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Preferred Equity and Mezzanine Loan Investments (Tables) | 9 Months Ended
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Sep. 30, 2020
Investments, All Other Investments [Abstract] |
Schedule of Preferred Equity and Mezzanine Loan Investments | The condensed consolidated balance sheets of Consolidated SLST at September 30, 2020 and December 31, 2019, respectively, are as follows (dollar amounts in thousands):
Balance Sheet | September 30, 2020 |  | December 31, 2019
Assets |  |  |
Residential loans, at fair value | $ | 1,290,005 |  |  | $ | 1,328,886 |
Receivables (1) | 4,162 |  |  | 5,244 |
Total Assets | $ | 1,294,167 |  |  | $ | 1,334,130 |
Liabilities and Equity |  |  |
Residential collateralized debt obligations, at fair value | $ | 1,077,980 |  |  | $ | 1,052,829 |
Accrued expenses and other liabilities (2) | 3,664 |  |  | 2,643 |
Total Liabilities | 1,081,644 |  |  | 1,055,472 |
Equity | 212,523 |  |  | 278,658 |
Total Liabilities and Equity | $ | 1,294,167 |  |  | $ | 1,334,130 |
(1)Included in receivables and other assets on the accompanying condensed consolidated balance sheets. (2)Included in accrued expenses and other liabilities on the accompanying condensed consolidated balance sheets. The condensed consolidated statements of operations of Consolidated SLST for the three and nine months ended September 30, 2020, respectively, are as follows (dollar amounts in thousands):
Statements of Operations | Three Months Ended September 30, 2020 |  | Nine Months Ended September 30, 2020
Interest income (1) | $ | 10,896 |  |  | $ | 34,542 |
Interest expense (2) | 7,562 |  |  | 24,255 |
Net interest income | 3,334 |  |  | 10,287 |
Unrealized gains (losses), net (3) | 27,145 |  |  | (34,893) |
Net income (loss) | $ | 30,479 |  |  | $ | (24,606) |
(1)Included in the Company’s accompanying condensed consolidated statements of operations in interest income, residential loans. (2)Included in the Company’s accompanying condensed consolidated statements of operations in interest expense, residential collateralized debt obligations. (3)Presented in unrealized gains (losses), net on the Company’s condensed consolidated statements of operations. Includes $41.1 million and $28.0 million of unrealized gains on residential loans held in Consolidated SLST for the three and nine months ended September 30, 2020, respectively, and $13.9 million and $62.9 million of unrealized losses on SLST CDOs for the three and nine months ended September 30, 2020, respectively. P referred equity and mezzanine loan investments consist of the following as of September 30, 2020 and December 31, 2019, respectively (dollar amounts in thousands):
| September 30, 2020 |  | December 31, 2019 (1)
Investment amount | $ | 188,654 |  |  | $ | 181,409 |
Deferred loan fees, net | (1,291) |  |  | (1,364) |
Unrealized losses, net | (4,209) |  |  | — |
Total | $ | 183,154 |  |  | $ | 180,045 |
(1)As of December 31, 2019, preferred equity and mezzanine loan investments were reported at amortized cost less impairment, if any.
Preferred Equity and Mezzanine Loans, Fair Value Compared to Unpaid Principal | The table below presents the fair value and aggregate unpaid principal balance of the Company's preferred equity and mezzanine loan investments in non-accrual status as of September 30, 2020 (dollar amounts in thousands):
Days Late |  |  | Fair Value |  | Unpaid Principal Balance
90 + |  |  | $ | 3,373 |  |  | $ | 3,363 |
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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- Definition Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 5A -URI http://asc.fasb.org/extlink&oid=121559654&loc=SL6759159-111685 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 6 -URI http://asc.fasb.org/extlink&oid=121559654&loc=d3e5747-111685 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 9 -URI http://asc.fasb.org/extlink&oid=121559654&loc=SL6228884-111685 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=121559654&loc=d3e5710-111685 Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=121559654&loc=d3e5728-111685 + Details
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