Derivative Financial Instruments |
Derivative Financial Instruments The following presents the outstanding notional amounts and fair values of derivative instruments not designated as hedging instruments: | | | | | | | | | | | | | | | | | | | March 31, 2023 | | Notional Value | | Derivative Asset | | Derivative Liability | | (dollars in thousands) | Forward sale contracts | $ | 322,900 | | | $ | 350 | | | $ | 2,547 | | Interest rate lock commitments | 388,275 | | | 3,235 | | | 166 | | Forward purchase contracts | 89,000 | | | 82 | | | 143 | | Treasury futures purchase contracts | 1,291,500 | | | — | | | — | | Margin | | | 27,060 | | | 749 | | Total | | | $ | 30,727 | | | $ | 3,605 | |
| | | | | | | | | | | | | | | | | | | December 31, 2022 | | Notional Value | | Derivative Asset | | Derivative Liability | | (dollars in thousands) | Forward sale contracts | $ | 819,900 | | | $ | 6,107 | | | $ | 1,200 | | Interest rate lock commitments | 598,970 | | | 2,231 | | | 2,504 | | Forward purchase contracts | 61,300 | | | — | | | 400 | | Treasury futures purchase contracts | 897,500 | | | — | | | — | | Margin | | | 17,273 | | | 6 | | Total | | | $ | 25,611 | | | $ | 4,110 | |
The following presents the recorded gain (loss) on derivative financial instruments: | | | | | | | | | | | | | Three Months Ended March 31, | | 2023 | | 2022 | | (dollars in thousands) | Forward sale contracts | $ | (6,967) | | | $ | (60,753) | | Interest rate lock commitments | 3,341 | | | 88,668 | | Forward purchase contracts | 202 | | | (3,872) | | Interest rate swap and Treasury futures purchase contracts | $ | 10,826 | | | $ | (118,352) | |
Counterparty agreements for forward commitments contain master netting agreements. The master netting agreements contain a legal right to offset amounts due to and from the same counterparty. The Company incurred no credit losses due to nonperformance of any of its counterparties for the three months ended March 31, 2023 and 2022. The following presents a summary of derivative assets and liabilities and related netting amounts: | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2023 | | | | Gross Amounts Not Offset in the Statement of Financial Position(a) | | | | Gross Amount of Assets (Liabilities) Recognized | | Financial Instruments | | Cash Collateral | | Net Amount | | (dollars in thousands) | Derivatives subject to master netting agreements: | | | | | | | | Assets: | | | | | | | | Forward sale contracts | $ | 350 | | | $ | (324) | | | $ | — | | | $ | 26 | | Forward purchase contracts | 82 | | | (16) | | | | | 66 | | Liabilities: | | | | | | | | Forward sale contracts | (2,547) | | | 340 | | | 621 | | | (1,586) | | Forward purchase contracts | (143) | | | — | | | — | | | (143) | | Derivatives not subject to master netting agreements: | | | | | | | | Assets: | | | | | | | | Interest rate lock commitments | 3,235 | | | — | | | — | | | 3,235 | | Liabilities: | | | | | | | | Interest rate lock commitments | (166) | | | — | | | — | | | (166) | | Total derivatives | | | | | | | | Assets | $ | 3,667 | | | $ | (340) | | | $ | — | | | $ | 3,327 | | Liabilities | $ | (2,856) | | | $ | 340 | | | $ | 621 | | | $ | (1,895) | |
| | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2022 | | | | Gross Amounts Not Offset in the Statement of Financial Position(a) | | | | Gross Amount of Assets (Liabilities) Recognized | | Financial Instruments | | Cash Collateral | | Net Amount | | (dollars in thousands) | Derivatives subject to master netting agreements: | | | | | | | | Assets: | | | | | | | | Forward sale contracts | $ | 6,107 | | | $ | (1,062) | | | $ | (3,790) | | | $ | 1,255 | | Liabilities: | | | | | | | | Forward sale contracts | (1,200) | | | 1,062 | | | 138 | | | — | | Forward purchase contracts | (400) | | | — | | | 400 | | | — | | Derivatives not subject to master netting agreements: | | | | | | | | Assets: | | | | | | | | Interest rate lock commitments | 2,231 | | | — | | | — | | | 2,231 | | Liabilities: | | | | | | | | Interest rate lock commitments | (2,504) | | | — | | | — | | | (2,504) | | Total derivatives | | | | | | | | Assets | $ | 8,338 | | | $ | (1,062) | | | $ | (3,790) | | | $ | 3,486 | | Liabilities | $ | (4,104) | | | $ | 1,062 | | | $ | 538 | | | $ | (2,504) | |
(a) Amounts disclosed for collateral received from or posted to the same counterparty includes cash up to and not exceeding the net amount of the derivative asset or liability presented in the balance sheet. The fair value of the total collateral received from or posted to the same counterparty may exceed the amounts presented. The amounts of collateral received from or posted to counterparty are presented as margin and included as a component of either Derivative assets or Other liabilities in the Balance Sheet. For information on the determination of fair value, refer to Note 12 - Fair Value Measurements.
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