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Consolidated K-Series and Consolidated SLST (Tables) | 12 Months Ended
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Dec. 31, 2019
Disclosure Text Block Supplement [Abstract] |
Condensed Balance Sheet | The condensed consolidated balance sheet of Consolidated SLST at December 31, 2019 is as follows (dollar amounts in thousands):
Balance Sheet | December 31, 2019
Assets |
Residential mortgage loans held in securitization trust, at fair value | $ | 1,328,886 |
Receivables (1) | 5,244 |
Total Assets | $ | 1,334,130 |
Liabilities and Equity |
Residential collateralized debt obligations, at fair value | $ | 1,052,829 |
Accrued expenses | 2,643 |
Total Liabilities | 1,055,472 |
Equity | 278,658 |
Total Liabilities and Equity | $ | 1,334,130 |
(1) Included in receivables and other assets on the accompanying consolidated balance sheets. The condensed consolidated balance sheets of the Consolidated K-Series at December 31, 2019 and 2018, respectively, are as follows (dollar amounts in thousands):
Balance Sheets | December 31, 2019 |  | December 31, 2018
Assets |  |  |
Multi-family loans held in securitization trusts, at fair value | $ | 17,816,746 |  |  | $ | 11,679,847 |
Receivables (1) | 59,417 |  |  | 41,850 |
Total Assets | $ | 17,876,163 |  |  | $ | 11,721,697 |
Liabilities and Equity |  |  |
Multi-family CDOs, at fair value | $ | 16,724,451 |  |  | $ | 11,022,248 |
Accrued expenses | 57,873 |  |  | 41,102 |
Total Liabilities | 16,782,324 |  |  | 11,063,350 |
Equity | 1,093,839 |  |  | 658,347 |
Total Liabilities and Equity | $ | 17,876,163 |  |  | $ | 11,721,697 |
(1) | Included in receivables and other assets on the accompanying consolidated balance sheets.
Condensed Income Statement | The condensed consolidated statements of operations of the Consolidated K-Series for the years ended December 31, 2019, 2018, and 2017, respectively, are as follows (dollar amounts in thousands):
| Years Ended December 31,
Statements of Operations | 2019 |  | 2018 |  | 2017
Interest income | $ | 535,226 |  |  | $ | 358,712 |  |  | $ | 297,124 |
Interest expense | 457,130 |  |  | 313,102 |  |  | 261,665 |
Net interest income | 78,096 |  |  | 45,610 |  |  | 35,459 |
Unrealized gains, net | 23,962 |  |  | 37,581 |  |  | 18,872 |
Net income | $ | 102,058 |  |  | $ | 83,191 |  |  | $ | 54,331 |
The condensed consolidated statement of operations of Consolidated SLST for the year ended December 31, 2019, is as follows (dollar amounts in thousands):
Statement of Operations | December 31, 2019
Interest income (1) | $ | 4,764 |
Interest expense (2) | 2,945 |
Net interest income | 1,819 |
Unrealized losses, net | (83 | )
Net income | $ | 1,736 |
(1) | Included in the Company’s accompanying consolidated statements of operations in interest income, distressed and other residential mortgage loans.
(2) | Included in the Company’s accompanying consolidated statements of operations in interest expense, residential collateralized debt obligations.
Schedule of Geographic Concentration Risk Exceeding 5% | 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 December 31, 2019 and 2018, respectively, are as follows:
| December 31, 2019 |  | December 31, 2018
California | 23.9 | % |  | 27.9 | %
Florida | 9.4 | % |  | 9.0 | %
New York | 8.0 | % |  | 5.1 | %
Texas | 5.4 | % |  | 4.2 | %
New Jersey | 5.1 | % |  | 3.8 | %
The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of our distressed residential mortgage loans, net as of December 31, 2019 and 2018, respectively, are as follows:
| December 31, 2019 |  | December 31, 2018
North Carolina | 10.5 | % |  | 9.0 | %
Florida | 10.1 | % |  | 10.4 | %
Georgia | 7.0 | % |  | 7.2 | %
South Carolina | 5.8 | % |  | 5.6 | %
Texas | 5.6 | % |  | 4.9 | %
New York | 5.5 | % |  | 5.4 | %
Ohio | 5.2 | % |  | 5.0 | %
Virginia | 5.2 | % |  | 5.3 | %
The geographic concentrations of credit risk exceeding 5% of the total loan balances in our residential mortgage loans held in securitization trusts, net as of December 31, 2019 and 2018, respectively, are as follows:
| December 31, 2019 |  | December 31, 2018
New York | 36.1 | % |  | 33.9 | %
Massachusetts | 17.2 | % |  | 20.0 | %
New Jersey | 12.8 | % |  | 14.5 | %
Florida | 12.1 | % |  | 9.9 | %
Maryland | 5.5 | % |  | 5.3 | %
The geographic concentrations of credit risk exceeding 5% of the total loan balances related to residential mortgage loans held in securitization trust at fair value as of December 31, 2019 are as follows:
| December 31, 2019
California | 11.0 | %
Florida | 10.6 | %
New York | 9.1 | %
New Jersey | 6.9 | %
Illinois | 6.6 | %
The geographic concentrations of credit risk exceeding 5% of the total loan balances related to multi-family loans held in securitization trusts as of December 31, 2019 and multi-family loans held in securitization trusts and first loss POs and certain IOs held in re-securitization trusts as of December 31, 2018 are as follows:
| December 31, 2019 |  | December 31, 2018
California | 15.9 | % |  | 14.8 | %
Texas | 12.4 | % |  | 13.0 | %
Florida | 6.2 | % |  | 4.5 | %
Maryland | 5.8 | % |  | 5.0 | %

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