THE FREMF TRUSTS

9 Months Ended

Sep. 30, 2019

Organization, Consolidation and Presentation of Financial Statements [Abstract]

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 September 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 September 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 nine months ended September 30, 2019 and September 30, 2018 are as follows:


Statements of Operations	Three Months Ended September 30, 2019		Three Months Ended September 30, 2018
Interest income	$	—	$	336,824
Interest expense	—		237,980
Net interest income	$	—	$	98,844
General and administrative fees	—		(56,186)
Unrealized gain (loss) on multi-family loans held in securitization trusts	—		957,549
Net income (loss)	$	—	$	1,000,207


Statements of Operations	Nine Months Ended September 30, 2019		Nine Months Ended September 30, 2018
Interest income	$	78,361	$	20,540,942
Interest expense	—		19,404,532
Net interest income	$	78,361	$	1,136,410
General and administrative fees	—		(934,496)
Unrealized gain (loss) on multi-family loans held in securitization trusts	694,339		(5,861,373)
Net income (loss)	$	772,700	$	(5,659,459)

During the nine months ended September 30, 2019, the consolidated trust incurred realized losses of 709,439 and during the three and nine months ended September 30, 2018, the consolidated trust incurred realized losses of $13,617 and $18,325.