Pledged Assets

9 Months Ended

Sep. 30, 2016

NOTE 5. PLEDGED ASSETS

Assets Pledged to Counterparties

The table below summarizes our assets pledged as collateral under our repurchase agreements, prime brokerage clearing accounts, FHLB advances, derivative agreements and insurance capital by type, including securities pledged related to securities sold but not yet settled, as of September 30, 2016 and December 31, 2015.

(in thousands)
		September 30, 2016
		Repurchase		Clearing		Derivative		Insurance
Assets Pledged to Counterparties		Agreements		Margin		Agreements		Capital⁽¹⁾		Total
PT RMBS - fair value	$	2,356,027	$	-	$	-	$	1,235	$	2,357,262
Structured RMBS - fair value		66,539		8,491		-		-		75,030
Accrued interest on pledged securities		8,709		284		-		4		8,997
Restricted cash		8,123		-		8,508		250		16,881
Total	$	2,439,398	$	8,775	$	8,508	$	1,489	$	2,458,170

(in thousands)
		December 31, 2015
		Repurchase		FHLB		Derivative		Insurance
Assets Pledged to Counterparties		Agreements		Advances		Agreements		Capital⁽¹⁾		Total
PT RMBS - fair value	$	1,833,020	$	191,550	$	-	$	1,752	$	2,026,322
Structured RMBS - fair value		69,252		-		-		-		69,252
Accrued interest on pledged securities		7,019		645		-		6		7,670
Restricted cash		3,997		-		8,483		250		12,730
Total	$	1,913,288	$	192,195	$	8,483	$	2,008	$	2,115,974

Orchid Island Casualty, Inc. is required to maintain sufficient capital in the form of cash and securities to protect it against losses.

Assets Pledged from Counterparties

The table below summarizes our assets pledged to us from counterparties under our repurchase agreements as of September 30, 2016 and December 31, 2015.

(in thousands)
Assets Pledged to Orchid		September 30, 2016		December 31, 2015
PT RMBS - fair value	$	-	$	167
U.S. Treasury securities - fair value		201		723
Cash		217		1,421
Total	$	418	$	2,311

PT RMBS and U.S. Treasury securities received as margin under our repurchase agreements are not recorded in the consolidated balance sheets because the counterparty retains ownership of the security. Cash received as margin is recognized in cash and cash equivalents with a corresponding amount recognized as an increase in repurchase agreements in the consolidated balance sheets.