INTEREST INCOME AND INTEREST EXPENSE (Tables)

9 Months Ended

Sep. 30, 2023

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

(1) Changes in fair value are recognized in Other comprehensive income (loss) on the accompanying Consolidated Statements of Comprehensive Income (Loss) for securities purchased prior to July 1, 2022. Effective July 1, 2022, changes in fair value are recognized in Net gains (losses) on investments and other on the accompanying Consolidated Statements of Comprehensive Income (Loss) for newly purchased securities. (2) Changes in fair value are recognized in Net gains (losses) on investments and other 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 table presents the components of the Company’s interest income and interest expense for the three and nine months ended September 30, 2023 and 2022.


	For the Three Months Ended September 30,				For the Nine Months Ended September 30,
	2023		2022		2023		2022
Interest income	(dollars in thousands)

Agency securities	$	753,007	$	517,528	$	2,043,021	$	1,537,614
Residential credit securities	57,229		41,388		167,451		93,547
Residential mortgage loans (1)	181,965		109,977		491,398		275,113
Commercial investment portfolio (1) (2)	5,812		8,853		24,009		72,711

Reverse repurchase agreements	3,472		742		15,350		968
Total interest income	$	1,001,485	$	678,488	$	2,741,229	$	1,979,953
Interest expense
Repurchase agreements	917,997		324,573		2,457,996		457,060

Debt issued by securitization vehicles	116,962		64,593		307,715		149,521

Participations issued	11,860		9,727		33,352		24,958
Other	—		1,598		—		14,349
Total interest expense	1,046,819		400,491		2,799,063		645,888
Net interest income	$	(45,334)	$	277,997	$	(57,834)	$	1,334,065

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