FAIR VALUE (Tables)

9 Months Ended

Sep. 30, 2021

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 September 30, 2021 and

December 31, 2020.

(in thousands)

Quoted Prices

in Active

Significant

Markets for

Other

Significant

Identical 

Observable

Unobservable

Assets

Inputs

Inputs

(Level 1)

(Level 2)

(Level 3)

September 30, 2021

Mortgage-backed securities

$

-

$

5,601,423

$

-

U.S. Treasury Notes

37,409

-

-

Interest rate swaps

-

14,747

-

Interest rate swaptions

-

19,988

-

Interest rate floors

-

2,360

-

December 31, 2020

Mortgage-backed securities

$

-

$

3,726,895

$

-

Interest rate swaps

-

(24,704)

-

Interest rate swaptions

-

9,703

-

TBA securities

-

2,773

-