FAIR VALUE (Tables)

9 Months Ended

Sep. 30, 2022

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, 2022 and

December 31, 2021. 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)

September 30, 2022

Mortgage-backed securities

$

-

$

3,201,214

$

-

U.S. Treasury Notes

36,118

-

-

Interest rate swaps

-

169,630

-

Interest rate swaptions

-

38,880

-

Interest rate caps

-

1,188

-

TBA securities

-

(394)

-

December 31, 2021

Mortgage-backed securities

$

-

$

6,511,095

$

-

U.S. Treasury Notes

37,175

-

-

Interest rate swaps

-

26,431

-

Interest rate swaptions

-

17,070

-

TBA securities

-

(304)

-