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Note 5 - Pledged Assets

12 Months Ended

Dec. 31, 2022

NOTE 5. PLEDGED ASSETS

Assets Pledged to Counterparties

The table below summarizes the Company's 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 December 31, 2022 and 2021.

(in thousands)
	*December 31, 2022*						*December 31, 2021*
	*Repurchase*		*Derivative*				*Repurchase*		*Derivative*
Assets Pledged to Counterparties	*Agreements*		*Agreements*		*Total*		*Agreements*		*Agreements*		*Total*
PT RMBS - fair value	$	3,492,544	$	-	$	3,492,544	$	6,294,102	$	-	$	6,294,102
Structured RMBS - fair value		20,096		-		20,096		212,270		-		212,270
U.S. Treasury Notes		-		36,382		36,382		-		29,740		29,740
Accrued interest on pledged securities		11,419		16		11,435		18,804		13		18,817
Restricted cash		13,341		18,227		31,568		57,264		8,035		65,299
Total	$	3,537,400	$	54,625	$	3,592,025	$	6,582,440	$	37,788	$	6,620,228

Assets Pledged from Counterparties

The table below summarizes assets pledged to the Company from counterparties under repurchase agreements and derivative agreements as of December 31, 2022 and 2021.

(in thousands)
	*December 31, 2022*						*December 31, 2021*
	*Repurchase*		*Derivative*				*Repurchase*		*Derivative*
Assets Pledged to Orchid	*Agreements*		*Agreements*		*Total*		*Agreements*		*Agreements*		*Total*
Cash	$	3,075	$	13,021	$	16,096	$	4,339	$	7,206	$	11,545
U.S. Treasury securities - fair value		197		-		197		-		-		-
Total	$	3,272	$	13,021	$	16,293	$	4,339	$	7,206	$	11,545

U.S. Treasury securities received as margin under the Company's repurchase agreements are not recorded in the 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 balance sheets.