0001614806--12-31false2022Q3P5Y0.666700016148062022-01-012022-09-300001614806us-gaap:CommonStockMember2022-01-012022-09-300001614806ajx:ConvertibleSeniorNotesMember2022-01-012022-09-3000016148062022-11-02xbrli:shares00016148062022-09-30iso4217:USD00016148062021-12-31iso4217:USDxbrli:shares0001614806us-gaap:SeriesAPreferredStockMember2021-01-012021-12-31xbrli:pure0001614806us-gaap:SeriesAPreferredStockMember2022-01-012022-09-300001614806us-gaap:SeriesAPreferredStockMember2022-09-300001614806us-gaap:SeriesAPreferredStockMember2021-12-310001614806us-gaap:SeriesBPreferredStockMember2022-01-012022-09-300001614806us-gaap:SeriesBPreferredStockMember2021-01-012021-12-310001614806us-gaap:SeriesBPreferredStockMember2022-09-300001614806us-gaap:SeriesBPreferredStockMember2021-12-310001614806us-gaap:MortgagesMember2022-09-300001614806us-gaap:MortgagesMember2021-12-310001614806us-gaap:ConsolidatedEntitiesMember2022-09-300001614806us-gaap:ConsolidatedEntitiesMember2021-12-310001614806ajx:SecuritizationTrust2017DMember2021-12-310001614806ajx:SecuritizationTrust2017DMember2022-09-300001614806ajx:BeneficialinterestsMember2022-09-300001614806ajx:BeneficialinterestsMember2021-12-310001614806us-gaap:SecuredDebtMember2022-09-300001614806us-gaap:SecuredDebtMember2021-12-310001614806us-gaap:ConvertibleDebtMember2022-09-300001614806us-gaap:ConvertibleDebtMember2021-12-310001614806us-gaap:NotesPayableOtherPayablesMember2022-09-300001614806us-gaap:NotesPayableOtherPayablesMember2021-12-310001614806us-gaap:ConsolidatedEntitiesMemberajx:SecuritizationTrust2017DMember2022-09-300001614806us-gaap:ConsolidatedEntitiesMemberajx:ASAjaxEIILLCMember2022-09-300001614806ajx:ASAjaxEIILLCMember2022-09-300001614806us-gaap:ConsolidatedEntitiesMemberajx:GreatAjaxIIREITMember2022-09-300001614806ajx:GreatAjaxIIREITMember2022-09-300001614806us-gaap:ConsolidatedEntitiesMemberajx:SecuritizationTrust2017DMember2021-12-310001614806us-gaap:ConsolidatedEntitiesMemberajx:ASAjaxEIILLCMember2021-12-310001614806ajx:ASAjaxEIILLCMember2021-12-310001614806us-gaap:ConsolidatedEntitiesMemberajx:GreatAjaxIIREITMember2021-12-310001614806ajx:GreatAjaxIIREITMember2021-12-3100016148062022-07-012022-09-3000016148062021-07-012021-09-3000016148062021-01-012021-09-300001614806us-gaap:SecuredDebtMember2022-01-012022-09-300001614806us-gaap:SecuredDebtMember2021-01-012021-09-300001614806us-gaap:NotesPayableOtherPayablesMember2022-01-012022-09-300001614806us-gaap:NotesPayableOtherPayablesMember2021-01-012021-09-3000016148062020-12-3100016148062021-09-300001614806us-gaap:SeriesAPreferredStockMemberus-gaap:PreferredStockMember2020-12-310001614806us-gaap:SeriesBPreferredStockMemberus-gaap:PreferredStockMember2020-12-310001614806us-gaap:CommonStockMember2020-12-310001614806us-gaap:TreasuryStockCommonMember2020-12-310001614806us-gaap:AdditionalPaidInCapitalMember2020-12-310001614806us-gaap:RetainedEarningsMember2020-12-310001614806us-gaap:AccumulatedOtherComprehensiveIncomeMember2020-12-310001614806us-gaap:ParentMember2020-12-310001614806us-gaap:NoncontrollingInterestMember2020-12-310001614806us-gaap:RetainedEarningsMember2021-01-012021-03-310001614806us-gaap:ParentMember2021-01-012021-03-310001614806us-gaap:NoncontrollingInterestMember2021-01-012021-03-3100016148062021-01-012021-03-310001614806us-gaap:CommonStockMember2021-01-012021-03-310001614806us-gaap:AdditionalPaidInCapitalMember2021-01-012021-03-310001614806us-gaap:AccumulatedOtherComprehensiveIncomeMember2021-01-012021-03-310001614806us-gaap:SeriesAPreferredStockMemberus-gaap:PreferredStockMember2021-03-310001614806us-gaap:SeriesBPreferredStockMemberus-gaap:PreferredStockMember2021-03-310001614806us-gaap:CommonStockMember2021-03-310001614806us-gaap:TreasuryStockCommonMember2021-03-310001614806us-gaap:AdditionalPaidInCapitalMember2021-03-310001614806us-gaap:RetainedEarningsMember2021-03-310001614806us-gaap:AccumulatedOtherComprehensiveIncomeMember2021-03-310001614806us-gaap:ParentMember2021-03-310001614806us-gaap:NoncontrollingInterestMember2021-03-3100016148062021-03-310001614806us-gaap:RetainedEarningsMember2021-04-012021-06-300001614806us-gaap:ParentMember2021-04-012021-06-300001614806us-gaap:NoncontrollingInterestMember2021-04-012021-06-3000016148062021-04-012021-06-300001614806us-gaap:CommonStockMember2021-04-012021-06-300001614806us-gaap:AdditionalPaidInCapitalMember2021-04-012021-06-300001614806us-gaap:AccumulatedOtherComprehensiveIncomeMember2021-04-012021-06-300001614806us-gaap:TreasuryStockCommonMember2021-04-012021-06-300001614806us-gaap:SeriesAPreferredStockMemberus-gaap:PreferredStockMember2021-06-300001614806us-gaap:SeriesBPreferredStockMemberus-gaap:PreferredStockMember2021-06-300001614806us-gaap:CommonStockMember2021-06-300001614806us-gaap:TreasuryStockCommonMember2021-06-300001614806us-gaap:AdditionalPaidInCapitalMember2021-06-300001614806us-gaap:RetainedEarningsMember2021-06-300001614806us-gaap:AccumulatedOtherComprehensiveIncomeMember2021-06-300001614806us-gaap:ParentMember2021-06-300001614806us-gaap:NoncontrollingInterestMember2021-06-3000016148062021-06-300001614806us-gaap:RetainedEarningsMember2021-07-012021-09-300001614806us-gaap:ParentMember2021-07-012021-09-300001614806us-gaap:NoncontrollingInterestMember2021-07-012021-09-300001614806us-gaap:CommonStockMember2021-07-012021-09-300001614806us-gaap:AdditionalPaidInCapitalMember2021-07-012021-09-300001614806us-gaap:AccumulatedOtherComprehensiveIncomeMember2021-07-012021-09-300001614806us-gaap:TreasuryStockCommonMember2021-07-012021-09-300001614806us-gaap:SeriesAPreferredStockMemberus-gaap:PreferredStockMember2021-09-300001614806us-gaap:SeriesBPreferredStockMemberus-gaap:PreferredStockMember2021-09-300001614806us-gaap:CommonStockMember2021-09-300001614806us-gaap:TreasuryStockCommonMember2021-09-300001614806us-gaap:AdditionalPaidInCapitalMember2021-09-300001614806us-gaap:RetainedEarningsMember2021-09-300001614806us-gaap:AccumulatedOtherComprehensiveIncomeMember2021-09-300001614806us-gaap:ParentMember2021-09-300001614806us-gaap:NoncontrollingInterestMember2021-09-300001614806us-gaap:SeriesAPreferredStockMemberus-gaap:PreferredStockMember2021-12-310001614806us-gaap:SeriesBPreferredStockMemberus-gaap:PreferredStockMember2021-12-310001614806us-gaap:CommonStockMember2021-12-310001614806us-gaap:TreasuryStockCommonMember2021-12-310001614806us-gaap:AdditionalPaidInCapitalMember2021-12-310001614806us-gaap:RetainedEarningsMember2021-12-310001614806us-gaap:AccumulatedOtherComprehensiveIncomeMember2021-12-310001614806us-gaap:ParentMember2021-12-310001614806us-gaap:NoncontrollingInterestMember2021-12-310001614806us-gaap:RetainedEarningsMember2022-01-012022-03-310001614806us-gaap:ParentMember2022-01-012022-03-310001614806us-gaap:NoncontrollingInterestMember2022-01-012022-03-3100016148062022-01-012022-03-310001614806us-gaap:CommonStockMember2022-01-012022-03-310001614806us-gaap:AdditionalPaidInCapitalMember2022-01-012022-03-310001614806us-gaap:AccumulatedOtherComprehensiveIncomeMember2022-01-012022-03-310001614806srt:CumulativeEffectPeriodOfAdoptionAdjustmentMemberus-gaap:AdditionalPaidInCapitalMember2021-12-310001614806srt:CumulativeEffectPeriodOfAdoptionAdjustmentMemberus-gaap:ParentMember2021-12-310001614806srt:CumulativeEffectPeriodOfAdoptionAdjustmentMember2021-12-310001614806us-gaap:TreasuryStockCommonMember2022-01-012022-03-310001614806us-gaap:SeriesAPreferredStockMemberus-gaap:PreferredStockMember2022-03-310001614806us-gaap:SeriesBPreferredStockMemberus-gaap:PreferredStockMember2022-03-310001614806us-gaap:CommonStockMember2022-03-310001614806us-gaap:TreasuryStockCommonMember2022-03-310001614806us-gaap:AdditionalPaidInCapitalMember2022-03-310001614806us-gaap:RetainedEarningsMember2022-03-310001614806us-gaap:AccumulatedOtherComprehensiveIncomeMember2022-03-310001614806us-gaap:ParentMember2022-03-310001614806us-gaap:NoncontrollingInterestMember2022-03-3100016148062022-03-310001614806us-gaap:RetainedEarningsMember2022-04-012022-06-300001614806us-gaap:ParentMember2022-04-012022-06-300001614806us-gaap:NoncontrollingInterestMember2022-04-012022-06-3000016148062022-04-012022-06-300001614806us-gaap:CommonStockMember2022-04-012022-06-300001614806us-gaap:AdditionalPaidInCapitalMember2022-04-012022-06-300001614806us-gaap:AccumulatedOtherComprehensiveIncomeMember2022-04-012022-06-300001614806us-gaap:SeriesAPreferredStockMemberus-gaap:PreferredStockMember2022-04-012022-06-300001614806us-gaap:SeriesBPreferredStockMemberus-gaap:PreferredStockMember2022-04-012022-06-300001614806us-gaap:TreasuryStockCommonMember2022-04-012022-06-300001614806us-gaap:SeriesAPreferredStockMemberus-gaap:PreferredStockMember2022-06-300001614806us-gaap:SeriesBPreferredStockMemberus-gaap:PreferredStockMember2022-06-300001614806us-gaap:CommonStockMember2022-06-300001614806us-gaap:TreasuryStockCommonMember2022-06-300001614806us-gaap:AdditionalPaidInCapitalMember2022-06-300001614806us-gaap:RetainedEarningsMember2022-06-300001614806us-gaap:AccumulatedOtherComprehensiveIncomeMember2022-06-300001614806us-gaap:ParentMember2022-06-300001614806us-gaap:NoncontrollingInterestMember2022-06-3000016148062022-06-300001614806us-gaap:RetainedEarningsMember2022-07-012022-09-300001614806us-gaap:ParentMember2022-07-012022-09-300001614806us-gaap:NoncontrollingInterestMember2022-07-012022-09-300001614806us-gaap:CommonStockMember2022-07-012022-09-300001614806us-gaap:AdditionalPaidInCapitalMember2022-07-012022-09-300001614806us-gaap:AccumulatedOtherComprehensiveIncomeMember2022-07-012022-09-300001614806us-gaap:SeriesAPreferredStockMemberus-gaap:PreferredStockMember2022-07-012022-09-300001614806us-gaap:SeriesBPreferredStockMemberus-gaap:PreferredStockMember2022-07-012022-09-300001614806us-gaap:TreasuryStockCommonMember2022-07-012022-09-300001614806us-gaap:SeriesAPreferredStockMemberus-gaap:PreferredStockMember2022-09-300001614806us-gaap:SeriesBPreferredStockMemberus-gaap:PreferredStockMember2022-09-300001614806us-gaap:CommonStockMember2022-09-300001614806us-gaap:TreasuryStockCommonMember2022-09-300001614806us-gaap:AdditionalPaidInCapitalMember2022-09-300001614806us-gaap:RetainedEarningsMember2022-09-300001614806us-gaap:AccumulatedOtherComprehensiveIncomeMember2022-09-300001614806us-gaap:ParentMember2022-09-300001614806us-gaap:NoncontrollingInterestMember2022-09-30ajx:payment0001614806us-gaap:PerformingFinancingReceivableMember2022-01-010001614806ajx:ThetisAssetManagementLLCMember2022-09-300001614806ajx:GreatAjaxFinancialServicesLLCMemberajx:GreatAjaxFinancialServicesLLCMember2022-09-300001614806ajx:GaeaMember2019-11-222019-11-220001614806ajx:GaeaMember2022-01-012022-01-310001614806ajx:GaeaMember2022-09-30ajx:entity0001614806ajx:AsAjaxELlcMemberajx:AjaxEMasterTrustMember2022-09-300001614806ajx:ThirdPartyMemberajx:SecuritizationTrust2017DMember2022-09-300001614806ajx:SecuritizationTrust2018CMember2021-03-310001614806ajx:ThirdPartyMemberajx:SecuritizationTrust2018CMember2021-12-310001614806ajx:ThirdPartyMemberajx:SecuritizationTrust2018CMember2022-09-300001614806ajx:AjaxMortgageLoanTrust2019CMember2021-10-012021-12-310001614806ajx:AjaxMortgageLoanTrust2019CMember2022-09-300001614806us-gaap:FinancialAssetAcquiredWithCreditDeteriorationMember2020-01-012020-01-010001614806srt:MaximumMember2022-01-012022-09-3000016148062020-04-012020-06-30ajx:series0001614806us-gaap:SeriesAPreferredStockMember2020-06-300001614806us-gaap:SeriesAPreferredStockMember2020-04-012020-06-300001614806us-gaap:SeriesBPreferredStockMember2020-06-300001614806us-gaap:SeriesBPreferredStockMember2020-04-012020-06-300001614806us-gaap:SeriesAPreferredStockMemberus-gaap:PreferredStockMember2022-01-012022-09-300001614806us-gaap:SeriesAPreferredStockMember2022-07-012022-09-300001614806us-gaap:SeriesBPreferredStockMemberus-gaap:PreferredStockMember2022-01-012022-09-300001614806us-gaap:SeriesBPreferredStockMember2022-07-012022-09-3000016148062020-06-300001614806us-gaap:PutOptionMember2022-09-300001614806us-gaap:PutOptionMember2020-06-300001614806us-gaap:ConvertibleNotesPayableMember2022-09-300001614806us-gaap:ConvertibleNotesPayableMember2021-12-310001614806us-gaap:CommonStockMemberus-gaap:ConvertibleNotesPayableMember2022-01-012022-09-300001614806us-gaap:ConvertibleNotesPayableMember2022-01-012022-09-300001614806us-gaap:CommonStockMemberus-gaap:ConvertibleNotesPayableMember2022-09-300001614806us-gaap:AdditionalPaidInCapitalMemberus-gaap:AccountingStandardsUpdate202006Member2021-12-310001614806us-gaap:AccountingStandardsUpdate202006Member2022-03-310001614806us-gaap:SeniorNotesMemberajx:A8875SeniorUnsecuredNotesDueSeptember2027Member2022-08-310001614806us-gaap:SeniorNotesMemberajx:A8875SeniorUnsecuredNotesDueSeptember2027Member2022-08-012022-08-310001614806us-gaap:SeniorNotesMemberajx:A8875SeniorUnsecuredNotesDueSeptember2027Member2022-09-30ajx:subsidiary0001614806ajx:ServicingAgreementMemberajx:GregoryFundingLLCMembersrt:MinimumMember2022-01-012022-09-300001614806ajx:ServicingAgreementMembersrt:MaximumMemberajx:GregoryFundingLLCMember2022-01-012022-09-300001614806ajx:ServicingAgreementMemberajx:GregoryFundingLLCMember2022-01-012022-09-300001614806ajx:ThetisAssetManagementLLCMemberajx:AmendedAndRestatedManagementAgreementMember2022-01-012022-09-300001614806us-gaap:RestrictedStockMemberajx:BoardOfDirectorsMember2022-01-012022-09-300001614806ajx:IndependentDirectorsMember2021-01-012021-12-310001614806ajx:IndependentDirectorsMember2022-01-012022-01-010001614806ajx:HeadsOfCompensationAndCorporateGovernanceCommitteesMember2021-01-012021-12-310001614806ajx:HeadsOfCompensationAndCorporateGovernanceCommitteesMember2022-01-012022-01-010001614806ajx:AuditCommitteeMember2021-01-012021-12-310001614806ajx:AuditCommitteeMember2022-01-012022-01-010001614806us-gaap:PutOptionMember2022-01-012022-09-300001614806srt:RevisionOfPriorPeriodReclassificationAdjustmentMember2021-12-312021-12-310001614806srt:RevisionOfPriorPeriodReclassificationAdjustmentMember2021-01-012021-09-300001614806us-gaap:PerformingFinancingReceivableMember2022-09-300001614806us-gaap:PerformingFinancingReceivableMember2021-12-310001614806us-gaap:NonperformingFinancingReceivableMember2022-09-300001614806us-gaap:NonperformingFinancingReceivableMember2021-12-310001614806ajx:SmallBalanceCommercialMortgageLoansMember2022-09-300001614806ajx:SmallBalanceCommercialMortgageLoansMember2021-12-310001614806ajx:RPLsHeldForSaleMember2022-09-300001614806ajx:RPLsHeldForSaleMember2021-12-3100016148062022-03-312022-03-310001614806us-gaap:PerformingFinancingReceivableMember2022-07-012022-09-30ajx:loan0001614806us-gaap:PerformingFinancingReceivableMember2022-01-012022-09-300001614806us-gaap:PerformingFinancingReceivableMember2021-07-012021-09-300001614806us-gaap:PerformingFinancingReceivableMember2021-01-012021-09-300001614806us-gaap:NonperformingFinancingReceivableMember2022-07-012022-09-300001614806us-gaap:NonperformingFinancingReceivableMember2022-01-012022-09-300001614806us-gaap:NonperformingFinancingReceivableMember2021-07-012021-09-300001614806us-gaap:NonperformingFinancingReceivableMember2021-01-012021-09-300001614806ajx:NoncreditdeterioratedSmallBalanceCommercialMortgageLoansMember2022-01-012022-09-300001614806ajx:NoncreditdeterioratedSmallBalanceCommercialMortgageLoansMember2022-07-012022-09-300001614806ajx:NoncreditdeterioratedSmallBalanceCommercialMortgageLoansMember2021-07-012021-09-300001614806ajx:NoncreditdeterioratedSmallBalanceCommercialMortgageLoansMember2021-01-012021-09-300001614806ajx:AjaxMortgageLoanTrust2017DMember2021-01-012021-09-30ajx:loan_pool0001614806ajx:AjaxMortgageLoanTrust2017DMember2021-09-300001614806ajx:NonPCDLoansMember2021-12-3100016148062022-01-012022-01-0100016148062022-01-010001614806ajx:GAOP7f7GreaterThan50Member2022-09-300001614806ajx:GAOP7f7LessThan50Member2022-09-300001614806ajx:GAOP6f6Member2022-09-300001614806ajx:GreatAjaxIIREIT7f7GreaterThan50Member2022-09-300001614806ajx:GreatAjaxIIREIT7f7LessThan50Member2022-09-300001614806ajx:GreatAjaxIIREIT6f6Member2022-09-300001614806ajx:GreatAjaxIIREITMember2021-12-310001614806ajx:AjaxMortgageLoanTrust2021BMember2021-12-310001614806ajx:AjaxMortgageLoanTrust2019CMember2021-12-310001614806stpr:CA2021-12-310001614806ajx:A7f7AndBetterMember2021-12-310001614806ajx:A4f46f6AndBelowMember2021-12-310001614806ajx:A181LLCMember2021-12-310001614806ajx:NonPCDLoansMember2021-12-310001614806ajx:AjaxNTrustMemberajx:MortgageLoansHeldForSaleMember2021-12-310001614806ajx:MortgageLoansHeldForSaleMember2021-12-310001614806ajx:PCDLoansMember2022-07-012022-09-300001614806ajx:NonPCDLoansMember2022-07-012022-09-300001614806ajx:PCDLoansMember2021-07-012021-09-300001614806ajx:NonPCDLoansMember2021-07-012021-09-300001614806ajx:PCDLoansMember2022-01-012022-09-300001614806ajx:NonPCDLoansMember2022-01-012022-09-300001614806ajx:PCDLoansMember2021-01-012021-09-300001614806ajx:NonPCDLoansMember2021-01-012021-09-300001614806us-gaap:FinancialAssetNotPastDueMemberajx:GAOP7f7GreaterThan50Member2022-09-300001614806us-gaap:FinancingReceivables30To59DaysPastDueMemberajx:GAOP7f7GreaterThan50Member2022-09-300001614806us-gaap:FinancingReceivables60To89DaysPastDueMemberajx:GAOP7f7GreaterThan50Member2022-09-300001614806ajx:GAOP7f7GreaterThan50Memberus-gaap:FinancingReceivablesEqualToGreaterThan90DaysPastDueMember2022-09-300001614806ajx:FinancialAssetForeclosureMemberajx:GAOP7f7GreaterThan50Member2022-09-300001614806us-gaap:FinancialAssetNotPastDueMemberajx:GAOP7f7LessThan50Member2022-09-300001614806us-gaap:FinancingReceivables30To59DaysPastDueMemberajx:GAOP7f7LessThan50Member2022-09-300001614806us-gaap:FinancingReceivables60To89DaysPastDueMemberajx:GAOP7f7LessThan50Member2022-09-300001614806ajx:GAOP7f7LessThan50Memberus-gaap:FinancingReceivablesEqualToGreaterThan90DaysPastDueMember2022-09-300001614806ajx:FinancialAssetForeclosureMemberajx:GAOP7f7LessThan50Member2022-09-300001614806us-gaap:FinancialAssetNotPastDueMemberajx:GAOP6f6Member2022-09-300001614806us-gaap:FinancingReceivables30To59DaysPastDueMemberajx:GAOP6f6Member2022-09-300001614806us-gaap:FinancingReceivables60To89DaysPastDueMemberajx:GAOP6f6Member2022-09-300001614806us-gaap:FinancingReceivablesEqualToGreaterThan90DaysPastDueMemberajx:GAOP6f6Member2022-09-300001614806ajx:FinancialAssetForeclosureMemberajx:GAOP6f6Member2022-09-300001614806us-gaap:FinancialAssetNotPastDueMemberajx:GreatAJAXREIT7f7GreaterThan50Member2022-09-300001614806us-gaap:FinancingReceivables30To59DaysPastDueMemberajx:GreatAJAXREIT7f7GreaterThan50Member2022-09-300001614806us-gaap:FinancingReceivables60To89DaysPastDueMemberajx:GreatAJAXREIT7f7GreaterThan50Member2022-09-300001614806us-gaap:FinancingReceivablesEqualToGreaterThan90DaysPastDueMemberajx:GreatAJAXREIT7f7GreaterThan50Member2022-09-300001614806ajx:FinancialAssetForeclosureMemberajx:GreatAJAXREIT7f7GreaterThan50Member2022-09-300001614806ajx:GreatAJAXREIT7f7GreaterThan50Member2022-09-300001614806us-gaap:FinancialAssetNotPastDueMemberajx:GreatAJAXREIT7f7LessThan50Member2022-09-300001614806ajx:GreatAJAXREIT7f7LessThan50Memberus-gaap:FinancingReceivables30To59DaysPastDueMember2022-09-300001614806us-gaap:FinancingReceivables60To89DaysPastDueMemberajx:GreatAJAXREIT7f7LessThan50Member2022-09-300001614806ajx:GreatAJAXREIT7f7LessThan50Memberus-gaap:FinancingReceivablesEqualToGreaterThan90DaysPastDueMember2022-09-300001614806ajx:GreatAJAXREIT7f7LessThan50Memberajx:FinancialAssetForeclosureMember2022-09-300001614806ajx:GreatAJAXREIT7f7LessThan50Member2022-09-300001614806ajx:GreatAJAXREIT6f6AndBelowMemberus-gaap:FinancialAssetNotPastDueMember2022-09-300001614806ajx:GreatAJAXREIT6f6AndBelowMemberus-gaap:FinancingReceivables30To59DaysPastDueMember2022-09-300001614806ajx:GreatAJAXREIT6f6AndBelowMemberus-gaap:FinancingReceivables60To89DaysPastDueMember2022-09-300001614806ajx:GreatAJAXREIT6f6AndBelowMemberus-gaap:FinancingReceivablesEqualToGreaterThan90DaysPastDueMember2022-09-300001614806ajx:GreatAJAXREIT6f6AndBelowMemberajx:FinancialAssetForeclosureMember2022-09-300001614806ajx:GreatAJAXREIT6f6AndBelowMember2022-09-300001614806us-gaap:FinancialAssetNotPastDueMember2022-09-300001614806us-gaap:FinancingReceivables30To59DaysPastDueMember2022-09-300001614806us-gaap:FinancingReceivables60To89DaysPastDueMember2022-09-300001614806us-gaap:FinancingReceivablesEqualToGreaterThan90DaysPastDueMember2022-09-300001614806ajx:FinancialAssetForeclosureMember2022-09-300001614806us-gaap:FinancialAssetNotPastDueMemberajx:GreatAjaxIIREITMember2021-12-310001614806us-gaap:FinancingReceivables30To59DaysPastDueMemberajx:GreatAjaxIIREITMember2021-12-310001614806us-gaap:FinancingReceivables60To89DaysPastDueMemberajx:GreatAjaxIIREITMember2021-12-310001614806ajx:GreatAjaxIIREITMemberus-gaap:FinancingReceivablesEqualToGreaterThan90DaysPastDueMember2021-12-310001614806ajx:FinancialAssetForeclosureMemberajx:GreatAjaxIIREITMember2021-12-310001614806us-gaap:FinancialAssetNotPastDueMemberajx:AjaxMortgageLoanTrust2021BMember2021-12-310001614806us-gaap:FinancingReceivables30To59DaysPastDueMemberajx:AjaxMortgageLoanTrust2021BMember2021-12-310001614806us-gaap:FinancingReceivables60To89DaysPastDueMemberajx:AjaxMortgageLoanTrust2021BMember2021-12-310001614806us-gaap:FinancingReceivablesEqualToGreaterThan90DaysPastDueMemberajx:AjaxMortgageLoanTrust2021BMember2021-12-310001614806ajx:FinancialAssetForeclosureMemberajx:AjaxMortgageLoanTrust2021BMember2021-12-310001614806us-gaap:FinancialAssetNotPastDueMemberajx:AjaxMortgageLoanTrust2019CMember2021-12-310001614806ajx:AjaxMortgageLoanTrust2019CMemberus-gaap:FinancingReceivables30To59DaysPastDueMember2021-12-310001614806us-gaap:FinancingReceivables60To89DaysPastDueMemberajx:AjaxMortgageLoanTrust2019CMember2021-12-310001614806ajx:AjaxMortgageLoanTrust2019CMemberus-gaap:FinancingReceivablesEqualToGreaterThan90DaysPastDueMember2021-12-310001614806ajx:FinancialAssetForeclosureMemberajx:AjaxMortgageLoanTrust2019CMember2021-12-310001614806stpr:CAus-gaap:FinancialAssetNotPastDueMember2021-12-310001614806stpr:CAus-gaap:FinancingReceivables30To59DaysPastDueMember2021-12-310001614806stpr:CAus-gaap:FinancingReceivables60To89DaysPastDueMember2021-12-310001614806stpr:CAus-gaap:FinancingReceivablesEqualToGreaterThan90DaysPastDueMember2021-12-310001614806stpr:CAajx:FinancialAssetForeclosureMember2021-12-310001614806us-gaap:FinancialAssetNotPastDueMemberajx:A7f7AndBetterMember2021-12-310001614806us-gaap:FinancingReceivables30To59DaysPastDueMemberajx:A7f7AndBetterMember2021-12-310001614806us-gaap:FinancingReceivables60To89DaysPastDueMemberajx:A7f7AndBetterMember2021-12-310001614806us-gaap:FinancingReceivablesEqualToGreaterThan90DaysPastDueMemberajx:A7f7AndBetterMember2021-12-310001614806ajx:FinancialAssetForeclosureMemberajx:A7f7AndBetterMember2021-12-310001614806us-gaap:FinancialAssetNotPastDueMemberajx:A4f46f6AndBelowMember2021-12-310001614806us-gaap:FinancingReceivables30To59DaysPastDueMemberajx:A4f46f6AndBelowMember2021-12-310001614806us-gaap:FinancingReceivables60To89DaysPastDueMemberajx:A4f46f6AndBelowMember2021-12-310001614806us-gaap:FinancingReceivablesEqualToGreaterThan90DaysPastDueMemberajx:A4f46f6AndBelowMember2021-12-310001614806ajx:FinancialAssetForeclosureMemberajx:A4f46f6AndBelowMember2021-12-310001614806ajx:A181LLCMemberus-gaap:FinancialAssetNotPastDueMember2021-12-310001614806ajx:A181LLCMemberus-gaap:FinancingReceivables30To59DaysPastDueMember2021-12-310001614806ajx:A181LLCMemberus-gaap:FinancingReceivables60To89DaysPastDueMember2021-12-310001614806ajx:A181LLCMemberus-gaap:FinancingReceivablesEqualToGreaterThan90DaysPastDueMember2021-12-310001614806ajx:A181LLCMemberajx:FinancialAssetForeclosureMember2021-12-310001614806us-gaap:FinancialAssetNotPastDueMemberajx:NonPCDLoansMember2021-12-310001614806us-gaap:FinancingReceivables30To59DaysPastDueMemberajx:NonPCDLoansMember2021-12-310001614806us-gaap:FinancingReceivables60To89DaysPastDueMemberajx:NonPCDLoansMember2021-12-310001614806us-gaap:FinancingReceivablesEqualToGreaterThan90DaysPastDueMemberajx:NonPCDLoansMember2021-12-310001614806ajx:FinancialAssetForeclosureMemberajx:NonPCDLoansMember2021-12-310001614806us-gaap:FinancialAssetNotPastDueMember2021-12-310001614806us-gaap:FinancingReceivables30To59DaysPastDueMember2021-12-310001614806us-gaap:FinancingReceivables60To89DaysPastDueMember2021-12-310001614806us-gaap:FinancingReceivablesEqualToGreaterThan90DaysPastDueMember2021-12-310001614806ajx:FinancialAssetForeclosureMember2021-12-310001614806us-gaap:FinancialAssetNotPastDueMemberajx:AjaxNTrustMemberajx:MortgageLoansHeldForSaleMember2021-12-310001614806ajx:AjaxNTrustMemberus-gaap:FinancingReceivables30To59DaysPastDueMemberajx:MortgageLoansHeldForSaleMember2021-12-310001614806us-gaap:FinancingReceivables60To89DaysPastDueMemberajx:AjaxNTrustMemberajx:MortgageLoansHeldForSaleMember2021-12-310001614806ajx:AjaxNTrustMemberus-gaap:FinancingReceivablesEqualToGreaterThan90DaysPastDueMemberajx:MortgageLoansHeldForSaleMember2021-12-310001614806ajx:FinancialAssetForeclosureMemberajx:AjaxNTrustMemberajx:MortgageLoansHeldForSaleMember2021-12-310001614806us-gaap:FinancialAssetNotPastDueMemberajx:MortgageLoansHeldForSaleMember2021-12-310001614806us-gaap:FinancingReceivables30To59DaysPastDueMemberajx:MortgageLoansHeldForSaleMember2021-12-310001614806us-gaap:FinancingReceivables60To89DaysPastDueMemberajx:MortgageLoansHeldForSaleMember2021-12-310001614806us-gaap:FinancingReceivablesEqualToGreaterThan90DaysPastDueMemberajx:MortgageLoansHeldForSaleMember2021-12-310001614806ajx:FinancialAssetForeclosureMemberajx:MortgageLoansHeldForSaleMember2021-12-31ajx:property00016148062021-01-012021-12-310001614806us-gaap:OtherIncomeMember2022-01-012022-09-300001614806us-gaap:OtherIncomeMember2022-07-012022-09-300001614806us-gaap:OtherIncomeMember2021-07-012021-09-300001614806us-gaap:OtherIncomeMember2021-01-012021-09-300001614806us-gaap:DebtSecuritiesMember2022-09-300001614806ajx:BeneficialinterestsMember2022-09-300001614806us-gaap:DebtSecuritiesMember2021-12-310001614806ajx:BeneficialinterestsMember2021-12-310001614806ajx:DebtSecuritiesDueNovember2051Member2022-09-300001614806ajx:DebtSecuritiesDueSeptember2059Member2022-09-300001614806ajx:DebtSecuritiesDueNovember2059Member2022-09-300001614806ajx:DebtSecuritiesDueDecember2059Member2022-09-300001614806ajx:DebtSecuritiesDueMarch2060Member2022-09-300001614806ajx:DebtSecuritiesDueJune2060Member2022-09-300001614806ajx:DebtSecuritiesDueDecember2060Member2022-09-300001614806ajx:DebtSecuritiesDueJanuary2061Member2022-09-300001614806ajx:DebtSecuritiesDueJune2061Member2022-09-300001614806ajx:DebtSecuritiesDueOctober2061Member2022-09-300001614806ajx:DebtSecuritiesDueMarch2062Member2022-09-300001614806ajx:DebtSecuritiesBasisMember2022-09-300001614806ajx:DebtSecuritiesGrossUnrealizedGainLossesMember2022-09-300001614806ajx:DebtSecuritiesCarryingValueMember2022-09-300001614806ajx:DebtSecuritiesDueSeptember2059OneMember2022-09-300001614806ajx:DebtSecuritiesDueSeptember2059TwoMember2022-09-300001614806ajx:DebtSecuritiesDueJune2061SecurityOneMember2022-09-300001614806ajx:DebtSecuritiesDueJune2061SecurityTwoMember2022-09-300001614806ajx:DebtSecuritiesDueNovember2051Member2021-12-310001614806ajx:DebtSecuritiesDueJune2057Member2021-12-310001614806ajx:DebtSecuritiesDueSeptember2059Member2021-12-310001614806ajx:DebtSecuritiesDueDecember2059Member2021-12-310001614806ajx:DebtSecuritiesDueMarch2060Member2021-12-310001614806ajx:DebtSecuritiesDueJanuary2061Member2021-12-310001614806ajx:DebtSecuritiesDueJune2061Member2021-12-310001614806ajx:DebtSecuritiesBasisMember2021-12-310001614806ajx:DebtSecuritiesGrossUnrealizedGainLossesMember2021-12-310001614806ajx:DebtSecuritiesCarryingValueMember2021-12-310001614806ajx:DebtSecuritiesDueJune2061SecurityOneMember2021-12-310001614806ajx:DebtSecuritiesDueJune2061SecurityTwoMember2021-12-310001614806ajx:InvestmentsInSecuritiesMember2022-09-300001614806ajx:InvestmentsInSecuritiesMember2021-12-310001614806ajx:AjaxMortgageLoanTrust2022AMember2022-09-300001614806ajx:AjaxMortgageLoanTrust2022AMember2022-01-012022-09-300001614806us-gaap:FinancingReceivables60To89DaysPastDueMemberajx:AjaxMortgageLoanTrust2022AMember2022-01-012022-09-300001614806ajx:AjaxMortgageLoanTrust2022BMember2022-09-300001614806ajx:AjaxMortgageLoanTrust2022BMember2022-01-012022-09-300001614806us-gaap:SeniorNotesMember2021-07-012021-09-300001614806us-gaap:SeniorNotesMember2021-01-012021-09-300001614806us-gaap:SubordinatedDebtMember2021-07-012021-09-300001614806us-gaap:SubordinatedDebtMember2021-01-012021-09-300001614806ajx:BeneficialinterestsMember2021-07-012021-09-300001614806ajx:BeneficialinterestsMember2021-01-012021-09-300001614806us-gaap:SeniorNotesMember2022-07-012022-09-300001614806us-gaap:SeniorNotesMember2022-01-012022-09-300001614806ajx:BeneficialinterestsMember2022-07-012022-09-300001614806ajx:BeneficialinterestsMember2022-01-012022-09-300001614806us-gaap:CarryingReportedAmountFairValueDisclosureMemberus-gaap:FairValueMeasurementsRecurringMember2022-09-300001614806us-gaap:FairValueInputsLevel1Memberus-gaap:FairValueMeasurementsRecurringMember2022-09-300001614806us-gaap:FairValueInputsLevel2Memberus-gaap:FairValueMeasurementsRecurringMember2022-09-300001614806us-gaap:FairValueInputsLevel3Memberus-gaap:FairValueMeasurementsRecurringMember2022-09-300001614806us-gaap:CarryingReportedAmountFairValueDisclosureMemberus-gaap:FairValueMeasurementsRecurringMember2021-12-310001614806us-gaap:FairValueInputsLevel1Memberus-gaap:FairValueMeasurementsRecurringMember2021-12-310001614806us-gaap:FairValueInputsLevel2Memberus-gaap:FairValueMeasurementsRecurringMember2021-12-310001614806us-gaap:FairValueInputsLevel3Memberus-gaap:FairValueMeasurementsRecurringMember2021-12-310001614806us-gaap:CarryingReportedAmountFairValueDisclosureMember2022-09-300001614806us-gaap:FairValueInputsLevel1Member2022-09-300001614806us-gaap:FairValueInputsLevel2Member2022-09-300001614806us-gaap:FairValueInputsLevel3Member2022-09-300001614806ajx:BeneficialinterestsMemberus-gaap:CarryingReportedAmountFairValueDisclosureMember2022-09-300001614806us-gaap:FairValueInputsLevel1Memberajx:BeneficialinterestsMember2022-09-300001614806ajx:BeneficialinterestsMemberus-gaap:FairValueInputsLevel2Member2022-09-300001614806us-gaap:FairValueInputsLevel3Memberajx:BeneficialinterestsMember2022-09-300001614806us-gaap:CarryingReportedAmountFairValueDisclosureMemberajx:ManagerMember2022-09-300001614806us-gaap:FairValueInputsLevel1Memberajx:ManagerMember2022-09-300001614806us-gaap:FairValueInputsLevel2Memberajx:ManagerMember2022-09-300001614806us-gaap:FairValueInputsLevel3Memberajx:ManagerMember2022-09-300001614806us-gaap:CarryingReportedAmountFairValueDisclosureMemberajx:ASAjaxEMember2022-09-300001614806us-gaap:FairValueInputsLevel1Memberajx:ASAjaxEMember2022-09-300001614806us-gaap:FairValueInputsLevel2Memberajx:ASAjaxEMember2022-09-300001614806us-gaap:FairValueInputsLevel3Memberajx:ASAjaxEMember2022-09-300001614806us-gaap:CarryingReportedAmountFairValueDisclosureMemberajx:ASAjaxEIILLCMember2022-09-300001614806us-gaap:FairValueInputsLevel1Memberajx:ASAjaxEIILLCMember2022-09-300001614806us-gaap:FairValueInputsLevel2Memberajx:ASAjaxEIILLCMember2022-09-300001614806us-gaap:FairValueInputsLevel3Memberajx:ASAjaxEIILLCMember2022-09-300001614806ajx:GreatAjaxFSMemberus-gaap:CarryingReportedAmountFairValueDisclosureMember2022-09-300001614806ajx:GreatAjaxFSMemberus-gaap:FairValueInputsLevel1Member2022-09-300001614806ajx:GreatAjaxFSMemberus-gaap:FairValueInputsLevel2Member2022-09-300001614806ajx:GreatAjaxFSMemberus-gaap:FairValueInputsLevel3Member2022-09-300001614806us-gaap:CarryingReportedAmountFairValueDisclosureMemberajx:GaeaMember2022-09-300001614806us-gaap:FairValueInputsLevel1Memberajx:GaeaMember2022-09-300001614806us-gaap:FairValueInputsLevel2Memberajx:GaeaMember2022-09-300001614806us-gaap:FairValueInputsLevel3Memberajx:GaeaMember2022-09-300001614806ajx:LoanPoolLLCsMemberus-gaap:CarryingReportedAmountFairValueDisclosureMember2022-09-300001614806us-gaap:FairValueInputsLevel1Memberajx:LoanPoolLLCsMember2022-09-300001614806us-gaap:FairValueInputsLevel2Memberajx:LoanPoolLLCsMember2022-09-300001614806us-gaap:FairValueInputsLevel3Memberajx:LoanPoolLLCsMember2022-09-300001614806us-gaap:CarryingReportedAmountFairValueDisclosureMember2021-12-310001614806us-gaap:FairValueInputsLevel1Member2021-12-310001614806us-gaap:FairValueInputsLevel2Member2021-12-310001614806us-gaap:FairValueInputsLevel3Member2021-12-310001614806ajx:BeneficialinterestsMemberus-gaap:CarryingReportedAmountFairValueDisclosureMember2021-12-310001614806us-gaap:FairValueInputsLevel1Memberajx:BeneficialinterestsMember2021-12-310001614806ajx:BeneficialinterestsMemberus-gaap:FairValueInputsLevel2Member2021-12-310001614806us-gaap:FairValueInputsLevel3Memberajx:BeneficialinterestsMember2021-12-310001614806us-gaap:CarryingReportedAmountFairValueDisclosureMemberajx:ManagerMember2021-12-310001614806us-gaap:FairValueInputsLevel1Memberajx:ManagerMember2021-12-310001614806us-gaap:FairValueInputsLevel2Memberajx:ManagerMember2021-12-310001614806us-gaap:FairValueInputsLevel3Memberajx:ManagerMember2021-12-310001614806us-gaap:CarryingReportedAmountFairValueDisclosureMemberajx:ASAjaxEMember2021-12-310001614806us-gaap:FairValueInputsLevel1Memberajx:ASAjaxEMember2021-12-310001614806us-gaap:FairValueInputsLevel2Memberajx:ASAjaxEMember2021-12-310001614806us-gaap:FairValueInputsLevel3Memberajx:ASAjaxEMember2021-12-310001614806us-gaap:CarryingReportedAmountFairValueDisclosureMemberajx:ASAjaxEIILLCMember2021-12-310001614806us-gaap:FairValueInputsLevel1Memberajx:ASAjaxEIILLCMember2021-12-310001614806us-gaap:FairValueInputsLevel2Memberajx:ASAjaxEIILLCMember2021-12-310001614806us-gaap:FairValueInputsLevel3Memberajx:ASAjaxEIILLCMember2021-12-310001614806ajx:GreatAjaxFSMemberus-gaap:CarryingReportedAmountFairValueDisclosureMember2021-12-310001614806ajx:GreatAjaxFSMemberus-gaap:FairValueInputsLevel1Member2021-12-310001614806ajx:GreatAjaxFSMemberus-gaap:FairValueInputsLevel2Member2021-12-310001614806ajx:GreatAjaxFSMemberus-gaap:FairValueInputsLevel3Member2021-12-310001614806us-gaap:CarryingReportedAmountFairValueDisclosureMemberajx:GaeaMember2021-12-310001614806us-gaap:FairValueInputsLevel1Memberajx:GaeaMember2021-12-310001614806us-gaap:FairValueInputsLevel2Memberajx:GaeaMember2021-12-310001614806us-gaap:FairValueInputsLevel3Memberajx:GaeaMember2021-12-310001614806ajx:LoanPoolLLCsMemberus-gaap:CarryingReportedAmountFairValueDisclosureMember2021-12-310001614806us-gaap:FairValueInputsLevel1Memberajx:LoanPoolLLCsMember2021-12-310001614806us-gaap:FairValueInputsLevel2Memberajx:LoanPoolLLCsMember2021-12-310001614806us-gaap:FairValueInputsLevel3Memberajx:LoanPoolLLCsMember2021-12-310001614806us-gaap:ChangeDuringPeriodFairValueDisclosureMember2022-09-300001614806us-gaap:ChangeDuringPeriodFairValueDisclosureMember2021-12-31ajx:affiliate0001614806ajx:ThetisAssetManagementLLCMember2021-12-310001614806ajx:GreatAjaxFinancialServicesLLCMemberajx:GreatAjaxFinancialServicesLLCMember2021-12-310001614806ajx:GaeaMember2021-12-310001614806ajx:AsAjaxELlcMember2021-12-310001614806ajx:AsAjaxELlcMember2022-09-300001614806ajx:AsAjaxELlcMemberajx:AjaxEMasterTrustMember2021-12-310001614806ajx:LoanPoolLLCsMember2021-12-310001614806ajx:LoanPoolLLCsMember2022-09-300001614806ajx:UnconsolidatedAffiliatesMember2021-09-300001614806ajx:UnconsolidatedAffiliatesMember2022-09-300001614806ajx:UnconsolidatedAffiliatesMember2021-12-310001614806ajx:AsAjaxELlcMember2022-07-012022-09-300001614806ajx:AsAjaxELlcMember2021-07-012021-09-300001614806ajx:AsAjaxELlcMember2022-01-012022-09-300001614806ajx:AsAjaxELlcMember2021-01-012021-09-300001614806ajx:LoanPoolLLCsMember2022-07-012022-09-300001614806ajx:LoanPoolLLCsMember2021-07-012021-09-300001614806ajx:LoanPoolLLCsMember2022-01-012022-09-300001614806ajx:LoanPoolLLCsMember2021-01-012021-09-300001614806ajx:ThetisAssetManagementLLCMember2022-07-012022-09-300001614806ajx:ThetisAssetManagementLLCMember2021-07-012021-09-300001614806ajx:ThetisAssetManagementLLCMember2022-01-012022-09-300001614806ajx:ThetisAssetManagementLLCMember2021-01-012021-09-300001614806ajx:GaeaMember2022-07-012022-09-300001614806ajx:GaeaMember2021-07-012021-09-300001614806ajx:GaeaMember2022-01-012022-09-300001614806ajx:GaeaMember2021-01-012021-09-300001614806ajx:GreatAjaxFinancialServicesLLCMember2022-07-012022-09-300001614806ajx:GreatAjaxFinancialServicesLLCMember2021-07-012021-09-300001614806ajx:GreatAjaxFinancialServicesLLCMember2022-01-012022-09-300001614806ajx:GreatAjaxFinancialServicesLLCMember2021-01-012021-09-300001614806ajx:AsAjaxELlcMemberus-gaap:AssetsTotalMember2022-09-300001614806ajx:AsAjaxELlcMemberus-gaap:LiabilitiesTotalMember2022-09-300001614806ajx:AsAjaxELlcMemberus-gaap:AssetsTotalMember2021-12-310001614806ajx:AsAjaxELlcMemberus-gaap:LiabilitiesTotalMember2021-12-310001614806ajx:LoanPoolLLCsMemberus-gaap:AssetsTotalMember2022-09-300001614806ajx:LoanPoolLLCsMemberus-gaap:LiabilitiesTotalMember2022-09-300001614806ajx:LoanPoolLLCsMemberus-gaap:AssetsTotalMember2021-12-310001614806ajx:LoanPoolLLCsMemberus-gaap:LiabilitiesTotalMember2021-12-310001614806us-gaap:AssetsTotalMemberajx:ThetisAssetManagementLLCMember2022-09-300001614806ajx:ThetisAssetManagementLLCMemberus-gaap:LiabilitiesTotalMember2022-09-300001614806us-gaap:AssetsTotalMemberajx:ThetisAssetManagementLLCMember2021-12-310001614806ajx:ThetisAssetManagementLLCMemberus-gaap:LiabilitiesTotalMember2021-12-310001614806us-gaap:AssetsTotalMemberajx:GaeaMember2022-09-300001614806us-gaap:LiabilitiesTotalMemberajx:GaeaMember2022-09-300001614806us-gaap:AssetsTotalMemberajx:GaeaMember2021-12-310001614806us-gaap:LiabilitiesTotalMemberajx:GaeaMember2021-12-310001614806us-gaap:AssetsTotalMemberajx:GreatAjaxFinancialServicesLLCMember2022-09-300001614806us-gaap:LiabilitiesTotalMemberajx:GreatAjaxFinancialServicesLLCMember2022-09-300001614806us-gaap:AssetsTotalMemberajx:GreatAjaxFinancialServicesLLCMember2021-12-310001614806us-gaap:LiabilitiesTotalMemberajx:GreatAjaxFinancialServicesLLCMember2021-12-310001614806ajx:AsAjaxELlcMember2022-09-300001614806ajx:AsAjaxELlcMember2021-12-310001614806ajx:LoanPoolLLCsMember2022-09-300001614806ajx:LoanPoolLLCsMember2021-12-310001614806ajx:ThetisAssetManagementLLCMember2022-09-300001614806ajx:ThetisAssetManagementLLCMember2021-12-310001614806ajx:GaeaMember2022-09-300001614806ajx:GaeaMember2021-12-310001614806ajx:GreatAjaxFinancialServicesLLCMember2022-09-300001614806ajx:GreatAjaxFinancialServicesLLCMember2021-12-310001614806ajx:ReperformingMortgageLoansOnRealEstateMemberajx:SingleAndOneToFourFamilyResidencesMemberus-gaap:PurchaseCommitmentMember2022-01-012022-09-300001614806us-gaap:PreferredStockMember2022-07-012022-09-300001614806us-gaap:PreferredStockMember2022-01-012022-09-300001614806ajx:FiveYearWarrantsMember2022-06-300001614806ajx:FiveYearWarrantsMember2021-06-300001614806ajx:FiveYearWarrantsMember2021-12-310001614806ajx:FiveYearWarrantsMember2020-12-310001614806ajx:FiveYearWarrantsMember2022-07-012022-09-300001614806ajx:FiveYearWarrantsMember2021-07-012021-09-300001614806ajx:FiveYearWarrantsMember2022-01-012022-09-300001614806ajx:FiveYearWarrantsMember2021-01-012021-09-300001614806ajx:FiveYearWarrantsMember2022-09-300001614806ajx:FiveYearWarrantsMember2021-09-300001614806us-gaap:MortgagesMemberajx:RepurchaseAgreementMemberajx:DelawareTrustMember2022-01-012022-09-30ajx:facilityajx:trustajx:counterparty0001614806us-gaap:MortgagesMemberajx:RepurchaseAgreementMemberajx:DelawareTrustMember2022-09-300001614806ajx:RepurchaseAgreementMemberajx:MortgagesOneMemberajx:DelawareTrustMember2022-09-300001614806us-gaap:MortgagesMemberajx:RepurchaseAgreementMemberajx:DelawareTrustMembersrt:MinimumMember2022-01-012022-09-300001614806us-gaap:MortgagesMemberajx:RepurchaseAgreementMembersrt:MaximumMemberajx:DelawareTrustMember2022-01-012022-09-300001614806ajx:RepurchaseAgreementMemberajx:DelawareTrustMemberus-gaap:BondsMember2022-01-012022-09-300001614806ajx:RepurchaseAgreementMemberajx:BarclaysMemberus-gaap:BondsMember2022-09-300001614806ajx:ABondMaturityOctober32022Memberajx:RepurchaseAgreementMemberajx:BarclaysMemberus-gaap:BondsMember2022-09-300001614806ajx:RepurchaseAgreementMemberajx:BarclaysMemberajx:ABondMaturityOctober72022Memberus-gaap:BondsMember2022-09-300001614806ajx:RepurchaseAgreementMemberajx:BarclaysMemberajx:ABondMaturityOctober212022Memberus-gaap:BondsMember2022-09-300001614806ajx:RepurchaseAgreementMemberajx:BarclaysMemberajx:BBondMaturityOctober32022Memberus-gaap:BondsMember2022-09-300001614806ajx:RepurchaseAgreementMemberajx:BarclaysMemberajx:BBondMaturityOctober212022Memberus-gaap:BondsMember2022-09-300001614806ajx:MBondMaturityOctober72022Memberajx:RepurchaseAgreementMemberajx:BarclaysMemberus-gaap:BondsMember2022-09-300001614806ajx:RepurchaseAgreementMemberajx:BarclaysMemberajx:MBondMaturityOctober212022Memberus-gaap:BondsMember2022-09-300001614806ajx:NomuraMemberajx:RepurchaseAgreementMemberus-gaap:LongTermDebtMember2022-09-300001614806ajx:NomuraMemberajx:RepurchaseAgreementMemberus-gaap:BondsMember2022-09-300001614806ajx:NomuraMemberajx:RepurchaseAgreementMemberajx:ABondMaturityOctober122022Memberus-gaap:BondsMember2022-09-300001614806ajx:NomuraMemberajx:ABondMaturityNovember182022Memberajx:RepurchaseAgreementMemberus-gaap:BondsMember2022-09-300001614806ajx:NomuraMemberajx:RepurchaseAgreementMemberajx:ABondMaturityDecember162022Memberus-gaap:BondsMember2022-09-300001614806ajx:NomuraMemberajx:ABondMaturityDecember232022Memberajx:RepurchaseAgreementMemberus-gaap:BondsMember2022-09-300001614806ajx:NomuraMemberajx:BBondMaturityNovember142022Memberajx:RepurchaseAgreementMemberus-gaap:BondsMember2022-09-300001614806ajx:BBondMaturityNovember232022Memberajx:NomuraMemberajx:RepurchaseAgreementMemberus-gaap:BondsMember2022-09-300001614806ajx:NomuraMemberajx:RepurchaseAgreementMemberus-gaap:BondsMemberajx:BBondMaturityDecember162022Member2022-09-300001614806ajx:NomuraMemberajx:BBondMaturityDecember232022Memberajx:RepurchaseAgreementMemberus-gaap:BondsMember2022-09-300001614806ajx:RepurchaseAgreementMemberajx:GoldmanSachsMemberus-gaap:BondsMember2022-09-300001614806ajx:RepurchaseAgreementMemberajx:GoldmanSachsMemberus-gaap:BondsMemberajx:ABondMaturityOctober142022Member2022-09-300001614806ajx:RepurchaseAgreementMemberajx:JPMorganMemberus-gaap:BondsMember2022-09-300001614806ajx:RepurchaseAgreementMemberajx:ABondMaturityDecember62022Memberajx:JPMorganMemberus-gaap:BondsMember2022-09-300001614806ajx:RepurchaseAgreementMemberajx:ABondMaturityDecember72022Memberajx:JPMorganMemberus-gaap:BondsMember2022-09-300001614806ajx:RepurchaseAgreementMemberajx:ABondMaturityMarch242023Memberajx:JPMorganMemberus-gaap:BondsMember2022-09-300001614806ajx:BBondMaturityNovember42022Memberajx:RepurchaseAgreementMemberajx:JPMorganMemberus-gaap:BondsMember2022-09-300001614806ajx:RepurchaseAgreementMemberajx:BBondMaturityDecember62022Memberajx:JPMorganMemberus-gaap:BondsMember2022-09-300001614806ajx:RepurchaseAgreementMemberajx:MBondMaturityOctober142022Memberajx:JPMorganMemberus-gaap:BondsMember2022-09-300001614806ajx:RepurchaseAgreementMemberajx:MBondMaturityDecember72022Memberajx:JPMorganMemberus-gaap:BondsMember2022-09-300001614806ajx:RepurchaseAgreementMemberus-gaap:LongTermDebtMemberajx:JPMorganMember2022-09-300001614806ajx:RepurchaseAgreementMember2022-09-300001614806ajx:RepurchaseAgreementMemberajx:BarclaysMemberus-gaap:BondsMember2021-12-310001614806ajx:RepurchaseAgreementMemberajx:BarclaysMemberajx:ABondMaturityMarch82022Memberus-gaap:BondsMember2021-12-310001614806ajx:RepurchaseAgreementMemberajx:BarclaysMemberus-gaap:BondsMemberajx:ABondMaturityMarch162022Member2021-12-310001614806ajx:RepurchaseAgreementMemberajx:BarclaysMemberajx:ABondMaturityMarch212022Memberus-gaap:BondsMember2021-12-310001614806ajx:RepurchaseAgreementMemberajx:BarclaysMemberus-gaap:BondsMemberajx:ABondMaturityMarch222022Member2021-12-310001614806ajx:BBondMaturityMarch162022Memberajx:RepurchaseAgreementMemberajx:BarclaysMemberus-gaap:BondsMember2021-12-310001614806ajx:BBondMaturityMarch212022Memberajx:RepurchaseAgreementMemberajx:BarclaysMemberus-gaap:BondsMember2021-12-310001614806ajx:RepurchaseAgreementMemberajx:BarclaysMemberajx:BBondMaturityMarch222022Memberus-gaap:BondsMember2021-12-310001614806ajx:MBondMaturityMarch222022Memberajx:RepurchaseAgreementMemberajx:BarclaysMemberus-gaap:BondsMember2021-12-310001614806ajx:NomuraMemberajx:RepurchaseAgreementMemberus-gaap:LongTermDebtMember2021-12-310001614806ajx:NomuraMemberajx:RepurchaseAgreementMemberus-gaap:BondsMember2021-12-310001614806ajx:NomuraMemberajx:RepurchaseAgreementMemberajx:ABondMaturityJanuary62022Memberus-gaap:BondsMember2021-12-310001614806ajx:NomuraMemberajx:RepurchaseAgreementMemberajx:ABondMaturityJanuary122022Memberus-gaap:BondsMember2021-12-310001614806ajx:NomuraMemberajx:RepurchaseAgreementMemberajx:ABondMaturityJanuary272022Memberus-gaap:BondsMember2021-12-310001614806ajx:NomuraMemberajx:RepurchaseAgreementMemberajx:ABondMaturityJanuary282022Memberus-gaap:BondsMember2021-12-310001614806ajx:ABondMaturityFebruary182022Memberajx:NomuraMemberajx:RepurchaseAgreementMemberus-gaap:BondsMember2021-12-310001614806ajx:NomuraMemberajx:RepurchaseAgreementMemberajx:ABondMaturityMarch172022Memberus-gaap:BondsMember2021-12-310001614806ajx:NomuraMemberajx:RepurchaseAgreementMemberajx:ABondMaturityMarch252022Memberus-gaap:BondsMember2021-12-310001614806ajx:NomuraMemberajx:BBondMaturityFebruary112022Memberajx:RepurchaseAgreementMemberus-gaap:BondsMember2021-12-310001614806ajx:NomuraMemberajx:RepurchaseAgreementMemberajx:BBondMaturityFebruary242022Memberus-gaap:BondsMember2021-12-310001614806ajx:NomuraMemberajx:RepurchaseAgreementMemberajx:BBondMaturityMarch172022Memberus-gaap:BondsMember2021-12-310001614806ajx:NomuraMemberajx:RepurchaseAgreementMemberajx:BBondMaturityMarch252022Memberus-gaap:BondsMember2021-12-310001614806ajx:RepurchaseAgreementMemberajx:GoldmanSachsMemberus-gaap:BondsMember2021-12-310001614806ajx:RepurchaseAgreementMemberajx:GoldmanSachsMemberus-gaap:BondsMemberajx:ABondMaturityJanuary142022Member2021-12-310001614806ajx:RepurchaseAgreementMemberajx:GoldmanSachsMemberajx:ABondMaturityJanuary202022Memberus-gaap:BondsMember2021-12-310001614806ajx:RepurchaseAgreementMemberajx:JPMorganMemberus-gaap:BondsMember2021-12-310001614806ajx:ABondMaturityApril12022Memberajx:RepurchaseAgreementMemberajx:JPMorganMemberus-gaap:BondsMember2021-12-310001614806ajx:ABondMaturityJune102022Memberajx:RepurchaseAgreementMemberajx:JPMorganMemberus-gaap:BondsMember2021-12-310001614806ajx:BBondMaturityJanuary132022Memberajx:RepurchaseAgreementMemberajx:JPMorganMemberus-gaap:BondsMember2021-12-310001614806ajx:BBondMaturityFebruary112022Memberajx:RepurchaseAgreementMemberajx:JPMorganMemberus-gaap:BondsMember2021-12-310001614806ajx:RepurchaseAgreementMemberajx:BBondMaturityJune102022Memberajx:JPMorganMemberus-gaap:BondsMember2021-12-310001614806ajx:RepurchaseAgreementMemberajx:JPMorganMemberajx:MBondMaturityApril192022Memberus-gaap:BondsMember2021-12-310001614806ajx:RepurchaseAgreementMemberus-gaap:LongTermDebtMemberajx:JPMorganMember2021-12-310001614806ajx:RepurchaseAgreementMember2021-12-31ajx:securitization0001614806us-gaap:MortgagesMemberajx:NonRatedSecuredBorrowingsMember2022-09-300001614806us-gaap:MortgagesMemberajx:RatedSecuredBorrowingsMember2022-09-300001614806ajx:AjaxMortgageLoanTrust2017DDecember2017Memberus-gaap:MortgagesMember2021-03-310001614806us-gaap:MortgagesMemberajx:AjaxMortgageLoanTrust2019DJuly2019Memberajx:ClassA1NotesMember2022-09-300001614806us-gaap:MortgagesMemberajx:ClassA2NotesMemberajx:AjaxMortgageLoanTrust2019DJuly2019Member2022-09-300001614806us-gaap:MortgagesMemberajx:AjaxMortgageLoanTrust2019DJuly2019Memberajx:ClassA3NotesMember2022-09-300001614806us-gaap:MortgagesMemberajx:AjaxMortgageLoanTrust2019DJuly2019Memberajx:ClassM1NotesMember2022-09-300001614806us-gaap:MortgagesMemberajx:AjaxMortgageLoanTrust2019DJuly2019Memberajx:ClassB1NotesMember2022-09-300001614806us-gaap:MortgagesMemberajx:AjaxMortgageLoanTrust2019DJuly2019Memberajx:ClassB2NotesMember2022-09-300001614806us-gaap:MortgagesMemberajx:AjaxMortgageLoanTrust2019DJuly2019Memberajx:ClassB3NotesMember2022-09-300001614806us-gaap:MortgagesMemberajx:AjaxMortgageLoanTrust2019DJuly2019Memberajx:DeferredExpensesMember2022-09-300001614806us-gaap:MortgagesMemberajx:ClassA1NotesMemberajx:AjaxMortgageLoanTrust2019FNovember2019Member2022-09-300001614806us-gaap:MortgagesMemberajx:ClassA2NotesMemberajx:AjaxMortgageLoanTrust2019FNovember2019Member2022-09-300001614806us-gaap:MortgagesMemberajx:ClassA3NotesMemberajx:AjaxMortgageLoanTrust2019FNovember2019Member2022-09-300001614806us-gaap:MortgagesMemberajx:ClassM1NotesMemberajx:AjaxMortgageLoanTrust2019FNovember2019Member2022-09-300001614806us-gaap:MortgagesMemberajx:ClassB1NotesMemberajx:AjaxMortgageLoanTrust2019FNovember2019Member2022-09-300001614806us-gaap:MortgagesMemberajx:ClassB2NotesMemberajx:AjaxMortgageLoanTrust2019FNovember2019Member2022-09-300001614806us-gaap:MortgagesMemberajx:ClassB3NotesMemberajx:AjaxMortgageLoanTrust2019FNovember2019Member2022-09-300001614806us-gaap:MortgagesMemberajx:DeferredExpensesMemberajx:AjaxMortgageLoanTrust2019FNovember2019Member2022-09-300001614806us-gaap:MortgagesMemberajx:ClassA1NotesMemberajx:AjaxMortgageLoanTrust2020BAugust2020Member2022-09-300001614806us-gaap:MortgagesMemberajx:ClassA2NotesMemberajx:AjaxMortgageLoanTrust2020BAugust2020Member2022-09-300001614806us-gaap:MortgagesMemberajx:ClassM1NotesMemberajx:AjaxMortgageLoanTrust2020BAugust2020Member2022-09-300001614806us-gaap:MortgagesMemberajx:AjaxMortgageLoanTrust2020BAugust2020Memberajx:ClassB1NotesMember2022-09-300001614806us-gaap:MortgagesMemberajx:ClassB2NotesMemberajx:AjaxMortgageLoanTrust2020BAugust2020Member2022-09-300001614806us-gaap:MortgagesMemberajx:AjaxMortgageLoanTrust2020BAugust2020Memberajx:ClassB3NotesMember2022-09-300001614806us-gaap:MortgagesMemberajx:DeferredExpensesMemberajx:AjaxMortgageLoanTrust2020BAugust2020Member2022-09-300001614806us-gaap:MortgagesMemberajx:ClassA1NotesMemberajx:AjaxMortgageLoanTrust2021AJanuary2021Member2022-09-300001614806us-gaap:MortgagesMemberajx:ClassA2NotesMemberajx:AjaxMortgageLoanTrust2021AJanuary2021Member2022-09-300001614806us-gaap:MortgagesMemberajx:ClassM1NotesMemberajx:AjaxMortgageLoanTrust2021AJanuary2021Member2022-09-300001614806us-gaap:MortgagesMemberajx:ClassB1NotesMemberajx:AjaxMortgageLoanTrust2021AJanuary2021Member2022-09-300001614806us-gaap:MortgagesMemberajx:ClassB2NotesMemberajx:AjaxMortgageLoanTrust2021AJanuary2021Member2022-09-300001614806us-gaap:MortgagesMemberajx:ClassB3NotesMemberajx:AjaxMortgageLoanTrust2021AJanuary2021Member2022-09-300001614806us-gaap:MortgagesMemberajx:DeferredExpensesMemberajx:AjaxMortgageLoanTrust2021AJanuary2021Member2022-09-300001614806us-gaap:MortgagesMemberajx:AjaxMortgageLoanTrust2021BFebruary2021Memberajx:ClassANotesMember2022-09-300001614806us-gaap:MortgagesMemberajx:AjaxMortgageLoanTrust2021BFebruary2021Memberajx:ClassBNotesMember2022-09-300001614806us-gaap:MortgagesMemberajx:DeferredExpensesMemberajx:AjaxMortgageLoanTrust2021BFebruary2021Member2022-09-300001614806us-gaap:MortgagesMemberajx:AjaxMortgageLoanTrust2019DMember2022-09-300001614806us-gaap:MortgagesMemberajx:AjaxMortgageLoanTrust2019DMember2021-12-310001614806us-gaap:MortgagesMemberajx:AjaxMortgageLoanTrust2019FMember2022-09-300001614806us-gaap:MortgagesMemberajx:AjaxMortgageLoanTrust2019FMember2021-12-310001614806us-gaap:MortgagesMemberajx:AjaxMortgageLoanTrust2020BMember2022-09-300001614806us-gaap:MortgagesMemberajx:AjaxMortgageLoanTrust2020BMember2021-12-310001614806us-gaap:MortgagesMemberajx:AjaxMortgageLoanTrust2021AMember2022-09-300001614806us-gaap:MortgagesMemberajx:AjaxMortgageLoanTrust2021AMember2021-12-310001614806ajx:AjaxMortgageLoanTrust2021BMemberus-gaap:MortgagesMember2022-09-300001614806ajx:AjaxMortgageLoanTrust2021BMemberus-gaap:MortgagesMember2021-12-310001614806us-gaap:ConvertibleNotesPayableMember2022-07-012022-09-300001614806us-gaap:ConvertibleNotesPayableMember2022-01-012022-09-300001614806us-gaap:ConvertibleNotesPayableMember2022-07-012022-09-300001614806us-gaap:ConvertibleNotesPayableMember2021-07-012021-09-300001614806us-gaap:ConvertibleNotesPayableMember2021-01-012021-09-300001614806us-gaap:ConvertibleNotesPayableMember2021-07-012021-09-300001614806us-gaap:ConvertibleNotesPayableMember2021-01-012021-09-300001614806us-gaap:ConvertibleNotesPayableMember2021-09-300001614806us-gaap:ConvertibleNotesPayableMember2022-06-300001614806us-gaap:ConvertibleNotesPayableMember2022-04-012022-06-300001614806us-gaap:ConvertibleNotesPayableMember2022-01-012022-03-310001614806us-gaap:ConvertibleNotesPayableMember2021-03-310001614806us-gaap:ConvertibleNotesPayableMember2021-06-300001614806us-gaap:ConvertibleNotesPayableMember2021-04-012021-06-300001614806us-gaap:ConvertibleNotesPayableMember2021-01-012021-03-31utr:D0001614806ajx:NetInterestIncomeAfterProvisionForCreditBenefitlossesMemberajx:VariousNonConsolidatedJointVenturesMember2022-07-012022-09-300001614806ajx:NetInterestIncomeAfterProvisionForCreditBenefitlossesMemberajx:VariousNonConsolidatedJointVenturesMember2021-07-012021-09-300001614806ajx:LoanServicingFeesMemberajx:ServicerMember2022-07-012022-09-300001614806ajx:LoanServicingFeesMemberajx:ServicerMember2021-07-012021-09-300001614806ajx:ThetisAssetManagementLLCMemberajx:RelatedPartyExpenseManagementFeeMember2022-07-012022-09-300001614806ajx:ThetisAssetManagementLLCMemberajx:RelatedPartyExpenseManagementFeeMember2021-07-012021-09-300001614806us-gaap:InterestIncomeMemberajx:ServicerMember2022-07-012022-09-300001614806us-gaap:InterestIncomeMemberajx:ServicerMember2021-07-012021-09-300001614806ajx:IncomefrominvestmentsinaffiliateMemberajx:AsAjaxELlcMember2022-07-012022-09-300001614806ajx:IncomefrominvestmentsinaffiliateMemberajx:AsAjaxELlcMember2021-07-012021-09-300001614806ajx:GaeaMemberus-gaap:InterestIncomeMember2022-07-012022-09-300001614806ajx:GaeaMemberus-gaap:InterestIncomeMember2021-07-012021-09-300001614806ajx:LoanPoolLLCsMemberajx:IncomefrominvestmentsinaffiliateMember2022-07-012022-09-300001614806ajx:LoanPoolLLCsMemberajx:IncomefrominvestmentsinaffiliateMember2021-07-012021-09-300001614806ajx:ThetisAssetManagementLLCMemberajx:IncomefrominvestmentsinaffiliateMember2022-07-012022-09-300001614806ajx:ThetisAssetManagementLLCMemberajx:IncomefrominvestmentsinaffiliateMember2021-07-012021-09-300001614806ajx:IncomefrominvestmentsinaffiliateMemberajx:GaeaMember2022-07-012022-09-300001614806ajx:IncomefrominvestmentsinaffiliateMemberajx:GaeaMember2021-07-012021-09-300001614806ajx:IncomefrominvestmentsinaffiliateMemberajx:ServicerMember2022-07-012022-09-300001614806ajx:IncomefrominvestmentsinaffiliateMemberajx:ServicerMember2021-07-012021-09-300001614806us-gaap:OtherIncomeMemberajx:VariousNonConsolidatedJointVenturesMember2022-07-012022-09-300001614806us-gaap:OtherIncomeMemberajx:VariousNonConsolidatedJointVenturesMember2021-07-012021-09-300001614806ajx:NetInterestIncomeAfterProvisionForCreditBenefitlossesMemberajx:VariousNonConsolidatedJointVenturesMember2022-01-012022-09-300001614806ajx:NetInterestIncomeAfterProvisionForCreditBenefitlossesMemberajx:VariousNonConsolidatedJointVenturesMember2021-01-012021-09-300001614806ajx:ThetisAssetManagementLLCMemberajx:RelatedPartyExpenseManagementFeeMember2022-01-012022-09-300001614806ajx:ThetisAssetManagementLLCMemberajx:RelatedPartyExpenseManagementFeeMember2021-01-012021-09-300001614806ajx:LoanServicingFeesMemberajx:ServicerMember2022-01-012022-09-300001614806ajx:LoanServicingFeesMemberajx:ServicerMember2021-01-012021-09-300001614806us-gaap:InterestIncomeMemberajx:ServicerMember2022-01-012022-09-300001614806us-gaap:InterestIncomeMemberajx:ServicerMember2021-01-012021-09-300001614806ajx:IncomefrominvestmentsinaffiliateMemberajx:AsAjaxELlcMember2022-01-012022-09-300001614806ajx:IncomefrominvestmentsinaffiliateMemberajx:AsAjaxELlcMember2021-01-012021-09-300001614806ajx:GaeaMemberus-gaap:InterestIncomeMember2022-01-012022-09-300001614806ajx:GaeaMemberus-gaap:InterestIncomeMember2021-01-012021-09-300001614806ajx:AjaxMortgageLoanTrust2021CMemberus-gaap:OtherIncomeMember2022-01-012022-09-300001614806ajx:AjaxMortgageLoanTrust2021CMemberus-gaap:OtherIncomeMember2021-01-012021-09-300001614806ajx:LoanPoolLLCsMemberajx:IncomefrominvestmentsinaffiliateMember2022-01-012022-09-300001614806ajx:LoanPoolLLCsMemberajx:IncomefrominvestmentsinaffiliateMember2021-01-012021-09-300001614806ajx:ThetisAssetManagementLLCMemberajx:IncomefrominvestmentsinaffiliateMember2022-01-012022-09-300001614806ajx:ThetisAssetManagementLLCMemberajx:IncomefrominvestmentsinaffiliateMember2021-01-012021-09-300001614806ajx:IncomefrominvestmentsinaffiliateMemberajx:GaeaMember2022-01-012022-09-300001614806ajx:IncomefrominvestmentsinaffiliateMemberajx:GaeaMember2021-01-012021-09-300001614806ajx:IncomefrominvestmentsinaffiliateMemberajx:ServicerMember2022-01-012022-09-300001614806ajx:IncomefrominvestmentsinaffiliateMemberajx:ServicerMember2021-01-012021-09-300001614806us-gaap:OtherIncomeMemberajx:VariousNonConsolidatedJointVenturesMember2022-01-012022-09-300001614806us-gaap:OtherIncomeMemberajx:VariousNonConsolidatedJointVenturesMember2021-01-012021-09-300001614806us-gaap:OtherIncomeMemberajx:AjaxMortgageLoanTrust2019AAndBMember2022-01-012022-09-300001614806us-gaap:OtherIncomeMemberajx:AjaxMortgageLoanTrust2019AAndBMember2021-01-012021-09-300001614806us-gaap:OtherIncomeMemberajx:AjaxMortgageLoanTrust2018DAndGMember2022-01-012022-09-300001614806us-gaap:OtherIncomeMemberajx:AjaxMortgageLoanTrust2018DAndGMember2021-01-012021-09-300001614806ajx:EquitySecuritiesFVNIMemberajx:VariousNonConsolidatedJointVenturesMemberajx:BeneficialinterestsMember2022-09-300001614806ajx:ReceivablesFromServicerMemberajx:ServicerMemberajx:ReceivablesFromServicerMember2022-09-300001614806us-gaap:PrepaidExpensesAndOtherCurrentAssetsMemberajx:AffiliateLoanReceivableAndInterestMemberajx:ServicerMember2022-09-300001614806ajx:ThetisAssetManagementLLCMemberajx:ManagementFeePayableMemberajx:ManagementFeePayableMember2022-09-300001614806ajx:ServicingFeePayableMemberus-gaap:AccountsPayableAndAccruedLiabilitiesMemberajx:ServicerMember2022-09-300001614806us-gaap:AccountsPayableAndAccruedLiabilitiesMemberajx:PayableToServicerMemberajx:ServicerMember2022-09-300001614806ajx:AjaxMortgageLoanTrust2019CMemberajx:MortgageLoansNetMemberajx:PurchaseOfMortgageLoansMember2021-12-310001614806ajx:EquitySecuritiesFVNIMemberajx:VariousNonConsolidatedJointVenturesMemberajx:BeneficialinterestsMember2021-12-310001614806ajx:ReceivablesFromServicerMemberajx:ServicerMemberajx:ReceivablesFromServicerMember2021-12-310001614806us-gaap:PrepaidExpensesAndOtherCurrentAssetsMemberajx:AffiliateLoanReceivableAndInterestMemberajx:ServicerMember2021-12-310001614806ajx:ThetisAssetManagementLLCMemberajx:ManagementFeePayableMemberajx:ManagementFeePayableMember2021-12-310001614806ajx:ExpenseReimbursementReceivableMemberus-gaap:PrepaidExpensesAndOtherCurrentAssetsMemberajx:VariousNonConsolidatedJointVenturesMember2021-12-310001614806us-gaap:AccountsPayableAndAccruedLiabilitiesMemberajx:ExpenseReimbursementsMemberajx:ServicerMember2021-12-310001614806ajx:GaeaMemberus-gaap:PrepaidExpensesAndOtherCurrentAssetsMemberajx:AffiliateLoanReceivableInterestMember2021-12-310001614806ajx:ExpenseReimbursementReceivableMemberus-gaap:PrepaidExpensesAndOtherCurrentAssetsMemberajx:ServicerMember2021-12-310001614806ajx:GregoryFundingLLCMember2021-12-090001614806us-gaap:PrepaidExpensesAndOtherCurrentAssetsMemberajx:GregoryFundingLLCMemberajx:ReceivableFromServicerForREOAcquisitionsMember2022-09-300001614806ajx:GaeaMember2021-06-210001614806ajx:GregoryFundingLLCMember2022-09-300001614806ajx:GregoryFundingLLCMember2021-12-3100016148062019-11-012022-01-31ajx:privateCapitalRaise0001614806ajx:GaeaMember2019-11-012022-01-310001614806ajx:GaeaMember2022-01-310001614806ajx:ThirdPartyMemberajx:GaeaMember2022-09-300001614806ajx:ThirdPartyMemberajx:GaeaMember2021-12-310001614806ajx:LoanPoolLLCsMember2019-12-310001614806ajx:LegacyEntitiesMember2019-01-012019-12-310001614806ajx:LoanPoolLLCsMember2020-12-310001614806ajx:ThetisAssetManagementLLCMemberajx:ManagementAgreementMember2022-01-012022-09-30ajx:calendar_quarter0001614806ajx:RelatedPartyExpenseManagementFeeMember2022-07-012022-09-300001614806ajx:RelatedPartyExpenseManagementFeeMember2022-01-012022-09-300001614806ajx:RelatedPartyExpenseManagementFeeMember2021-01-012021-09-300001614806ajx:RelatedPartyExpenseManagementFeeMember2021-07-012021-09-300001614806ajx:IndependentDirectorFeeMember2022-07-012022-09-300001614806ajx:IndependentDirectorFeeMember2021-07-012021-09-300001614806ajx:IndependentDirectorFeeMember2022-01-012022-09-300001614806ajx:IndependentDirectorFeeMember2021-01-012021-09-300001614806us-gaap:RestrictedStockMemberus-gaap:ShareBasedPaymentArrangementEmployeeMember2022-07-012022-09-300001614806us-gaap:RestrictedStockMemberus-gaap:ShareBasedPaymentArrangementEmployeeMember2022-01-012022-09-300001614806us-gaap:RestrictedStockMemberus-gaap:ShareBasedPaymentArrangementEmployeeMember2021-01-012021-09-300001614806us-gaap:RestrictedStockMemberus-gaap:ShareBasedPaymentArrangementEmployeeMember2021-07-012021-09-300001614806us-gaap:RestrictedStockMemberus-gaap:ShareBasedPaymentArrangementEmployeeMember2020-12-310001614806us-gaap:RestrictedStockMemberus-gaap:ShareBasedPaymentArrangementNonemployeeMember2020-12-310001614806us-gaap:RestrictedStockMemberus-gaap:ShareBasedPaymentArrangementEmployeeMember2021-01-012021-03-310001614806us-gaap:RestrictedStockMemberus-gaap:ShareBasedPaymentArrangementNonemployeeMember2021-01-012021-03-310001614806us-gaap:RestrictedStockMemberus-gaap:ShareBasedPaymentArrangementEmployeeMember2021-03-310001614806us-gaap:RestrictedStockMemberus-gaap:ShareBasedPaymentArrangementNonemployeeMember2021-03-310001614806us-gaap:RestrictedStockMemberus-gaap:ShareBasedPaymentArrangementEmployeeMember2021-04-012021-06-300001614806us-gaap:RestrictedStockMemberus-gaap:ShareBasedPaymentArrangementNonemployeeMember2021-04-012021-06-300001614806us-gaap:RestrictedStockMemberus-gaap:ShareBasedPaymentArrangementEmployeeMember2021-06-300001614806us-gaap:RestrictedStockMemberus-gaap:ShareBasedPaymentArrangementNonemployeeMember2021-06-300001614806us-gaap:RestrictedStockMemberus-gaap:ShareBasedPaymentArrangementNonemployeeMember2021-07-012021-09-300001614806us-gaap:RestrictedStockMemberus-gaap:ShareBasedPaymentArrangementEmployeeMember2021-09-300001614806us-gaap:RestrictedStockMemberus-gaap:ShareBasedPaymentArrangementNonemployeeMember2021-09-300001614806us-gaap:RestrictedStockMemberus-gaap:ShareBasedPaymentArrangementNonemployeeMember2021-01-012021-09-300001614806us-gaap:RestrictedStockMemberus-gaap:ShareBasedPaymentArrangementEmployeeMember2021-12-310001614806us-gaap:RestrictedStockMemberus-gaap:ShareBasedPaymentArrangementNonemployeeMember2021-12-310001614806us-gaap:RestrictedStockMemberus-gaap:ShareBasedPaymentArrangementEmployeeMember2022-01-012022-03-310001614806us-gaap:RestrictedStockMemberus-gaap:ShareBasedPaymentArrangementNonemployeeMember2022-01-012022-03-310001614806us-gaap:RestrictedStockMemberus-gaap:ShareBasedPaymentArrangementEmployeeMember2022-03-310001614806us-gaap:RestrictedStockMemberus-gaap:ShareBasedPaymentArrangementNonemployeeMember2022-03-310001614806us-gaap:RestrictedStockMemberus-gaap:ShareBasedPaymentArrangementEmployeeMember2022-04-012022-06-300001614806us-gaap:RestrictedStockMemberus-gaap:ShareBasedPaymentArrangementNonemployeeMember2022-04-012022-06-300001614806us-gaap:RestrictedStockMemberus-gaap:ShareBasedPaymentArrangementEmployeeMember2022-06-300001614806us-gaap:RestrictedStockMemberus-gaap:ShareBasedPaymentArrangementNonemployeeMember2022-06-300001614806us-gaap:RestrictedStockMemberus-gaap:ShareBasedPaymentArrangementNonemployeeMember2022-07-012022-09-300001614806us-gaap:RestrictedStockMemberus-gaap:ShareBasedPaymentArrangementEmployeeMember2022-09-300001614806us-gaap:RestrictedStockMemberus-gaap:ShareBasedPaymentArrangementNonemployeeMember2022-09-300001614806us-gaap:RestrictedStockMemberus-gaap:ShareBasedPaymentArrangementNonemployeeMember2022-01-012022-09-300001614806us-gaap:RestrictedStockMember2022-07-012022-09-300001614806us-gaap:RestrictedStockMember2021-07-012021-09-300001614806us-gaap:RestrictedStockMember2022-01-012022-09-300001614806us-gaap:RestrictedStockMember2021-01-012021-09-3000016148062020-02-280001614806ajx:OpenMarketPurchasesMember2022-07-012022-09-300001614806ajx:OpenMarketPurchasesMember2022-01-012022-09-300001614806ajx:OpenMarketPurchasesMember2021-07-012021-09-300001614806ajx:OpenMarketPurchasesMember2021-01-012021-09-300001614806ajx:ThetisAssetManagementLLCMember2022-09-300001614806ajx:OpenMarketPurchasesMember2022-09-300001614806ajx:ThetisAssetManagementLLCMember2021-12-310001614806ajx:OpenMarketPurchasesMember2021-12-310001614806us-gaap:CommonStockMember2022-01-012022-09-300001614806us-gaap:CommonStockMember2021-01-012021-09-300001614806ajx:AttheMarketProgramMember2022-09-300001614806ajx:AttheMarketProgramMember2021-09-300001614806us-gaap:AccumulatedNetUnrealizedInvestmentGainLossMember2022-01-012022-09-300001614806us-gaap:AccumulatedNetUnrealizedInvestmentGainLossMember2021-01-012021-12-310001614806ajx:SecuritizationTrust2018CMemberajx:GreatAjaxCorpMember2022-09-300001614806ajx:SecuritizationTrust2018CMemberajx:GreatAjaxCorpMember2021-12-310001614806ajx:ThirdPartyMemberajx:SecuritizationTrust2018CMember2021-03-310001614806ajx:SecuritizationTrust2018CMember2022-07-012022-09-300001614806ajx:SecuritizationTrust2018CMember2021-07-012021-09-300001614806ajx:SecuritizationTrust2018CMember2022-01-012022-09-300001614806ajx:SecuritizationTrust2018CMember2021-01-012021-09-300001614806ajx:SecuritizationTrust2017DMember2022-07-012022-09-300001614806ajx:SecuritizationTrust2017DMember2021-07-012021-09-300001614806ajx:SecuritizationTrust2017DMember2022-01-012022-09-300001614806ajx:SecuritizationTrust2017DMember2021-01-012021-09-300001614806ajx:OneSellerMemberus-gaap:PerformingFinancingReceivableMemberus-gaap:SubsequentEventMember2022-10-012022-11-04ajx:residential_rplajx:transaction0001614806ajx:OneSellerMemberus-gaap:PerformingFinancingReceivableMemberus-gaap:SubsequentEventMember2022-11-040001614806us-gaap:PerformingFinancingReceivableMemberus-gaap:SubsequentEventMember2022-10-012022-11-040001614806us-gaap:PerformingFinancingReceivableMemberus-gaap:SubsequentEventMember2022-11-040001614806us-gaap:PerformingFinancingReceivableMemberus-gaap:SubsequentEventMember2022-10-262022-10-260001614806us-gaap:PerformingFinancingReceivableMemberus-gaap:SubsequentEventMember2022-10-260001614806us-gaap:SubsequentEventMember2022-11-03

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q

(Mark One)
☒    QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended September 30, 2022
OR
☐    TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
    For the transition period from                  to                 

001-36844
(Commission file number)
GREAT AJAX CORP.
(Exact name of registrant as specified in its charter)
Maryland

46-5211870

State or other jurisdiction
of incorporation or organization		(I.R.S. Employer
Identification No.)

13190 SW 68th Parkway, Suite 110
Tigard, OR 97223
(Address of principal executive offices and Zip Code)
503-505-5670
Registrant’s telephone number, including area code

Securities registered pursuant to Section 12(b) of the Act:
Title of each classTrading SymbolsName of each exchange on which registered
Common stock, par value $0.01 per shareAJXNew York Stock Exchange
7.25% Convertible Senior Notes due 2024AJXANew York Stock Exchange

Indicate by check mark whether the Registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the Registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.  Yes ☒ No ☐

Indicate by check mark whether the Registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the Registrant was required to submit such files).  Yes ☒ No ☐

Indicate by check mark whether the Registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company or an emerging growth company. See definition of “large accelerated filer,” “accelerated filer,” “smaller reporting company” and "emerging growth company" in Rule 12b-2 of the Exchange Act. (check one):
Large accelerated filer☐Accelerated filer ☒
Non-accelerated filer (Do not check if a smaller reporting company)☐Smaller reporting company ☐
Emerging Growth Company☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.  ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).  Yes ☐ No ☒

As of November 2, 2022, 22,892,634 shares of the registrant’s common stock, par value $0.01 per share, were outstanding.


TABLE OF CONTENTS

i

PART I. FINANCIAL INFORMATION

Item 1.    Consolidated Interim Financial Statements


GREAT AJAX CORP. AND SUBSIDIARIES
CONSOLIDATED BALANCE SHEETS
($ in thousands except per share data)
September 30, 2022December 31, 2021
ASSETS(Unaudited)
Cash and cash equivalents$72,896 $84,426 
Mortgage loans held-for-sale, net— 29,572 
Mortgage loans held-for-investment, net (1,2)
1,006,386 1,080,434 
Real estate owned properties, net(3)
6,074 6,063 
Investments in securities at fair value(4)
257,812 355,178 
Investments in beneficial interests(5)
127,669 139,588 
Receivable from servicer8,803 20,899 
Investments in affiliates30,944 27,020 
Prepaid expenses and other assets16,390 16,500 
Total assets$1,526,974 $1,759,680 
LIABILITIES AND EQUITY
Liabilities:
Secured borrowings, net(1,2,6)
$481,824 $575,563 
Borrowings under repurchase transactions463,256 546,054 
Convertible senior notes, net(6)
104,061 102,845 
Notes payable, net(6)
106,169 — 
Management fee payable1,945 2,279 
Put option liability10,722 23,667 
Accrued expenses and other liabilities7,501 8,799 
Total liabilities1,175,478 1,259,207 
Commitments and contingencies – see Note 8
Equity:
Preferred stock, $0.01 par value, 25,000,000 shares authorized
Series A 7.25% Fixed-to-Floating Rate Cumulative Redeemable, $25.00 liquidation preference per share, 424,949 shares issued and outstanding at September 30, 2022 and 2,307,400 shares issued and outstanding at December 31, 2021
9,411 51,100 
Series B 5.00% Fixed-to-Floating Rate Cumulative Redeemable, $25.00 liquidation preference per share, 1,135,590 shares issued and outstanding at September 30, 2022 and 2,892,600 shares issued and outstanding at December 31, 2021
25,143 64,044 
Common stock $0.01 par value; 125,000,000 shares authorized, 22,883,634 shares issued and outstanding at September 30, 2022 and 23,146,775 shares issued and outstanding at December 31, 2021
235 233 
Additional paid-in capital317,273 316,162 
Treasury stock(6,695)(1,691)
Retained earnings26,375 66,427 
Accumulated other comprehensive (loss)/income(22,420)1,020 
Equity attributable to stockholders349,322 497,295 
Non-controlling interests(7)
2,174 3,178 
Total equity351,496 500,473 
Total liabilities and equity$1,526,974 $1,759,680 
The accompanying notes are an integral part of the consolidated financial statements.
1

(1)Mortgage loans held-for-investment, net include $687.0 million and $756.8 million of loans at September 30, 2022 and December 31, 2021, respectively, transferred to securitization trusts that are variable interest entities (“VIEs”); these loans can only be used to settle obligations of the VIEs. Secured borrowings consist of notes issued by VIEs that can only be settled with the assets and cash flows of the VIEs. The creditors do not have recourse to the primary beneficiary (Great Ajax Corp.). See Note 9 — Debt. Mortgage loans held-for-investment, net include $5.2 million and $7.1 million of allowance for expected credit losses at September 30, 2022 and December 31, 2021, respectively.
(2)As of September 30, 2022 and December 31, 2021, balances for Mortgage loans held-for-investment, net include $0.9 million and $1.4 million, respectively, from a 50.0% owned joint venture, which the Company consolidates under U.S. Generally Accepted Accounting Principles ("U.S. GAAP" or "GAAP").
(3)Real estate owned properties, net, are presented net of valuation allowances of $0.4 million and $0.5 million at September 30, 2022 and December 31, 2021, respectively.
(4)As of September 30, 2022, Investments in securities at fair value include an amortized cost basis of $280.2 million and a net unrealized loss of $22.4 million. As of December 31, 2021, Investments in securities at fair value include an amortized cost basis of $354.2 million and net unrealized gains of $1.0 million.
(5)Investments in beneficial interests includes allowance for expected credit losses of zero and $0.6 million at September 30, 2022 and December 31, 2021, respectively.
(6)Secured borrowings, net are presented net of deferred issuance costs of $5.1 million at September 30, 2022 and $7.3 million at December 31, 2021. Convertible senior notes, net are presented net of deferred issuance costs of $0.5 million and $1.7 million at September 30, 2022 and December 31, 2021, respectively. Notes payable, net are presented net of deferred issuance costs and discount of $3.8 million at September 30, 2022 and zero at December 31, 2021.
(7)As of September 30, 2022 non-controlling interests includes $1.0 million from a 50.0% owned joint venture, $1.1 million from a 53.1% owned subsidiary and $0.1 million from a 99.9% owned subsidiary. As of December 31, 2021 non-controlling interests includes $1.8 million from a 50.0% owned joint venture, $1.3 million from a 53.1% owned subsidiary and $0.1 million from a 99.9% owned subsidiary which the Company consolidates.

The accompanying notes are an integral part of the consolidated interim financial statements.
2

GREAT AJAX CORP. AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF OPERATIONS
(Unaudited)
Three months endedNine months ended
($ in thousands except per share data)
September 30, 2022September 30, 2021September 30, 2022September 30, 2021
INCOME
Interest income$20,021 $23,054 $64,133 $70,137 
Interest expense(11,369)(8,609)(29,150)(27,743)
Net interest income8,652 14,445 34,983 42,394 
Net decrease in the net present value of expected credit losses(1)
1,935 3,678 6,874 13,927 
Net interest income after the impact of changes in the net present value of expected credit losses10,587 18,123 41,857 56,321 
(Loss)/income from investments in affiliates(451)90 (869)610 
Other income/(loss)386 778 (6,727)1,620 
Total revenue, net10,522 18,991 34,261 58,551 
EXPENSE
Related party expense – loan servicing fees1,952 1,743 6,049 5,275 
Related party expense – management fee1,948 2,292 6,604 6,835 
Professional fees667 526 1,431 1,929 
Real estate operating expenses(16)(76)136 197 
Fair value adjustment on put option liability2,917 2,493 9,712 6,638 
Other expense1,377 1,227 4,299 3,906 
Total expense8,845 8,205 28,231 24,780 
Acceleration of put option settlement8,813 — 12,344 — 
Loss on debt extinguishment— — — 1,072 
(Loss)/income before provision for income taxes(7,136)10,786 (6,314)32,699 
Provision for income taxes2,367 102 2,339 203 
Consolidated net (loss)/income(9,503)10,684 (8,653)32,496 
Less: consolidated net (loss)/income attributable to the non-controlling interest(42)(578)70 (47)
Consolidated net (loss)/income attributable to Company(9,461)11,262 (8,723)32,543 
Less: dividends on preferred stock1,053 1,949 4,927 5,848 
Less: discount on retirement of preferred stock5,735 — 8,194 — 
Consolidated net (loss)/income attributable to common stockholders$(16,249)$9,313 $(21,844)$26,695 
Basic (loss)/earnings per common share$(0.71)$0.40 $(0.95)$1.16 
Diluted (loss)/earnings per common share$(0.71)$0.38 $(0.95)$1.10 
Weighted average shares – basic22,538,891 22,862,429 22,737,182 22,835,237 
Weighted average shares – diluted22,833,465 30,407,649 23,014,197 30,286,613 
(1)Net decrease in the net present value of expected credit losses represents the net decrease to the allowance resulting from changes in actual and expected cash flows during both the three and nine months ended September 30, 2022 and 2021. It represents the net increase of the present value of the expected cash flows in excess of contractual cash flows offset by any incremental provision expense on the Mortgage loan pools and Beneficial interests. The decrease is calculated at the pool level for Mortgage loans and at the security level for Beneficial interests. To the extent a pool or Beneficial interest has an associated allowance, the decrease in expected credit losses is recorded in the period in which the change occurs, otherwise it is recognized prospectively as an increase in yield.

The accompanying notes are an integral part of the consolidated interim financial statements.
3

GREAT AJAX CORP. AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF COMPREHENSIVE (LOSS) INCOME
(Unaudited)
 
Three months endedNine months ended
($ in thousands) September 30, 2022September 30, 2021September 30, 2022September 30, 2021
Consolidated net (loss)/income attributable to common stockholders$(16,249)$9,313 $(21,844)$26,695 
Other comprehensive (loss)/income:
Net unrealized (loss)/income on investments in available-for-sale debt securities(3,724)1,767 (23,440)3,043 
Income tax expense related to items of other comprehensive income— — — — 
Comprehensive (loss)/income$(19,973)$11,080 $(45,284)$29,738 




The accompanying notes are an integral part of the consolidated interim financial statements.
4

GREAT AJAX CORP. AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF CASH FLOWS
(Unaudited)
Nine months ended
($ in thousands) September 30, 2022September 30, 2021
CASH FLOWS FROM OPERATING ACTIVITIES
Consolidated net (loss)/income$(8,653)$32,496 
Adjustments to reconcile net income to net cash from operating activities
Stock-based management fee and compensation expense1,536 979 
Discount accretion on mortgage loans(11,011)(15,495)
Interest and discount accretion on investment in debt securities(8,001)(8,159)
Discount accretion on investment in beneficial interests(8,831)(12,339)
Gain on sale of mortgage loans— (122)
Loss on debt extinguishment— 1,072 
Gain on sale of real estate owned properties(759)(572)
Loss/(gain) on sale of securities860 (201)
Impairment of real estate owned78 170 
Credit loss expense on mortgage loans and beneficial interests357 1,197 
Net decrease in the net present value of expected credit losses(1)
(6,874)(13,927)
Loss on loans and joint venture refinancing on beneficial interests8,038 — 
Amortization of debt discount and prepaid financing costs2,845 4,777 
Undistributed loss/(income) from investment in affiliates869 (610)
Fair value adjustment on put option liability9,712 6,638 
Preferred stock non-cash (108)— 
Acceleration of put option settlement 12,344 — 
Other non-cash charges14 4 
Net change in operating assets and liabilities
Prepaid expenses and other assets(139)(8,571)
Receivable from Servicer12,111 (2,373)
Accrued expenses, management fee payable, and other liabilities(353)12 
Net cash from operating activities4,035 (15,024)
CASH FLOWS FROM INVESTING ACTIVITIES
Purchase of mortgage loans and related balances(10,690)(128,422)
Principal paydowns on mortgage loans126,791 145,442 
Draws on small balance commercial loans— (10,366)
Proceeds from sale of mortgage loans— 125,975 
Proceeds from refinancing and sale of securities123,933 90,229 
Purchase of securities(84,492)(286,461)
Principal and interest collection on debt securities56,275 111,238 
Proceeds from sale of property held-for-sale4,029 5,835 
Purchase of property held-for-sale(27)— 
Investment in equity method investments(6,090)— 
Distribution from affiliates946 1,381 
Net cash from investing activities210,675 54,851 
CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from repurchase transactions138,244 376,301 

The accompanying notes are an integral part of the consolidated interim financial statements.
5

Repayments on repurchase transactions(221,042)(398,093)
Proceeds from origination of secured borrowings— 391,028 
Repayments on secured borrowings(95,939)(354,990)
Payment of prepaid financing costs on secured borrowings— (7,339)
Purchase of bonds of non-controlling interest in subsidiaries— (5,887)
Repurchase of the Company's senior convertible notes(75)(7,463)
Proceeds from notes payable108,910 — 
Payment of prepaid financing costs on notes payable(2,806)— 
Repurchase of preferred stock and warrants(124,958)— 
Repurchase of common stock(4,653)— 
Sale of common stock, net of offering costs— 99 
Sale of common stock pursuant to dividend reinvestment plan288 166 
Acquisition of non-controlling interest in subsidiary— (26,163)
Distribution to non-controlling interests(1,074)(325)
Dividends paid on common stock and preferred stock(23,135)(18,931)
Net cash from financing activities(226,240)(51,597)
NET CHANGE IN CASH AND CASH EQUIVALENTS(11,530)(11,770)
CASH AND CASH EQUIVALENTS, beginning of period84,426 107,147 
CASH AND CASH EQUIVALENTS, end of period$72,896 $95,377 
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION
Cash paid for interest$26,716 $22,151 
Cash paid for income taxes$828 $358 
SUPPLEMENTAL DISCLOSURE OF NONCASH INVESTING AND FINANCING ACTIVITIES
Net transfer of loans to rental property or property held-for-sale$3,332 $3,013 
Issuance of common stock for management fee and compensation expense$1,536 $979 
Treasury stock received through distributions from investment in Manager$350 $380 
Non-cash adjustments to basis in mortgage loans$18 $3,193 
Other non-cash charges$14 $4 
Preferred stock non-cash$(108)$— 
Unrealized (loss)/gain on available for sale securities, net of non-controlling interest and tax$(23,440)$3,043 
Net transfer of loans (to)/from mortgage held-for-investment, net (from)/to mortgage loans held-for-sale, net$(29,572)$159,733 
(1)Net decrease in the net present value of expected credit losses represents the net decrease to the allowance resulting from changes in actual and expected cash flows during both the nine months ended September 30, 2022 and 2021. It represents the net increase of the present value of the expected cash flows in excess of contractual cash flows offset by any incremental provision expense on the Mortgage loan pools and Beneficial interests. The decrease is calculated at the pool level for Mortgage loans and at the security level for Beneficial interests. To the extent a pool or Beneficial interest has an associated allowance, the decrease in expected credit losses is recorded in the period in which the change occurs, otherwise it is recognized prospectively as an increase in yield.




The accompanying notes are an integral part of the consolidated interim financial statements.
6

GREAT AJAX CORP. AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF CHANGES IN EQUITY
(Unaudited)


($ in thousands)
Preferred stock - Series A sharesPreferred stock - Series A amountPreferred stock - Series B sharesPreferred stock - Series B amountCommon stock sharesCommon stock amountTreasury stockAdditional Paid-in CapitalRetained EarningsAccumulated other comprehensive income/(loss)Total Stockholders' EquityNon-controlling InterestTotal Equity
Balance at nine months ended September 30, 2021
Balance at December 31, 20202,307,400 $51,100 2,892,600 $64,044 22,978,339 $231 $(1,159)$317,424 $53,346 $375 $485,361 $29,130 $514,491 
Net income— — — — — — — — 8,953 — 8,953 1,689 10,642 
Issuance of shares under dividend reinvestment plan— — — — 4,228 — — 47 — — 47 — 47 
Acquisition of non-controlling interest in subsidiary— — — — — — — (3,056)— — (3,056)(8,306)(11,362)
Stock-based compensation expense— — — — 6,280 — — 294 — — 294 — 294 
Dividends declared ($0.17 per share) and distributions
— — — — — — — — (5,799)— (5,799)(84)(5,883)
Other comprehensive income— — — — — — — — — 1,306 1,306 — 1,306 
Balance at March 31, 20212,307,400 $51,100 2,892,600 $64,044 22,988,847 $231 $(1,159)$314,709 $56,500 $1,681 $487,106 $22,429 $509,535 
Net income— — — — — — — — 12,328 — 12,328 (1,158)11,170 
Issuance of shares under dividend reinvestment plan— — — — 3,820 — — 48 — — 48 — 48 
Distribution to non-controlling interest— — — — — — — — — — — (16,864)(16,864)

The accompanying notes are an integral part of the consolidated interim financial statements.
7


($ in thousands)
Preferred stock - Series A sharesPreferred stock - Series A amountPreferred stock - Series B sharesPreferred stock - Series B amountCommon stock sharesCommon stock amountTreasury stockAdditional Paid-in CapitalRetained EarningsAccumulated other comprehensive income/(loss)Total Stockholders' EquityNon-controlling InterestTotal Equity
Stock-based compensation expense— — — — 19,945 — — 374 — — 374 — 374 
Dividends declared ($0.19 per share) and distributions
— — — — — — — — (6,326)— (6,326)(169)(6,495)
Other comprehensive loss— — — — — — — — — (30)(30)— (30)
Treasury stock— — — — (19,366)— (246)— — — (246)— (246)
Balance at June 30, 20212,307,400 $51,100 2,892,600 $64,044 22,993,246 $231 $(1,405)$315,131 $62,502 $1,651 $493,254 $4,238 $497,492 
Net income— — — — — — — — 11,262 — 11,262 (578)10,684 
Sale of shares— — — — 9,073 — — 99 — — 99 — 99 
Issuance of shares under dividend reinvestment plan— — — — 5,049 — — 71 — — 71 — 71 
Distribution to non-controlling interest— — — — — — — — — — — (307)(307)
Stock-based compensation expense— — — — 142,557 1 — 310 — — 311 — 311 
Dividends declared ($0.21 per share) and distributions
— — — — — — — — (6,806)— (6,806)(72)(6,878)
Other comprehensive income— — — — — — — — — 1,767 1,767 — 1,767 
Treasury stock— — — — (9,794)— (134)— — — (134)— (134)
Balance at September 30, 20212,307,400 $51,100 2,892,600 $64,044 23,140,131 $232 $(1,539)$315,611 $66,958 $3,418 $499,824 $3,281 $503,105 

The accompanying notes are an integral part of the consolidated interim financial statements.
8


($ in thousands)
Preferred stock - Series A sharesPreferred stock - Series A amountPreferred stock - Series B sharesPreferred stock - Series B amountCommon stock sharesCommon stock amountTreasury stockAdditional Paid-in CapitalRetained EarningsAccumulated other comprehensive income/(loss)Total Stockholders' EquityNon-controlling InterestTotal Equity
Balance at nine months ended September 30, 2022
Balance at December 31, 20212,307,400 $51,100 2,892,600 $64,044 23,146,775 $233 $(1,691)$316,162 $66,427 $1,020 $497,295 $3,178 $500,473 
Net income— — — — — — — — 5,535 — 5,535 96 5,631 
Issuance of shares under dividend reinvestment plan— — — — 9,739 — — 115 — — 115 — 115 
Distribution to non-controlling interest— — — — — — — — — — — (819)(819)
Stock-based management fee expense— — — — 39,558 1 — 436 — — 437 — 437 
Stock-based compensation expense— — — — 8,900 — — 324 — — 324 — 324 
Dividends declared ($0.26 per share) and distributions
— — — — — — — — (7,966)— (7,966)(90)(8,056)
Other comprehensive loss— — — — — — — — — (9,778)(9,778)— (9,778)
Reclass of conversion premium - convertible notes— — — — — — — (711)— — (711)— (711)
Treasury stock— — — — (10,406)— (117)— — — (117)— (117)
Balance at March 31, 20222,307,400 $51,100 2,892,600 $64,044 23,194,566 $234 $(1,808)$316,326 $63,996 $(8,758)$485,134 $2,365 $487,499 
Net loss— — — — — — — — (4,797)— (4,797)16 (4,781)

The accompanying notes are an integral part of the consolidated interim financial statements.
9


($ in thousands)
Preferred stock - Series A sharesPreferred stock - Series A amountPreferred stock - Series B sharesPreferred stock - Series B amountCommon stock sharesCommon stock amountTreasury stockAdditional Paid-in CapitalRetained EarningsAccumulated other comprehensive income/(loss)Total Stockholders' EquityNon-controlling InterestTotal Equity
Issuance of shares under dividend reinvestment plan— — — — 8,100 — — 85 — — 85 — 85 
Distribution to non-controlling interest— — — — — — — — — — — (14)(14)
Stock-based compensation expense— — — — 11,597 — — 347 — — 347 — 347 
Dividends declared ($0.26 per share) and distributions
— — — — — — — — (7,940)— (7,940)(93)(8,033)
Other comprehensive loss— — — — — — — — — (9,938)(9,938)— (9,938)
Repurchase of preferred stock(768,519)(17,020)(231,481)(5,125)— — — — (2,459)— (24,604)— (24,604)
Treasury stock— — — — (487,691)— (4,769)— — — (4,769)— (4,769)
Balance at June 30, 20221,538,881 $34,080 2,661,119 $58,919 22,726,572 $234 $(6,577)$316,758 $48,800 $(18,696)$433,518 $2,274 $435,792 
Net loss— — — — — — — — (9,461)— (9,461)(42)(9,503)
Issuance of shares under dividend reinvestment plan— — — — 9,315 — — 88 — — 88 — 88 
Distribution to non-controlling interest— — — — — — — — — — — (34)(34)
Stock-based compensation expense— — — — 159,309 1 — 427 — — 428 — 428 
Dividends declared ($0.27 per share) and distributions
— — — — — — — — (7,229)— (7,229)(24)(7,253)

The accompanying notes are an integral part of the consolidated interim financial statements.
10


($ in thousands)
Preferred stock - Series A sharesPreferred stock - Series A amountPreferred stock - Series B sharesPreferred stock - Series B amountCommon stock sharesCommon stock amountTreasury stockAdditional Paid-in CapitalRetained EarningsAccumulated other comprehensive income/(loss)Total Stockholders' EquityNon-controlling InterestTotal Equity
Other comprehensive loss— — — — — — — — — (3,724)(3,724)— (3,724)
Repurchase of preferred stock(1,113,932)(24,669)(1,525,529)(33,776)— — — — (5,735)— (64,180)— (64,180)
Treasury stock— — — — (11,562)— (118)— — — (118)— (118)
Balance at September 30, 2022424,949 $9,411 1,135,590 $25,143 22,883,634 $235 $(6,695)$317,273 $26,375 $(22,420)$349,322 $2,174 $351,496 

The accompanying notes are an integral part of the consolidated interim financial statements.
11

GREAT AJAX CORP. AND SUBSIDIARIES
NOTES TO CONSOLIDATED INTERIM FINANCIAL STATEMENTS
September 30, 2022
(Unaudited)
Note 1 — Organization and Basis of Presentation

Great Ajax Corp., a Maryland corporation (the “Company”), is an externally managed real estate company formed on January 30, 2014, and capitalized on March 28, 2014, by its then sole stockholder, Aspen Yo (“Aspen”), a company affiliated with Aspen Capital, the trade name for the Aspen group of companies. The Company facilitates capital raising activities and operates as a mortgage real estate investment trust (“REIT”). The Company primarily targets acquisitions (i) of re-performing loans (“RPLs”), which are residential mortgage loans on which at least five of the seven most recent payments have been made, or the most recent payment has been made and accepted pursuant to an agreement, or the full dollar amount, to cover at least five payments has been paid in the last seven months and (ii) non-performing loans ("NPLs"), which are residential mortgage loans on which the most recent three payments have not been made. The Company may acquire RPLs and NPLs either directly or in joint ventures with institutional accredited investors. The joint ventures are structured as securitization trusts, of which the Company acquires debt securities and beneficial interests. The Company may also acquire or originate small balance commercial loans (“SBC loans”). The SBC loans that the Company opportunistically targets generally have a principal balance of up to $5.0 million and are secured by multi-family residential and commercial mixed use retail/residential properties on which at least five of the seven most recent payments have been made, or the most recent payment has been made and accepted pursuant to an agreement, or the full dollar amount to cover at least five payments has been paid in the last seven months. Additionally, the Company invests in single-family and smaller commercial properties directly either through a foreclosure event of a loan in its mortgage portfolio or, less frequently, through a direct acquisition. The Company’s manager is Thetis Asset Management LLC (the “Manager” or “Thetis”), an affiliated company. The Company owns 19.8% of the Manager and 8.0% of Great Ajax FS LLC ("GAFS" or "The Parent of the Servicer") which owns substantially all of the interest in Gregory Funding LLC ("Gregory" or the "Servicer"), the Company's loan and real property servicer that is also an affiliated company. The Company has elected to be taxed as a REIT under the Internal Revenue Code of 1986, as amended (the “Code”).

The Company conducts substantially all of its business through its operating partnership, Great Ajax Operating Partnership L.P., a Delaware limited partnership (the “Operating Partnership”), and its subsidiaries. The Company, through a wholly owned subsidiary, Great Ajax Operating LLC, is the sole general partner of the Operating Partnership. GA-TRS LLC ("GA-TRS") is a wholly owned subsidiary of the Operating Partnership that owns the equity interest in the Manager and the Parent of the Servicer. The Company elected to treat GA-TRS as a taxable REIT subsidiary (“TRS”) under the Code. Great Ajax Funding LLC is a wholly owned subsidiary of the Operating Partnership formed to act as the depositor of mortgage loans into securitization trusts and to hold the subordinated securities issued by such trusts and any additional trusts the Company may form for additional secured borrowings. The Company generally securitizes its mortgage loans through securitization trusts and retains subordinated securities from the secured borrowings. These trusts are considered to be variable interest entities ("VIEs"), and the Company has determined that it is the primary beneficiary of many of these VIEs. AJX Mortgage Trust I and AJX Mortgage Trust II are wholly owned subsidiaries of the Operating Partnership formed to hold mortgage loans used as collateral for financings under the Company’s repurchase agreements. In addition, the Company, through its Operating Partnership, holds real estate owned (“REO”) properties acquired upon the foreclosure or other settlement of its owned NPLs, as well as through outright purchases. GAJX Real Estate Corp. is a wholly owned subsidiary of the Operating Partnership formed to own, maintain, improve and sell REO properties purchased by the Company. The Company has elected to treat GAJX Real Estate Corp. as a TRS under the Code.

The Operating Partnership, through interests in certain entities, as of September 30, 2022, held 99.9% of Great Ajax II REIT Inc., which owns Great Ajax II Depositor LLC, which was formed to act as the depositor of mortgage loans into securitization trusts and to hold the subordinated securities issued by such trusts. Similarly, as of September 30, 2022, the Operating Partnership wholly owned Great Ajax III Depositor LLC, which was formed to act as the depositor into Ajax Mortgage Loan Trust 2021-E ("2021-E"), which is a real estate mortgage investment conduit ("REMIC"). The Company has securitized mortgage loans through a securitization trust and retained subordinated securities from the secured borrowings. This trust is considered to be a VIE, and the Company has determined that it is the primary beneficiary of this VIEs.

In 2018, the Company formed Gaea Real Estate Corp. ("Gaea"), as a wholly-owned subsidiary of the Operating Partnership that invests in multifamily properties with a focus on property appreciation and triple net lease veterinary clinics. The Company elected to treat Gaea as a TRS under the Code in 2018 and elected to treat Gaea as a REIT under the Code in 2019 and thereafter. Also during 2018, the Company formed Gaea Real Estate Operating Partnership LP, a wholly-owned subsidiary of Gaea, to hold investments in commercial real estate assets, and Gaea Real Estate Operating LLC, to act as its general partner. The Company also formed Gaea Veterinary Holdings LLC, BFLD Holdings LLC, Gaea Commercial Properties LLC, Gaea Commercial Finance LLC and Gaea RE Holdings LLC as subsidiaries of Gaea Real Estate Operating Partnership.
The accompanying notes are an integral part of the consolidated interim financial statements.
12

In 2019, the Company formed DG Brooklyn Holdings LLC, also a subsidiary of Gaea Real Estate Operating Partnership LP, to hold investments in multi-family properties.

On November 22, 2019, Gaea completed a private capital raise transaction through which it raised $66.3 million from the issuance of its common stock to third parties to allow Gaea to continue to advance its investment strategy. Additionally, in January 2022, Gaea completed a second private capital raise in which it raised approximately $30.0 million from the issuance of its common stock and warrants. At September 30, 2022 the Company owned approximately 22.1% of Gaea. The Company accounts for its investment in Gaea under the equity method.

Basis of Presentation and Use of Estimates

The consolidated interim financial statements should be read in conjunction with the Company's consolidated financial statements and the notes thereto for the year ended December 31, 2021, included in the Company's Annual Report on Form 10-K filed with the Securities and Exchange Commission (the "SEC") on March 4, 2022.

Interim financial statements are unaudited and prepared in accordance with U.S. GAAP for interim financial information and pursuant to the requirements for reporting on Form 10-Q and Regulation S-X. In the opinion of management, all adjustments, consisting solely of normal recurring accruals considered necessary for the fair presentation of consolidated financial statements for the interim period presented, have been included. The current period’s results of operations will not necessarily be indicative of results that ultimately may be achieved for the fiscal year ending December 31, 2022. The consolidated interim financial statements have been prepared in accordance with U.S. GAAP, as contained within the Accounting Standards Codification (“ASC”) of the Financial Accounting Standards Board (“FASB”) and the rules and regulations of the SEC, as applied to interim financial statements.

The Company consolidates the results and balances of three subsidiaries with non-controlling ownership interests held by third parties. AS Ajax E II LLC ("AS Ajax E II") holds a 5.0% interest in a Delaware trust that owns residential mortgage loans and residential real estate assets; AS Ajax E II is 53.1% owned by the Company at both September 30, 2022 and December 31, 2021. Ajax Mortgage Loan Trust 2017-D ("2017-D") is a securitization trust that holds mortgage loans, REO property and secured borrowings; 2017-D is 50.0% owned by the Company. Great Ajax II REIT Inc. wholly owns Great Ajax II Depositor LLC which acts as the depositor of mortgage loans into securitization trusts and holds the subordinated securities issued by such trusts and any additional trusts the Company may form for additional secured borrowings is 99.9% owned by the Company as of September 30, 2022 and December 31, 2021. Similarly, as of September 30, 2022 and December 31, 2021, the Operating Partnership wholly owned Great Ajax III Depositor LLC, which was formed to act as the depositor into 2021-E, which is a REMIC. The Company recognizes non-controlling interests in its consolidated financial statements for the amounts of the investments and income due to the third party investors for its consolidated subsidiaries.

During the second quarter of 2021, the majority of loans held by 2017-D were sold into Ajax Mortgage Loan Trust 2021-C ("2021-C"), a related party joint venture with third party institutional investors. The Company held a 50.0% ownership of the remaining loans held by 2017-D at both September 30, 2022 and December 31, 2021.

During the first quarter of 2021, the Company acquired the outstanding non-controlling ownership interest in Ajax Mortgage Loan Trust 2018-C ("2018-C"), a subsidiary that had been 63.0% owned by the Company with its results included in the Company's consolidated financial statements. As a result, at both September 30, 2022 and December 31, 2021, there were no non-controlling ownership interests in 2018-C held by third parties.

The Company’s 19.8% ownership of the Manager and 8.0% ownership of GAFS are accounted for using the equity method because the Company can exercise influence on the operations of these entities through common officers and directors. There is no traded or quoted price for the interests in either the Manager or GAFS.

In the fourth quarter of 2021, the Company acquired the remaining outstanding 66.0% of the Class B notes and trust certificates in Ajax Mortgage Loan Trust 2019-C ("2019-C") from its joint venture partner and retired the outstanding $95.2 million liability for the senior bond which carried an interest rate higher than the Company's current borrowing rate at that time. As a result the Company now owns a 100.0% interest in the loans that were formerly in 2019-C.




The accompanying notes are an integral part of the consolidated interim financial statements.
13

Note 2 — Summary of Significant Accounting Policies

Mortgage Loans

Purchased Credit Deteriorated Loans ("PCD loans")

As of their acquisition date, the loans acquired by the Company have generally suffered some credit deterioration subsequent to origination. As a result, the Company’s recognition of interest income for PCD loans is based upon it having a reasonable expectation of the amount and timing of the cash flows expected to be collected. When the timing and amount of cash flows expected to be collected are reasonably estimable, the Company uses expected cash flows to apply the effective interest method of income recognition. The Company adopted ASU 2016-13, Financial Instruments - Credit Losses, otherwise known as CECL using the prospective transition approach for PCD assets on January 1, 2020. At the time, $10.2 million of loan discount was reclassified to the allowance for expected credit losses with no net impact on the amortized cost basis of the portfolio.

Acquired loans may be aggregated and accounted for as a pool of loans if the loans have common risk characteristics. A pool is accounted for as a single asset with a single composite interest rate and an aggregate expectation of cash flows. The Company may adjust its loan pools as the underlying risk factors change over time. The Company has aggregated its mortgage loan portfolio into loan pools based on similar risk factors. Excluded from the aggregate pools are loans that pay in full subsequent to the acquisition closing date but prior to pooling. Any gain or loss on these loans is recognized as interest income in the period the loan pays in full.

The Company’s accounting for PCD loans gives rise to an accretable yield and an allowance for expected credit losses. Upon the acquisition of PCD loans the Company records the acquisition as three separate elements for (i) the amount of purchase discount which the Company expects to recover through eventual repayment by the borrower, (ii) an allowance for future expected credit loss and (iii) the unpaid principal balance (“UPB”) of the loan. The purchase price discount which the Company expects at the time of acquisition to collect over the life of the loans is the accretable yield. Expected cash flows from acquired loans include all cash flows directly related to the loan, including those expected from the underlying collateral. The Company recognizes the accretable yield as interest income on a prospective level yield basis over the life of the pool. The Company’s expectation of the amount of undiscounted cash flows to be collected is evaluated at the end of each calendar quarter. The net present value of changes in expected cash flows as compared to contractual amounts due, whether caused by timing or loan performance, is reported in the period in which it arises and is reflected as an increase or decrease in the provision for expected credit losses to the extent a provision for expected credit losses is recorded against the pool of mortgage loans. If no provision for expected credit losses is recorded against the pool of assets, the increase in expected future cash flows is recognized prospectively as an increase in yield.

The Company’s mortgage loans are secured by real estate. The Company monitors the credit quality of the mortgage loans in its portfolio on an ongoing basis, principally by considering loan payment activity or delinquency status. In addition, the Company assesses the expected cash flows from the mortgage loans, the fair value of the underlying collateral and other factors, and evaluates whether and when it becomes probable that all amounts contractually due will not be collected.

Borrower payments on the Company’s mortgage loans are classified as principal, interest, payments of fees, or escrow deposits. Amounts applied as interest on the borrower account are similarly classified as interest for accounting purposes and are classified as operating cash flows in the Company’s consolidated statement of cash flows. Amounts applied as principal on the borrower account including amounts contractually due from borrowers that exceed the Company’s basis in loans purchased at a discount, are similarly classified as principal for accounting purposes and are classified as investing cash flows in the consolidated statement of cash flows as required under U.S. GAAP. Amounts received as payments of fees are recorded in Other income and classified as operating cash flows in the consolidated statement of cash flows. Escrow deposits are recorded on the Servicer’s balance sheet and do not impact the Company’s cash flow.

Non-PCD Loans

While the Company generally acquires loans that have experienced deterioration in credit quality, it may acquire loans that have not experienced a deterioration in credit quality and originates SBC loans.

The Company accounts for its non-PCD loans by estimating any allowance for expected credit losses for its non-PCD loans based on the risk characteristics of the individual loans. If necessary, an allowance for expected credit losses is established through a provision for loan losses. The allowance is the difference between the net present value of the expected future cash flows from the loan and the contractual balance due. Impaired loans are carried at the present value of expected future cash



The accompanying notes are an integral part of the consolidated interim financial statements.
14

flows discounted at the loan’s effective interest rate, the loan’s market price, or the fair value of the collateral if the loan is collateral dependent. For individual loans, a troubled debt restructuring is a formal restructuring of a loan where, for economic or legal reasons related to the borrower’s financial difficulties, a concession that would not otherwise be considered is granted to the borrower. The concession may be granted in various forms, including providing a below-market interest rate, a reduction in the loan balance or accrued interest, an extension of the maturity date, or a combination of these. An individual loan that has had a troubled debt restructuring is considered to be impaired and is subject to the relevant accounting for impaired loans.

Investments in Securities at Fair Value

The Company’s Investments in Securities at Fair Value consist of investments in senior and subordinate notes issued by joint ventures which the Company forms with third party institutional accredited investors. The Company recognizes income on the debt securities using the effective interest method. Additionally, the notes are classified as available for sale and are carried at fair value with changes in fair value reflected in the Company's consolidated statements of comprehensive income. The Company marks its investments to fair value using prices received from its financing counterparties and believes any unrealized losses on its debt securities are expected to be temporary. Any other-than-temporary losses, which represent the excess of the amortized cost basis over the present value of expected future cash flows, are recognized in the period identified in the Company’s consolidated statements of operations. Risks inherent in the Company's debt securities portfolio, affecting both the valuation of its securities as well as the portfolio's interest income and recovery of principal include the risk of default, delays and inconsistency in the frequency and amount of payments, risks affecting borrowers such as man-made or natural disasters and damage to or delay in realizing the value of the underlying collateral. The Company monitors the credit quality of the mortgage loans underlying its debt securities on an ongoing basis, principally by considering loan payment activity or delinquency status. In addition, the Company assesses the expected cash flows from the mortgage loans, the fair value of the underlying collateral and other factors, and evaluates whether and when it becomes probable that all amounts contractually due will not be collected.

Investments in Beneficial Interests

The Company’s investments in beneficial interests consist of the residual investment in the securitization trusts which the Company forms with third party institutional accredited investors. The Company carries its investments in beneficial interests at amortized cost. The accounting methodology used is similar to that described in "Mortgage Loans" except that the Company only recognizes its ratable share of gain, loss, income or expense based on its percentage ownership interest.

Real Estate

The Company generally acquires real estate properties through one of three instances, either directly through purchases, when it forecloses on a borrower and takes title to the underlying property, or when the borrower surrenders the deed in lieu of foreclosure. Property is recorded at cost if purchased, or at the present value of future cash flows if obtained through foreclosure by the Company. Property that the Company expects to actively market for sale is classified as held-for-sale. Property held-for-sale is carried at the lower of its acquisition basis or net realizable value (fair market value less expected selling costs, and any additional costs necessary to prepare the property for sale). Fair market value is determined based on broker price opinions (“BPOs”), appraisals, or other market indicators of fair value including list price or contract price, if listed or under contract for sale at the balance sheet date. Net unrealized losses due to changes in market value are recognized through a valuation allowance by charges to income through real estate operating expenses. No depreciation or amortization expense is recognized on properties held-for-sale. Holding costs are generally incurred by the Servicer and are subtracted from the Servicer’s remittance of sale proceeds upon ultimate disposition of properties held-for-sale.

Rental property is property not held-for-sale. Depreciation is provided for using the straight-line method over the estimated useful lives of the assets of up to 27.5 years. The Company performs an impairment analysis for rental property using estimated cash flows if events or changes in circumstances indicate that the carrying value may be impaired.

Preferred Stock

During the three months ended June 30, 2020, the Company issued an aggregate of $125.0 million, net of offering costs, of preferred stock in two series and warrants to institutional accredited investors in a series of private placements. The Company issued 2,307,400 shares of 7.25% Series A Fixed-to-Floating Rate Preferred Stock and 2,892,600 shares of 5.00% Series B Fixed-to-Floating Rate Preferred Stock. The shares have a liquidation preference of $25.00 per share.




The accompanying notes are an integral part of the consolidated interim financial statements.
15

During the three and nine months ended September 30, 2022, the Company completed a series of preferred share repurchases. The Company repurchased and retired 1,113,932 and 1,882,451 shares, respectively, of its 7.25% Series A Fixed-to-Floating Rate Preferred Stock and 1,525,529 and 1,757,010 shares, respectively of its 5.00% Series B Fixed-to-Floating Rate Preferred Stock.

Put Option Liability

As part of the Company’s capital raise transactions during the three months ended June 30, 2020, the Company issued two series of five-year warrants to purchase an aggregate of 6,500,000 shares of the Company's common stock at an exercise price of $10.00 per share.

The warrants include a put option that allows the holder to sell the warrants to the Company at a specified put price on or after July 6, 2023. U.S. GAAP requires the Company to account for the outstanding warrants as if the put option will be exercised by the holders. The warrants were recorded as a liability in the Company's consolidated balance sheets with an original basis of $9.5 million, reduced to $2.9 million at September 30, 2022 due to the Company's repurchases and retirement of warrants. The Company is accreting the amount of the liability under the effective interest method to its expected future put value and marks the obligation to market through earnings at each balance sheet date. The Company determines the fair value using a discounted cash flow method. The future put obligation was reduced to $15.7 million as of September 30, 2022 from an original value of $50.7 million due to the Company's repurchases and retirement of warrants.

Secured Borrowings

The Company, through securitization trusts which are VIEs, issues callable debt secured by its mortgage loans in the ordinary course of business. The secured borrowings facilitated by the trusts are structured as debt financings, and the mortgage loans used as collateral remain on the Company’s consolidated balance sheet as the Company is the primary beneficiary of the securitization trusts. These secured borrowing VIEs are structured as pass through entities that receive principal and interest on the underlying mortgages and distribute those payments to the holders of the notes. The Company’s exposure to the obligations of the VIEs is generally limited to its investments in the entities; the creditors do not have recourse to the primary beneficiary. Coupon interest expense on the debt is recognized using the accrual method of accounting. Deferred issuance costs, including original issue discount and debt issuance costs, are carried on the Company’s consolidated balance sheets as a deduction from Secured borrowings, and are amortized to interest expense on an effective yield basis based on the underlying cash flow of the mortgage loans serving as collateral. The Company's unrated securitizations have a call provision and the Company assumes the debt will be called at the specified call date for purposes of amortizing discount and issuance costs because the Company believes it will have the intent and ability to call the debt on the call date. Changes in the actual or projected underlying cash flows are reflected in the timing and amount of deferred issuance cost amortization. See Note 8 — Commitments and Contingencies.

Repurchase Facilities

The Company enters into repurchase financing facilities under which it nominally sells assets to a counterparty and simultaneously enters into an agreement to repurchase the sold assets at a price equal to the sold amount plus an interest factor. Despite being legally structured as sales and subsequent repurchases, repurchase transactions are generally accounted for as debt secured by the underlying assets. At the maturity of a repurchase financing, unless the repurchase financing is renewed, the Company is required to repay the borrowing including any accrued interest and concurrently receives back its pledged collateral from the lender. The repurchase financings are treated as collateralized financing transactions; pledged assets are recorded as assets in the Company’s consolidated balance sheets, and the debt is recognized at the contractual amount. Interest is recorded at the contractual amount on an accrual basis. Costs associated with the set-up of a repurchasing contract are recorded as deferred issuance cost at inception and amortized over the contractual life of the agreement. Any draw fees associated with individual transactions and any facility fees assessed on the amounts outstanding are recorded as expense when incurred.

Convertible Senior Notes

During 2017 and 2018, the Company completed the public offer and sale of its convertible senior notes due 2024 (the "2024 Notes"). At September 30, 2022 and December 31, 2021, the UPB of the debt was $104.5 million and $104.6 million, respectively. The 2024 Notes bear interest at a rate of 7.25% per annum, payable quarterly in arrears on January 15, April 15, July 15 and October 15 of each year. The 2024 Notes will mature on April 30, 2024, unless earlier repurchased, converted or redeemed. During certain periods and subject to certain conditions, the 2024 Notes will be convertible by their holders into shares of the Company’s common stock at a current conversion rate of 1.7405 shares of common stock per $25.00 principal



The accompanying notes are an integral part of the consolidated interim financial statements.
16

amount of the notes, which represents a conversion price of approximately $14.36 per share of common stock. The conversion rate, and thus the conversion price, are subject to adjustment under certain circumstances.

Coupon interest on the 2024 Notes is recognized using the accrual method of accounting. Discount and deferred issuance costs are carried on the Company’s consolidated balance sheets as a reduction of the carrying value of the 2024 Notes, and are amortized to interest expense on an effective yield basis through April 30, 2023, the date at which the 2024 Notes can be converted. The Company assumes the debt will be converted at the specified conversion date for purposes of amortizing issuance costs because the Company believes such conversion will be in the economic interest of the holders. No sinking fund has been established for redemption of the principal.

During the three months ended March 31, 2022, the Company adopted ASU 2020-06, Debt – Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging – Contracts in an Entity’s Own Equity (Subtopic 815-40) by recording a reduction in its additional paid-in capital account of $0.7 million and a corresponding increase in the carrying value of its Convertible senior notes of $0.7 million, representing the carrying value of the conversion feature associated with the notes. See — Recently Adopted Accounting Standards, below.

Notes Payable

During August 2022, the Operating Partnership issued $110.0 million aggregate principal amount of 8.875% senior unsecured notes due September 2027 (the "2027 Notes"). The 2027 Notes have a five year term and were issued at 99.009% of par value and are fully and unconditionally guaranteed by the Company and two of its subsidiaries: Great Ajax Operating LLC (the "GP Guarantor") and Great Ajax II Operating Partnership L.P. (the "Subsidiary Guarantor," and together with the Company and the GP Guarantor, the "Guarantors"). The 2027 Notes are included in the Company's liabilities in its consolidated balance sheet at September 30, 2022. Interest on the 2027 Notes is payable semi-annually on March 1 and September 1, with the first payment due and payable on March 1, 2023. The 2027 Notes will mature on September 1, 2027. Net proceeds from the sale of the 2027 Notes totaled approximately $106.1 million, after deducting the discount, commissions, and offering expenses which will be amortized over the term of the 2027 Notes using the effective interest method. The Company used $90.0 million of the proceeds to repurchase and retire a portion of its outstanding 7.25% Series A and 5.00% Series B Fixed-to-Floating Rate Preferred Stock at a discount, and a proportionate amount of outstanding warrants. The remainder of the proceeds is expected to be used for general corporate purposes. At September 30, 2022, the UPB of the 2027 Notes was $110.0 million.

Management Fee and Expense Reimbursement

The Company is a party to the Third Amended and Restated Management Agreement with the Manager (the "Management Agreement") by and between the Company and the Manager, dated as of April 28, 2020, expiring on March 5, 2034. Under the Management Agreement, the Manager implements the Company’s business strategy and manages the Company’s business and investment activities and day-to-day operations subject to oversight by the Company’s Board of Directors. Among other services, the Manager provides the Company with a management team and necessary administrative and support personnel. Additionally, the Company pays directly for the internal audit function that reports directly to the Audit Committee and the Board of Directors. The Company does not currently have any employees that it pays directly and does not expect to have any employees that it pays directly in the foreseeable future. Each of the Company’s executive officers is an employee or officer, or both, of the Manager or the Servicer.

Under the Management Agreement, the Company pays a quarterly base management fee based on its stockholders' equity, including equity equivalents such as the Company's issuance of convertible senior notes, and may be required to pay a quarterly incentive management fee based on its cash distributions to its stockholders and the change in book value, and has the option to pay up to 100% of the base and incentive fees in cash or in shares of the Company's common stock. Management fees are expensed in the quarter incurred and the portion payable in common stock, if any, is accrued at quarter end. See Note 10 — Related Party Transactions.

Servicing Fees

The Company is also a party to a Servicing Agreement (the "Servicing Agreement"), expiring July 8, 2029, with the Servicer. Under the Servicing Agreement by and between the Company and the Servicer, the Servicer receives an annual servicing fee ranging from 0.65% annually of the UPB of loans that are re-performing at acquisition to 1.25% annually of UPB of loans that are non-performing at acquisition. Servicing fees are paid monthly. The total fees incurred by the Company for these services depends upon the UPB and type of mortgage loans that the Servicer services pursuant to the terms of the Servicing Agreement. The fees do not change if an RPL becomes non-performing or vice versa. Servicing fees for the Company’s real property assets are the greater of (i) the servicing fee applicable to the underlying mortgage loan prior to



The accompanying notes are an integral part of the consolidated interim financial statements.
17

foreclosure, or (ii) 1.00% annually of the fair market value of the REO as reasonably determined by the Manager or 1.00% annually of the purchase price of any REO otherwise purchased by the Company. The Servicer is reimbursed for all customary, reasonable and necessary out-of-pocket costs and expenses incurred in the performance of its obligations, including the actual cost of any repairs and renovations undertaken on the Company’s behalf.

The total fees incurred by the Company for these services will be dependent upon the UPB and the type of mortgage loans that the Servicer services, for fees based on mortgage loans, and property values, previous UPB of the relevant loan, and the number of REO properties for fees based on REO properties. The Servicing Agreement will automatically renew for successive one-year terms, subject to prior written notice of non-renewal. In certain cases, the Company may be obligated to pay a termination fee. The Management Agreement will automatically terminate at the same time as the Servicing Agreement if the Servicing Agreement is terminated for any reason. See Note 10 — Related Party Transactions.

Stock-based Payments

At least a portion of the management fee is payable in cash, and a portion of the management fee may be payable (at the Company's discretion) in shares of the Company’s common stock, which are issued to the Manager in a private placement and are restricted securities under the Securities Act of 1933, as amended (the “Securities Act”). The number of shares issued to the Manager (if any) is determined based on the average of the closing prices of the Company's common stock on the New York Stock Exchange ("NYSE") on the five business days preceding the record date of the most recent regular quarterly dividend to holders of the common stock. Any management fees paid in common stock are recognized as an expense in the quarter incurred and accrued at quarter end. The shares vest immediately upon issuance. The Manager has agreed to hold any shares of common stock received by it as payment of the base management fee for at least three years from the date such shares of common stock are received.

Under the Company’s 2014 Director Equity Plan (the “Director Plan”), the Company may make stock-based awards to its directors. The Director Plan is designed to promote the Company’s interests by attracting and retaining qualified and experienced individuals for service as non-employee directors. The Director Plan is administered by the Company’s Board of Directors. The total number of shares of common stock or other stock-based awards, including grants of long-term incentive plan units (“LTIP Units”) from the Operating Partnership, available for issuance under the Director Plan is 60,000 shares. The Company issued to each of its independent directors restricted stock awards of 2,000 shares of its common stock upon joining the Board of Directors. The Company may also periodically issue additional restricted stock awards to its independent directors under the Director Plan. In addition, through December 31, 2021, each of the Company’s independent directors received an annual fee of $100,000, payable quarterly, 40% in shares of the Company's common stock and 60% in cash. The annual fee was increased to $140,000, 50% of which is payable in shares of the Company’s common stock and 50% in cash, effective as of January 1, 2022. The committee chairpersons also receive annual fees for their services. Through December 31, 2021, the chairpersons of the Compensation and Corporate Governance committees each received an annual fee of $10,000, payable quarterly, 100% in cash. The annual fee was increased to $15,000, 100% payable in cash, effective as of January 1, 2022. Through December 31, 2021, the chairperson of the audit committee received an annual fee of $15,000, payable quarterly, 100% in cash. The annual fee was increased to $20,000, 100% payable in cash, effective as of January 1, 2022. Stock-based expense for the directors’ annual fee and the committee chairperson’s annual fee is expensed as earned, in equal quarterly amounts during the year, and accrued at quarter end.

Under the Company's 2016 Equity Incentive Plan (the “2016 Plan”) the Company may make stock-based awards to attract and retain non-employee directors, executive officers, key employees and service providers, including officers and employees of the Company’s affiliates. The 2016 Plan authorized the issuance of up to 5% of the Company’s outstanding shares from time to time on a fully diluted basis (assuming, if applicable, the conversion of any outstanding warrants and convertible senior notes into shares of common stock). Grants of restricted stock under the 2016 Plan use grant date fair value of the stock as the basis for measuring the cost of the grant. Forfeitures of granted shares are accounted for in the period in which they occur. Share grants vest over the relevant service periods. The grant shares may not be sold by the recipient until the end of the service period, even if certain of the shares were subject to a ratable vesting and were fully vested before completion of the service period.

Directors’ Fees

The expense related to directors’ fees is accrued, and the portion payable in common stock is accrued in the period in which it is incurred.




The accompanying notes are an integral part of the consolidated interim financial statements.
18

Variable Interest Entities

In the normal course of business, the Company enters into various types of transactions with special purpose entities, which have primarily consisted of trusts established for the Company’s secured borrowings (see “Secured Borrowings” above and Note 9 to the consolidated financial statements). Additionally, from time to time, the Company may enter into joint ventures with unrelated entities, which also generally involves the formation of a special purpose entity. The Company evaluates each transaction and its resulting beneficial interest to determine if the entity formed pursuant to the transaction should be classified as a VIE. If an entity created in a transaction meets the definition of a VIE and the Company determines that it or a consolidated subsidiary is the primary beneficiary, the Company will include the entity in its consolidated financial statements.

Cash and Cash Equivalents

Highly liquid investments with an original maturity of three months or less when purchased are considered cash equivalents. The Company generally maintains cash and cash equivalents at insured banking institutions with minimum assets of $1 billion. Certain account balances exceed Federal Deposit Insurance Corporation (“FDIC”) insurance coverage and, as a result, there is a concentration of credit risk related to amounts on deposit in excess of FDIC insurance coverage.

Earnings per Share

The Company periodically grants restricted common shares which entitle the recipients to receive dividend equivalents during the vesting period on a basis equivalent to the dividends paid to holders of common shares. Unvested share-based compensation awards containing non-forfeitable rights to receive dividends or dividend equivalents (collectively, “dividends”) are classified as “participating securities” and are included in the basic earnings per share calculation using the two-class method.

Under the two-class method, all of the Company’s Consolidated net income attributable to common stockholders, consisting of Consolidated net income, less dividends on the Company’s Series A and Series B preferred stock, is allocated to common shares and participating securities, based on their respective rights to receive dividends. Basic earnings per share is determined by dividing Consolidated net income attributable to common stockholders, reduced by income attributable to the participating securities, by the weighted-average common shares outstanding during the period.

Diluted earnings per share is determined by dividing Consolidated net income attributable to diluted shareholders, which adds back to Consolidated net income attributable to common stockholders the interest expense and applicable portion of management fee expense, net of applicable income taxes, on the Company’s convertible senior notes, by the weighted-average common shares outstanding, assuming all dilutive securities, including stock grants, shares that would be issued in the event that warrants were redeemed for shares of common stock of the Company, shares issued in respect of the stock-based portion of the base fee payable to the Manager and independent directors, and shares that would be issued in the event of conversion of the Company’s outstanding convertible senior notes, were issued. In the event the Company were to record a net loss, potentially dilutive securities would be excluded from the diluted loss per share calculation, as their effect on loss per share would be anti-dilutive. The Company uses the treasury stock method of accounting for its outstanding warrants. Under the treasury stock method, the exercise of the warrants is assumed at the beginning of the period, and shares of common stock are assumed to have been issued. The proceeds from the exercise are assumed to be used by the Company to repurchase treasury stock, thereby reducing the assumed dilution from the warrant exercise. In applying the treasury stock method, all dilutive potential common shares, regardless of whether they are exercisable, are treated as if they had been exercised.

In the event that any of the adjustments normally included to arrive at diluted earnings per share were to produce an anti-dilutive result, one that either increased earnings or reduced the quantity of shares used in the calculation, the anti-dilutive adjustment would not be included in the diluted earnings per share calculation.

Fair Value of Financial Instruments

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A fair value hierarchy has been established that requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. The standard describes three levels of inputs that may be used to measure fair value:

•Level 1 — Quoted prices in active markets for identical assets or liabilities.



The accompanying notes are an integral part of the consolidated interim financial statements.
19

•Level 2 — Observable inputs other than Level 1 prices, such as quoted prices for similar assets and liabilities; quoted prices in markets that are not active; or other inputs that are observable or can be corroborated by observable market data for substantially the full term of the assets or liabilities.
•Level 3 — Unobservable inputs that are supported by little or no market activity and that are significant to the fair value of the assets or liabilities.

The degree of judgment utilized in measuring fair value generally correlates to the level of pricing observability. Assets and liabilities with readily available actively quoted prices or for which fair value can be measured from actively quoted prices generally will have a higher degree of pricing observability and a lesser degree of judgment utilized in measuring fair value. Conversely, assets and liabilities rarely traded or not quoted will generally have little or no pricing observability and a higher degree of judgment utilized in measuring fair value. Pricing observability is impacted by a number of factors, including the type of asset or liability, whether it is new to the market and not yet established, and the characteristics specific to the transaction.

The fair value of mortgage loans is estimated using the Manager’s proprietary pricing model which estimates expected cash flows with the discount rate used in the present value calculation representing the estimated effective yield of the loans.

The fair value of investments in debt securities is determined using estimates provided by the Company's financing counterparties. The Company also relies on the Manager's proprietary pricing model to estimate the underlying cash flows expected to be collected on these investments as a comparison to the estimates received from financing counterparties.

The fair value of investments in beneficial interests represent the residual investment in securitization trusts the Company forms with joint venture partners. The Company relies on its Manager's proprietary pricing model to estimate the underlying cash flows expected to be collected on its investments in beneficial interests.

The fair value of the Company's ownership interest in the Manager is valued by applying an earnings multiple to base fee revenue.

The fair value of the Company's ownership interests in AS Ajax E LLC and AS Ajax E II LLC are valued using estimates provided by financing counterparties and other publicly available information.

The fair value of the Company's ownership interest in GAFS, including warrants, is determined by applying an earnings multiple to expected earnings.

The fair value of the Company's ownership interest in Gaea is estimated using an implied capitalization rate applied to the value of the underlying properties and the Manager's propriety pricing model for loans.

The fair value of the Company's ownership interest in the loan pool LLCs is determined by using estimates of underlying assets and liabilities taken from its Manager's pricing model.

The fair value of secured borrowings is estimated using prices provided by the Company's financing counterparties, which are compared for reasonableness to the Manager’s proprietary pricing model which estimates expected cash flows of the underlying mortgage loans collateralizing the debt. The Company is able to call the bonds issued in its secured borrowings at par value plus accrued interest pursuant to the terms of the offering documents. The Company carries its secured borrowings net of deferred issuance cost. Accordingly, the difference between fair value and carrying value is partially driven by the deferred issuance costs.

The fair value of the Company's put option liability is adjusted to approximate market value through earnings. The put obligation is a fixed amount that may be settled in cash or shares of the Company’s common stock at the option of the Company. Fair value is determined using the discounted cash flow method using a rate to accrete the initial basis, adjusted for subsequent repurchases, to the future put obligation over the 39-month term of the put option liability. The fair value of the Company's put option liability is measured quarterly with adjustments posted to the Company's consolidated statements of operations.
The Company’s borrowings under its repurchase agreements are short-term in nature, and the Manager believes it can renew the current borrowing arrangements on similar terms in the future. Accordingly, the carrying value of these borrowings approximates fair value.




The accompanying notes are an integral part of the consolidated interim financial statements.
20

The Company’s 2024 Notes are traded on the NYSE under the ticker symbol "AJXA"; the debt’s fair value is determined from the closing price on the balance sheet date. The 2024 Notes may be redeemable at par plus accrued interest beginning on April 30, 2022 subject to satisfying the conversion price trigger. The Company carries its 2024 Notes net of deferred issuance cost. Accordingly, the difference between fair value and carrying value is partially driven by the deferred issuance costs.

The 2027 Notes payable fair value is determined using estimates provided by third party valuation services using observed transactions for similar financing arrangements. The 2027 Notes will mature on September 1, 2027, unless earlier repurchased or redeemed. The Company carries the 2027 Notes payable net of deferred issuance costs.

The fair value of property held-for-sale is determined using the lower of its acquisition basis or net realizable value. Net realizable value is determined based on BPOs, appraisals, or other market indicators of fair value, which are then reduced by anticipated selling costs. Net unrealized losses due to changes in market value are recognized through a valuation allowance by charges to income.

The carrying values of the Company's Cash and cash equivalents, Receivable from Servicer, Prepaid expenses and other assets, Management fee payable and Accrued expenses and other liabilities are equal to or approximate fair value.

Income Taxes

The Company initially elected REIT status upon the filing of its 2014 income tax return, and has conducted its operations in order to satisfy and maintain eligibility for REIT status. Accordingly, the Company does not believe it will be subject to U.S. federal income tax from the year ended December 31, 2014 forward on the portion of the Company’s REIT taxable income that is distributed to the Company’s stockholders as long as certain asset, income and stock ownership tests are met. If the Company fails to qualify as a REIT in any taxable year, it generally will not be permitted to qualify for treatment as a REIT for U.S. federal income tax purposes for the four taxable years following the year during which qualification is lost. In addition, notwithstanding the Company’s qualification as a REIT, it may also have to pay certain state and local income taxes, because not all states and localities treat REITs in the same manner that they are treated for U.S. federal income tax purposes.

The Company’s consolidated financial statements include the operations of GA-TRS and GAJX Real Estate Corp. and other TRS entities, which are subject to U.S. federal, state and local income taxes on their taxable income. Income from these entities and any other TRS that the Company forms in the future will be subject to U.S. federal and state income taxes. Deferred tax assets and liabilities are recognized for the future tax consequences or benefits attributable to differences between the carrying amounts of existing assets and liabilities and their respective tax bases. Deferred tax assets and liabilities are measured using enacted rates expected to apply to taxable income in the years in which management expects those temporary differences to be recovered or settled. The effect on deferred taxes of a change in tax rates is recognized in income in the period in which the change occurs. Subject to the Company’s judgment, it reduces a deferred tax asset by a valuation allowance if it is “more-likely-than-not” that some or all of the deferred tax asset will not be realized. Tax laws are complex and subject to different interpretations by the taxpayer and respective governmental taxing authorities. Significant judgment is required in evaluating tax positions, and the Company recognizes tax benefits only if it is more likely than not that a tax position will be sustained upon examination by the appropriate taxing authority.

The Company’s tax returns remain subject to examination and consequently, the taxability of the distributions and other tax positions taken by the Company may be subject to change. Distributions to stockholders generally will be primarily taxable as long-term capital gain, although a portion of such distributions may be designated as ordinary income or qualified dividend income, or may constitute a return of capital. The Company furnishes annually to each stockholder a statement setting forth distributions paid during the preceding year and their U.S. federal income tax treatment.

Estimates

The preparation of consolidated financial statements in conformity with U.S. GAAP requires the Company to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting periods. The Company considers significant estimates to include expected cash flows from its holdings of mortgage loans and beneficial interests in trusts, and their resolution methods and timelines, including foreclosure costs, eviction costs and property rehabilitation costs. Other significant estimates are fair value measurements, and the net realizable value of REO properties held-for-sale.





The accompanying notes are an integral part of the consolidated interim financial statements.
21

Reclassifications

The Company reclassified its restricted cash relating to mortgage repurchases of $3.1 million at December 31, 2021, from Cash held in trust in its consolidated balance sheets to Prepaid expenses and other assets, to conform to the current period presentation. This resulted in a reclassification in its reported cash flows of $0.2 million during the nine months ended September 30, 2021, from the beginning of period cash total to its operating activities from Prepaid expenses and other assets. There was no effect on the Company's reported earnings.

Segment Information

The Company’s primary business is acquiring, investing in and managing a portfolio of mortgage loans. The Company operates in a single segment focused on re-performing mortgages, and to a lesser extent non-performing mortgages and real property.

Recently Adopted Accounting Standards

In August 2020, the FASB issued ASU 2020-06, Debt – Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging – Contracts in an Entity’s Own Equity (Subtopic 815-40). The amendments in this update simplify the accounting for convertible instruments by removing certain accounting models that require separation of convertible instruments into debt and equity components with conversion features that are not required to be accounted for as derivatives or that do not result in substantial premiums. Consequently a convertible instrument will be accounted for as a single liability measured at its amortized cost and convertible preferred stock will be accounted for as a single instrument recorded at historical cost as long as no other features require bifurcation or recognition as derivatives. The Company adopted 2020-06 using the modified retrospective method as of the beginning of its calendar year 2022 and recorded a reduction in its additional paid-in capital account of $0.7 million and a corresponding increase in the carrying value of its 2024 Notes of $0.7 million, representing the carrying value of the conversion feature associated with the 2024 Notes.

Recently Issued Accounting Standards

In March 2022, the FASB issued ASU 2022-02, Financial Instruments – Credit Losses (Topic 326) – Troubled Debt Restructurings and Vintage Disclosures. The amendments in this update eliminate the accounting guidance for troubled debt restructurings by creditors, and require that an entity disclose current period gross write offs by year of origination for financing receivables and net investments in leases within the scope of subtopic 326-20. This guidance is effective for interim and annual reporting periods beginning after December 15, 2022, with early adoption permitted. The Company is currently evaluating the impact on its consolidated financial statements and related disclosures.

In June 2022, the FASB issued ASU 2022-03, Fair Value Measurement (Topic 820) – Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions. The amendments in this update clarify that a contractual restriction on the sale of an equity security is not considered part of the unit of account of the equity security and, therefore, is not considered in measuring fair value. The amendments also clarify that an entity cannot, as a separate unit of account, recognize and measure a contractual sale restriction. The amendments in this update also require the additional disclosures for equity securities subject to contractual sale restrictions. This guidance is effective for interim and annual reporting periods beginning after December 15, 2023, with early adoption permitted. The Company is currently evaluating the impact on its consolidated financial statements and related disclosures.




The accompanying notes are an integral part of the consolidated interim financial statements.
22

Note 3 — Mortgage Loans

The following table presents information regarding the carrying value for the Company's RPLs, NPLs and SBC loans as of September 30, 2022 and December 31, 2021 ($ in thousands):

September 30, 2022December 31, 2021
Loan portfolio basis by asset typeMortgage loans held-for-investment, netMortgage loans held-for-sale, netMortgage loans held-for-investment, netMortgage loans held-for-sale, net
Residential RPLs$887,412 $— $941,565 $29,572 
Residential NPLs107,267 — 119,520 — 
SBC loans11,707 — 19,349 — 
Total$1,006,386 $— $1,080,434 $29,572 

Included on the Company’s consolidated balance sheets as of September 30, 2022 and December 31, 2021 are approximately $1.0 billion and $1.1 billion, respectively, of RPLs, NPLs, and SBC loans that are held-for-investment and approximately zero and $29.6 million, respectively, of RPLs held-for-sale. At March 31, 2022 the Company reclassified $29.6 million of Mortgage loans held-for-sale to the Mortgage loans held-for-investment line in its consolidated balance sheet as it no longer intends to sell these loans.

The categorization of RPLs, NPLs and SBC loans is determined at acquisition. The carrying value of RPLs, NPLs and SBC loans reflects the original investment amount, plus accretion of interest income as well as credit and non-credit discount, less principal and interest cash flows received. The carrying values at September 30, 2022 and December 31, 2021, for the Company's loans in the table above, are presented net of a cumulative allowance for expected credit losses of $5.2 million and $7.1 million, respectively, reflected in the appropriate lines in the table by loan type. For the three and nine months ended September 30, 2022, the Company recognized $1.9 million and $7.0 million, respectively, of revenue due to a net decrease in expected credit losses resulting from increases in the present value of the expected cash flows. Comparatively, for the three and nine months ended September 30, 2021, the Company recognized $0.9 million and $9.1 million, respectively, of revenue due to a net decrease in expected credit losses resulting from increases in the present value of expected cash flows. For the three and nine months ended September 30, 2022, the Company accreted $16.8 million and $53.4 million, respectively, net of the impact of net changes in expected credit losses into interest income with respect to its RPL, NPL and SBC loans. Comparatively, for the three and nine months ended September 30, 2021, the Company accreted $16.6 million and $58.7 million, respectively, net of impact of net changes in expected credit losses into interest income with respect to its RPL, NPL and SBC loans.

Loss estimates are determined based on the net present value of the difference between the contractual cash flows and the expected cash flows over the expected life of the loans. Contractual cash flows are calculated based on the stated terms of the loans using a constant prepayment rate assumption. Expected cash flows are based on the Manager's proprietary model, which includes factors such as resolution method, resolution timeline, foreclosure costs, rehabilitation costs and eviction costs. Additional variables bearing upon cash flow expectations include the specific location of the underlying property, loan-to-value ratio, property age and condition, change and rate of change of borrower credit rating, servicing notes, interest rate, monthly payment amount and neighborhood rents.

The Company's mortgage loans are secured by real estate. Risks inherent in the Company's mortgage loan portfolio, affecting both the valuation of its mortgage loans as well as the portfolio's interest income include the risk of default, delays and inconsistency in the frequency and amount of payments, risks affecting borrowers such as man-made or natural disasters, or the pandemic caused by the novel coronavirus ("COVID-19") outbreak, and damage to or delay in realizing the value of the underlying collateral. The Company monitors the credit quality of the mortgage loans in its portfolio on an ongoing basis, principally by considering loan payment activity or delinquency status. In addition, the Company assesses the expected cash flows from the mortgage loans, the fair value of the underlying collateral and other factors, and evaluates whether and when it becomes probable that all amounts contractually due will not be collected.

During the three and nine months ended September 30, 2022, the Company purchased 34 and 40 RPLs with UPB of $9.1 million and $10.3 million, respectively. Comparatively, during the three and nine months ended September 30, 2021 the Company purchased four and 241 RPLs with UPB of $0.5 million and $41.7 million, respectively. During the three and nine months ended September 30, 2022, the Company purchased three and eight NPLs with UPB of $0.4 million and $1.5 million, respectively. Comparatively, for the three and nine months ended September 30, 2021, the Company purchased 364 and 367 NPLs with UPB of $90.9 million and $91.5 million, respectively. The Company purchased no SBC loans during both the three and nine months ended September 30, 2022. Comparatively, the Company had no SBC acquisitions during the three months



The accompanying notes are an integral part of the consolidated interim financial statements.
23

ended September 30, 2021; however, during the nine months ended September 30, 2021, the Company acquired one SBC loan with UPB of $3.6 million.

During the three and nine months ended September 30, 2022, the Company sold no mortgage loans. Comparatively, during the three months ended September 30, 2021, the Company sold no mortgage loans; however, during the nine months ended September 30, 2021, the Company sold 760 loans with a carrying value of $129.2 million and UPB of $133.8 million, to a sponsored joint venture between the Company and a third party accredited institutional investor resulting in the removal of the related loans from the consolidated balance sheet. The Company retained various classes of securities from the joint venture. See Note 10 — Related Party Transactions.

The Company adopted CECL using the prospective transition approach for PCD assets on January 1, 2020. At the time, $10.2 million of loan discount was reclassified to the allowance for expected credit losses with no net impact on the amortized cost basis of the portfolio. The Company has historically viewed its mortgage loan portfolio based on a combination of loan performance and legal ownership for loans held by certain consolidated trusts, and used seven pools at December 31, 2021 to aggregate its portfolio of PCD loans, and two pools for its non-PCD loans at December 31, 2021.

During the first quarter of 2022, the Company re-pooled all of the mortgage loans in its portfolio to reflect recent trends in market conditions and loan performance. At January 1, 2022, the Company's mortgage loans were re-aggregated based on payment patterns observed during the prior 18 month period. The portfolio is split between the Operating Partnership and Great Ajax REIT II as the entities are separate taxpayers and must maintain separate and complete books and records. At both the Operating Partnership and Great Ajax REIT II, the Company uses the following three pools for a total of six CECL pools:

1.Loans that have made at least seven of the last seven payments, either sequentially or in bulk and that have at least $50.0 thousand in absolute dollars of borrower equity;
2.Loans that have made at least seven of the last seven payments, either sequentially or in bulk and that have less than $50.0 thousand in absolute dollars of borrower equity; and
3.Loans that have not made at least seven of the last seven payments.

Based on historical data, the Company has observed that borrowers that make at least seven of the last seven payments, either sequentially or in bulk, are significantly less likely to default. Additionally, the Company has similarly observed that $50.0 thousand absolute dollars of equity similarly drives a lower default rate and reduces loss severity in the event of foreclosure.

At December 31, 2021, the Company aggregated its PCD mortgage loans in seven loan pools. Great Ajax REIT II holds loans included in the Company's rated securitization transaction which had all made at least 12 of the last 12 payments and met the pay string and loan to value requirements to obtain a AAA rating on the senior bond. Pool California contains all loans from California that were not included in Great Ajax REIT II. The Company's California loans generally outperform those of other states in that the Company rarely takes back an REO property because it receives foreclosure bids that exceed its investment in the mortgage loan. 7f7 and better contains all loans that have made at least seven on time payments, either sequentially or in bulk. Pool 6f6 and below contains loans that have not made seven of the last seven payments and, accordingly, have a much lower survival rate assumption in expected cash flows. Pool 2021-B is an on-balance-sheet secured borrowing consisting primarily of loans previously owned by 2018-C that were not eligible to be securitized in a rated transaction. Pool 2019-C was formed by acquiring the trust's outstanding equity certificate from an unaffiliated third party holder and recognizing the loans on the Company's balance sheet. The Company established the Ajax N pool to hold a small pool of loans which were designated as held-for-sale as of December 31, 2021. During the three months ended March 31, 2022, due to factors beyond the Company's control affecting the expected purchaser, the Company closed the Ajax N pool, re-pooling these loans into its other loan pools.

The portfolio of non-PCD loans at December 31, 2021 was grouped into two loan pools. During the three months ended March 31, 2022, the Company determined that the risk characteristics of the loans in its non-PCD loan pools were not materially different from the risk characteristics of the loans in its PCD loan pools and re-pooled these loans into its other loan pools based on the underlying characteristics.




The accompanying notes are an integral part of the consolidated interim financial statements.
24

The following table presents information regarding the year of origination of the Company's mortgage loan portfolio by basis ($ in thousands):

September 30, 2022
Mortgage loans held-for-investment, net2022202120202019201820172009-20162006-20082005 and priorTotal
GAOP - 7f7 >50$— $1,062 $5,542 $6,859 $2,536 $2,809 $32,584 $204,582 $82,589 $338,563 
GAOP - 7f7 <50— — — 60 — — 2,264 34,474 11,256 48,054 
GAOP - 6f6 and below2,071 1,002 876 1,479 589 1,707 17,784 98,879 31,143 155,530 
Great Ajax II REIT - 7f7 >50— — 737 602 806 609 36,356 256,314 91,486 386,910 
Great Ajax II REIT - 7f7 <50— — — 203 15 — 3,930 28,362 8,744 41,254 
Great Ajax II REIT - 6f6 and below— — — — — 48 4,976 19,988 11,063 36,075 
Total$2,071 $2,064 $7,155 $9,203 $3,946 $5,173 $97,894 $642,599 $236,281 $1,006,386 

December 31, 2021
Mortgage loans held-for-investment, net2021202020192018201720162009-20152006-20082005 and priorTotal
Great Ajax II REIT$— $764 $181 $698 $328 $1,730 $46,041 $339,759 $125,095 $514,596 
2021-B— — 589 — 2,353 443 28,541 159,318 50,948 242,192 
2019-C— — — — 265 — 9,020 96,995 39,801 146,081 
California— — 1,268 1,248 — — 1,681 6,431 1,373 12,001 
7f7 and better471 — 2,019 1,541 440 — 3,847 17,032 6,891 32,241 
6f6 and below— 1,351 1,783 1,470 209 368 9,885 70,163 28,774 114,003 
18-1 LLC— — 605 176 284 429 819 33 10 2,356 
Non-PCD3,771 8,831 3,855 — 507 — — — — 16,964 
Total$4,242 $10,946 $10,300 $5,133 $4,386 $2,970 $99,834 $689,731 $252,892 $1,080,434 

December 31, 2021
Mortgage loans held-for-sale, net2021202020192018201720162009-20152006-20082005 and priorTotal
Ajax N$— $— $204 $— $— $— $4,267 $15,893 $9,208 $29,572 
Total$— $— $204 $— $— $— $4,267 $15,893 $9,208 $29,572 

The following table presents a reconciliation between the purchase price and par value for the Company's loan acquisitions and originations for the three and nine months ended September 30, 2022 and 2021 ($ in thousands):




The accompanying notes are an integral part of the consolidated interim financial statements.
25

Three months ended September 30,Nine months ended September 30,
2022202120222021
PCD LoansNon-PCD LoansPCD LoansNon-PCD LoansPCD LoansNon-PCD LoansPCD LoansNon-PCD Loans
Par$9,509 $— $91,392 $— $11,851 $— $133,245 $3,611 
(Discount)/premium(740)— 2,582 — (880)— (737)(8)
Allowance(253)— (5,962)— (281)— (7,689)— 
Purchase Price$8,516 $— $88,012 $— $10,690 $— $124,819 $3,603 

The Company performs an analysis of its expectation of the amount of undiscounted cash flows expected to be collected from its mortgage loan pools at the end of each calendar quarter. Under CECL, the Company adjusts its allowance for expected credit losses when there are changes in its expectation of future cash flows as compared to the amounts expected to be contractually received. An increase to the allowance for expected credit losses will occur when there is a reduction in the Company's expected future cash flows as compared to its contractual amounts due. Reduction to the allowance, or recovery, may occur if there is an increase in expected future cash flows that were previously subject to an allowance for expected credit loss. A decrease in the allowance for expected credit losses is generally facilitated by reclassifying amounts to non-credit discount from the allowance and then recording the recovery. During the three months ended September 30, 2022, the Company recorded a $2.3 million reclassification to non-credit discount from the allowance for expected credit losses, and during the nine months ended September 30, 2022, the Company recorded a $4.5 million reclassification from non-credit discount to the allowance for expected credit losses. The reclassification to non-credit discount from the allowance for expected credit losses is driven by collections of cash that were previously unanticipated at acquisition as payment performance exceeded original expectations. During the three and nine months ended September 30, 2022, this was followed by a $1.9 million and $7.0 million, respectively, reduction of the allowance for expected credit losses due to increases in the net present value of expected cash flows. During both the three and nine months ended September 30, 2022, the Company also recorded $0.3 million increases in the allowance for expected credit losses due to new acquisitions. Comparatively, during the three months ended September 30, 2021 the Company recorded a $1.2 million reclassification to non-credit discount from the allowance for expected credit losses, and during the nine months ended September 30, 2021 the Company recorded a $2.6 million reclassification from non-credit discount to the allowance for expected credit losses. During the three and nine months ended September 30, 2021, this was followed by a $0.9 million and $9.1 million, respectively, reversal of the allowance for expected credit losses due to the increase in the net present value of expected cash flows. During the three and nine months ended September 30, 2021, the Company also recorded $6.0 million and $7.7 million increases, respectively, in the allowance for expected credit losses due to new acquisitions. During the three and nine months ended September 30, 2021, the Company reclassified zero and $1.7 million, respectively, of allowance to non-credit discount to reflect the impact of moving pool 2017-D to mortgage loans to a held-for-sale, net classification on the balance sheet. An analysis of the balance in the allowance for expected credit losses account follows ($ in thousands):

Three months ended September 30,Nine months ended September 30,
2022202120222021
Allowance for expected credit losses, beginning of period$(9,126)$(9,833)$(7,112)$(13,712)
Reclassification to/(from) non-credit discount from/(to) the allowance for changes in payment expectations2,304 1,175 (4,488)(2,607)
Increase in allowance for expected credit losses for loan acquisitions(253)(5,962)(281)(7,689)
Credit loss expense on mortgage loans(80)(164)(307)(757)
Reversal of allowance for expected credit losses due to increases in the net present value of expected cash flows1,935 908 6,968 9,148 
Reversal of allowance upon reclass of mortgage loans held-for-sale, net— — — 1,741 
Allowance for expected credit losses, end of period$(5,220)$(13,876)$(5,220)$(13,876)



The accompanying notes are an integral part of the consolidated interim financial statements.
26


The following table sets forth the carrying value of the Company’s mortgage loans by delinquency status as of September 30, 2022 and December 31, 2021 ($ in thousands):

September 30, 2022
Mortgage loans held-for-investment, netCurrent306090ForeclosureTotal
GAOP - 7f7 >50$194,956 $1,320 $38,515 $102,141 $1,631 $338,563 
GAOP - 7f7 <5024,169 235 6,987 16,439 224 48,054 
GAOP - 6f6 and below6,598 337 711 99,603 48,281 155,530 
Great Ajax II REIT - 7f7 >50328,288 3,412 35,631 19,474 105 386,910 
Great Ajax II REIT - 7f7 <5034,585 671 3,942 2,056 — 41,254 
Great Ajax II REIT - 6f6 and below— — 323 32,843 2,909 36,075 
Total$588,596 $5,975 $86,109 $272,556 $53,150 $1,006,386 

December 31, 2021
Mortgage loans held-for-investment, netCurrent306090ForeclosureTotal
Great Ajax II REIT$398,200 $52,782 $19,530 $41,931 $2,153 $514,596 
2021-B61,066 24,428 24,807 113,459 18,432 242,192 
2019-C78,238 13,920 11,738 35,727 6,458 146,081 
California3,938 661 — 5,132 2,270 12,001 
7f7 and better13,087 4,192 1,718 13,068 176 32,241 
6f6 and below15,169 4,408 2,064 62,456 29,906 114,003 
18-1 LLC2,123 67 111 55 — 2,356 
Non-PCD16,457 — — — 507 16,964 
Total$588,278 $100,458 $59,968 $271,828 $59,902 $1,080,434 

December 31, 2021
Mortgage loans held-for-sale, netCurrent306090ForeclosureTotal
Ajax N$13,485 $3,927 $2,369 $7,828 $1,963 $29,572 
Total$13,485 $3,927 $2,369 $7,828 $1,963 $29,572 

Note 4 — Real Estate Assets, Net

The Company acquires real estate assets either through direct purchases of properties or through conversions of mortgage loans in its portfolio when a mortgage loan is foreclosed upon and the Company takes title to the property on the foreclosure date or the borrower surrenders the deed in lieu of foreclosure.

Property Held-for-Sale and Rental Property

As of both September 30, 2022 and December 31, 2021, the Company’s net investments in real estate owned properties was $6.1 million, all of which related to properties held-for-sale. REO property is considered held-for-sale if the REO is expected to be actively marketed for sale. Also, included in the properties held-for-sale balance for the periods as of September 30, 2022 and December 31, 2021, was $0.4 million and $0.7 million, respectively, for properties undergoing renovation or which are otherwise in the process of being brought to market. As of September 30, 2022 and December 31, 2021, the Company had no rental properties. As of September 30, 2022 and December 31, 2021, the Company had a total of 37 and 31 real estate owned properties, respectively. For the three and nine months ended September 30, 2022 and 2021, the majority of the additions to REO held-for-sale were acquired through foreclosure or deed in lieu of foreclosure, reclassified out of the mortgage loan portfolio or from rental properties, or acquired through direct purchase.



The accompanying notes are an integral part of the consolidated interim financial statements.
27


The following table presents the activity in the Company’s carrying value of REO property for the three and nine months ended September 30, 2022 and 2021 ($ in thousands):

Three months ended September 30,Nine months ended September 30,
2022202120222021
Property Held-for-Sale and Rental PropertyCountAmountCountAmountCountAmountCountAmount
Balance at beginning of period37 $7,434 25 $4,768 31 $6,063 38 $8,526 
Net transfers from mortgage loans8 1,099 10 1,739 18 3,332 17 3,013 
Purchases1 27 — — 1 27 — — 
Adjustments to record at lower of cost or fair value — 22 — 78 — (78)— (170)
Depreciation on rental properties— — — (1)— — — (7)
Disposals(9)(2,508)(4)(487)(13)(3,270)(24)(5,265)
Balance at end of period37 $6,074 31 $6,097 37 $6,074 31 $6,097 

Dispositions

During the three and nine months ended September 30, 2022, the Company sold 9 and 13 REO properties, respectively, realizing net gains of approximately $0.8 million during both periods. Comparatively, for the three and nine months ended September 30, 2021, the Company sold 4 and 24 REO properties, respectively, realizing net gains of approximately $0.4 million and $0.6 million, respectively. These amounts are included in Other income on the Company's consolidated statements of operations. During the three and nine months ended September 30, 2022, the Company recorded a recovery of lower of cost or net realizable value adjustments in Real estate operating expense of $22.0 thousand and an expense of lower of cost or net realizable value adjustments in Real estate operating expense of $0.1 million, respectively. Comparatively, for the three and nine months ended September 30, 2021, the Company recorded a recovery of lower of cost or net realizable value adjustments in Real estate operating expense of $0.1 million and recorded an expense of lower of cost or net realizable value adjustments in Real estate operating expense of $0.2 million, respectively.

Note 5 — Investments

The Company holds investments in various debt securities and beneficial interests which are the net residual interest of the Company’s investments in securitization trusts holding pools of mortgage loans. The Company's debt securities and beneficial interests are issued by securitization trusts, which are VIEs that the Company does not consolidate since it has determined it is not the primary beneficiary. See Note 10 — Related Party Transactions. The Company marks its debt securities to fair value using prices provided by financing counterparties, and believes any unrealized losses to be temporary. The
Company carries its investments in beneficial interests at amortized cost.

Risks inherent in the Company's debt securities portfolio, affecting both the valuation of its securities as well as the portfolio's interest income include the risk of default, delays and inconsistency in the frequency and amount of payments, interest rate risk, risks affecting borrowers such as man-made or natural disasters, or the COVID-19 pandemic, and damage to or delay in realizing the value of the underlying collateral. The Company monitors the credit quality of the mortgage loans underlying its debt securities on an ongoing basis, principally by considering loan payment activity or delinquency status. In addition, the Company assesses the expected cash flows from the mortgage loans, the fair value of the underlying collateral and other factors, and evaluates whether and when it becomes probable that all amounts contractually due will not be collected. The following table presents information regarding the Company's investments in debt securities and investments in beneficial interests ($ in thousands):




The accompanying notes are an integral part of the consolidated interim financial statements.
28

As of September 30, 2022
Basis(1)
Gross unrealized gainsGross unrealized lossesCarrying value
Debt securities, at fair value$280,232 $42 $(22,462)$257,812 
Investment in beneficial interests at amortized cost, net of allowance for credit losses127,669 — — 127,669 
Total investments$407,901 $42 $(22,462)$385,481 
(1)Basis amount is net of amortized discount, principal paydowns and interest receivable on securities of $0.1 million.

As of December 31, 2021
Basis(1)
Gross unrealized gainsGross unrealized lossesCarrying value
Debt securities, at fair value$354,158 $1,822 $(802)$355,178 
Investment in beneficial interests at amortized cost, net of allowance for credit losses139,588 — — 139,588 
Total investments$493,746 $1,822 $(802)$494,766 
(1)Basis amount is net of amortized discount, allowance for expected credit losses on beneficial interests, principal paydowns and interest receivable on securities of $0.3 million.

The following table presents a breakdown of the Company's gross unrealized losses ($ in thousands):

As of September 30, 2022
Step-up date(s)(1)
Basis(2)
Gross unrealized lossesCarrying value
Debt securities due November 2051(3)
March 2025$38,789 $(1,787)$37,002 
Debt securities due September 2059(4)
February 2023/April 202315,714 (739)14,975 
Debt securities due November 2059(3)
April 20237,036 (238)6,798 
Debt securities due December 2059(3)
July 202334,779 (2,062)32,717 
Debt securities due March 2060(3)
February 202515,051 (1,621)13,430 
Debt securities due June 2060(3)
March 20248,310 (504)7,806 
Debt securities due December 2060(3)
July 202943,978 (5,262)38,716 
Debt securities due January 2061(5)
September 202412,250 (728)11,522 
Debt securities due June 2061(6)
January 2025/February 202576,947 (8,075)68,872 
Debt securities due October 2061(3)
April 202912,542 (857)11,685 
Debt securities due March 2062(3)
May 202911,332 (589)10,743 
Total$276,728 $(22,462)$254,266 
(1)Step-up date is the date at which the coupon interest rate on the security increases. The Company expects the security to be called before the step-up date.
(2)Basis amount is net of any realized amortized costs and principal paydowns.
(3)This security has been in an unrealized loss position for less than 12 months.
(4)This line is comprised of two securities that are both due September 2059. One security with a balance of $0.3 million has been in a loss position for less than 12 months and has a step-up date in February 2023, and the other security of $0.4 million has been in a loss position for less than 12 months and has a step-up date in April 2023.
(5)This security has been in an unrealized loss position for 12 months or longer.
(6)This line is comprised of two securities that are both due June 2061. One security with a balance of $5.4 million has been in an unrealized loss position for 12 months or longer and has a step-up date in January 2025, and the other security of $2.6 million has been in a loss position for less than 12 months and has a step-up date in February 2025.




The accompanying notes are an integral part of the consolidated interim financial statements.
29

As of December 31, 2021
Step-up date(s)(1)
Basis(2)
Gross unrealized lossesCarrying value
Debt securities due November 2051(3)
March 2025$44,902 $(12)$44,890 
Debt securities due June 2057(3)
April 2022(5)
23,165 (3)23,162 
Debt securities due September 2059(3)
February 20239,173 (24)9,149 
Debt securities due December 2059(3)
July 202340,502 (87)40,415 
Debt securities due March 2060(3)
February 202516,977 (91)16,886 
Debt securities due January 2061(3)
September 202414,000 (140)13,860 
Debt securities due June 2061(4)
January 2025/February 202586,909 (445)86,464 
Total$235,628 $(802)$234,826 
(1)Step-up date is the date at which the coupon interest rate on the security increases. The Company expects the security to be called before the step-up date.
(2)Basis amount is net of any realized amortized costs and principal paydowns.
(3)This security has been in an unrealized loss position for less than 12 months.
(4)This line is comprised of two securities that are both due June 2061. One security with a balance of $0.4 million has been in an unrealized loss position for less than 12 months and has a step-up date in January 2025, and the other security of $0.1 million been in a loss position for less than 12 months and has a step-up date in February 2025.
(5)On January 25, 2022 the step-up date for this security was extended from January 2022 to April 2022.

As of September 30, 2022, the Company had a gross unrealized loss of $22.5 million and a gross unrealized gain of $42.0 thousand in fair valuation adjustments in accumulated other comprehensive income on the consolidated balance sheet on total investments with a fair value of $257.8 million, which includes $0.1 million in interest receivable. As of December 31, 2021, the Company recorded $1.8 million of gross unrealized gains and a gross unrealized loss of $0.8 million in fair valuation adjustments in accumulated other comprehensive income on the consolidated balance sheet on total investments with a fair value of $355.2 million, which includes $0.3 million in interest receivable.

During the three months ended September 30, 2022, the Company acquired zero securities. During the nine months ended September 30, 2022, the Company re-securitized, with an accredited institutional investor, Ajax Mortgage Loan Trust 2018-D and 2018-G ("2018-D and -G") joint ventures into Ajax Mortgage Loan Trust 2022-A ("2022-A") and retained 23.28% or $49.2 million of varying classes of agency rated securities and equity. 2022-A acquired 811 RPLs and NPLs with UPB of $215.5 million and an aggregate property value of $518.8 million. The AAA through A rated securities represent 71.9% of the UPB of the underlying mortgage loans and carry a weighted average coupon of 3.47%. This is the first fully rated securitization structure to include a substantial amount of NPLs. Approximately 33.90% of loan UPB in 2022-A was 60 days or more delinquent. Also, the Company re-securitized, with an accredited institutional investor, Ajax Mortgage Loan Trust 2019-A and 2019-B ("2019-A and -B") joint ventures into Ajax Mortgage Loan Trust 2022-B ("2022-B") and retained 17.18% or $36.8 million of varying classes of agency rated securities and equity. 2022-B acquired 1,106 RPLs and NPLs with UPB of $220.8 million and an aggregate property value of $575.5 million. The AAA through A rated securities represent 76.9% of the UPB of the underlying mortgage loans and carry a weighted average coupon of 3.47%. Comparatively, during the three and nine months ended September 30, 2021, the Company acquired $54.7 million and $287.6 million, respectively, in aggregate of debt securities and beneficial interests issued by joint ventures between the Company and third party institutional accredited investors. The joint ventures issued senior notes and beneficial interests. In certain transactions, the joint ventures also issued subordinated notes. Of the $54.7 million and $287.6 million, respectively, the Company acquired $43.2 million and $213.1 million, respectively, in senior notes, $8.3 million and $31.8 million, respectively, in subordinate notes and $3.2 million and $42.7 million, respectively, in beneficial interests issued by joint ventures. As of September 30, 2022, the investments in debt securities and beneficial interests were carried on the Company's consolidated balance sheet at $257.8 million and $127.7 million, respectively.

At December 31, 2021, the investments in debt securities and beneficial interests were carried on the Company's consolidated balance sheet at $355.2 million and $139.6 million, respectively. During the three and nine months ended September 30, 2022, the Company sold senior notes issued by certain joint ventures and recognized a loss of $0.9 million. Comparatively, during the three and nine months ended September 30, 2021, the Company sold senior notes issued by certain joint ventures and recognized a gain of $0.2 million. As of September 30, 2022 and December 31, 2021, the Company had no securities that were past due.




The accompanying notes are an integral part of the consolidated interim financial statements.
30

During the first quarter of 2022, the Company recorded an impairment of $4.0 million on its beneficial interests in 2018-D and -G in other loss/income on its consolidated statements of operations, which became a realized loss when the transaction closed during the second quarter of 2022. During the second quarter of 2022, the Company recorded a loss of $2.1 million on its beneficial interests in 2019-A and -B in other loss/income on its consolidated statements of operations. Although the Company continues to own approximately the same interest in the underlying mortgage loans and related cash flows, the beneficial interests are accounted for as distinct legal securities and were received through a combination of the beneficial interest in 2022-A and -B and cash received from the sale of the underlying loans in 2022-A and -B. The decline in loan prices driven by disruption in the markets since year end resulted in lower than expected cash proceeds at redemption. For the three and nine months ended September 30, 2022, the Company recognized a loss of zero and $6.1 million, respectively, in other loss/income.

The following table presents a reconciliation between the purchase price and par value for the Company's beneficial interests acquisitions for the three and nine months ended September 30, 2022 and 2021 ($ in thousands):

Three months ended September 30,Nine months ended September 30,
2022202120222021
Par$— $5,177 $14,720 $51,662 
(Discount)/premium— (1,346)1,087 (6,771)
Allowance— (618)— (2,211)
Purchase Price$— $3,213 $15,807 $42,680 

The Company generally recognizes increases and decreases in the net present value of expected cash flows in earnings in the period they occur. An expense is recorded to increase the allowance for expected credit losses when there is a reduction in the Company’s expected future cash flows compared to contractual amounts due. Income is recognized if there is an increase in expected future cash flows to the extent an allowance has been recorded against the beneficial interest. If there is no allowance for expected credit losses recorded against a beneficial interest, any increase in expected cash flows is recognized prospectively as a change in yield. A decrease in the allowance for expected credit losses is generally facilitated by reclassifying amounts to non-credit discount from the allowance and then recording the reduction to the allowance through the income statement. Management assesses the credit quality of the portfolio and the adequacy of loss reserves on a quarterly basis, or more frequently as necessary.

During the three and nine months ended September 30, 2022, the Company recorded a zero and $0.8 million reclassification to non-credit discount from the allowance for changes in payment expectations and zero and $0.1 million increase in the allowance for expected credit losses due to decreases in the net present value of expected cash flows, respectively. Comparatively, during three and nine months ended September 30, 2021, the Company recorded a reclassification from non-credit discount to the allowance for changes in payment expectations of $0.3 million and $0.5 million, respectively. During the three and nine months ended September 30, 2021, the Company recorded reversals of the allowance for expected credit losses for beneficial interests of $2.8 million and $4.8 million, respectively.

An analysis of the balance in the allowance for expected credit losses for beneficial interests account follows ($ in thousands):

Three months ended September 30,Nine months ended September 30,
2022202120222021
Allowance for expected credit losses, beginning balance$— $(2,959)$(615)$(4,453)
Reclassification (from)/to non-credit discount (to)/from the allowance for changes in payment expectations— (344)759 (502)
Credit loss expense on beneficial interests— (85)(50)(440)
Reversal of/(increase in) allowance for expected credit losses due to increases/(decreases) in the net present value of expected cash flows— 2,770 (94)4,777 
Allowance for expected credit losses, ending balance$— $(618)$— $(618)




The accompanying notes are an integral part of the consolidated interim financial statements.
31

Note 6 — Fair Value

Recurring financial assets and liabilities measured and carried at fair value by level within the fair value hierarchy as of September 30, 2022 and December 31, 2021 ($ in thousands):

Level 1Level 2Level 3
September 30, 2022Carrying valueQuoted prices in active marketsObservable inputs other than Level 1 pricesUnobservable inputs
Recurring financial assets
Investment in debt securities at fair value$257,812 $— $257,812 $— 
Recurring financial liabilities
Put option liability$10,722 $— $— $10,722 

Level 1Level 2Level 3
December 31, 2021Carrying valueQuoted prices in active marketsObservable inputs other than Level 1 pricesUnobservable inputs
Recurring financial assets
Investment in debt securities at fair value$355,178 $— $355,178 $— 
Recurring financial liabilities
Put option liability$23,667 $— $— $23,667 

The following tables set forth the fair value of financial instruments by level within the fair value hierarchy as of September 30, 2022 and December 31, 2021 ($ in thousands):

Level 1Level 2Level 3
September 30, 2022Carrying valueQuoted prices in active marketsObservable inputs other than Level 1 pricesUnobservable inputs
Financial assets
Mortgage loans held-for-investment, net$1,006,386 $— $— $986,977 
Investment in beneficial interests$127,669 $— $— $127,669 
Investment in Manager$942 $— $— $11,357 
Investment in AS Ajax E LLC$473 $— $616 $— 
Investment in AS Ajax E II LLC$2,261 $— $2,274 $— 
Investment in GAFS, including warrants$2,142 $— $— $3,320 
Investment in Gaea$24,932 $— $— $26,326 
Investment in Loan pool LLCs$194 $— $— $778 
Financial liabilities
Secured borrowings, net$481,824 $— $433,736 $— 
Borrowings under repurchase transactions$463,256 $— $463,256 $— 
Convertible senior notes, net $104,061 $99,750 $— $— 
Notes payable$106,169 $— $102,720 $— 




The accompanying notes are an integral part of the consolidated interim financial statements.
32

Level 1Level 2Level 3
December 31, 2021Carrying valueQuoted prices in active marketsObservable inputs other than Level 1 pricesUnobservable inputs
Financial assets
Mortgage loans held-for-investment, net$1,080,434 $— $— $1,174,660 
Mortgage loans held-for-sale, net$29,572 $— $— $32,857 
Investment in beneficial interests$139,588 $— $— $139,588 
Investment in Manager$1,502 $— $— $12,346 
Investment in AS Ajax E LLC$569 $— $721 $— 
Investment in AS Ajax E II LLC$2,550 $— $2,824 $— 
Investment in GAFS, including warrants$2,602 $— $— $3,320 
Investment in Gaea$19,571 $— $— $21,170 
Investment in Loan pool LLCs$226 $— $— $853 
Financial liabilities
Secured borrowings, net$575,563 $— $580,166 $— 
Borrowings under repurchase agreement$546,054 $— $546,054 $— 
Convertible senior notes, net$102,845 $108,816 $— $— 

The fair value of mortgage loans is estimated using the Manager’s proprietary pricing model which estimates expected cash flows with the discount rate used in the present value calculation representing the estimated effective yield of the mortgage loans.

The fair value of investments in debt securities is determined using estimates provided by the Company's financing counterparties. The Company also relies on its Manager's proprietary pricing model to estimate the underlying cash flows expected to be collected on these investments as a comparison to the estimates received from financing counterparties.

The fair value of investments in beneficial interests represent the residual investment in securitization trusts the Company forms with joint venture partners. The Company relies on its Manager’s proprietary pricing model to estimate the underlying cash flows expected to be collected on its investments in beneficial interests.

The fair value of the Company's ownership interest in the Manager is valued by applying an earnings multiple to base fee revenue.

The fair value of the Company’s ownership interest in AS Ajax E LLC and AS Ajax E II LLC are valued using estimates provided by financing counterparties or other publicly available information.

The fair value of the Company’s ownership interest in GAFS, including warrants, is determined by applying an earnings multiple to expected earnings.

The fair value of the Company’s ownership interest in Gaea is estimated using an implied capitalization rate applied to the value of the underlying properties and the Manager's propriety pricing model for loans.

The fair value of the Company’s ownership interest in the loan pool LLCs is determined by using estimates of underlying assets and liabilities taken from its Manager’s pricing model.

The fair value of secured borrowings is estimated using prices provided by the Company's financing counterparties, which are compared for reasonableness to the Manager’s proprietary pricing model which estimates expected cash flows of the underlying mortgage loans collateralizing the debt. The Company is able to call the bonds issued in its secured borrowings at par value plus accrued interest pursuant to the terms of the offering document. The Company carries its secured borrowings net of deferred issuance cost. Accordingly, the difference between fair value and carrying value is partially driven by the deferred issuance costs.

The Company’s put option liability is adjusted to approximate market value through earnings. The put obligation is a fixed amount that may be settled in cash or shares of the Company’s common stock at the option of the Company. Fair value is



The accompanying notes are an integral part of the consolidated interim financial statements.
33

determined using the discounted cash flow method using a rate to accrete the initial basis, adjusted for subsequent repurchases, to the future put obligation. The fair value of the Company’s put option liability is measured quarterly with adjustments posted to the Company's consolidated statements of operations.

The Company’s borrowings under repurchase agreements are short-term in nature, and the Manager believes it can renew the current borrowing arrangements on similar terms in the future. Accordingly, the carrying value of these borrowings approximates fair value.

The Company’s 2024 Notes are traded on the NYSE; the debt’s fair value is determined from the NYSE closing price on the balance sheet date. The 2024 Notes will mature on April 30, 2024, unless earlier repurchased, converted or redeemed. The Company carries its 2024 Notes net of deferred issuance cost. Accordingly, the difference between fair value and carrying value is partially driven by the deferred issuance costs.

The 2027 Notes payable fair value is determined using estimates provided by third party valuation services using observed transactions for similar financing arrangements. The 2027 Notes will mature on September 1, 2027, unless earlier repurchased or redeemed. The Company carries the 2027 Notes payable net of deferred issuance costs.

The carrying values of its Cash and cash equivalents, Receivable from Servicer, Prepaid expenses and other assets, Management fee payable and Accrued expenses and other liabilities are equal to or approximate fair value.

Non-financial assets

The fair value of property held-for-sale is determined using the lower of its acquisition cost ("cost") or net realizable value. Net realizable value is determined based on BPOs, appraisals, or other market indicators of fair value less expected liquidation costs. The lower of cost or net realizable value for the Company’s REO Property is stated as its carrying value. The following tables set forth the fair value of non-financial assets by level within the fair value hierarchy as of September 30, 2022 and December 31, 2021 ($ in thousands):

Level 1Level 2Level 3
September 30, 2022Carrying valueNine months ended fair value adjustment recognized in the consolidated statements of operationsQuoted prices in active marketsObservable inputs other than Level 1 pricesUnobservable inputs
Non-financial assets   
Property held-for-sale$6,074 $(78)$— $— $6,074 
 Level 1Level 2Level 3
December 31, 2021Carrying valueFair value adjustment recognized in the consolidated statements of operationsQuoted prices in active marketsObservable inputs other than Level 1 pricesUnobservable inputs
Non-financial assets    
Property held-for-sale$6,063 $(293)$— $— $6,063 

Note 7 — Affiliates

Unconsolidated Affiliates

At both September 30, 2022 and December 31, 2021, and for the three and nine months ended September 30, 2022 and 2021, the Company had ownership interests in six affiliated entities accounted for under the equity method of accounting.

At both September 30, 2022 and December 31, 2021, the Company’s ownership interest in the Manager, a privately held company for which there is no public market for its securities, was approximately 19.8%. The Company accounts for its ownership interest in the Manager using the equity method.




The accompanying notes are an integral part of the consolidated interim financial statements.
34

At both September 30, 2022 and December 31, 2021, the Company's ownership interest was approximately 8.0% in GAFS. The Company accounts for its investment in GAFS using the equity method.

At September 30, 2022 and December 31, 2021, the Company owned approximately 22.1% and 22.8% of Gaea, respectively. The Company accounts for its ownership interest in Gaea using the equity method.

At both September 30, 2022 and December 31, 2021, the Company’s ownership interest in AS Ajax E LLC, a Delaware trust formed to own residential mortgage loans and residential real estate assets, was approximately 16.5%. AS Ajax E LLC owns a 5.0% equity interest in Ajax E Master Trust which holds a portfolio of RPLs. The Company accounts for its ownership interest using the equity method.

At both September 30, 2022 and December 31, 2021, the Company’s ownership interest was approximately 40.1% in two loan pool LLCs managed by the Servicer, which hold investments in RPLs and NPLs. The Company accounts for its ownership interest using the equity method.

The table below shows the net income, assets and liabilities for the Company’s unconsolidated affiliates at 100%, and at the Company’s share ($ in thousands):

Net income/(loss), assets and liabilities of unconsolidated affiliates at 100%

Three months ended September 30,Nine months ended September 30,
Net income/(loss) at 100%
2022202120222021
AS Ajax E LLC$45 $66 $85 $162 
Loan pool LLCs$(49)$(41)$(81)$(92)
Thetis Asset Management LLC$(502)$665 $(1,065)$2,945 
Gaea Real Estate Corp.$(757)$(123)$(1,209)$136 
Great Ajax FS LLC$(2,458)$(460)$(5,734)$(1,148)

September 30, 2022December 31, 2021
Assets and Liabilities at 100%
AssetsLiabilitiesAssetsLiabilities
AS Ajax E LLC$2,957 $2 $3,545 $2 
Loan pool LLCs$2,247 $4,147 $2,242 $4,060 
Thetis Asset Management LLC$7,255 $2,791 $9,498 $1,904 
Gaea Real Estate Corp.$151,121 $44,717 $105,667 $24,305 
Great Ajax FS LLC$76,156 $62,838 $66,355 $47,293 




The accompanying notes are an integral part of the consolidated interim financial statements.
35

Net income/(loss), assets and liabilities of unconsolidated affiliates at the Company's share

Three months ended September 30,Nine months ended September 30,
Net income/(loss) at the Company's share2022202120222021
AS Ajax E LLC$7 $11 $14 $27 
Loan pool LLCs$(20)$(16)$(33)$(37)
Thetis Asset Management LLC$(99)$132 $(211)$583 
Gaea Real Estate Corp.$(167)$(28)$(268)$32 
Great Ajax FS LLC$(197)$(37)$(460)$(92)

September 30, 2022December 31, 2021
Assets and Liabilities at the Company's share AssetsLiabilitiesAssetsLiabilities
AS Ajax E LLC$487 $— $583 $— 
Loan pool LLCs$902 $1,670 $900 $1,635 
Thetis Asset Management LLC$1,437 $553 $1,881 $377 
Gaea Real Estate Corp.$33,322 $9,860 $24,092 $5,542 
Great Ajax FS LLC$6,092 $5,027 $5,308 $3,783 

Consolidated Affiliates

The Company consolidates the results and balances of certain securitization trusts which are established to provide debt financing to the Company by securitizing pools of mortgage loans. These trusts are considered to be VIEs, and the Company has determined that it is the primary beneficiary of certain of these VIEs. See Note 9 — Debt.

The Company also consolidates the activities and balances of its controlled affiliates, which include AS Ajax E II, which was established to hold an equity interest in a Delaware trust formed to own residential mortgage loans and residential real estate assets. At both September 30, 2022 and December 31, 2021, AS Ajax E II was 53.1% owned by the Company, with the remainder held by third parties. 2017-D is a securitization trust formed to hold mortgage loans, REO property and secured borrowings. At both September 30, 2022 and December 31, 2021, the Company held a 50.0% ownership in the remaining loans held by 2017-D. Great Ajax II REIT wholly owns Great Ajax II Depositor LLC which acts as the depositor of mortgage loans into securitization trusts and holds subordinated securities issued by such trusts. At both September 30, 2022 and December 31, 2021, Great Ajax II REIT was 99.9% owned by the Company. Similarly, as of September 30, 2022 and December 31, 2021, the Operating Partnership wholly owned Great Ajax III Depositor LLC, which was formed to act as the depositor into 2021-E.

Note 8 — Commitments and Contingencies

The Company regularly enters into agreements to acquire additional mortgage loans and mortgage-related assets, subject to continuing diligence on such assets and other customary closing conditions. There can be no assurance that the Company will acquire any or all of the mortgage loans or other assets identified in any acquisition agreement as of the date of these consolidated financial statements, and it is possible that the terms of such acquisitions may change.

At September 30, 2022, the Company had commitments to purchase with third party institutional accredited investors, subject to due diligence, 2,065 RPLs secured by single-family residences with aggregated UPB of $312.5 million. See Note 15 — Subsequent Events, for remaining open acquisitions as of the filing date.

During the three months ended June 30, 2020, the Company issued an aggregate of $125.0 million, net of offering costs, of preferred stock in two series and warrants to institutional accredited investors in a series of private placements. The Company issued 2,307,400 shares of 7.25% Series A Fixed-to-Floating Rate Preferred Stock and 2,892,600 shares of 5.00% Series B Fixed-to-Floating Rate Preferred Stock, and two series of five-year warrants to purchase an aggregate of 6,500,000 shares of the Company's common stock at an exercise price of $10.00 per share. The preferred shares have a liquidation preference of $25.00 per share. Each series of warrants includes a put option that allows the holder to sell the warrants to the Company at a specified put price on or after July 6, 2023. U.S. GAAP requires the Company to account for the outstanding warrants as if the put option will be exercised by the holders.




The accompanying notes are an integral part of the consolidated interim financial statements.
36

During the three and nine months ended September 30, 2022, the Company repurchased and retired 1,113,932 and 1,882,451 shares, respectively, of its series A preferred stock and 1,525,529 and 1,757,010 shares, respectively, of its series B preferred stock in a series of repurchase transactions. The series A and series B preferred stock was repurchased during the three and nine months ended September 30, 2022, for an aggregate of $64.2 million and $88.7 million, respectively, at an average price of $24.32 and $24.37 per share, respectively, representing a discount of approximately 2.7% and 2.5%, respectively, to the face value of $25.00 per share. The repurchase of the preferred stock caused the recognition of $5.7 million and $8.2 million of preferred stock discount during the three and nine months ended September 30, 2022. There was no repurchase of preferred stock in either the three or nine months ended September 30, 2021. Also during the three and nine months ended September 30, 2022, the Company repurchased and retired 3,299,328 and 4,549,328 of the outstanding warrants for $25.8 million and $35.0 million, respectively. The remaining liability on the consolidated balance sheet at September 30, 2022 for the present value of the put liability on the remaining outstanding warrants is $10.7 million, representing the fair value of the put liability at the balance sheet date. The Company is accreting the amount of the liability under the effective interest method to its expected future put value of $15.7 million and marks the obligation to market through earnings. The expense is recognized in the Fair value adjustment on put option liability line of the Company's consolidated statements of operations. The following table sets forth the details of the Company's put option liability ($ in thousands):

Three months ended September 30,Nine months ended September 30,
2022202120222021
Beginning balance$24,834 $18,350 $23,667 $14,205 
Fair value adjustments during the period2,917 2,493 9,712 6,638 
Repurchases(17,029)— (22,657)— 
Ending balance$10,722 $20,843 $10,722 $20,843 

Litigation, Claims and Assessments

From time to time, the Company may be involved in various claims and legal actions arising in the ordinary course of business. As of September 30, 2022, the Company was not a party to, and its properties were not subject to, any pending or threatened legal proceedings that individually or in the aggregate, are expected to have a material impact on its financial condition, results of operations or cash flows.

Note 9 — Debt

Repurchase Agreements

The Company has entered into two repurchase facilities whereby the Company, through two wholly owned Delaware trusts (the “Trusts”) acquires pools of mortgage loans which are then sold by the Trusts, as “Seller” to two separate counterparties, the “buyer” or “buyers.” One facility has a ceiling of $150.0 million and the other $400.0 million at any one time. Upon the time of the initial sale to the buyer, the Trust, with a simultaneous agreement, also agrees to repurchase the pools of mortgage loans from the buyer. Mortgage loans sold under these facilities carry interest calculated based on a spread to one-month SOFR, which is fixed for the term of the borrowing. The purchase price that the Trust realizes upon the initial sale of the mortgage loans to the buyer can vary between 70% and 85% of the asset’s acquisition price, depending upon the facility being utilized and/or the quality of the underlying collateral. The obligations of a Trust to repurchase these mortgage loans at a future date are guaranteed by the Company's Operating Partnership. The difference between the market value of the asset and the amount of the repurchase agreement is generally the amount of equity in the position and is intended to provide the buyer with some protection against fluctuations in the value of the collateral, and/or a failure by the Company to repurchase the asset and repay the borrowing at maturity.

The Company has also entered into four repurchase facilities substantially similar to the mortgage loan repurchase facilities, but where the pledged assets are securities retained from the Company's securitization transactions. These facilities have no effective ceilings. Each repurchase transaction represents its own borrowing. As such, the ceilings associated with these transactions are the amounts currently borrowed at any one time. The Company has effective control over the assets subject to all of these transactions; therefore, the Company’s repurchase transactions are accounted for as financing arrangements.

The Servicer services these mortgage loans pursuant to the terms of a Servicing Agreement by and between the Servicer and each buyer. Each Servicing Agreement has the same fees and expenses terms as the Company’s Servicing Agreement described under Note 10 — Related Party Transactions. The Operating Partnership, as guarantor, will provide to the buyers a limited guaranty of certain losses incurred by the buyers in connection with certain events and/or the Seller’s



The accompanying notes are an integral part of the consolidated interim financial statements.
37

obligations under the mortgage loan purchase agreement, following the breach of certain covenants by the Seller, the occurrence of certain bad acts by the Seller, the occurrence of certain insolvency events of the Seller or other events specified in the Guaranty. As security for its obligations under the Guaranty, the guarantor will pledge the trust certificate representing the Guarantor’s 100% beneficial interest in the Seller.

The following table sets forth the details of the Company’s repurchase transactions and facilities ($ in thousands):

September 30, 2022
Maturity DateAmount OutstandingAmount of CollateralInterest Rate
Barclays - bonds(1)
$110,312 $152,652 3.61 %
A BondsOctober 3, 202237,657 54,929 3.45 %
October 7, 20227,982 9,497 2.96 %
October 21, 202254,507 71,674 3.73 %
B BondsOctober 3, 20223,975 6,338 3.71 %
October 21, 20224,684 7,703 4.30 %
M BondsOctober 7, 2022311 533 3.52 %
October 21, 20221,196 1,978 3.94 %
Nomura - loans(2)
October 6, 2022$224,698 $294,666 5.10 %
Nomura - bonds(1)
$38,513 $57,268 4.57 %
A BondsOctober 12, 20224,156 5,572 3.82 %
November 18, 20227,139 10,178 4.16 %
December 16, 20224,026 5,364 4.68 %
December 23, 202212,177 18,457 4.80 %
B BondsNovember 14, 20222,937 4,427 4.52 %
November 23, 20223,172 5,179 4.58 %
December 16, 20221,106 1,687 5.08 %
December 23, 20223,800 6,404 5.20 %
Goldman Sachs - bonds(1)
$3,464 $4,758 3.95 %
A BondsOctober 14, 20223,464 4,758 3.95 %
JP Morgan - bonds(1)
$74,035 $106,229 3.88 %
A BondsDecember 6, 20225,299 7,235 3.11 %
December 7, 20227,180 9,027 3.95 %
March 24, 202322,131 30,400 5.41 %
B BondsNovember 4, 20229,278 14,106 3.99 %
December 6, 202213,149 20,840 3.31 %
M BondsOctober 14, 202216,487 23,722 2.44 %
December 7, 2022511 899 4.41 %
JP Morgan - loans(3)
July 10, 2023$12,234 $18,185 5.59 %
Totals/weighted averages$463,256 $633,758 (4)4.51 %
(1)Maximum borrowing capacity is the equivalent of the amount outstanding as of September 30, 2022.    
(2)Maximum borrowing capacity as of September 30, 2022 was $400.0 million.
(3)Maximum borrowing capacity as of September 30, 2022 was $150.0 million.
(4)Includes $42.8 million of bonds that are consolidated on the Company's balance sheet for GAAP as of September 30, 2022.

December 31, 2021
Maturity DateAmount OutstandingAmount of CollateralInterest Rate
Barclays - bonds(1)
$126,344 $162,160 1.09 %
A BondsMarch 8, 20227,318 9,710 1.19 %
March 16, 202240,957 55,178 1.21 %



The accompanying notes are an integral part of the consolidated interim financial statements.
38

December 31, 2021
Maturity DateAmount OutstandingAmount of CollateralInterest Rate
March 21, 202230,850 41,413 1.26 %
March 22, 202236,093 40,091 0.69 %
B BondsMarch 16, 20224,258 6,232 1.46 %
March 21, 20222,629 3,758 1.56 %
March 22, 20222,698 3,835 1.49 %
M BondsMarch 22, 20221,541 1,943 1.16 %
Nomura - loans(2)
September 22, 2022$228,523 $300,324 2.36 %
Nomura - bonds(1)
$80,674 $107,860 1.43 %
A bondsJanuary 6, 20226,567 8,484 1.33 %
January 12, 20224,978 6,554 1.32 %
January 27, 20222,206 3,065 1.30 %
January 28, 202217,623 22,908 1.33 %
February 18, 20229,275 12,323 1.36 %
March 17, 202212,329 16,226 1.42 %
March 25, 202215,443 20,657 1.41 %
B BondsFebruary 11, 20223,094 4,434 1.75 %
February 24, 20223,538 5,111 1.77 %
March 17, 20221,177 1,686 1.82 %
March 25, 20224,444 6,412 1.81 %
Goldman Sachs - bonds(1)
$14,659 $18,672 1.18 %
A BondsJanuary 14, 20224,992 6,438 1.17 %
January 20, 20229,667 12,234 1.18 %
JP Morgan - bonds(1)
$82,030 $108,282 1.29 %
A BondsApril 1, 202228,482 37,753 1.36 %
June 10, 20226,220 7,220 1.29 %
B BondsJanuary 13, 20222,850 4,052 1.31 %
February 11, 202211,272 16,087 1.36 %
June 10, 202213,992 20,155 1.49 %
M BondsApril 19, 202219,214 23,015 1.02 %
JP Morgan - loans(3)
July 8, 2022$13,824 $20,856 2.60 %
Totals/weighted averages$546,054 $718,154 (4)1.74 %
(1)Maximum borrowing capacity is the equivalent of the amount outstanding as of December 31, 2021.    
(2)Maximum borrowing capacity as of December 31, 2021 was $400.0 million.
(3)Maximum borrowing capacity as of December 31, 2021 was $150.0 million.
(4)Includes $42.8 million of bonds that are consolidated on the Company's balance sheet for GAAP as of December 31, 2021.

The Guaranty establishes a master netting arrangement; however, the arrangement does not meet the criteria for offsetting within the Company’s consolidated balance sheets. A master netting arrangement derives from contractual agreements entered into by two parties to multiple contracts that provides for the net settlement of all contracts covered by the agreements in the event of default under any one contract. As of September 30, 2022 and December 31, 2021, the Company had $7.8 million and $6.9 million, respectively, of cash collateral on deposit with financing counterparties. This cash is included in Prepaid expenses and other assets on its consolidated balance sheets and is not netted against its Borrowings under repurchase agreements. The amount outstanding on the Company’s repurchase facilities and the carrying value of the Company’s loans pledged as collateral are presented as gross amounts in the Company’s consolidated balance sheets at September 30, 2022 and December 31, 2021 in the table below ($ in thousands):



The accompanying notes are an integral part of the consolidated interim financial statements.
39


Gross amounts not offset in balance sheet
September 30, 2022December 31, 2021
Gross amount of recognized liabilities $463,256 $546,054 
Gross amount of loans and securities pledged as collateral625,924 711,252 
Other prepaid collateral7,834 6,902 
Net collateral amount$170,502 $172,100 

Secured Borrowings

From its inception (January 30, 2014) to September 30, 2022, the Company has completed 18 secured borrowings for its own balance sheet, not including its off-balance sheet joint ventures in which it holds investments in various classes of securities, pursuant to Rule 144A under the Securities Act, five of which were outstanding at September 30, 2022. The secured borrowings are generally structured as debt financings. The loans included in the secured borrowings remain on the Company’s consolidated balance sheet as the Company is the primary beneficiary of the securitization trusts, which are VIEs. The securitization VIEs are structured as pass through entities that receive principal and interest on the underlying mortgages and distribute those payments to the holders of the notes. The Company’s exposure to the obligations of the VIEs is generally limited to its investments in the entities. The notes that are issued by the securitization trusts are secured solely by the mortgages held by the applicable trusts and not by any of the Company’s other assets. The mortgage loans of the applicable trusts are the only source of repayment and interest on the notes issued by such trusts. The Company does not guarantee any of the obligations of the trusts under the terms of the agreement governing the notes or otherwise.

The Company’s non-rated secured borrowings are generally structured with Class A notes, subordinated notes, and trust certificates, which have rights to the residual interests in the mortgages once the notes are repaid. The Company has retained the subordinate notes and the applicable trust certificates from one non-rated secured borrowing outstanding at September 30, 2022.

The Company’s rated secured borrowings are generally structured as “REIT TMP” transactions which allow the Company to issue multiple classes of securities without using a REMIC structure or being subject to an entity level tax. The Company’s rated secured borrowings generally issue classes of debt from AAA through mezzanine. The Company generally retains the mezzanine and residual certificates in the transactions. The Company has retained the applicable mezzanine and residual certificates from the other four rated secured borrowings outstanding at September 30, 2022. The Company’s rated secured borrowings are designated in the table below.

At March 31, 2021, the Company's 2017-D secured borrowing contained Class A notes and Class B certificates representing the residual interests in the mortgages held within the securitization trusts subsequent to repayment of the Class A notes. The Company had retained 50.0% of both the Class A notes and Class B certificates from 2017-D; and the assets and liabilities were consolidated on the Company's consolidated balance sheets. During the second quarter of 2021, the majority of the loans in 2017-D were sold into 2021-C and the Class A note was redeemed. Based on the structure of the transaction the Company does not consolidate 2021-C under U.S. GAAP.

The Company's secured borrowings carry no provision for a step-up in interest rate on any of the Class B notes, except for 2021-B.

The following table sets forth the original terms of notes from the Company's secured borrowings outstanding at September 30, 2022 at their respective cutoff dates:

Issuing Trust/Issue DateInterest Rate Step-up DateSecurityOriginal PrincipalInterest Rate
Rated
Ajax Mortgage Loan Trust 2019-D/ July 2019July 25, 2027Class A-1 notes due 2065$140.4 million2.96 %
July 25, 2027Class A-2 notes due 2065$6.1 million3.50 %
July 25, 2027Class A-3 notes due 2065$10.1 million3.50 %
July 25, 2027
Class M-1 notes due 2065(1)
$9.3 million3.50 %
None
Class B-1 notes due 2065(2)
$7.5 million3.50 %



The accompanying notes are an integral part of the consolidated interim financial statements.
40

Issuing Trust/Issue DateInterest Rate Step-up DateSecurityOriginal PrincipalInterest Rate
None
Class B-2 notes due 2065(2)
$7.1 million
variable(3)
None
Class B-3 notes due 2065(2)
$12.8 million
variable(3)
Deferred issuance costs$(2.7) million— %
Rated
Ajax Mortgage Loan Trust 2019-F/ November 2019November 25, 2026Class A-1 notes due 2059$110.1 million2.86 %
November 25, 2026Class A-2 notes due 2059$12.5 million3.50 %
November 25, 2026Class A-3 notes due 2059$5.1 million3.50 %
November 25, 2026
Class M-1 notes due 2059(1)
$6.1 million3.50 %
None
Class B-1 notes due 2059(2)
$11.5 million3.50 %
None
Class B-2 notes due 2059(2)
$10.4 million
variable(3)
None
Class B-3 notes due 2059(2)
$15.1 million
variable(3)
Deferred issuance costs$(1.8) million— %
Rated
Ajax Mortgage Loan Trust 2020-B/ August 2020July 25, 2027Class A-1 notes due 2059$97.2 million1.70 %
July 25, 2027Class A-2 notes due 2059$17.3 million2.86 %
July 25, 2027
Class M-1 notes due 2059(1)
$7.3 million3.70 %
None
Class B-1 notes due 2059(2)
$5.9 million3.70 %
None
Class B-2 notes due 2059(2)
$5.1 million
variable(3)
None
Class B-3 notes due 2059(2)
$23.6 million
variable(3)
Deferred issuance costs$(1.8) million— %
Rated
Ajax Mortgage Loan Trust 2021-A/ January 2021January 25, 2029Class A-1 notes due 2065$146.2 million1.07 %
January 25, 2029Class A-2 notes due 2065$21.1 million2.35 %
January 25, 2029
Class M-1 notes due 2065(1)
$7.8 million3.15 %
None
Class B-1 notes due 2065(2)
$5.0 million3.80 %
None
Class B-2 notes due 2065(2)
$5.0 million
variable(3)
None
Class B-3 notes due 2065(2)
$21.5 million
variable(3)
Deferred issuance costs $(2.5) million— %
Non-rated
Ajax Mortgage Loan Trust 2021-B/ February 2021August 25, 2024Class A notes due 2066$215.9 million2.24 %
February 25, 2025
Class B notes due 2066(2)
$20.2 million4.00 %
Deferred issuance costs$(4.3) million— %
(1)The Class M notes are subordinated, sequential pay, fixed rate notes. The Company has retained the Class M notes, with the exception of Ajax Mortgage Loan Trust 2021-A.
(2)The Class B notes are subordinated, sequential pay, with B-2 and B-3 notes having variable interest rates and are subordinate to the Class B-1 notes. The Class B-1 notes are fixed rate notes. The Company has retained the Class B notes.
(3)The interest rate is effectively the rate equal to the spread between the gross average rate of interest the trust collects on its mortgage loan portfolio minus the rate derived from the sum of the servicing fee and other expenses of the trust.




The accompanying notes are an integral part of the consolidated interim financial statements.
41

Servicing for the mortgage loans in the Company’s secured borrowings is provided by the Servicer at servicing fee rates between 0.65% of outstanding UPB and 1.25% of outstanding UPB at acquisition, and is paid monthly. The determination of RPL or NPL status, which determines the servicing fee rates, is based on the status of the loan at acquisition and does not change regardless of the loan's subsequent performance. The following table sets forth the status of the notes held by others at September 30, 2022 and December 31, 2021, and the securitization cutoff date ($ in thousands):

Balances at September 30, 2022Balances at December 31, 2021Original balances at
securitization cutoff date
Class of NotesCarrying value of mortgagesBond principal balancePercentage of collateral coverageCarrying value of mortgagesBond principal balancePercentage of collateral coverageMortgage UPBBond principal balance
2019-D$106,589 $77,832 137 %$118,075 $92,778 127 %$193,301 $156,670 
2019-F106,430 68,520 155 %115,571 81,026 143 %170,876 127,673 
2020-B107,943 71,849 150 %119,184 86,011 139 %156,468 114,534 
2021-A140,843 117,462 120 %161,766 141,435 114 %206,506 175,116 
2021-B225,224 151,305 149 %242,191 181,657 133 %287,882 215,912 
$687,029 $486,968 (1)141 %$756,787 $582,907 (1)130 %$1,015,033 $789,905 
(1)This represents the gross amount of Secured borrowings and excludes the impact of deferred issuance costs of $5.1 million and $7.3 million as of September 30, 2022 and December 31, 2021.
Notes

2024 Notes (Convertible Senior Notes)

At September 30, 2022 and December 31, 2021, the Company's 2024 Notes had carrying values of $104.1 million and $102.8 million, respectively. The 2024 Notes bear interest at a rate of 7.25% per annum, payable quarterly in arrears on January 15, April 15, July 15 and October 15 of each year. The 2024 Notes will mature on April 30, 2024, unless earlier repurchased, converted or redeemed. During certain periods and subject to certain conditions the 2024 Notes will be convertible by their holders into shares of the Company’s common stock at a conversion rate of 1.7405 shares of common stock per $25.00 principal amount of the 2024 Notes, which represents a conversion price of approximately $14.36 per share of common stock. The conversion rate, and thus the conversion price, may be subject to adjustment under certain circumstances. As of September 30, 2022, the amount by which the if-converted value falls short of the principal value for the entire series is $49.9 million.

At September 30, 2022, the outstanding aggregate principal amount of the 2024 Notes was $104.5 million, and discount and deferred expenses were $0.5 million. At December 31, 2021, the outstanding aggregate principal amount of the 2024 Notes was $104.6 million, and discount and deferred expenses were $1.7 million. During the three and nine months ended September 30, 2022 the Company recognized interest expense on its outstanding 2024 Notes of $2.1 million and $6.3 million, respectively, which includes $0.2 million and $0.6 million of amortization of discount and deferred expenses, respectively. During the three and nine months ended September 30, 2021 the Company recognized interest expense on its outstanding convertible 2024 Notes of $2.2 million and $6.8 million, respectively, which includes $0.3 million and $1.0 million, respectively, of amortization of discount and deferred expenses, respectively. The effective interest rates of the 2024 Notes for the quarters ended September 30, 2022 and September 30, 2021 were 8.04% and 8.49%, respectively.

During the second quarter of 2022 the Company completed a repurchase of $0.1 million aggregate principal of its 2024 Notes for a total purchase price of $0.1 million. There were no 2024 Notes repurchases during the first or third quarters of 2022. During the first and second quarters of 2021, the Company completed a series of 2024 Notes repurchases for aggregate principal amounts of $2.5 million and $5.0 million, respectively, for total purchase prices of $2.4 million and $5.1 million, respectively. The carrying amounts of the equity component representing the embedded conversion feature reversed from additional paid-in capital due to the first and second quarters of 2021 were both zero. There were no 2024 Notes repurchases during the third quarter of 2021.

During the three months ended March 31, 2022, the Company adopted ASU 2020-06, Debt – Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging – Contracts in an Entity’s Own Equity (Subtopic 815-40) by recording a reduction in its additional paid-in capital account of $0.7 million and a corresponding increase in the carrying value of its 2024 Notes of $0.7 million, representing the carrying value of the conversion feature associated with the 2024 Notes. See Note 2— Recently Adopted Accounting Standards.



The accompanying notes are an integral part of the consolidated interim financial statements.
42


Coupon interest on the 2024 Notes is recognized using the accrual method of accounting. Discount and deferred issuance costs are carried on the Company’s consolidated balance sheets as a reduction of the carrying value of the 2024 Notes, and are amortized to interest expense on an effective yield basis through April 30, 2023, the date at which the 2024 Notes can be converted. The Company assumes the debt will be converted at the specified conversion date for purposes of amortizing issuance costs because the Company believes such conversion will be in the economic interest of the holders. No sinking fund has been established for redemption of the principal.

Holders may convert their 2024 Notes at their option prior to April 30, 2023 only under certain circumstances. In addition, the 2024 Notes will be convertible irrespective of those circumstances from, and including, April 30, 2023 to, and including, the business day immediately preceding the maturity date. Upon conversion, the Company will pay or deliver, as the case may be, cash, shares of its common stock or a combination of cash and shares of its common stock, at the Company's election.

The Company may not redeem the 2024 Notes prior to April 30, 2022, and may redeem for cash all or any portion of the 2024 Notes, at its option, on or after April 30, 2022 if the last reported sale price of its common stock has been at least 130% of the conversion price then in effect for at least 20 trading days (whether or not consecutive) during any 30 consecutive trading day period ending on, and including, the trading day immediately preceding the date on which the Company provides notice of redemption at a redemption price equal to 100% of the principal amount of the 2024 Notes to be redeemed, plus accrued and unpaid interest to, but excluding, the redemption date.

2027 Notes (Unsecured Notes)

In August 2022, the Operating Partnership issued $110.0 million aggregate principal amount of 8.875% 2027 Notes. The 2027 Notes have a five year term and were issued at 99.009% of par value and are fully and unconditionally guaranteed by the Company and are included in the Company's liabilities in its consolidated balance sheet at September 30, 2022. Interest on the 2027 Notes is payable semi-annually on March 1 and September 1, with the first payment due and payable on March 1, 2023. The 2027 Notes will mature on September 1, 2027. Net proceeds from the sale of the 2027 Notes totaled approximately $106.1 million, after deducting the discount, commissions, and offering expenses which will be amortized over the term of the 2027 Notes using the effective interest method. The Company used $90.0 million of the proceeds to repurchase and retire a portion of its outstanding 7.25% Series A and 5.00% Series B Fixed-to-Floating Rate Preferred Stock at a discount, and a proportionate amount of outstanding warrants. The remainder of the proceeds is expected to be used for general corporate purposes.

At September 30, 2022, the outstanding aggregate principal amount of the 2027 Notes was $110.0 million, and discount and deferred expenses in aggregate were $3.8 million. During both the three and nine months ended September 30, 2022, the Company recognized interest expense on the 2027 Notes of $1.0 million, which includes $0.1 million of amortization of discount and deferred expenses. The effective interest rate for the 2027 Notes for the quarter ended September 30, 2022 was 9.81%.

The following table summarizes the Company's long term maturities ($ in thousands):

As of September 30, 2022
YearDebt instrumentLong-term maturities
2023$— 
20242024 Notes (Convertible Senior Notes)$104,516 
2025$— 
2026$— 
20272027 Notes (Unsecured Notes)$110,000 




The accompanying notes are an integral part of the consolidated interim financial statements.
43

Note 10 — Related Party Transactions

The Company’s consolidated statements of operations included the following significant related party transactions ($ in thousands):

Three months ended September 30,
TransactionConsolidated Statement of Income locationCounterparty20222021
Interest income on securities and beneficial interest and net decrease in the net present value of expected credit losses on beneficial interestsNet interest income after the impact of changes in the net present value of expected credit lossesVarious non-consolidated joint ventures$4,614 $9,896 
Loan servicing feesRelated party expense – loan servicing feesServicer$1,952 $1,743 
Management feeRelated party expense – management feeManager$1,948 $2,292 
Affiliate loan interest incomeInterest incomeServicer$69 $— 
Income from equity investment(Loss)/income from investments in affiliatesAS Ajax E LLC$7 $11 
Affiliate loan interest incomeInterest incomeGaea$— $74 
Loss from equity investment(Loss)/income from investments in affiliatesLoan pool LLCs$(20)$(16)
(Loss)/income from equity investment(Loss)/income from investments in affiliatesManager$(99)$132 
Loss from equity investment(Loss)/income from investments in affiliatesGaea$(167)$(28)
Loss from equity investment(Loss)/income from investments in affiliatesServicer$(197)$(37)
(Loss)/gain on sale of securitiesOther income/(loss)Various non-consolidated joint ventures$(860)$201 

Nine months ended September 30,
TransactionConsolidated Statement of Income locationCounterparty20222021
Interest income on securities and beneficial interest and net decrease in the net present value of expected credit losses on beneficial interestsNet interest income after the impact of changes in the net present value of expected credit lossesVarious non-consolidated joint ventures$16,689 $24,835 
Management feeRelated party expense – management feeManager$6,604 $6,835 
Loan servicing feesRelated party expense – loan servicing feesServicer$6,049 $5,275 
Affiliate loan interest incomeInterest incomeServicer$203 $— 
Income from equity investment(Loss)/income from investments in affiliatesAS Ajax E LLC$14 $27 
Affiliate loan interest incomeInterest incomeGaea$— $203 
Gain on sale of mortgage loansOther income/(loss)2021-C$— $122 
Loss from equity investment(Loss)/income from investments in affiliatesLoan pool LLCs$(33)$(37)
(Loss)/income from equity investment(Loss)/income from investments in affiliatesManager$(211)$583 
(Loss)/income from equity investment(Loss)/income from investments in affiliatesGaea$(268)$32 



The accompanying notes are an integral part of the consolidated interim financial statements.
44

Nine months ended September 30,
TransactionConsolidated Statement of Income locationCounterparty20222021
Loss from equity investment(Loss)/income from investments in affiliatesServicer$(460)$(92)
(Loss)/gain on sale of securitiesOther income/(loss)Various non-consolidated joint ventures$(939)$201 
Loss from joint venture re-securitization on beneficial interestsOther income/(loss)2019-A and -B$(2,142)$— 
Loss from joint venture re-securitization on beneficial interestsOther income/(loss)2018-D and -G$(3,973)$— 

The Company’s consolidated balance sheets included the following significant related party balances ($ in thousands):

As of September 30, 2022
TransactionConsolidated Balance Sheet locationCounterpartyAmount
Investment in beneficial interestsInvestments in beneficial interestsVarious non-consolidated joint ventures$127,669 
Receivables from ServicerReceivable from servicerServicer$8,803 
Affiliate loan receivable and interestPrepaid expenses and other assetsServicer$3,521 
Management fee payableManagement fee payableManager$1,945 
Servicing fee payableAccrued expenses and other liabilitiesServicer$105 
Payable to ServicerAccrued expenses and other liabilitiesServicer$6 

As of December 31, 2021
TransactionConsolidated Balance Sheet locationCounterpartyAmount
Purchase of mortgage loansMortgage loans held-for-sale, net2019-C$152,883 
Investment in beneficial interestsInvestments in beneficial interestsVarious non-consolidated joint ventures$139,588 
Receivables from ServicerReceivable from servicerServicer$20,899 
Affiliate loan receivable and interestPrepaid expenses and other assetsServicer$3,509 
Management fee payableManagement fee payableManager$2,279 
Expense reimbursement receivablePrepaid expenses and other assetsVarious non-consolidated joint ventures$1,211 
Expense reimbursementsAccrued expenses and other liabilitiesServicer$78 
Affiliate loan receivable interestPrepaid expenses and other assetsGaea$21 
Expense reimbursement receivablePrepaid expenses and other assetsServicer$12 

The Company acquires debt securities and beneficial interests issued by joint ventures between the Company and third party institutional accredited investors. The joint ventures issue senior notes and beneficial interests and in certain transactions, the joint ventures also issue subordinated notes. As of September 30, 2022, the investments in debt securities and beneficial interests were carried on the Company's consolidated balance sheet at $257.8 million and $127.7 million, respectively. As of December 31, 2021, the investments in debt securities and beneficial interests were carried on the Company's consolidated balance sheet at $355.2 million and $139.6 million, respectively.

During the second quarter of 2022 the Company re-securitized 2018-D and -G and 2019-A and -B, which formed 2022-A and -B, respectively. Although the Company continues to own approximately the same interest in the underlying



The accompanying notes are an integral part of the consolidated interim financial statements.
45

mortgage loans and related cash flows, the beneficial interests are accounted for as distinct legal securities and were received through a combination of the beneficial interest in 2022-A and -B and cash received from the sale of the underlying loans in 2022-A and -B. The decline in loan prices driven by disruption in the markets since year end resulted in lower than expected current cash proceeds at redemption. As a result, for the nine months ended September 30, 2022, the Company recognized a loss of $6.1 million in other loss/income.

During the fourth quarter of 2021, the Company acquired the remaining 66.0% of 2019-C from the Company's joint venture partner in exchange for cash consideration for the outstanding equity certificate and subordinate notes and the assumption of the obligation to repay the senior note outstanding. Subsequent to the acquisition, the senior and subordinate notes were retired in December 2021. The Company previously recorded its investment in 2019-C as Investment in debt securities and Investment in beneficial interests because it was not the primary beneficiary of the trust. Subsequent to acquiring the outstanding equity certificate, the Company became the sole owner of the trust and now reflects the underlying mortgage loans on its consolidated balance sheet.

On December 9, 2021, the Company became a party to a promissory note with the Servicer under which the Servicer can borrow up to $3.5 million on a revolving line of credit from the Company. Interest on the arrangement accrues at 7.2% annually. At September 30, 2022, the amount outstanding on the note and interest was $3.5 million.

On June 21, 2021, the Company became a party to a promissory note with Gaea under which Gaea can borrow up to $11.0 million on a revolving line of credit from the Company. Funds advanced to Gaea under the note carry an interest rate of 4.25% and are secured by a selection of Gaea's portfolio of mortgage loans. The maturity date of the loan was December 31, 2021 and at December 31, 2021, the note was repaid.

During the three months ended September 30, 2021, the Company sold no mortgage loans; however, during the nine months ended September 30, 2021, the Company sold 760 loans with a carrying value of $129.2 million and UPB of $133.8 million to a joint venture formed between the Company and a third party institutional investor, and retained various classes of securities from the joint venture.

In June 2019, the Company entered into an arrangement with the Servicer as the borrower and the Company as the lender to advance funds secured by real property to facilitate the sale of REO properties from certain of the Company’s joint ventures. Such funds are repaid no later than the liquidation of the real estate. The maximum amount available to the Servicer is $12.0 million. At September 30, 2022, and December 31, 2021, the Company had zero advances outstanding to the Servicer. Interest on the arrangement accrues at 7.2% annually.

During November 2019 and January 2022, Gaea completed two private capital raises and has raised a total of $96.3 million and issued 6,247,794 shares of its common stock and warrants to third parties to advance its investment strategy. The Company has a total investment of $25.5 million in Gaea and has received 1,704,436 shares of common stock and 371,103 warrants. At September 30, 2022 and December 31, 2021, the Company owned approximately 22.1% and 22.8% of Gaea, respectively, with third party investors owning the remaining 77.9% and 77.2%, respectively. The Company accounts for its ownership interest in Gaea using the equity method.

During the year ended December 31, 2019, the Company acquired a cumulative 40.4% average ownership interest in three loan pool LLCs managed by the Servicer for $1.0 million, which hold investments in RPLs and NPLs. During the year ended December 31, 2020, one of the loan pool LLCs sold its remaining loans. At both September 30, 2022 and December 31, 2021, the Company’s ownership interest in the two loan pool LLCs was approximately 40.1%. The Company accounts for its investment using the equity method.

On March 14, 2016, the Company formed AS Ajax E LLC to hold an equity interest in a Delaware trust formed to own residential mortgage loans and other residential real estate assets. AS Ajax E LLC owns a 5.0% equity interest in Ajax E Master Trust which holds a portfolio of RPLs. At both September 30, 2022 and December 31, 2021, the Company’s ownership interest in AS Ajax E LLC was approximately 16.5%. The Company accounts for its investment using the equity method.

Management Agreement

The Company is a party to the Amended and Restated Management Agreement with the Manager, which expires on March 5, 2034. Under the Management Agreement, the Manager implements the Company’s business strategy and manages the Company’s business and investment activities and day-to-day operations, subject to oversight by the Company’s Board of Directors. Among other services, the Manager, directly or through affiliates, provides the Company with a management team and necessary administrative and support personnel. The Company does not currently have any employees that it pays directly



The accompanying notes are an integral part of the consolidated interim financial statements.
46

and does not expect to have any employees that it pays directly in the foreseeable future. Each of the Company’s executive officers is an employee or officer, or both, of the Manager or the Servicer.

Under the Management Agreement, the Company pays both a base management fee and an incentive fee to the Manager. The base management fee equals 1.5% of the Company's stockholders’ equity, including equity equivalents such as the Company's issuance of convertible senior notes, per annum and calculated and payable quarterly in arrears. The management fee is payable with 50% paid in shares of the Company's common stock and 50% in cash. However, the Company has the option to pay its management fee with up to 100% in cash at its discretion, and pay the remainder in shares of its common stock.

In the event the Company elects to pay its Manager in shares of its common stock, the calculation to determine the number of shares of the Company's common stock to be issued to the Manager is outlined below. The Manager has agreed to hold any shares of common stock received by it as payment of the base management fee for at least three years from the date such shares of common stock are received.

The Manager is also entitled to an incentive fee, payable quarterly and calculated in arrears, which contains both a quarterly and annual component. A quarterly incentive fee is payable to the Manager if the sum of the Company’s dividends on its common stock paid out of taxable income and its increase in book value, all relative to the applicable quarter and calculated per-share on an annualized basis, exceed 8%. The Manager will also be entitled to an annual incentive fee if the sum of the Company’s quarterly cash dividends on its common stock paid out of taxable income, special cash dividends on its common stock paid out of taxable income and increase in book value within the applicable calendar year exceed 8% of the Company’s book value per share as of the end of the calendar year. However, no incentive fee will be payable to the Manager with respect to any calendar quarter unless the Company’s cumulative core earnings, defined as U.S. GAAP net income or loss less non-cash equity compensation, unrealized gains or losses from mark to market adjustments, one-time adjustments to earnings resulting from changes to U.S. GAAP, and certain other non-cash items, is greater than zero for the most recently completed eight calendar quarters. The incentive fee is payable in shares of the Company’s common stock at the Company's discretion and any remaining incentive fee is payable in cash. During the three and nine months ended September 30, 2022, the Company recorded an incentive fee of zero and $0.3 million, respectively. Comparatively, during the three and nine months ended September 30, 2021, the Company did not record an incentive fee payable to the Manager.

The Company also reimburses the Manager for all third party, out-of-pocket costs incurred by the Manager for managing its business, including third party due diligence and valuation consultants, legal expenses, auditors and other financial services. The reimbursement obligation is not subject to any dollar limitation. Expenses are reimbursed in cash on a monthly basis.

The Company will be required to pay the Manager a termination fee in the event that the Management Agreement is terminated as a result of (i) a termination by the Company without cause, (ii) its decision not to renew the Management Agreement upon the determination of at least two-thirds of the Company’s independent directors for reasons including the failure to agree on revised compensation, (iii) a termination by the Manager as a result of the Company becoming regulated as an “investment company” under the Investment Company Act of 1940, as amended (the “Investment Company Act”) (other than as a result of the acts or omissions of the Manager in violation of investment guidelines approved by the Company’s Board of Directors), or (iv) a termination by the Manager if the Company defaults in the performance of any material term of the Management Agreement (subject to a notice and cure period). The termination fee will be equal to twice the combined base fee and incentive fees payable to the Manager during the 12-month period ended as of the end of the most recently completed fiscal quarter prior to the date of termination.

Servicing Agreement

The Company is also a party to the Servicing Agreement, expiring July 8, 2029, with the Servicer. The Company’s overall servicing costs under the Servicing Agreement will vary based on the types of assets serviced.

Servicing fees for mortgage loans range from 0.65% to 1.25% annually of UPB at acquisition (or the fair market value or purchase price of REO), and are paid monthly. The servicing fee is based upon the status of the loan at acquisition. A change in status from RPL to NPL does not cause a change in the servicing fee rate.

Servicing fees for the Company’s real property assets that are not held in joint ventures are the greater of (i) the servicing fee applicable to the underlying mortgage loan prior to foreclosure, or (ii) 1.00% annually of the fair market value of the REO as reasonably determined by the Manager or 1.00% annually of the purchase price of any REO otherwise purchased by the Company.



The accompanying notes are an integral part of the consolidated interim financial statements.
47


The Servicer is reimbursed for all customary, reasonable and necessary out-of-pocket costs and expenses incurred in the performance of its obligations, including the actual cost of any repairs and renovations to foreclosed property undertaken on the Company’s behalf. The total fees incurred by the Company for these services will be dependent upon the UPB and the type of mortgage loans that the Servicer services, for fees based on mortgage loans, and property values, previous UPB of the relevant loan, and the number of REO properties for fees based on REO properties.

If the Servicing Agreement has been terminated other than for cause and/or the Servicer terminates the servicing agreement, the Company will be required to pay a termination fee equal to the aggregate servicing fees payable under the servicing agreement for the immediate preceding 12-month period.

Trademark Licenses

Aspen has granted the Company a non-exclusive, non-transferable, non-sublicensable, royalty-free license to use the name “Great Ajax” and the related logo. The Company also has a similar license to use the name “Thetis.” The agreement has no specified term. If the Management Agreement expires or is terminated, the trademark license agreement will terminate within 30 days. In the event that this agreement is terminated, all rights and licenses granted thereunder, including, but not limited to, the right to use “Great Ajax” in its name will terminate. Aspen also granted to the Manager a substantially identical non-exclusive, non-transferable, non-sublicensable, royalty-free license use of the name “Thetis.”

Note 11 — Stock-based Payments and Director Fees

Pursuant to the terms of the Management Agreement, the Company may pay a portion of the base management fee to the Manager in shares of its common stock with the number of shares determined based on the average of the closing prices of its common stock on the NYSE on the five business days preceding the record date of the most recent regular quarterly dividend to holders of the common stock. The Company recognized a base management fee to the Manager for the three and nine months ended September 30, 2022 of $1.9 million and $6.5 million, respectively, of which zero was settled in shares of its common stock. However, during the nine months ended September 30, 2022, the Company issued 39,558 shares of its common stock in satisfaction of a component of the base management fee for the fourth quarter of 2021 that was approved by the Board during the first quarter of 2022. Comparatively, for the three and nine months ended September 30, 2021, the Company recognized base management fees of $2.3 million and $6.9 million, respectively, all of which was payable in cash.

Also, during the three and nine months ended September 30, 2022, the Company recorded an incentive fee of zero and $0.3 million, respectively, of which none was settled in shares of its common stock. Comparatively, the Company recorded no incentive fee during the three and nine months ended September 30, 2021.

As of December 31, 2021, each of the Company’s independent directors received an annual retainer of $100,000, payable quarterly, 40% in shares of the Company's common stock on the same basis as the stock portion of the management fee payable to the Manager and 60% in cash. The annual fee was increased to $140,000, 50% of which is payable in shares of the Company's common stock and 50% in cash, which became effective as of January 1, 2022. As of December 31, 2021, the chairpersons of the Compensation and Corporate Governance committees each received an annual retainer of $10,000, payable quarterly, 100% in cash. The annual fee was increased to $15,000, 100% payable in cash, effective as of January 1, 2022. As of December 31, 2021, the chairperson of the Audit committee received an annual fee of $15,000, payable quarterly, 100% in cash. The annual fee was increased to $20,000, 100% payable in cash, effective as of January 1, 2022.

The following table sets forth the Company’s stock-based management fees and independent director fees ($ in thousands):

Stock-based Management Fees and Director Fees

For the three months ended September 30,
20222021
Number of shares
Amount of expense recognized
Number of shares
Amount of expense recognized
Independent director fees8,440 $88 3,580 $50 
Totals8,440 $88 3,580 $50 



The accompanying notes are an integral part of the consolidated interim financial statements.
48


For the nine months ended September 30,
20222021
Number of shares
Amount of expense recognized
Number of shares
Amount of expense recognized
Management fees39,558 $— (1)— $— 
Independent director fees25,790 263 11,550 150 
Totals65,348 $263 11,550 $150 
(1)Management fees were fully expensed during the fourth quarter of 2021, the period in which the services were provided. However, the shares associated with these services were approved and issued by the Board during the first quarter of 2022.

Restricted Stock

The Company periodically grants shares of its common stock to employees of its Manager and Servicer. The Company granted 157,350 and 201,615 shares of its common stock in the three and nine months ended September 30, 2022, respectively, which have vesting periods up to four years. Comparatively, the Company granted 152,700 shares of its common stock to employees of its Manager and Servicer in the three and nine months ended September 30, 2021, which have vesting periods of four years. Grants of restricted stock use grant date fair value of the stock as the basis for measuring the cost of the grant.

Each independent member of the Company's Board of Directors is issued a restricted stock award of 2,000 shares of the Company’s common stock upon joining the Board. Additionally, the Company may issue grants of its shares of common stock from time to time to its directors.

Under the Company’s 2014 Director Equity Plan and 2016 Equity Incentive Plan the Company made grants of restricted stock to its Directors and to employees of its Manager and Servicer as set forth the table below:

Employee and Service Provider grantsDirector grants
SharesWeighted Average Grant Date Fair ValueSharesWeighted Average Grant Date Fair Value
Nine months ended September 30, 2021
December 31, 2020 outstanding unvested share grants163,083 $11.07 — $— 
Shares vested— — (2,000)(1)12.00 
Shares forfeited— — — — 
Shares granted— — 2,000 (1)12.00 
March 31, 2021 outstanding unvested share grants163,083 $11.07 — $— 
Shares vested— — (8,000)12.60 
Shares forfeited— — — — 
Shares granted— — 16,000 12.60 
June 30, 2021 outstanding unvested share grants163,083 $11.07 8,000 $12.60 
Shares vested(65,750)11.72 — — 
Shares forfeited(14,168)10.88 — — 
Shares granted152,700 12.79 — — 
September 30, 2021 outstanding unvested share grants235,865 (2)$12.01 8,000 (3)$12.60 
(1)Shares granted vest immediately.
(2)Weighted average remaining life of unvested shares for employee and service provider grants at September 30, 2021 is 1.9 years.
(3)Weighted average remaining life of unvested shares for director grants at September 30, 2021 is 0.6 years.



The accompanying notes are an integral part of the consolidated interim financial statements.
49


Employee and Service Provider grantsDirector grants
SharesWeighted Average Grant Date Fair ValueSharesWeighted Average Grant Date Fair Value
Nine months ended September 30, 2022
December 31, 2021 outstanding unvested share grants228,365 $12.00 8,000 $12.60 
Shares vested— — — — 
Shares forfeited(17,335)11.93 — — 
Shares granted22,765 11.42 — — 
March 31, 2022 outstanding unvested share grants233,795 $11.95 8,000 $12.60 
Shares vested— — (8,000)12.60 
Shares forfeited(17,668)11.88 — — 
Shares granted21,500 10.50 — — 
June 30, 2022 outstanding unvested share grants237,627 $11.82 — $— 
Shares vested(76,214)11.95 — — 
Shares forfeited(7,626)11.51 — — 
Shares granted157,350 10.41 — — 
September 30, 2022 outstanding unvested share grants311,137 (1)$11.09 — (2)$— 
(1)Weighted average remaining life of unvested shares for employee and service provider grants at September 30, 2022 is 2.2 years.
(2)Director shares are fully vested at September 30, 2022.

The following table presents the expenses for the Company's restricted stock plan ($ in thousands):

Three months ended September 30,Nine months ended September 30,
2022202120222021
Restricted stock grants$328 $230 $821 $644 
Director grants— 25 33 167 
Total expenses for plan grants$328 $255 $854 $811 

Note 12 — Income Taxes

As a REIT, the Company must meet certain organizational and operational requirements including the requirement to distribute at least 90% of its annual REIT taxable income to its stockholders. And as a REIT, the Company generally will not be subject to U.S. federal income tax to the extent the Company distributes its REIT taxable income to its stockholders and provided the Company satisfies the REIT requirements including certain asset, income, distribution and stock ownership tests. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to U.S. federal, state and local income taxes and may be precluded from qualifying as a REIT for the subsequent four taxable years following the year in which it lost its REIT qualification.

The Company’s consolidated financial statements include the operations of two TRS entities, GA-TRS and GAJX Real Estate Corp., which are subject to U.S. federal, state and local income taxes on their taxable income.

For the three and nine months ended September 30, 2022, the Company had consolidated taxable income of $6.5 million and $27.5 million, respectively, and income tax expense of $2.4 million and $2.3 million, respectively. For the three and nine months ended September 30, 2022, the Company recorded $1.7 million in income taxes on undistributed income and $0.7 million in income taxes on our TRS entities. For the three and nine months ended September 30, 2021, the Company had consolidated taxable income of $9.9 million and $26.3 million, respectively, and provisions for income taxes of $0.1 million and $0.2 million, respectively. The Company also recorded no interest or penalties for the three and nine months ended September 30, 2022 and 2021.




The accompanying notes are an integral part of the consolidated interim financial statements.
50

Note 13 — Earnings per Share

The following table sets forth the components of basic and diluted EPS ($ in thousands, except per share):

Three months ended September 30, 2022Three months ended September 30, 2021
Income
(Numerator)		Shares
(Denominator)		Per Share
Amount		Income
(Numerator)		Shares
(Denominator)		Per Share
Amount
Basic EPS
Consolidated net (loss)/income attributable to common stockholders$(16,249)22,538,891 $9,313 22,862,429 
Allocation of earnings to participating restricted shares210 — (92)— 
Consolidated net (loss)/income attributable to unrestricted common stockholders$(16,039)22,538,891 $(0.71)$9,221 22,862,429 $0.40 
Effect of dilutive securities(1)
Restricted stock grants and Manager and director fee shares(210)294,574 92 229,291 
Interest expense (add back) and assumed conversion of shares from convertible senior notes(2)
— — 2,237 7,315,929 
Diluted EPS
Consolidated net (loss)/income attributable to common stockholders and dilutive securities$(16,249)22,833,465 $(0.71)$11,550 30,407,649 $0.38 
(1)The Company's outstanding warrants for an additional 1,950,672 and 6,500,000 shares of common stock and effect of the put option share settlement would have an anti-dilutive effect on diluted earnings per share for the three months ended September 30, 2022 and 2021, respectively, and have not been included in the calculation.
(2)The effect of interest expense and assumed conversion of shares from convertible notes on the Company's diluted EPS calculation for the three months ended September 30, 2022 would have been anti-dilutive and has been removed from the calculation.



The accompanying notes are an integral part of the consolidated interim financial statements.
51


Nine months ended September 30, 2022Nine months ended September 30, 2021
Income
(Numerator)		Shares
(Denominator)		Per Share
Amount		Income
(Numerator)		Shares
(Denominator)		Per Share
Amount
Basic EPS
Consolidated net (loss)/income attributable to common stockholders$(21,844)22,737,182 $26,695 22,835,237 
Allocation of earnings to participating restricted shares263 — (222)— 
Consolidated net (loss)/income attributable to unrestricted common stockholders$(21,581)22,737,182 $(0.95)$26,473 22,835,237 $1.16 
Effect of dilutive securities(1)
Restricted stock grants and manager and director fee shares(2)
(263)277,015 — — 
Interest expense (add back) and assumed conversion of shares from convertible senior notes(3)
— — 6,836 7,451,376 
Diluted EPS
Consolidated net (loss)/income attributable to common stockholders and dilutive securities$(21,844)23,014,197 $(0.95)$33,309 30,286,613 $1.10 
(1)The Company's outstanding warrants for an additional 1,950,672 and 6,500,000 shares of common stock and effect of the put option share settlement would have an anti-dilutive effect on diluted earnings per share for the nine months ended September 30, 2022 and 2021, respectively, and have not been included in the calculation.
(2)The effect of restricted stock grants and manager and director fee shares on the Company's diluted EPS calculation for the nine months ended September 30, 2021 would have been anti-dilutive and have not been included in the calculation.
(3)The effect of interest expense and assumed conversion of shares from convertible notes on the Company's diluted EPS calculation for the nine months ended September 30, 2022 would have been anti-dilutive and has been removed from the calculation.

Note 14 — Equity

Common Stock

As of September 30, 2022 and December 31, 2021, the Company had 22,883,634 and 23,146,775 shares, respectively, of $0.01 par value common stock outstanding with 125,000,000 shares authorized at each period end.

Preferred Stock

The Company has outstanding shares of preferred stock which were issued to institutional accredited investors in a series of private placements during the first half of 2020. The Company issued 2,307,400 shares of 7.25% Series A Fixed-to-Floating Rate Preferred Stock and 2,892,600 shares of 5.00% Series B Fixed-to-Floating Rate Preferred Stock. The shares have a liquidation preference of $25.00 per share.

During the three and nine months ended September 30, 2022, the Company repurchased and retired 1,113,932 and 1,882,451 shares, respectively, of its series A preferred stock and 1,525,529 and 1,757,010 shares, respectively, of its series B preferred stock in a series of repurchase transactions. The series A and series B preferred stock was repurchased for an aggregate of $64.2 million and $88.7 million, respectively, at an average price of $24.32 and $24.37 per share, respectively, representing a discount of approximately 2.7% and 2.5%, respectively, to the face value of $25.00 per share. The repurchase of the preferred stock caused the recognition of $5.7 million and $8.2 million of preferred stock discount during the three and nine months ended September 30, 2022, respectively. There was no repurchase of preferred stock in either the three or nine months ended September 30, 2021.




The accompanying notes are an integral part of the consolidated interim financial statements.
52

At September 30, 2022 and December 31, 2021, the Company had 424,949 and 2,307,400 shares, respectively, of Series A preferred stock and 1,135,590 and 2,892,600 shares, respectively, of Series B preferred stock outstanding. There were 25,000,000 shares, cumulative for all series, authorized as of both September 30, 2022 and December 31, 2021.

Treasury Stock and Stock Repurchase Plan

On February 28, 2020, the Company's Board of Directors approved a stock buyback of up to $25.0 million of its common shares. The amount and timing of any repurchases depends on a number of factors, including but not limited to the price and availability of the common shares, trading volume and general circumstances and market conditions.

The Company did not repurchase any shares of its common stock for the three months ended September 30, 2022; however, for the nine months ended September 30, 2022 the Company repurchased 475,355 shares of its common stock through open market transactions. Comparatively for the three and nine months ended September 30, 2021, the Company did not repurchase any shares of its common stock. As of September 30, 2022, the Company held 657,029 shares of treasury stock consisting of 131,990 shares received through distributions of the Company's shares previously held by its Manager and 525,039 shares acquired through open market purchases. As of December 31, 2021, the Company held 147,370 shares of treasury stock consisting of 97,686 shares received through distributions of the Company's shares previously held by its Manager and 49,684 shares acquired through open market purchases.

Dividend Reinvestment Plan

The Company sponsors a dividend reinvestment plan through which stockholders may purchase additional shares of the Company’s common stock by reinvesting some or all of the cash dividends received on shares of the Company’s common stock. During the three and nine months ended September 30, 2022, 9,315 and 27,154 shares were issued, respectively, under the plan for total proceeds of approximately $88.0 thousand and $0.3 million, respectively. Comparatively, during the three and nine months ended September 30, 2021, 5,049 and 13,097 shares were issued, respectively, under the plan for total proceeds of approximately $71.0 thousand and $0.2 million, respectively.

At the Market Offering

The Company has entered into an equity distribution agreement under which the Company may sell shares of its common stock having an aggregate offering price of up to $100.0 million from time to time in any method permitted by law deemed to be an “At the Market” offering as defined in Rule 415 under the Securities Act of 1933, as amended, or the Securities Act. During the three and nine months ended September 30, 2022, no shares were sold under the At the Market program. Comparatively, during the three and nine months ended September 30, 2021, 9,073 shares were sold under the At the Market program. The Company is deploying the net proceeds to acquire mortgage loans and mortgage-related assets consistent with its investment strategy.

Accumulated Other Comprehensive Income

The Company recognizes unrealized gains or losses on its investment in debt securities as components of other comprehensive income. Total accumulated other comprehensive (loss)/income on the Company’s balance sheet at September 30, 2022 and December 31, 2021 was as follows ($ in thousands):

Investments in securities: September 30, 2022December 31, 2021
Unrealized gains$42 $1,822 
Unrealized losses(22,462)(802)
Accumulated other comprehensive (loss)/income$(22,420)$1,020 

Non-controlling Interest

At both September 30, 2022 and December 31, 2021, the Company had non-controlling interests attributable to ownership interests for three legal entities.

At both September 30, 2022 and December 31, 2021, the Company's ownership interest is approximately 53.1% of AS Ajax E II and it consolidates the assets, liabilities, revenues and expenses of the entity.




The accompanying notes are an integral part of the consolidated interim financial statements.
53

At both September 30, 2022 and December 31, 2021, the Company's ownership interest is approximately 50.0% of 2017-D and it consolidates the assets, liabilities, revenues and expenses of the trust.

At both September 30, 2022 and December 31, 2021, the Company's ownership interest is approximately 99.9% of Great Ajax II REIT and it consolidates the assets, liabilities, revenues and expenses of the entity.

At both September 30, 2022 and December 31, 2021, the Company owned 100.0% of 2018-C as the 37.0% non-controlling ownership was purchased by the Company during the first quarter of 2021 and the non-controlling interest was derecognized from the Company's balance sheet.

The following table sets forth the effects of changes in the Company's ownership interest due to transfers to or from non-controlling interest ($ in thousands):

Three months ended September 30,Nine months ended September 30,
2022202120222021
Decrease from redemption of 2018-C$— $— $— $(8,306)
Decrease from the distribution of 2017-D(34)(307)(867)(17,171)
Change in non-controlling interest$(34)$(307)$(867)$(25,477)

Note 15 — Subsequent Events

Since September 30, 2022, the Company has acquired three residential RPLs in one transaction from a single seller with aggregate UPB of $0.8 million. The purchase price of the RPLs was 78.5% of UPB and 58.2% of the estimated market value of the underlying collateral of $1.1 million.

The Company has agreed to acquire, subject to due diligence, two residential RPLs in two transactions with aggregate UPB of $0.6 million. The purchase price of the residential RPLs is 84.2% of UPB and 58.6% of the estimated market value of the underlying collateral of $0.9 million.

On October 26, 2022, the Company co-invested with third-party institutional investors to form 2022-RPL1 and acquired 17.5% of the securities and trust certificates from the trust. 2022-RPL1 acquired 1,948 RPLs with aggregate UPB of $293.6 million. The purchase price including joint venture expenses is 86.7% of UPB and 39.0% of the estimated market value of the underlying collateral of $653.1 million. Based on the structure of the transaction, the Company will not consolidate 2022-RPL1 under U.S. GAAP.

On November 3, 2022, the Company’s Board of Directors declared a cash dividend of $0.27 per share to be paid on November 29, 2022 to stockholders of record as of November 15, 2022.




The accompanying notes are an integral part of the consolidated interim financial statements.
54

CAUTIONARY STATEMENT REGARDING FORWARD-LOOKING STATEMENTS

Some of the statements under “Risk Factors” and “Management’s Discussion and Analysis of Financial Condition and Results of Operations,” and elsewhere in this quarterly report constitute forward-looking statements within the meaning of the federal securities laws. Forward-looking statements relate to expectations, beliefs, projections, future plans and strategies, anticipated events or trends, and similar expressions concerning matters that are not historical facts. In some cases, you can identify forward-looking statements by terms such as “anticipate,” “believe,” “could,” “estimate,” “expect,” “intend,” “may,” “plan,” “potential,” “should,” “will” and “would” or the negatives of these terms or other comparable terminology.

The forward-looking statements are based on our beliefs, assumptions and expectations of our future performance, taking into account all information currently available to us. These beliefs, assumptions and expectations can change as a result of many possible events or factors, not all of which are known to us or are within our control. If a change occurs, our business, financial condition, liquidity and results of operations may vary materially from those expressed in our forward-looking statements. The outcome of the events described in these forward-looking statements is subject to risks, uncertainties and other factors including but not limited to:

•the impact of adverse real estate, mortgage or housing markets and changes in the general economy;
•changes in our business strategy;
•the impact of the global pandemic caused by the novel coronavirus ("COVID-19") outbreak;
•general volatility of the capital markets;
•the impact of adverse legislative or regulatory tax changes;
•our ability to obtain financing on favorable terms or at all;
•our ability to implement our business strategy;
•difficulties in identifying re-performing loans (“RPLs”), small balance commercial mortgage loans (“SBC loans”) and properties to acquire; and the impact of changes to the supply of, value of and the returns on RPLs and SBC loans;
•our ability to compete with our competitors;
•our ability to control our costs;
•the impact of changes in interest rates and the market value of the collateral underlying our RPL and non-performing loan (“NPL”) portfolios or of our other real estate assets;
•our ability to convert NPLs into performing loans or to modify or otherwise resolve such loans;
•our ability to convert NPLs to properties that can generate attractive returns, generally through sale;
•our ability to retain our engagement of our Manager;
•the failure of the Servicer to perform its obligations under the Servicing Agreement;
•our failure to qualify or maintain qualification as a real estate investment trust (“REIT”); and
•our failure to maintain our exemption from registration under the Investment Company Act of 1940, as amended (the “Investment Company Act”).

Accordingly, you should not rely upon forward-looking statements as an indication of future performance. We cannot assure you that the results, events and circumstances reflected in the forward-looking statements will be achieved or will occur, and actual results, events or circumstances could differ materially from those projected in the forward-looking statements. The forward-looking statements made in this quarterly report relate only to events as of the date on which the statements are made. We may not actually achieve the plans, intentions or expectations disclosed in our forward-looking statements and you should not place undue reliance on our forward-looking statements. We undertake no obligation and do not assume any obligation to update any forward-looking statements, whether as a result of new information, future events or circumstances after the date on which the statements are made or to reflect the occurrence of unanticipated events or otherwise, except as required by law.
55

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

In this quarterly report on Form 10-Q (“report”), unless the context indicates otherwise, references to “Great Ajax,” “we,” “the company,” “our” and “us” refer to the activities of and the assets and liabilities of the business and operations of Great Ajax Corp.; “operating partnership” refers to Great Ajax Operating Partnership L.P., a Delaware limited partnership; “our Manager” refers to Thetis Asset Management LLC, a Delaware limited liability company; “Aspen Capital” refers to the Aspen Capital group of companies; “Aspen” and “Aspen Yo” refers to Aspen Yo LLC, an Oregon limited liability company that is part of Aspen Capital; and “the Servicer” and “Gregory” refer to Gregory Funding LLC, an Oregon limited liability company and our affiliate, and an indirect subsidiary of Aspen Yo.
 
Our Management’s Discussion and Analysis of Financial Condition and Results of Operations should be read in conjunction with the unaudited interim consolidated financial statements and related notes included in Item 1. Consolidated interim financial statements of this report and in Item 8. Financial statements and supplementary data in our most recent Annual Report on Form 10-K, as well as the section entitled “Risk Factors” in Part II, Item 1A. of this report, as well as other cautionary statements and risks described elsewhere in this report and our most recent Annual Report on Form 10-K.

Overview

Great Ajax Corp. is a Maryland corporation that is organized and operated in a manner intended to allow us to qualify as a REIT. We primarily target acquisitions of (i) RPLs, which are residential mortgage loans on which at least five of the seven most recent payments have been made, or the most recent payment has been made and accepted pursuant to an agreement, or the full dollar amount, to cover at least five payments has been paid in the last seven months and (ii) NPLs, which are residential mortgage loans on which the most recent three payments have not been made. We may acquire RPLs and NPLs either directly or in joint ventures with institutional accredited investors. The joint ventures are structured as securitization trusts, of which we acquire debt securities and beneficial interests. We may also acquire or originate SBC loans. The SBC loans that we target through acquisitions generally have a principal balance of up to $5.0 million and are secured by multi-family residential and commercial mixed use retail/residential properties on which at least five of the seven most recent payments have been made, or the most recent payment has been made and accepted pursuant to an agreement, or the full dollar amount to cover at least five payments has been paid in the last seven months. Additionally, we invest in single-family and smaller commercial properties directly either through a foreclosure event of a loan in our mortgage portfolio, or, less frequently, through a direct acquisition. We own a 19.8% equity interest in our Manager and an 8.0% equity interest in the parent company of our Servicer through GA-TRS, a wholly owned subsidiary of the Operating Partnership. We have elected to treat GA-TRS as a taxable REIT subsidiary under the Code. Our mortgage loans and real properties are serviced by the Servicer, also an affiliated company.

In 2014, we formed Great Ajax Funding LLC, a wholly owned subsidiary of the Operating Partnership, to act as the depositor of mortgage loans into securitization trusts and to hold the subordinated securities issued by such trusts and any additional trusts we may form for additional secured borrowings. AJX Mortgage Trust I and AJX Mortgage Trust II are wholly owned subsidiaries of the Operating Partnership formed to hold mortgage loans used as collateral for financings under our repurchase agreements. On February 1, 2015, we formed GAJX Real Estate Corp., as a wholly owned subsidiary of the Operating Partnership, to own, maintain, improve and sell certain REOs purchased by us. We have elected to treat GAJX Real Estate Corp. as a TRS under the Code.

Our Operating Partnership, through interests in certain entities as of September 30, 2022, owns 99.9% of Great Ajax II REIT Inc. which owns Great Ajax II Depositor LLC which then acts as the depositor of mortgage loans into securitization trusts and holds subordinated securities issued by such trusts. Similarly, as of September 30, 2022, the Operating Partnership wholly owned Great Ajax III Depositor LLC, which was formed to act as the depositor into Ajax Mortgage Loan Trust 2021-E ("2021-E"), which is a real estate mortgage investment conduit ("REMIC"). We have securitized mortgage loans through these securitization trusts and retained subordinated securities from the secured borrowings. These trusts are considered to be variable interest entities ("VIEs"), and we have determined that we are the primary beneficiary of the VIEs.

In 2018, we formed Gaea Real Estate Corp. ("Gaea"), as a wholly-owned subsidiary of the Operating Partnership that invests in multifamily properties with a focus on property appreciation and triple net lease veterinary clinics. We elected to treat Gaea as a TRS under the Code for 2018 and elected to treat Gaea as a REIT under the Code in 2019 and thereafter. Also during 2018, we formed Gaea Real Estate Operating Partnership LP, a wholly-owned subsidiary of Gaea, to hold investments in commercial real estate assets, and Gaea Real Estate Operating LLC, to act as its general partner. We also formed Gaea Veterinary Holdings LLC, BFLD Holdings LLC, Gaea Commercial Properties LLC, Gaea Commercial Finance LLC and Gaea RE Holdings LLC as subsidiaries of Gaea Real Estate Operating Partnership. In 2019, we formed DG Brooklyn Holdings LLC, also a subsidiary of Gaea Real Estate Operating Partnership LP, to hold investments in multi-family properties.
56


On November 22, 2019, Gaea completed a private capital raise transaction through which it raised $66.3 million from the issuance of its common stock to third parties to allow Gaea to continue to advance its investment strategy. Additionally, in January 2022, Gaea completed a second private capital raise in which it raised approximately $30.0 million from the issuance of its common stock and warrants. At September 30, 2022 we owned approximately 22.1% of Gaea. We account for our investment in Gaea under the equity method.

We elected to be taxed as a REIT for U.S. federal income tax purposes beginning with our taxable year ended December 31, 2014. Our qualification as a REIT depends upon our ability to meet, on a continuing basis, various complex requirements under the Code relating to, among other things, the sources of our gross income, the composition and values of our assets, our distribution levels and the diversity of ownership of our capital stock. We believe that we are organized in conformity with the requirements for qualification as a REIT under the Code, and that our current intended manner of operation enables us to meet the requirements for taxation as a REIT for U.S. federal income tax purposes.

Our Portfolio

The following table outlines the carrying value of our portfolio of mortgage loan assets and single-family and smaller commercial properties as of September 30, 2022 and December 31, 2021 ($ in millions):

September 30, 2022December 31, 2021
Residential RPLs$887.4 $971.1 
Residential NPLs107.3 119.5 
SBC loans11.7 19.3 
Real estate owned properties, net6.1 6.1 
Investments in securities at fair value257.8 355.2 
Investment in beneficial interests127.7 139.6 
Total mortgage related assets$1,398.0 $1,610.8 

We closely monitor the status of our mortgage loans and, through our Servicer, work with our borrowers to improve their payment records.

Market Trends and Outlook

In September and November, 2022 the U.S. Federal Reserve (the "Fed") raised its benchmark federal-funds rate by three quarters of a percentage point. This follows rate increases in March, May, June and July for a year to date increase of 3.75 points. The Fed indicated it would likely continue raising the federal-funds rate as long as inflation remained above its 2.00% target and would continue reducing its holdings of Treasury securities and agency debt and agency mortgage-backed securities. According to Freddie Mac, the 30-year fixed rate mortgage rate increased to an average of 6.92% for the week of October 13, 2022.(1)

Ongoing disruption in the credit markets could result in margin calls from our financing counterparties and additional mark downs on our Investments in debt securities, beneficial interests and mortgage loans.

Through the end of the third quarter, the recent trends noted below have continued, including:

•rising interest rates have increased our borrowing costs;
•increasing mortgage interest rates and higher home prices, are slowing home purchases and refinancing activity resulting in lower prepayments of our loan and securities portfolios;
•rising home prices are triggering significant prepayments by borrowers selling their homes to downsize or relocate to lower cost markets;
•borrowers that purchased or refinanced in 2020 and 2021 have record low interest rates and will be unlikely to trade up in the current interest rate environment;
•the flight to the suburbs during the COVID pandemic has increased the demand for single-family and multi-family residential rental properties; and
•the Dodd-Frank risk retention rules for asset backed securities have reduced the universe of participants in the securitization markets.
57


The combination of these factors has also resulted in a significant number of families that cannot qualify to obtain new residential mortgage loans. We believe the U.S. federal regulations addressing “qualified mortgages” based on, among other factors such as employment status, debt-to-income level, impaired credit history or lack of savings, limit mortgage loan availability from traditional mortgage lenders. In addition, we believe that many homeowners displaced by foreclosure or who either cannot afford to own or cannot be approved for a mortgage will prefer to live in single-family rental properties with similar characteristics and amenities to owned homes as well as smaller multi-family residential properties. In certain demographic areas, new households are being formed at a rate that exceeds the new homes being added to the market, which we believe favors future demand for non-federally guaranteed mortgage financing for single-family and smaller multi-family rental properties. For all these reasons, we believe that demand for single-family and smaller multi-family rental properties will continue to increase in the near term and remain at heightened levels for the foreseeable future.

We believe that investments in residential RPLs and NPLs with positive equity provide an optimal investment value. As a result, we are currently focused on acquiring pools of RPLs and NPLs, at attractive prices. Through our Servicer, we work with our borrowers to improve their payment records. Once there is a period of continued performance, we expect that borrowers will typically refinance these loans at or near the estimated value of the underlying property.

We also believe there are significant attractive investment opportunities in the SBC loan and property markets and originate as well as purchase these loans, particularly in urban areas where there is a sustainable trend of young adults desiring to live near where they work. We focus on densely populated urban areas where we expect positive economic change based on certain demographic, economic and social statistical data. The primary lenders for smaller multi-family and mixed retail/residential properties are community banks and not regional and national banks and large institutional lenders. We believe the primary lenders and loan purchasers are less interested in these assets because they typically require significant commercial and residential mortgage credit and underwriting expertise, special servicing capability and active property management. It is also more difficult to create the large pools of these loans that primary banks, lenders and portfolio acquirers typically desire. We continually monitor opportunities to increase our holdings of these SBC loans and properties.

We also believe that banks and other mortgage lenders have strengthened their capital bases and are more aggressively foreclosing on delinquent borrowers or selling these loans to dispose of their inventory. Additionally, many NPL buyers are now interested in reducing their investment duration and are selling RPLs.

(1)Freddie Mac Primary Mortgage Market Survey, U.S. weekly averages as of October 13, 2022.

Factors That May Affect Our Operating Results

Acquisitions. Our operating results depend heavily on sourcing residential RPLs and SBC loans and, when attractive opportunities are identified, NPLs. We believe that there is generally a large supply of RPLs available to us for acquisition and we believe the available supply provides for a steady acquisition pipeline of assets since large institutions are active sellers in the market. However, we expect that our residential mortgage loan portfolio may grow at an uneven pace, as opportunities to acquire distressed residential mortgage loans may be irregularly timed and may involve large portfolios of loans, and the timing and extent of our success in acquiring such loans cannot be predicted. In addition, for any given portfolio of loans that we agree to acquire, we typically acquire fewer loans than originally expected, as certain loans may be resolved prior to the closing date or may fail to meet our diligence standards. The number of loans not acquired typically constitutes a small portion of a particular portfolio. In any case where we do not acquire the full portfolio, we make appropriate adjustments to the applicable purchase price.

Financing. Our ability to grow our business by acquiring residential RPLs and SBC loans depends on the availability of adequate financing, including additional equity financing, debt financing or both in order to meet our objectives. We intend to leverage our investments with debt, the level of which may vary based upon the particular characteristics of our portfolio and on market conditions. We have funded and intend to continue to fund our asset acquisitions with non-recourse secured borrowings in which the underlying collateral is not marked to market and employ repurchase agreements without the obligation to mark to market the underlying collateral to the extent available. We securitize our whole loan portfolios, primarily as a financing tool, when economically efficient to create long-term, fixed rate, non-recourse financing with moderate leverage, while retaining one or more tranches of the subordinate MBS so created. The secured borrowings are structured as debt financings and not REMIC sales. We completed the securitization transactions pursuant to Rule 144A under the Securities Act of 1933, as amended (the “Securities Act”), in which we issued notes primarily secured by seasoned, performing and non-performing mortgage loans primarily secured by first liens on one-to-four family residential properties. Currently there is substantial uncertainty in the securitization markets which could limit our access to financing.
58

 
To qualify as a REIT under the Code, we generally will need to distribute at least 90% of our taxable income each year (subject to certain adjustments) to our stockholders. This distribution requirement limits our ability to retain earnings and thereby replenish or increase capital to support our activities.

Resolution Methodologies. We, through the Servicer, or our affiliates, employ various loan resolution methodologies with respect to our residential mortgage loans, including loan modification, collateral resolution and collateral disposition. The manner in which an NPL is resolved will affect the amount and timing of revenue we will receive. Our preferred resolution methodology is typically to cause the RPLs to continue to perform and NPLs to perform through loan modification. Following a period of continued performance, we expect that borrowers will typically refinance these loans at or near the estimated value of the underlying property. We believe modification followed by refinancing generates near-term cash flows, provides the highest possible economic outcome for us and is a socially responsible business strategy because it keeps more families in their homes. In certain circumstances, we may also consider selling these modified loans. Through historical experience, we expect that many of our NPLs will enter into foreclosure or similar proceedings, ultimately becoming REO that we can sell. We expect the timelines for these different processes to vary significantly. The exact nature of resolution will depend on a number of factors that are beyond our control, including borrower willingness, property value, availability of refinancing, interest rates, conditions in the financial markets, regulatory environment and other factors. To avoid the 100% prohibited transaction tax on the sale of dealer property by a REIT, we may dispose of assets that may be treated as held “primarily for sale to customers in the ordinary course of a trade or business” by contributing or selling the asset to a TRS prior to marketing the asset for sale. The state of the real estate market and home prices will determine proceeds from any sale of real estate.

Conversion to Rental Property. From time to time we may retain an REO property as a rental property. We do not expect to retain a material number of single family residential properties for use as rentals.

Expenses. Our expenses primarily consist of the fees and expenses payable by us under the Management Agreement and the Servicing Agreement. Additionally, our Manager incurs direct, out-of-pocket costs related to managing our business, which are contractually reimbursable by us. Loan transaction expense is the cost of performing due diligence on pools of mortgage loans under consideration for purchase. Professional fees are primarily for legal, accounting and tax services. Real estate operating expense consists of the ownership and operating costs of our REO properties, and includes any charges for impairments to the carrying value of these assets, which may be significant. Those expenses may increase due to extended eviction timelines caused by the pandemic. Interest expense, which is subtracted from our Interest income to arrive at Net interest income, consists of the costs to borrow money.

Changes in Home Prices. As discussed above, generally, rising home prices are expected to positively affect our results, particularly as this should result in greater levels of re-performance of mortgage loans, faster refinancing of those mortgage loans, more re-capture of principal on greater than 100% LTV (loan-to-value) mortgage loans and increased recovery of the principal of the mortgage loans upon sale of any REO. Conversely, declining real estate prices are expected to negatively affect our results, particularly if the home prices should decline below our purchase price for the loans and especially if borrowers determine that it is better to strategically default as their equity in their homes decline. We typically concentrate our investments in specific urban geographic locations in which we expect stable or better property markets. However, when we analyze loan and property acquisitions we do not take home price appreciation ("HPA") into account except for rural properties for which we model negative HPA related to our expectation of worse than expected property condition. While we initially expected the COVID-19 outbreak to have a material downward effect on home prices, we are generally seeing increases in HPA in our target markets. A significant decline in HPA could have an adverse impact on our operating results.

Changes in Market Interest Rates. With respect to our business operations, increases in existing interest rates, in general, may over time cause: (1) the value of our mortgage loan and MBS portfolio to decline; (2) coupons on our ARM and hybrid ARM mortgage loans and MBS to reset, although on a delayed basis, to higher interest rates; (3) prepayments on our mortgage loans and MBS portfolio to slow, thereby slowing the amortization of our purchase premiums and the accretion of our purchase discounts; (4) the interest expense associated with our borrowings to increase; and (5) to the extent we enter into interest rate swap agreements as part of our hedging strategy, the value of these agreements to increase. Conversely, decreases in interest rates, in general, may over time cause: (a) prepayments on our mortgage loan and MBS portfolio to increase, thereby accelerating the accretion of our purchase discounts; (b) the value of our mortgage loan and MBS portfolio to increase; (c) coupons on our ARM and hybrid ARM mortgage loans and MBS to reset, although on a delayed basis, to lower interest rates; (d) the interest expense associated with our borrowings to decrease; and (e) to the extent we enter into interest rate swap agreements as part of our hedging strategy, the value of these agreements to decrease.

Market Conditions. As the Fed continues its current trend toward monetary tightening, mortgage markets are undergoing a great deal of uncertainty with regard to both interest rates and origination volume. We believe that in spite of the
59

continuing uncertain market environment for mortgage-related assets current market conditions offer potentially attractive investment opportunities for us, even in the face of a riskier and more volatile market environment. We expect that market conditions will continue to impact our operating results and will cause us to adjust our investment and financing strategies over time as new opportunities emerge and risk profiles of our business change.

COVID-19 Pandemic. While lock downs and restrictions from the pandemic have ended, the effects of the pandemic on inflation and resulting increase in interest rates have contributed to a substantial dislocation in the credit markets. A return to any COVID-19 pandemic restriction could also negatively impact our business if the reactions of federal, state and local governments caused additional disruption in the capital markets and in housing.

Critical Accounting Policies and Estimates

Various elements of our accounting policies, by their nature, are inherently subject to estimation techniques, and other subjective assessments. In particular, we have identified six policies that, due to the judgment and estimates inherent in those policies, are critical to understanding our consolidated financial statements. These policies relate to (i) the allowance for credit losses, (ii) accounting for Interest income on our mortgage loan portfolio; (iii) accounting for Investments at fair value; (iv) accounting for investments in Beneficial Interests; (v) accounting for Interest expense on our secured borrowings, repurchase facilities, 2024 Notes and 2027 Notes; and (vi) fair values. We believe that the judgment and estimates used in the preparation of our consolidated financial statements are appropriate given the factual circumstances at the time. However, given the sensitivity of our consolidated financial statements to these critical accounting policies, the use of other judgments or estimates could result in material differences in our results of operations or financial condition. For further information, see below for our additional critical accounting policies on convertible senior notes and notes payable and our Form 10-K for our calendar year ended December 31, 2021, for our previous policies that have not changed.

Critical Accounting Policies

Convertible Senior Notes

During 2017 and 2018, we completed the public offer and sale of our convertible senior notes due 2024 (the "2024 Notes"). At September 30, 2022 and December 31, 2021, the UPB of the debt was $104.5 million and $104.6 million, respectively. The 2024 Notes bear interest at a rate of 7.25% per annum, payable quarterly in arrears on January 15, April 15, July 15 and October 15 of each year. The 2024 Notes will mature on April 30, 2024, unless earlier repurchased, converted or redeemed. During certain periods and subject to certain conditions the 2024 Notes will be convertible by their holders into shares of our common stock at a current conversion rate of 1.7405 shares of common stock per $25.00 principal amount of the 2024 Notes, which represents a conversion price of approximately $14.36 per share of common stock. The conversion rate, and thus the conversion price, are subject to adjustment under certain circumstances.

Coupon interest on the 2024 Notes is recognized using the accrual method of accounting. Discount and deferred issuance costs are carried on our consolidated balance sheets as a reduction of the carrying value of the 2024 Notes, and are amortized to interest expense on an effective yield basis through April 30, 2023, the date at which the 2024 Notes can be converted. We assume the debt will be converted at the specified conversion date for purposes of amortizing issuance costs because we believe such conversion will be in the economic interest of the holders. No sinking fund has been established for redemption of the principal.

During the three months ended March 31, 2022, we adopted ASU 2020-06, Debt – Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging – Contracts in an Entity’s Own Equity (Subtopic 815-40) by recording a reduction in our additional paid-in capital account of $0.7 million and a corresponding increase in the carrying value of our Convertible senior notes of $0.7 million, representing the carrying value of the conversion feature associated with the 2024 Notes.

Notes Payable

During August 2022, our Operating Partnership issued $110.0 million aggregate principal amount of 8.875% senior unsecured notes due September 2027 (the "2027 Notes"). The 2027 Notes have a five-year term and were issued at 99.009% of par value and are fully and unconditionally guaranteed by us and two of our subsidiaries: Great Ajax Operating LLC (the "GP Guarantor") and Great Ajax II Operating Partnership L.P. (the "Subsidiary Guarantor," and together with us and the GP Guarantor, "Guarantors"). Interest on the 2027 Notes is payable semi-annually on March 1 and September 1, with the first payment due and payable on March 1, 2023. The 2027 Notes will mature on September 1, 2027. Net proceeds from the sale of the 2027 Notes totaled approximately $106.1 million, after deducting the discount, commissions, and offering expenses which
60

will be amortized over the term of the unsecured 2027 Notes using the effective interest method.

Recent Accounting Pronouncements

Refer to the notes to our interim financial statements for a description of relevant recent accounting pronouncements.

Results of Operations

Quarter Overview

Key items for the three months ended September 30, 2022 include:

•Interest income of $20.0 million; net interest income of $8.7 million
•Net loss attributable to common stockholders of $(16.2) million
•Earnings per share ("EPS") per basic common share of $(0.71)
•Operating income of $3.1 million
•Operating income per basic common share of $0.14
•Taxable income of $0.26 per share attributable to common stockholders after payment of dividends on our preferred stock
•Book value per common share of $13.75 at September 30, 2022
•Repurchased and retired $66.0 million face amount of our preferred stock and associated warrants
•Issued $110.0 million aggregate principal amount of 8.875% senior unsecured notes due 2027
•Collected total cash of $57.8 million, from loan payments, sales of REO and collections from investments in debt securities and beneficial interests
•Held $72.9 million of cash and cash equivalents at September 30, 2022; average daily cash balance for the quarter was $62.3 million
•As of September 30, 2022, approximately 79.6% of portfolio based on acquisition UPB made at least 12 out of the last 12 payments

We generated a consolidated net loss attributable to common stockholders under U.S. Generally Accepted Accounting Principles ("U.S. GAAP" or "GAAP") for the three months ended September 30, 2022 of $(16.2) million or $(0.71) per common share after preferred dividends, and Operating income, of $3.1 million or $0.14 per common share. Operating income is a non-GAAP financial measure which adjusts GAAP earnings by removing unrealized gains and losses as well as certain other non-core income and expenses and preferred dividends. We consider Operating income a useful measure for comparing the results of our ongoing operations over multiple quarters. Comparatively, our GAAP consolidated net income attributable to common stockholders for the three months ended September 30, 2021 was $9.3 million, or $0.40 per common share, and Operating income was $9.4 million, or $0.41 per common share.

During the three months ended September 30, 2022, we repurchased and retired 1,113,932 shares of our series A preferred stock, 1,525,529 shares of our series B preferred stock and 3,299,328 warrants for our common stock in a series of repurchase transactions. The series A and series B preferred stock was repurchased for an aggregate of $64.2 million at an average price of $24.32 per share, representing a discount of approximately 2.7% to the face value of $25.00 per share. The warrants were repurchased for an aggregate of $25.8 million which is equal to the expected future put value obligation of $20.00 per warrant. The repurchase of the preferred stock caused the recognition of $5.7 million of GAAP preferred stock discount, and the repurchase of the warrants accelerated future GAAP accretion expense on the warrant's put option of $8.8 million. The repurchase of the preferred stock is expected to save us approximately $3.9 million annually in preferred dividends while the repurchase of the warrants will reduce future put option accretion expense by $8.0 million annually.

At September 30, 2022, our book value decreased to $13.75 per common share from $15.92 at December 31, 2021, driven by the effect of mark to market adjustments of $23.4 million on our investments in debt securities, dividends on our common stock of $18.2 million and the year-to-date net loss attributable to common stockholders of $21.8 million, partially offset by the repurchase of 475,355 shares of our common stock during the second quarter at an average price of $9.77 per share and the removal of our convertible senior notes from the calculation due to their antidilutive effect on our earnings per share.

During the three months ended March 31, 2022, we invested an additional $6.1 million in Gaea to increase our total investment to $25.5 million, or 22.2% of total shares outstanding. In addition to common stock, we received 371,103 warrants to purchase additional shares at $16.41 per share for a two year period following the date that the common stock commences trading on a trading market.
61


Table 1: Results of Operations

Three months ended September 30,Nine months ended September 30,
($ in thousands)2022202120222021
INCOME
Interest income$20,021 $23,054 $64,133 $70,137 
Interest expense(11,369)(8,609)(29,150)(27,743)
Net interest income8,652 14,445 34,983 42,394 
Net decrease in the net present value of expected credit losses(1)
1,935 3,678 6,874 13,927 
Net interest income after the impact of changes in the net present value of expected credit losses10,587 18,123 41,857 56,321 
(Loss)/income from investments in affiliates(451)90 (869)610 
Other income/(loss)386 778 (6,727)1,620 
Total revenue, net10,522 18,991 34,261 58,551 
EXPENSE
Related party expense – loan servicing fees1,952 1,743 6,049 5,275 
Related party expense – management fee1,948 2,292 6,604 6,835 
Professional fees667 526 1,431 1,929 
Real estate operating expenses(16)(76)136 197 
Fair value adjustment on put option liability2,917 2,493 9,712 6,638 
Other expense1,377 1,227 4,299 3,906 
Total expense8,845 8,205 28,231 24,780 
Acceleration of put option settlement8,813 — 12,344 — 
Loss on debt extinguishment— — — 1,072 
(Loss)/income before provision for income taxes(7,136)10,786 (6,314)32,699 
Provision for income taxes2,367 102 2,339 203 
Consolidated net (loss)/income(9,503)10,684 (8,653)32,496 
Less: consolidated net (loss)/income attributable to the non-controlling interest(42)(578)70 (47)
Consolidated net (loss)/income attributable to Company(9,461)11,262 (8,723)32,543 
Less: dividends on preferred stock1,053 1,949 4,927 5,848 
Less: discount on retirement of preferred stock5,735 — 8,194 — 
Consolidated net (loss)/income attributable to common stockholders$(16,249)$9,313 $(21,844)$26,695 
Basic (loss)/earnings per common share$(0.71)$0.40 $(0.95)$1.16 
Diluted (loss)/earnings per common share$(0.71)$0.38 $(0.95)$1.10 
(1)Net decrease in the net present value of expected credit losses represents the net decrease to the allowance resulting from changes in actual and expected cash flows during both the three and nine months ended September 30, 2022 and 2021. It represents the net increase of the present value of the expected cash flows in excess of contractual cash flows offset by any incremental provision expense on the Mortgage loan pools and Beneficial interests. The decrease is calculated at the pool level for Mortgage loans and at the security level for Beneficial interests. To the extent a pool or Beneficial interest has an associated allowance, the decrease in expected credit losses is recorded in the period in which the change occurs, otherwise it is recognized prospectively as an increase in yield.

62

Three months ended September 30,Nine months ended September 30,
($ in thousands)2022202120222021
Reconciliation of consolidated net (loss)/income attributable to common stockholders to consolidated operating income
Consolidated net (loss)/income attributable to common stockholders$(16,249)$9,313 $(21,844)$26,695 
Dividends on preferred stock(1,053)(1,949)(4,927)(5,848)
Discount on retirement of preferred stock(5,735)— (8,194)— 
Consolidated net (loss)/income attributable to Company(9,461)11,262 (8,723)32,543 
Provision for income taxes(2,367)(102)(2,339)(203)
Consolidated net loss/(income) attributable to the non-controlling interest42 578 (70)47 
(Loss)/income before provision for income taxes(7,136)10,786 (6,314)32,699 
Mark to market gain loss on loans and joint venture refinancing— — (7,959)— 
Net decrease in the net present value of expected credit losses(1)
1,935 3,678 6,874 13,927 
Fair value adjustment on put option liability(2,917)(2,493)(9,712)(6,638)
Acceleration of put option settlement(8,813)— (12,344)— 
Other adjustments(442)168 (960)(632)
Consolidated operating income$3,101 $9,433 $17,787 $26,042 
Basic operating income per common share$0.14 $0.41 $0.77 $1.13 
Diluted operating income per common share$0.14 $0.38 $0.77 $1.08 
(1)Net decrease in the net present value of expected credit losses represents the net decrease to the allowance resulting from changes in actual and expected cash flows during both the three and nine months ended September 30, 2022 and 2021. It represents the net increase of the present value of the expected cash flows in excess of contractual cash flows offset by any incremental provision expense on the Mortgage loan pools and Beneficial interests. The decrease is calculated at the pool level for Mortgage loans and at the security level for Beneficial interests. To the extent a pool or Beneficial interest has an associated allowance, the decrease in expected credit losses is recorded in the period in which the change occurs, otherwise it is recognized prospectively as an increase in yield.

Interest Income

Our primary source of income is accretion earned on our mortgage loan portfolio offset by the interest expense incurred to fund and hold portfolio acquisitions. Our gross interest income excluding the impact of credit losses decreased $3.1 million to $20.0 million for the three months ended September 30, 2022 from $23.1 million for the three months ended September 30, 2021 primarily due to lower yields on our mortgage loan portfolio and beneficial interests. Under CECL, we are required to recognize any increase in expected cash flows in the period in which the change in expectations occurs. During 2021, prepayments arising from increasing home prices and record low interest rates caused the acceleration of yield into the current periods versus recognizing those gains prospectively over the remaining life of the loans or beneficial interests. For the nine months ended September 30, 2022, our gross interest income decreased $6.0 million to $64.1 million from $70.1 million for the nine months ended September 30, 2021 with the decrease again primarily due to the impact from the application of CECL.

Interest expense for the three months ended September 30, 2022 increased $2.8 million to $11.4 million from $8.6 million for the three months ended September 30, 2021 due to an increase in the weighted average interest rate on our debt as well as an increase in the average balances of debt outstanding driven primarily by increases in our repurchase financings and the issuance of our unsecured debt. For the nine months ended September 30, 2022, our interest expense increased $1.5 million to $29.2 million from $27.7 million for the nine months ended September 30, 2021 due to increases in both the effective interest rate on our borrowings, and our average borrowing balance outstanding.

For the three and nine months ended September 30, 2022, we recorded a $1.9 million and $6.9 million, respectively, decrease in the net present value of expected future credit losses. A decrease in the net present value of expected future credit losses is driven by higher than expected payments received on our mortgage loan and securities portfolios. Comparatively, for the three and nine months ended September 30, 2021, we recorded a $3.7 million and $13.9 million, respectively, decrease in
63

the net present value of expected future credit losses. We generally acquire loans at a discount and record an allowance for expected credit losses at acquisition. We update the allowance quarterly based on changing cash flow expectations in accordance with CECL. Only one of our CECL loan pools has an allowance recorded at acquisition remaining.

During the three months ended September 30, 2022, we collected $57.8 million in cash payments and proceeds on our mortgage loans, securities and REO held-for-sale compared to $82.8 million for the three months ended September 30, 2021.

The interest income detail for the three and nine months ended September 30, 2022 and 2021 are included in the table below ($ in thousands):

Table 2: Interest Income Detail

Three months ended September 30, Nine months ended September 30,
2022202120222021
Accretable yield recognized on RPL, NPL and SBC loans$14,864 $15,772 $46,452 $49,741 
Interest income on debt securities2,443 3,084 8,001 8,158 
Accretable yield recognized on beneficial interests2,170 4,041 8,781 11,897 
Other interest income273 114 503 119 
Bank interest income271 43 396 222 
Interest income$20,021 $23,054 $64,133 $70,137 
Net decrease in the net present value of expected credit losses(1)
1,935 3,678 6,874 13,927 
Interest income after the impact of changes in the net present value of expected credit losses$21,956 $26,732 $71,007 $84,064 
(1)Net decrease in the net present value of expected credit losses represents the net decrease to the allowance resulting from changes in actual and expected cash flows during both the three and nine months ended September 30, 2022 and 2021. It represents the net increase of the present value of the expected cash flows in excess of contractual cash flows offset by any incremental provision expense on the Mortgage loan pools and Beneficial interests. The decrease is calculated at the pool level for Mortgage loans and at the security level for Beneficial interests. To the extent a pool or Beneficial interest has an associated allowance, the decrease in expected credit losses is recorded in the period in which the change occurs, otherwise it is recognized prospectively as an increase in yield.

The average carrying balance of our mortgage loan portfolio increased for the three months ended September 30, 2022 versus the comparative period in 2021 primarily due to loan acquisitions in the fourth quarter of 2021. The average carrying balances of our debt securities, beneficial interests and debt outstanding decreased for the three months ended September 30, 2022 versus the comparative period in 2021 as paydowns and sales outpaced acquisitions. The average carrying balances for our portfolio are included in the table below ($ in thousands):

Table 3: Average Balances

Three months ended September 30,
20222021
Average mortgage loan portfolio$1,014,320 $976,829 
Average carrying value of debt securities$310,313 $387,247 
Average carrying value of beneficial interests$125,536 $133,567 
Total average asset backed debt$987,394 $1,044,125 

Loss/Income from Equity Method Investments

For both the three and nine months ended September 30, 2022, we recorded losses from our investments in affiliates of $0.5 million and $0.9 million, respectively. Comparatively, for the three and nine months ended September 30, 2021, we recorded income from our investments in affiliates of $0.1 million and $0.6 million, respectively. The change is partially due to the flow-through impact of the mark to market adjustment on shares of our stock held by our Manager and our Servicer. We account for our investments in our Manager and our Servicer using the equity method of accounting.

64

During the three months ended March 31, 2022, we invested an additional $6.1 million in Gaea to increase our total investment to $25.5 million, or 22.2% of total shares outstanding. In addition to common stock, we received 371,103 warrants to purchase additional shares at $16.41 per share for a two year period following the date that the common stock commences trading on a trading market.

Other Income/Loss

Other income decreased for the three months ended September 30, 2022 by $0.4 million from the comparable period in 2021, primarily due to a $0.9 million loss on the disposition of debt securities, offset by $0.5 million of late fee income. For the nine months ended September 30, 2022, Other income decreased $8.3 million from the nine month period in 2021. The decrease in Other income was driven by $4.0 million other than temporary impairment on the partial redemption of our beneficial interests in Ajax Mortgage Loan Trusts 2018-D and 2018-G ("2018-D and -G") during the first quarter of 2022 which became a realized loss when the transaction closed in April 2022. The 2018-D and -G trusts were re-securitized in the second quarter of 2022 and the underlying mortgage loans were used to form Ajax Mortgage Loan Trust 2022-A ("2022-A"). We also had a $2.1 million loss on the partial redemption of our beneficial interests in Ajax Mortgage Loan Trust 2019-A and 2019-B ("2019-A and -B") during the second quarter of 2022. The 2019-A and -B trusts were also re-securitized in the second quarter of 2022 and the underlying mortgage loans were used to form Ajax Mortgage Loan Trust 2022-B ("2022-B"). Although we continue to own approximately the same interest in the underlying mortgage loans and related cash flows, we account for our beneficial interests as legal securities and recorded a loss on the transaction as a result. The beneficial interests were exchanged for a combination of the beneficial interest in 2022-A and -B, respectively, and cash received from the sale of the underlying loans to 2022-A and -B, respectively. Also, during the nine months ended September 30, 2022, we recognized a lower of cost or market adjustment on our mortgage loan portfolio of $1.8 million due to duration extension of a portion of our loan portfolio as previously delinquent borrowers have become more consistent payers. This was partially offset by an increase in the first quarter in late fee income. A breakdown of Other income is provided in the table below ($ in thousands):

Table 4: Other Income/(Loss)

Three months ended September 30,Nine months ended September 30,
2022202120222021
Net gain on sale of property held-for-sale$757 $375 $759 $572 
Late fee income511 182 1,437 608 
Rental income3 5 10 31 
HAMP fees1 26 12 105 
Lower of cost or market adjustment on mortgage loans— — (1,844)— 
Loss on refinancing of beneficial interests— — (6,115)— 
Other (loss)/gain(26)(11)(47)103 
(Loss)/gain on sale of securities(860)201 (939)201 
Total Other income/(loss)$386 $778 $(6,727)$1,620 

65

Expenses

Total expenses increased for the three and nine months ended September 30, 2022 over the comparable periods in 2021 as a result of our put option expense on our outstanding common stock warrants and an increase in loan servicing fees as NPLs increased as a percentage of the total portfolio. These were partially offset by lower management fees during the three and nine months ended September 30, 2022 due to a reduction in stockholders' equity. A breakdown of expenses is provided in the table below ($ in thousands):

Table 5: Expenses

Three months ended September 30,Nine months ended September 30,
2022202120222021
Fair value adjustment on put option liability$2,917 $2,493 $9,712 $6,638 
Related party expense – loan servicing fees1,952 1,743 6,049 5,275 
Related party expense – management fee1,948 2,292 6,604 6,835 
Other expense1,377 1,227 4,299 3,906 
Professional fees667 526 1,431 1,929 
Real estate operating expenses(16)(76)136 197 
Total expense$8,845 $8,205 $28,231 $24,780 

Other Expense

Other expense increased for the three and nine months ended September 30, 2022 over the comparable periods in 2021 primarily due to an increase in employee and service provider grants and travel, meals and entertainment, partially offset by lower non due diligence lien release. A breakdown of Other expense is provided in the table below ($ in thousands):

Table 6: Other Expense

Three months ended September 30,Nine months ended September 30,
2022202120222021
Employee and service provider share grants$328 $230 $821 $644 
Borrowing related expenses237 138 519 471 
Directors' fees and grants200 165 580 585 
Insurance175 253 679 711 
Software licenses and amortization118 86 343 261 
Other expense91 159 247 376 
Taxes and regulatory expense89 105 546 349 
Travel, meals, entertainment74 15 339 113 
Internal audit services39 46 159 123 
Loan transaction expense26 (34)73 106 
Lien release non due diligence— 64 (7)167 
Total Other expense$1,377 $1,227 $4,299 $3,906 

Acceleration of Put Option Settlement

During the three and nine months ended September 30, 2022, we repurchased and retired 3,299,328 and 4,549,328 warrants, respectively, for our common stock in a series of repurchase transactions. The warrants were repurchased for an aggregate of $25.8 million and $35.0 million, respectively, at a price equal to the expected future put value obligation of $20.00 per warrant. The repurchase of the warrants accelerated future accretion expense on the warrant's put option of $8.8 million and $12.3 million, respectively. The repurchase is expected to reduce future put option expense by $8.0 million annually. There was no repurchase of warrants in either the three or nine month periods ended September 30, 2021.

66

Loss on Debt Extinguishment

During the three and nine months ended September 30, 2022, we had no acceleration of deferred issuance costs from refinancing activities. Comparatively, for the three months ended September 30, 2021 we had no acceleration of deferred issuance costs for refinancing activities; however, for the nine months ended September 30, 2021, we recorded $1.1 million related to the acceleration of deferred issuance costs for calling and re-securitizing our secured borrowings at a lower cost of funds.

Discount on Retirement of Preferred Stock

During the three and nine months ended September 30, 2022, we repurchased and retired 1,113,932 and 1,882,451 shares, respectively, of our series A preferred stock and 1,525,529 and 1,757,010 shares, respectively, of our series B preferred stock in a series of repurchase transactions. The series A and series B preferred stock was repurchased for an aggregate of $64.2 million and $88.7 million, respectively, at an average price of $24.32 and $24.37 per share, respectively, representing discounts of approximately 2.7% and 2.5%, respectively, to the face value of $25.00 per share. The repurchase of the preferred stock caused the recognition of $5.7 million and $8.2 million, respectively, of preferred stock discount during the three and nine months ended September 30, 2022. The repurchase is expected to save us approximately $3.9 million annually in preferred dividends. There was no repurchase of preferred stock in either the three or nine months ended September 30, 2021.

Equity and Net Book Value per Share

Our net book value per common share was $13.75 and $15.92 at September 30, 2022 and December 31, 2021, respectively. The decrease in book value was primarily due to the effect of mark to market adjustments of $23.4 million on our investments in debt securities, dividends on our common stock of $18.2 million and the year-to-date net loss attributable to common stockholders of $21.8 million, partially offset by the repurchase of 475,355 shares of our common stock at an average price of $9.77 per share and the removal of our convertible senior notes from the calculation due to their antidilutive effect on our earnings per share. We believe our calculation is representative of our book value on a per share basis, and our Manager believes book value per share is a valuable metric for evaluating our business. The net book value per share is calculated by taking equity at the balance sheet date (i) less preferred stock and non-controlling interest, (ii) adjusted for any addition for potential conversion of our 2024 Notes, divided by outstanding shares at the balance sheet date adjusted to include (i) unvested restricted stock earned but unissued and (ii) any share equivalents for our convertible senior notes or our put option liability as determined by the dilution requirements for our EPS calculation. A breakdown of our book value per share is set forth in the table below ($ in thousands except per share amounts):

Table 7: Book Value per Common Share

September 30, 2022December 31, 2021
Outstanding shares22,883,634 23,146,775 
Adjustments for:  
Unvested grants of restricted stock and shares earned but not issued as of the date indicated8,440 3,470 
Conversion of convertible senior notes into shares of common stock(1)
— 7,228,910 
Settlement of put option in shares(2)
— — 
Total adjusted shares outstanding22,892,074 30,379,155 
Equity at period end$351,496 $500,473 
Net increase in equity from expected conversion of convertible senior notes(1)
— 101,511 
Adjustment for equity due to preferred shares(34,554)(115,144)
Net adjustment for equity due to non-controlling interests(2,174)(3,178)
Adjusted equity$314,768 $483,662 
Book value per share$13.75 $15.92 
(1)The conversion of convertible senior notes was removed as of September 30, 2022 due to it having an anti-dilutive effect on our earnings per share calculation.
67

(2)The settlement of the put option in shares is not included in the book value calculation as of September 30, 2022 or December 31, 2021 as it has an anti-dilutive effect on our earnings per share calculation.

Mortgage Loan Portfolio

For the three and nine months ended September 30, 2022, we purchased $8.2 million and $9.4 million of RPLs with UPB of $9.1 million and $10.3 million, respectively, at 42.3% and 44.2% of property value, respectively, and 90.4% and 90.6% of UPB, respectively. Comparatively, for the three and nine months ended September 30, 2021, we purchased $0.5 million and $36.8 million of RPLs with UPB of $0.5 million and $41.7 million, respectively, at 61.7% and 57.7% of property value, respectively, and 89.6% and 88.3% of UPB, respectively. For the three and nine months ended September 30, 2022, we purchased $0.3 million and $1.3 million of NPLs with UPB of $0.4 million and $1.5 million, respectively, at 52.4% and 54.0% of property value, respectively, and 69.2% and 87.5% of UPB, respectively. Comparatively, for the three and nine months ended September 30, 2021, we purchased $87.5 million and $88.0 million of NPLs with UPB of $90.9 million and $91.5 million, respectively, at 64.0% and 63.9% of property value, respectively, and 96.3% and 96.1% of UPB, respectively. For both the three and nine months ended September 30, 2022, we purchased no SBC loans. Comparatively, for the three months ended September 30, 2021, we purchased no SBC loans, however, for the nine months ended September 30, 2021, we purchased $3.6 million of SBC loans with UPB of $3.6 million at 36.5% of property value and 99.8% of UPB. We ended the period with $1.0 billion of net mortgage loans with an aggregate UPB of $1.0 billion as of September 30, 2022 and $1.0 billion of net mortgage loans with an aggregate UPB of $1.1 billion as of September 30, 2021.

The following table shows loan portfolio acquisitions for the three and nine months ended September 30, 2022, and 2021 ($ in thousands):

Table 8: Loan Portfolio Acquisitions

Three months ended September 30,Nine months ended September 30,
2022202120222021
RPLs
Count34 4 40 241 
UPB$9,119 $530 $10,327 $41,718 
Purchase price$8,246 $475 $9,357 $36,835 
Purchase price % of UPB90.4 %89.6 %90.6 %88.3 %
NPLs
Count3 364 8 367 
UPB$390 $90,862 $1,524 $91,527 
Purchase price$270 $87,537 $1,333 $87,984 
Purchase price % of UPB69.2 %96.3 %87.5 %96.1 %
SBC loans
Count— — — 1 
UPB$— $— $— $3,611 
Purchase price$— $— $— $3,603 
Purchase price % of UPB— %— %— %99.8 %

During the three and nine months ended September 30, 2022, 146 and 567 mortgage loans, respectively, representing 2.3% and 10.8% of our ending UPB, respectively, were liquidated. Comparatively, during the three and nine months ended September 30, 2021, 183 and 1,292 mortgage loans, respectively, representing 3.7% and 23.1% of our ending UPB, respectively, were liquidated. Our loan portfolio activity for the three and nine months ended September 30, 2022 and 2021 is presented below ($ in thousands):
68


Table 9: Loan Portfolio Activity
Three months ended September 30,
20222021
Mortgage loans held-for-investment, netMortgage loans held-for-sale, netMortgage loans held-for-investment, netMortgage loans held-for-sale, net
Beginning carrying value$1,023,614 $— $955,628 $— 
Mortgage loans acquired8,516 — 88,012 — 
Draws on SBC loans— — 3,022 — 
Accretion recognized14,864 — 15,772 — 
Payments received on loans, net(41,528)— (54,292)— 
Net reclassifications (to)/from mortgage loans held-for-sale, net— — (30,963)30,963 
Reclassifications to REO(1,099)— (1,739)— 
Decrease in net present value of expected credit losses on mortgage loans1,935 — 908 — 
Other84 — 3 — 
Ending carrying value$1,006,386 $— $976,351 $30,963 

Nine months ended September 30,
20222021
Mortgage loans held-for-investment, netMortgage loans held-for-sale, netMortgage loans held-for-investment, netMortgage loans held-for-sale, net
Beginning carrying value$1,080,434 $29,572 $1,119,372 $— 
Mortgage loans acquired10,690 — 128,422 — 
Draws on SBC loans— — 10,366 — 
Accretion recognized46,451 — 49,741 — 
Payments received on loans, net(162,622)— (180,443)— 
Net reclassifications from/(to) mortgage loans held-for-sale, net29,572 (29,572)(159,733)159,733 
Reclassifications to REO(3,332)— (3,013)— 
Sale of mortgage loans— — — (128,770)
Decrease in net present value of expected credit losses on mortgage loans and lower of cost or market adjustment5,124 — 9,148 — 
Other69 — 2,491 — 
Ending carrying value$1,006,386 $— $976,351 $30,963 

69

Table 10: Portfolio Composition

As of September 30, 2022 and December 31, 2021, our portfolios consisted of the following ($ in thousands):

September 30, 2022December 31, 2021
No. of Loans5,426 No. of Loans5,941 
Total UPB(1)
$1,047,692 
Total UPB(1)
$1,165,841 
Interest-Bearing Balance$957,443 Interest-Bearing Balance$1,069,407 
Deferred Balance(2)
$90,249 
Deferred Balance(2)
$96,434 
Market Value of Collateral(3)
$2,232,297 
Market Value of Collateral(3)
$2,193,143 
Current Purchase Price/Total UPB
81.7 %
Current Purchase Price/Total UPB
82.0 %
Current Purchase Price/Market Value of Collateral42.0 %Current Purchase Price/Market Value of Collateral47.1 %
Weighted Average Coupon4.35 %Weighted Average Coupon4.33 %
Weighted Average LTV(4)
56.4 %
Weighted Average LTV(4)
63.7 %
Weighted Average Remaining Term (months)295 Weighted Average Remaining Term (months)295 
No. of first liens5,375 No. of first liens5,883 
No. of second liens51 No. of second liens58 
RPLs
88.2 %
RPLs
87.5 %
NPLs10.6 %NPLs10.8 %
SBC loans1.2 %SBC loans1.7 %
No. of REO properties held-for-sale37 No. of REO properties held-for-sale31 
Market Value of REO(5)
$6,902 
Market Value of REO(5)
$6,611 
Carrying value of debt securities and beneficial interests in trusts$407,901 Carrying value of debt securities and beneficial interests in trusts$494,361 
Loans with 12 for 12 payments as an approximate percentage of acquisition UPB (6)
79.6 %
Loans with 12 for 12 payments as an approximate percentage of acquisition UPB (6)
72.3 %
Loans with 24 for 24 payments as an approximate percentage of acquisition UPB (7)
69.3 %
Loans with 24 for 24 payments as an approximate percentage of acquisition UPB (7)
63.9 %
(1)At September 30, 2022 and December 31, 2021, our loan portfolio consists of fixed rate (61.7% of UPB), ARM (6.9% of UPB) and Hybrid ARM (31.4% of UPB); and fixed rate (60.6% of UPB), ARM (7.5% of UPB) and Hybrid ARM (31.9% of UPB), respectively.
(2)Amounts that have been deferred in connection with a loan modification on which interest does not accrue. These amounts generally become payable at the time of maturity.
(3)As of the reporting date.
(4)UPB as of September 30, 2022 and December 31, 2021, divided by market value of collateral and weighted by the UPB of the loan.
(5)Market value of REO is based on net realizable value. Fair market value is determined based on appraisals, broker price opinions ("BPOs"), or other market indicators of fair value including list price or contract price.
(6)Loans that have made at least 12 of the last 12 payments, or for which the full dollar amount to cover at least 12 payments has been made in the last 12 months.
(7)Loans that have made at least 24 of the last 24 payments, or for which the full dollar amount to cover at least 24 payments has been made in the last 24 months.

70

Table 11: Portfolio Characteristics

The following tables present certain characteristics about our mortgage loans by year of origination as of September 30, 2022 and December 31, 2021, respectively ($ in thousands):

Portfolio at September 30, 2022
Years of Origination
Mortgage loans held-for-investment, netAfter 20082006 – 20082005 and prior
Number of loans606 3,047 1,773 
UPB$132,309 $673,169 $242,214 
Percent of mortgage loan portfolio by year of origination12.6 %64.3 %23.1 %
Loan Attributes:
Weighted average loan age (months)117.1 187.9 227.2 
Weighted average loan-to-value55.1 %59.6 %48.3 %
Delinquency Performance:
Current57.8 %59.8 %58.2 %
30 days delinquent0.9 %0.4 %0.9 %
60 days delinquent5.5 %8.7 %9.5 %
90+ days delinquent29.7 %25.9 %27.5 %
Foreclosure6.1 %5.2 %3.9 %

Portfolio at December 31, 2021
Years of Origination
Mortgage loans held-for-investment, netAfter 20082006 – 20082005 and prior
Number of loans638 3,258 1,868 
UPB$144,418$727,856$261,101
Percent of mortgage loan portfolio by year of origination12.7 %64.2 %23.1 %
Loan Attributes:
Weighted average loan age (months)105.0 178.8 217.9 
Weighted average loan-to-value 60.6 %67.1 %54.2 %
Delinquency Performance:
Current55.4 %55.3 %52.6 %
30 days delinquent7.4 %9.6 %9.2 %
60 days delinquent4.5 %5.1 %7.0 %
90+ days delinquent27.2 %23.7 %27.1 %
Foreclosure5.5 %6.3 %4.1 %

71

Years of Origination
Mortgage loans held-for-sale, netAfter 20082006 – 20082005 and prior
Number of loans25 82 70 
UPB$4,791$17,464$10,211
Percent of mortgage loan portfolio by year of origination14.8 %53.8 %31.4 %
Loan Attributes:
Weighted average loan age (months)125.5 178.3 217.2 
Weighted average loan-to-value64.2 %83.6 %74.5 %
Delinquency Performance:
Current45.0 %44.0 %48.8 %
30 days delinquent5.5 %15.7 %12.0 %
60 days delinquent3.6 %8.4 %9.4 %
90+ days delinquent45.9 %24.0 %23.2 %
Foreclosure— %7.9 %6.6 %

Table 12: Loans by State

The following table identifies our mortgage loans by state, number of loans, loan value, collateral value and percentages thereof at September 30, 2022 and December 31, 2021 ($ in thousands):

September 30, 2022December 31, 2021
StateCountUPB% UPB
Collateral
Value(1)
% of
Collateral
Value		StateCountUPB% UPB
Collateral
Value(1)
% of
Collateral
Value
CA710 $230,799 22.0 %$543,515 24.3 %CA774 $254,732 21.8 %$542,547 24.7 %
FL880 177,390 16.9 %378,894 17.0 %FL998 197,755 17.0 %350,213 16.0 %
NY360 109,495 10.5 %219,611 9.8 %NY370 115,297 10.0 %209,610 9.6 %
NJ293 65,843 6.3 %113,164 5.1 %NJ311 72,179 6.3 %109,171 5.0 %
MD214 50,850 4.9 %84,985 3.8 %MD240 57,412 4.9 %88,757 4.0 %
VA176 37,575 3.6 %67,512 3.0 %VA186 39,780 3.4 %66,701 3.0 %
TX345 34,912 3.3 %93,628 4.2 %TX372 37,838 3.2 %88,631 4.0 %
GA283 33,397 3.2 %80,493 3.6 %IL218 37,505 3.2 %54,622 2.5 %
IL198 33,060 3.2 %52,502 2.4 %GA301 36,733 3.2 %73,635 3.4 %
MA148 30,292 2.9 %67,534 3.0 %MA163 34,322 2.9 %68,812 3.1 %
NC202 25,398 2.4 %58,772 2.6 %NC227 32,371 2.8 %67,322 3.1 %
AZ104 19,415 1.9 %46,032 2.1 %AZ119 23,270 2.0 %47,579 2.2 %
PA180 18,957 1.8 %34,745 1.6 %PA193 21,302 1.8 %35,222 1.6 %
WA81 18,581 1.8 %48,201 2.2 %WA91 20,578 1.8 %46,555 2.1 %
NV72 13,389 1.3 %32,157 1.4 %SC127 14,381 1.2 %25,379 1.2 %
SC119 12,773 1.2 %26,872 1.2 %NV75 13,992 1.2 %29,298 1.3 %
CT69 11,657 1.1 %20,779 0.9 %CT75 12,980 1.1 %20,634 0.9 %
OH98 10,408 1.0 %19,035 0.9 %OR63 12,275 1.1 %26,938 1.2 %
OR55 8,851 0.8 %23,257 1.0 %OH106 12,109 1.0 %19,242 0.9 %
TN90 8,763 0.8 %22,240 1.0 %TN108 10,884 0.9 %23,233 1.0 %
IN88 8,187 0.8 %16,554 0.7 %IN99 9,414 0.8 %16,833 0.8 %
MI69 7,962 0.8 %16,907 0.8 %MI80 9,331 0.8 %18,099 0.8 %
CO40 7,325 0.7 %22,308 1.0 %CO43 8,127 0.7 %21,188 1.0 %
LA67 6,460 0.6 %11,864 0.5 %MO61 6,957 0.6 %11,624 0.5 %
UT36 5,754 0.5 %17,356 0.8 %LA71 6,885 0.6 %11,573 0.5 %
MO55 5,647 0.5 %10,955 0.5 %UT39 6,156 0.5 %16,978 0.8 %
MN33 5,630 0.5 %10,670 0.5 %MN35 5,881 0.5 %10,205 0.5 %
DE28 5,081 0.5 %8,054 0.4 %WI44 5,771 0.5 %8,829 0.4 %
DC15 4,512 0.4 %8,612 0.4 %AL49 5,613 0.5 %7,872 0.4 %
WI38 4,449 0.4 %7,902 0.4 %DE30 5,416 0.5 %7,779 0.4 %
72

September 30, 2022December 31, 2021
StateCountUPB% UPB
Collateral
Value(1)
% of
Collateral
Value		StateCountUPB% UPB
Collateral
Value(1)
% of
Collateral
Value
AL43 4,017 0.4 %6,282 0.3 %DC16 5,039 0.4 %9,182 0.4 %
NM23 3,616 0.3 %6,775 0.3 %HI11 3,941 0.3 %7,058 0.3 %
HI10 3,522 0.3 %7,309 0.3 %NM24 3,784 0.3 %6,143 0.3 %
KY29 3,461 0.3 %6,317 0.3 %KY29 3,504 0.3 %5,777 0.3 %
RI14 3,129 0.3 %5,583 0.3 %RI15 3,236 0.3 %5,203 0.2 %
NH15 2,759 0.3 %5,547 0.2 %NH16 3,006 0.3 %5,450 0.2 %
MS24 1,923 0.2 %3,438 0.2 %OK22 2,104 0.2 %3,768 0.2 %
OK19 1,773 0.2 %3,608 0.2 %MS25 2,025 0.2 %3,327 0.2 %
ID10 1,384 0.1 %4,164 0.2 %KS22 1,593 0.1 %3,713 0.2 %
KS17 1,315 0.1 %3,254 0.1 %ID11 1,569 0.1 %3,995 0.2 %
ME8 1,060 0.1 %1,995 0.1 %ME9 1,296 0.1 %2,118 0.1 %
IA13 1,041 0.1 %1,852 0.1 %WV13 1,283 0.1 %2,095 0.1 %
WV10 996 0.1 %1,853 0.1 %IA14 1,137 0.1 %1,837 0.1 %
MT6 989 0.1 %2,329 0.1 %MT6 1,003 0.1 %1,966 0.1 %
PR6 870 0.1 %948 — %PR6 884 0.1 %929 — %
AR14 742 0.1 %1,587 — %AR15 863 0.1 %1,592 0.1 %
SD5 696 0.1 %1,730 0.1 %SD5 713 0.1 %1,524 0.1 %
VT3 515 0.1 %537 — %VT3 520 — %493 — %
NE5 395 0.1 %994 — %NE5 408 — %886 — %
ND3 383 — %589 — %ND3 388 — %580 — %
WY2 240 — %304 — %WY2 244 — %257 — %
AK1 54 — %192 — %AK1 55 — %169 — %
5,426 $1,047,692 100.0 %$2,232,297 100.0 %5,941 $1,165,841 100.0 %$2,193,143 100.0 %
(1)As of the reporting date.

Table 13: Debt Securities and Beneficial Interest Acquisitions

The following table shows our debt securities and beneficial interest acquisitions for the three and nine months ended September 30, 2022 and 2021 ($ in thousands):

Three months ended September 30,Nine months ended September 30,
2022202120222021
Class A securities
UPB$— $43,120 $65,254 $213,969 
Purchase price(1,2)
$— $43,115 $63,658 $213,077 
Purchase price % of UPB— %100.0 %97.6 %99.6 %
Class M securities
UPB$— $1,943 $8,120 $1,943 
Purchase price(1,2)
$— $1,943 $6,533 $1,943 
Purchase price % of UPB— %100.0 %80.5 %100.0 %
Class B securities
UPB$— $9,561 $— $33,222 
Purchase price(1,2)
$— $6,399 $— $29,907 
Purchase price % of UPB— %66.9 %— %90.0 %
Trust certificates
Purchase price(1,2)
$— $3,213 $15,807 $42,680 
(1)The securities were received in exchange for our investments in 2018-D and -G and 2019-A and -B and include cash and non-cash components for the nine months ended September 30, 2022.
(2)The securities were received in exchange for our investments in Ajax Mortgage Loan Trust 2020-C and Ajax Mortgage Loan Trust 2020-D and include cash and non-cash components for the three and nine months ended September 30, 2021.
73


Liquidity and Capital Resources

Source and Uses of Cash

Our primary sources of cash have consisted of proceeds from our securities offerings, our secured borrowings, repurchase agreements, principal and interest payments on our loan portfolio, principal paydowns on securities, and sales of properties held-for-sale. Depending on market conditions, we expect that our primary financing sources will continue to include secured borrowings, repurchase agreements, and securities offerings in addition to transaction or asset specific funding arrangements and credit facilities (including term loans and revolving facilities). We expect that these sources of funds will be sufficient to meet our short-term and long-term liquidity needs. We believe we have access to adequate resources to meet the needs of our existing operations, mandatory capital expenditures, dividend payments, and working capital, to the extent not funded by cash provided by operating activities. However, we expect market events, including inflation and the related Federal Reserve bank actions, may adversely impact our future operating cash flows due to the inability of some of our borrowers to make scheduled payments on time or at all, and through increased interest rates on secured borrowings and repurchase lines of credit. From time to time, we may invest with third parties and acquire interests in loans and other real estate assets through investments in joint ventures using special purpose entities that can result in investments at fair value and investments in beneficial interests, which are included on our consolidated balance sheet.

As of September 30, 2022 and December 31, 2021, substantially all of our invested capital was in RPLs, NPLs, SBC loans, debt securities, and beneficial interests. We also held approximately $72.9 million of cash and cash equivalents, a decrease of $11.5 million from our balance of $84.4 million at December 31, 2021, due to investments in mortgage related assets during 2022. Our average daily cash balance during the quarter was $62.3 million, a decrease of $17.0 million from our average daily cash balance of $79.3 million during the three months ended December 31, 2021, due to investments in additional mortgage related assets during 2022.

Our collections of principal and interest payments on mortgages and securities, and payoffs and proceeds on the sale of our property held-for-sale were $57.8 million and $217.1 million, respectively, for the three and nine months ended September 30, 2022 and $82.8 million and $231.9 million, respectively, for the three and nine months ended September 30, 2021.

Nine month Operating, Investing and Financing Cash Flows

Our operating cash inflows for the nine months ended September 30, 2022 were $4.0 million. Our operating cash outflows for the nine months ended September 30, 2021 were $15.0 million. Our primary operating cash inflow is cash interest payments on our mortgage loan pools of $35.8 million and $34.8 million for the nine months ended September 30, 2022 and 2021, respectively. Non-cash interest income accretion on our mortgage loans was $11.0 million and $15.5 million for the nine months ended September 30, 2022 and 2021, respectively. Interest income on beneficial interests was $8.8 million and $12.3 million during the nine months ended September 30, 2022 and 2021, respectively. Interest income on debt securities was $8.0 million and $8.2 million during the nine months ended September 30, 2022 and 2021, respectively.

Though the ownership of mortgage loans and other real estate assets is our business, U.S. GAAP requires that operating cash flows do not include the portion of principal payments that are allocable to the discount we recognize on our mortgage loans including proceeds from loans that pay in full or are liquidated in a short sale or third party sale at foreclosure or the proceeds on the sales of our property held-for-sale. These activities are all considered to be investing activities under U.S. GAAP, and the cash flows from these activities are included in the investing section of our consolidated statements of cash flows. The impact of the COVID-19 outbreak may put pressure on our cash flow from operations as we enter into loan modifications on certain of our loans permitting interest payments to be deferred.

For the nine months ended September 30, 2022, our investing cash inflows of $210.7 million were driven by principal payments on and payoffs of our mortgage loan portfolio of $126.8 million, proceeds from refinancing and sale of our debt securities and beneficial interests of $123.9 million and principal and interest collections on our securities of $56.3 million, partially offset by the purchase of securities of $84.5 million, acquisitions of our mortgage loans of $10.7 million and the purchase of additional shares of common stock in our Gaea affiliate of $6.1 million. For the nine months ended September 30, 2021 our investing cash inflows of $54.9 million were primarily driven by principal payments on and payoffs of our mortgage loan portfolio of $145.4 million, proceeds from the sale of loans from our 2017-D mortgage loan trust of $126.0 million, principal and interest collections of our debt securities and beneficial interests of $111.2 million and proceeds from payoff and sale of our securities of $90.2 million, partially offset by the acquisitions of our debt securities and beneficial interests of $286.5 million and acquisitions of our mortgage loans of $128.4 million.
74


Our financing cash flows are driven primarily by funding used to acquire mortgage loan pools and debt securities. We fund our mortgage loan pools primarily through secured borrowings and repurchase agreements and we fund our debt securities primarily through repurchase agreements. For the nine months ended September 30, 2022, we had net financing cash outflows of $226.2 million primarily driven by repayments of $221.0 million on repurchase transactions and pay downs of existing debt obligations of $95.9 million on secured borrowings, partially offset by additional borrowing through repurchase transactions of $138.2 million. We had repurchased $34.1 million of our preferred stock and warrants, net of discount during the second quarter of 2022. During the third quarter of 2022 we issued unsecured debt, net of discount and deferred expenses of $106.1 million, which was primarily used to fund our third quarter repurchase of our preferred stock and warrants, net of discount of $90.9 million. For the nine months ended September 30, 2021, we had net cash outflows from financing activities of $51.6 million primarily driven by repayments of $398.1 million on repurchase transactions and pay downs of existing debt obligations of $355.0 million on secured borrowings. Also, we purchased the remaining 37.0% ownership of the Class B notes and trust certificates of 2018-C for a total of $17.2 million and repurchased our 2024 Notes of $7.5 million, partially offset by additional borrowing through secured debt of $391.0 million and repurchase transactions of $376.3 million. For the nine months ended September 30, 2022 and 2021, we paid $24.2 million and $19.3 million, respectively, in combined dividends and distributions.

Financing Activities — Equity Offerings

On February 28, 2020, our Board of Directors approved a stock repurchase of up to $25.0 million of our common shares. The amount and timing of any repurchases depends on a number of factors, including but not limited to the price and availability of the common shares, trading volume and general circumstances and market conditions. As of September 30, 2022, we held 657,029 shares of treasury stock consisting of 131,990 shares received through distributions of our shares previously held by our Manager and 525,039 shares acquired through open market purchases. As of September 30, 2021, we held 136,403 shares of treasury stock consisting of 87,939 shares received through distributions of our shares previously held by our Manager and 48,464 shares acquired through open market purchases.

During the three and nine months ended September 30, 2022, we repurchased and retired 1,113,932 and 1,882,451 shares, respectively, of our series A preferred stock and 1,525,529 and 1,757,010 shares, respectively, of our series B preferred stock in a series of repurchase transactions. The series A and series B preferred stock was repurchased for an aggregate of $64.2 million and $88.7 million, respectively, at an average price of $24.32 and $24.37 per share, respectively, representing a discount of approximately 2.7% and 2.5%, respectively, to the face value of $25.00 per share. The repurchase of the preferred stock caused the recognition of $5.7 million and $8.2 million of discount during the three and nine months ended September 30, 2022, respectively. The repurchase is expected to save us approximately $3.9 million annually in preferred dividends. There was no repurchase of preferred stock in either the three or nine months ended September 30, 2021. Also, during three and nine months ended September 30, 2022, we repurchased and retired 3,299,328 and 4,549,328 of our outstanding warrants for $25.8 million and $35.0 million, respectively, resulting in the acceleration of $8.8 million and $12.3 million, respectively of accretion expense, which will result in less accretion expense in future periods.

During the three and nine months ended September 30, 2022, we did not sell any shares of common stock under our At the Market program, which we sell, through our agents, shares of common stock with an aggregate offering price of up to $100.0 million. Comparatively, during the three and nine months ended September 30, 2021, we sold 9,073 shares of common stock for proceeds, net of issuance costs of $0.1 million under our At the Market program. In accordance with the terms of the agreements, we may offer and sell shares of our common stock at any time and from time to time through the sales agents. Sales of the shares, if any, will be made by means of ordinary brokers’ transactions on the New York Stock Exchange or otherwise at market prices prevailing at the time of the sale.

Financing Activities — Secured Borrowings, 2024 Notes and 2027 Notes

Secured Borrowings

From our inception (January 30, 2014) to September 30, 2022, we have completed 18 secured borrowings, not including borrowings we completed for our non-consolidated joint ventures (See "Table 18: Investments in joint ventures"), through securitization trusts pursuant to Rule 144A under the Securities Act, five of which were outstanding at September 30, 2022. The secured borrowings are structured as debt financings and not REMIC sales, and the loans included in the secured borrowings remain on our consolidated balance sheet as we are the primary beneficiary of the secured borrowing trusts, which are VIEs. The secured borrowing VIEs are structured as pass through entities that receive principal and interest on the underlying mortgages and distribute those payments to the holders of the notes. Our exposure to the obligations of the VIEs is generally limited to our investments in the entities. The notes that are issued by the secured borrowing trusts are secured solely by the mortgages held by the applicable trusts and not by any of our other assets. The mortgage loans of the applicable trusts are
75

the only source of repayment and interest on the notes issued by such trusts. We do not guarantee any of the obligations of the trusts under the terms of the agreement governing the notes or otherwise.

Our non-rated secured borrowings are generally structured with Class A notes, subordinated notes, and trust certificates, which have rights to the residual interests in the mortgages once the notes are repaid. We have retained the subordinate notes and the applicable trust certificates from one non-rated secured borrowing outstanding at September 30, 2022.

Our rated secured borrowings are generally structured as “REIT TMP” transactions which allows us to issue multiple classes of securities without using a REMIC structure or being subject to an entity level tax. Our rated secured borrowings generally issue classes of debt from AAA through mezzanine. We generally retain the mezzanine and residual certificates in the transactions. We have retained the applicable mezzanine and residual certificates from the other four rated secured borrowings outstanding at September 30, 2022. Our rated secured borrowings are designated in the table below.

At March 31, 2021, our 2017-D secured borrowing contained Class A notes and Class B certificates representing the residual interests in the mortgages held within the securitization trusts subsequent to repayment of the Class A debt. We had retained 50.0% of both the Class A notes and Class B certificates from 2017-D; and the assets and liabilities were included on our consolidated balance sheets. During the second quarter of 2021, the majority of the loans in 2017-D were sold into 2021-C and the Class A note was redeemed. Based on the structure of the transaction we do not consolidate 2021-C under U.S. GAAP.

The following table sets forth the original terms of all outstanding notes from our secured borrowings outstanding at September 30, 2022 at their respective cutoff dates:

Table 14: Secured Borrowings

Issuing Trust/Issue DateInterest Rate Step-up DateSecurityOriginal PrincipalInterest Rate
Rated
Ajax Mortgage Loan Trust 2019-D/ July 2019July 25, 2027Class A-1 notes due 2065$140.4 million2.96 %
July 25, 2027Class A-2 notes due 2065$6.1 million3.50 %
July 25, 2027Class A-3 notes due 2065$10.1 million3.50 %
July 25, 2027
Class M-1 notes due 2065(1)
$9.3 million3.50 %
None
Class B-1 notes due 2065(2)
$7.5 million3.50 %
None
Class B-2 notes due 2065(2)
$7.1 million
variable(3)
None
Class B-3 notes due 2065(2)
$12.8 million
variable(3)
Deferred issuance costs$(2.7) million— %
Rated
Ajax Mortgage Loan Trust 2019-F/ November 2019November 25, 2026Class A-1 notes due 2059$110.1 million2.86 %
November 25, 2026Class A-2 notes due 2059$12.5 million3.50 %
November 25, 2026Class A-3 notes due 2059$5.1 million3.50 %
November 25, 2026
Class M-1 notes due 2059(1)
$6.1 million3.50 %
None
Class B-1 notes due 2059(2)
$11.5 million3.50 %
None
Class B-2 notes due 2059(2)
$10.4 million
variable(3)
None
Class B-3 notes due 2059(2)
$15.1 million
variable(3)
Deferred issuance costs$(1.8) million— %
Rated
Ajax Mortgage Loan Trust 2020-B/ August 2020July 25, 2027Class A-1 notes due 2059$97.2 million1.70 %
July 25, 2027Class A-2 notes due 2059$17.3 million2.86 %
July 25, 2027
Class M-1 notes due 2059(1)
$7.3 million3.70 %
76

Issuing Trust/Issue DateInterest Rate Step-up DateSecurityOriginal PrincipalInterest Rate
None
Class B-1 notes due 2059(2)
$5.9 million3.70 %
None
Class B-2 notes due 2059(2)
$5.1 million
variable(3)
None
Class B-3 notes due 2059(2)
$23.6 million
variable(3)
Deferred issuance costs$(1.8) million— %
Rated
Ajax Mortgage Loan Trust 2021-A/ January 2021January 25, 2029Class A-1 notes due 2065$146.2 million1.07 %
January 25, 2029Class A-2 notes due 2065$21.1 million2.35 %
January 25, 2029
Class M-1 notes due 2065(1)
$7.8 million3.15 %
None
Class B-1 notes due 2065(2)
$5.0 million3.80 %
None
Class B-2 notes due 2065(2)
$5.0 million
variable(3)
None
Class B-3 notes due 2065(2)
$21.5 million
variable(3)
Deferred issuance costs $(2.5) million— %
Non-rated
Ajax Mortgage Loan Trust 2021-B/ February 2021August 25, 2024Class A notes due 2066$215.9 million2.24 %
February 25, 2025
Class B notes due 2066(2)
$20.2 million4.00 %
Deferred issuance costs$(4.3) million— %
(1)The Class M notes are subordinated, sequential pay, fixed rate notes. We have retained the Class M notes, with the exception of Ajax Mortgage Loan Trust 2021-A.
(2)The Class B notes are subordinated, sequential pay, with B-2 and B-3 notes having variable interest rates and subordinate to the Class B-1 notes. The Class B-1 notes are fixed rate notes. We have retained the Class B notes.
(3)The interest rate is effectively the rate equal to the spread between the gross average rate of interest the trust collects on its mortgage loan portfolio minus the rate derived from the sum of the servicing fee and other expenses of the trust.

2024 Notes (Convertible Senior Notes)

During 2017 and 2018, we completed the public offer and sale of our 2024 Notes, in three separate offerings which form a single series of fungible securities. At September 30, 2022 and December 31, 2021, the UPB of the debt was $104.5 million and $104.6 million, respectively. The 2024 Notes bear interest at a rate of 7.25% per annum, payable quarterly in arrears on January 15, April 15, July 15 and October 15 of each year. The 2024 Notes will mature on April 30, 2024, unless earlier repurchased, converted or redeemed. During certain periods and subject to certain conditions the 2024 Notes will be convertible by their holders into shares of our common stock at a current conversion rate of 1.7405 shares of common stock per $25.00 principal amount of the 2024 Notes, which represents a conversion price of approximately $14.36 per share of common stock. The conversion rate, and thus the conversion price, may be subject to adjustment under certain circumstances. (See "Critical Accounting Policies" above.)

2027 Notes (Unsecured Notes)

During August 2022, our Operating Partnership issued $110.0 million aggregate principal amount of 8.875% 2027 Notes. The 2027 Notes were issued at 99.009% of par value and are fully and unconditionally guaranteed by the Guarantors. (See "Critical Accounting Policies" above.)

Under the indenture governing the 2027 Notes, a subsidiary guarantor's guarantee will terminate upon: (i) the sale, exchange, disposition or other transfer (including by way of consolidation or merger) of the subsidiary guarantor or the sale or disposition of all or substantially all the assets of the subsidiary guarantor otherwise permitted by the indenture, (ii) satisfaction of the requirements for legal or covenant defeasance or discharge of the 2027 Notes, or (iii) no default or event of default has occurred and is continuing under the indenture.
The following table presents summarized financial information for the Guarantors and our Operating Partnership, on a combined basis after eliminating (i) intercompany transactions and balances among the guarantor entities and (ii) equity in
77

earnings from, and any investments in, any subsidiary that is a non-guarantor ($ in thousands):

Table 15: Summary of Issuer and Guarantor Financial Statements

September 30, 2022December 31, 2021
Total assets$467,564 $570,426 
Borrowings under repurchase transactions209,837 274,826 
Convertible senior notes and notes payable, net210,230 102,845 
Other liabilities41,582 42,186 
   Total liabilities461,649 419,857 
Total equity5,915 150,569 
Total liabilities and equity$467,564 $570,426 

Nine months ended
September 30, 2022
Total revenue, net$19,088 
Management fees and loan servicing fees5,674 
Acceleration of put option settlement12,344 
Other expenses16,229 
Consolidated loss attributable to Company(15,159)
Dividends and recognition of discount on retirement of preferred stock(13,121)
Net loss attributable to common stockholders$(28,280)

Repurchase Transactions

We have two repurchase facilities whereby we, through two wholly owned Delaware trusts (the “Trusts”), acquire pools of mortgage loans, which are then sold by the Trusts, as “Seller” to two separate counterparties, the “buyer” or “buyers.” One facility has a ceiling of $150.0 million and the other $400.0 million at any one time. Upon the time of the initial sale to the buyer, each Trust, with a simultaneous agreement, also agrees to repurchase the pools of mortgage loans from the buyer. Mortgage loans sold under these facilities carry interest calculated based on a spread to one-month SOFR, which are fixed for the term of the borrowing. The purchase price that the Trust realizes upon the initial sale of the mortgage loans to the buyer can vary between 70% and 85% of the asset’s acquisition price, depending upon the facility being utilized and/or the quality of the underlying collateral. The obligations of the Trust to repurchase these mortgage loans at a future date are guaranteed by the Operating Partnership. The difference between the market value of the asset and the amount of the repurchase agreement is generally the amount of equity we have in the position and is intended to provide the buyer with some protection against fluctuations in the value of the collateral, and/or a failure by us to repurchase the asset and repay the borrowing at maturity. We also have four repurchase facilities substantially similar to the mortgage loan repurchase facilities where the pledged assets are securities retained from our securitization transactions. These facilities have no effective ceilings. Each repurchase transaction represents its own borrowing. As such, the ceilings associated with these transactions are the amounts currently borrowed at any one time. We have effective control over the assets subject to all of these transactions; therefore, our repurchase transactions are accounted for as financing arrangements.

78

A summary of our outstanding repurchase transactions at September 30, 2022 and December 31, 2021 is as follows ($ in thousands):

Table 16: Repurchase Transactions by Maturity Date

September 30, 2022
Maturity DateAmount OutstandingAmount of CollateralInterest Rate
Barclays - bonds(1)
$110,312 $152,652 3.61 %
A BondsOctober 3, 202237,657 54,929 3.45 %
October 7, 20227,982 9,497 2.96 %
October 21, 202254,507 71,674 3.73 %
B BondsOctober 3, 20223,975 6,338 3.71 %
October 21, 20224,684 7,703 4.30 %
M BondsOctober 7, 2022311 533 3.52 %
October 21, 20221,196 1,978 3.94 %
Nomura - loans(2)
October 6, 2022$224,698 $294,666 5.10 %
Nomura - bonds(1)
$38,513 $57,268 4.57 %
A BondsOctober 12, 20224,156 5,572 3.82 %
November 18, 20227,139 10,178 4.16 %
December 16, 20224,026 5,364 4.68 %
December 23, 202212,177 18,457 4.80 %
B BondsNovember 14, 20222,937 4,427 4.52 %
November 23, 20223,172 5,179 4.58 %
December 16, 20221,106 1,687 5.08 %
December 23, 20223,800 6,404 5.20 %
Goldman Sachs - bonds(1)
$3,464 $4,758 3.95 %
A BondsOctober 14, 20223,464 4,758 3.95 %
JP Morgan - bonds(1)
$74,035 $106,229 3.88 %
A BondsDecember 6, 20225,299 7,235 3.11 %
December 7, 20227,180 9,027 3.95 %
March 24, 202322,131 30,400 5.41 %
B BondsNovember 4, 20229,278 14,106 3.99 %
December 6, 202213,149 20,840 3.31 %
M BondsOctober 14, 202216,487 23,722 2.44 %
December 7, 2022511 899 4.41 %
JP Morgan - loans(3)
July 10, 2023$12,234 $18,185 5.59 %
Totals/weighted averages$463,256 $633,758 (4)4.51 %
(1)Maximum borrowing capacity is the equivalent of the amount outstanding as of September 30, 2022.    
(2)Maximum borrowing capacity as of September 30, 2022 was $400.0 million.
(3)Maximum borrowing capacity as of September 30, 2022 was $150.0 million.
(4)Includes $42.8 million of bonds that are consolidated on our balance sheet for GAAP as of September 30, 2022.

December 31, 2021
Maturity DateAmount OutstandingAmount of CollateralInterest Rate
Barclays - bonds(1)
$126,344 $162,160 1.09 %
A BondsMarch 8, 20227,318 9,710 1.19 %
March 16, 202240,957 55,178 1.21 %
79

December 31, 2021
Maturity DateAmount OutstandingAmount of CollateralInterest Rate
March 21, 202230,850 41,413 1.26 %
March 22, 202236,093 40,091 0.69 %
B BondsMarch 16, 20224,258 6,232 1.46 %
March 21, 20222,629 3,758 1.56 %
March 22, 20222,698 3,835 1.49 %
M BondsMarch 22, 20221,541 1,943 1.16 %
Nomura - loans(2)
September 22, 2022$228,523 $300,324 2.36 %
Nomura - bonds(1)
$80,674 $107,860 1.43 %
A bondsJanuary 6, 20226,567 8,484 1.33 %
January 12, 20224,978 6,554 1.32 %
January 27, 20222,206 3,065 1.30 %
January 28, 202217,623 22,908 1.33 %
February 18, 20229,275 12,323 1.36 %
March 17, 202212,329 16,226 1.42 %
March 25, 202215,443 20,657 1.41 %
B BondsFebruary 11, 20223,094 4,434 1.75 %
February 24, 20223,538 5,111 1.77 %
March 17, 20221,177 1,686 1.82 %
March 25, 20224,444 6,412 1.81 %
Goldman Sachs - bonds(1)
$14,659 $18,672 1.18 %
A BondsJanuary 14, 20224,992 6,438 1.17 %
January 20, 20229,667 12,234 1.18 %
JP Morgan - bonds(1)
$82,030 $108,282 1.29 %
A BondsApril 1, 202228,482 37,753 1.36 %
June 10, 20226,220 7,220 1.29 %
B BondsJanuary 13, 20222,850 4,052 1.31 %
February 11, 202211,272 16,087 1.36 %
June 10, 202213,992 20,155 1.49 %
M BondsApril 19, 202219,214 23,015 1.02 %
JP Morgan - loans(3)
July 8, 2022$13,824 $20,856 2.60 %
Totals/weighted averages$546,054 $718,154 (4)1.74 %
(1)Maximum borrowing capacity is the equivalent of the amount outstanding as of December 31, 2021.    
(2)Maximum borrowing capacity as of December 31, 2021 was $400.0 million.
(3)Maximum borrowing capacity as of December 31, 2021 was $150.0 million.
(4)Includes $42.8 million of bonds that are consolidated on our balance sheet for GAAP as of December 31, 2021.

80

As of September 30, 2022, we had $463.3 million outstanding under our repurchase transactions compared to $546.1 million as of December 31, 2021. The maximum month-end balance outstanding during the three months ended September 30, 2022 was $511.3 million, compared to a maximum month-end balance for the three months ended December 31, 2021, of $563.0 million. The following table presents certain details of our repurchase transactions for the three months ended September 30, 2022 and December 31, 2021 ($ in thousands):

Table 17: Repurchase Balances

Three months ended
September 30, 2022December 31, 2021
Balance at the end of period$463,256 $546,054 
Maximum outstanding balance during the quarter$511,296 $562,999 
Average balance$486,891 $436,643 

The increase in our average balance from $436.6 million for the three months ended December 31, 2021 to our average balance of $486.9 million for the three months ended September 30, 2022 as a result of certain assets being on the repurchase line for the entire quarter.

As of September 30, 2022 and December 31, 2021, we did not have any credit facilities or other outstanding debt obligations other than the repurchase facilities, secured borrowings, put option liability, 2024 Notes and 2027 Notes.

We are not required by our investment guidelines to maintain any specific debt-to-equity ratio, and we believe that the appropriate leverage for the particular assets we hold depends on the credit quality and risk of those assets, as well as the general availability and terms of stable and reliable financing for those assets.

Dividends

We may declare dividends based on, among other things, our earnings, our financial condition, our working capital needs, new opportunities, and distribution requirements imposed on REITs. The declaration of dividends to our stockholders and the amount of such dividends are at the discretion of our Board of Directors.

On November 3, 2022, our Board of Directors declared a dividend of $0.27 per share, to be paid on November 29, 2022 to stockholders of record as of November 15, 2022. Our Management Agreement with our Manager requires the payment of an incentive management fee above the amount of the base management fee if either, (1) for any quarterly incentive fee, the sum of cash dividends on our common stock paid out of our taxable income plus any quarterly increase in book value, all calculated on an annualized basis, exceed 8% of our book value, or (2) for any annual incentive fee, the value of quarterly cash dividends on our common stock plus cash special dividends on our common stock paid out of our taxable income, plus the increase in our book value, taken together exceeds 8% (on an annualized basis) of our stock’s book value at the end of the year. During the three and nine months ended September 30, 2022, we recorded incentive fees payable to the Manager of zero and $0.3 million, respectively. Comparatively, during the three and nine months ended September 30, 2021 we recorded no incentive fee payable to the Manager. Our dividend payments are driven by the amount of our taxable income, subject to IRS rules for maintaining our status as a REIT.

Our most recently declared quarterly dividend represents a payment of approximately 7.85% on an annualized basis of our book value of $13.75 per share at September 30, 2022. If our taxable income increases, we could exceed the threshold for paying an incentive fee to our Manager, and thereby trigger such payments. See Note 10 — Related Party Transactions.

Off-Balance Sheet Arrangements

Other than our investments in debt securities and beneficial interests issued by joint ventures, which are summarized below by securitization trust, and our equity method investments discussed elsewhere in this report, we do not have any relationships with unconsolidated entities or financial partnerships, such as entities often referred to as structured finance or special purpose entities, which would have been established for the purpose of facilitating off-balance sheet arrangements or other contractually narrow or limited purposes. Further, we have not guaranteed any obligations of unconsolidated entities nor do we have any commitment or intent to provide funding to any such entities. As such, we are not materially exposed to any market, credit, liquidity or financing risk that could arise if we had engaged in such relationships.

81

Table 18: Investments in Joint Ventures

We form joint ventures with third party institutional accredited investors to purchase mortgage loans and other mortgage related assets. The debt securities and beneficial interests we carry on our consolidated balance sheets are issued by securitization trusts formed by these joint ventures, which are VIEs, that we have sponsored but which we do not consolidate since we have determined we are not the primary beneficiary.

A summary of our investments in joint ventures is presented below ($ in thousands):

Great Ajax Corp. Ownership
Issuing Trust/Issue DateSecurityTotal Original Outstanding PrincipalCouponOwnership PercentOriginal Stated or Notional Principal Balance RetainedCurrent Owned Stated or Notional Principal Balance Retained
Ajax Mortgage Loan Trust 2018-A/ April 2018Class A notes due 2058$91,036 3.85 %— %$— $— 
Trust certificates$22,759 — %9.36 %$2,130 $98 
Ajax Mortgage Loan Trust 2018-B/ June 2018Class A notes due 2057$66,374 3.75 %— %$— $— 
Trust certificates$28,447 — %20.00 %$5,689 $2,513 
Ajax Mortgage Loan Trust 2018-D/ September 2018Class A notes due 2058$80,664 3.75 %20.00 %$16,133 $— 
Trust certificates$20,166 — %20.00 %$4,033 $790 
Ajax Mortgage Loan Trust 2018-E/ December 2018Class A notes due 2058$86,089 4.38 %— %$— $— 
Class B notes due 2058$8,035 5.25 %— %$— $— 
Trust certificates$20,662 — %20.00 %$4,132 $743 
Ajax Mortgage Loan Trust 2018-F/ December 2018Class A notes due 2058$180,002 4.38 %— %$— $— 
Class B notes due 2058$16,800 5.25 %— %$— $— 
Trust certificates$43,201 — %20.00 %$8,640 $3,964 
Ajax Mortgage Loan Trust 2019-E/ September 2019Class A notes due 2059$181,101 3.00 %6.55 %$11,862 $4,286 
Class B notes due 2059$16,903 4.88 %20.00 %$3,381 $3,381 
Trust certificates$43,464 — %20.00 %$8,693 $8,558 
Ajax Mortgage Loan Trust 2019-G/ December 2019Class A notes due 2059$141,420 3.00 %5.86 %$8,287 $5,419 
Class B notes due 2059$13,199 4.25 %20.00 %$2,640 $2,640 
Trust certificates$33,941 — %20.00 %$6,788 $6,820 
82

Great Ajax Corp. Ownership
Issuing Trust/Issue DateSecurityTotal Original Outstanding PrincipalCouponOwnership PercentOriginal Stated or Notional Principal Balance RetainedCurrent Owned Stated or Notional Principal Balance Retained
Ajax Mortgage Loan Trust 2019-H/ December 2019Class A notes due 2059$90,381 3.00 %20.00 %$18,076 $5,364 
Class B notes due 2059$8,435 4.25 %20.00 %$1,687 $1,687 
Trust certificates$21,692 — %20.00 %$4,338 $4,375 
Ajax Mortgage Loan Trust 2020-A/ March 2020Class A notes due 2059$249,384 2.38 %20.00 %$49,877 $30,401 
Class B notes due 2059$23,276 3.50 %20.00 %$4,655 $4,428 
Trust certificates$59,852 — %20.00 %$11,970 $11,934 
Ajax Mortgage Loan Trust 2020-C/ September 2020Class A notes due 2060$339,365 2.25 %10.01 %$33,970 $1,407 
Class B notes due 2060$21,754 5.00 %10.01 %$2,178 $2,178 
Trust certificates$73,964 — %10.01 %$7,404 $7,393 
Ajax Mortgage Loan Trust 2020-D/ September 2020Class A notes due 2060$330,721 2.25 %10.01 %$33,105 $5,414 
Class B notes due 2060$30,867 5.00 %10.01 %$3,090 $3,090 
Trust certificates$79,373 — %10.01 %$7,945 $7,934 
Ajax Mortgage Loan Trust 2021-C/ April 2021Class A notes due 2061$194,673 2.12 %5.01 %$9,753 $6,454 
Class B notes due 2061$18,170 3.72 %31.90 %$5,796 $5,796 
Trust certificates$46,722 — %31.90 %$14,904 $14,860 
Ajax Mortgage Loan Trust 2021-D/ May 2021Class A notes due 2060$191,468 2.00 %6.94 %$13,288 $10,008 
Class B notes due 2060$25,529 4.00 %20.00 %$5,106 $5,106 
Trust certificates$38,293 — %20.00 %$7,659 $7,630 
Ajax Mortgage Loan Trust 2021-E/ July 2021(1)
Class A notes due 2060$430,760 1.82 %(2)10.01 %$43,119 $35,169 
Class M notes due 2060$19,415 2.94 %10.01 %$1,943 $1,943 
Class B-1 and B-2 notes due 2060$38,313 3.73 %10.01 %$3,835 $3,835 
83

Great Ajax Corp. Ownership
Issuing Trust/Issue DateSecurityTotal Original Outstanding PrincipalCouponOwnership PercentOriginal Stated or Notional Principal Balance RetainedCurrent Owned Stated or Notional Principal Balance Retained
Class B-3 notes due 2060$29,253 3.73 %19.57 %$5,725 $5,726 
Trust certificates$518,357 — %19.57 %$101,471 (3)$3,073 
Ajax Mortgage Loan Trust 2021-F/ June 2021Class A notes due 2061$476,082 1.88 %12.60 %$59,986 $47,103 
Class B notes due 2061$49,463 3.75 %12.60 %$6,232 $6,232 
Trust certificates$92,743 — %12.60 %$11,686 $11,670 
Ajax Mortgage Loan Trust 2021-G/ June 2021Class A notes due 2061$317,573 1.88 %7.26 %$23,056 $17,599 
Class B notes due 2061$32,995 3.75 %20.00 %$6,599 $6,413 
Trust certificates$61,864 — %20.00 %$12,373 $11,630 
2021-NPL 1/ November 2021Class A notes due 2051$253,970 2.00 %16.33 %$41,482 $35,289 
Class B notes due 2051$23,088 4.63 %16.33 %$3,771 $3,771 
Trust Certificates$52,773 — %16.33 %$8,620 $8,575 
Ajax Mortgage Loan Trust 2022-A/ April 2022Class A notes due 2061$154,921 3.47 %(2)6.24 %(4)$9,664 $8,742 
Class M notes due 2061$21,762 3.00 %23.28 %$5,066 $5,066 
Class B notes due 2061$25,856 3.00 %23.28 %$6,019 $— 
Trust Certificates$12,928 — %23.28 %$3,010 $8,895 
Ajax Mortgage Loan Trust 2022-B/ June 2022Class A notes due 2062$169,924 3.47 %(2)5.70 %(4)$9,692 $9,141 
Class M notes due 2062$17,776 3.00 %17.18 %$3,054 $3,054 
Class B notes due 2062$22,083 3.00 %17.18 %$3,794 $— 
Trust Certificates$11,042 — %17.18 %$1,897 $5,600 
(1)Ajax Mortgage Loan Trust 2021-E was formed on July 19, 2021 which was subsequent to completing Ajax Mortgage Loan Trust 2021-F and 2021-G. The trust made an election to be taxed as a REMIC however the residual class was placed with an unrelated third party.
(2)Weighted average of Class A notes.
(3)The trust certificate has no stated principal balance and is tied to the unpaid balance of the underlying mortgage loans.
(4)Weighted average ownership of Class A notes.

Contractual Obligations

Our contractual obligations include obligations under repurchase agreements, our 2024 notes, our 2027 notes, accrued interest on the repurchase agreements and notes, and the put obligation on our outstanding warrants.

84

We use repurchase agreements to finance certain acquisitions of mortgage loans and certain debt securities we retain from our securitizations. At September 30, 2022 and December 31, 2021, our repurchase obligations totaled $463.3 million and $546.1 million, respectively. Our repurchase financing is considered short term in nature as the underlying agreements generally renew within one year. (See “Repurchase Transactions” above.)

Our 2024 Notes had outstanding principal balances of $104.5 million and $104.6 million at September 30, 2022 and December 31, 2021, respectively. The 2024 Notes will mature on April 30, 2024 unless earlier repurchased, converted or redeemed. During certain periods and subject to certain conditions the 2024 Notes will be convertible by their holders into shares of our common stock at a current conversion rate of 1.7405 shares of common stock per $25.00 principal amount of the notes, which represents a conversion price of approximately $14.36 per share of common stock. The conversion rate, and thus the conversion price, may be subject to adjustment under certain circumstances. (See "Critical Accounting Policies" above.)

Our 2027 Notes had an outstanding principal balance of $110.0 million at September 30, 2022 and zero at December 31, 2021. The 2027 Notes will mature on September 1, 2027. (See "Critical Accounting Policies" above.)

Our accrued interest expense associated with our repurchase obligations at September 30, 2022 and December 31, 2021, was $1.3 million and $0.9 million, respectively. Our interest expense expected to be paid on our 2024 Notes at September 30, 2022 and December 31, 2021, was $13.6 million and $19.3 million, respectively. Our interest expense expected to be paid on our 2027 Notes at September 30, 2022 and December 31, 2021, was $49.0 million and zero, respectively. Interest expense accrued on our repurchase financings is paid upon the maturity of a financing. Unless the repurchase financing is renewed, we are required to repay the borrowing and any accrued interest and we concurrently receive back our pledged collateral from the lender. Interest expense on our 2024 Notes is paid quarterly in arrears on January 15, April 15, July 15 and October 15 of each year. Interest expense on our 2027 Notes is payable semi-annually on March 1 and September 1, with the first payment due and payable on March 1, 2023.

We have two series of five-year warrants outstanding which allow the holders to purchase an aggregate of 1,950,672 shares of our common stock at an exercise price of $10.00 per share. Each series of warrants includes a put option that allows the holder to sell the warrants back to us at a specified put price on or after July 6, 2023. We believe the most economically beneficial result for the holders will be to exercise the put, which we expect to settle for $15.7 million.

Our secured borrowings are not included under our contractual obligations as such borrowings are non-recourse to us and principal and interest are only paid to the extent that cash flows from mortgage loans (in the securitization trust) collateralizing the debt are received. Accordingly, a projection of contractual maturities over the next five years is inapplicable.

Subsequent Events

Since quarter end, we have acquired three residential RPLs in one transaction from a single seller with aggregate UPB of $0.8 million. The purchase price of the RPLs was 78.5% of UPB and 58.2% of the estimated market value of the underlying collateral of $1.1 million.

We have agreed to acquire, subject to due diligence, two residential RPLs in two transactions with aggregate UPB of $0.6 million. The purchase price of the residential RPLs is 84.2% of UPB and 58.6% of the estimated market value of the underlying collateral of $0.9 million.

On October 26, 2022, we co-invested with third-party institutional investors to form 2022-RPL1 and acquired 17.5% of the securities and trust certificates from the trust. 2022-RPL1 acquired 1,948 RPLs with aggregate UPB of $293.6 million. The purchase price including joint venture expenses is 86.7% of UPB and 39.0% of the estimated market value of the underlying collateral of $653.1 million. Based on the structure of the transaction, we will not consolidate 2022-RPL1 under U.S. GAAP.

On November 3, 2022, our Board of Directors declared a cash dividend of $0.27 per share to be paid on November 29, 2022 to stockholders of record as of November 15, 2022.

Item 3. Quantitative and Qualitative Disclosures about Market Risk

The primary components of our market risk are related to real estate risk, interest rate risk, prepayment risk and credit risk. We seek to actively manage these and other risks and to acquire and hold assets at prices that we believe justify bearing those risks, and to maintain capital levels consistent with those risks. The pandemic presents risks and uncertainties that we describe under “Risk Factors” and many of these are outside of our control.
85


Real Estate Risk

Residential property values are subject to volatility and may be affected adversely by a number of factors, including, but not limited to, national, regional and local economic conditions (which may be adversely affected by industry slowdowns, public health crises and other factors); local real estate conditions (such as an oversupply of housing); construction quality, age and design; demographic factors; and retroactive changes to building or similar codes. Increases in interest rates will result in lower refinancing volume, and home price increases will slow. Decreases in property values may cause us to suffer losses.

Interest Rate Risk

We expect to continue to securitize our whole loan portfolios, primarily as a financing tool, when economically efficient to create long-term, fixed rate, non-recourse financing with moderate leverage, while retaining one or more tranches of the subordinate MBS so created. We expect to continue to utilize repurchase lines of credit as an interim financing tool until we have sufficient volume to execute a secured borrowing. Increases in interest rates will increase our cost of funds for new secured borrowings and our cost of funds on repurchase lines of credit on the repurchase reset date. Changes in interest rates may affect the fair value of the mortgage loans and real estate underlying our portfolios as well as our financing interest rate expense. Additionally, rises in interest rates may result in a lower refinance volume of our portfolio.

Interest rates are highly sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations and other factors beyond our control.

Rising interest rates could be accompanied by inflation and higher household incomes which generally correlate closely to higher rent levels and property values. It is possible that the value of our real estate assets and our net income could decline in a rising interest rate environment to the extent that our real estate assets are financed with floating rate debt and there is no accompanying increase in loan yield and rental yield or property values.

Prepayment Risk

Prepayment risk is the risk of change, whether an increase or a decrease, in the rate at which principal is returned in respect of the mortgage loans we own as well as the mortgage loans underlying our retained MBS, including both through voluntary prepayments and through liquidations due to defaults and foreclosures. This rate of prepayment is affected by a variety of factors, including the prevailing level of interest rates as well as economic, demographic, tax, social, legal and other factors. Prepayment rates, besides being subject to interest rates and borrower behavior, are also substantially affected by government policy and regulation. Changes in prepayment rates will have varying effects on the different types of assets in our portfolio. We attempt to take these effects into account. We will generally purchase RPLs and NPLs at discounts from UPB and underlying property values. An increase in prepayments would accelerate the repayment of the discount and lead to increased yield on our assets while also causing re-investment risk that we can find additional assets with the same interest and return levels. A decrease in prepayments would likely have the opposite effects. We currently expect the pace of loan prepayments to
slow due to rising interest rates.

Credit Risk

We are subject to credit risk in connection with our assets. While we will engage in diligence on assets we will acquire, such due diligence may not reveal all of the risks associated with such assets and may not reveal other weaknesses in such assets, which could lead us to misprice acquisitions. Property values are subject to volatility and may be affected adversely by a number of factors, including, but not limited to, national, regional and local economic conditions (which may be adversely affected by industry slowdowns, public health crises and other factors), local real estate conditions (such as an oversupply of housing), changes or continued weakness in specific industry segments, construction quality, age and design, demographic factors and retroactive changes to building or similar codes.

There are many reasons borrowers will fail to pay including but not limited to, in the case of residential mortgage loans, reductions in personal income, job loss and personal events such as divorce or health problems, and in the case of commercial mortgage loans, reduction in market rents and occupancies and poor property management services by borrowers. We will rely on the Servicer to mitigate our risk. Such mitigation efforts may include loan modifications and prompt foreclosure and property liquidation following a default. If a sufficient number of re-performing borrowers default, our results of operations will suffer and we may not be able to pay our own financing costs.

86

Inflation

Virtually all of our assets and liabilities are interest-rate sensitive in nature. Recent and expected rate increases by the Federal Reserve Bank to mitigate inflation have increased and are expected to continue to increase our cost of funds. Increasing mortgage interest rates may also have a negative impact on housing prices. Additionally, inflation that outpaces wage increases could drive a decrease in disposable household income and increase the credit risk of certain borrowers.

Item 4.    Controls and Procedures

Evaluation of Disclosure Controls and Procedures

We conducted an evaluation of the effectiveness of the design and operation of our disclosure controls and procedures as of the end of the period covered by this report on Form 10-Q. The controls evaluation was conducted under the supervision and with the participation of management, including our Chief Executive Officer and Chief Financial Officer. Disclosure controls and procedures are controls and procedures designed to reasonably assure that information required to be disclosed in our reports filed under the Securities Exchange Act of 1934, as amended (the “Exchange Act”), such as this Report on Form 10-Q, is recorded, processed, summarized and reported within the time periods specified in the SEC’s rules and forms. Disclosure controls and procedures are also designed to reasonably assure that such information is accumulated and communicated to our management, including the Chief Executive Officer and Chief Financial Officer, as appropriate to allow timely decisions regarding required disclosure.

Based on the controls evaluation, our Chief Executive Officer and Chief Financial Officer have concluded that, as of the end of the period covered by this Form 10-Q, our disclosure controls and procedures were effective to provide reasonable assurance that information required to be disclosed in our Exchange Act reports is recorded, processed, summarized and reported within the time periods specified by the SEC, and that material information related to our company and our consolidated subsidiaries is made known to management, including the Chief Executive Officer and Chief Financial Officer, particularly during the period when our periodic reports are being prepared.

Internal Control Over Financial Reporting

There have been no changes in our internal control over financial reporting that occurred during the last fiscal quarter that have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.
87

PART II. OTHER INFORMATION
Item 1. Legal Proceedings

Neither we nor any of our subsidiaries are party to nor is any of our property the subject of any material pending legal or regulatory proceedings. We and our affiliates may be involved, from time to time, in legal proceedings that arise in the ordinary course of business.

Item 1A. Risk Factors

For information regarding factors that could affect our results of operations, financial condition, and liquidity, see the risk factors discussed under “Risk Factors” in Part I, Item 1A of our Annual Report on Form 10-K for the year ended December 31, 2021. There have been no material changes from these previously disclosed risk factors.

Item 2. Purchases of Equity Securities by the Issuer and Affiliated Purchasers

On February 28, 2020, our Board of Directors approved a stock repurchase of up to $25.0 million of our common shares. The amount and timing of any repurchases depends on a number of factors, including but not limited to the price and availability of the common shares, trading volume and general circumstances and market conditions.

For the three months ended September 30, 2022, we had no repurchases; however, for the nine months ended September 30, 2022 we repurchased 475,355 shares of our common stock through open market transactions. Comparatively for the three and nine ended September 30, 2021, we did not repurchase any shares of our common stock.

A summary of the repurchase activity is set forth in the table below ($ in thousands, except for per share amounts):

PeriodTotal Number of Shares RepurchasedAverage Price Per ShareTotal Number of Shares Purchased as Part of Publicly Announced Plans or ProgramsApproximate Dollar Value of Shares that May Yet Be Purchased Under the Plan or Programs
April 1 - June 30, 2022475,355 $9.77 525,039 $19,904 

Item 2A. Unregistered Sales of Securities

On August 8, 2022 we issued each of our five independent directors 1,917 shares of common stock in partial payment of their quarterly director fees for the second quarter of 2022. These shares were issued in reliance on the exemption from registration set forth in Section 4(a)(2) of the Securities Act.

Item 3. Defaults Upon Senior Securities

None.

Item 4. Mine Safety Disclosures

Not applicable.

Item 5. Other Information

None.

Item 6. Exhibits

The exhibits listed in the accompanying Exhibit Index are filed or furnished as part of this Quarterly Report on Form 10-Q.

88

EXHIBIT INDEX
Exhibit
Number		Exhibit Description
31.1*
31.2*
32.1*
32.2*
101.INS**Inline XBRL Instance Document
101.SCH**Inline XBRL Taxonomy Extension Schema Document
101.CAL**Inline XBRL Taxonomy Extension Calculation Linkbase Document
101.DEF**Inline XBRL Taxonomy Definition Linkbase Document
101.LAB**Inline XBRL Taxonomy Definition Linkbase Document
101.PRE**Inline XBRL Taxonomy Extension Presentation Linkbase Document
104**Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101)
*    Filed herewith.
**    Furnished herewith.

89

SIGNATURES
 
Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
 
  GREAT AJAX CORP. 
    
Date: November 4, 2022By:/s/ Lawrence Mendelsohn 
  Lawrence Mendelsohn 
  Chairman and Chief Executive Officer
(Principal Executive Officer)		 
    
Date: November 4, 2022By:/s/ Mary Doyle 
  Mary Doyle 
  Chief Financial Officer
(Principal Financial and Accounting Officer)		 

90