RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS

3 Months Ended

Mar. 31, 2017

Variable Interest Entity [Line Items]

RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS

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 $19,641,671 at March 31, 2017 and $18,342,040 at December 31, 2016.

The condensed consolidated balance sheets of the FREMF trusts at March 31, 2017 and December 31, 2016 are set out below:



Balance Sheets	March 31, 2017		December 31, 2016
Assets
Multi-family mortgage loans held in securitization trusts	$	1,215,157,038	$	1,222,905,433
Receivables	4,746,463		4,617,642
Total assets	$	1,219,903,501	$	1,227,523,075

Liabilities and Equity
Multi-family securitized debt obligations	$	1,195,536,818	$	1,204,583,678
Payables	4,725,012		4,597,357
Total liabilities	$	1,200,261,830	$	1,209,181,035
Equity	19,641,671		18,342,040
Total liabilities and equity	$	1,219,903,501	$	1,227,523,075

The multi-family mortgage loans held in securitization trusts had an unpaid principal balance of $1,142,517,158 at March 31, 2017 and $1,147,753,367 at December 31, 2016. The multi-family securitized debt obligations had an unpaid principal balance of $1,142,517,158 at March 31, 2017 and $1,147,753,367 at December 31, 2016.

The condensed consolidated statements of operations of the FREMF trusts for the three months ended March 31, 2017 and March 31, 2016 are as follows:



Statements of Operations	Three Months Ended March 31, 2017			Three Months Ended March 31, 2016
Interest income	$	13,948,754		$	15,437,804
Interest expense	13,237,724			14,112,709
Net interest income	$	711,030		$	1,325,095
General and administrative fees	(648,934		)	(703,483		)
Unrealized gain (loss) on multi-family loans held in securitization trusts	1,299,630			1,536,317
Net income (loss)	$	1,361,726		$	2,157,929

The geographic concentrations of credit risk exceeding 5% of the total loan balances related to the FREMF trusts as of March 31, 2017 and December 31, 2016 are as follows:



	March 31, 2017		December 31, 2016
Texas	17.9	%	17.9	%
New York	15.7	%	15.7	%
Washington	8.4	%	8.4	%
Colorado	7.5	%	7.5	%
Georgia	5.5	%	5.5	%

Residential mortgage loans

Variable Interest Entity [Line Items]

RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS

The Company has elected the fair value option on the assets and liabilities of the CSMC 2014-OAK1Trust, which requires that changes in valuations of the trust be reflected in the Company’s statements of operations. The Company’s net investment in the trust is limited to the Non-Agency RMBS comprised of subordinated and first loss securities, IO securities and excess servicing rights acquired by the Company in 2014 with an aggregate net carrying value of $6,006,478 at March 31, 2017 and $6,374,821 at December 31, 2016. The Company previously consolidated the assets and liabilities of the JPMMT 2014-OAK4Trust, but based on the sale of subordinated and first loss securities during the second quarter of 2016, has determined that it is no longer the primary beneficiary of the trust, and accordingly no longer consolidates the assets and liabilities of this trust.

The condensed consolidated balance sheets of the residential mortgage loan securitization trusts at March 31, 2017 and December 31, 2016 are set out below:



Balance Sheets	March 31, 2017		December 31, 2016
Assets
Residential mortgage loans held in securitization trusts	$	132,454,523	$	141,126,720
Receivables	443,790		471,146
Total assets	$	132,898,313	$	141,597,866

Liabilities and Equity
Residential securitized debt obligations	$	126,535,978	$	134,846,348
Payables	355,857		376,697
Total liabilities	$	126,891,835	$	135,223,045
Equity	6,006,478		6,374,821
Total liabilities and equity	$	132,898,313	$	141,597,866

The residential mortgage loans held in securitization trusts had an unpaid principal balance of $132,562,375 at March 31, 2017 and $140,690,705 at December 31, 2016. The residential mortgage loan securitized debt obligations had an unpaid principal balance of $132,562,375 at March 31, 2017 and $140,690,705 at December 31, 2016.

The condensed consolidated statements of operations of the residential mortgage loan securitization trusts for the three months ended March 31, 2017 and March 31, 2016 are as follows:



Statements of Operations	Three Months Ended March 31, 2017			Three Months Ended March 31, 2016
Interest income	$	1,355,438		$	4,152,406
Interest expense	1,074,352			3,178,442
Net interest income	$	281,086		$	973,964
General and administrative fees	(11,844		)	(132,418		)
Unrealized gain (loss) on residential loans held in securitization trusts	(368,343		)	(2,554,077		)
Net income (loss)	$	(99,101	)	$	(1,712,531	)

The geographic concentrations of credit risk exceeding 5% of the total loan balances related to the residential mortgage loan securitization trusts as of March 31, 2017 and December 31, 2016 are as follows:



	March 31, 2017		December 31, 2016
California	37.0	%	37.6	%
Washington	15.5	%	15.4	%
Massachusetts	8.0	%	8.4	%
Florida	5.9	%	5.7	%