INTEREST INCOME AND INTEREST EXPENSE (Tables)

3 Months Ended

Mar. 31, 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 months ended March 31, 2019 and March 31, 2018.



	For the Three Months Ended March 31,
	2019		2018
Interest income	(dollars in thousands)
Residential securities	$	709,774	$	779,588
Residential mortgage loans⁽¹⁾	29,991		15,505
Commercial investment portfolio^{(1) (2)}	100,952		72,457
Reverse repurchase agreements	25,469		11,937
Total interest income	$	866,186	$	879,487
Interest expense
Repurchase agreements	579,514		331,374
Debt issued by securitization vehicles	34,207		15,652
Other	33,974		20,395
Total interest expense	647,695		367,421
Net interest income	$	218,491	$	512,066
⁽¹⁾ Includes assets transferred or pledged to securitization vehicles. ⁽²⁾ Includes commercial real estate debt and preferred equity and corporate debt.