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Note 6 - Pledged Assets

3 Months Ended

Mar. 31, 2024

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 March 31, 2024 and December 31, 2023.

(in thousands)
	*March 31, 2024*						*December 31, 2023*
	*Repurchase*		*Derivative*				*Repurchase*		*Derivative*
Assets Pledged to Counterparties	*Agreements*		*Agreements*		*Total*		*Agreements*		*Agreements*		*Total*
PT RMBS - fair value	$	3,859,132	$	-	$	3,859,132	$	3,868,624	$	-	$	3,868,624
Structured RMBS - fair value		16,573		-		16,573		16,930		-		16,930
U.S. Treasury securities		-		79,590		79,590		-		79,680		79,680
Accrued interest on pledged securities		15,262		336		15,598		14,922		-		14,922
Restricted cash		7,418		5,829		13,247		-		28,396		28,396
Total	$	3,898,385	$	85,755	$	3,984,140	$	3,900,476	$	108,076	$	4,008,552

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, 2024 and December 31, 2023.

(in thousands)
	*March 31, 2024*						*December 31, 2023*
	*Repurchase*		*Derivative*				*Repurchase*		*Derivative*
Assets Pledged to Orchid	*Agreements*		*Agreements*		*Total*		*Agreements*		*Agreements*		*Total*
Cash	$	6,475	$	240	$	6,715	$	42,179	$	-	$	42,179
U.S. Treasury securities - fair value		1,418		-		1,418		10,429		-		10,429
Total	$	7,893	$	240	$	8,133	$	52,608	$	-	$	52,608

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.