INTEREST INCOME AND INTEREST EXPENSE (Tables)

3 Months Ended

Mar. 31, 2021

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 months ended March 31, 2021 and March 31, 2020.

	For the Three Months Ended March 31,
	2021		2020
Interest income	(dollars in thousands)
Residential Securities (1)	$	644,634	$	410,380
Residential mortgage loans (1)	37,109		47,557
Commercial investment portfolio (1) (2)	81,601		95,676
Reverse repurchase agreements	34		1,413
Total interest income	$	763,378	$	555,026
Interest expense
Repurchase agreements	42,585		434,021
Debt issued by securitization vehicles	26,276		42,119
Participations issued	597		—
Other	6,515		27,333
Total interest expense	75,973		503,473
Net interest income	$	687,405	$	51,553
(1) Includes assets transferred or pledged to securitization vehicles. (2 ) Includes commercial real estate debt and preferred equity and corporate debt.