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INTEREST INCOME AND INTEREST EXPENSE (Tables)
 9 Months Ended
Sep. 30, 2022
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
(1) Changes in fair value are recognized in Other comprehensive income (loss) on the accompanying Consolidated Statements of Comprehensive Income (Loss) for securities purchased prior to July 1, 2022. Effective July 1, 2022, changes in fair value are recognized in Net gains (losses) on investments and other on the accompanying Consolidated Statements of Comprehensive Income (Loss) for newly purchased securities.
(2) Changes in fair value are recognized in Net gains (losses) on investments and other 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, 2022 and September 30, 2021.
 For the Three Months Ended September 30,
For the Nine Months Ended September 30,
 2022202120222021
Interest income(dollars in thousands)
Agency securities$517,528 $299,898 $1,537,614 $1,183,353 
Residential credit securities41,388 20,774 93,547 57,231 
Residential mortgage loans (1)
109,977 45,801 275,113 121,873 
Commercial investment portfolio (1) (2)
8,853 46,494 72,711 197,758 
Reverse repurchase agreements742 5 968 41 
Total interest income$678,488 $412,972 $1,979,953 $1,560,256 
Interest expense  
Repurchase agreements324,573 22,397 457,060 94,122 
Debt issued by securitization vehicles64,593 18,740 149,521 68,232 
Participations issued9,727 2,578 24,958 4,914 
Other1,598 6,723 14,349 20,190 
Total interest expense400,491 50,438 645,888 187,458 
Net interest income$277,997 $362,534 $1,334,065 $1,372,798 
(1) Includes assets transferred or pledged to securitization vehicles.
(2) Includes commercial real estate debt and preferred equity and corporate debt.