PLEDGED ASSETS (Tables)

9 Months Ended

Sep. 30, 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 September 30, 2021 and December 31, 2020.

(in thousands)

September 30, 2021

December 31, 2020

Repurchase

Derivative

Repurchase

Derivative

Assets Pledged to Counterparties

Agreements

Agreements

Total

Agreements

Agreements

Total

PT RMBS - fair value

$

5,273,199

$

-

$

5,273,199

$

3,692,811

$

-

$

3,692,811

Structured RMBS - fair value

141,999

-

141,999

27,095

-

27,095

U.S. Treasury Notes

-

29,927

29,927

-

-

-

Accrued interest on pledged securities

15,121

3

15,124

9,636

-

9,636

Restricted cash

47,537

3,574

51,111

58,829

20,534

79,363

Total

$

5,477,856

$

33,504

$

5,511,360

$

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 assets pledged to us from counterparties under our repurchase agreements, reverse repurchase

agreements and derivative agreements as of September 30, 2021 and December 31, 2020.

(in thousands)

September 30, 2021

December 31, 2020

Repurchase

Derivative

Repurchase

Derivative

Assets Pledged to Orchid

Agreements

Agreements

Total

Agreements

Agreements

Total

Cash

$

4,998

$

13,765

$

18,763

$

120

$

6,083

$

6,203

U.S. Treasury securities - fair value

-

-

-

253

-

253

Total

$

4,998

$

13,765

$

18,763

$

$

373

$

6,083

$

6,456