PLEDGED ASSETS

12 Months Ended

Dec. 31, 2021

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, 2021 and 2020.

(in thousands)

December 31, 2021

December 31, 2020

Repurchase

Derivative

Repurchase

Derivative

Assets Pledged to Counterparties

Agreements

Agreements

Total

Agreements

Agreements

Total

PT RMBS - fair value

$

6,294,102

$

-

$

6,294,102

$

3,692,811

$

-

$

3,692,811

Structured RMBS - fair value

212,270

-

212,270

27,095

-

27,095

U.S. Treasury Notes

-

29,740

29,740

-

-

-

Accrued interest on pledged securities

18,804

13

18,817

9,636

-

9,636

Restricted cash

57,264

8,035

65,299

58,829

20,534

79,363

Total

$

6,582,440

$

37,788

$

6,620,228

$

3,788,371

$

20,534

$

3,808,905

Assets Pledged from Counterparties

The table below summarizes assets pledged to us from counterparties under our repurchase agreements and derivative agreements

as of December 31, 2021 and 2020.

(in thousands)

December 31, 2021

December 31, 2020

Repurchase

Derivative

Repurchase

Derivative

Assets Pledged to Orchid

Agreements

Agreements

Total

Agreements

Agreements

Total

Cash

$

4,339

$

7,206

$

11,545

$

120

$

6,083

$

6,203

U.S. Treasury securities - fair value

-

-

-

253

-

253

Total

$

4,339

$

7,206

$

11,545

$

373

$

6,083

$

6,456

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.