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INTEREST INCOME AND INTEREST EXPENSE (Tables)
 9 Months Ended
Sep. 30, 2020
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 and nine months ended September 30, 2020 and September 30, 2019.
 For the Three Months Ended September 30,For the Nine Months Ended September 30,
 2020201920202019
Interest income(dollars in thousands)
Residential Securities (1)
$439,502 $784,228 $1,307,566 $2,271,893 
Residential mortgage loans (1)
42,508 37,673 132,936 102,689 
Commercial investment portfolio (1) (2)
80,324 87,946 260,208 281,029 
Reverse repurchase agreements109 9,452 1,571 57,472 
Total interest income$562,443 $919,299 $1,702,281 $2,713,083 
Interest expense  
Repurchase agreements75,386 699,838 646,369 1,962,999 
Debt issued by securitization vehicles32,491 34,524 113,367 102,882 
Other7,249 32,543 44,895 98,936 
Total interest expense115,126 766,905 804,631 2,164,817 
Net interest income$447,317 $152,394 $897,650 $548,266 
(1) Includes assets transferred or pledged to securitization vehicles.
(2 ) Includes commercial real estate debt and preferred equity and corporate debt.