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Derivative instruments (Tables)

6 Months Ended

Jun. 30, 2020

Derivative instruments

Schedule of the Company's derivatives


				As of June 30, 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		$	614,957			19,037		$	—		$	238,283		$	2,814		$	—
Interest Rate Swaps - not designated as hedges		Interest rate risk			643,501			—			(1,473)			291,001			—			(3,181)
Interest Rate Swaps - designated as hedges		Interest rate risk			143,215			—			(7,235)			158,325			—			(1,709)
Credit Default Swaps		Credit risk			15,000			—			(50)			15,000			—			(110)
FX forwards		Foreign exchange rate risk			16,971			—			(348)			15,000			—			(250)
Total				$	1,433,644		$	19,037		$	(9,106)		$	717,609		$	2,814		$	(5,250)

Schedule of gains and losses on derivatives


		Three Months Ended June 30, 2020						Six Months Ended June 30, 2020
		Net Realized			Unrealized			Net Realized			Unrealized
(In Thousands)		Gain (Loss)			Gain (Loss)			Gain (Loss)			Gain (Loss)
Credit default swaps ⁽¹⁾		$	—		$	(310)		$	—		$	60
Interest rate swaps ⁽¹⁾⁽²⁾			(748)			(517)			(995)			(10,504)
Residential mortgage banking activities interest rate swaps ⁽³⁾			—			8,076			—			(2,104)
Interest rate lock commitments ⁽³⁾			—			1,776			—			16,263
FX forwards ⁽¹⁾			428			(584)			291			(98)
Total		$	(320)		$	8,441		$	(704)		$	3,617
(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.


		Three Months Ended June 30, 2019						Six Months Ended June 30, 2019
					Net Change in
		Net Realized			Unrealized			Net Realized			Unrealized
(In Thousands)		Gain (Loss)			Gain (Loss)			Gain (Loss)			Gain (Loss)
Credit default swaps ⁽¹⁾		$	—		$	(31)		$	—		$	(354)
Interest rate swaps ⁽¹⁾⁽²⁾			(3,405)			(5,153)			(4,200)			(4,549)
Residential mortgage banking activities interest rate swaps ⁽³⁾			—			(456)			—			(799)
Interest rate lock commitments ⁽³⁾			—			1,188			—			1,896
Total		$	(3,405)		$	(4,452)		$	(4,200)		$	(3,806)
(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⁾	$	(366)		$	—		$	(366)		$	(388)		$	(22)
Total - Three Months Ended June 30, 2020	$	(366)		$	—		$	(366)		$	(388)		$	(22)
Hedge type
Interest rate - forecasted transactions ⁽¹⁾	$	59		$	—		$	59		$	(6,638)		$	(6,579)
Total - Three Months Ended June 30, 2019	$	59		$	—		$	59		$	(6,638)		$	(6,579)
Hedge type
Interest rate - forecasted transactions ⁽¹⁾	$	(733)		$	(1,694)		$	(2,427)		$	(5,576)		$	(3,149)
Total - Six Months Ended June 30, 2020	$	(733)		$	(1,694)		$	(2,427)		$	(5,576)		$	(3,149)
Hedge type
Interest rate - forecasted transactions ⁽¹⁾	$	100		$	—		$	100		$	(7,097)		$	(6,997)
Total - Six Months Ended June 30, 2019	$	100		$	—		$	100		$	(7,097)		$	(6,997)
(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.