Consolidated K-Series

The Company has elected the fair value option on the assets and liabilities held within the Consolidated K-Series, which requires that changes in valuations in the assets and liabilities of the Consolidated K-Series be reflected in the Company's statements of operations. Our investment in the Consolidated K-Series is limited to the first loss tranche PO securities and/or certain IOs issued by certain K-Series securitizations with an aggregate net carrying value of $286.4 million and $317.5 million at December 31, 2015 and 2014, respectively (see Note 7).

The condensed consolidated balance sheets of the Consolidated K-Series at December 31, 2015 and December 31, 2014, respectively, are as follows (dollar amounts in thousands):



Balance Sheets	December 31, 2015		December 31, 2014
Assets
Multi-family loans held in securitization trusts	$	7,105,336	$	8,365,514
Receivables	24,579		29,809
Total Assets	$	7,129,915	$	8,395,323
Liabilities and Equity
Multi-family CDOs	$	6,818,901	$	8,048,053
Accrued expenses	24,483		29,354
Total Liabilities	6,843,384		8,077,407
Equity	286,531		317,916
Total Liabilities and Equity	$	7,129,915	$	8,395,323

The multi-family loans held in securitization trusts had unpaid aggregate principal balances of approximately $6.8 billion and $7.9 billion at December 31, 2015 and December 31, 2014, respectively. The multi-family CDOs had aggregate unpaid principal balances of approximately $6.8 billion and $7.9 billion at December 31, 2015 and December 31, 2014, respectively. As of December 31, 2015 and 2014, the current weighted average interest rate on these Multi-Family CDOs was 3.98% and 4.15%, respectively.

In February 2015, the Company sold a first loss tranche PO security in one of the Company’s Consolidated K-Series obtaining total proceeds of approximately $44.3 million and realizing a gain of approximately $1.5 million. The sale resulted in a de-consolidation of $1.1 billion in Multi-Family loans held in a securitization trust and $1.0 billion in Multi-Family CDOs.

The Company does not have any claims to the assets or obligations for the liabilities of the Consolidated K-Series other than the security represented by our first loss tranche securities. We have elected the fair value option for the Consolidated K-Series. The net fair value of our investment in the Consolidated K-Series, which represents the difference between the carrying values of multi-family loans held in securitization trusts less the carrying value of multi-family CDOs, approximates the fair value of our underlying securities. The fair value of our underlying securities is determined using the same valuation methodology as our CMBS investments available for sale (see Note 14).

The condensed consolidated statements of operations of the Consolidated K-Series for the years ended December 31, 2015, 2014, and 2013 respectively, are as follows (dollar amounts in thousands):



	Years Ended December 31,
Statements of Operations	2015		2014		2013
Interest income	$	257,417	$	301,877	$	228,631
Interest expense	232,971		275,916		210,229
Net interest income	24,446		25,961		18,402
Unrealized gain on multi-family loans and debt held in securitization trusts, net	12,368		56,931		31,495
Net Income	$	36,814	$	82,892	$	49,897

The geographic concentrations of credit risk exceeding 5% of the total loan balances related to our CMBS investments included in investment securities available for sale and multi-family loans held in securitization trusts as of December 31, 2015 and December 31, 2014, respectively, are as follows:



	December 31, 2015		December 31, 2014
California	13.8	%	13.5	%
Texas	12.3	%	12.5	%
New York	8.0	%	7.7	%
Maryland	5.2	%	5.2	%