INTEREST INCOME AND INTEREST EXPENSE

9 Months Ended

Sep. 30, 2021

Banking and Thrift, Interest [Abstract]


15. INTEREST INCOME AND INTEREST EXPENSE

Refer to the “Significant Accounting Policies” Note 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 and nine months ended September 30, 2021 and September 30, 2020.


	For the Three Months Ended September 30,				For the Nine Months Ended September 30,
	2021		2020		2021		2020
Interest income	(dollars in thousands)

Agency Securities	$	299,898	$	428,088	$	1,183,353	$	1,264,171
Residential credit securities	20,774		11,414		57,231		43,395
Residential mortgage loans (1)	45,801		42,508		121,873		132,936
Commercial investment portfolio (1) (2)	46,494		80,324		197,758		260,208

Reverse repurchase agreements	5		109		41		1,571
Total interest income	$	412,972	$	562,443	$	1,560,256	$	1,702,281
Interest expense
Repurchase agreements	22,397		75,386		94,122		646,369

Debt issued by securitization vehicles	18,740		32,491		68,232		113,367

Participations issued	2,578		—		4,914		—
Other	6,723		7,249		20,190		44,895
Total interest expense	50,438		115,126		187,458		804,631
Net interest income	$	362,534	$	447,317	$	1,372,798	$	897,650

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