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Consolidated K-Series (Tables)

9 Months Ended

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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