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

September 30, 2022

December 31, 2021

Notional 

Derivative

Derivative

Notional 

Derivative

Derivative

(in thousands)

Primary Underlying Risk

Amount

Asset

Liability

Amount

Asset 

Liability 

IRLCs

Interest rate risk

$

303,705

$

$

(4,345)

$

348,348

$

2,340

$

Interest Rate Swaps - not designated as hedges

Interest rate risk

539,545

13,963

536,548

4,076

TBA Agency Securities

Interest rate risk

254,500

9,184

346,000

(410)

FX forwards

Foreign exchange rate risk

22,717

3,065

27,484

606

Total

$

1,120,467

$

26,212

$

(4,345)

$

1,258,380

$

7,022

$

(410)

Schedule of gains and losses on derivatives

Three Months Ended September 30, 2022

Nine Months Ended September 30, 2022

Net Realized 

Net Unrealized 

Net Realized 

Net Unrealized 

(in thousands)

Gain (Loss)

Gain (Loss)

Gain (Loss)

Gain (Loss)

Interest rate swaps

$

9,278

$

13,965

$

6,785

$

54,540

TBA Agency Securities

 

 

10,097

 

 

9,596

IRLCs

(6,744)

(6,685)

FX forwards

599

2,147

2,825

2,459

Total

$

9,877

$

19,465

$

9,610

$

59,910

Three Months Ended September 30, 2021

Nine Months Ended September 30, 2021

Net Realized 

Net Unrealized 

Net Realized 

Net Unrealized 

Gain (Loss)

Gain (Loss)

Gain (Loss)

Gain (Loss)

CDSs

$

(286)

$

301

$

(286)

$

322

Interest rate swaps

 

(1,419)

 

4,126

 

(7,198)

 

12,596

TBA Agency Securities

 

 

3,351

 

 

6,356

IRLCs

(3,769)

(14,003)

FX forwards

 

634

 

17

 

276

 

1,260

Total

$

(1,071)

$

4,026

$

(7,208)

$

6,531

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 September 30, 2022

$

(402)

$

$

(402)

$

(79)

$

323

Three Months Ended September 30, 2021

$

(264)

$

$

(264)

$

(43)

$

221

Nine Months Ended September 30, 2022

$

(1,094)

$

 

$

(1,094)

$

(207)

$

887

Nine Months Ended September 30, 2021

$

(874)

$

 

$

(874)

$

1,449

$

2,323