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RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS
3 Months Ended
Mar. 31, 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 $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
%
Residential mortgage loans  
Variable Interest Entity [Line Items]  
RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS
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 $5,158,318 at March 31, 2018 and $5,413,720 at December 31, 2017.

The condensed consolidated balance sheets of the residential mortgage loan securitization trusts at March 31, 2018 and December 31, 2017 are set out below:
Balance Sheets
 
March 31, 2018
 
December 31, 2017
Assets
 
 

 
 

Residential mortgage loans held in securitization trusts
 
$
111,764,070

 
$
119,756,455

Receivables
 
376,241

 
396,000

Total assets
 
$
112,140,311

 
$
120,152,455

Liabilities and Equity
 
 

 
 

Residential securitized debt obligations
 
$
106,676,747

 
$
114,418,318

Payables
 
305,246

 
320,417

Total liabilities
 
$
106,981,993

 
$
114,738,735

Equity
 
5,158,318

 
5,413,720

Total liabilities and equity
 
$
112,140,311

 
$
120,152,455



The residential mortgage loans held in securitization trusts had an unpaid principal balance of $112,945,716 at March 31, 2018 and $118,884,113 at December 31, 2017. The residential mortgage loan securitized debt obligations had an unpaid principal balance of $112,945,716 at March 31, 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 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
 
$
1,147,641

 
$
1,355,438

Interest expense
 
920,057

 
1,074,352

Net interest income
 
$
227,584

 
$
281,086

General and administrative fees
 
(6,928
)
 
(11,844
)
Unrealized gain (loss) on residential loans held in securitization trusts
 
(255,403
)
 
(368,343
)
Net income (loss)
 
$
(34,747
)
 
$
(99,101
)


The geographic concentrations of credit risk exceeding 5% of the total loan balances related to the residential mortgage loan securitization trusts as of March 31, 2018 and December 31, 2017 are as follows:
 
March 31, 2018
 
December 31, 2017
California
38.1
%
 
37.0
%
Washington
13.8
%
 
15.3
%
Massachusetts
8.5
%
 
8.1
%
Florida
6.6
%
 
6.4
%