INTEREST INCOME AND INTEREST EXPENSE (Tables)

6 Months Ended

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.