PLEDGED ASSETS (Tables)

3 Months Ended

Mar. 31, 2018

Financial Instruments Pledged as Collateral [Abstract]

Schedule of 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

Assets Pledged to Counterparties

The table below summarizes our assets pledged as collateral under our repurchase agreements and derivative agreements by type, including securities pledged related to securities sold but not yet settled, as of March 31, 2018 and December 31, 2017.

(in thousands)
	March 31, 2018						December 31, 2017
	Repurchase		Derivative				Repurchase		Derivative
Assets Pledged to Counterparties	Agreements		Agreements		Total		Agreements		Agreements		Total
PT RMBS - fair value	$	3,529,357	$	-	$	3,529,357	$	3,612,244	$	-	$	3,612,244
Structured RMBS - fair value		114,361		-		114,361		100,317		-		100,317
Accrued interest on pledged securities		14,568		-		14,568		13,962		-		13,962
Receivable for securities sold		160,304		-		160,304		-		-		-
Restricted cash		28,565		8,272		36,837		25,296		7,053		32,349
Total	$	3,847,155	$	8,272	$	3,855,427	$	3,751,819	$	7,053	$	3,758,872

Schedule of assets pledged to us from counterparties under our repurchase agreements.

Assets Pledged from Counterparties

The table below summarizes our assets pledged to us from counterparties under our repurchase agreements as of March 31, 2018 and December 31, 2017.

(in thousands)
	March 31, 2018							December 31, 2017
	Repurchase		Derivative				Repurchase		Derivative
Assets Pledged to Orchid	Agreements		Agreements		Total		Agreements		Agreements		Total
Cash	$	1,146	$	7,169	$	8,315	$	67	$	3,564	$	3,631
PT RMBS - fair value		548		-		548		-		-		-
U.S. Treasury securities - fair value		1,077		-		1,077		-		-		-
Total	$	2,771	$	7,169	$	9,940	$	67	$	3,564	$	3,631