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v3.22.2.2

Derivative instruments (Tables) | 9 Months Ended
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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

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