PLEDGED ASSETS (Tables)

3 Months Ended

Mar. 31, 2021

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 March 31, 2021 and December 31, 2020.

(in thousands)

March 31, 2021

December 31, 2020

Repurchase

Derivative

Repurchase

Derivative

Assets Pledged to Counterparties

Agreements

Agreements

Total

Agreements

Agreements

Total

PT RMBS - fair value

$

4,081,596

$

-

$

4,081,596

$

3,692,811

$

-

$

3,692,811

Structured RMBS - fair value

38,904

-

38,904

27,095

-

27,095

Accrued interest on pledged securities

10,572

-

10,572

9,636

-

9,636

Receivable for securities sold

154,977

-

154,977

-

-

-

Restricted cash

102,575

14,580

117,155

58,829

20,534

79,363

Total

$

4,388,624

$

14,580

$

4,403,204

$

3,788,371

$

20,534

$

3,808,905

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, reverse repurchase

agreements and derivative agreements as of March 31, 2021 and December 31, 2020.

(in thousands)

March 31, 2021

December 31, 2020

Repurchase

Derivative

Repurchase

Derivative

Assets Pledged to Orchid

Agreements

Agreements

Total

Agreements

Agreements

Total

Cash

$

99

$

21,369

$

21,468

$

120

$

6,083

$

6,203

U.S. Treasury securities - fair value

737

-

737

253

-

253

Total

$

836

$

21,369

$

22,205

$

$

373

$

6,083

$

6,456