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FAIR VALUE (Tables)
6 Months Ended
Jun. 30, 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 June 30, 2020 and December 31, 2019.

(in thousands)

 

 

 

 

 

 

 

 

Quoted Prices

 

 

 

 

 

 

in Active

 

Significant

 

 

 

 

Markets for

 

Other

 

Significant

 

 

Identical

 

Observable

 

Unobservable

 

 

Assets

 

Inputs

 

Inputs

 

 

(Level 1)

 

(Level 2)

 

(Level 3)

June 30, 2020

 

 

 

 

 

 

Mortgage-backed securities

$

-

$

3,304,761

$

-

Interest rate swaps

 

-

 

(29,940)

 

-

Interest rate swaptions

 

-

 

4,535

 

-

TBA securities

 

-

 

406

 

-

Obligation to return securities borrowed under reverse repurchase agreements

 

-

 

139,843

 

-

December 31, 2019

 

 

 

 

 

 

Mortgage-backed securities

$

-

$

3,590,921

$

-

Interest rate swaps

 

-

 

(20,146)

 

-

TBA securities

 

-

 

(512)

 

-