RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS

12 Months Ended

Dec. 31, 2017

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 $21,695,098 at December 31, 2017 and $18,342,040 at December 31, 2016.

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



Balance Sheets	December 31, 2017		December 31, 2016
Assets
Multi-family mortgage loans held in securitization trusts	$	1,130,874,274	$	1,222,905,433
Receivables	4,377,606		4,617,642
Total assets	$	1,135,251,880	$	1,227,523,075
Liabilities and Equity
Multi-family securitized debt obligations	$	1,109,204,743	$	1,204,583,678
Payables	4,352,039		4,597,357
	$	1,113,556,782	$	1,209,181,035
Equity	21,695,098		18,342,040
Total liabilities and equity	$	1,135,251,880	$	1,227,523,075

The multi-family mortgage loans held in securitization trusts had an unpaid principal balance of $1,078,622,737 at December 31, 2017 and $1,147,753,367 at December 31, 2016. The multi-family securitized debt obligations had an unpaid principal balance of $1,078,622,737 at December 31, 2017 and $1,147,753,367 at December 31, 2016.

The consolidated statements of operations of the FREMF trusts for the years ended December 31, 2017, December 31, 2016 and December 31, 2015 are set out below:



Statements of Operations	December 31, 2017			December 31, 2016			December 31, 2015
Interest income	$	54,271,017		$	58,587,780		$	68,016,595
Interest expense	51,440,694			54,940,386			62,157,176
Net interest income	$	2,830,323		$	3,647,394		$	5,859,419
General and administrative fees	(2,551,296		)	(2,711,189		)	(3,249,208		)
Unrealized gain (loss) on multi-family loans held in securitization trusts	3,353,365			(5,219,530		)	6,097,000
Net income (loss)	$	3,632,392		$	(4,283,325	)	$	8,707,211

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



December 31, 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

Balance Sheets

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 $5,413,720 at December 31, 2017 and $6,374,821 at December 31, 2016. The Company previously consolidated the assets and liabilities of the JPMMT 2014-OAK4 Trust, 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 consolidated balance sheets of the residential mortgage loan securitization trusts at December 31, 2017 and December 31, 2016 are set out below:



Balance Sheets	December 31, 2017		December 31, 2016
Assets
Residential mortgage loans held in securitization trusts	$	119,756,455	$	141,126,720
Receivables	396,000		471,146
Total assets	$	120,152,455	$	141,597,866
Liabilities and Equity
Residential securitized debt obligations	$	114,418,318	$	134,846,348
Payables	320,417		376,697
	$	114,738,735	$	135,223,045
Equity	5,413,720		6,374,821
Total liabilities and equity	$	120,152,455	$	141,597,866

The residential mortgage loans held in securitization trusts had an unpaid principal balance of $118,884,113 at December 31, 2017 and $140,690,705 at December 31, 2016. The residential mortgage loan securitized debt obligations had an unpaid principal balance of $118,884,113 at December 31, 2017 and $140,690,705 at December 31, 2016. As of March 31, 2016, the most recent quarterly reporting date prior to deconsolidation of the JPMMT 2014-OAK4 Trust, the residential mortgage loans held in the trust and the residential securitized debt obligations issued by the trust both had an unpaid principal balance of $202,911,543.

The consolidated statements of operations of the residential mortgage loan securitization trusts for the years ended December 31, 2017, December 31, 2016 and December 31, 2015 are set out below:



Statements of Operations	December 31, 2017			December 31, 2016			December 31, 2015
Interest income	$	5,103,853		$	10,585,191		$	19,986,204
Interest expense	4,059,894			8,117,402			13,156,912
Net interest income	$	1,043,959		$	2,467,789		$	6,829,292
General and administrative fees	(44,976		)	(266,957		)	(635,547		)
Unrealized gain (loss) on residential mortgage loans held in securitization trusts	(961,100		)	404,720			(8,153,474		)
Net income (loss)	$	37,883		$	2,605,552		$	(1,959,729	)

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



	December 31, 2017		December 31, 2016
California	37.0	%	37.6	%
Washington	15.3	%	15.4	%
Massachusetts	8.1	%	8.4	%
Florida	6.4	%	5.7	%