Quarterly report pursuant to Section 13 or 15(d)

Derivative Financial Instruments (Tables)

v3.20.2
Derivative Financial Instruments (Tables)
 9 Months Ended
Sep. 30, 2020
Derivative Instruments And Hedging Activities Disclosure [Abstract]  
Schedule of Net Hedging Gains

Net hedging gains were as follows for the three and nine months ended September 30, 2020 and 2019:

 

 

 

For the three months ended

September 30,

 

 

 

2020

 

 

2019

 

Hedging gains

 

 

61,969

 

 

 

18,437

 

 

 

 

For the nine months ended

September 30,

 

 

 

2020

 

 

2019

 

Hedging gains

 

 

160,167

 

 

 

26,628

 

 
Schedule of Notional and Fair Value of Derivative Financial Instruments Not Designated as Hedging Instruments

The notional and fair value of derivative financial instruments not designated as hedging instruments were as follows at September 30, 2020 and December 31, 2019:

 

 

 

Notional Value

 

 

Derivative Asset

 

 

Derivative Liability

 

Balance at September 30, 2020

 

 

 

 

 

 

 

 

 

 

 

 

IRLCs

 

$

6,370,618

 

 

$

186,016

 

 

$

—

 

Forward commitments

 

$

6,531,047

 

 

$

—

 

 

$

10,790

 

Balance at December 31, 2019

 

 

 

 

 

 

 

 

 

 

 

 

IRLCs

 

$

1,524,540

 

 

$

19,922

 

 

$

—

 

Forward commitments

 

$

1,961,733

 

 

$

—

 

 

$

4,863

 

 
Schedule of Quantitative Information About IRLCs and Fair Value Measurements

The following table presents the quantitative information about IRLCs and the fair value measurements as of September 30, 2020 and December 31, 2019:

 

 

 

September 30,

2020

 

December 31,

2019

Unobservable Input

 

Range (Weighted Average)

Loan funding probability ("pull-through")

 

0% - 100% (88.1%)

 

0% - 100% (89.4%)