PLEDGED ASSETS

6 Months Ended

Jun. 30, 2018

Financial Instruments Pledged as Collateral [Abstract]

Pledged Assets [Text Block]

NOTE 5. PLEDGED ASSETS

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 June 30, 2018 and December 31, 2017.

(in thousands)
	June 30, 2018						December 31, 2017
	Repurchase		Derivative				Repurchase		Derivative
Assets Pledged to Counterparties	Agreements		Agreements		Total		Agreements		Agreements		Total
PT RMBS - fair value	$	3,522,217	$	11,319	$	3,533,536	$	3,612,244	$	-	$	3,612,244
Structured RMBS - fair value		110,627		-		110,627		100,317		-		100,317
Accrued interest on pledged securities		14,130		36		14,166		13,962		-		13,962
Restricted cash		23,093		7,972		31,065		25,296		7,053		32,349
Total	$	3,670,067	$	19,327	$	3,689,394	$	3,751,819	$	7,053	$	3,758,872

Assets Pledged from Counterparties

The table below summarizes our assets pledged to us from counterparties under our repurchase agreements as of June 30, 2018 and December 31, 2017.

(in thousands)
	June 30, 2018							December 31, 2017
	Repurchase		Derivative				Repurchase		Derivative
Assets Pledged to Orchid	Agreements		Agreements		Total		Agreements		Agreements		Total
Cash	$	1,392	$	7,959	$	9,351	$	67	$	3,564	$	3,631
PT RMBS - fair value		9		-		9		-		-		-
U.S. Treasury securities - fair value		3,906		-		3,906		-		-		-
Total	$	5,307	$	7,959	$	13,266	$	67	$	3,564	$	3,631

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 or other liabilities in the consolidated balance sheets.