FAIR VALUE (Tables)

3 Months Ended

Mar. 31, 2019

Schedule of financial assets (liabilities) measured at fair value on a recurring basis

The following table presents financial assets and liabilities measured at fair value on a recurring basis as of March 31, 2019 and December 31, 2018:

(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)
March 31, 2019
Mortgage-backed securities	$	211,641	$	-	$	211,641	$	-
Orchid Island Capital, Inc. common stock		10,002		10,002		-		-
TBA securities		(1,064)		-		(1,064)		-
December 31, 2018
Mortgage-backed securities	$	212,424	$	-	$	212,424	$	-
Orchid Island Capital, Inc. common stock		9,713		9,713		-		-
TBA securities		(938)		-		(938)		-

Changes is Level 3 Assets Measured at Fair Value on a Recurring Basis

The following table illustrates a roll forward for all assets measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three months ended March 31, 2019 and 2018:

(in thousands)
		Retained Interests in Securitizations
		Three Months Ended March 31,
		2019		2018
Balances, January 1	$	-	$	653
Gain (loss) included in earnings		275		(83)
Collections		(275)		(298)
Balances, March 31	$	-	$	272