XML 32 R20.htm IDEA: XBRL DOCUMENT
v3.24.3

INTEREST INCOME AND INTEREST EXPENSE | 9 Months Ended
--- | ---
Sep. 30, 2024
Banking and Thrift, Interest [Abstract] |
INTEREST INCOME AND INTEREST EXPENSE |
14. INTEREST INCOME AND INTEREST EXPENSE
Refer to the “Significant Accounting Policies” Note for details surrounding the Company’s accounting policy related to net interest income on securities and loans. 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) in 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 in 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 in 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.
The following table presents the components of the Company’s interest income and interest expense for the three and nine months ended September 30, 2024 and 2023.
| For the Three Months Ended |  | For the Nine Months Ended
| September 30, 2024 |  | September 30, 2023 |  | September 30, 2024 |  | September 30, 2023
Interest income | (dollars in thousands)
Agency securities | $ | 789,403 |  |  | $ | 753,007 |  |  | $ | 2,331,698 |  |  | $ | 2,043,021 |
Residential credit securities | 49,863 |  |  | 57,229 |  |  | 156,754 |  |  | 167,451 |
Residential mortgage loans (1) | 346,031 |  |  | 181,965 |  |  | 899,867 |  |  | 491,398 |
Commercial investment portfolio (1) | 2,240 |  |  | 5,812 |  |  | 8,235 |  |  | 24,009 |
Reverse repurchase agreements | 41,804 |  |  | 3,472 |  |  | 104,600 |  |  | 15,350 |
Total interest income | $ | 1,229,341 |  |  | $ | 1,001,485 |  |  | $ | 3,501,154 |  |  | $ | 2,741,229 |
Interest expense |  |  |  |  |  |  |
Repurchase agreements | $ | 942,780 |  |  | $ | 917,997 |  |  | $ | 2,722,304 |  |  | $ | 2,457,996 |
Debt issued by securitization vehicles | 234,299 |  |  | 116,962 |  |  | 596,128 |  |  | 307,715 |
Participations issued | 17,834 |  |  | 11,860 |  |  | 57,841 |  |  | 33,352 |
U.S. Treasury securities sold, not yet purchased | 21,027 |  |  | — |  |  | 64,373 |  |  | — |
Total interest expense | 1,215,940 |  |  | 1,046,819 |  |  | 3,440,646 |  |  | 2,799,063 |
Net interest income | $ | 13,401 |  |  | $ | (45,334) |  |  | $ | 60,508 |  |  | $ | (57,834) |
(1) Includes assets transferred or pledged to securitization vehicles.

X
- References No definition available. + Details
Name: | us-gaap_BankingAndThriftInterestAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition The entire disclosure for interest income and interest expense for enterprises that derive a significant portion of their revenue from interest collected on investments, loans, and securities. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 942 -SubTopic 220 -Name Accounting Standards Codification -Section S99 -Paragraph 1 -Subparagraph (SX 210.9-04(2)) -Publisher FASB -URI https://asc.fasb.org/1943274/2147478524/942-220-S99-1 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 942 -SubTopic 220 -Name Accounting Standards Codification -Section S99 -Paragraph 1 -Subparagraph (SX 210.9-04(5)) -Publisher FASB -URI https://asc.fasb.org/1943274/2147478524/942-220-S99-1 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 942 -SubTopic 220 -Name Accounting Standards Codification -Section S99 -Paragraph 1 -Subparagraph (SX 210.9-04(4)) -Publisher FASB -URI https://asc.fasb.org/1943274/2147478524/942-220-S99-1 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 942 -SubTopic 220 -Name Accounting Standards Codification -Section S99 -Paragraph 1 -Subparagraph (SX 210.9-04(3)) -Publisher FASB -URI https://asc.fasb.org/1943274/2147478524/942-220-S99-1 Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 942 -SubTopic 220 -Name Accounting Standards Codification -Section S99 -Paragraph 1 -Subparagraph (SX 210.9-04(1)) -Publisher FASB -URI https://asc.fasb.org/1943274/2147478524/942-220-S99-1 Reference 6: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 942 -SubTopic 220 -Name Accounting Standards Codification -Section S99 -Paragraph 1 -Subparagraph (SX 210.9-04(8)) -Publisher FASB -URI https://asc.fasb.org/1943274/2147478524/942-220-S99-1 Reference 7: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 942 -SubTopic 220 -Name Accounting Standards Codification -Section S99 -Paragraph 1 -Subparagraph (SX 210.9-04(7)) -Publisher FASB -URI https://asc.fasb.org/1943274/2147478524/942-220-S99-1 Reference 8: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 942 -SubTopic 220 -Name Accounting Standards Codification -Section S99 -Paragraph 1 -Subparagraph (SX 210.9-04(6)) -Publisher FASB -URI https://asc.fasb.org/1943274/2147478524/942-220-S99-1 Reference 9: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 942 -SubTopic 220 -Name Accounting Standards Codification -Section S99 -Paragraph 1 -Subparagraph (SX 210.9-04(12)) -Publisher FASB -URI https://asc.fasb.org/1943274/2147478524/942-220-S99-1 Reference 10: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 942 -SubTopic 220 -Name Accounting Standards Codification -Section S99 -Paragraph 1 -Subparagraph (SX 210.9-04(11)) -Publisher FASB -URI https://asc.fasb.org/1943274/2147478524/942-220-S99-1 Reference 11: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 942 -SubTopic 220 -Name Accounting Standards Codification -Section S99 -Paragraph 1 -Subparagraph (SX 210.9-04(10)) -Publisher FASB -URI https://asc.fasb.org/1943274/2147478524/942-220-S99-1 Reference 12: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 942 -SubTopic 220 -Name Accounting Standards Codification -Section S99 -Paragraph 1 -Subparagraph (SX 210.9-04(9)) -Publisher FASB -URI https://asc.fasb.org/1943274/2147478524/942-220-S99-1 + Details
Name: | us-gaap_InterestIncomeAndInterestExpenseDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration