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Derivative instruments (Tables) | 6 Months Ended
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Jun. 30, 2022
Derivative instruments |
Schedule of the Company's derivatives | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | June 30, 2022 | ​ | December 31, 2021
​ | ​ | ​ | ​ | Notional | ​ | Derivative | ​ | Derivative | ​ | Notional | ​ | Derivative | ​ | Derivative
(in thousands) | ​ | Primary Underlying Risk | ​ | Amount | ​ | Asset | ​ | Liability | ​ | Amount | ​ | Asset | ​ | Liability
Interest rate lock commitments | ​ | Interest rate risk | ​ | $ | 446,663 | ​ | $ | 2,399 | ​ | $ | — | ​ | $ | 348,348 | ​ | $ | 2,340 | ​ | $ | —
Interest Rate Swaps - not designated as hedges |  | Interest rate risk | ​ | ​ | 579,098 | ​ | ​ | 42,822 | ​ | ​ | — | ​ | ​ | 536,548 | ​ | ​ | 4,076 | ​ | ​ | —
TBA Agency Securities | ​ | Interest rate risk | ​ | ​ | 388,500 | ​ | ​ | 391 | ​ | ​ | (1,303) | ​ | ​ | 346,000 | ​ | ​ | — | ​ | ​ | (410)
FX forwards | ​ | Foreign exchange rate risk | ​ | ​ | 28,248 | ​ | ​ | 918 | ​ | ​ | — | ​ | ​ | 27,484 | ​ | ​ | 606 | ​ | ​ | —
Total | ​ | ​ | ​ | $ | 1,442,509 | ​ | $ | 46,530 | ​ | $ | (1,303) | ​ | $ | 1,258,380 | ​ | $ | 7,022 | ​ | $ | (410)
Schedule of gains and losses on derivatives | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | Three Months Ended June 30, 2022 | ​ | Six Months Ended June 30, 2022 | ​
​ | ​ | ​ | Net Realized | ​ | ​ | Net Unrealized | ​ | ​ | Net Realized | ​ | ​ | Net Unrealized | ​
(in thousands) | ​ | ​ | Gain (Loss) | ​ | ​ | Gain (Loss) | ​ | ​ | Gain (Loss) | ​ | ​ | Gain (Loss) | ​
Interest rate swaps | ​ | $ | (688) | ​ | $ | 13,873 | ​ | $ | (2,493) | ​ | $ | 40,575 | ​
TBA Agency Securities | ​ |  | — | ​ |  | (7,765) | ​ |  | — | ​ |  | (501) | ​
Interest rate lock commitments | ​ | ​ | — | ​ | ​ | 5,016 | ​ | ​ | — | ​ | ​ | 59 | ​
FX forwards | ​ | ​ | 1,546 | ​ | ​ | 81 | ​ | ​ | 2,226 | ​ | ​ | 312 | ​
Total | ​ | $ | 858 | ​ | $ | 11,205 | ​ | $ | (267) | ​ | $ | 40,445 | ​
​ | ​ | ​ | Three Months Ended June 30, 2021 | ​ | Six Months Ended June 30, 2021 | ​
​ | ​ | ​ | Net Realized | ​ | ​ | Net Unrealized | ​ | ​ | Net Realized | ​ | ​ | Net Unrealized | ​
​ | ​ | ​ | Gain (Loss) | ​ | ​ | Gain (Loss) | ​ | ​ | Gain (Loss) | ​ | ​ | Gain (Loss) | ​
Credit default swaps | ​ | $ | — | ​ | $ | (21) | ​ | $ | — | ​ | $ | 21 | ​
Interest rate swaps | ​ |  | (4,482) | ​ |  | 1,947 | ​ |  | (5,779) | ​ |  | 8,470 | ​
TBA Agency Securities | ​ |  | — | ​ |  | (903) | ​ |  | — | ​ |  | 3,005 | ​
Interest rate lock commitments | ​ | ​ | — | ​ | ​ | (5,595) | ​ | ​ | — | ​ | ​ | (10,234) | ​
FX forwards | ​ |  | 170 | ​ |  | (334) | ​ |  | (358) | ​ |  | 1,243 | ​
Total | ​ | $ | (4,312) | ​ | $ | (4,906) | ​ | $ | (6,137) | ​ | $ | 2,505 | ​
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 June 30, 2022 | $ | (438) | ​ | $ | — | ​ | $ | (438) | ​ | $ | (87) | ​ | $ | 351
Three Months Ended June 30, 2021 | $ | (312) | ​ | $ | — | ​ | $ | (312) | ​ | $ | (188) | ​ | $ | 124
Six Months Ended June 30, 2022 | $ | (692) | ​ | $ | — |  | $ | (692) | ​ | $ | (128) | ​ | $ | 564
Six Months Ended June 30, 2021 | $ | (610) | ​ | $ | — |  | $ | (610) | ​ | $ | 1,492 | ​ | $ | 2,102

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