Consolidated K-Series

The Company's investments in first loss POs, certain IOs and mezzanine securities issued by certain Freddie Mac-sponsored multi-family loan K-series securitizations that we consolidate in our financial statements in accordance with GAAP represent the "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 condensed consolidated statements of operations. Our investment in the Consolidated K-Series is limited to the multi-family CMBS comprised of first loss POs and 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 $781.1 million and $657.6 million at March 31, 2019 and December 31, 2018, respectively (see Note 9). The Consolidated K-Series is comprised of eleven and nine Freddie Mac-sponsored multi-family loan K-Series securitizations as of March 31, 2019 and December 31, 2018, respectively.

The condensed consolidated balance sheets of the Consolidated K-Series at March 31, 2019 and December 31, 2018, respectively, are as follows (dollar amounts in thousands):



Balance Sheets	March 31, 2019		December 31, 2018
Assets
Multi-family loans held in securitization trusts	$	14,328,336	$	11,679,847
Receivables	47,186		41,850
Total Assets	$	14,375,522	$	11,721,697
Liabilities and Equity
Multi-family CDOs	$	13,547,195	$	11,022,248
Accrued expenses	46,154		41,102
Total Liabilities	13,593,349		11,063,350
Equity	782,173		658,347
Total Liabilities and Equity	$	14,375,522	$	11,721,697

The multi-family loans held in securitization trusts had unpaid aggregate principal balances of approximately $13.8 billion and $11.5 billion at March 31, 2019 and December 31, 2018, respectively. The multi-family CDOs (the "Multi-Family CDOs") had aggregate unpaid principal balances of approximately $13.8 billion and $11.5 billion at March 31, 2019 and December 31, 2018, respectively. As of March 31, 2019 and December 31, 2018, the current weighted average interest rate on these Multi-Family CDOs was 4.02% and 3.96%, 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 16).

The condensed consolidated statements of operations of the Consolidated K-Series for the three months ended March 31, 2019 and 2018, respectively, are as follows (dollar amounts in thousands):



	Three Months Ended March 31,
Statements of Operations	2019		2018
Interest income	$	111,768	$	85,092
Interest expense	96,797		74,478
Net interest income	14,971		10,614
Unrealized gain on multi-family loans and debt held in securitization trusts, net	9,410		7,545
Net income	$	24,381	$	18,159

The geographic concentrations of credit risk exceeding 5% of the total loan balances related to multi-family loans held in securitization trusts as of March 31, 2019 and 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 are as follows:



	March 31, 2019		December 31, 2018
California	16.0	%	14.8	%
Texas	12.5	%	13.0	%
Maryland	6.0	%	5.0	%
New York	5.1	%	6.4	%