FAIR VALUE (Tables)

9 Months Ended

Sep. 30, 2017

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 September 30, 2017 and December 31, 2016:

(in thousands)
				Quoted Prices
				in Active		Significant
				Markets for		Other		Significant
				Identical		Observable		Unobservable
		Fair Value		Assets		Inputs		Inputs
		Measurements		(Level 1)		(Level 2)		(Level 3)
September 30, 2017
Mortgage-backed securities	$	3,930,340	$	-	$	3,930,340	$	-
Interest rate swaps		8,102		-		8,102		-
Interest rate swaptions		3,194		-		3,194		-
TBA securities		2,984		-		2,984		-
December 31, 2016
Mortgage-backed securities	$	3,022,174	$	-	$	3,022,174	$	-
Interest rate swaps		9,500		-		9,500		-
TBA securities		(1,117)		-		(1,117)		-