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Consolidated K-Series (Tables)

3 Months Ended

Mar. 31, 2020

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	%