PLEDGED ASSETS

6 Months Ended

Jun. 30, 2020

Financial Instruments Pledged as Collateral [Abstract]

Pledged Assets [Text Block]

NOTE 5. PLEDGED ASSETS

Assets Pledged to Counterparties

The table below summarizes our 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 June 30, 2020 and December 31, 2019.

(in thousands)
	June 30, 2020						December 31, 2019
	Repurchase		Derivative				Repurchase		Derivative
Assets Pledged to Counterparties	Agreements		Agreements		Total		Agreements		Agreements		Total
PT RMBS - fair value	$	3,260,143	$	-	$	3,260,143	$	3,500,394	$	-	$	3,500,394
Structured RMBS - fair value		33,899		-		33,899		83,960		-		83,960
Accrued interest on pledged securities		10,127		-		10,127		12,367		-		12,367
Restricted cash		35,609		25,152		60,761		65,851		19,034		84,885
Total	$	3,339,778	$	25,152	$	3,364,930	$	3,662,572	$	19,034	$	3,681,606

Assets Pledged from Counterparties

The table below summarizes our assets pledged to us from counterparties under our repurchase agreements, reverse repurchase agreements and derivative agreements as of June 30, 2020 and December 31, 2019.

(in thousands)
			Reverse
	Repurchase		Repurchase		Derivative
Assets Pledged to Orchid	Agreements		Agreements		Agreements		Total
June 30, 2020
Cash	$	10,920	$	-	$	730	$	11,650
U.S. Treasury securities - fair value		-		139,843		522		140,365
Total	$	10,920	$	139,843	$	1,252	$	152,015
December 31, 2019
Cash	$	1,418	$	-	$	-	$	1,418
Total	$	1,418	$	-	$	-	$	1,418

RMBS and U.S. Treasury securities received as margin under our repurchase agreements are not recorded in the balance sheets because the counterparty retains ownership of the security. U.S. Treasury securities received from counterparties as collateral under our reverse repurchase agreements are recognized as obligations to return securities borrowed under reverse repurchase agreements in the balance sheet. 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.