INTEREST INCOME AND INTEREST EXPENSE (Tables)

12 Months Ended

Dec. 31, 2022

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) on 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 on 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 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 years ended December 31, 2022, 2021 and 2020.

	For the Years Ended December 31,
	2022		2021		2020
Interest income	(dollars in thousands)
Agency securities (1)	$	2,144,696	$	1,484,354	$	1,661,566
Residential credit securities	140,220		78,681		57,394
Residential mortgage loans (1)	410,229		182,359		170,259
Commercial investment portfolio (1) (2)	81,855		237,597		338,763
Reverse repurchase agreements	1,887		45		1,643
Total interest income	$	2,778,887	$	1,983,036	$	2,229,625
Interest expense
Repurchase agreements	1,026,201		116,974		705,218
Debt issued by securitization vehicles	225,216		93,006		142,602
Participations issued	39,366		12,071		78
Other	18,952		27,192		51,214
Total interest expense	1,309,735		249,243		899,112
Net interest income	$	1,469,152	$	1,733,793	$	1,330,513
(1) Includes assets transferred or pledged to securitization vehicles. (2) Includes commercial real estate debt and preferred equity and corporate debt.