INTEREST INCOME AND INTEREST EXPENSE

12 Months Ended

Dec. 31, 2023

Banking and Thrift, Interest [Abstract]

INTEREST INCOME AND INTEREST EXPENSE

17.  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) 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.

The following table presents the components of the Company’s interest income and interest expense for the years ended December 31, 2023, 2022 and 2021.

	For the Years Ended December 31,
	2023		2022		2021
Interest income	(dollars in thousands)
Agency securities (1)	$	2,740,320	$	2,144,696	$	1,484,354
Residential credit securities	225,266		140,220		78,681
Residential mortgage loans (1)	703,838		410,229		182,359
Commercial investment portfolio (1) (2)	28,385		81,855		237,597
Reverse repurchase agreements	33,772		1,887		45
Total interest income	$	3,731,581	$	2,778,887	$	1,983,036
Interest expense
Repurchase agreements	$	3,337,527	$	1,026,201	$	116,974
Debt issued by securitization vehicles	443,584		225,216		93,006
Participations issued	50,357		39,366		12,071
U.S. Treasury securities sold, not yet purchased	11,497		—		—
Other	—		18,952		27,192
Total interest expense	3,842,965		1,309,735		249,243
Net interest income	$	(111,384)	$	1,469,152	$	1,733,793
(1) Includes assets transferred or pledged to securitization vehicles. (2) Includes commercial real estate debt and preferred equity and corporate debt.