Derivative Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2022

Derivative Financial Instruments

Schedule of changes in fair value of derivatives

Changes in the fair value of derivatives are presented in the following table (in thousands).

	Three Months Ended June 30,				Six Months Ended June 30,
	2022		2021		2022		2021
Increase (decrease) in fair value of derivatives during period:
PrimeLending	$	(35,303)	$	4,033	$	(13,251)	$	(225)
Hilltop Broker-Dealers		10,906		6,923		9,579		(15,272)
Bank		17		8		46		19

Schedule of derivative positions

Derivative positions are presented in the following table (in thousands).

	June 30, 2022				December 31, 2021
	Notional		Estimated		Notional		Estimated
	Amount		Fair Value		Amount		Fair Value
Derivative instruments (not designated as hedges):
IRLCs	$	1,404,328	$	15,061	$	1,283,152	$	25,489
Commitments to purchase MBSs		736,656		2,201		1,575,264		(674)
Commitments to sell MBSs		2,972,796		(4,938)		3,314,173		(355)
Interest rate swaps		46,849		836		68,413		(1,949)
U.S. Treasury bond futures and options (1)		257,900		—		247,800		—
Eurodollar and other futures (1)		2,807,000		—		2,061,800		—
Credit default swaps		2,000		2		7,000		(15)
Derivative instruments (designated as hedges):
Interest rate swaps designated as cash flow hedges	$	360,000	$	13,195	$	190,000	$	603
Interest rate swaps designated as fair value hedges (2)		336,034		29,900		221,232		3,207

(1) Changes in the fair value of these contracts are settled daily with the respective counterparties of PrimeLending and the Hilltop Broker-Dealers.

(2) The Company designated $336.0 million and $221.2 million as the hedged amount (from a closed portfolio of prepayable available for sale securities and loans held for investment with a carrying value of $306.1 million and $218.0 million as of June 30, 2022 and December 31, 2021, respectively), of which, a subset of these hedges are in last-of-layer hedging relationships. The cumulative basis adjustment included in the carrying value of the hedged items totaled $29.9 million and $3.2 million as of June 30, 2022 and December 31, 2021, respectively.