Pledged Assets

6 Months Ended

Jun. 30, 2017

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, derivative agreements and insurance capital by type, including securities pledged related to securities sold but not yet settled, as of June 30, 2017 and December 31, 2016.

(in thousands)
		June 30, 2017
		Repurchase		Derivative
Assets Pledged to Counterparties		Agreements		Agreements		Total
PT RMBS - fair value	$	3,312,428	$	-	$	3,312,428
Structured RMBS - fair value		138,519		-		138,519
Accrued interest on pledged securities		13,719		-		13,719
Restricted cash		6,540		13,325		19,865
Total	$	3,471,206	$	13,325	$	3,484,531

(in thousands)
		December 31, 2016
		Repurchase		Clearing		Derivative		Insurance
Assets Pledged to Counterparties		Agreements		Margin		Agreements		Capital⁽¹⁾		Total
PT RMBS - fair value	$	2,854,062	$	-	$	-	$	1,065	$	2,855,127
Structured RMBS - fair value		106,195		10,968		-		-		117,163
Accrued interest on pledged securities		10,623		266		-		4		10,893
Restricted cash		10,835		-		9,865		250		20,950
Total	$	2,981,715	$	11,234	$	9,865	$	1,319	$	3,004,133

Orchid Island Casualty, Inc. was 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 June 30, 2017 and December 31, 2016.

(in thousands)
Assets Pledged to Orchid	June 30, 2017		December 31, 2016
Cash	$	933	$	1,029
U.S. Treasury securities - fair value		-		3,438
Total	$	933	$	4,467

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.