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Derivative instruments (Tables)
6 Months Ended
Jun. 30, 2022
Derivative instruments  
Schedule of the Company's derivatives

June 30, 2022

December 31, 2021

Notional 

Derivative

Derivative

Notional 

Derivative

Derivative

(in thousands)

Primary Underlying Risk

Amount

Asset

Liability

Amount

Asset 

Liability 

Interest rate lock commitments

Interest rate risk

$

446,663

$

2,399

$

$

348,348

$

2,340

$

Interest Rate Swaps - not designated as hedges

 

Interest rate risk

579,098

42,822

536,548

4,076

TBA Agency Securities

Interest rate risk

388,500

391

(1,303)

346,000

(410)

FX forwards

Foreign exchange rate risk

28,248

918

27,484

606

Total

$

1,442,509

$

46,530

$

(1,303)

$

1,258,380

$

7,022

$

(410)

Schedule of gains and losses on derivatives

Three Months Ended June 30, 2022

Six Months Ended June 30, 2022

Net Realized 

Net Unrealized 

Net Realized 

Net Unrealized 

(in thousands)

Gain (Loss)

Gain (Loss)

Gain (Loss)

Gain (Loss)

Interest rate swaps

$

(688)

$

13,873

$

(2,493)

$

40,575

TBA Agency Securities

 

 

(7,765)

 

 

(501)

Interest rate lock commitments

5,016

59

FX forwards

1,546

81

2,226

312

Total

$

858

$

11,205

$

(267)

$

40,445

Three Months Ended June 30, 2021

Six Months Ended June 30, 2021

Net Realized 

Net Unrealized 

Net Realized 

Net Unrealized 

Gain (Loss)

Gain (Loss)

Gain (Loss)

Gain (Loss)

Credit default swaps

$

$

(21)

$

$

21

Interest rate swaps

 

(4,482)

 

1,947

 

(5,779)

 

8,470

TBA Agency Securities

 

 

(903)

 

 

3,005

Interest rate lock commitments

(5,595)

(10,234)

FX forwards

 

170

 

(334)

 

(358)

 

1,243

Total

$

(4,312)

$

(4,906)

$

(6,137)

$

2,505

Schedule of gains and losses on the Company's derivatives which have qualified for hedge accounting

(in thousands)

Derivatives - effective portion reclassified from AOCI to income

Hedge ineffectiveness recorded directly in income

    

Total income statement impact

Derivatives- effective portion recorded in OCI

Total change in OCI for period

Interest rate hedges- forecasted transactions:

Three Months Ended June 30, 2022

$

(438)

$

$

(438)

$

(87)

$

351

Three Months Ended June 30, 2021

$

(312)

$

$

(312)

$

(188)

$

124

Six Months Ended June 30, 2022

$

(692)

$

 

$

(692)

$

(128)

$

564

Six Months Ended June 30, 2021

$

(610)

$

 

$

(610)

$

1,492

$

2,102