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Consolidated K-Series (Tables)

6 Months Ended

Jun. 30, 2019

SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]

Schedule of Geographic Concentration of Credit Risk

The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of distressed and other residential mortgage loans at fair value as of June 30, 2019 and December 31, 2018, respectively, are as follows:

	June 30, 2019			December 31, 2018
California	23.7	%		27.9	%
Florida	9.8	%		9.0	%
Texas	5.7	%		4.2	%
New York	5.6	%		5.1	%

The geographic concentrations of credit risk exceeding 5% of the total loan balances in our residential mortgage loans held in securitization trusts as of June 30, 2019 and December 31, 2018 are as follows:

	June 30, 2019			December 31, 2018
New York	34.7	%		33.9	%
Massachusetts	17.6	%		20.0	%
New Jersey	15.1	%		14.5	%
Florida	11.2	%		9.9	%
Maryland	5.4	%		5.3	%

The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of our distressed residential mortgage loans, net as of June 30, 2019 and December 31, 2018, respectively, are as follows:

	June 30, 2019			December 31, 2018
North Carolina	10.1	%		9.0	%
Florida	9.9	%		10.4	%
Georgia	7.0	%		7.2	%
South Carolina	5.6	%		5.6	%
Virginia	5.6	%		5.3	%
Texas	5.5	%		4.9	%
New York	5.4	%		5.4	%
Ohio	5.2	%		5.0	%

Multi-family loans held in securitization trusts

SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]

Schedule of Geographic Concentration of Credit Risk

The geographic concentrations of credit risk exceeding 5% of the total loan balances related to multi-family loans held in securitization trusts as of June 30, 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:

	June 30, 2019			December 31, 2018
California	16.1	%		14.8	%
Texas	12.4	%		13.0	%
Maryland	5.8	%		5.0	%
New York	5.1	%		6.4	%
Florida	5.0	%		4.5	%

Consolidated K-Series

SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]

Condensed Consolidated Balance Sheet of the Consolidated K-Series

The condensed consolidated balance sheets of the Consolidated K-Series at June 30, 2019 and December 31, 2018, respectively, are as follows (dollar amounts in thousands):

Balance Sheets	June 30, 2019				December 31, 2018
Assets
Multi-family loans held in securitization trusts, at fair value	$	14,573,925			$	11,679,847
Receivables	48,958				41,850
Total Assets	$	14,622,883			$	11,721,697
Liabilities and Equity
Multi-family CDOs, at fair value	$	13,772,726			$	11,022,248
Accrued expenses	47,921				41,102
Total Liabilities	13,820,647				11,063,350
Equity	802,236				658,347
Total Liabilities and Equity	$	14,622,883			$	11,721,697

Condensed Consolidated Statements of Operations of the Consolidated K-Series

The condensed consolidated statements of operations of the Consolidated K-Series for the three and six months ended June 30, 2019 and 2018, respectively, are as follows (dollar amounts in thousands):

	Three Months Ended June 30,								Six Months Ended June 30,
Statements of Operations	2019				2018				2019				2018
Interest income	$	133,157			$	85,629			$	244,925			$	170,721
Interest expense	114,914				74,686				211,711				149,165
Net interest income	18,243				10,943				33,214				21,556
Unrealized gain on multi-family loans and debt held in securitization trusts, net	5,207				12,019				14,617				19,564
Net income	$	23,450			$	22,962			$	47,831			$	41,120

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