FAIR VALUE (Tables)

9 Months Ended

Sep. 30, 2018

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, 2018 and December 31, 2017:

(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, 2018
Mortgage-backed securities	$	3,513,956	$	-	$	3,513,956	$	-
Interest rate swaps		28,030		-		28,030		-
Interest rate swaptions		7,357		-		7,357		-
TBA securities		2,035		-		2,035		-
December 31, 2017
Mortgage-backed securities	$	3,744,811	$	-	$	3,744,811	$	-
Interest rate swaps		13,530		-		13,530		-
Interest rate swaptions		3,405		-		3,405		-
TBA securities		(1,813)		-		(1,813)		-