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 $4,762,149 at December 31, 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 consolidated balance sheets of the FREMF trusts at December 31, 2018 and December 31, 2017 are set out below:



Balance Sheets	December 31, 2018		December 31, 2017
Assets
Multi-family mortgage loans held in securitization trusts	$	—	$	1,130,874,274
Receivables	24,357,335		4,377,606
Total assets	$	24,357,335	$	1,135,251,880
Liabilities and Equity
Multi-family securitized debt obligations	$	19,231,331	$	1,109,204,743
Payables	363,855		4,352,039
	$	19,595,186	$	1,113,556,782
Equity	4,762,149		21,695,098
Total liabilities and equity	$	24,357,335	$	1,135,251,880

As of December 31, 2018, all of the loans within FREMF 2012-KF01 Trust had been paid-in full. Accordingly, the assets of the trust consisted of the non-distributed cash proceeds of the loan redemptions. The multi-family mortgage loans held in securitization trusts had an unpaid principal balance of $1,078,622,737 at December 31, 2017. The multi-family securitized debt obligations had an unpaid principal balance of $27,377,586 at December 31, 2018 and $1,078,622,737 at December 31, 2017.

The consolidated statements of operations of the FREMF trusts for the years ended December 31, 2018 and December 31, 2017 are set out below:



Statements of Operations	December 31, 2018			December 31, 2017
Interest income	$	20,891,992		$	54,271,017
Interest expense	19,652,710			51,440,694
Net interest income	$	1,239,282		$	2,830,323
General and administrative fees	(887,388		)	(2,551,296		)
Unrealized gain (loss) on multi-family loans held in securitization trusts	(6,398,347		)	3,353,365
Net income (loss)	$	(6,046,453	)	$	3,632,392

During the year ended December 31, 2018, the consolidated trust incurred realized losses of $51,132.

The following table presents the geographic concentrations of credit risk exceeding 5% of the total loan balances related to the FREMF trusts as of December 31, 2017. As of December 31, 2018, all of the loans paid-in full:



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