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 $20,339,325 at March 31, 2018 and $21,695,098 at December 31, 2017.

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



Balance Sheets	March 31, 2018		December 31, 2017
Assets
Multi-family mortgage loans held in securitization trusts	$	1,106,592,612	$	1,130,874,274
Receivables	4,499,779		4,377,606
Total assets	$	1,111,092,391	$	1,135,251,880
Liabilities and Equity
Multi-family securitized debt obligations	$	1,086,279,589	$	1,109,204,743
Payables	4,473,478		4,352,039
Total liabilities	$	1,090,753,067	$	1,113,556,782
Equity	20,339,324		21,695,098
Total liabilities and equity	$	1,111,092,391	$	1,135,251,880

The multi-family mortgage loans held in securitization trusts had an unpaid principal balance of $1,073,365,225 at March 31, 2018 and $1,078,622,737 at December 31, 2017. The multi-family securitized debt obligations had an unpaid principal balance of $1,073,365,225 at March 31, 2018 and $1,078,622,737 at December 31, 2017.

The condensed consolidated statements of operations of the FREMF trusts for the three months ended March 31, 2018 and March 31, 2017 are as follows:



Statements of Operations	Three Months Ended March 31, 2018			Three Months Ended March 31, 2017
Interest income	$	13,227,188		$	13,948,754
Interest expense	12,526,295			13,237,724
Net interest income	$	700,893		$	711,030
General and administrative fees	(623,254		)	(648,934		)
Unrealized gain (loss) on multi-family loans held in securitization trusts	(1,355,774		)	1,299,630
Net income (loss)	$	(1,278,135	)	$	1,361,726

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



	March 31, 2018			December 31, 2017
New York	16.6	%	New York	16.5	%
Texas	14.2	%	Texas	14.2	%
Washington	8.7	%	Washington	8.7	%
Colorado	7.8	%	Colorado	7.8	%
Georgia	5.7	%	Georgia	5.7	%