FAIR VALUE (Tables)

3 Months Ended

Mar. 31, 2020

Fair Value Disclosures [Abstract]

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 March 31, 2020 and December 31, 2019.

(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)
March 31, 2020
Mortgage-backed securities	$	2,948,797	$	-	$	2,948,797	$	-
Interest rate swaps		(30,097)		-		(30,097)		-
Interest rate swaptions		1,336		-		1,336		-
December 31, 2019
Mortgage-backed securities	$	3,590,921	$	-	$	3,590,921	$	-
Interest rate swaps		(20,146)		-		(20,146)		-
TBA securities		(512)		-		(512)		-