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Note 6 - Pledged Assets

9 Months Ended

Sep. 30, 2023

NOTE 6. 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 September 30, 2023 and December 31, 2022.

(in thousands)
	*September 30, 2023*						*December 31, 2022*
	*Repurchase*		*Derivative*				*Repurchase*		*Derivative*
Assets Pledged to Counterparties	*Agreements*		*Agreements*		*Total*		*Agreements*		*Agreements*		*Total*
PT RMBS - fair value	$	4,497,017	$	-	$	4,497,017	$	3,492,544	$	-	$	3,492,544
Structured RMBS - fair value		18,110		-		18,110		20,096		-		20,096
U.S. Treasury securities		4,641		90,435		95,076		-		36,382		36,382
Accrued interest on pledged securities		17,299		-		17,299		11,419		16		11,435
Restricted cash		113,347		6,267		119,614		13,341		18,227		31,568
Total	$	4,650,414	$	96,702	$	4,747,116	$	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 September 30, 2023 and December 31, 2022.

(in thousands)
	*September 30, 2023*						*December 31, 2022*

	*Repurchase*		*Derivative*				*Repurchase*		*Derivative*
Assets Pledged to Orchid	*Agreements*		*Agreements*		*Total*		*Agreements*		*Agreements*		*Total*
Cash	$	-	$	12,572	$	12,572	$	3,075	$	13,021	$	16,096
U.S. Treasury securities - fair value		-		-	$	-		197		-		197
Total	$	-	$	12,572	$	12,572	$	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.