RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS

6 Months Ended

Jun. 30, 2019

Variable Interest Entity [Line Items]

RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS

THE FREMF TRUSTS

The Company previously elected the fair value option on the assets and liabilities of the FREMF 2011-K13 Trust and the FREMF 2012-KF01 Trust, which required that changes in valuations of the trusts be reflected in the Company’s statements of operations. The Company’s net investment in the trusts was 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 $0 at June 30, 2019 and $4,762,149 at December 31, 2018. The Company sold the underlying Multi-Family MBS of the FREMF 2011-K13 trust effective May 18, 2018 and on January 25, 2019, the FREMF 2012-KF01 trust was paid-in full. As of June 30, 2019 the Company no longer held any FREMF Trusts.

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

Balance Sheets	December 31, 2018
Assets
Receivables	24,357,335
Total assets	$	24,357,335
Liabilities and Equity
Multi-family securitized debt obligations	$	19,231,331
Payables	363,855
Total liabilities	$	19,595,186
Equity	4,762,149
Total liabilities and equity	$	24,357,335

As of December 31, 2018, all of the loans within the 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 condensed consolidated statements of operations of the FREMF trusts for the three and six months ended June 30, 2019 and June 30, 2018 are as follows:

Statements of Operations	Three Months Ended June 30, 2019		Three Months Ended June 30, 2018
Interest income	$	—	$	6,976,930
Interest expense	—		6,640,257
Net interest income	$	—	$	336,673
General and administrative fees	—		(255,056		)
Unrealized gain (loss) on multi-family loans held in securitization trusts	—		(5,463,148		)
Net income (loss)	$	—	$	(5,381,531	)

Statements of Operations	Six Months Ended June 30, 2019		Six Months Ended June 30, 2018
Interest income	$	78,361	$	20,204,118
Interest expense	—		19,166,552
Net interest income	$	78,361	$	1,037,566
General and administrative fees	—		(878,310		)
Unrealized gain (loss) on multi-family loans held in securitization trusts	694,339		(6,818,922		)
Net income (loss)	$	772,700	$	(6,659,666	)

During the six months ended June 30, 2019, the consolidated trust incurred realized losses of $709,439.

Residential mortgage loans

Variable Interest Entity [Line Items]

RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS

any 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 was 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. The Company sold all underlying Non-Agency RMBS of the trust effective June 18, 2018. As of June 30, 2019, the Company no longer held any residential mortgage loan securitization trusts.

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

Statements of Operations	Three Months Ended June 30, 2018
Interest income	$	954,711
Interest expense	765,914
Net interest income	$	188,797
General and administrative fees	(13,958		)
Unrealized gain (loss) on residential loans held in securitization trusts	5,905,602
Net income (loss)	$	6,080,441

Statements of Operations	Six Months Ended June 30, 2018
Interest income	$	2,102,352
Interest expense	1,685,971
Net interest income	$	416,381
General and administrative fees	(20,886		)
Unrealized gain (loss) on residential loans held in securitization trusts	5,650,199
Net income (loss)	$	6,045,694