THE FREMF TRUSTS

9 Months Ended

Sep. 30, 2016

Variable Interest Entity Disclosure [Text Block]

NOTE 6 – THE FREMF TRUSTS

The Company has elected the fair value option on the assets and liabilities of the FREMF 2011-K13 Trust and the FREMF 2012-KF01 Trust, which requires that changes in valuations of the trusts be reflected in the Company’s statements of operations. The Company’s net investment in the trusts is limited to the Multi-Family MBS comprised of first loss PO securities and IO securities acquired by the Company in 2014 with an aggregate net carrying value of $17,956,732 at September 30, 2016 and $86,030,550 at December 31, 2015.

The condensed consolidated balance sheets of the FREMF trusts at September 30, 2016 and December 31, 2015 are set out below:

Balance Sheets	September 30, 2016		December 31, 2015
Assets
Multi-family mortgage loans held in securitization trusts	$	1,267,101,902	$	1,449,774,383
Receivables		4,652,638		5,380,956

Total assets	$	1,271,754,540	$	1,455,155,339

Liabilities and Equity
Multi-family securitized debt obligations	$	1,249,163,769	$	1,364,077,012
Payables		4,634,039		5,047,777
	$	1,253,797,808	$	1,369,124,789
Equity		17,956,732		86,030,550

Total liabilities and equity	$	1,271,754,540	$	1,455,155,339

The multi-family mortgage loans held in securitization trusts had an unpaid principal balance of $1,164,952,625 at September 30, 2016 and $1,371,258,074 at December 31, 2015. The multi-family securitized debt obligations had an unpaid principal balance of $1,164,952,625 at September 30, 2016 and $1,371,258,074 at December 31, 2015.

The condensed consolidated statements of operations of the FREMF trusts for the three and nine months ended September 30, 2016 and September 30, 2015 are as follows:

Statements of Operations	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
Interest income	$	14,466,946		$	16,794,338
Interest expense		13,740,005			15,372,832
Net interest income	$	726,941		$	1,421,506
General and administrative fees		(670,157	)		(787,124	)
Unrealized gain (loss) on multi-family loans held in securitization trusts		930,312			1,804,190
Net income (loss)	$	987,096		$	2,438,572

Statements of Operations	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
Interest income	$	44,597,652		$	51,679,542
Interest expense		41,667,457			47,286,613
Net interest income	$	2,930,195		$	4,392,929
General and administrative fees		(2,052,857	)		(2,494,015	)
Unrealized gain (loss) on multi-family loans held in securitization trusts		(5,604,839	)		5,644,774
Net income (loss)	$	(4,727,501	)	$	7,543,688

The geographic concentrations of credit risk exceeding 5% of the total loan balances related to the FREMF trusts as of September 30, 2016 are as follows:

	September 30, 2016
Texas		17.7	%
New York		15.5	%
Washington		8.3	%
Colorado		7.4	%
California		5.7	%
Georgia		5.4	%