Derivative Financial Instruments

3 Months Ended

Mar. 31, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

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.