Note 6 - Pledged Assets

6 Months Ended

Jun. 30, 2024

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 repurchase agreements and derivative agreements by type, including securities pledged related to securities sold but not yet settled, as of June 30, 2024 and December 31, 2023.

(in thousands)
	June 30, 2024						December 31, 2023
	Repurchase		Derivative				Repurchase		Derivative
Assets Pledged to Counterparties	Agreements		Agreements		Total		Agreements		Agreements		Total
PT RMBS - fair value	$	4,504,465	$	-	$	4,504,465	$	3,868,624	$	-	$	3,868,624
Structured RMBS - fair value		16,671		-		16,671		16,930		-		16,930
U.S. Treasury securities		-		78,430		78,430		-		79,680		79,680
Accrued interest on pledged securities		18,972		-		18,972		14,922		-		14,922
Restricted cash		11,185		4,783		15,968		-		28,396		28,396
Total	$	4,551,293	$	83,213	$	4,634,506	$	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 June 30, 2024 and December 31, 2023.

(in thousands)
	June 30, 2024						December 31, 2023
	Repurchase		Derivative				Repurchase		Derivative
Assets Pledged to Orchid	Agreements		Agreements		Total		Agreements		Agreements		Total
Cash	$	6,492	$	-	$	6,492	$	42,179	$	-	$	42,179
U.S. Treasury securities - fair value		593		-		593		10,429		-		10,429
Total	$	7,085	$	-	$	7,085	$	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.