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Consolidated K-Series (Tables) | 9 Months Ended
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Sep. 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 September 30, 2019, for the nine months ended September 30, 2020 (prior to the sale of first loss POs and de-consolidation of the Consolidated K-Series) and for the nine months ended September 30, 2019, respectively, are as follows (dollar amounts in thousands):
|  |  | Three Months Ended September 30, |  | Nine Months Ended September 30,
Statements of Operations |  |  | 2019 |  | 2020 |  | 2019
Interest income |  |  | $ | 139,818 |  |  | $ | 151,841 |  |  | $ | 384,743 |
Interest expense |  |  | 120,329 |  |  | 129,762 |  |  | 332,041 |
Net interest income |  |  | 19,489 |  |  | 22,079 |  |  | 52,702 |
Unrealized gains (losses), net |  |  | 7,630 |  |  | (10,951) |  |  | 22,247 |
Net income |  |  | $ | 27,119 |  |  | $ | 11,128 |  |  | $ | 74,949 |
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 September 30, 2020 and December 31, 2019, respectively, are as follows:
| September 30, 2020 |  | December 31, 2019
| Residential loans |  | Consolidated SLST |  | Residential loans held in securitization trusts |  | Residential loans |  | Consolidated SLST
California | 23.4 | % |  | 10.9 | % |  | 15.8 | % |  | 23.9 | % |  | 11.0 | %
Florida | 11.7 | % |  | 10.5 | % |  | 6.4 | % |  | 9.4 | % |  | 10.6 | %
New York | 8.0 | % |  | 9.2 | % |  | 11.0 | % |  | 8.0 | % |  | 9.1 | %
Texas | 5.6 | % |  | 4.0 | % |  | 4.4 | % |  | 5.4 | % |  | 4.0 | %
New Jersey | 5.2 | % |  | 7.0 | % |  | 6.0 | % |  | 5.1 | % |  | 6.9 | %
Maryland | 3.6 | % |  | 3.8 | % |  | 8.1 | % |  | 4.6 | % |  | 3.8 | %
Massachusetts | 2.5 | % |  | 2.8 | % |  | 5.5 | % |  | 2.8 | % |  | 2.9 | %
Illinois | 2.7 | % |  | 6.7 | % |  | 3.2 | % |  | 2.8 | % |  | 6.6 | %
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 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 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 September 30, 2020 and December 31, 2019, respectively, are as follows:
| September 30, 2020 |  | December 31, 2019
Tennessee | 12.2 | % |  | 12.3 | %
Florida | 11.9 | % |  | 12.0 | %
Georgia | 11.7 | % |  | 11.8 | %
Texas | 9.9 | % |  | 10.6 | %
South Carolina | 9.1 | % |  | 6.3 | %
Alabama | 8.3 | % |  | 10.0 | %
New Jersey | 5.0 | % |  | 5.0 | %

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