollars in thousands)	of Income Location	2021		2020		2021		2020
Interest rate swaps	Other noninterest income	$	1	$	(3)	$	2	$	(3)
Interest rate lock commitments	Mortgage banking		(1,793)		5,650		(7,298)		11,229
Forward loan sales commitments	Mortgage banking		(499)		369		(2,061)		1,152
TBA mortgage backed securities	Mortgage banking		(690)		(3,747)		4,865		(9,099)
Total gain/(loss) from derivative instruments		$	(2,981)	$	2,269	$	(4,492)	$	3,279

The Company has third party agreements that require a minimum dollar transfer amount upon a margin call. This requirement is dependent on certain specified credit measures. The amount of collateral posted with third parties at September 30, 2021 and December 31, 2020 was $2.1 million and $2.7 million, respectively. The amount of collateral posted with third parties was deemed to be sufficient as of those dates to collateralize both the fair market value change as well as any additional amounts that may be required as a result of a change in the specified credit measures.