Derivative instruments (Tables)

3 Months Ended

Mar. 31, 2020

Derivative instruments

Schedule of the Company’s derivatives

		As of March 31, 2020						As of December 31, 2019
				Asset		Liability				Asset		Liability
		Notional		Derivatives		Derivatives		Notional		Derivatives		Derivatives
(In Thousands)	Primary Underlying Risk	Amount		Fair Value		Fair Value		Amount		Fair Value		Fair Value
Interest rate lock commitments	Interest rate risk	$	660,770		17,261	$	—	$	238,283	$	2,814	$	—
Interest Rate Swaps - not designated as hedges	Interest rate risk		623,543		—		(9,882)		291,001		—		(3,181)
Interest Rate Swaps - designated as hedges	Interest rate risk		143,215		—		(6,703)		158,325		—		(1,709)
Credit Default Swaps	Credit risk		15,000		260		—		15,000		—		(110)
FX forwards	Foreign exchange rate risk		16,908		235				15,000		—		(250)
Total		$	1,459,436	$	17,756	$	(16,585)	$	717,609	$	2,814	$	(5,250)

Schedule of gains and losses on derivatives

	Three Months Ended March 31, 2020				Three Months Ended March 31, 2019
	Net Realized		Unrealized		Net Realized		Unrealized
(In Thousands)	Gain (Loss)		Gain (Loss)		Gain (Loss)		Gain (Loss)
Credit default swaps (1)	$	—	$	370	$	—	$	(323)
Interest rate swaps (1)(2)		(247)		(9,988)		(796)		604
Residential mortgage banking activities interest rate swaps (3)		—		(10,180)		—		(343)
Interest rate lock commitments (3)		—		14,487		—		708
FX forwards (1)		(137)		485		—		—
Total	$	(384)	$	(4,826)	$	(796)	$	646
(1) Gains (losses) are recorded in net unrealized gain (loss) on financial instruments or net realized gain (loss) on financial instruments in the consolidated statements of income. (2) For qualifying hedges of interest rate risk, the effective portion relating to the unrealized gain (loss) on derivatives are recorded in accumulated other comprehensive income (loss). (3) Gains (losses) are recorded in residential mortgage banking activities in the consolidated statements of income.

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 (2)		Total income statement impact		Derivatives-  effective portion recorded in OCI (3)		Total change in OCI for period (3)
Hedge type
Interest rate - forecasted transactions (1)	$	(367)	$	(1,694)	$	(2,061)	$	(5,189)	$	(3,128)
Total - Three Months Ended March 31, 2020	$	(367)	$	(1,694)	$	(2,061)	$	(5,189)	$	(3,128)
Hedge type
Interest rate - forecasted transactions (1)	$	41	$	—	$	41	$	(461)	$	(420)
Total - Three Months Ended March 31, 2019	$	41	$	—	$	41	$	(461)	$	(420)
(1) Consists of benchmark interest rate hedges of LIBOR-indexed floating-rate liabilities.
(2) Hedge ineffectiveness is the amount by which the cumulative gain or loss on the designated derivative instrument exceeds the present value of the cumulative expected change in cash flows on the hedged item attributable to the hedged risk.
(3) Represents after tax amounts recorded in OCI.