INTEREST INCOME AND INTEREST EXPENSE (Tables)

6 Months Ended

Jun. 30, 2023

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 table presents the components of the Company’s interest income and interest expense for the three and six months ended June 30, 2023 and 2022.

	For the Three Months Ended June 30,				For the Six Months Ended June 30,
	2023		2022		2023		2022
Interest income	(dollars in thousands)
Agency securities	$	686,912	$	497,135	$	1,290,014	$	1,020,086
Residential credit securities	56,477		30,037		110,222		52,159
Residential mortgage loans (1)	162,202		91,648		309,433		165,136
Commercial investment portfolio (1) (2)	8,310		26,575		18,197		63,858
Reverse repurchase agreements	7,593		220		11,878		226
Total interest income	$	921,494	$	645,615	$	1,739,744	$	1,301,465
Interest expense
Repurchase agreements	841,257		105,608		1,539,999		132,487
Debt issued by securitization vehicles	101,819		50,303		190,753		84,928
Participations issued	10,381		9,379		21,492		15,231
Other	—		5,185		—		12,751
Total interest expense	953,457		170,475		1,752,244		245,397
Net interest income	$	(31,963)	$	475,140	$	(12,500)	$	1,056,068
(1) Includes assets transferred or pledged to securitization vehicles. (2) Includes commercial real estate debt and preferred equity and corporate debt.