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Consolidated K-Series (Tables)

6 Months Ended

Jun. 30, 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 for the three months ended June 30, 2019, for the six months ended June 30, 2020 (prior to the sale of first loss POs and de-consolidation of the Consolidated K-Series) and for the six months ended June 30, 2019, respectively, are as follows (dollar amounts in thousands):

	Three Months Ended June 30,				Six Months Ended June 30,
Statements of Operations	2019				2020				2019
Interest income	$	133,157			$	151,841			$	244,925
Interest expense	114,914				129,762				211,711
Net interest income	18,243				22,079				33,214
Unrealized gains (losses), net	5,207				(10,951		)		14,617
Net income	$	23,450			$	11,128			$	47,831

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 June 30, 2020 and December 31, 2019, respectively, are as follows:

	June 30, 2020									December 31, 2019
	Residential loans			Consolidated SLST			Residential loans held in securitization trusts			Residential loans			Consolidated SLST
California	21.3	%		10.9	%		1.6	%		23.9	%		11.0	%
Florida	10.3	%		10.6	%		12.6	%		9.4	%		10.6	%
New York	7.5	%		9.1	%		37.0	%		8.0	%		9.1	%
Texas	5.6	%		4.0	%		—			5.4	%		4.0	%
New Jersey	4.9	%		7.0	%		12.5	%		5.1	%		6.9	%
Maryland	4.7	%		3.8	%		5.2	%		4.6	%		3.8	%
Massachusetts	2.7	%		2.9	%		16.8	%		2.8	%		2.9	%
Illinois	2.6	%		6.7	%		—			2.8	%		6.6	%

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 were 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 were 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 June 30, 2020 and December 31, 2019, respectively, are as follows:

	June 30, 2020			December 31, 2019
Tennessee	12.3	%		12.3	%
Florida	12.0	%		12.0	%
Georgia	11.8	%		11.8	%
Texas	10.4	%		10.6	%
Alabama	10.0	%		10.0	%
South Carolina	6.3	%		6.3	%
New Jersey	5.0	%		5.0	%

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