RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS

9 Months Ended

Sep. 30, 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 $21,139,299 at September 30, 2017 and $18,342,040 at December 31, 2016.

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



Balance Sheets	September 30, 2017		December 31, 2016
Assets
Multi-family mortgage loans held in securitization trusts	$	1,149,888,917	$	1,222,905,433
Receivables	4,389,002		4,617,642
Total assets	$	1,154,277,919	$	1,227,523,075

Liabilities and Equity
Multi-family securitized debt obligations	$	1,128,773,402	$	1,204,583,678
Payables	4,365,218		4,597,357
Total liabilities	$	1,133,138,620	$	1,209,181,035
Equity	21,139,299		18,342,040
Total liabilities and equity	$	1,154,277,919	$	1,227,523,075

The multi-family mortgage loans held in securitization trusts had an unpaid principal balance of $1,083,704,636 at September 30, 2017 and $1,147,753,367 at December 31, 2016. The multi-family securitized debt obligations had an unpaid principal balance of $1,083,704,636 at September 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 nine months ended September 30, 2017 and September 30, 2016 are as follows:



Statements of Operations	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
Interest income	$	13,473,913		$	14,466,946
Interest expense	12,766,808			13,740,005
Net interest income	$	707,105		$	726,941
General and administrative fees	(634,222		)	(670,157		)
Unrealized gain (loss) on multi-family loans held in securitization trusts	694,730			930,312
Net income (loss)	$	767,613		$	987,096



Statements of Operations	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
Interest income	$	40,992,241		$	44,597,652
Interest expense	38,866,888			41,667,457
Net interest income	$	2,125,353		$	2,930,195
General and administrative fees	(1,922,771		)	(2,052,857		)
Unrealized gain (loss) on multi-family loans held in securitization trusts	2,797,566			(5,604,839		)
Net income (loss)	$	3,000,148		$	(4,727,501	)

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



	September 30, 2017			December 31, 2016
New York	16.5	%	Texas	17.9	%
Texas	14.2	%	New York	15.7	%
Washington	8.7	%	Washington	8.4	%
Colorado	7.8	%	Colorado	7.5	%
Georgia	5.7	%	Georgia	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 $5,601,147 at September 30, 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 September 30, 2017 and December 31, 2016 are set out below:



Balance Sheets	September 30, 2017		December 31, 2016
Assets
Residential mortgage loans held in securitization trusts	$	125,403,499	$	141,126,720
Receivables	412,456		471,146
Total assets	$	125,815,955	$	141,597,866

Liabilities and Equity
Residential securitized debt obligations	$	119,882,464	$	134,846,348
Payables	332,344		376,697
Total liabilities	$	120,214,808	$	135,223,045
Equity	5,601,147		6,374,821
Total liabilities and equity	$	125,815,955	$	141,597,866

The residential mortgage loans held in securitization trusts had an unpaid principal balance of $123,424,731 at September 30, 2017 and $140,690,705 at December 31, 2016. The residential mortgage loan securitized debt obligations had an unpaid principal balance of $123,424,731 at September 30, 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 and nine months ended September 30, 2017 and September 30, 2016 are as follows:



Statements of Operations	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
Interest income	$	1,249,966		$	1,582,090
Interest expense	995,293			1,210,186
Net interest income	$	254,673		$	371,904
General and administrative fees	(11,003		)	(13,653		)
Unrealized gain (loss) on residential loans held in securitization trusts	(155,252		)	(764,599		)
Net income (loss)	$	88,418		$	(406,348	)



Statements of Operations	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
Interest income	$	3,903,924		$	9,143,343
Interest expense	3,100,616			6,978,474
Net interest income	$	803,308		$	2,164,869
General and administrative fees	(34,227		)	(254,424		)
Unrealized gain (loss) on residential loans held in securitization trusts	(773,674		)	80,511
Net income (loss)	$	(4,593	)	$	1,990,956

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



	September 30, 2017		December 31, 2016
California	36.6	%	37.6	%
Washington	16.0	%	15.4	%
Massachusetts	7.9	%	8.4	%
Florida	6.2	%	5.7	%