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 $4,387,999 at June 30, 2018 and $21,695,098 at December 31, 2017. The Company sold the underlying Multi-Family MBS of the FREMF 2011-K13 trust effective May 18, 2018.

The condensed consolidated balance sheets of the FREMF trusts at June 30, 2018 and December 31, 2017 are set out below:



Balance Sheets	June 30, 2018		December 31, 2017
Assets
Multi-family mortgage loans held in securitization trusts	$	23,842,162	$	1,130,874,274
Receivables	107,780		4,377,606
Total assets	$	23,949,942	$	1,135,251,880
Liabilities and Equity
Multi-family securitized debt obligations	$	19,481,546	$	1,109,204,743
Payables	80,397		4,352,039
Total liabilities	$	19,561,943	$	1,113,556,782
Equity	4,387,999		21,695,098
Total liabilities and equity	$	23,949,942	$	1,135,251,880

The multi-family mortgage loans held in securitization trusts had an unpaid principal balance of $27,442,437 at June 30, 2018 and $1,078,622,737 at December 31, 2017. The multi-family securitized debt obligations had an unpaid principal balance of $27,442,437 at June 30, 2018 and $1,078,622,737 at December 31, 2017.

The condensed consolidated statements of operations of the FREMF trusts for the three and six months ended June 30, 2018 and June 30, 2017 are as follows:



Statements of Operations	Three Months Ended June 30, 2018			Three Months Ended June 30, 2017
Interest income	$	6,976,930		$	13,569,574
Interest expense	6,640,257			12,862,356
Net interest income	$	336,673		$	707,218
General and administrative fees	(255,056		)	(639,615		)
Unrealized gain (loss) on multi-family loans held in securitization trusts	(5,463,148		)	803,206
Net income (loss)	$	(5,381,531	)	$	870,809



Statements of Operations	Six Months Ended June 30, 2018			Six Months Ended June 30, 2017
Interest income	$	20,204,118		$	27,518,328
Interest expense	19,166,552			26,100,080
Net interest income	$	1,037,566		$	1,418,248
General and administrative fees	(878,310		)	(1,288,549		)
Unrealized gain (loss) on multi-family loans held in securitization trusts	(6,818,922		)	2,102,836
Net income (loss)	$	(6,659,666	)	$	2,232,535

The geographic concentrations of credit risk exceeding 5% of the total loan balances related to the FREMF trusts as of June 30, 2018 and December 31, 2017 are as follows:



	June 30, 2018			December 31, 2017
Texas	71.3	%	New York	16.5	%
Connecticut	28.7	%	Texas	14.2	%
			Washington	8.7	%
			Colorado	7.8	%
			Georgia	5.7	%