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Derivative Instruments
12 Months Ended
Dec. 31, 2019
Derivative Instruments  
Derivative Instruments

Note 8.—Derivative Instruments

Derivative Assets and Liabilities, Lending

The mortgage lending operation enters into IRLCs with prospective borrowers to originate mortgage loans at a specified interest rate and Hedging Instruments and forward delivery loan commitments to hedge the fair value changes associated with changes in interest rates relating to its mortgage loan origination operations. The fair value of IRLCs, Hedging Instruments and forward delivery loan commitments related to mortgage loan origination are included in other assets or liabilities in the consolidated balance sheets. As of December 31, 2019, the estimated fair value of IRLCs was an asset of $7.8 million while Hedging Instruments were a liability of $651 thousand.  Forward delivery commitments had no fair value as they were marked within LHFS to the price of the trades.  As of December 31, 2018, the estimated fair value of IRLCs was an asset of $3.4 million while Hedging Instruments and forward delivery loan commitments were liabilities of $440 thousand and $243 thousand, respectively. 

The following table includes information for the derivative assets and liabilities, lending for the periods presented:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Gains (Losses)

 

 

Notional Amount

 

For the Year Ended

 

 

December 31, 

 

December 31, 

 

December 31, 

 

 

2019

 

2018

 

2019

 

2018

Derivative – IRLC's (1)

   

$

419,035

   

$

183,595

 

$

4,440

 

$

(1,006)

Derivative – TBA MBS (2)

 

 

485,459

 

 

88,018

 

 

(5,595)

 

 

9,658

Derivative – Forward delivery loan commitment (3)

 

 

232,530

 

 

150,000

 

 

 —

 

 

(243)


(1)

Amounts included in gain on sale of loans, net within the accompanying consolidated statements of operations and comprehensive loss.

(2)

Amounts included in gain on sale of loans, net and loss on mortgage servicing rights, net within the accompanying consolidated statements of operations and comprehensive loss.

(3)

As of December 31, 2019 and 2018, $232.5 million and $50.0 million, respectively, in mortgage loans have been allocated to forward delivery loan commitments and are recorded at fair value within LHFS in the accompanying consolidated balance sheets.  As of December 31, 2018, $100.0 million of forward loan commitments remained unallocated and are recorded at fair value within other liabilities in the accompanying consolidated balance sheets.