FAIR VALUE (Tables)

9 Months Ended

Sep. 30, 2020

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

		September 30, 2020				December 31, 2019
	Fair Value Hierarchy	Carrying Amount		Fair Value		Carrying Amount		Fair Value
Financial assets:
Residential mortgage loans	Level 2	$	487	$	500	$	637	$	650
Secured borrowings-related interest rate swap agreements	Level 2	–		–			733		733
Eurodollar futures contracts	Level 1	–		–			738		738
Financial liabilities:
Secured borrowings with initial terms of greater than 120 days	Level 2		500,000		500,050	–		–
Unsecured borrowings	Level 2		98,468		44,500		98,392		68,100
Unsecured borrowings-related interest rate swap agreements	Level 2		46,529		46,529		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
September 30, 2020
Agency Securities classified as available-for-sale:
Fannie Mae/Freddie Mac	$	7,454,503	$	98,588	$	12,987	$	7,540,104
Ginnie Mae		720,173		13,307		451		733,029
Residential mortgage securities classified as held-to-maturity		889		2	–			891

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

	September 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	$	766,235	$	9,739	$	2,030,192	$	17,069
Ginnie Mae		26,214		265		560,022		5,775
Securities in an unrealized loss position less than one year:
Fannie Mae/Freddie Mac		672,510		3,248		1,473,144		6,684
Ginnie Mae		26,997		186		416,888		1,358
	$	1,491,956	$	13,438	$	4,480,246	$	30,886