INTEREST INCOME AND INTEREST EXPENSE

12 Months Ended

Dec. 31, 2021

Banking and Thrift, Interest [Abstract]

INTEREST INCOME AND INTEREST EXPENSE

16.  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
(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 years ended December 31, 2021, 2020 and 2019.

	For the Years Ended December 31,
	2021		2020		2019
Interest income	(dollars in thousands)
Agency Securities (1)	$	1,484,354	$	1,661,566	$	3,105,035
Residential credit securities	78,681		57,394		90,511
Residential mortgage loans (1)	182,359		170,259		150,066
Commercial investment portfolio (1) (2)	237,597		338,763		378,395
Reverse repurchase agreements	45		1,643		63,290
Total interest income	$	1,983,036	$	2,229,625	$	3,787,297
Interest expense
Repurchase agreements	116,974		705,218		2,513,282
Debt issued by securitization vehicles	93,006		142,602		141,981
Participations issued	12,071		78		—
Other	27,192		51,214		129,612
Total interest expense	249,243		899,112		2,784,875
Net interest income	$	1,733,793	$	1,330,513	$	1,002,422
(1) Includes assets transferred or pledged to securitization vehicles. (2) Includes commercial real estate debt and preferred equity and corporate debt.