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Consolidated K-Series (Tables)

9 Months Ended

Sep. 30, 2019

Fair Value Disclosures [Abstract]

Schedule of Condensed Consolidated Balance Sheet of the Consolidated K-Series

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

Balance Sheets	September 30, 2019				December 31, 2018
Assets
Multi-family loans held in securitization trusts, at fair value	$	15,863,264			$	11,679,847
Receivables	51,950				41,850
Total Assets	$	15,915,214			$	11,721,697
Liabilities and Equity
Multi-family CDOs, at fair value	$	14,978,199			$	11,022,248
Accrued expenses	50,783				41,102
Total Liabilities	15,028,982				11,063,350
Equity	886,232				658,347
Total Liabilities and Equity	$	15,915,214			$	11,721,697

Schedule of 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 nine months ended September 30, 2019 and 2018, respectively, are as follows (dollar amounts in thousands):

	Three Months Ended September 30,								Nine Months Ended September 30,
Statements of Operations	2019				2018				2019				2018
Interest income	$	139,818			$	86,458			$	384,743			$	257,179
Interest expense	120,329				75,145				332,041				224,310
Net interest income	19,489				11,313				52,702				32,869
Unrealized gains, net	7,630				12,303				22,247				31,867
Net income	$	27,119			$	23,616			$	74,949			$	64,736

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 September 30, 2019 and December 31, 2018, respectively, are as follows:

	September 30, 2019			December 31, 2018
California	23.2	%		27.9	%
Florida	9.8	%		9.0	%
Texas	6.0	%		4.2	%
New York	6.0	%		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 September 30, 2019 and December 31, 2018 are as follows:

	September 30, 2019			December 31, 2018
New York	36.0	%		33.9	%
Massachusetts	17.5	%		20.0	%
New Jersey	12.6	%		14.5	%
Florida	11.8	%		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 September 30, 2019 and December 31, 2018, respectively, are as follows:

	September 30, 2019			December 31, 2018
North Carolina	10.3	%		9.0	%
Florida	10.0	%		10.4	%
Georgia	7.1	%		7.2	%
South Carolina	5.7	%		5.6	%
Virginia	5.6	%		5.3	%
Texas	5.5	%		4.9	%
New York	5.3	%		5.4	%
Ohio	5.2	%		5.0	%

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

	September 30, 2019			December 31, 2018
California	15.4	%		14.8	%
Texas	12.0	%		13.0	%
Maryland	6.3	%		5.0	%
Florida	5.4	%		4.5	%

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