INTEREST INCOME AND INTEREST EXPENSE

3 Months Ended

Mar. 31, 2022

Banking and Thrift, Interest [Abstract]

INTEREST INCOME AND INTEREST EXPENSE

15.  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) on the accompanying Consolidated Statements of Comprehensive Income (Loss). (2) Changes in fair value are recognized in Net gains (losses) on investments and other 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.

The following presents the components of the Company’s interest income and interest expense for the three months ended March 31, 2022 and March 31, 2021.

	For the Three Months Ended March 31,
	2022		2021
Interest income	(dollars in thousands)
Agency Securities	$	522,951	$	627,654
Residential credit securities	22,122		16,980
Residential mortgage loans (1)	73,488		37,109
Commercial investment portfolio (1) (2)	37,283		81,601
Reverse repurchase agreements	6		34
Total interest income	$	655,850	$	763,378
Interest expense
Repurchase agreements	26,879		42,585
Debt issued by securitization vehicles	34,625		26,276
Participations issued	5,852		597
Other	7,566		6,515
Total interest expense	74,922		75,973
Net interest income	$	580,928	$	687,405
(1) Includes assets transferred or pledged to securitization vehicles. (2) Includes commercial real estate debt and preferred equity and corporate debt.