INTEREST INCOME AND INTEREST EXPENSE (Tables)

3 Months Ended

Mar. 31, 2025

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) in 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 in 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 in 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 months ended March 31, 2025 and 2024.

	For the Three Months Ended
	March 31, 2025		March 31, 2024
Interest income	(dollars in thousands)
Agency securities	$	820,182	$	751,516
Residential credit securities	40,207		55,996
Residential mortgage loans (1)	426,055		252,016
Commercial investment portfolio (1)	1,055		3,554
Reverse repurchase agreements	29,609		31,406
Total interest income	$	1,317,108	$	1,094,488
Interest expense
Repurchase agreements	$	760,783	$	897,598
Debt issued by securitization vehicles	283,592		161,017
Participations issued	27,044		20,251
U.S. Treasury securities sold, not yet purchased	25,718		22,073
Total interest expense	1,097,137		1,100,939
Net interest income	$	219,971	$	(6,451)
(1) Includes assets transferred or pledged to securitization vehicles.