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Derivative instruments (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended |
--- | --- | --- | ---
Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021 | Dec. 31, 2021
Notional Amount | $ 1,442,509 |  | $ 1,442,509 |  | $ 1,258,380
Asset Derivatives Fair Value | 46,530 |  | 46,530 |  | 7,022
Liabilities Derivatives Fair Value | (1,303) |  | (1,303) |  | (410)
Derivative gain (loss) |  |  |  |  |
Net Realized Gain (Loss) | 858 | $ (4,312) | (267) | $ (6,137) |
Unrealized Gain (Loss) | 11,205 | (4,906) | 40,445 | 2,505 |
Total change in OCI for period | 351 | 124 | 564 | 2,102 |
Designated as Hedging |  |  |  |  |
Derivative gain (loss) |  |  |  |  |
Derivatives - effective portion reclassified from AOCI to income | (438) | (312) | (692) | (610) |
Total income statement impact | (438) | (312) | (692) | (610) |
Derivatives- effective portion recorded in OCI | (87) | (188) | (128) | 1,492 |
Total change in OCI for period | 351 | 124 | 564 | 2,102 |
Interest rate lock commitments (IRLCs) |  |  |  |  |
Derivative gain (loss) |  |  |  |  |
Unrealized Gain (Loss) | 5,016 | (5,595) | 59 | (10,234) |
Interest rate lock commitments (IRLCs) | Interest Rate Risk |  |  |  |  |
Notional Amount | 446,663 |  | 446,663 |  | 348,348
Asset Derivatives Fair Value | 2,399 |  | 2,399 |  | 2,340
Interest Rate Swap Agreement |  |  |  |  |
Liabilities Derivatives Fair Value | (65) |  | (65) |  | (3,830)
Derivative gain (loss) |  |  |  |  |
Net Realized Gain (Loss) | (688) | (4,482) | (2,493) | (5,779) |
Unrealized Gain (Loss) | 13,873 | 1,947 | 40,575 | 8,470 |
Interest Rate Swap Agreement | Not Designated as Hedging | Interest Rate Risk |  |  |  |  |
Notional Amount | 579,098 |  | 579,098 |  | 536,548
Asset Derivatives Fair Value | 42,822 |  | 42,822 |  | 4,076
TBA agency securities |  |  |  |  |
Liabilities Derivatives Fair Value | (1,913) |  | (1,913) |  | (538)
Derivative gain (loss) |  |  |  |  |
Unrealized Gain (Loss) | (7,765) | (903) | (501) | 3,005 |
TBA agency securities | Interest Rate Risk |  |  |  |  |
Notional Amount | 388,500 |  | 388,500 |  | 346,000
Asset Derivatives Fair Value | 391 |  | 391 |  |
Liabilities Derivatives Fair Value | (1,303) |  | (1,303) |  | (410)
Credit default swaps |  |  |  |  |
Derivative gain (loss) |  |  |  |  |
Unrealized Gain (Loss) |  | (21) |  | 21 |
FX forwards |  |  |  |  |
Derivative gain (loss) |  |  |  |  |
Net Realized Gain (Loss) | 1,546 | 170 | 2,226 | (358) |
Unrealized Gain (Loss) | 81 | $ (334) | 312 | $ 1,243 |
FX forwards | Foreign Exchange Rate Risk |  |  |  |  |
Notional Amount | 28,248 |  | 28,248 |  | 27,484
Asset Derivatives Fair Value | $ 918 |  | $ 918 |  | $ 606

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