FAIR VALUE (Tables)

6 Months Ended

Jun. 30, 2020

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

		June 30, 2020				December 31, 2019
	Fair Value Hierarchy	Carrying Amount		Fair Value		Carrying Amount		Fair Value
Financial assets:
Residential mortgage loans	Level 2	$	531	$	550	$	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		98,443		35,200		98,392		68,100
Unsecured borrowings-related interest rate swap agreements	Level 2		49,575		49,575		29,156		29,156

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
June 30, 2020
Agency Securities classified as available-for-sale:
Fannie Mae/Freddie Mac	$	7,423,367	$	110,895	$	15,154	$	7,519,108
Ginnie Mae		792,060		15,994		715		807,339
Residential mortgage securities classified as held-to-maturity		922		2	–			924

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

	June 30, 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	$	907,036	$	11,184	$	2,030,192	$	17,069
Ginnie Mae		29,979		390		560,022		5,775
Securities in an unrealized loss position less than one year:
Fannie Mae/Freddie Mac		686,594		3,970		1,473,144		6,684
Ginnie Mae		37,793		325		416,888		1,358
	$	1,661,402	$	15,869	$	4,480,246	$	30,886