RESIDENTIAL MORTGAGE LOAN SECURITIZATION TRUSTS (Tables)

12 Months Ended

Dec. 31, 2017

Balance Sheets

Condensed Consolidated Balance Sheets

The consolidated balance sheets of the FREMF trusts at December 31, 2017 and December 31, 2016 are set out below:

Balance Sheets	December 31, 2017		December 31, 2016
Assets
Multi-family mortgage loans held in securitization trusts	$	1,130,874,274	$	1,222,905,433
Receivables	4,377,606		4,617,642
Total assets	$	1,135,251,880	$	1,227,523,075
Liabilities and Equity
Multi-family securitized debt obligations	$	1,109,204,743	$	1,204,583,678
Payables	4,352,039		4,597,357
	$	1,113,556,782	$	1,209,181,035
Equity	21,695,098		18,342,040
Total liabilities and equity	$	1,135,251,880	$	1,227,523,075

Condensed Consolidated Statements of Operations

The consolidated statements of operations of the FREMF trusts for the years ended December 31, 2017, December 31, 2016 and December 31, 2015 are set out below:

Statements of Operations	December 31, 2017			December 31, 2016			December 31, 2015
Interest income	$	54,271,017		$	58,587,780		$	68,016,595
Interest expense	51,440,694			54,940,386			62,157,176
Net interest income	$	2,830,323		$	3,647,394		$	5,859,419
General and administrative fees	(2,551,296		)	(2,711,189		)	(3,249,208		)
Unrealized gain (loss) on multi-family loans held in securitization trusts	3,353,365			(5,219,530		)	6,097,000
Net income (loss)	$	3,632,392		$	(4,283,325	)	$	8,707,211

Geographic Concentrations

The geographic concentrations of credit risk exceeding 5% of the total loan balances related to the mortgage loans held-for-sale as of December 31, 2017 and December 31, 2016 are as follows:

	December 31, 2017	December 31, 2016
Texas	—	56.0	%
Kentucky	—	24.4	%
North Carolina	—	19.6	%

The geographic concentrations of credit risk exceeding 5% of the total loan balances related to the FREMF trusts as of December 31, 2017 and December 31, 2016 are as follows:

December 31, 2017			December 31, 2016
New York	16.5	%	Texas	17.9	%
Texas	14.2	%	New York	15.7	%
Washington	8.7	%	Washington	8.4	%
Colorado	7.8	%	Colorado	7.5	%
Georgia	5.7	%	Georgia	5.5	%

Residential mortgage loans

Balance Sheets

Condensed Consolidated Balance Sheets

The consolidated balance sheets of the residential mortgage loan securitization trusts at December 31, 2017 and December 31, 2016 are set out below:

Balance Sheets	December 31, 2017		December 31, 2016
Assets
Residential mortgage loans held in securitization trusts	$	119,756,455	$	141,126,720
Receivables	396,000		471,146
Total assets	$	120,152,455	$	141,597,866
Liabilities and Equity
Residential securitized debt obligations	$	114,418,318	$	134,846,348
Payables	320,417		376,697
	$	114,738,735	$	135,223,045
Equity	5,413,720		6,374,821
Total liabilities and equity	$	120,152,455	$	141,597,866

Condensed Consolidated Statements of Operations

The consolidated statements of operations of the residential mortgage loan securitization trusts for the years ended December 31, 2017, December 31, 2016 and December 31, 2015 are set out below:

Statements of Operations	December 31, 2017			December 31, 2016			December 31, 2015
Interest income	$	5,103,853		$	10,585,191		$	19,986,204
Interest expense	4,059,894			8,117,402			13,156,912
Net interest income	$	1,043,959		$	2,467,789		$	6,829,292
General and administrative fees	(44,976		)	(266,957		)	(635,547		)
Unrealized gain (loss) on residential mortgage loans held in securitization trusts	(961,100		)	404,720			(8,153,474		)
Net income (loss)	$	37,883		$	2,605,552		$	(1,959,729	)

Geographic Concentrations

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 and December 31, 2016 are as follows:

	December 31, 2017		December 31, 2016
California	37.0	%	37.6	%
Washington	15.3	%	15.4	%
Massachusetts	8.1	%	8.4	%
Florida	6.4	%	5.7	%