Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 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 September 30,				Nine Months Ended September 30,
	2022		2021		2022		2021
Increase (decrease) in fair value of derivatives during period:
PrimeLending	$	2,276	$	780	$	(10,975)	$	555
Hilltop Broker-Dealers		14,240		11,427		23,819		(3,845)
Bank		7		7		53		26

Schedule of derivative positions

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

	September 30, 2022				December 31, 2021
	Notional		Estimated		Notional		Estimated
	Amount		Fair Value		Amount		Fair Value
Derivative instruments (not designated as hedges):
IRLCs	$	1,131,664	$	(16,729)	$	1,283,152	$	25,489
Commitments to purchase MBSs		1,353,969		(27,946)		1,575,264		(674)
Commitments to sell MBSs		3,150,790		71,201		3,314,173		(355)
Interest rate swaps		36,317		2,976		68,413		(1,949)
U.S. Treasury bond futures and options (1)		274,000		—		247,800		—
Eurodollar and other futures (1)		2,964,000		—		2,061,800		—
Credit default swaps		1,000		5		7,000		(15)
Derivative instruments (designated as hedges):
Interest rate swaps designated as cash flow hedges	$	415,000	$	22,675	$	190,000	$	603
Interest rate swaps designated as fair value hedges (2)		340,323		44,322		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 $340.3 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 $296.0 million and $218.0 million as of September 30, 2022 and December 31, 2021, respectively), of which, a subset of these hedges are in portfolio layer hedging relationships. The cumulative basis adjustment included in the carrying value of the hedged items totaled $44.3 million and $3.2 million as of September 30, 2022 and December 31, 2021, respectively.