INTEREST INCOME AND INTEREST EXPENSE (Tables)

9 Months Ended

Sep. 30, 2018

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
Collateralized Mortgage Obligation (“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 table presents the components of the Company’s interest income and interest expense for the three and nine months ended September 30, 2018 and 2017.



	Three Months Ended				Nine Months Ended
	September 30, 2018		September 30, 2017		September 30, 2018		September 30, 2017
Interest income:	(dollars in thousands)
Residential Securities	$	680,037	$	540,436	$	2,122,375	$	1,515,654
Residential mortgage loans	21,184		8,509		55,557		19,790
Commercial investment portfolio ⁽¹⁾	97,531		67,790		249,331		200,288
U.S. Treasury securities	160		—		160		—
Reverse repurchase agreements	17,684		5,815		45,466		11,971
Total interest income	816,596		622,550		2,472,889		1,747,703
Interest expense:
Repurchase agreements	445,535		237,669		1,177,384		607,910
Debt issued by securitization vehicles	29,391		16,072		63,244		42,899
Participation sold	—		—		—		195
Other	26,047		15,196		70,458		38,639
Total interest expense	500,973		268,937		1,311,086		689,643
Net interest income	315,623		353,613		$	1,161,803	$	1,058,060


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