FAIR VALUE (Tables)

9 Months Ended

Sep. 30, 2019

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

		September 30, 2019				December 31, 2018
	Fair Value Hierarchy	Carrying Amount		Fair Value		Carrying Amount		Fair Value
Financial assets:
Residential mortgage loans	Level 2	$	840	$	900	$	1,425	$	1,400
Lending counterparty investments	Level 3		–		–		5,002		5,002
Secured borrowings-related interest rate swap agreements	Level 2		492		492		–		–
Eurodollar futures	Level 1		775		775		–		–
Financial liabilities:
Unsecured borrowings	Level 2		98,367		61,600		98,292		76,600
Unsecured borrowings-related interest rate swap agreements	Level 2		35,515		35,515		17,834		17,834

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
September 30, 2019
Agency Securities classified as available-for-sale:
Fannie Mae/Freddie Mac	$	8,645,478	$	75,160	$	21,562	$	8,699,076
Ginnie Mae		2,526,368		15,039		6,549		2,534,858
Residential mortgage securities classified as held-to-maturity		1,028		3	–			1,031

December 31, 2018
Agency Securities classified as available-for-sale:
Fannie Mae/Freddie Mac		8,949,793		56,041		74,276		8,931,558
Ginnie Mae		3,040,275		8,681		17,692		3,031,264
Residential mortgage securities classified as held-to-maturity		1,134		3	–			1,137

	September 30, 2019				December 31, 2018
	Fair Value		Unrealized Loss		Fair Value		Unrealized Loss
Securities in an unrealized loss position:
One year or greater	$	2,788,414	$	21,568	$	4,736,171	$	83,407
Less than one year		1,417,713		6,543		1,475,120		8,561
	$	4,206,127	$	28,111	$	6,211,291	$	91,968