INTEREST INCOME AND INTEREST EXPENSE (Tables)

6 Months Ended

Jun. 30, 2021

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, 2021 and June 30, 2020.


	For the Three Months Ended June 30,				For the Six Months Ended June 30,
	2021		2020		2021		2020
Interest income	(dollars in thousands)
Residential Securities (1)	$	275,278	$	457,684	$	919,912	$	868,064
Residential mortgage loans (1)	38,963		42,871		76,072		90,428
Commercial investment portfolio (1) (2)	69,663		84,208		151,264		179,884

Reverse repurchase agreements	2		49		36		1,462
Total interest income	$	383,906	$	584,812	$	1,147,284	$	1,139,838
Interest expense
Repurchase agreements	29,140		136,962		71,725		570,983

Debt issued by securitization vehicles	23,216		38,757		49,492		80,876

Participations issued	1,739		—		2,336		—
Other	6,952		10,313		13,467		37,646
Total interest expense	61,047		186,032		137,020		689,505
Net interest income	$	322,859	$	398,780	$	1,010,264	$	450,333

(1) Includes assets transferred or pledged to securitization vehicles. (2 ) Includes commercial real estate debt and preferred equity and corporate debt.