INTEREST INCOME AND INTEREST EXPENSE

3 Months Ended

Mar. 31, 2020

Banking and Thrift, Interest [Abstract]

15. INTEREST INCOME AND INTEREST EXPENSE

Refer to the Note titled “Significant Accounting Policies” 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
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.

The following presents the components of the Company’s interest income and interest expense for the three months ended March 31, 2020 and March 31, 2019.



	For the Three Months Ended March 31,
	2020		2019
Interest income	(dollars in thousands)
Residential Securities ⁽¹⁾	$	410,380	$	709,774
Residential mortgage loans⁽¹⁾	47,557		29,991
Commercial investment portfolio^{(1) (2)}	95,676		100,952
Reverse repurchase agreements	1,413		25,469
Total interest income	$	555,026	$	866,186
Interest expense
Repurchase agreements	434,021		579,514
Debt issued by securitization vehicles	42,119		34,207
Other	27,333		33,974
Total interest expense	503,473		647,695
Net interest income	$	51,553	$	218,491

⁽¹⁾ Includes assets transferred or pledged to securitization vehicles. ⁽²⁾ Includes commercial real estate debt and preferred equity and corporate debt.