Consolidated K-Series

The Company has elected the fair value option on the assets and liabilities held within the Consolidated K-Series, which requires that changes in valuations in the assets and liabilities of the Consolidated K-Series be reflected in the Company's consolidated statements of operations. Our investment in the Consolidated K-Series is limited to the multi-family CMBS comprised of first loss POs, certain IOs and mezzanine securities issued by certain Freddie Mac-sponsored multi-family loan K-Series securitizations that we consolidate with an aggregate net carrying value of $657.6 million and $468.0 million at December 31, 2018 and December 31, 2017, respectively (see Note 10). The Consolidated K-Series is comprised of nine and seven Freddie Mac-sponsored multi-family loan K-Series securitizations as of December 31, 2018 and December 31, 2017, respectively.

The condensed consolidated balance sheets of the Consolidated K-Series at December 31, 2018 and December 31, 2017, respectively, are as follows (dollar amounts in thousands):



Balance Sheets	December 31, 2018		December 31, 2017
Assets
Multi-family loans held in securitization trusts	$	11,679,847	$	9,657,421
Receivables	41,850		33,562
Total Assets	$	11,721,697	$	9,690,983
Liabilities and Equity
Multi-family CDOs	$	11,022,248	$	9,189,459
Accrued expenses	41,102		33,136
Total Liabilities	11,063,350		9,222,595
Equity	658,347		468,388
Total Liabilities and Equity	$	11,721,697	$	9,690,983

The multi-family loans held in securitization trusts had unpaid aggregate principal balances of approximately $11.5 billion and $9.4 billion at December 31, 2018 and December 31, 2017, respectively. The multi-family CDOs had aggregate unpaid principal balances of approximately $11.5 billion and $9.4 billion at December 31, 2018 and December 31, 2017, respectively. As of December 31, 2018 and 2017, the current weighted average effective interest rate on these multi-family CDOs was 3.96% and 3.92%, respectively.

The Company does not have any claims to the assets or obligations for the liabilities of the Consolidated K-Series (other than those securities represented by our first loss POs, IOs and mezzanine securities). We have elected the fair value option for the Consolidated K-Series. The net fair value of our investment in the Consolidated K-Series, which represents the difference between the carrying values of multi-family loans held in securitization trusts less the carrying value of multi-family CDOs, approximates the fair value of our underlying securities (see Note 18).

The condensed consolidated statements of operations of the Consolidated K-Series for the years ended December 31, 2018, 2017, and 2016, respectively, are as follows (dollar amounts in thousands):



	Years Ended December 31,
Statements of Operations	2018		2017		2016
Interest income	$	358,712	$	297,124	$	249,191
Interest expense	313,102		261,665		222,553
Net interest income	45,610		35,459		26,638
Unrealized gain on multi-family loans and debt held in securitization trusts, net	37,581		18,872		3,032
Net income	$	83,191	$	54,331	$	29,670

The geographic concentrations of credit risk exceeding 5% of the total loan balances related to our CMBS investments included in investment securities available for sale, held in securitization trusts, and multi-family loans held in securitization trusts as of December 31, 2018 and December 31, 2017, respectively, are as follows:



	December 31, 2018		December 31, 2017
California	14.8	%	14.7	%
Texas	13.0	%	12.7	%
New York	6.4	%	6.5	%
Maryland	5.0	%	5.5	%