Note 6 - Pledged Assets

12 Months Ended

Dec. 31, 2023

Notes to Financial Statements

Pledged Assets [Text Block]

NOTE 6. 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, 2023 and 2022.

(in thousands)
	December 31, 2023						December 31, 2022
	Repurchase		Derivative				Repurchase		Derivative
Assets Pledged to Counterparties	Agreements		Agreements		Total		Agreements		Agreements		Total
PT RMBS - fair value	$	3,868,624	$	-	$	3,868,624	$	3,492,544	$	-	$	3,492,544
Structured RMBS - fair value		16,930		-		16,930		20,096		-		20,096
U.S. Treasury securities - fair value		-		79,680		79,680		-		36,382		36,382
Accrued interest on pledged securities		14,922		-		14,922		11,419		16		11,435
Restricted cash		-		28,396		28,396		13,341		18,227		31,568
Total	$	3,900,476	$	108,076	$	4,008,552	$	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 December 31, 2023 and 2022.

(in thousands)
	December 31, 2023						December 31, 2022
	Repurchase		Derivative				Repurchase		Derivative
Assets Pledged to Orchid	Agreements		Agreements		Total		Agreements		Agreements		Total
Cash	$	42,179	$	-	$	42,179	$	3,075	$	13,021	$	16,096
U.S. Treasury securities - fair value		10,429		-		10,429		197		-		197
Total	$	52,608	$	-	$	52,608	$	3,272	$	13,021	$	16,293

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.