XML 109 R99.htm IDEA: XBRL DOCUMENT v3.22.2
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