Note 5 - Pledged Assets

3 Months Ended

Mar. 31, 2023

Notes to Financial Statements

Pledged Assets [Text Block]

NOTE 5. PLEDGED ASSETS

Assets Pledged to Counterparties

The table below summarizes the Company’s assets pledged as collateral under repurchase agreements and derivative agreements by type, including securities pledged related to securities sold but not yet settled, as of March 31, 2023 and December 31, 2022.

(in thousands)
	March 31, 2023						December 31, 2022
	Repurchase		Derivative				Repurchase		Derivative
Assets Pledged to Counterparties	Agreements		Agreements		Total		Agreements		Agreements		Total
PT RMBS - fair value	$	3,926,711	$	-	$	3,926,711	$	3,492,544	$	-	$	3,492,544
Structured RMBS - fair value	$	19,445		-		19,445		20,096		-		20,096
U.S. Treasury Notes		-		36,806		36,806		-		36,382		36,382
Accrued interest on pledged securities		12,867		4		12,871		11,419		16		11,435
Restricted cash		18,072		24,666		42,738		13,341		18,227		31,568
Total	$	3,977,095	$	61,476	$	4,038,571	$	3,537,400	$	54,625	$	3,592,025

Assets Pledged from Counterparties

The table below summarizes assets pledged to the Company from counterparties under repurchase agreements and derivative agreements as of March 31, 2023 and December 31, 2022.

(in thousands)
	March 31, 2023						December 31, 2022
	Repurchase		Derivative				Repurchase		Derivative
Assets Pledged to Orchid	Agreements		Agreements		Total		Agreements		Agreements		Total
Cash	$	4,053	$	1,877	$	5,930	$	3,075	$	13,021	$	16,096
U.S. Treasury securities - fair value		5,000		-	$	5,000		197		-		197
Total	$	9,053	$	1,877	$	10,930	$	3,272	$	13,021	$	16,293

Cash received as margin is recognized as cash and cash equivalents with a corresponding amount recognized as an increase in repurchase agreements or other liabilities in the balance sheets.