RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS

9 Months Ended

Sep. 30, 2018

Variable Interest Entity [Line Items]

RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS

THE FREMF TRUSTS

The Company 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 $5,331,931 at September 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 September 30, 2018 and December 31, 2017 are set out below:



Balance Sheets	September 30, 2018		December 31, 2017
Assets
Multi-family mortgage loans held in securitization trusts	$	24,787,988	$	1,130,874,274
Receivables	110,216		4,377,606
Total assets	$	24,898,204	$	1,135,251,880
Liabilities and Equity
Multi-family securitized debt obligations	$	19,462,838	$	1,109,204,743
Payables	103,435		4,352,039
Total liabilities	$	19,566,273	$	1,113,556,782
Equity	5,331,931		21,695,098
Total liabilities and equity	$	24,898,204	$	1,135,251,880

The multi-family mortgage loans held in securitization trusts had an unpaid principal balance of $27,410,393 at September 30, 2018 and $1,078,622,737 at December 31, 2017. The multi-family securitized debt obligations had an unpaid principal balance of $27,410,393 at September 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 nine months ended September 30, 2018 and September 30, 2017 are as follows:



Statements of Operations	Three Months Ended September 30, 2018			Three Months Ended September 30, 2017
Interest income	$	336,824		$	13,473,913
Interest expense	237,980			12,766,808
Net interest income	$	98,844		$	707,105
General and administrative fees	(56,186		)	(634,222		)
Unrealized gain (loss) on multi-family loans held in securitization trusts	957,549			694,730
Net income (loss)	$	1,000,207		$	767,613



Statements of Operations	Nine Months Ended September 30, 2018			Nine Months Ended September 30, 2017
Interest income	$	20,540,942		$	40,992,241
Interest expense	19,404,532			38,866,888
Net interest income	$	1,136,410		$	2,125,353
General and administrative fees	(934,496		)	(1,922,771		)
Unrealized gain (loss) on multi-family loans held in securitization trusts	(5,861,373		)	2,797,566
Net income (loss)	$	(5,659,459	)	$	3,000,148

During the three and nine months ended September 30, 2018, the consolidated trust incurred realized losses of $13,617 and $18,325.

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



	September 30, 2018			December 31, 2017
Texas	71.4	%	New York	16.5	%
Connecticut	28.6	%	Texas	14.2	%
			Washington	8.7	%
			Colorado	7.8	%
			Georgia	5.7	%

Residential mortgage loans

Variable Interest Entity [Line Items]

RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS

The Company previously 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 $0 at September 30, 2018 and $5,413,720 at December 31, 2017. The Company sold all underlying Non-Agency RMBS of the trust effective June 18, 2018.

The condensed consolidated balance sheet of the residential mortgage loan securitization trust at December 31, 2017 is set out below:



Balance Sheets	December 31, 2017
Assets
Residential mortgage loans held in securitization trusts	$	119,756,455
Receivables	396,000
Total assets	$	120,152,455
Liabilities and Equity
Residential securitized debt obligations	$	114,418,318
Payables	320,417
Total liabilities	$	114,738,735
Equity	5,413,720
Total liabilities and equity	$	120,152,455

The residential mortgage loans held in securitization trusts had an unpaid principal balance of $118,884,113 at December 31, 2017. The residential mortgage loan securitized debt obligations had an unpaid principal balance of $118,884,113 at December 31, 2017.

The condensed consolidated statements of operations of the residential mortgage loan securitization trusts for the three and nine months ended September 30, 2018 and September 30, 2017 are as follows:



Statements of Operations	Three Months Ended September 30, 2018		Three Months Ended September 30, 2017
Interest income	$	—	$	1,249,966
Interest expense	—		995,293
Net interest income	$	—	$	254,673
General and administrative fees	—		(11,003		)
Unrealized gain (loss) on residential loans held in securitization trusts	—		(155,252		)
Net income (loss)	$	—	$	88,418



Statements of Operations	Nine Months Ended September 30, 2018			Nine Months Ended September 30, 2017
Interest income	$	2,102,352		$	3,903,924
Interest expense	1,685,971			3,100,616
Net interest income	$	416,381		$	803,308
General and administrative fees	(20,886		)	(34,227		)
Unrealized gain (loss) on residential loans held in securitization trusts	5,650,199			(773,674		)
Net income (loss)	$	6,045,694		$	(4,593	)

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, 2018 and December 31, 2017 are as follows:



	September 30, 2018	December 31, 2017
California	N/A	37.0	%
Washington	N/A	15.3	%
Massachusetts	N/A	8.1	%
Florida	N/A	6.4	%