FAIR VALUE (Tables)

12 Months Ended

Dec. 31, 2019

Schedule of financial assets (liabilities) measured at fair value on a recurring basis

The following table presents financial assets (liabilities) measured at fair value on a recurring basis as of December 31, 2019 and 2018. Derivative contracts are reported as a net position by contract type, and not based on master netting arrangements.

(in thousands)
				Quoted Prices
				in Active		Significant
				Markets for		Other		Significant
				Identical		Observable		Unobservable
		Fair Value		Assets		Inputs		Inputs
		Measurements		(Level 1)		(Level 2)		(Level 3)
December 31, 2019
Mortgage-backed securities	$	3,590,921	$	-	$	3,590,921	$	-
Interest rate swaps		(20,146)		-		(20,146)		-
TBA securities		(512)		-		(512)		-
December 31, 2018
Mortgage-backed securities	$	3,014,503	$	-	$	3,014,503	$	-
Interest rate swaps		14,557		-		14,557		-
Interest rate swaptions		123		-		123		-
TBA securities		(3,742)		-		(3,742)		-