Derivative instruments (Tables)

12 Months Ended

Dec. 31, 2021

Derivative instruments

Schedule of the Company's derivatives

		As of December 31, 2021						As of December 31, 2020
		Notional		Derivative		Derivative		Notional		Derivative		Derivative
(in thousands)	Primary Underlying Risk	Amount		Asset		Liability		Amount		Asset		Liability
Interest rate lock commitments	Interest rate risk	$	348,348	$	2,340	$	—	$	614,358	$	16,363	$	—
Interest Rate Swaps - not designated as hedges	Interest rate risk		536,548		4,076		—		160,801		—		(952)
Interest Rate Swaps - designated as hedges	Interest rate risk		—		—		—		132,325		—		(5,701)
TBA Agency Securities	Interest rate risk		346,000		—		(410)		565,000		—		(4,004)
Credit Default Swaps	Credit risk		—		—		—		15,000		—		(174)
FX forwards	Foreign exchange rate risk		27,484		606		—		3,866		—		(773)
Total		$	1,258,380	$	7,022	$	(410)	$	1,491,350	$	16,363	$	(11,604)

Schedule of gains and losses on derivatives

	Year Ended December 31, 2021				Year Ended December 31, 2020
		Net Realized		Net Unrealized		Net Realized		Net Unrealized
(in thousands)		Gain (Loss)		Gain (Loss)		Gain (Loss)		Gain (Loss)
Credit default swaps	$	(287)	$	322	$	-	$	(65)
Interest rate swaps		(8,867)		16,422		(3,981)		(7,297)
TBA Agency Securities		-		3,593		-		(3,527)
Interest rate lock commitments		-		(14,023)		-		13,589
FX forwards		603		1,378		(1,017)		(523)
Total	$	(8,551)	$	7,692	$	(4,998)	$	2,177

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:
Year Ended December 31, 2021	$	(1,133)	$	—	$	(1,133)	$	1,406	$	2,539
Year Ended December 31, 2020	$	(1,359)	$	(1,694)	$	(3,053)	$	(4,579)	$	(1,526)