PLEDGED ASSETS (Tables)

6 Months Ended

Jun. 30, 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 June 30, 2020 and December 31, 2019.

(in thousands)
	June 30, 2020						December 31, 2019
	Repurchase		Derivative				Repurchase		Derivative
Assets Pledged to Counterparties	Agreements		Agreements		Total		Agreements		Agreements		Total
PT RMBS - fair value	$	3,260,143	$	-	$	3,260,143	$	3,500,394	$	-	$	3,500,394
Structured RMBS - fair value		33,899		-		33,899		83,960		-		83,960
Accrued interest on pledged securities		10,127		-		10,127		12,367		-		12,367
Restricted cash		35,609		25,152		60,761		65,851		19,034		84,885
Total	$	3,339,778	$	25,152	$	3,364,930	$	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, reverse repurchase agreements and derivative agreements as of June 30, 2020 and December 31, 2019.

(in thousands)
			Reverse
	Repurchase		Repurchase		Derivative
Assets Pledged to Orchid	Agreements		Agreements		Agreements		Total
June 30, 2020
Cash	$	10,920	$	-	$	730	$	11,650
U.S. Treasury securities - fair value		-		139,843		522		140,365
Total	$	10,920	$	139,843	$	1,252	$	152,015
December 31, 2019
Cash	$	1,418	$	-	$	-	$	1,418
Total	$	1,418	$	-	$	-	$	1,418