DERIVATIVE INSTRUMENTS (Tables)

12 Months Ended

Dec. 31, 2018

Derivative Instruments

Schedule of the Company's Derivative Assets and Liabilities

	Fair Value
	At				At
	December 31, 2018				December 31, 2017
(in thousands)	Assets		Liabilities		Assets		Liabilities
Total return swaps	$	1,130	$	─	$	2,347	$	46
Basis swaps		808		─		439		26
Interest rate caps		998		─		788		─
Interest rate swaps		2,674		─		3,291		─
Foreign currency forward exchange		187		─		─		247
Total carrying value of derivative instruments	$	5,797	$	─	$	6,865	$	319

Schedule of Derivative Notional Amounts

	Notional Amounts
	At		At
	December 31,		December 31,
(in thousands)	2018		2017
Total return swaps	$	18,278	$	72,290
Basis swaps		35,000		100,500
Interest rate caps		80,000		80,000
Interest rate swaps		65,000		140,000
Foreign currency forward exchange		4,331		4,363
Total notional amount of derivative instruments	$	202,609	$	397,153

Schedule of notional amounts of company derivative instruments

	Notional
	Amounts
Balance, January 1, 2018	$	392,790
Impact from expirations		(55,000)
Impact from terminations		(138,607)
Impact from settlements		(905)
Balance, December 31, 2018	$	198,278

Schedule of Net Gains Recognized Recognized In Connection With Derivative Instruments

The following table provides information about the net gains that were recognized by the Company in connection with its derivative instruments:

	For the year ended
	December 31,
(in thousands)	2018		2017
Total return swaps (1)	$	3,154	$	3,255
Basis swaps (2)		449		196
Interest rate caps		210		(765)
Interest rate swaps (3)		422		(726)
Foreign currency forward exchange		352		─
Total net gains of derivative instruments	$	4,587	$	1,960

⁽¹⁾ The accrual of net interest payments that are made in connection with TRS agreements that are reported as derivative instruments are classified as a component of “Net gains on derivatives” on the Consolidated Statements of Operations. Net cash received was $2.5 million and $3.0 million for the year ended December 31, 2018 and December 31, 2017, respectively.

⁽²⁾ The accrual of net interest payments that are made in connection with basis swaps is classified as a component of “Net gains on derivatives” on the Consolidated Statements of Operations. The net cash received was de minimis for the year ended December 31, 2018 while the net cash paid was $0.1 million for the year ended December 31, 2017.

The accrual of net interest payments that are made in connection with interest rate swaps is classified as a component of “Net gains on derivatives” on the Consolidated Statements of Operations. Net cash received was $0.5 million for the year ended December 31, 2018 while net cash paid was $0.3 million for the year ended December 31, 2017. During the year ended December 31, 2018, the Company also received $0.3 million to amend two interest rate swaps and recorded $0.3 million through “Other assets” on the Consolidated Balance Sheets