The notional amount and fair value of the Company’s derivative financial instruments as of September 30, 2021, and December 31, 2020, were as follows:

	September 30, 2021					December 31, 2020
(dollars in thousands)	Notional Amount		Fair Value			Notional Amount		Fair Value
Interest Rate Lock Commitments	$	48,993	$	1,222		$	102,881	$	4,947
Forward Commitments		60,163		213			158,759		(740	)
Interest Rate Swap Agreements
Receive Fixed/Pay Variable Swaps		1,440,485		38,162			1,362,778		90,130
Pay Fixed/Receive Variable Swaps		1,440,485		(8,275	)		1,362,778		(17,197	)
Foreign Exchange Contracts		97,172		(645	)		90,587		866
Conversion Rate Swap Agreement		135,735		—			133,286		—

The following table presents the Company’s derivative financial instruments, their fair values, and their location in the consolidated statements of condition as of September 30, 2021, and December 31, 2020:

Derivative Financial Instruments	September 30, 2021				December 31, 2020
Not Designated as Hedging Instruments ¹	Asset		Liability		Asset		Liability
(dollars in thousands)	Derivatives		Derivatives		Derivatives		Derivatives
Interest Rate Lock Commitments	$	1,222	$	—	$	4,947	$	—
Forward Commitments		227		14		—		740
Interest Rate Swap Agreements		47,211		17,324		90,342		17,409
Foreign Exchange Contracts		61		706		878		12
Total	$	48,721	$	18,044	$	96,167	$	18,161

The following table presents the Company’s derivative financial instruments and the amount and location of the net gains or losses recognized in the consolidated statements of income for the three and nine months ended September 30, 2021, and September 30, 2020:

	Location of
Derivative Financial Instruments	Net Gains (Losses)	Three Months Ended						Nine Months Ended
Not Designated as Hedging Instruments	Recognized in the	September 30,						September 30,
(dollars in thousands)	Statements of Income	2021			2020			2021		2020
Interest Rate Lock Commitments	Mortgage Banking	$	2,083		$	4,903		$	6,927	$	15,556
Forward Commitments	Mortgage Banking		(53	)		(595	)		1,598		(3,652	)
Interest Rate Swap Agreements	Other Noninterest Income		2,147			2,575			4,848		12,041
Foreign Exchange Contracts	Other Noninterest Income		401			467			1,120		1,403
Total		$	4,578		$	7,350		$	14,493	$	25,348

As of September 30, 2021, and December 31, 2020, the Company did not designate any derivative financial instruments as formal hedging relationships. The Company’s free-standing derivative financial instruments are required to be carried at their fair value on the Company’s consolidated statements of condition.

The Company enters into interest rate swap agreements to facilitate the risk management strategies of a small number of commercial banking customers. The Company mitigates the risk of entering into these agreements by entering into equal and offsetting swap agreements with third-party financial institutions. The swap agreements are free-standing derivatives and are recorded at fair value in the Company’s consolidated statements of condition (asset positions are included in other assets and liability positions are included in other liabilities). The Company is party to master netting arrangements with its financial institution counterparties; however, the Company does not offset assets and liabilities under these arrangements for financial statement presentation purposes. The master netting arrangements provide for a single net settlement of all swap agreements, as well as collateral, in the event of default on, or termination of, any one contract. Collateral, usually in the form of cash or marketable securities, is posted by the party (i.e., the Company or the financial institution counterparty) with net liability positions in accordance with contract thresholds. The Company had net liability positions with its financial institution counterparties totaling $8.3 million and $17.2 million as of September 30, 2021, and December 31, 2020, respectively.

Parties to over-the-counter derivatives which are centrally cleared through a clearinghouse exchange daily payments that reflect the daily change in value of the derivatives. Effective 2017, these payments, commonly referred to as variation margin, are recorded as settlements of the derivatives’ mark-to-market exposure rather than collateral against the exposures. This rule change effectively results in all centrally cleared derivatives having a fair value that approximates zero on a daily basis. Substantially all of our swap agreements originated after the rule change are centrally cleared.

As certain sales of Visa Class B restricted shares were completed, the Company entered into a conversion rate swap agreement with the buyer that requires payment to the buyer in the event Visa further reduces the conversion ratio of Class B into Class A unrestricted common shares. In the event of Visa increasing the conversion ratio, the buyer would be required to make payment to the Company. As of September 30, 2021, and December 31, 2020, the conversion rate swap agreement was valued at zero (i.e., no contingent liability recorded) as further reductions to the conversion ratio were deemed neither probable nor reasonably estimable by management. See Note 3 Investment Securities for more information.