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RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS
 12 Months Ended
Dec. 31, 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 $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
%
Residential mortgage loans  
Variable Interest Entity [Line Items]  
RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS
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 $5,413,720 at December 31, 2017. The Company sold all underlying Non-agency RMBS of the trust effective June 18, 2018.
 
The 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

 
$
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 consolidated statements of operations of the residential mortgage loan securitization 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
$
2,102,352

 
$
5,103,853

Interest expense
1,685,971

 
4,059,894

Net interest income
$
416,381

 
$
1,043,959

General and administrative fees
(20,886
)
 
(44,976
)
Unrealized gain (loss) on residential mortgage loans held in securitization trusts
5,650,199

 
(961,100
)
Net income (loss)
$
6,045,694

 
$
37,883


  
The following table presents the geographic concentrations of credit risk exceeding 5% of the total loan balances related to the residential mortgage loan securitization trusts as at December 31, 2017:
 
 
December 31, 2017
California
 
37.0
%
Washington
 
15.3
%
Massachusetts
 
8.1
%
Florida
 
6.4
%