PLEDGED ASSETS (Tables)

12 Months Ended

Dec. 31, 2020

Financial Instruments Pledged as Collateral [Abstract]

Schedule of assets pledged as collateral under our repurchase agreements, prime brokerage clearing accounts, derivative agreements and insurance capital by type, including securities pledged related to securities sold but not yet settled

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

Schedule of assets pledged to us from counterparties under our repurchase agreements.

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