INTEREST INCOME AND INTEREST EXPENSE (Tables)

6 Months Ended

Jun. 30, 2019

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, 2019 and June 30, 2018.



	For the Three Months Ended June 30,				For the Six Months Ended June 30,
	2019		2018		2019		2018
Interest income	(dollars in thousands)
Residential Securities	$	777,891	$	662,750	1,487,665		$	1,442,338
Residential mortgage loans⁽¹⁾	35,025		18,868		65,016		34,373
Commercial investment portfolio^{(1) (2)}	92,131		79,343		193,083		151,800
Reverse repurchase agreements	22,551		15,845		48,020		27,782
Total interest income	$	927,598	$	776,806	$	1,793,784	$	1,656,293
Interest expense
Repurchase agreements	683,647		400,475		1,263,161		731,849
Debt issued by securitization vehicles	34,151		18,201		68,358		33,853
Other	32,419		24,016		66,393		44,411
Total interest expense	750,217		442,692		1,397,912		810,113
Net interest income	$	177,381	$	334,114	$	395,872	$	846,180

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