RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS

6 Months Ended

Jun. 30, 2018

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 $4,387,999 at June 30, 2018 and $21,695,098 at December 31, 2017. The Company sold the underlying Multi-Family MBS of the FREMF 2011-K13 trust effective May 18, 2018.

The condensed consolidated balance sheets of the FREMF trusts at June 30, 2018 and December 31, 2017 are set out below:



Balance Sheets	June 30, 2018		December 31, 2017
Assets
Multi-family mortgage loans held in securitization trusts	$	23,842,162	$	1,130,874,274
Receivables	107,780		4,377,606
Total assets	$	23,949,942	$	1,135,251,880
Liabilities and Equity
Multi-family securitized debt obligations	$	19,481,546	$	1,109,204,743
Payables	80,397		4,352,039
Total liabilities	$	19,561,943	$	1,113,556,782
Equity	4,387,999		21,695,098
Total liabilities and equity	$	23,949,942	$	1,135,251,880

The multi-family mortgage loans held in securitization trusts had an unpaid principal balance of $27,442,437 at June 30, 2018 and $1,078,622,737 at December 31, 2017. The multi-family securitized debt obligations had an unpaid principal balance of $27,442,437 at June 30, 2018 and $1,078,622,737 at December 31, 2017.

The condensed consolidated statements of operations of the FREMF trusts for the three and six months ended June 30, 2018 and June 30, 2017 are as follows:



Statements of Operations	Three Months Ended June 30, 2018			Three Months Ended June 30, 2017
Interest income	$	6,976,930		$	13,569,574
Interest expense	6,640,257			12,862,356
Net interest income	$	336,673		$	707,218
General and administrative fees	(255,056		)	(639,615		)
Unrealized gain (loss) on multi-family loans held in securitization trusts	(5,463,148		)	803,206
Net income (loss)	$	(5,381,531	)	$	870,809



Statements of Operations	Six Months Ended June 30, 2018			Six Months Ended June 30, 2017
Interest income	$	20,204,118		$	27,518,328
Interest expense	19,166,552			26,100,080
Net interest income	$	1,037,566		$	1,418,248
General and administrative fees	(878,310		)	(1,288,549		)
Unrealized gain (loss) on multi-family loans held in securitization trusts	(6,818,922		)	2,102,836
Net income (loss)	$	(6,659,666	)	$	2,232,535

The geographic concentrations of credit risk exceeding 5% of the total loan balances related to the FREMF trusts as of June 30, 2018 and December 31, 2017 are as follows:



	June 30, 2018			December 31, 2017
Texas	71.3	%	New York	16.5	%
Connecticut	28.7	%	Texas	14.2	%
			Washington	8.7	%
			Colorado	7.8	%
			Georgia	5.7	%

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-OAK1 Trust, 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 $0 at June 30, 2018 and $5,413,720 at December 31, 2017. The Company sold all underlying Non-Agency RMBS of the trust effective June 18, 2018.

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



Balance Sheets	December 31, 2017
Assets
Residential mortgage loans held in securitization trusts	$	119,756,455
Receivables	396,000
Total assets	$	120,152,455
Liabilities and Equity
Residential securitized debt obligations	$	114,418,318
Payables	320,417
Total liabilities	$	114,738,735
Equity	5,413,720
Total liabilities and equity	$	120,152,455

The residential mortgage loans held in securitization trusts had an unpaid principal balance of $0 at June 30, 2018 and $118,884,113 at December 31, 2017. The residential mortgage loan securitized debt obligations had an unpaid principal balance of $0 at June 30, 2018 and $118,884,113 at December 31, 2017.

The condensed consolidated statements of operations of the residential mortgage loan securitization trusts for the three and six months ended June 30, 2018 and June 30, 2017 are as follows:



Statements of Operations	Three Months Ended June 30, 2018			Three Months Ended June 30, 2017
Interest income	$	954,711		$	1,298,520
Interest expense	765,914			1,030,971
Net interest income	$	188,797		$	267,549
General and administrative fees	(13,958		)	(11,380		)
Unrealized gain (loss) on residential loans held in securitization trusts	5,905,602			(250,079		)
Net income (loss)	$	6,080,441		$	6,090



Statements of Operations	Six Months Ended June 30, 2018			Six Months Ended June 30, 2017
Interest income	$	2,102,352		$	2,653,958
Interest expense	1,685,971			2,105,323
Net interest income	$	416,381		$	548,635
General and administrative fees	(20,886		)	(23,224		)
Unrealized gain (loss) on residential loans held in securitization trusts	5,650,199			(618,422		)
Net income (loss)	$	6,045,694		$	(93,011	)

The geographic concentrations of credit risk exceeding 5% of the total loan balances related to the residential mortgage loan securitization trusts as of June 30, 2018 and December 31, 2017 are as follows:



	June 30, 2018	December 31, 2017
California	N/A	37.0	%
Washington	N/A	15.3	%
Massachusetts	N/A	8.1	%
Florida	N/A	6.4	%