PLEDGED ASSETS

9 Months Ended

Sep. 30, 2019

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 September 30, 2019 and December 31, 2018.

(in thousands)
	September 30, 2019						December 31, 2018
	Repurchase		Derivative				Repurchase		Derivative
Assets Pledged to Counterparties	Agreements		Agreements		Total		Agreements		Agreements		Total
PT RMBS - fair value	$	3,703,319	$	-	$	3,703,319	$	2,854,540	$	10,776	$	2,865,316
Structured RMBS - fair value		88,348		-		88,348		126,270		-		126,270
Accrued interest on pledged securities		14,864		-		14,864		12,904		35		12,939
Receivable for securities sold		209,958		-		209,958		220,654		-		220,654
Restricted cash		27,057		27,731		54,788		7,034		10,947		17,981
Total	$	4,043,546	$	27,731	$	4,071,277	$	3,221,402	$	21,758	$	3,243,160

Assets Pledged from Counterparties

The table below summarizes our assets pledged to us from counterparties under our repurchase agreements and derivative agreements as of September 30, 2019 and December 31, 2018.

(in thousands)
	September 30, 2019							December 31, 2018
	Repurchase		Derivative				Repurchase		Derivative
Assets Pledged to Orchid	Agreements		Agreements		Total		Agreements		Agreements		Total
Cash	$	1,476	$	1,632	$	3,108	$	3,852	$	14,576	$	18,428
PT RMBS - fair value		-		-		-		1,557		-		1,557
U.S. Treasury securities - fair value		348		-		348		180		-		180
Total	$	1,824	$	1,632	$	3,456	$	5,589	$	14,576	$	20,165

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.