PLEDGED ASSETS

12 Months Ended

Dec. 31, 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 December 31, 2020 and 2019.

(in thousands)
	December 31, 2020						December 31, 2019
	Repurchase		Derivative				Repurchase		Derivative
Assets Pledged to Counterparties	Agreements		Agreements		Total		Agreements		Agreements		Total
PT RMBS - fair value	$	3,692,811	$	-	$	3,692,811	$	3,500,394	$	-	$	3,500,394
Structured RMBS - fair value		27,095		-		27,095		83,960		-		83,960
Accrued interest on pledged securities		9,636		-		9,636		12,367		-		12,367
Restricted cash		58,829		20,534		79,363		65,851		19,034		84,885
Total	$	3,788,371	$	20,534	$	3,808,905	$	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 and derivative agreements as of December 31, 2020 and 2019.

(in thousands)
	December 31, 2020							December 31, 2019
	Repurchase		Derivative				Repurchase		Derivative
Assets Pledged to Orchid	Agreements		Agreements		Total		Agreements		Agreements		Total
Cash	$	120	$	6,083	$	6,203	$	1,418	$	-	$	1,418
U.S. Treasury securities - fair value		253		-		253		-		-		-
Total	$	373	$	6,083	$	6,456	$	1,418	$	-	$	1,418

PT 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. 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.