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Consolidated K-Series and Consolidated SLST (Tables)

12 Months Ended

Dec. 31, 2019

Disclosure Text Block Supplement [Abstract]

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	%