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INTEREST INCOME AND INTEREST EXPENSE (Tables) | 9 Months Ended
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Sep. 30, 2024
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) 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.
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, 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.

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