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FAIR VALUE (Tables)
 12 Months Ended
Dec. 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 December 31, 2020 and 2019. 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

 

 

Assets

 

Inputs

 

Inputs

 

 

(Level 1)

 

(Level 2)

 

(Level 3)

December 31, 2020

 

 

 

 

 

 

Mortgage-backed securities

$

-

$

3,726,895

$

-

Interest rate swaps

 

-

 

(24,704)

 

-

Interest rate swaptions

 

-

 

9,703

 

-

TBA securities

 

-

 

2,773

 

-

December 31, 2019

 

 

 

 

 

 

Mortgage-backed securities

$

-

$

3,590,921

$

-

Interest rate swaps

 

-

 

(20,146)

 

-

TBA securities

 

-

 

(512)

 

-