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Consolidated K-Series (Tables) | 3 Months Ended
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Mar. 31, 2020
Fair Value Disclosures [Abstract] |
Schedule of Condensed Consolidated Balance Sheet of the Consolidated K-Series | The condensed consolidated balance sheet of the Consolidated K-Series at December 31, 2019 is as follows (dollar amounts in thousands):
Balance Sheet | December 31, 2019
Assets |
Multi-family loans held in securitization trusts, at fair value | $ | 17,816,746 |
Receivables (1) | 59,417 |
Total Assets | $ | 17,876,163 |
Liabilities and Equity |
Multi-family CDOs, at fair value | $ | 16,724,451 |
Accrued expenses | 57,873 |
Total Liabilities | 16,782,324 |
Equity | 1,093,839 |
Total Liabilities and Equity | $ | 17,876,163 |
(1) Included in receivables and other assets on the accompanying condensed consolidated balance sheets.
Schedule of Condensed Consolidated Statements of Operations of the Consolidated K-Series | The condensed consolidated statements of operations of the Consolidated K-Series prior to the sale of first loss POs and de-consolidation of the Consolidated K-Series for the three months ended March 31, 2020 and for the three months ended March 31, 2019, are as follows (dollar amounts in thousands):
| Three Months Ended March 31,
Statements of Operations | 2020 |  | 2019
Interest income | $ | 151,841 |  |  | $ | 111,768 |
Interest expense | 129,762 |  |  | 96,797 |
Net interest income | 22,079 |  |  | 14,971 |
Unrealized (losses) gains, net | (10,951 | ) |  | 9,410 |
Net income | $ | 11,128 |  |  | $ | 24,381 |
Schedule of Geographic Concentration of Credit Risk | The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of residential loans, at fair value as of March 31, 2020 and December 31, 2019, respectively, are as follows:
| March 31, 2020 |  | December 31, 2019
| Residential loans |  | Consolidated SLST |  | Residential loans held in securitization trusts |  | Residential loans |  | Consolidated SLST
California | 21.7 | % |  | 11.1 | % |  | 1.6 | % |  | 23.9 | % |  | 11.0 | %
Florida | 10.2 | % |  | 10.6 | % |  | 12.4 | % |  | 9.4 | % |  | 10.6 | %
New York | 7.5 | % |  | 9.1 | % |  | 35.8 | % |  | 8.0 | % |  | 9.1 | %
Texas | 5.5 | % |  | 4.0 | % |  | — |  |  | 5.4 | % |  | 4.0 | %
New Jersey | 4.9 | % |  | 6.9 | % |  | 13.1 | % |  | 5.1 | % |  | 6.9 | %
Maryland | 4.5 | % |  | 3.8 | % |  | 5.0 | % |  | 4.6 | % |  | 3.8 | %
Illinois | 2.7 | % |  | 6.6 | % |  | — |  |  | 2.8 | % |  | 6.6 | %
Massachusetts | 2.7 | % |  | 2.9 | % |  | 17.7 | % |  | 2.8 | % |  | 2.9 | %
The geographic concentrations of credit risk exceeding 5% of the total loan balances in our residential loans held in securitization trusts, net as of December 31, 2019 was as follows:
| December 31, 2019
New York | 36.1 | %
Massachusetts | 17.2 | %
New Jersey | 12.8 | %
Florida | 12.1 | %
Maryland | 5.5 | %
The geographic concentrations of credit risk exceeding 5% of the unpaid principal balance of our distressed residential loans, net as of December 31, 2019 was as follows:
| December 31, 2019
North Carolina | 10.5 | %
Florida | 10.1 | %
Georgia | 7.0 | %
South Carolina | 5.8 | %
Texas | 5.6 | %
New York | 5.5 | %
Ohio | 5.2 | %
Virginia | 5.2 | %
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 are as follows:
| December 31, 2019
California | 15.9 | %
Texas | 12.4 | %
Florida | 6.2 | %
Maryland | 5.8 | %
The geographic concentrations of credit risk exceeding 5% of the total preferred equity and mezzanine loan investment amounts as of March 31, 2020 and December 31, 2019, respectively, are as follows:
| March 31, 2020 |  | December 31, 2019
Tennessee | 12.3 | % |  | 12.3 | %
Florida | 12.0 | % |  | 12.0 | %
Georgia | 11.8 | % |  | 11.8 | %
Texas | 10.3 | % |  | 10.6 | %
Alabama | 10.0 | % |  | 10.0 | %
South Carolina | 6.3 | % |  | 6.3 | %
New Jersey | 5.0 | % |  | 5.0 | %

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