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 $20,444,569 at June 30, 2017 and $18,342,040 at December 31, 2016.

The condensed consolidated balance sheets of the FREMF trusts at June 30, 2017 and December 31, 2016 are set out below:



Balance Sheets	June 30, 2017		December 31, 2016
Assets
Multi-family mortgage loans held in securitization trusts	$	1,175,419,031	$	1,222,905,433
Receivables	4,461,619		4,617,642
Total assets	$	1,179,880,650	$	1,227,523,075

Liabilities and Equity
Multi-family securitized debt obligations	$	1,154,997,075	$	1,204,583,678
Payables	4,439,006		4,597,357
Total liabilities	$	1,159,436,081	$	1,209,181,035
Equity	20,444,569		18,342,040
Total liabilities and equity	$	1,179,880,650	$	1,227,523,075

The multi-family mortgage loans held in securitization trusts had an unpaid principal balance of $1,102,921,974 at June 30, 2017 and $1,147,753,367 at December 31, 2016. The multi-family securitized debt obligations had an unpaid principal balance of $1,102,921,974 at June 30, 2017 and $1,147,753,367 at December 31, 2016.

The condensed consolidated statements of operations of the FREMF trusts for the three and six months ended June 30, 2017 and June 30, 2016 are as follows:



Statements of Operations	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
Interest income	$	13,569,574		$	14,692,902
Interest expense	12,862,356			13,814,743
Net interest income	$	707,218		$	878,159
General and administrative fees	(639,615		)	(679,217		)
Unrealized gain (loss) on multi-family loans held in securitization trusts	803,206			(8,071,468		)
Net income (loss)	$	870,809		$	(7,872,526	)



Statements of Operations	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
Interest income	$	27,518,328		$	30,130,706
Interest expense	26,100,080			27,927,452
Net interest income	$	1,418,248		$	2,203,254
General and administrative fees	(1,288,549		)	(1,382,700		)
Unrealized gain (loss) on multi-family loans held in securitization trusts	2,102,836			(6,535,151		)
Net income (loss)	$	2,232,535		$	(5,714,597	)

The geographic concentrations of credit risk exceeding 5% of the total loan balances related to the FREMF trusts as of June 30, 2017 and December 31, 2016 are as follows:



	June 30, 2017			December 31, 2016
New York	16.2	%	Texas	17.9	%
Texas	15.3	%	New York	15.7	%
Washington	8.6	%	Washington	8.4	%
Colorado	7.7	%	Colorado	7.5	%
Georgia	5.7	%	Georgia	5.5	%