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INTEREST INCOME AND INTEREST EXPENSE (Tables) | 6 Months Ended
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Jun. 30, 2020
Banking and Thrift, Interest [Abstract] |
Summary of Interest Income Recognition Methodology for Residential Investment Securities | The following table summarizes the interest income recognition methodology for Residential Securities:
| Interest Income Methodology
Agency |
Fixed-rate pass-through (1) | Effective yield (3)
Adjustable-rate pass-through (1) | Effective yield (3)
Multifamily (1) | Contractual Cash Flows
CMO (1) | Effective yield (3)
Reverse mortgages (2) | Prospective
Interest-only (2) | Prospective
Residential credit |
CRT (2) | Prospective
Alt-A (2) | Prospective
Prime (2) | Prospective
Subprime (2) | Prospective
NPL/RPL (2) | Prospective
Prime jumbo (2) | Prospective
Prime jumbo interest-only (2) | Prospective
(1) Changes in fair value are recognized in Other comprehensive income (loss) on the accompanying Consolidated Statements of Comprehensive Income (Loss). (2) Changes in fair value are recognized in Net unrealized gains (losses) on instruments measured at fair value through earnings on the accompanying Consolidated Statements of Comprehensive Income (Loss). (3) Effective yield is recalculated for differences between estimated and actual prepayments and the amortized cost is adjusted as if the new effective yield had been applied since inception.
Components of Company's Interest Income and Interest Expense | The following presents the components of the Company’s interest income and interest expense for the three and six months ended June 30, 2020 and June 30, 2019.
| For the Three Months Ended June 30, |  | For the Six Months Ended June 30,
| 2020 |  | 2019 |  | 2020 |  | 2019
Interest income | (dollars in thousands)
Residential Securities (1) | $ | 457,684 |  |  | $ | 777,891 |  |  | $ | 868,064 |  |  | $ | 1,487,665 |
Residential mortgage loans (1) | 42,871 |  |  | 35,025 |  |  | 90,428 |  |  | 65,016 |
Commercial investment portfolio (1) (2) | 84,208 |  |  | 92,131 |  |  | 179,884 |  |  | 193,083 |
Reverse repurchase agreements | 49 |  |  | 22,551 |  |  | 1,462 |  |  | 48,020 |
Total interest income | $ | 584,812 |  |  | $ | 927,598 |  |  | $ | 1,139,838 |  |  | $ | 1,793,784 |
Interest expense |  |  |  |  |  |  |  |  |
Repurchase agreements | 136,962 |  |  | 683,647 |  |  | 570,983 |  |  | 1,263,161 |
Debt issued by securitization vehicles | 38,757 |  |  | 34,151 |  |  | 80,876 |  |  | 68,358 |
Other | 10,313 |  |  | 32,419 |  |  | 37,646 |  |  | 66,393 |
Total interest expense | 186,032 |  |  | 750,217 |  |  | 689,505 |  |  | 1,397,912 |
Net interest income | $ | 398,780 |  |  | $ | 177,381 |  |  | $ | 450,333 |  |  | $ | 395,872 |
(1) Includes assets transferred or pledged to securitization vehicles. (2) Includes commercial real estate debt and preferred equity and corporate debt. |  |  |  |

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- Definition Tabular disclosure of interest income and expense, including, but not limited to, interest income and expense from investments, loans, and securities. + References No definition available. + Details
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