FAIR VALUE (Tables)

3 Months Ended

Mar. 31, 2020

Fair value-related disclosures for financial instruments other than debt securities were as follows as of the indicated dates (in thousands):

		March 31, 2020				December 31, 2019
	Fair Value Hierarchy	Carrying Amount		Fair Value		Carrying Amount		Fair Value
Financial assets:
Residential mortgage loans	Level 2	$	591	$	600	$	637	$	650
Secured borrowings-related interest rate swap agreements	Level 2	–		–			733		733
Eurodollar futures contracts	Level 1	–		–			738		738
Financial liabilities:
Unsecured borrowings	Level 2		98,418		14,800		98,392		68,100
Unsecured borrowings-related interest rate swap agreements	Level 2		49,824		49,824		29,156		29,156
Eurodollar futures contracts	Level 1		1,038		1,038	–		–

Fair value-related disclosures for debt securities were as follows as of the indicated dates (in thousands):

	Amortized		Gross Unrealized
	Cost Basis		Gains		Losses		Fair Value
March 31, 2020
Agency Securities classified as available-for-sale:
Fannie Mae/Freddie Mac	$	7,560,352	$	73,230	$	45,315	$	7,588,267
Ginnie Mae		895,906		19,084		1,643		913,347
Residential mortgage securities classified as held-to-maturity		966		2	–			968

December 31, 2019
Agency Securities classified as available-for-sale:
Fannie Mae/Freddie Mac		8,890,949		64,593		23,753		8,931,789
Ginnie Mae		2,284,331		11,560		7,133		2,288,758
Residential mortgage securities classified as held-to-maturity		998		2	–			1,000

	March 31, 2020				December 31, 2019
	Fair Value		Unrealized Loss		Fair Value		Unrealized Loss
Securities in an unrealized loss position of one year or greater:
Fannie Mae/Freddie Mac	$	1,087,635		22,776	$	2,030,192	$	17,069
Ginnie Mae		25,016		514		560,022		5,775
Securities in an unrealized loss position less than one year:
Fannie Mae/Freddie Mac		1,800,331		22,539		1,473,144		6,684
Ginnie Mae		65,116		1,129		416,888		1,358
	$	2,978,098	$	46,958	$	4,480,246	$	30,886