10-Q

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 March 31, 2021

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	47-1271842
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 class	Trading Symbols	Name of each exchange on which registered
Common stock, par value $0.01 per share	AJX	New York Stock Exchange
7.25% Convertible Senior Notes due 2024	AJXA	New 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 May 5, 2021, 22,988,847 shares of the registrant’s common stock, par value $0.01 per share, were outstanding.

TABLE OF CONTENTS

PART I Financial Information
Item 1. Consolidated Interim Financial Statements	1
Cautionary Statement Regarding Forward-Looking Statements	46
Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations	47
Item 3. Quantitative and Qualitative Disclosures About Market Risk	76
Item 4. Controls and Procedures	77
PART II Other Information
Item 1. Legal Proceedings	79
Item 1A. Risk Factors	79
Item 2. Unregistered Sales of Securities	79
Item 3. Defaults Upon Senior Securities	79
Item 4. Mine Safety Disclosure	79
Item 5. Other Information	79
Item 6. Exhibits	79

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)	March 31, 2021		December 31, 2020
ASSETS	(Unaudited)
Cash and cash equivalents	$	137,579	$	107,147
Cash held in trust	186		188
Mortgage loans held-for-investment, net(1,2)	991,811		1,119,372
Mortgage loans held-for-sale, net(3,4)	131,719		—
Real estate owned properties, net(5)	7,098		8,526
Investments in securities at fair value(6)	264,682		273,834
Investments in beneficial interests(7)	94,893		91,418
Receivable from servicer	18,847		15,755
Investments in affiliates	28,294		28,616
Prepaid expenses and other assets	11,864		8,876
Total assets	$	1,686,973	$	1,653,732
LIABILITIES AND EQUITY
Liabilities:
Secured borrowings, net(1,2,3,4,8)	$	740,035	$	585,403
Borrowings under repurchase transactions	305,093		421,132
Convertible senior notes, net(8)	107,971		110,057
Management fee payable	2,270		2,247
Put option liability	16,149		14,205
Accrued expenses and other liabilities	5,920		6,197
Total liabilities	1,177,438		1,139,241
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, 2,307,400 shares issued and outstanding at March 31, 2021 and 2,307,400 shares issued or outstanding at December 31, 2020	51,100		51,100
Series B 5.00% Fixed-to-Floating Rate Cumulative Redeemable, $25.00 liquidation preference per share, 2,892,600 shares issued and outstanding at March 31, 2021 and 2,892,600 shares issued and outstanding at December 31, 2020	64,044		64,044
Common stock $0.01 par value; 125,000,000 shares authorized, 22,988,847 shares issued and outstanding at March 31, 2021 and 22,978,339 shares issued and outstanding at December 31, 2020	231		231
Additional paid-in capital	314,709		317,424
Treasury stock	(1,159)		(1,159)
Retained earnings	56,500		53,346
Accumulated other comprehensive gain	1,681		375
Equity attributable to stockholders	487,106		485,361
Non-controlling interests(9)	22,429		29,130
Total equity	509,535		514,491
Total liabilities and equity	$	1,686,973	$	1,653,732

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

1

(1)Mortgage loans held-for-investment, net include $859.3 million and $842.2 million of loans at March 31, 2021 and December 31, 2020, 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 $17.9 million and $13.7 million of allowance for loan credit losses at March 31, 2021 and December 31, 2020, respectively.     

(2)As of March 31, 2021, balances for Mortgage loans held-for-investment, net and Secured borrowings, net of deferred costs includes zero from a 50% owned joint venture. As of December 31, 2020, balances for Mortgage loans held-for-investment, net include $307.1 million and Secured borrowings, net of deferred costs includes $250.6 million from 50.0% and 63.0% owned joint ventures, all of which the Company consolidates under U.S. Generally Accepted Accounting Principles ("U.S. GAAP"). The creditors do not have recourse to the primary beneficiary (Great Ajax Corp.). See Note 9 — Debt.

(3)Mortgage loans held-for-sale, net includes $131.7 million and zero of loans at March 31, 2021 and December 31, 2020, respectively, transferred to securitization trusts that are 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.

(4)As of March 31, 2021, balances for Mortgage loans held-for-sale, net includes $131.7 million and Secured borrowings, net of deferred costs includes $97.3 million from a 50.0% owned joint venture. As of December 31, 2020, balances for Mortgage loans held-for-sale, net and Secured borrowings, net of deferred costs include zero from 50.0% and 63.0% owned joint ventures. The creditors do not have recourse to the primary beneficiary (Great Ajax Corp.). See Note 9 — Debt.

(5)Real estate owned properties, net, includes valuation allowances of $1.3 million and $1.4 million at March 31, 2021 and December 31, 2020, respectively.

(6)As of March 31, 2021 and December 31, 2020, Investments in securities at fair value include amortized cost basis of $263.0 million and $273.4 million, respectively, and net unrealized gains of $1.7 million and $0.4 million, respectively.

(7)Investments in beneficial interests includes allowance for credit losses of $5.5 million and $4.5 million at March 31, 2021 and December 31, 2020, respectively.

(8)Secured borrowings and Convertible senior notes, net are presented net of deferred issuance costs.

(9)As of March 31, 2021 non-controlling interests includes $20.8 million from a 50.0% owned joint venture, $1.4 million from a 53.1% owned subsidiary and $0.2 million from a 99.9% owned subsidiary. As of December 31, 2020 non-controlling interests includes $27.4 million from the 50.0% and 63.0% owned joint ventures, $1.5 million from a 53.1% owned subsidiary and $0.2 million from a 99.9% owned subsidiary which the Company consolidates under U.S. GAAP.

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

2

GREAT AJAX CORP. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF INCOME

(Unaudited)

	Three months ended
($ in thousands except per share data)	March 31, 2021		March 31, 2020
INCOME
Interest income	$	24,035	$	26,888
Interest expense	(10,304)		(13,070)
Net interest income	13,731		13,818
Recovery of/(provision for) losses	5,516		(4,711)
Net interest income after recovery of/(provision for) losses	19,247		9,107
Income/(loss) from investments in affiliates	163		(1,112)
Loss on sale of mortgage loans(1)	—		(705)
Other income	356		747
Total revenue, net	19,766		8,037
EXPENSE
Related party expense – loan servicing fees	1,833		2,014
Related party expense – management fee	2,273		1,799
Loan transaction expense	187		(103)
Professional fees	640		805
Real estate operating expenses	185		912
Fair value adjustment on put option liability	1,944		—
Other expense	1,117		1,025
Total expense	8,179		6,452
Loss on debt extinguishment	911		408
Income before provision for income taxes	10,676		1,177
Provision for income taxes (benefit)	34		(319)
Consolidated net income	10,642		1,496
Less: consolidated net income attributable to the non-controlling interest	1,689		1,096
Consolidated net income attributable to Company	8,953		400
Less: dividends on preferred stock	1,949		—
Consolidated net income attributable to common stockholders	$	7,004	$	400
Basic earnings per common share	$	0.30	$	0.02
Diluted earnings per common share	$	0.30	$	0.02
Weighted average shares – basic	22,816,978		22,070,354
Weighted average shares – diluted	22,816,978		22,189,984

(1)The Company sold no mortgage loans during the three months ended March 31, 2021. Comparatively, during the three months ended March 31, 2020, the Company sold 26 loans with a carrying value of $26.1 million and UPB of $26.2 million for a loss of $0.7 million.

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

3

GREAT AJAX CORP. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME

(Unaudited)

	Three months ended March 31,
($ in thousands)	2021		2020
Consolidated net income attributable to common stockholders	$	7,004	$	400
Other comprehensive income/(loss):
Net unrealized gain/(loss) on investments in available-for-sale debt securities	1,306		(28,444)
Income tax expense related to items of other comprehensive income	—		—
Comprehensive income/(loss)	$	8,310	$	(28,044)

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)

	Three months ended
($ in thousands)	March 31, 2021		March 31, 2020
CASH FLOWS FROM OPERATING ACTIVITIES
Consolidated net income	$	10,642	$	1,496
Adjustments to reconcile net income to net cash from operating activities
Stock-based compensation expense	294		214
Non-cash interest income accretion on mortgage loans	(5,878)		(9,450)
Interest and discount accretion on investment in debt securities	(2,476)		(122)
Discount accretion on investment in beneficial interests	(3,600)		(2,672)
Loss on sale of mortgage loans	—		705
Loss on debt extinguishment	911		408
Gain on sale of property held-for-sale	(105)		(286)
Depreciation of property	3		8
Impairment of real estate owned	171		897
Provision for (benefit)/losses on mortgage loans	(5,500)		1,893
Amortization of credit loss expense on mortgage loans	454		229
Provision for (benefit)/losses on beneficial interests	(15)		169
Amortization of credit loss expense on beneficial interests	139		2,818
Amortization of debt discount and prepaid financing costs	1,613		1,316
Undistributed (income)/loss from investment in affiliates	(163)		1,112
Fair value adjustment on put option liability	1,944		—
Other non-cash loan charges	6		—
Net change in operating assets and liabilities
Prepaid expenses and other assets	(4,468)		(28,878)
Receivable from Servicer	(3,092)		(278)
Accrued expenses, management fee payable, and other liabilities	(254)		12
Net cash from operating activities	(9,374)		(30,409)
CASH FLOWS FROM INVESTING ACTIVITIES
Purchase of mortgage loans and related balances	(35,637)		(1,391)
Principal paydowns on mortgage loans	43,578		34,597
Proceeds from sale of mortgage loans	—		25,412
Draws on small balance commercial loans	(85)		—
Purchase of securities	—		(61,306)
Principal and interest collection on debt securities	12,935		10,233
Proceeds from sale of property held-for-sale	1,587		3,017
Distribution from affiliates	485		453
Net cash from investing activities	22,863		11,015
CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from repurchase transactions	89,652		72,417
Repayments on repurchase transactions	(205,691)		(55,440)
Proceeds from sale of secured borrowings	391,028		—
Repayments on secured borrowings	(225,232)		(22,599)
Deferred financing costs	(7,301)		(34)
Purchase of bonds for non-controlling interest in subsidiaries	(5,887)		—

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

5

Repurchase of the Company's senior convertible notes	(2,430)		(8,176)
Sale of common stock pursuant to dividend reinvestment plan	47		—
Redemption of non-controlling interest in subsidiaries	(11,362)		—
Distribution to non-controlling interests	(84)		(84)
Issuance of non-controlling interests in subsidiaries	—		145
Dividends on common stock and preferred stock	(5,799)		—
Net cash from financing activities	16,941		(13,771)
NET CHANGE IN CASH, CASH EQUIVALENTS, AND CASH HELD IN TRUST	30,430		(33,165)
CASH, CASH EQUIVALENTS AND CASH HELD IN TRUST, beginning of period	107,335		64,363
CASH, CASH EQUIVALENTS AND CASH HELD IN TRUST, end of period	$	137,765	$	31,198
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION
Cash paid for interest	$	8,441	$	11,249
Cash paid for income taxes	$	—	$	—
SUPPLEMENTAL DISCLOSURE OF NONCASH INVESTING AND FINANCING ACTIVITIES
Transfer of loans from mortgage held-for-investment, net to mortgage loans held-for-sale, net	$	131,719	$	—
Non-cash adjustments to basis in mortgage loans	$	1,324	$	31
Unrealized gain on available for sale securities, net of non-controlling interest and tax	$	1,306	$	28,444
Issuance of common stock for management fee and compensation expense	$	294	$	214
Net transfer of loans to rental property or property held-for-sale	$	228	$	814
Issuance of common stock for dividends	$	—	$	7,097
Treasury stock received through distributions from investment in Manager	$	—	$	56

The following table provides a reconciliation of cash, cash equivalents, and restricted cash reported within the consolidated balance sheet to the amount shown in the consolidated statements of cash flows as of March 31, 2021 and March 31, 2020 ($ in thousands):

	March 31, 2021		March 31, 2020
Cash and cash equivalents	$	137,579	$	31,179
Cash held in trust	186		19
Total cash and cash equivalents and restricted cash shown on the consolidated statements of cash flows	$	137,765	$	31,198

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 shares	Preferred stock - Series A amount		Preferred stock - Series B shares	Preferred stock - Series B amount		Common stock shares	Common stock amount		Treasury stock		Additional Paid-in Capital		Retained Earnings		Accumulated other comprehensive gain/(loss)		Total Stockholders' Equity		Non-controlling Interest		Total Equity
Balance at December 31, 2019	—	$	—	—	$	—	22,142,143	$	222	$	(458)	$	309,395	$	49,446	$	1,277	$	359,882	$	24,202	$	384,084
Net income	—	—		—	—		—	—		—		—		400		—		400		1,096		1,496
Issuance of shares of subsidiary	—	—		—	—		—	—		—		145		—		—		145		—		145
Stock-based compensation expense	—	—		—	—		2,600	—		—		214		—		—		214		—		214
Dividends declared ($0.32 per share) and distributions	—	—		—	—		781,222	8		—		7,089		(7,097)		—		—		(84)		(84)
Convertible senior notes repurchase	—	—		—	—		—	—		—		(81)		—		—		(81)		—		(81)
Other comprehensive loss	—	—		—	—		—	—		—		—		—		(28,444)		(28,444)		—		(28,444)
Treasury stock	—	—		—	—		(4,030)	—		(56)		—		—		—		(56)		—		(56)
Balance at March 31, 2020	—	$	—	—	$	—	22,921,935	$	230	$	(514)	$	316,762	$	42,749	$	(27,167)	$	332,060	$	25,214	$	357,274
Balance at December 31, 2020	2,307,400	$	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

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

7

Redemption of non-controlling interest in subsidiaries	—	—		—	—		—	—		—		(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, 2021	2,307,400	$	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

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

8

GREAT AJAX CORP. AND SUBSIDIARIES

NOTES TO CONSOLIDATED INTERIM FINANCIAL STATEMENTS

March 31, 2021

(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 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. The Company also acquires and originates small balance commercial loans (“SBC loans”). The SBC loans that the Company opportunistically targets, through acquisitions, or originations, 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. Historically, the Company has also targeted investments in non-performing loans (“NPL”). NPLs are loans on which the most recent three payments have not been made. The Company may acquire NPLs from time to time, either directly or with joint venture partners. 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, 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 properties (“REO”) 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 March 31, 2021, held 99.9% of Great Ajax II REIT Inc. which holds an interest in Great Ajax II Depositor LLC which acts as the depositor of mortgage loans into rated securitization trusts and holds the subordinated securities issued by such trusts and any additional trusts the Company may form for additional secured borrowings. The Company has securitized mortgage loans through securitization trusts and retained subordinated securities from the secured borrowings. These trusts are considered to be VIEs and the Company has determined that it is the primary beneficiary of these VIEs.

In 2018, the Company formed Gaea Real Estate Corp. ("Gaea"), a wholly owned subsidiary of the Operating partnership to hold investments in multi-family, mixed use commercial real estate. The Company had elected to treat Gaea as a TRS under the Code. 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. The Company also formed BFLD Holdings LLC, Gaea Commercial Properties LLC, Gaea Commercial Finance LLC and Gaea RE LLC as subsidiaries of Gaea Real Estate Operating Partnership. In 2019, the Company formed DG Brooklyn Holdings, LLC also as a subsidiary of Gaea Real Estate Operating Partnership LP, to hold investments in multi-family properties.

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

9

On November 22, 2019, Gaea completed a private capital raise transaction in which it raised $66.3 million from the issuance of 4,419,641 shares of its common stock to third parties to allow Gaea to continue to advance its investment strategy. The purchase price per share was $15.00. Upon completion of the private placement, the Company retained ownership of approximately 23.2% of Gaea with third party investors owning the remaining approximately 76.8%. Prior to the date of the capital raise, the Company consolidated Gaea's balance sheet and results of operations. At March 31, 2021 the Company owned approximately 22.9% of Gaea. From the date of the capital raise forward, 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 period ended December 31, 2020, included in the Company's Annual Report on Form 10-K filed with the Securities and Exchange Commission (the "SEC") on March 5, 2021.

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, 2021. 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 owns residential mortgage loans and residential real estate assets; AS Ajax E II is 53.1% owned by the Company. Ajax Mortgage Loan Trust 2017-D ("2017-D") is a securitization trust that holds mortgage loans, REO property and secured debt; 2017-D is 50.0% owned by the Company. Great Ajax II REIT Inc. which holds an interest in 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 and is 99.9% owned by the Company as of March 31, 2021 and December 31, 2020. 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 first quarter of 2021, the Company acquired the remaining ownership of Ajax Mortgage Loan Trusts 2018-C ("2018-C"), a subsidiary that previously had non-controlling ownership interest held by third parties and was 63.0% owned by the Company as of December 31, 2020 and consolidated in the Company's consolidated financial statements. As a result of the transaction at March 31, 2021, the non-controlling ownership interest in 2018-C held by third parties is zero.

At inception, the Operating Partnership was a majority owned partnership that had a non-controlling ownership interest held by an unaffiliated third party included in non-controlling interests on the Company’s consolidated balance sheet. At December 31, 2018, the Company owned 96.8% of the outstanding operating partnership units ("OP Units") and the remaining 3.2% of the OP Units were owned by the unaffiliated holder. The OP units were exchangeable on a 1-for-1 basis with shares of the Company’s common stock. During the second quarter of 2019, all 624,106 OP units held by the unaffiliated holder were exchanged for shares of the Company’s common stock. As a result, at March 31, 2021, the Operating Partnership was 100% owned by the Company. All controlled subsidiaries are included in the Company's consolidated financial statements and all intercompany accounts and transactions have been eliminated in consolidation.

The Company’s 19.8% investment in the Manager and 8.0% investment in 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 the Manager or GAFS since each is privately held.

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.

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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, prior to the adoption of ASU 2016-13, Financial Instruments - Credit Losses, otherwise known as CECL, on January 1, 2020, the Company was required to account for the mortgage loans pursuant to ASC 310-30, Accounting for Loans with Deterioration in Credit Quality. Under both standards, the Company’s recognition of interest income for loans with deteriorated credit quality ("PCD loans") is based upon its 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.

Under both CECL and ASC 310-30, 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. However, CECL allows more flexibility to the Company to adjust its loan pools as the underlying risk factors change over time. Under ASC 310-30, RPLs were determined by the Company to have common risk characteristics and were accounted for as a single loan pool for loans acquired within each three-month calendar quarter. Similarly, NPLs were determined to have common risk characteristics and were accounted for as a single non-performing pool for loans acquired within each three-month calendar quarter. The result was generally two additional pools (RPLs and NPLs) each quarter. Under CECL, the Company has re-aggregated its loan pools around similar risk factors, while eliminating the previous distinction for the quarter in which loans were acquired. This resulted in a reduction of the number of loan pools to four as of March 31, 2020. The number of pools was then re-evaluated and increased to six as of June 30, 2020 through December 31, 2020 and is at five loan pools as of March 31, 2021. Each loan pool is oriented around 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 credit losses. Under CECL, upon the acquisition of PCD loans the Company records the acquisition as three separate elements for 1) the amount of purchase discount which the Company expects to recover through eventual repayment by the borrower, 2) an allowance for future expected credit loss and 3) the 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. Cash flows expected at acquisition include all cash flows directly related to the acquired 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. If the Company expects to collect greater cash flows over the life of the pool, any prior allowance is reversed to the extent of the increase and the expected yield to maturity is adjusted on a prospective basis. The allowance for credit losses is increased when the Company estimates it will not collect all amounts previously estimated to be collectible. Increases in loan yield expectations, whether caused by timing or loan performance, are reported in the period in which they arise and are reflected as a reduction in the provision for losses even if no provision expense was previously recorded. Management assesses the credit quality of the portfolio and the adequacy of loan loss reserves on a quarterly basis, or more frequently as necessary. Significant judgment is required in this analysis. Depending on the expected recovery of its investment, the Company considers the estimated net recoverable value of the loan pools as well as other factors, such as the fair value of the underlying collateral. Because these determinations are based upon projections of future economic events, which are inherently subjective, the amounts ultimately realized may differ materially from the carrying value as of the reporting date.

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

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

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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 also acquires loans that have not experienced a deterioration in credit quality and originates SBC loans which are also subject to the provisions of CECL as discussed above.

As of December 31, 2020, the Company accounted for its non-PCD loans by estimating any allowance for credit losses for its non-PCD loans based on historical experience and the risk characteristics of the individual loans. Impaired loans are carried at the present value of expected future cash 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.

If necessary, an allowance for loan losses is established through a provision for loan losses charged to expenses. The allowance is the difference between the present value of the expected future cash flows from the loan and the contractual balance due.

Investments in Securities at Fair Value

The Company’s Investments in Securities at Fair Value as of March 31, 2021 and December 31, 2020 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 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 income. 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 as of March 31, 2021 and December 31, 2020 consist of investments in the trust certificates issued by joint ventures which the Company forms with third party institutional accredited investors. The trust certificates represent the residual interest of any special purpose entity formed to facilitate certain investments. The Company adopted CECL with respect to its Investment in beneficial interests on January 1, 2020. The methodology is similar to that described in "Mortgage Loans" except that the Company only recognizes its ratable share of gain, loss, income or expense.

Real Estate

The Company acquires real estate properties directly through purchases, when it forecloses on the borrower and takes title to the underlying property, or 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.

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

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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. Rental properties are intended to be held as long-term investments but may eventually be reclassified as held-for-sale. Property that arose through conversions of mortgage loans in the Company's portfolio such as when a mortgage loan is foreclosed upon and the Company takes title to the property or the borrower surrenders the deed in lieu of foreclosure is generally held for investment as rental property if the cash flows from use as a rental exceed the present value of expected cash flows from a sale. The Company also acquires rental properties through direct purchases of properties for its rental portfolio. Depreciation is provided for using the straight-line method over the estimated useful lives of the assets of 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, such as prolonged vacancy, identification of materially adverse legal or environmental factors, changes in expected ownership period or a decline in market value to an amount less than cost. This analysis is performed at the property level. The cash flows are estimated based on a number of assumptions that are subject to economic and market uncertainties including, among others, demand for rental properties, competition for customers, changes in market rental rates, costs to operate each property and expected ownership periods.

Renovations are performed by the Servicer, and those costs are then reimbursed to the Servicer. Any renovations on properties which the Company elects to hold as rental properties are capitalized as part of the property’s basis and depreciated over the remaining estimated useful life of the property. The Company may perform property renovations to maximize the value of a property for either its rental strategy or for resale.

Preferred Stock

During the quarter 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 third party 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, each at a purchase price per share of $25.00. The shares have a liquidation preference of $25.00 per share.

Put Option Liability

As part of the Company’s capital raise transactions during the quarter 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. 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 warrants were recorded as a liability in the Company's consolidated balance sheet as a put option liability with an original basis of $9.5 million. The Company is accreting the amount of the liability under the effective interest method to its expected future put value of $50.7 million 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.

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 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.

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

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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 deferred costs when incurred and amortized over the contractual life of the related borrowing.

Convertible Senior Notes

On April 25, 2017, the Company completed the public offer and sale of $87.5 million in aggregate principal amount of its convertible senior notes (the “notes”) due 2024, with follow-on offerings of an additional $20.5 million and $15.9 million, respectively, in aggregate principal amount completed on August 18, 2017 and November 19, 2018, respectively, which, combined with the notes from the April offering form a single series of fungible securities. The 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 notes will mature on April 30, 2024, unless earlier repurchased, converted or redeemed.  During certain periods and subject to certain conditions the notes will be convertible by their holders into shares of the Company’s common stock at a conversion rate of 1.7279 shares of common stock per $25.00 principal amount of the notes, which represents a conversion price of approximately $14.47 per share of common stock. The conversion rate, and thus the conversion price, may be subject to adjustment under certain circumstances.

Coupon interest on the 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 deduction from the notes, and are amortized to interest expense on an effective yield basis through April 30, 2023, the date at which the 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. A cumulative discount at issuance of $3.2 million, representing the fair value of the embedded conversion feature, was recorded to stockholder equity. No sinking fund has been established for redemption of the principal.

During the first quarter of 2021, the Company completed a convertible note repurchase with a principal amount of $2.5 million for a purchase price of $2.4 million. The carrying amount of the equity component representing the embedded conversion feature reversed from Additional paid-in capital due to the first quarter of 2021 transaction was zero. During the first and third quarter of 2020, the Company completed a series of convertible note repurchases for aggregate principal amounts of $8.0 million and $2.5 million, respectively, for total purchase prices of $8.2 million and $2.3 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 third quarter of 2020 transactions were $0.1 million and zero, respectively.

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 May 1, 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 has the option to pay up to 100% of the base and incentive fees in cash rather than in half cash and half shares of its common stock. Management fees are expensed

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

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in the quarter incurred and the portion payable in common stock (if any) is included in stockholders’ equity 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 unpaid principal balance (“UPB”) to 1.25% annually of UPB for loans that are non-performing at acquisition. For certain of the Company's joint ventures, the servicing fee rate for RPLs is reduced to an annual servicing fee rate of 0.42% on a loan-by-loan basis for any loan that makes seven consecutive payments. Servicing fees are paid monthly. The total fees incurred by the Company for these services depend 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 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, property values, previous UPB of the relevant loan, and the number of 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) are determined based on the higher of the most recently reported book value or the average of the closing prices of the Company's common stock on the New York Stock Exchange ("NYSE") on the five business days after the date on which the most recent regular quarterly dividend to holders of the common stock is paid. Any management fees paid in common stock are recognized as an expense in the quarter incurred and recorded in stockholders' equity 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 award, including grants of long-term incentive plan units (“LTIP Units”) from the Operating Partnership, available for issuance under the Director Plan is 76,000 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, each of the Company’s independent directors receives an annual fee of $100,000, payable quarterly, 40% in shares of the Company’s common stock and 60% in cash. Stock-based expense for the directors’ annual fee is expensed as earned, in equal quarterly amounts during the year, and recorded in stockholders' equity at quarter end.

On June 7, 2016, the Company’s stockholders approved the 2016 Equity Incentive Plan (the “2016 Plan”) 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 exercise of all outstanding options and the conversion of all warrants and convertible senior notes, including OP Units and any LTIP Units, 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. The share grants vest over three years, with one third of the shares vesting on each of the first, second and third anniversaries of the grant date. The shares may not be sold until the third anniversary of the grant date.

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

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Directors’ Fees

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

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.

Cash Held in Trust

Cash held in trust consists of restricted cash balances either legally due to lenders or held in trust for the benefit of the Company's secured borrowings, and is segregated from the Company’s other cash deposits. Cash held in trust is not available to the Company for any purpose other than the settlement of existing obligations.

Earnings per Share

The Company grants restricted 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 the 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.

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

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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.

•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 value of transfers of mortgage loans to REO is based upon the present value of future expected cash flows of the loans being transferred.

The Company values its investments in debt securities using estimates provided by its 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 Company also 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 Company's investment in the Manager is valued by applying an earnings multiple to base fee revenue.

The Company's investments 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 investment in GAFS, including warrants, is determined by applying an earnings multiple to expected earnings.

The fair value of the Company's investment in Gaea is estimated using a projected net operating income for its property portfolio.

The fair value of the Company's investment 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 the Company's put option liability is adjusted to approximate market value through earnings. Fair value is determined using a discounted cash flow methodology based on the future value of the liability.

The fair value of secured borrowings is estimated using estimates 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’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.

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The Company’s convertible senior 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.

Property held-for-sale is carried at the lower of its acquisition basis or net realizable value. Net realizable value is determined based on broker price opinions, 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, Cash held in trust, 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 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 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. Income from these two 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 evaluates tax positions taken in its consolidated financial statements under the interpretation for accounting for uncertainty in income taxes. As a result of this evaluation, the Company may recognize a tax benefit from an uncertain tax position only if it is “more-likely-than-not” that the tax position will be sustained on examination by taxing authorities.

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.

Reclassifications

The Company combined its Property held-for-sale, net and Rental property, net lines with balances of $7.8 million and $0.7 million, respectively, in its December 31, 2020 consolidated balance sheet into a single line, Real estate owned properties, net, to conform to the current period presentation. There was no effect on the Company's reported earnings or cash flows for the periods presented. The Company reclassified its put option liability of $14.2 million at December 31, 2020, from Accrued expenses and other liabilities on the consolidated balance sheets to a separate line, Put option liability, to conform to the current period presentation. There was no effect on the Company's reported earnings or cash flows for the periods presented. The Company also reclassified its loans and securities credit loss expenses of $0.4 million for the three month period ended March 31, 2020, from Recovery of/(provision for) losses to Interest income on its consolidated statement of income to align the presentation with the method the Company uses to evaluate these results.

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

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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 December 2019, the FASB issued ASU 2019-12, Income Taxes (Topic 740) - Simplifying the Accounting for Income Taxes. The amendments in this update simplify the accounting for income taxes by removing certain exceptions and adding certain clarifications to rules and definitions used in the calculation of the income tax provision. This guidance is effective for interim and annual reporting periods beginning after December 15, 2020, with early adoption permitted, including adoption in any interim period. The Company adopted ASU 2019-12 in the first quarter of 2021 with no effect on its consolidated assets or liabilities, consolidated net income or equity or cash flows on the date of adoption.

In January 2020, the FASB issued ASU 2020-01, Investments – Equity Securities (Topic 321, Investments) – Equity Method and Joint Ventures (Topic 323), and Derivatives and Hedging (Topic 815). The amendments in this update clarify the interactions between Topic 321, Topic 323, and Topic 815, which clarifies aspects of accounting for investments in equity-method investees acquired through step acquisitions to require remeasurement of an investment immediately before adopting the equity method of accounting if the investor identifies observable price changes in orderly transactions for an identical or similar investment of the same issuer, and also requires such remeasurement upon discontinuance of the equity method. The amendments also clarify whether upon settlement of a forward contract or option the underlying security would be accounted for under the Equity Method (Topic 323) or the fair value option (Topic 825). This guidance is effective for interim and annual reporting periods beginning after December 15, 2020, with early adoption permitted, including adoption in any interim period. The Company adopted ASU 2020-01 in the first quarter of 2021 with no effect on its consolidated assets or liabilities, consolidated net income or equity or cash flows on the date of adoption.

Recently Issued 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 as 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 and recognition as derivatives. This guidance is effective for interim and annual reporting periods beginning after December 15, 2021, with early adoption permitted, including adoption in any interim period. The Company is currently evaluating the impact on its consolidated financial statements and related disclosures.

Note 3 — Mortgage Loans

The following table presents information regarding the carrying value for the Company's RPLs, NPLs and SBC loans as of March 31, 2021 and December 31, 2020 ($ in thousands):

	March 31, 2021				December 31, 2020
Loan portfolio basis by asset type	Mortgage loans held-for-investment, net		Mortgage loans held-for-sale, net		Mortgage loans held-for-investment, net		Mortgage loans held-for-sale, net
Residential RPLs	$	928,844	$	131,719	$	1,057,454	$	—
Residential NPLs	37,912		—		38,724		—
SBC loans	25,055		—		23,194		—
Total	$	991,811	$	131,719	$	1,119,372	$	—

Included on the Company’s consolidated balance sheets as of March 31, 2021 and December 31, 2020 are approximately $1.0 billion and $1.1 billion, respectively, of RPLs, NPLs, and SBCs that are held-for-investment and approximately $131.7 million and zero, respectively, of RPLs that are held-for-sale. The categorization of RPLs, NPLs and

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

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SBCs is determined at acquisition. The carrying value of RPLs, NPLs and SBCs reflects the original investment amount, plus accretion of interest income and credit and non-credit discount, less principal and interest cash flows received. The carrying values at March 31, 2021 and December 31, 2020 for the Company's loans in the table above are presented net of a cumulative allowance for loan credit losses of $17.9 million and $13.7 million, respectively, reflected in the appropriate lines in the table by loan type. For the three months ended March 31, 2021, the Company recognized a $5.5 million acceleration of purchase discount on loans that paid off during the quarter as actual payoffs exceeded modeled expectations. For the three months ended March 31, 2020, the Company recognized $1.9 million of provision for loan losses. For the three months ended March 31, 2021 and March 31, 2020, the Company accreted $23.1 million and $19.6 million, respectively, net of credit impairments and recoveries 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, and incorporate any prepayment assumptions utilized in the expected cash flows. 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 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 months ended March 31, 2021 and 2020, the Company purchased 199 and 26 RPLs with UPB of $36.0 million and $2.0 million, respectively. During the three months ended March 31, 2021 and 2020, three and one NPLs were purchased with UPB of $0.7 million and $0.2 million, respectively. During the three months ended March 31, 2021, the Company acquired one SBC loan with UPB of $3.6 million. No SBC loans were acquired during the three months ended March 31, 2020.

During the three months ended March 31, 2021 the Company sold no mortgage loans. Comparatively, during the three months ended March 31, 2020 the Company sold 26 loans with a carrying value of $26.1 million and UPB of $26.2 million and collateral value of $44.2 million. 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, $10.2 million of loan discount was reclassified to the allowance for credit losses with no net impact on the amortized cost basis of the portfolio. The Company views its mortgage loan portfolio based on loan performance, or legal ownership for loans held by certain consolidated trusts, and uses five and six pools at March 31, 2021 and December 31, 2020, respectively, to aggregate its portfolio of PCD loans, and one pool for its non-PCD loans as of both March 31, 2021 and December 31, 2020. Among the PCD loans, separate pools exist for loans that have been securitized in rated secured borrowings during 2019, 2020 and 2021 ("Great Ajax II REIT") and for loans that are consolidated under U.S. GAAP but where the Company does not own 100% of the loan pool (2017-D and 2018-C). During the quarter ending March 31, 2021 the Company acquired the non-controlling interest in securitization trust 2018-C previously held by its joint venture partner. As a result of the acquisition, the non-controlling interest was eliminated and the loans in securitization trust 2018-C were reclassified into to new pools based on their status as of the acquisition date of the non-controlling interest. Subsequent to the acquisition date, a significant portion of the loans from 2018-C were added to the Great Ajax II REIT pool as these loans became the collateral for a secured borrowing at that entity. As of March 31, 2021 the loans pooled under 2017-D were designated as held-for-sale while these loans were considered held-for-investment as of December 31, 2020. Since the criteria for pooling loans includes a combination of both performance and legal ownership by subsidiary trust, these factors are not always mutually exclusive. The following table presents information regarding the year of origination of the Company's mortgage loan portfolio by basis as of March 31, 2021 and December 31, 2020 ($ in thousands):

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

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	March 31, 2021
Mortgage loans held-for-investment, net	2021		2020		2019		2018		2017		2016		2009-2015		2006-2008		2005 and prior		Total
Great Ajax II REIT	$	—	$	860	$	179	$	1,305	$	489	$	2,046	$	53,144	$	394,518	$	143,521	$	596,062
California	—		2,207		—		926		368		—		4,396		47,600		12,496		67,993
7f7 and better	—		—		1,116		—		—		291		14,039		77,071		29,411		121,928
4f4-6f6 and below	—		—		1,563		2,034		341		305		24,420		103,672		40,279		172,614
Non-PCD	3,600		21,652		4,468		74		2,562		118		706		22		12		33,214
Total	$	3,600	$	24,719	$	7,326	$	4,339	$	3,760	$	2,760	$	96,705	$	622,883	$	225,719	$	991,811

	March 31, 2021
Mortgage loans held-for-sale, net	2021		2020		2019		2018		2017		2016		2009-2015		2006-2008		2005 and prior		Total
2017-D	$	—	$	—	$	—	$	—	$	121	$	—	$	6,929	$	93,353	$	31,316	$	131,719
Total	$	—	$	—	$	—	$	—	$	121	$	—	$	6,929	$	93,353	$	31,316	$	131,719

	December 31, 2020
Mortgage loans held-for-investment, net	2020		2019		2018		2017		2016		2009-2015		2006-2008		2005 and prior		Total
Great Ajax II REIT	$	—	$	—	$	257	$	488	$	1,991	$	41,746	$	280,606	$	99,909	$	424,997
2018-C	—		—		—		—		—		14,100		119,343		39,778		173,221
2017-D	—		—		—		121		—		6,826		94,711		32,238		133,896
California	2,221		952		1,484		362		—		5,292		60,393		18,084		88,788
7f7 and better	—		911		434		—		2,125		17,520		88,414		32,831		142,235
4f4-6f6 and below	872		1,397		2,054		336		305		13,409		78,202		30,239		126,814
Non-PCD	21,387		4,738		64		2,493		99		611		20		9		29,421
Total	$	24,480	$	7,998	$	4,293	$	3,800	$	4,520	$	99,504	$	721,689	$	253,088	$	1,119,372

The following table presents a reconciliation between the purchase price and par value for the Company's loan acquisitions and originations for the three months ended March 31, 2021 and 2020 ($ in thousands):

	Three months ended March 31,
	2021				2020
	PCD Loans		Non PCD Loans		PCD Loans		Non PCD Loans
Par	$	36,696	$	3,611	$	227	$	1,952
Discount	(2,929)		(8)		(37)		(747)
Allowance	(1,733)		—		(4)		—
Purchase Price	$	32,034	$	3,603	$	186	$	1,205

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

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

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loan credit losses when there are changes in its expectation of future cash flows. An increase to the allowance for losses will occur when there is a reduction in the Company's expected future cash flows. Reduction to the allowance, or recovery, may occur if there is an increase in expected future cash flows that were previously subject to a provision for loss. A decrease in the allowance is generally facilitated by reclassifying amounts from non-credit discount to the allowance and then recording the recovery. During the three months ended March 31, 2021 the Company recorded a $5.4 million reclassification from non-credit discount to the allowance for losses followed by a $5.5 million reversal of the allowance for losses for loans that prepaid in full or in part during the quarter where actual payments exceeded expectations and a $3.8 million reclassification from non-credit discount to the allowance to reflect the impact of dissolving pool 2018-C and moving the loans to the remaining pools. The Company also reclassified $1.7 million of allowance to non-credit discount to reflect the impact of moving pool 2017-D to mortgage loans held-for-sale, net and recorded a $1.7 million increase in the allowance for new acquisitions. Comparatively, during the three months ended March 31, 2020, the Company recorded a reclassification from non-credit discount to the allowance for losses in the amount of $1.9 million and an incremental provision expense of $1.9 million. An analysis of the balance in the allowance for loan losses account follows ($ in thousands):

	Three months ended March 31,
	2021		2020
Allowance for loan credit losses, beginning of period	$	(13,712)	$	(1,960)
Beginning period adjustment for CECL	—		(10,156)
Reclassification from non-credit discount to the allowance for changes in payment expectations	(5,398)		—
Reclassification from non-credit discount to the allowance for losses for repooling adjustments	(3,834)		—
Increase in allowance for loan credit losses for loan acquisitions	(1,733)		(4)
Amortization of credit loss expense on mortgage loans	(454)		(229)
Reclassification from non-credit discount to the allowance for losses for increases in actual and projected cash flows	—		(1,894)
Reversal of/(increase in) provision for credit losses due to increases/(decreases) in actual and/or forecasted cash flows	5,500		(1,893)
Reversal of allowance for reclass of pool 2017-D to mortgage loans held-for-sale, net	1,741		—
Allowance for loan credit losses, end of period	$	(17,890)	$	(16,136)

The following table sets forth the carrying value of the Company’s mortgage loans by delinquency status as of March 31, 2021 and December 31, 2020 ($ in thousands):

	March 31, 2021
Mortgage loans held-for-investment, net	Current		30		60		90		Foreclosure		Total
Great Ajax II REIT	$	488,212	$	47,370	$	17,714	$	40,859	$	1,907	$	596,062
California	9,911		6,569		9,795		35,319		6,399		67,993
7f7 and better	23,961		19,887		19,316		57,878		886		121,928
4f4-6f6 and below	9,374		15,289		9,229		103,353		35,369		172,614
Non-PCD	32,400		67		63		47		637		33,214
Total	$	563,858	$	89,182	$	56,117	$	237,456	$	45,198	$	991,811

	March 31, 2021
Mortgage loans held-for-sale, net	Current		30		60		90		Foreclosure		Total
2017-D	$	65,047	$	20,019	$	9,678	$	35,067	$	1,908	$	131,719
Total	$	65,047	$	20,019	$	9,678	$	35,067	$	1,908	$	131,719

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

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	December 31, 2020
Mortgage loans held-for-investment, net	Current		30		60		90		Foreclosure		Total
Great Ajax II REIT	$	311,941	$	48,266	$	19,559	$	43,364	$	1,867	$	424,997
2018-C	70,034		20,541		15,300		57,538		9,808		173,221
2017-D	58,198		24,906		12,437		36,106		2,249		133,896
California	42,214		7,660		5,519		29,343		4,052		88,788
7f7 and better	72,613		14,003		12,447		41,383		1,789		142,235
4f4-6f6 and below	13,976		10,773		7,157		68,677		26,231		126,814
Non-PCD	22,562		6,099		56		704		—		29,421
Total	$	591,538	$	132,248	$	72,475	$	277,115	$	45,996	$	1,119,372

Note 4 — Real Estate Assets, Net

The Company acquires real estate assets either through direct purchases of properties for its rental portfolio or through conversions of mortgage loans in its portfolio such as 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

The Company's REO property consists of property held-for-sale and rental property. REO property is considered held-for-sale if the REO is expected to be actively marketed for sale. As of March 31, 2021 and December 31, 2020, the Company’s net investments in real estate owned properties were $7.1 million and $8.5 million, respectively, which included balances relating to properties held-for-sale of $6.7 million and $7.8 million, respectively, and rental properties of $0.4 million and $0.7 million, respectively. Also, included in the properties held-for-sale balance for both periods as of March 31, 2021 and December 31, 2020, was $0.3 million for properties undergoing renovation or which are otherwise in the process of being brought to market. As of March 31, 2021 and December 31, 2020, the Company had a total of 31 and 38 real estate owned properties, respectively, which included 26 and 32 held-for-sale properties, respectively, and five and six rental properties, respectively. For the three months ended March 31, 2021 and 2020, all of the additions to REO held-for-sale were acquired through foreclosure or deed in lieu of foreclosure, and reclassified out of the mortgage loan portfolio and transfers from rental properties.

The following table presents the activity in the Company’s carrying value of property held-for-sale and rental property for the three months ended March 31, 2021 and 2020 ($ in thousands):

	Three months ended March 31,
	2021			2020
Property Held-for-sale and Rental Property	Count	Amount		Count	Amount
Balance at beginning of period	38	$	8,526	68	$	15,071
Net transfers from mortgage loans	2	228		5	814
Adjustments to record at lower of cost or fair value	—	(171)		—	(897)
Depreciation on rental properties	—	(3)		—	(8)
Disposals	(9)	(1,482)		(19)	(2,730)
Balance at end of period	31	$	7,098	54	$	12,250

Dispositions

During the three months ended March 31, 2021 and 2020, the Company sold nine and 19 REO properties, respectively, realizing net gains of approximately $0.1 million and $0.4 million, respectively. These amounts are included in Other income on the Company's consolidated statements of income. The Company recorded lower of cost or net realizable value adjustments in Real estate operating expense for the three months ended March 31, 2021 and 2020 of $0.2 million and $0.9 million, respectively.

Note 5 — Investments

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

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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 has sponsored but which 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. 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, 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):

	As of March 31, 2021
	Basis(1)		Gross unrealized gains		Gross unrealized losses		Carrying value (fair value)
Debt securities	$	263,001	$	1,926	$	(245)	$	264,682
Beneficial interests in securitization trusts	94,893		—		—		94,893
Total investments	$	357,894	$	1,926	$	(245)	$	359,575

(1)Basis amount is net of any amortized discount, allowance for credit losses, principal paydowns and interest receivable on securities of $0.2 million.

	As of December 31, 2020
	Basis(1)		Gross unrealized gains		Gross unrealized losses		Carrying value (fair value)
Debt securities	$	273,459	$	1,152	$	(777)	$	273,834
Beneficial interests in securitization trusts	91,418		—		—		91,418
Total investments	$	364,877	$	1,152	$	(777)	$	365,252

(1)Basis amount is net of any amortized costs, principal paydowns and interest receivable on securities of $0.2 million.

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

	As of March 31, 2021
	Step-up date(1)	Basis(2)		Gross unrealized losses		Carrying value (fair value)
Debt securities due September 2059(3)	February 2023/April 2023	$	21,390	$	(245)	$	21,145
Total		$	21,390	$	(245)	$	21,145

(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 line is comprised of two securities that are both due in September 2059 and both have been in an unrealized loss position for 12 months or longer.

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

24

	As of December 31, 2020
	Step-up date(1)	Basis(2)		Gross unrealized losses		Carrying value (fair value)
Debt securities due September 2059(3)	February 2023/April 2023	$	22,216	$	(238)	$	21,978
Debt securities due November 2059(4)	April 2023	14,738		(61)		14,677
Debt securities due December 2059(4)	July 2023	47,270		(315)		46,955
Debt securities due September 2060(4)	March 2024	34,970		(44)		34,926
Debt securities due June 2060(4)	March 2024	35,127		(119)		35,008
Total		$	154,321	$	(777)	$	153,544

(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 line is comprised of two securities that are both due September 2059. One security with a balance of $0.2 million has been in an unrealized loss position for less than 12 months and has a step-up date in April 2023 and the other security of $0.1 million has been in a loss position for 12 months or longer and has a step-up date in February 2023.

(4)This security has been in an unrealized loss position for less than 12 months.

As of March 31, 2021, the Company recorded $1.9 million gross unrealized gains and a gross unrealized loss of $0.2 million in fair valuation adjustments in accumulated other comprehensive income on the consolidated balance sheet at a fair value of $264.7 million, which includes $0.2 million in interest receivable. As of December 31, 2020, the Company recorded $1.2 million 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 at fair value of $273.8 million, which includes $0.2 million in interest receivable.

During the three months ended March 31, 2021, the Company acquired no debt securities and beneficial interests. Comparatively during the three months ended March 31, 2020, the Company acquired $61.3 million in debt securities and beneficial interests issued by joint ventures between the Company and third party institutional accredited investors. Each joint venture issued senior notes and beneficial interests, which are trust certificates representing the residual investment in the trust.  In certain transactions, the joint ventures also issued subordinated notes. Of the $61.3 million of debt securities acquired in the three months ended March 31, 2020, the Company acquired $49.6 million in senior notes, $4.6 million in subordinate notes and $7.1 million in beneficial interests issued by joint ventures. As of March 31, 2021, the investments in debt securities and beneficial interests were carried on the Company's consolidated balance sheet at $264.7 million and $94.9 million, respectively. At December 31, 2020, the investments in debt securities and beneficial interests were carried on the Company's consolidated balance sheet at $273.8 million and $91.4 million, respectively. As of March 31, 2021 and December 31, 2020, the Company had no securities that were past due.

The following table presents a reconciliation between the purchase price and par value for the Company's beneficial interests acquisitions for the three months ended March 31, 2021 and 2020 ($ in thousands):

	Three months ended March 31,
	2021		2020
Par	$	—	$	11,970
Discount	—		(2,335)
Allowance	—		(2,553)
Purchase Price	$	—	$	7,082

The Company adopted CECL using the prospective transition approach for PCD assets for its beneficial interests on January 1, 2020, at the time $1.7 million was reclassified from discount to allowance for credit losses for its Investments in beneficial interests. Under CECL, the Company adjusts its allowance for beneficial interest losses when there are changes in its expectation of future cash flows. An increase to the allowance for losses will occur when there is a reduction in the Company’s expected future cash flows. A reduction to the allowance, or recovery, may occur if there is an increase in expected future cash flows. 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 months ended March 31, 2021, the Company recorded a $15 thousand reversal of the allowance for losses for beneficial interests. During the three months ended March 31, 2020, the Company recorded a provision

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

25

expense of $0.2 million. An analysis of the balance in the allowance for beneficial interest losses account follows ($ in thousands):

	Three months ended March 31,
	2021		2020
Allowance for beneficial interests credit losses, beginning balance	$	(4,453)	$	—
Beginning period adjustment for CECL	—		(1,668)
Incremental increase in allowance for beneficial interests	(953)		—
Increase in allowance for beneficial interest credit losses for acquisitions	—		(2,553)
Amortization of credit loss expense on beneficial interests	(139)		(2,818)
Reversal of/(increase in) provision for credit losses due to increases/(decreases) in actual and/or forecasted cash flows	15		(169)
Allowance for beneficial interests credit losses, end balance	$	(5,530)	$	(7,208)

Note 6 — Fair Value

Recurring financial assets and liabilities measured and carried at fair value by level within the fair value hierarchy as of March 31, 2021 and December 31, 2020 ($ in thousands):

			Level 1		Level 2		Level 3
March 31, 2021	Carrying Value		Quoted prices in active markets		Observable inputs other than Level 1 prices		Unobservable inputs
Recurring financial assets
Investment in debt securities at fair value	$	264,682	$	—	$	264,682	$	—
Recurring financial liabilities
Put option liability	$	16,149	$	—	$	—	$	16,149

			Level 1		Level 2		Level 3
December 31, 2020	Carrying Value		Quoted prices in active markets		Observable inputs other than Level 1 prices		Unobservable inputs
Recurring financial assets
Investment in debt securities at fair value	$	273,834	$	—	$	273,834	$	—
Recurring financial liabilities
Put option liability	$	14,205	$	—	$	—	$	14,205

The following tables set forth the fair value of financial instruments by level within the fair value hierarchy as of March 31, 2021 and December 31, 2020 ($ in thousands):

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

26

			Level 1		Level 2		Level 3
March 31, 2021	Carrying value		Quoted prices in active markets		Observable inputs other than Level 1 prices		Unobservable inputs
Financial assets
Mortgage loans held-for-investment, net	$	991,811	$	—	$	—	$	1,088,730
Mortgage loans held-for-sale, net	$	131,719	$	—	$	—	$	141,780
Investments in beneficial interests	$	94,893	$	—	$	—	$	94,893
Investment in Manager	$	1,535	$	—	$	—	$	11,818
Investment in AS Ajax E LLC	$	723	$	—	$	877	$	—
Investment in AS Ajax E II LLC	$	3,115	$	—	$	3,261	$	—
Investment in GAFS, including warrants	$	2,650	$	—	$	—	$	3,320
Investment in Gaea	$	19,897	$	—	$	—	$	19,133
Investment in Loan pool LLCs	$	374	$	—	$	—	$	707
Financial liabilities
Secured borrowings, net	$	740,035	$	—	$	743,762	$	—
Borrowings under repurchase transactions	$	305,093	$	—	$	305,093	$	—
Convertible senior notes, net	$	107,971	$	111,382	$	—	$	—

			Level 1		Level 2		Level 3
December 31, 2020	Carrying value		Quoted prices in active markets		Observable inputs other than Level 1 prices		Unobservable inputs
Financial assets
Mortgage loans held-for-investment, net	$	1,119,372	$	—	$	—	$	1,232,081
Investment in beneficial interests	$	91,418	$	—	$	—	$	91,418
Investment in Manager	$	1,366	$	—	$	—	$	11,709
Investment in AS Ajax E LLC	$	776	$	—	$	934	$	—
Investment in AS Ajax E II LLC	$	3,381	$	—	$	3,484	$	—
Investment in GAFS, including warrants	$	2,711	$	—	$	—	$	3,320
Investment in Gaea	$	20,001	$	—	$	—	$	19,150
Investment in Loan pool LLCs	$	381	$	—	$	—	$	701
Financial liabilities
Secured borrowings, net	$	585,403	$	—	$	586,419	$	—
Borrowings under repurchase agreement	$	421,132	$	—	$	421,132	$	—
Convertible senior notes, net	$	110,057	$	110,675	$	—	$	—

The fair value of mortgage loans and beneficial interests 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 loan. The value of transfers of mortgage loans to REO is based upon the present value of future expected cash flows of the loans being transferred.

The Company values its investments in debt securities using estimates provided by its 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 Company also 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 Company's investment in the Manager is valued by applying an earnings multiple to base fee revenue.

The Company’s investments 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 accompanying notes are an integral part of the consolidated interim financial statements.

27

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

The Company's investment in Gaea is estimated using a projected net operating income for its property portfolio.

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

The fair value of secured borrowings is estimated using estimates 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's put option liability is adjusted to approximate market value through earnings. Fair value is determined by using a discounted cash flow model based on the future value of the liability.

The Company’s borrowings under repurchase agreements are short-term in nature, and the Company’s management 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 convertible senior notes are traded on the NYSE; the debt’s fair value is determined from the NYSE closing price on the balance sheet date.

The carrying values of its Cash and cash equivalents, Cash held in trust, 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

Property held-for-sale is carried at the lower of its acquisition cost (cost) or net realizable value. Net realizable value is determined based on appraisals, broker price opinions, 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 March 31, 2021 and December 31, 2020 ($ in thousands):

					Level 1		Level 2		Level 3
March 31, 2021	Carrying value		Three months ended fair value adjustment recognized in the consolidated statements of income		Quoted prices in active markets		Observable inputs other than Level 1 prices		Unobservable inputs
Non-financial assets
Property held-for-sale	$	6,736	$	(171)	$	—	$	—	$	6,736

					Level 1		Level 2		Level 3
December 31, 2020	Carrying value		Fair value adjustment recognized in the consolidated statements of income		Quoted prices in active markets		Observable inputs other than Level 1 prices		Unobservable inputs
Non-financial assets
Property held-for-sale	$	7,807	$	(1,359)	$	—	$	—	$	7,807

Note 7 — Affiliates

Unconsolidated Affiliates

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

28

On November 22, 2019, Gaea completed a private capital raise transaction in which it raised $66.3 million from the issuance of 4,419,641 shares of its common stock to third parties to allow it to continue to advance its investment strategy. Upon completion of the capital raise, the Company retained ownership of approximately 23.2% of Gaea with third party investors owning the remaining approximately 76.8%. The Company recognized no gain or loss on the transaction as Gaea's fair value at the date of the deconsolidation did not represent a material change from the fair values of its recently acquired assets and liabilities due to the limited lapse of time since their acquisitions. At March 31, 2021 the Company owned approximately 22.9% of Gaea with third party investors owning the remaining approximately 77.1%. The Company accounts for its investment 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. The Company accounts for its investment using the equity method.

During 2018, the Company acquired an 8.0% ownership interest in GAFS. The acquisition was completed in two transactions. On January 26, 2018, the Company in an initial closing acquired a 4.9% interest in GAFS and three warrants, each exercisable for a 2.45% interest in GAFS upon payment of additional consideration, in exchange for consideration of $1.1 million of cash and 45,938 shares of the Company’s common stock with a value of approximately $0.6 million. On May 29, 2018 the additional closing was completed wherein the Company acquired an additional 3.1% interest in GAFS and three warrants, each exercisable for a 1.55% interest in GAFS, in exchange for consideration of $0.7 million of cash and 29,063 shares of the Company's common stock with a value of approximately $0.4 million. The Company accounts for its investment in GAFS 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 residential real estate assets. AS Ajax E LLC owns a 5% equity interest in Ajax E Master Trust which holds a portfolio of RPLs. At the time of the original investment, the Company held a 24.2% interest in AS Ajax E LLC. In October 2016, additional capital contributions were made by third parties, and the Company’s ownership interest in AS Ajax E was reduced to a lower percentage of the total. As of March 31, 2021 and December 31, 2020, the Company’s interest in AS Ajax E LLC was approximately 16.5%. The Company accounts for its investment using the equity method.

Upon the closing of the Company’s original private placement in July 2014, the Company received a 19.8% equity interest in the Manager, a privately held company for which there is no public market for its securities. The Company accounts for its investment in the Manager 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 March 31,
Net income/(loss) at 100%	2021		2020
Thetis Asset Management LLC	$	851	$	(4,877)
Gaea Real Estate Corp.	$	78	$	15
AS Ajax E LLC	$	54	$	62
Loan pool LLCs	$	(16)	$	198
Great Ajax FS LLC	$	(777)	$	(3,450)

	March 31, 2021				December 31, 2020
Assets and Liabilities at 100%	Assets		Liabilities		Assets		Liabilities
Thetis Asset Management LLC	$	9,681	$	1,533	$	9,531	$	2,122
Gaea Real Estate Corp.	$	94,259	$	11,844	$	94,639	$	11,886
AS Ajax E LLC	$	4,482	$	2	$	4,808	$	2
Loan pool LLCs	$	2,410	$	3,964	$	2,423	$	3,961
Great Ajax FS LLC	$	56,457	$	36,807	$	56,532	$	36,101

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

29

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

	Three months ended March 31,
Net income/(loss) at the Company's share	2021		2020
Thetis Asset Management LLC	$	168	$	(966)
Gaea Real Estate Corp.	$	18	$	4
AS Ajax E LLC	$	9	$	10
Loan pool LLCs	$	(7)	$	79
Great Ajax FS LLC	$	(62)	$	(276)

	March 31, 2021				December 31, 2020
Assets and Liabilities at the Company's share	Assets		Liabilities		Assets		Liabilities
Thetis Asset Management LLC	$	1,917	$	304	$	1,887	$	420
Gaea Real Estate Corp.	$	21,642	$	2,719	$	21,729	$	2,729
AS Ajax E LLC	$	738	$	—	$	791	$	—
Loan pool LLCs	$	967	$	1,597	$	973	$	1,595
Great Ajax FS LLC	$	4,517	$	2,945	$	4,523	$	2,888

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 LLC, which was established to hold an equity interest in a Delaware trust formed to own residential mortgage loans and residential real estate assets. As of March 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 debt. As of March 31, 2021, 2017-D was 50.0% owned by a third-party institutional accredited investor. Great Ajax II REIT holds an interest in 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. Great Ajax II REIT was 99.9% owned by the Company as of March 31, 2021 and December 31, 2020.

During the first quarter of 2021, the Company acquired the remaining ownership of 2018-C, a subsidiary that previously had non-controlling ownership interest held by third parties and was 63.0% owned by the Company as of December 31, 2020. As of March 31, 2021, 2018-C was 100.0% owned by the Company and the previous non-controlling interest had been reduced to zero.

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 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 March 31, 2021, the Company had commitments to purchase, subject to due diligence, 235 RPLs and NPLs secured by single-family residences with aggregated UPB of $104.5 million. The Company will only acquire loans that meet the acquisition criteria for its own portfolios or those of its third party institutional accredited co-investors. See Note 15 — Subsequent Events, for remaining open acquisitions as of the filing date.

During the quarter 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, each at a purchase price per share of $25.00 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. Each series

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

30

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. Accordingly, the Company has recognized a liability on its consolidated balance sheet within accrued expenses and other liabilities at March 31, 2021 for the present value of the put liability of $16.1 million. The Company is accreting the amount of the liability under the effective interest method to its expected future put value of $50.7 million and marks the obligation to market through earnings. The expense is recognized in the Fair value adjustment on put option liability line of the Company's consolidated statements of income. The following table sets forth the details of the Company's put option liability ($ in thousands):

	Three months ended March 31,
	2021		2020
Beginning balance	$	14,205	$	—
Fair value adjustments during the period	1,944		—
Ending balance	$	16,149	$	—

The full extent of the impact of COVID-19 on the global economy generally, and the Company's business in particular, is uncertain. As of March 31, 2021, no contingencies have been recorded on the Company's consolidated balance sheet as a result of COVID-19, however as the global pandemic continues, it may have long-term adverse impacts on the Company's financial condition, results of operations, and cash flows.

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 March 31, 2021, 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 $250.0 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 LIBOR, 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 the class B bonds and certificates from the Company's secured borrowing 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 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 accompanying notes are an integral part of the consolidated interim financial statements.

31

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

				March 31, 2021
Maturity Date	Origination date	Maximum Borrowing Capacity		Amount Outstanding		Amount of Collateral		Percentage of Collateral Coverage		Interest Rate
April 5, 2021	January 6, 2021	$	34,568	$	34,568	$	43,784	127	%	1.74	%
April 6, 2021	January 6, 2021	7,530		7,530		9,723		129	%	1.79	%
April 6, 2021	January 6, 2021	4,588		4,588		5,890		128	%	1.79	%
April 6, 2021	January 6, 2021	4,544		4,544		5,738		126	%	1.79	%
April 6, 2021	January 6, 2021	3,233		3,233		4,667		144	%	1.94	%
April 9, 2021	October 13, 2020	33,084		33,084		41,718		126	%	2.35	%
April 12, 2021	January 11, 2021	5,706		5,706		7,328		128	%	1.77	%
April 15, 2021	January 14, 2021	6,582		6,582		8,145		124	%	1.83	%
April 20, 2021	January 20, 2021	12,127		12,127		15,505		128	%	1.82	%
April 22, 2021	March 17, 2021	3,896		3,896		5,130		132	%	1.66	%
April 26, 2021	January 27, 2021	7,982		7,982		9,279		116	%	1.21	%
April 26, 2021	January 27, 2021	5,177		5,177		6,063		117	%	1.21	%
April 26, 2021	January 27, 2021	6,295		6,295		7,276		116	%	1.21	%
April 30, 2021	February 1, 2021	11,992		11,992		14,767		123	%	1.81	%
April 30, 2021	February 1, 2021	11,825		11,825		15,005		127	%	1.81	%
April 30, 2021	February 1, 2021	5,157		5,157		6,610		128	%	1.81	%
April 26, 2021	February 1, 2021	3,892		3,892		4,876		125	%	1.81	%
April 30, 2021	February 1, 2021	2,794		2,794		3,662		131	%	1.81	%
April 30, 2021	February 1, 2021	2,369		2,369		3,360		142	%	1.96	%
April 30, 2021	February 1, 2021	1,133		1,133		1,607		142	%	1.96	%
May 12, 2021	February 12, 2021	3,100		3,100		4,428		143	%	1.95	%
June 4, 2021	March 5, 2021	24,453		24,453		32,366		132	%	1.54	%
June 4, 2021	March 5, 2021	23,972		23,972		31,589		132	%	1.54	%
June 17, 2021	March 17, 2021	9,440		9,440		11,986		127	%	1.73	%
June 17, 2021	March 17, 2021	7,803		7,803		10,166		130	%	1.73	%
June 17, 2021	March 17, 2021	1,175		1,175		1,687		144	%	1.88	%
June 24, 2021	March 24, 2021	2,510		2,510		3,250		129	%	1.75	%
July 9, 2021	July 10, 2020	250,000		15,724		23,488		149	%	2.61	%
September 23, 2021	September 24, 2020	400,000		42,442		63,743		150	%	2.61	%
Totals/weighted averages		$	896,927	$	305,093	$	402,836	132	%	1.93	%

				December 31, 2020
Maturity Date	Origination date	Maximum Borrowing Capacity		Amount Outstanding		Amount of Collateral		Percentage of Collateral Coverage		Interest Rate
January 6, 2021	October 9, 2020	$	35,635	$	35,635	$	46,120	129	%	2.33	%
January 6, 2021	September 28, 2020	7,697		7,697		10,075		131	%	2.33	%
January 6, 2021	September 28, 2020	6,311		6,311		9,038		143	%	2.48	%
January 6, 2021	September 28, 2020	4,755		4,755		6,114		129	%	2.33	%
January 6, 2021	September 28, 2020	4,666		4,666		6,044		130	%	2.33	%
January 6, 2021	September 28, 2020	3,213		3,213		4,667		145	%	2.48	%
January 11, 2021	September 29, 2020	5,879		5,879		7,575		129	%	2.32	%

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

32

January 14, 2021	October 29, 2020	6,991		6,991		8,738		125	%	2.35	%
January 20, 2021	October 20, 2020	13,263		13,263		16,582		125	%	2.22	%
January 29, 2021	October 30, 2020	7,762		7,762		9,702		125	%	2.21	%
January 29, 2021	October 30, 2020	7,153		7,153		9,537		133	%	2.21	%
February 1, 2021	December 1, 2020	12,258		12,258		16,052		131	%	1.88	%
February 1, 2021	December 1, 2020	12,015		12,015		15,794		131	%	1.88	%
February 1, 2021	December 1, 2020	5,298		5,298		6,895		130	%	1.88	%
February 1, 2021	December 1, 2020	3,985		3,985		5,136		129	%	1.88	%
February 1, 2021	December 1, 2020	2,887		2,887		3,790		131	%	1.88	%
February 1, 2021	December 1, 2020	2,332		2,332		3,360		144	%	2.03	%
February 1, 2021	December 1, 2020	1,132		1,132		1,607		142	%	2.03	%
February 12, 2021	November 13, 2020	2,945		2,945		4,428		150	%	2.02	%
March 5, 2021	December 7, 2020	24,946		24,946		33,348		134	%	1.78	%
March 5, 2021	December 7, 2020	24,312		24,312		32,571		134	%	1.78	%
March 17, 2021	December 17, 2020	10,219		10,219		13,172		129	%	1.78	%
March 17, 2021	December 17, 2020	8,381		8,381		10,872		130	%	1.78	%
March 17, 2021	December 17, 2020	3,894		3,894		5,193		133	%	1.78	%
March 17, 2021	December 17, 2020	1,145		1,145		1,687		147	%	1.93	%
March 24, 2021	December 24, 2020	7,016		7,016		10,024		143	%	1.94	%
March 24, 2021	December 24, 2020	5,008		5,008		6,637		133	%	1.79	%
March 24, 2021	December 24, 2020	2,577		2,577		3,367		131	%	1.79	%
April 9, 2021	October 13, 2020	33,084		33,084		43,069		130	%	2.35	%
July 9, 2021	July 10, 2020	250,000		53,256		84,337		158	%	2.64	%
September 23, 2021	September 24, 2020	400,000		101,117		160,068		158	%	2.65	%
Totals/weighted averages		$	916,759	$	421,132	$	595,599	141	%	2.29	%

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 March 31, 2021 and December 31, 2020, the Company had $8.8 million and $4.7 million, respectively, of cash collateral on deposit with financing counterparties. This cash is included in Prepaid expenses and other assets on its consolidated balance sheets and is not netted against its Borrowings under repurchase agreements. The amount outstanding on the Company’s repurchase facilities and the carrying value of the Company’s loans pledged as collateral are presented as gross amounts in the Company’s consolidated balance sheets at March 31, 2021 and December 31, 2020 in the table below ($ in thousands):

	Gross amounts not offset in balance sheet
	March 31, 2021		December 31, 2020
Gross amount of recognized liabilities	$	305,093	$	421,132
Gross amount of loans and securities pledged as collateral	402,836		595,599
Other prepaid collateral	8,815		4,653
Net collateral amount	$	106,558	$	179,120

Secured Borrowings

From inception (January 30, 2014) to March 31, 2021, 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, six of which were outstanding at March 31, 2021. The secured borrowings are structured as debt financings and not sales through a real estate investment conduit (“REMIC”), and the loans included in the secured borrowings remain on the Company’s consolidated balance sheet as the Company is the primary beneficiary of the

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

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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. With the exception of the Company’s 2017-D securitization, from which the Company sold a 50% interest in the Class B certificates to third parties, the Company has retained the subordinate notes and the applicable trust certificates from the one other non-rated secured borrowing outstanding at March 31, 2021.

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 at March 31, 2021. The Company’s rated secured borrowings are designated in the table below.

The Company's 2017-D secured borrowing contains 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 has retained 50% of both the Class A notes and Class B certificates from 2017-D.

The Company's 2018-C secured borrowing was structured with Class A notes, Class B notes and trust certificates representing the residual interest in the mortgages held within the securitization trusts subsequent to repayment of the Class A debt. The Company had retained 5% of the Class A notes and 63% of the Class B notes and trust certificates. During the first quarter of 2021 the Company acquired the remaining 37% ownership of the Class B notes and trust certificates and settled the remaining 95% of the outstanding Class A notes.

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.

For the Company's secured borrowing for 2017-D, if the Class A notes have not been redeemed by the payment date or otherwise paid in full 36 months after issue an interest rate step-up of 300 basis points is triggered. Twelve months after the 300 basis points step up is triggered, an additional 100 basis point step up will be triggered, and an amount equal to the aggregate interest payment amount that accrued and would otherwise be paid to the subordinate notes will be paid as principal to the Class A notes on that date and each subsequent payment date until the Class A notes are paid in full. After the Class A notes are paid in full, the subordinate notes will resume receiving their respective interest payment amounts and any interest that accrued but was not paid while the Class A notes were outstanding. As the holder of the trust certificates, the Company is entitled to receive any remaining amounts in the trusts after the Class A notes and subordinate notes have been paid in full.

The following table sets forth the original terms of all notes from our secured borrowings outstanding at March 31, 2021 at their respective cutoff dates:

Issuing Trust/Issue Date	Interest Rate Step-up Date	Security	Original Principal	Interest Rate
Non-rated
Ajax Mortgage Loan Trust 2017-D/ December 2017	April 25, 2021	Class A notes due 2057(1)	$177.8 million	3.75	%
	None	Class B certificates(1)	$44.5 million	—	%
		Deferred issuance costs	$(1.1) million	—	%
Rated
Ajax Mortgage Loan Trust 2019-D/ July 2019	July 25, 2027	Class A-1 notes due 2065	$140.4 million	2.96	%
	July 25, 2027	Class A-2 notes due 2065	$6.1 million	3.50	%

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

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	July 25, 2027	Class A-3 notes due 2065	$10.1 million	3.50	%
	July 25, 2027	Class M-1 notes due 2065(2)	$9.3 million	3.50	%
	None	Class B-1 notes due 2065(3)	$7.5 million	3.50	%
	None	Class B-2 notes due 2065(3)	$7.1 million	variable(4)
	None	Class B-3 notes due 2065(3)	$12.8 million	variable(4)
		Deferred issuance costs	$(2.7) million	—	%
Rated
Ajax Mortgage Loan Trust 2019-F/ November 2019	November 25, 2026	Class A-1 notes due 2059	$110.1 million	2.86	%
	November 25, 2026	Class A-2 notes due 2059	$12.5 million	3.50	%
	November 25, 2026	Class A-3 notes due 2059	$5.1 million	3.50	%
	November 25, 2026	Class M-1 notes due 2059(2)	$6.1 million	3.50	%
	None	Class B-1 notes due 2059(3)	$11.5 million	3.50	%
	None	Class B-2 notes due 2059(3)	$10.4 million	variable(4)
	None	Class B-3 notes due 2059(3)	$15.1 million	variable(4)
		Deferred issuance costs	$(1.8) million	—	%
Rated
Ajax Mortgage Loan Trust 2020-B/ August 2020	July 25, 2027	Class A-1 notes due 2059	$97.2 million	1.70	%
	July 25, 2027	Class A-2 notes due 2059	$17.3 million	2.86	%
	July 25, 2027	Class M-1 notes due 2059(2)	$7.3 million	3.70	%
	None	Class B-1 notes due 2059(3)	$5.9 million	3.70	%
	None	Class B-2 notes due 2059(3)	$5.1 million	variable(4)
	None	Class B-3 notes due 2059(3)	$23.6 million	variable(4)
		Deferred issuance costs	$(1.8) million	—	%
Rated
Ajax Mortgage Loan Trust 2021-A/ January 2021	January 25, 2029	Class A-1 notes due 2065	$146.2 million	1.07	%
	January 25, 2029	Class A-2 notes due 2065	$21.1 million	2.35	%
	January 25, 2029	Class M-1 notes due 2065(2)	$7.8 million	3.15	%
	None	Class B-1 notes due 2065(3)	$5.0 million	3.80	%
	None	Class B-2 notes due 2065(3)	$5.0 million	variable(4)
	None	Class B-3 notes due 2065(3)	$21.5 million	variable(4)
		Deferred issuance costs	$(2.5) million	—	%
Non-rated
Ajax Mortgage Loan Trust 2021-B/ February 2021	August 25, 2024	Class A notes due 2066	$215.9 million	2.24	%
	February 25, 2025	Class B notes due 2066(3)	$20.2 million	4.00	%
		Deferred issuance costs	$(4.3) million	—	%

(1)Ajax Mortgage Loan Trust ("AJAXM") 2017-D is a joint venture in which a third party owns 50% of the Class A notes and 50% of the Class B certificates. The Company is required to consolidate 2017-D under U.S. GAAP and is reflecting 100% of the mortgage loans, in Mortgage loans, net. 50% of the Class A notes, which are held by the third party, are included in Secured borrowings, net. The 50% portion of the Class A notes retained by the Company have been encumbered under a repurchase agreement. 50% of the Class B certificates are recognized as Non-controlling interest.

(2)The Class M notes are subordinated, sequential pay, fixed rate notes. The Company has retained the Class M notes, with the exception of AJAXM 2021-A.

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

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(3)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. The Company has retained the Class B notes.

(4)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.

Servicing for the mortgage loans in the Company’s secured borrowings is provided by the Servicer at servicing fee rates of 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 March 31, 2021 and December 31, 2020, and the securitization cutoff date ($ in thousands):

	Balances at March 31, 2021							Balances at December 31, 2020							Original balances at securitization cutoff date
Class of Notes	Carrying value of mortgages		Bond principal balance			Percentage of collateral coverage		Carrying value of mortgages		Bond principal balance			Percentage of collateral coverage		Mortgage UPB			Bond principal balance
2017-B	$	—	$	—		—	%	$	110,062	$	68,729		160	%	$	165,850		$	115,846
2017-D	131,719		48,660		(1)	271	%	133,897		51,256		(1)	261	%	203,870		(2)	88,903
2018-C	—		—			—	%	173,221		131,983		(3)	131	%	222,181		(4)	167,910
2019-D	140,383		115,651			121	%	148,641		125,008			119	%	193,301			156,670
2019-F	134,884		102,555			132	%	139,996		108,184			129	%	170,876			127,673
2020-B	132,863		101,707			131	%	136,360		105,601			129	%	156,468			114,534
2021-A	187,932		169,995			111	%	—		—			—	%	206,528			175,116
2021-B	263,267		212,111			124	%	—		—			—	%	287,895			215,912
	$	991,048	$	750,679	(5)	132	%	$	842,177	$	590,761	(5)	143	%	$	1,606,969		$	1,162,564

(1)The gross amount of senior bonds at March 31, 2021 and December 31, 2020 were $97.4 million and $102.6 million however, only $48.7 million and $51.3 million are reflected in Secured borrowings as the remainder is owned by the Company, respectively.

(2)Includes $26.7 million of cash collateral intended for use in the acquisition of additional mortgage loans.

(3)2018-C contained notes held by the third party institutional investors for senior bonds and class B bonds. The gross amount of the senior and class B bonds at December 31, 2020 were $132.7 million and $15.9 million, however, only $126.1 million and $5.9 million are reflected in Secured borrowings as the remainder is owned by the Company, respectively.

(4)Includes $45.5 million of cash collateral intended for use in the acquisition of additional mortgage loans.

(5)This represents the gross amount of Secured borrowings and excludes the impact of deferred issuance costs of $10.6 million and $5.4 million as of March 31, 2021 and December 31, 2020.

Convertible Senior Notes

On April 25, 2017, the Company completed the public offer and sale of $87.5 million in aggregate principal amount of its convertible senior notes (the “notes”) due 2024, with follow-on offerings of an additional $20.5 million and $15.9 million, respectively, in aggregate principal amount completed on August 18, 2017 and November 19, 2018, respectively, which, combined with the notes from the April offering form a single series of fungible securities. The 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 notes will mature on April 30, 2024, unless earlier repurchased, converted or redeemed. During certain periods and subject to certain conditions the notes will be convertible by their holders into shares of the Company’s common stock at a conversion rate of 1.7279 shares of common stock per $25.00 principal amount of the notes, which represents a conversion price of approximately $14.47 per share of common stock. The conversion rate, and thus the conversion price, may be subject to adjustment under certain circumstances.

Coupon interest on the 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 deduction from the notes, and are amortized to interest expense on an effective yield basis through April 30, 2023, the date at which the 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. A cumulative discount at issuance of $3.2 million, representing the fair value of the embedded conversion feature, was recorded to stockholder equity. No sinking fund has been established for redemption of the principal.

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

36

During the first quarter of 2021, the Company completed a convertible note repurchase with a principal amount of $2.5 million for a purchase price of $2.4 million. The carrying amount of the equity component representing the embedded conversion feature reversed from Additional paid-in capital due to the first quarter of 2021 transaction was zero. During the first and third quarters of 2020, the Company completed a series of convertible note repurchases for aggregate principal amounts of $8.0 million and $2.5 million, respectively, for total purchase prices of $8.2 million and $2.3 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 third quarter of 2020 transactions were $0.1 million and zero, respectively.

Holders may convert their notes at their option prior to April 30, 2023 only under certain circumstances. In addition, the 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 conversion rate as of March 31, 2021 equals 1.7279 shares of the Company's common stock per $25.00 principal amount of notes, which is equivalent to a conversion price of approximately $14.47 per share of common stock. The conversion rate, and thus the conversion price, may be subject to adjustment under certain circumstances. As of March 31, 2021, the amount by which the if-converted value falls short of the principal value for the entire series is $27.3 million.

The Company may not redeem the notes prior to April 30, 2022, and may redeem for cash all or any portion of the 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 notes to be redeemed, plus accrued and unpaid interest to, but excluding, the redemption date. No "sinking fund" will be provided for the notes.

At March 31, 2021, the outstanding aggregate principal amount of the notes was $110.9 million, and discount and deferred expenses were $2.9 million. During the three months ended March 31, 2021 the Company recognized interest expense of $2.4 million which includes $0.3 million of amortization of discount and deferred expenses. Comparatively at March 31, 2020, the outstanding aggregate principal amount of the notes was $115.9 million, and discount and deferred expenses were $4.4 million. During the three months ended March 31, 2020 the Company recognized interest expense of $2.4 million which includes $0.3 million of amortization of discount and deferred expenses. The effective interest rates of the notes for the quarters ended March 31, 2021 and March 31, 2020 were 9.01% and 8.72%, respectively.

Note 10 — Related Party Transactions

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

			Three months ended March 31,
Transaction	Consolidated Statement of Income location	Counterparty	2021		2020
Interest income on securities and beneficial interest and recovery of/(provision for) losses on beneficial interests	Net interest income after recovery of/(provision for) losses	Various non-consolidated joint ventures	$	5,952	$	2,019
Management fee	Related party expense – management fee	Thetis	$	2,270	$	1,799
Loan servicing fees	Related party expense – loan servicing fees	Gregory	$	1,833	$	2,014
Income/(loss) from equity investment	Income/(loss) from investments in affiliates	Thetis	$	168	$	(966)
Income from equity investment	Income/(loss) from investments in affiliates	Gaea	$	18	$	4
Income from equity investment	Income/(loss) from investments in affiliates	AS Ajax E LLC	$	9	$	10
Loss on sale of mortgage loans	Loss on sale of mortgage loans	Gaea	$	—	$	(705)
(Loss)/income from equity investment	Income/(loss) from investments in affiliates	Loan pool LLCs	$	(7)	$	79

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

37

Loss from equity investment Income/(loss) from investments in affiliates Great Ajax FS $ (62) $ (276)

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

			As of March 31, 2021
Transaction	Consolidated Balance Sheet location	Counterparty	Amount
Investment in beneficial interests	Investments in beneficial interests	Various non-consolidated joint ventures	$	94,893
Receivables from Servicer	Receivable from Servicer	Gregory	$	18,847
Affiliate loan receivable	Mortgage loans held-for-investment, net	Gaea	$	11,000
Management fee payable	Management fee payable	Thetis	$	2,270
Expense reimbursement receivable	Prepaid expenses and other assets	Various non-consolidated joint ventures	$	1,133
Expense reimbursement	Accrued expenses and other liabilities	Gregory	$	(84)

			As of December 31, 2020
Transaction	Consolidated Balance Sheet location	Counterparty	Amount
Investment in beneficial interests	Investments in beneficial interests	Various non-consolidated joint ventures	$	91,418
Receivables from Servicer	Receivable from Servicer	Gregory	$	15,755
Affiliate loan receivable	Mortgage loans held-for-investment, net	Gaea	$	11,000
Management fee payable	Management fee payable	Thetis	$	2,247
Affiliate loan purchase	Mortgage loans held-for-investment, net	Great Ajax FS	$	1,838
Expense reimbursement receivable	Prepaid expenses and other assets	Various non-consolidated joint ventures	$	876
Expense reimbursement receivable	Prepaid expenses and other assets	Thetis	$	18
Expense reimbursements	Accrued expenses and other assets	Gregory	$	(44)

At March 31, 2021 and December 31, 2020, the Company had an outstanding originated SBC loan to Gaea, a related party of $11.0 million. The loan is secured by 20 of Gaea's SBC loans. The loan carries an interest rate of 4.25% and matured on March 31, 2021. The loan was paid off on April 5, 2021. The loan is included in Mortgage loans held-for-investment, net on the Company's consolidated balance sheets.

At December 31, 2020, the Company purchased 15 RPLs from GAFS, a related party, for $1.8 million with UPB of $2.1 million and collateral value of $3.7 million. The loans are all included in Mortgage loans held-for-investment, net on the Company's consolidated balance sheets.

The Company sold no mortgage loans during the three months ended March 31, 2021. Comparatively, during the three months ended March 31, 2020, the Company sold 26 SBC mortgage loans with a carrying value of $26.1 million and UPB of $26.2 million, for a loss of $0.7 million to Gaea, a related party. The retained securities are included in the notes and beneficial interests discussed in the paragraph below.

During the three months ended March 31, 2021, the Company acquired no debt securities and beneficial interests. Comparatively during the three months ended March 31, 2020, the Company acquired $61.3 million in debt securities and beneficial interests issued by joint ventures between the Company and third party institutional accredited investors. Each joint venture issued senior notes and beneficial interests, which are trust certificates representing the residual investment in the trust. 

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

38

In certain transactions, the joint ventures also issued subordinated notes. The debt securities are carried at fair value. Of the $61.3 million of debt securities acquired in the three months ended March 31, 2020, the Company acquired $49.6 million in senior notes, $4.6 million in subordinate notes and $7.1 million in beneficial interests issued by joint ventures. As of March 31, 2021, the investments in debt securities and beneficial interests were carried on the Company's consolidated balance sheet at $264.7 million and $94.9 million, respectively. At December 31, 2020, the investments in debt securities and beneficial interests were carried on the Company's consolidated balance sheet at $273.8 million and $91.4 million, respectively. As of March 31, 2021 and December 31, 2020, the Company had no securities that were past due.

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 purchase of real estate 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 March 31, 2021, and December 31, 2020, the Company had no advances outstanding to the Servicer. Interest on the arrangement accrues at 7.2% annually.

On November 22, 2019, Gaea completed a private capital raise transaction in which it raised $66.3 million from the issuance of 4,419,641 shares of its common stock to third parties to allow it to continue to advance its investment strategy. Upon completion of the capital raise, the Company retained ownership of approximately 23.2% of Gaea with third party investors owning the remaining approximately 76.8%. The Company recognized no gain or loss on the transaction as Gaea's fair value at the date of the deconsolidation did not represent a material change from the fair values of its recently acquired assets and liabilities due to the limited lapse of time since their acquisitions. At March 31, 2021 the Company owned approximately 22.9% of Gaea with third party investors owning the remaining approximately 77.1%. The Company accounts for its investment 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. 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 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 the time of the original investment, the Company held a 24.2% interest in AS Ajax E LLC. In October 2016, additional capital contributions were made by third parties, and the Company’s ownership interest in AS Ajax E was reduced to a lower percentage of the total. As of March 31, 2021 and December 31, 2020, the Company’s 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 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 is calculated and payable quarterly in arrears. The Company has the option to pay its management fee with between 50% to 100% 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 initial $1.0 million of the quarterly base management fee will be payable at least 75% in cash and up to 25% in shares of the Company’s common stock (allocated at the Company's discretion). Any amount of the base management fee in excess of $1.0 million may be payable in shares of the Company’s common stock (at the Company's discretion) until payment is at least 50% in cash and up to 50% in shares (the “50/50 split”). Any remaining amount of the quarterly base management fee after the 50/50 split threshold is reached may be payable in equal amounts of cash and shares (at the Company's discretion). The base management fee currently exceeds the 50/50 split threshold. 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 accompanying notes are an integral part of the consolidated interim financial statements.

39

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 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, special cash dividends on its common stock 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. In the event that the payment of the quarterly base management fee has not reached the 50/50 split, up to 100% of the incentive fee will be payable in shares of the Company’s common stock, at the Company's discretion, until the 50/50 split occurs. In the event that the total payment of the quarterly base management fee and the incentive fee has reached the 50/50 split, up to 20% of the remaining incentive fee is payable in shares of the Company’s common stock at the Company's discretion and the remaining incentive fee is payable in cash. During the three months ended March 31, 2021 and March 31, 2020, 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 range from 0.65% to 1.25% annually UPB at acquisition (or the fair market value or purchase price of REO), and are paid monthly. For certain of the Company's securitization trusts, the servicing fee rate for RPLs is reduced to an annual servicing fee rate of 0.42% on a loan-by-loan basis for any loan that makes seven consecutive payments. 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 were previously RPLs 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 servicing fee for NPLs that convert to real property assets does not change.

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, property values, previous UPB of the relevant loan, and the number of 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.

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

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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 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 date on which the most recent regular quarterly dividend to holders of its common stock is paid. The Company recognized a base management fee to the Manager for the three months ended March 31, 2021 of $2.3 million, of which none was payable in shares of its common stock as the Board of Directors approved the management fee to be paid in all cash. Comparatively, for the three months ended March 31, 2020, the Company recognized a base management fee of $1.8 million, of which none was payable in shares of its common stock.

In addition, each of the Company’s independent directors received an annual retainer of $100,000, payable quarterly, 40% of which is payable in shares of the Company's common stock using the same valuation method as defined for the stock portion of the management fee payable to the Manager and 60% in cash.

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

Stock-based Director Fees

	For the three months ended March 31,
	2021			2020
	Number of shares	Amount of expense recognized(1)		Number of shares	Amount of expense recognized(1)
Independent director fees	3,945	$	50	3,468	$	40
Totals	3,945	$	50	3,468	$	40

(1)All independent director fees are fully expensed in the period in which the relevant service is received by the Company.

Restricted Stock

The Company periodically grants shares of its common stock to employees of its Manager and Servicer. The shares vest over three years, with one third of the shares vesting on each of the first, second and third anniversaries of the grant date. The shares may not be sold until the third anniversary of the grant date. 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. 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:

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

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	Employee and Service Provider Grants			Director Grants
	Shares	Weighted Average Grant Date Fair Value		Shares	Weighted Average Grant Date Fair Value
March 31, 2021 outstanding unvested share grants	163,083	$	11.07	—	$	—
Shares vested	—	—		—	—
Shares forfeited	—	—		(2,000)	12.00
Shares granted	—	—		2,000	12.00
December 31, 2020 outstanding unvested share grants	163,083	$	11.07	—	$	—
March 31, 2020 outstanding unvested share grants	114,334	$	13.83	—	$	—
Shares vested	—	—		—	—
Shares forfeited	—	—		—	—
Shares granted	—	—		—	—
December 31, 2019 outstanding unvested share grants	114,334	$	13.83	—	$	—

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

	Three months ended March 31,
	2021		2020
Restricted stock grants	$	207	$	174
Director grants	24		—
Total expenses for plan grants	$	231	$	174

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 months ended March 31, 2021 the Company had consolidated taxable income of $8.7 million; and provisions for income taxes of $34 thousand. For the three months ended March 31, 2020, the Company’s consolidated taxable income was $1.2 million; and income tax benefit of $0.3 million. The Company recognized no deferred income tax assets or liabilities on its consolidated balance sheets at March 31, 2021 or 2020. The Company also recorded no interest or penalties for the three months ended March 31, 2021 or 2020.

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

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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 March 31, 2021					Three months ended March 31, 2020
	Income (Numerator)		Shares (Denominator)	Per Share Amount		Income (Numerator)		Shares (Denominator)	Per Share Amount
Basic EPS
Consolidated net income attributable to common stockholders	$	7,004	22,816,978			$	400	22,070,354
Allocation of earnings to participating restricted shares	(52)		—			(2)		—
Consolidated net income attributable to unrestricted common stockholders	$	6,952	22,816,978	$	0.30	$	398	22,070,354	$	0.02
Effect of dilutive securities(1, 2)
Restricted stock grants and Manager and director fee shares(3)	—		—			2		119,630
Diluted EPS
Consolidated net income attributable to common stockholders and dilutive securities	$	6,952	22,816,978	$	0.30	$	400	22,189,984	$	0.02

(1)The Company's outstanding warrants for an addition 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 March 31, 2021, 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 March 31, 2021 would have been anti-dilutive and have been removed from the calculation.

(3)The effect of restricted stock grants and manager and director fee shares on the Company's diluted EPS calculation for the three months ended March 31, 2021 would have been anti-dilutive and have been removed from the calculation.

Note 14 — Equity

Common stock

As of March 31, 2021 and December 31, 2020, the Company had 22,988,847 and 22,978,339 shares, respectively, of $0.01 par value common stock outstanding with 125,000,000 shares authorized at each period end.

Preferred stock

During the quarter ended June 30, 2020, the Company issued to institutional accredited investors an aggregate of $130.0 million of preferred stock in two series and warrants 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, each at a purchase price per share of $25.00 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. 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. The Company expects to use the net proceeds from the private placement to acquire mortgage loans and mortgage-related assets consistent with the Company's investment strategy.

The Company had 2,307,400 shares of Series A preferred stock and 2,892,600 shares of Series B preferred stock outstanding at March 31, 2021 and December 31, 2020. There were 25,000,000 shares, cumulative for all series, authorized as of both March 31, 2021 and December 31, 2020.

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

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Treasury stock and Stock Repurchase Plan

On February 28, 2020, the Company's Board of Directors approved a stock repurchase of up to $25.0 million of its common shares. The amount and timing of any repurchases will depend 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 March 31, 2021 and December 31, 2020, the Company held 107,243 shares of treasury stock consisting of 58,779 shares received through distributions of the Company's shares previously held by its Manager and 48,464 shares acquired through open market purchases in the fourth quarter of 2020 under the Company's approved stock repurchase plan.

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 months ended March 31, 2021 4,228 shares were issued under the plan for total proceeds of approximately $47 thousand. Comparatively, during the three months ended March 31, 2020 no shares were issued under the plan.

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 $50.0 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 months ended March 31, 2021 and 2020, no shares were sold under the at the market program.

Accumulated Other Comprehensive Loss

The Company recognizes unrealized gains or losses on its investment in debt securities as components of other comprehensive income. Total accumulated other comprehensive gain on the Company’s balance sheet at March 31, 2021 and December 31, 2020 was as follows ($ in thousands):

Investments in securities:	March 31, 2021		December 31, 2020
Unrealized gains	$	1,926	$	1,152
Unrealized losses	(245)		(777)
Accumulated other comprehensive gain	$	1,681	$	375

Non-controlling Interest

At December 31, 2020, the Company had non-controlling interests attributable to ownership interests for four legal entities. During the first quarter of 2021, the Company acquired the remaining ownership of 2018-C. This decreased the number of third party non-controlling interests as of March 31, 2021 to three legal entities. Legal entities consolidated by the Company which have non-controlling interests held by third parties are described below.

AS Ajax E II LLC was formed by the Company during 2017 to purchase and hold an investment in a Delaware trust which holds single family residential real estate loans, SBC loans and other real estate assets. AS Ajax E II LLC is 46.9% held by third parties. As of March 31, 2021 and December 31, 2020, the Company owned 53.1% of AS Ajax E II LLC and consolidated the assets, liabilities, revenues and expenses of the entity.

2017-D, a securitization trust, was formed by the Company during 2017. It is 50.0% held by an accredited institutional investor. As of March 31, 2021 and December 31, 2020, the Company owned 50.0% of 2017-D and consolidated the assets, liabilities, revenues and expenses of the trust.

Great Ajax II REIT was formed by the Company during 2019 to hold an interest in 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. As of March 31, 2021 and December 31, 2020, Great Ajax II REIT was 0.1% held by third parties. As of March 31, 2021 and December 31, 2020, the Company owned 99.9% of Great Ajax II REIT and consolidated the assets, liabilities, revenues and expenses of the entity.

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

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2018-C, a securitization trust was formed by the Company during 2018 and was 37.0% held by an accredited institutional investor. The remaining 37.0% ownership was purchased by the Company during the first quarter of 2021. As of March 31, 2021 the Company owned 100.0% of 2018-C. Comparatively, as of December 31, 2020 the Company owned 63.0% of 2018-C and consolidated the assets, liabilities, revenues and expenses of the trust.

The following table sets forth the effects of changes in ownership of the Company's non-controlling interests due to transfers to or from non-controlling interest for the calendar preceding the Consolidated balance sheet dates ($ in thousands):

	March 31, 2021		December 31, 2020
Decrease from redemption of 2018-C	$	(8,306)	$	—
Change in non-controlling interest	$	(8,306)	$	—

Note 15 — Subsequent Events

The Company has agreed to acquire, subject to due diligence, 106 residential RPLs in seven transactions, and nine NPLs in two transactions, with aggregate UPB of $14.1 million and $3.1 million, respectively. The purchase price of the residential RPLs equals 88.7% of UPB and 62.2% of the estimated market value of the underlying collateral of $20.1 million. The purchase price of the NPLs equals 90.3% of UPB and 70.0% of the estimated market value of the underlying collateral of $4.0 million.

The Company has agreed to acquire, subject to due diligence, 4,739 residential RPLs with aggregate UPB of $790.4 million in one transaction from a single seller. The purchase price equals 97.5% of UPB and 54.0% of the estimated market value of the underlying collateral of $1.4 billion. These loans are expected to be acquired through a joint venture with third-party institutional accredited investors.

The Company has also agreed to acquire, subject to due diligence, 132 NPLs with aggregate UPB of $88.4 million in one transaction from a single seller. The purchase price equals 100.3% of UPB and 67.2% of the estimated market value of the underlying collateral of $131.9 million. These loans are expected to be acquired through a joint venture with third-party institutional accredited investors.

On April 7, 2021, the Company co-invested with third-party institutional investors to form Ajax Mortgage Loan Trust 2021-C ("2021-C") and retained $26.3 million of varying classes of related securities. The Company acquired 5.01% of the class A securities and 31.9% of the class B securities and trust certificates from the trust, which acquired 1,290 RPLs and NPLs with UPB of $259.6 million and an aggregate property value of $483.1 million. The senior securities represent 75% of the UPB of the underlying mortgage loans and carry a 2.115% coupon. Based on the structure of the transaction the Company will not consolidate 2021-C under U.S. GAAP. The assets included in the 2021-C securitization came from calling the bonds associated with the Company's 2017-D, 2018-A and 2018-B securitizations, all of which were joint ventures with third party institutional accredited investors.

In April 2021, the Company completed two repurchases of its convertible senior notes for an aggregate principal amount of $5.0 million and a total purchase price of $5.0 million.

On May 6, 2021, the Company’s Board of Directors declared a cash dividend of $0.19 per share to be paid on May 31, 2021 to stockholders of record as of May 20, 2021.

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

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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. 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. You should carefully consider these risks, along with the following factors that could cause actual results to vary from our forward-looking statements:

•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 either through sale or rental;

•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”).

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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 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. We also acquire and 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. We also originate SBC loans that we believe will provide an appropriate risk-adjusted total return. Additionally, we invest in single-family and smaller commercial properties directly either through a foreclosure event of a loan in our mortgage portfolio or through a direct acquisition. We may also target investments in NPLs either directly or with joint venture partners. NPLs are loans on which the most recent three payments have not been made. We own a 19.8% equity interest in the Manager and an 8.0% equity interest in the parent company of our Servicer. GA-TRS is a wholly owned subsidiary of the Operating Partnership that owns the equity interest in the Manager and the Servicer. 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 March 31, 2021 and December 31, 2020, holds 99.9% of Great Ajax II REIT Inc. which holds an interest in 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 we may form for additional secured borrowings. We have securitized mortgage loans through securitization trusts and retained subordinated securities from the secured borrowings. These trusts are considered to be VIEs, and we have determined that we are the primary beneficiary of the VIEs.

In 2018, we formed Gaea as a wholly owned subsidiary of the Operating Partnership. We elected to treat Gaea as a TRS under the Code for 2018, and we 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. We also formed BFLD Holdings LLC, Gaea Commercial Properties LLC, Gaea Commercial Finance LLC and Gaea RE 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. On November 22, 2019, Gaea completed a private capital raise in which it raised $66.3 million from the issuance of 4,419,641 shares of its common stock to third parties to allow Gaea to continue to advance its investment strategy. We retained a 23.2% ownership interest in Gaea following the transaction. At March 31, 2021 we owned approximately 22.9% of Gaea.

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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 March 31, 2021 and December 31, 2020 ($ in millions):

	March 31, 2021		December 31, 2020
Residential RPLs	$	1,060.6	$	1,057.5
Residential NPLs	37.9		38.7
SBC loans	25.1		23.2
Real estate owned properties, net	7.1		8.5
Investments in securities at fair value	264.7		273.8
Investment in beneficial interests	94.9		91.4
Total mortgage related assets	$	1,490.3	$	1,493.1

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

COVID-19

The COVID-19 pandemic that began during the first quarter of 2020 created a global public-health crisis that resulted in widespread volatility and deteriorations in household, business, and economic market conditions, including in the United States, where we conduct all of our business. During 2020 many governmental and nongovernmental authorities directed their actions toward curtailing household and business activity in order to contain or mitigate the impact of the COVID-19 pandemic and deployed fiscal- and monetary-policy measures in order to seek to partially mitigate the adverse effects. These programs have had varying degrees of success and the extent of the long term impact on the mortgage market remains unknown.

The COVID-19 pandemic began to meaningfully impact our operations in late March 2020 and this disruption was reflected in our results of operations for the quarter ended March 31, 2020. The pandemic has continued and continues to significantly and adversely impact certain areas of the United States. As a result, our forecast of macroeconomic conditions and expected lifetime credit losses on our mortgage loan and beneficial interest portfolios is subject to meaningful uncertainty. While the majority of our borrowers continue to make scheduled payments and we continue to receive payments in full, we have acted swiftly to support our borrowers with a mortgage forbearance program. While we generally do not hold loans guaranteed by GSEs or the US government, we, through our Servicer, are nonetheless offering a forbearance program under terms similar to those required for GSE loans. Borrowers who request COVID-19 related hardship assistance are asked to complete a standardized hardship questionnaire, including documentation to support the COVID-19 related hardship claim. The materials are reviewed, along with the borrower's monthly payment status, to determine if the borrower is eligible for the three-month forbearance plan. If the borrower is not eligible, they are encouraged to apply for loss mitigation. In the event the COVID-19 related hardship is continuing at the end of the forbearance period, it may be extended for an additional period. At the end of the forbearance plan, the borrower may repay the amounts in a lump sum, or our Servicer will work with the borrower on repayment options or traditional loan modification options. Notwithstanding the foregoing, to the extent special rules apply to a mortgagor because of the jurisdiction or type of the Mortgage Loan, the Servicer will comply with those rules. Our Servicer has extensive experience dealing with delinquent borrowers and we believe it is well positioned to react on our behalf to any increase in mortgage delinquencies. The following list shows the COVID-19 forbearance activity in our mortgage loan portfolio as of April 30, 2021(1) :

•Number of COVID-19 forbearance relief inquiries: 1,069

•Number of COVID-19 forbearance relief granted: 297

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(1)Statistics are for loans carried on our balance sheet including loans held in Ajax 2017-D where third parties own 50%. Statistics do not include non-consolidated joint ventures where we own bonds and beneficial interests issued by the joint ventures.

We expect continued volatility in the residential mortgage securities market in the short term and increased acquisition opportunities. Extended forbearance, foreclosure timelines and eviction timelines could result in lower yields and losses on our mortgage loan and beneficial interest portfolios and losses on our REO held-for-sale. 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.

We believe that certain cyclical trends continue to drive a significant realignment within the mortgage sector notwithstanding the impact of the pandemic. Through the end of the first quarter, the recent trends noted below have continued, including:

•historically low interest rates and elevated operating costs resulting from new regulatory requirements continue to drive sales of residential mortgage assets by banks and other mortgage lenders;

•declining home ownership in certain areas due to rising prices, low inventory, tighter lending standards and increased down payment requirements that have increased the demand for single-family and multi-family residential rental properties;

•rising home prices are increasing homeowner equity and reducing the incidence of strategic default;

•rising prices have resulted in millions of homeowners being in the money to refinance;

•the Dodd-Frank risk retention rules for asset backed securities have reduced the universe of participants in the securitization markets;

•the lack of a robust market for non-conforming mortgage loans will reduce the pool of buyers due to tighter credit standards as a result of the COVID-19 pandemic; and

•an increase in the prices of residential mortgage loans and residential real estate as a result of the COVID-19 outbreak we believe will generate new opportunities in residential mortgage-related whole loan strategies.

The origination of subprime and alternative residential mortgage loans remains substantially below 2008 levels and the qualified mortgage and ability-to-repay rule requirements have put pressure on new originations. Additionally, many banks and other mortgage lenders have increased their credit standards and down payment requirements for originating new loans. Recent market disruption from the pandemic has sharply reduced financing alternatives for borrowers not eligible for financing programs underwritten by the GSEs or the federal government.

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 increase in the near term and remain at heightened levels for the foreseeable future.

We believe that investments in residential RPLs with positive equity provide an optimal investment value. As a result, we are currently focusing on acquiring pools of RPLs, though we may acquire NPLs, either directly or with joint venture partners, if attractive opportunities exist. 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.

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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.

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. We also believe there may be increased opportunities to acquire NPLs due to the pandemic. 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 real estate investment conduit (“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.

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 to modify NPLs. Once successfully modified and 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 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 or convert into single-family rental properties that we believe will generate long-term returns for our stockholders. Our REO properties may be converted into single-family rental properties or they may be sold through REO liquidation and short sale processes. We expect the timelines for each of the 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. We will opportunistically and on an asset-by-asset basis determine whether to rent any REO we acquire, whether upon foreclosure or otherwise. We may determine to sell such assets if they do not meet our investment criteria. In addition, while we seek to track real estate price trends and estimate the effects of those trends on the valuations of our portfolios of residential mortgage loans, future real estate values are subject to influences beyond our control.

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Conversion to Rental Property. From time to time we will retain an REO property as a rental property and may acquire rental properties through direct purchases at attractive prices. The key variables that will affect our residential rental revenues over the long-term will be the extent to which we acquire properties, which, in turn, will depend on the amount of our capital invested, average occupancy and rental rates in our owned rental properties. We expect the timeline to convert multi-family and single-family loans into rental properties will vary significantly by loan, which could result in variations in our revenue and our operating performance from period to period. There are a variety of factors that may inhibit our ability, through the Servicer, to foreclose upon a residential mortgage loan and get access to the real property within the time frames we model as part of our valuation process. These factors include, without limitation: state foreclosure timelines and the associated deferrals (including from litigation); unauthorized occupants of the property; U.S. federal, state or local legislative action or initiatives designed to provide homeowners with assistance in avoiding residential mortgage loan foreclosures that may delay the foreclosure process; U.S. federal government programs that require specific procedures to be followed to explore the non-foreclosure outcome of a residential mortgage loan prior to the commencement of a foreclosure proceeding; and declines in real estate values and high levels of unemployment and underemployment that increase the number of foreclosures and place additional pressure on the already overburdened judicial and administrative systems. We do not expect to retain a material number of single family residential properties for use as rentals. We do, however, intend to focus on retaining multi-unit residences derived from foreclosures or acquired through outright purchases 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, both held-for-sale and as rentals, 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. While home prices have risen to, or in some cases beyond, pre-Great Recession levels in many parts of the United States, there are still significant regions where values have not materially increased. 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 HPA into account except for rural properties for which we model negative HPA related to our expectation of worse than expected property condition. The COVID-19 outbreak has not had as material of an impact on HPA on our markets as we initially expected. A significant decline in HPA will 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. We currently expect the pace of loan prepayments to slow due to the COVID-19 outbreak.

Market Conditions. Due to the dramatic repricing of real estate assets that occurred during the 2008 financial crisis and the continuing uncertainty regarding the direction and strength of the real estate markets including as a result of the pandemic, we believe a void in the debt and equity capital available for investing in real estate exists as many financial institutions, insurance companies, finance companies and fund managers have determined to reduce or discontinue investment in debt or equity related to real estate. We believe the dislocations in the residential real estate market have resulted or will result in an “over-correction” in the repricing of real estate assets, creating a potential opportunity for us to capitalize on these market dislocations and capital void to the extent we are able to obtain financing for additional purchases.

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We believe that in spite of the continuing uncertain market environment for mortgage-related assets, including as a result of the pandemic outbreak, 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. The pandemic has also impacted, and is likely to continue to impact, directly or indirectly, many of the other factors discussed above, as well as other aspects of our business. New developments continue to emerge and it is not possible for us to predict with certainty which factors will impact our business. In addition, we cannot assess the impact of each factor on our business or the extent to which any factor, or combination of factors, may cause actual results to differ materially from those contained in any forward-looking statements. In particular, it is difficult to fully assess the impact of the pandemic at this time due to, among other things, uncertainty regarding the severity and duration of the outbreak domestically and internationally and the effectiveness of federal, state and local government efforts to contain the spread of COVID-19, the effects of those efforts on our business, the indirect impact on the U.S. economy and economic activity and the impact on the mortgage markets and capital markets.

Critical Accounting Policies and Estimates

Mortgage Loans

Purchased Credit Deteriorated Loans ("PCD Loans") — As of their acquisition date, the loans we acquired have generally suffered some credit deterioration subsequent to origination. As a result, prior to the adoption of ASU 2016-13, Financial Instruments - Credit Losses, otherwise known as CECL, on January 1, 2020, we were required to account for the mortgage loans pursuant to ASC 310-30, Accounting for Loans with Deterioration in Credit Quality. Under both standards, our recognition of interest income for PCD loans is based upon our 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, we use expected cash flows to apply the effective interest method of income recognition.

Under both CECL and ASC 310-30, 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. However, CECL allows more flexibility to us to adjust our loan pools as the underlying risk factors change over time. Under ASC 310-30, RPLs were determined by us to have common risk characteristics and were accounted for as a single loan pool for loans acquired within each three-month calendar quarter. Similarly, NPLs were determined to have common risk characteristics and were accounted for as a single non-performing pool for loans acquired within each three-month calendar quarter. The result was generally two additional pools (RPLs and NPLs) each quarter. Under CECL, we have re-aggregated our loan pools around similar risk factors or legal ownership, while eliminating the previous distinction for the quarter in which loans were acquired. This resulted in a reduction of the number of loan pools to four as of March 31, 2020. The number of pools was then re-evaluated and increased to six as of June 30, 2020 through December 31, 2020, and is at five loan pools as of March 31, 2021. Each loan pool is oriented around similar risk factors or legal ownership. 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.

Our accounting for PCD loans gives rise to an accretable yield and an allowance for credit losses. Under CECL, upon the acquisition of PCD loans we record the acquisition as three separate elements for 1) the amount of purchase discount which we expect to recover through eventual repayment by the borrower, 2) an allowance for future expected credit loss and 3) the UPB of the loan. The purchase price discount which we expect at the time of acquisition to collect over the life of the loans is the accretable yield. Cash flows expected at acquisition include all cash flows directly related to the acquired loan, including those expected from the underlying collateral. We recognize the accretable yield as Interest income on a prospective level yield basis over the life of the pool. Our expectation of the amount of undiscounted cash flows to be collected is evaluated at the end of each calendar quarter. If we expect to collect greater cash flows over the life of the pool, any prior allowance is reversed to the extent of the increase and the expected yield to maturity is adjusted on a prospective basis. The allowance for credit losses is increased when we estimate we will not collect all amounts previously estimated to be collectible. Increases in loan yield expectations, whether caused by timing or loan performance, are reported in the period in which they arise and are reflected as a reduction in the provision for losses even if no provision expense was previously recorded. Management assesses the credit quality of the portfolio and the adequacy of loan loss reserves on a quarterly basis, or more frequently as necessary. Significant judgment is required in this analysis. Depending on the expected recovery of our investment, we consider the estimated net recoverable value of the loan pools as well as other factors, such as the fair value of the underlying collateral. Because these

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determinations are based upon projections of future economic events, which are inherently subjective, the amounts ultimately realized may differ materially from the carrying value as of the reporting date.

Our mortgage loans are secured by real estate. We monitor the credit quality of the mortgage loans in our portfolio on an ongoing basis, principally by considering loan payment activity or delinquency status. In addition, we assess the expected cash flows from the mortgage loans, the fair value of the underlying collateral and other factors, and evaluate whether and when it becomes probable that all amounts contractually due will not be collected.

Borrower payments on our 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 our consolidated Statement of Cash Flows. Amounts applied as principal on the borrower account including amounts contractually due from borrowers that exceed our 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. Generally Accepted Accounting Principles ("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 our cash flow.

Non-PCD Loans — While we generally acquire loans that have experienced deterioration in credit quality, we also acquire loans that have not experienced a deterioration in credit quality and originate SBC loans which are also subject to the provisions of CECL as discussed above.

As of December 31, 2020, we estimate any allowance for credit losses for our non-PCD loans based on historical experience and the risk characteristics of the individual loans. Impaired loans are carried at the present value of expected future cash 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.

If necessary, an allowance for loan losses is established through a provision for loan losses charged to expenses. The allowance is the difference between the expected future cash flows from the loan and the contractual balance due.

Real Estate

Real estate owned Property — We acquire real estate properties directly through purchases, when we foreclose on the borrower and take title to the underlying property, or 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. Property that we expect 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. Rental properties are intended to be held as long-term investments but may eventually be reclassified as held-for-sale. Property that arose through conversions of mortgage loans in our portfolio such as when a mortgage loan is foreclosed upon and we take title to the property or the borrower surrenders the deed in lieu of foreclosure is generally held for investment as rental property if the cash flows from use as a rental exceed the present value of expected cash flows from a sale. We also acquire rental properties through direct purchases of properties for our rental portfolio. Depreciation is provided for using the straight-line method over the estimated useful lives of the assets of 27.5 years. We perform an impairment analysis for rental property using estimated cash flows if events or changes in circumstances indicate that the carrying value may be impaired, such as prolonged vacancy, identification of materially adverse legal or environmental factors, changes in expected ownership period or a decline in market value to an amount less than cost. This analysis is performed at the property level. The cash flows are estimated based on a number of assumptions that are subject to economic and market uncertainties including, among others, demand for rental properties, competition for customers, changes in market rental rates, costs to operate each property and expected ownership periods.

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Renovations are performed by the Servicer, and those costs are then reimbursed to the Servicer. Any renovations on properties which we elect to hold as rental properties are capitalized as part of the property’s basis and depreciated over the remaining estimated useful life of the property. We may perform property renovations to maximize the value of a property for either its rental strategy or for resale.

Investments in Securities at Fair Value

Our Investments in Securities at Fair Value as of March 31, 2021 and December 31, 2020 consist of investments in senior and subordinated notes issued by joint ventures, which we form with third party institutional accredited investors. We recognize 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 our consolidated statements of comprehensive income. We mark our investments to fair value using prices received from our financing counterparties and believe any unrealized losses on our debt securities 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 our consolidated statements of income. Risks inherent in our debt securities portfolio, affecting both the valuation of the securities 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, and damage to or delay in realizing the value of the underlying collateral. We monitor the credit quality of the mortgage loans underlying our debt securities on an ongoing basis, principally by considering loan payment activity or delinquency status. In addition, we assess the expected cash flows from the mortgage loans, the fair value of the underlying collateral and other factors, and evaluate whether and when it becomes probable that all amounts contractually due will not be collected.

Investments in Beneficial Interests

Our Investments in beneficial interests as of March 31, 2021 and December 31, 2020 consist of investments in the trust certificates issued by joint ventures which we form with third party institutional accredited investors. The trust certificates represent the residual interest of any special purpose entity formed to facilitate certain investments. We account for our Investments in beneficial interests under CECL, as discussed under Mortgage Loans. The methodology is similar to that described in “Mortgage Loans” except that we only recognize the ratable share of gain, loss income or expense.

Debt

Secured Borrowings — Through securitization trusts which are VIEs, we issue callable debt secured by our 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 our consolidated balance sheet as we are 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. Our exposure to the obligations of the VIEs is generally limited to our 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 our 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. We assume the debt will be called at the specified call date for purposes of amortizing discount and issuance costs because we believe 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.

Repurchase Facilities — We enter into repurchase financing facilities under which we nominally sell assets to a counterparty and simultaneously enter 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, we are required to repay the borrowing including any accrued interest and concurrently receive back our pledged collateral from the lender. The repurchase financings are treated as collateralized financing transactions; pledged assets are recorded as assets in our consolidated balance sheets, and 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 expense 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 deferred expense when incurred and amortized over the contractual life of the related borrowing.

Fair Value

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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.

•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 value of transfers of mortgage loans to REO is based upon the present value of future expected cash flows of the loans being transferred.

We value our investments in debt securities using estimates provided by our financing counterparties. We also rely on our 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. We also rely on our Manager's proprietary pricing model to estimate the underlying cash flows expected to be collected on our investments in beneficial interests. During the quarter ended September 30, 2020, we transferred our beneficial interests from level 2 to level 3 due to our increased reliance on our Manager’s pricing model for these valuations.

Our investment in the Manager is valued by applying an earnings multiple to base fee revenue.

Our investments 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 our investment in GAFS, including warrants, is determined by applying an earnings multiple to expected earnings.

The fair value of our investment in Gaea is estimated using a projected net operating income for its property portfolio.

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

The fair value of secured borrowings is estimated using estimates provided by our financing counterparties, which are compared for reasonableness to our Manager’s proprietary pricing model which estimates expected cash flows of the underlying mortgage loans collateralizing the debt.

Our put option liability is adjusted to approximate market value through earnings. Fair value is determined by using the discounted cash flows based on the future value of the liability.

Our borrowings under repurchase agreements are short-term in nature, and our 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.

Our convertible senior notes are traded on the NYSE; the debt’s fair value is determined from the NYSE closing price on the balance sheet date.

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

Recent Accounting Pronouncements

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

Results of Operations

For the three months ended March 31, 2021, we had net income attributable to common stockholders of $7.0 million, or $0.30 per share for basic and for diluted common shares. For the three months ended March 31, 2020, we had net income attributable to common stockholders of $0.4 million, or $0.02 per share, for basic and diluted common shares. Key items for the three months ended March 31, 2021 include:

•Purchased $31.6 million RPLs, with UPB of $36.0 million at 57.2% of property value, $0.4 million of NPLs, with UPB of $0.7 million at 50.1% of property value, and $3.6 million SBCs, with UPB of $3.6 million at 36.5% of property value, to end the quarter with $1.1 billion in net mortgage loans

•Interest income of $24.0 million; net interest income of $13.7 million excluding a net $5.5 million acceleration of purchase discount on loans that paid off during the quarter as actual payoffs exceeded modeled expectations

•Net income attributable to common stockholders of $7.0 million

•Basic earnings per common share ("EPS") of $0.30

•Book value per common share of $16.18 at March 31, 2021

•Taxable income of $0.38 per common share

•Collected total cash of $70.2 million, from loan payments, sales of REO and investments in debt securities and beneficial interests

•Completed two securitizations materially reducing our cost of funds, with $175.1 million of AAA, A and BBB rated securities placed at a weighted average coupon of 1.31% in the first transaction and $215.9 million of senior securities placed at a coupon of 2.24% in the second transaction

•Held $137.6 million of cash and cash equivalents at March 31, 2021; average daily cash balance for the quarter was $115.2 million

•At March 31, 2021, approximately 73.1% of portfolio based on UPB made at least 12 out of the last 12 payments

Our consolidated net income attributable to common stockholders increased $6.6 million for the quarter ended March 31, 2021 compared to the quarter ended March 31, 2020. The increase in our earnings compared to the quarter ended March 31, 2020 was primarily driven by an increase in our net interest income offset by preferred stock dividends of $1.9 million and a $1.9 million fair value adjustment of the put option liability which derived from a capital raise that occurred after March 31, 2020. The increase in net interest income was primarily driven by a $5.5 million acceleration of purchase discount on loans that paid off during the quarter as actual payoffs exceeded modeled expectations versus a $4.7 million provision expense in the first quarter of 2020. Under CECL, increases in loan yield expectations, whether caused by timing or loan performance, are reported in earnings in the period in which they arise and are reflected as a reduction in the provision losses even if no provision expense was previously recorded. Our book value increased to $16.18 per common share from $15.59 at December 31, 2020.

We recorded $0.2 million in impairments on our REO held-for-sale portfolio in real estate operating expense for the quarter ended March 31, 2021 compared to $0.9 million for the quarter ended March 31, 2020. Impairments for the quarter were driven primarily by additional costs of holding the properties. We continue to liquidate our REO properties held-for-sale at a faster rate than we acquire properties, with nine properties sold in the first quarter of 2021 while two were added to REO held-for-sale through foreclosures. Limited housing inventory has accelerated our REO liquidation timelines while we are continuing to experience some COVID-19 related delays in foreclosure proceedings. During the quarter ended March 31, 2020 we sold 19 REO properties while adding five through foreclosures.

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Table 1: Results of Operations

	Three months ended March 31,
($ in thousands)	2021		2020
INCOME
Interest income	$	24,035	$	26,888
Interest expense	(10,304)		(13,070)
Net interest income	13,731		13,818
Recovery of/(provision for) losses	5,516		(4,711)
Net interest income after recovery of/(provision for) losses	19,247		9,107
Income/(loss) from investments in affiliates	163		(1,112)
Loss on sale of mortgage loans	—		(705)
Other income	356		747
Total revenue, net	19,766		8,037
EXPENSE
Related party expense – loan servicing fees	1,833		2,014
Related party expense – management fee	2,273		1,799
Loan transaction expense	187		(103)
Professional fees	640		805
Real estate operating expenses	185		912
Fair value adjustment on put option liability	1,944		—
Other expense	1,117		1,025
Total expense	8,179		6,452
Loss on debt extinguishment	911		408
Income before provision for income taxes	10,676		1,177
Provision for income taxes (benefit)	34		(319)
Consolidated net income	10,642		1,496
Less: consolidated net income attributable to the non-controlling interest	1,689		1,096
Consolidated net income attributable to Company	8,953		400
Less: dividends on preferred stock	1,949		—
Consolidated net income attributable to common stockholders	$	7,004	$	400

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. For the three months ended March 31, 2021 and 2020 net interest income after the reversal of the provision for losses increased to $19.2 million from $9.1 million, respectively, primarily as a result of a net $5.5 million acceleration of purchase discount on loans that paid off during the quarter as actual cash flows exceeded modeled expectations for the three months ended March 31, 2021 compared to a provision expense of $4.7 million for the three months ended March 31, 2020. Of the $5.5 million for the three months ended March 31, 2021, $5.5 million relates to our mortgage loan portfolio and $16 thousand to our investments in beneficial interests. Comparatively during the three months ended March 31, 2020, of the $4.7 million, $1.9 million relates to our mortgage loan portfolio and $2.8 million to our investments in beneficial interests. To date, the COVID-19 impact on cash flow extensions has not been as material as we initially expected.

Our gross interest income decreased by $2.9 million to $24.0 million in the quarter ended March 31, 2021 from $26.9 million in the quarter ended March 31, 2020 primarily due to a decrease in the average balance of our mortgage loan portfolio as paydowns and payoffs exceeded loan purchases, and by decreases in the average yield on our loan portfolio based on our cash flows as of the beginning of the quarter. This was offset by a decrease in interest expense of $2.8 million to $10.3 million in the quarter ended March 31, 2021 from $13.1 million in the quarter ended March 31, 2020 primarily due to decreases in the average interest rates applicable to our mortgage and bond repurchase agreements. Additionally, we have been able to refinance our secured borrowings at significantly lower rates in recent quarters. We expect our cost of funds to continue to decrease in the current interest rate and credit environment.

57

During the first quarter of 2021, we collected $70.2 million in cash payments and proceeds on our mortgage loans, securities and REO held-for-sale compared to $62.4 million for the first quarter of 2020. The increase in cash collections in 2021 is due to a higher volume of payoffs as borrowers continued to refinance or sell the underlying property.

The interest income detail for the three months ended March 31, 2021 and 2020 are included in the table below ($ in thousands):

Table 2: Interest income detail

	Three months ended March 31,
	2021		2020(1,2)
Accretable yield recognized on RPL, NPL and SBC loans	$	18,181	$	21,892
Interest income on beneficial interests	3,461		2,672
Interest income on debt securities	2,476		2,165
Bank interest income	66		121
Other interest (loss)/income	(149)		38
Interest income	$	24,035	$	26,888
Recovery of/(provision for) losses	5,516		(4,711)
Interest income after recovery of/(provision for) losses	$	29,551	$	22,177

(1)Includes reclass of loan and beneficial interest credit losses from recovery of/(provision for) losses to accretable yield recognized on RPL, NPL and SBC loans and interest income on beneficial interests, respectively.

(2)Previously presented combination of interest income on securities and interest income on beneficial interests has been bifurcated to show each separately.

The average balance of our mortgage loan portfolio, debt securities, beneficial interests and debt outstanding for the three months ended March 31, 2021 and 2020 are included in the table below ($ in thousands):

Table 3: Average Balances

	Three months ended March 31,
	2021		2020(1)
Average mortgage loan portfolio	$	1,103,180	$	1,135,336
Average carrying value of debt securities	$	269,267	$	238,030
Average carrying value of beneficial interests	$	92,585	$	60,274
Total average asset level debt	$	1,088,936	$	1,067,983

(1)Previously presented combination of average carrying value of debt securities and beneficial interests has been bifurcated to show to average carrying value of debt securities and average carrying value of beneficial interests separately.

Loss on sale of mortgage loans

We sold no mortgage loans during the three months ended March 31, 2021. Comparatively, during the three months ended March 31, 2020 we sold 26 mortgage loans with an aggregate carrying value of $26.1 million and UPB of $26.2 million for a loss of $0.7 million.

Other Income

Other income decreased for the three months ended March 31, 2021 over the comparable period in 2020 due to lower gain on sale for property held-for-sale and lower income from the federal government's Home Affordable Modification Program ("HAMP") as more loans reached the five-year threshold and no additional fees are earned. A breakdown of Other income is provided in the table below ($ in thousands):

58

Table 4: Other Income

	Three months ended March 31,
	2021		2020
Late fee income	$	190	$	185
Net gain on sale of Property held-for-sale	105		413
HAMP fees	48		138
Rental Income	13		11
Total other income	$	356	$	747

Expenses

Total expenses increased for the three months ended March 31, 2021 over the comparable period in 2020 as a result of our put option amortization expense and an increase in management fees driven by an increase in our capital base as a result of our private placements of preferred stock and warrants completed during the second quarter of 2020. This was partially offset by lower real estate operating expense due to lower REO impairments. A breakdown of expenses is provided in the table below ($ in thousands):

Table 5: Expenses

	Three months ended March 31,
	2021		2020
Related party expense – management fee	$	2,273	$	1,799
Fair value adjustment on put option liability	1,944		—
Related party expense – loan servicing fees	1,833		2,014
Other expense	1,117		1,025
Professional fees	640		805
Loan transaction expense	187		(103)
Real estate operating expenses	185		912
Total expenses	$	8,179	$	6,452

Other expense increased for the three months ended March 31, 2021 over the comparable period in 2020 primarily due to directors' fees and grants associated with an additional board position, as well as higher insurance expense, offset by lower travel expense. A breakdown of other expense is provided in the table below ($ in thousands):

Table 6: Other Expense

	Three months ended March 31,
	2021		2020(1)
Insurance	$	229	$	184
Employee and service provider share grants	207		174
Borrowing related expenses	187		170
Directors' fees and grants	169		109
Other expense	101		64
Software licenses and amortization	85		70
Taxes and regulatory expense	61		46
Internal audit services	38		37
Travel, meals, entertainment	31		138
Lien release non due diligence	9		33
Total other expense	$	1,117	$	1,025

(1)Includes reclass of other expense to lien release non due diligence.

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Equity and Net Book Value per Share

Our net book value per common share was $16.18 and $15.59 at March 31, 2021 and December 31, 2020, respectively. The increase in book value was primarily driven by our buyout of our joint venture partner's interest in 2018-C, the removal of our convertible senior notes from the calculation due to their antidilutive effect on our earnings per share calculation and a recovery in common equity that resulted from net fair value adjustments of $1.3 million taken on our portfolio of debt securities recorded to Other comprehensive income since December 31, 2020. While U.S. GAAP does not specifically define the parameters for calculating book value, we believe our calculation is representative of our book value on a per share basis, and our Manager believes book value per share is a valuable metric for evaluating our business. The net book value per share is calculated by dividing equity, after adjusting for the anticipated conversion of the senior convertible notes into shares of common stock, the subtraction of non-controlling interests and preferred shares classified in equity, and shares for Manager and director fees that were approved but still unissued as of the date indicated, unvested employee and service provider stock grants and the common shares from assumed conversion of our senior convertible notes. A breakdown of our book value per share is set forth in the table below ($ in thousands except per share amounts):

Table 7: Book Value per Common Share

	March 31, 2021		December 31, 2020
Outstanding shares	22,988,847		22,978,339
Adjustments for:
Unvested grants of restricted stock, and Manager and director shares earned but not issued as of the date indicated	3,945		4,280
Conversion of convertible senior notes into shares of common stock(1)	—		7,834,299
Settlement of put option in shares(2)	—		—
Total adjusted shares outstanding	22,992,792		30,816,918
Equity at period end	$	509,535	$	514,491
Net increase in equity from expected conversion of convertible senior notes(1)	—		110,250
Adjustment for equity due to preferred shares	(115,144)		(115,144)
Net adjustment for equity due to non-controlling interests	(22,429)		(29,130)
Adjusted equity	$	371,962	$	480,467
Book value per share	$	16.18	$	15.59

(1)The conversion of convertible senior notes was removed as of March 31, 2021 due to it having an anti-dilutive effect on our earnings per share calculation.

(2)The effect of the put option share settlement was removed as of March 31, 2021and December 31, 2020 due to it having an anti-dilutive effect on our earnings per share calculation.

Table 8: Fair Value Balance Sheet

The table below presents a summarized version of our U.S. GAAP balance sheets as compared to a summarized balance sheet presented at our estimates of fair values. While U.S. GAAP does not specifically define the parameters for the presentation of a fair value balance sheet, we believe the presentation is representative of our fair value, and our Manager believes this presentation is a valuable metric for evaluating our business below ($ in thousands):

60

	March 31, 2021						December 31, 2020
	GAAP		Adjustments for fair value		Fair Value		GAAP		Adjustments for fair value		Fair Value
ASSETS
Cash and Cash held in trust	$	137,765	$	—	$	137,765	$	107,335	$	—	$	107,335
Mortgage loans held-for-investment, net	991,811		96,919		1,088,730		1,119,372		112,709		1,232,081
Mortgage loans held-for-sale, net (1)	131,719		10,061		141,780		—		—		—
Investments in debt securities and beneficial interests	359,575		—		359,575		365,252		—		365,252
Investments in affiliates, real property and other assets	66,103		10,822		76,925		61,773		10,682		72,455
Total Assets	$	1,686,973	$	117,802	$	1,804,775	$	1,653,732	$	123,391	$	1,777,123
LIABILITIES AND EQUITY
Liabilities:
Secured borrowings, net	$	740,035	$	3,727	$	743,762	$	585,403	$	1,016	$	586,419
Borrowings under repurchase agreements	305,093		—		305,093		421,132		—		421,132
Convertible senior notes, net	107,971		3,411		111,382		110,057		618		110,675
Put option liability	16,149		—		16,149		14,205		—		14,205
Other liabilities	8,190		—		8,190		8,444		—		8,444
Total Liabilities	1,177,438		7,138		1,184,576		1,139,241		1,634		1,140,875
Equity:
Total Equity	509,535		110,664		620,199		514,491		121,757		636,248
Total Liabilities and Equity	$	1,686,973	$	117,802	$	1,804,775	$	1,653,732	$	123,391	$	1,777,123

(1)Our mortgage loans held for sale are held in a consolidated joint venture which is 50% owned by an accredited institutional investor. The effect of any eventual sale on consolidated net income available to common stockholders would be substantially less than the indicated fair value adjustment on the loans.

The adjustments for fair value for our mortgage loans are determined using our 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 values of our investments in affiliates are determined using methodologies appropriate to each affiliate. Our investment in the Manager is valued by applying an earnings multiple to base fee revenue. Our investment 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 our investment in GAFS, including warrants, is determined by applying an earnings multiple to expected earnings. Our investment in Gaea is estimated using a projected net operating income for its property portfolio. Our investment in the loan pool LLCs are presented by using estimates of underlying assets and liabilities from our Manager's pricing model.

The fair value of secured borrowings is estimated using estimates provided by our 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 fair value of our convertible senior notes is determined from the NYSE closing price of such notes on the balance sheet date.

Mortgage Loan Portfolio

For the three months ended March 31, 2021, we purchased $31.6 million RPLs with UPB of $36.0 million at 57.2% of property value, $0.4 million NPLs with UPB of $0.7 million at 50.1% of property value, and $3.6 million SBC loans with UPB of $3.6 million at 36.5% of property value. Comparatively, for the three months ended March 31, 2020, we purchased $1.2

61

million RPLs with UPB of $2.0 million at 38.6% of property value, $0.2 million NPLs with UPB of $0.2 million at 62.9% of property value, and no SBC loans. We ended the period with $1.1 billion of net mortgage loans with an aggregate UPB of $1.2 billion as of March 31, 2021 and $1.1 billion of net mortgage loans with an aggregate UPB of $1.2 billion as of March 31, 2020.

The following table shows loan portfolio acquisitions for the three months ended March 31, 2021, and 2020 ($ in thousands):

Table 9: Loan Portfolio Acquisitions

	Three months ended March 31,
	2021			2020
RPLs
Count	199			26
UPB	$	36,031		$	1,952
Purchase price	$	31,587		$	1,205
Purchase price % of UPB	87.7		%	61.7		%
NPLs
Count	3			1
UPB	$	665		$	227
Purchase price	$	447		$	185
Purchase price % of UPB	67.2		%	81.5		%
SBC loans
Count	1			—
UPB	$	3,611		$	—
Purchase price	$	3,603		$	—
Purchase price % of UPB	99.8		%	—		%

During the three months ended March 31, 2021, 162 mortgage loans, representing 3.2% of our ending UPB, were liquidated. Comparatively, during the three months ended March 31, 2020, 151 mortgage loans, representing 4.5% of our ending UPB, were liquidated. Our loan portfolio activity for the three months ended March 31, 2021 and 2020 is presented below ($ in thousands):

Table 10: Loan Portfolio Activity

	Three months ended March 31,
	2021				2020
	Mortgage loans held-for-investment, net		Mortgage loans held-for-sale, net		Mortgage loans held-for-investment, net		Mortgage loans held-for-sale, net
Beginning carrying value	$	1,119,372	$	—	$	1,151,469	$	—
RPL, NPL and SBC portfolio acquisitions, net cost basis	35,637		—		1,391		—
Draws on SBC loans	85		—		—		—
Accretion recognized	18,521		—		21,745		—
Payments received on loans, net	(56,221)		—		(46,960)		—
Reclassifications to mortgage loans held-for-sale, net	(131,719)		131,719		—		—
Reclassifications to REO	(228)		—		(814)		—
Sale of mortgage loans	—		—		(26,111)		—
Provision for credit benefit/(losses) on mortgage loans	5,500		—		(1,893)		—
Mortgage loans credit loss expense	(454)		—		(229)		—
Other	1,318		—		31		—
Ending carrying value	$	991,811	$	131,719	$	1,098,629	$	—

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Table 11: Portfolio Composition

As of March 31, 2021 and December 31, 2020, our portfolios consisted of the following ($ in thousands):

March 31, 2021(1)				December 31, 2020(1,2)
No. of Loans	6,075			No. of Loans	6,031
Total UPB(3)	$	1,201,108		Total UPB(3)	$	1,204,804
Interest-Bearing Balance	$	1,123,219		Interest-Bearing Balance	$	1,127,499
Deferred Balance(4)	$	77,889		Deferred Balance(4)	$	77,305
Market Value of Collateral(5)	$	2,014,513		Market Value of Collateral(5)	$	1,967,419
Original Purchase Price/Total UPB	79.6		%	Original Purchase Price/Total UPB	82.2		%
Original Purchase Price/Market Value of Collateral	50.9		%	Original Purchase Price/Market Value of Collateral	53.7		%
Weighted Average Coupon	4.41		%	Weighted Average Coupon	4.44		%
Weighted Average LTV(6)	70.9		%	Weighted Average LTV(6)	72.8		%
Weighted Average Remaining Term (months)	294			Weighted Average Remaining Term (months)	297
No. of first liens	6,011			No. of first liens	5,973
No. of second liens	64			No. of second liens	58
No. of Rental Properties	5			No. of Rental Properties	6
Capital Invested in Rental Properties	$	408		Capital Invested in Rental Properties	$	710
RPLs	94.4		%	RPLs	94.4		%
NPLs	3.4		%	NPLs	3.5		%
SBC loans	2.2		%	SBC loans	2.1		%
No. of REO properties held-for-sale	26			No. of REO properties held-for-sale	32
Market Value of Other REO(7)	$	7,706		Market Value of Other REO(7)	$	8,105
Carrying value of debt securities and beneficial interests in trusts	$	363,424		Carrying value of debt securities and beneficial interests in trusts	$	369,330
Loans with 12 for 12 payments as an approximate percentage of UPB (8)	73.1		%	Loans with 12 for 12 payments as an approximate percentage of UPB (8)	71.9		%
Loans with 24 for 24 payments as an approximate percentage of UPB (9)	66.9		%	Loans with 24 for 24 payments as an approximate percentage of UPB (9)	65.1		%

(1)Includes the impact of 1,003 mortgage loans with a purchase price of $177.3 million, UPB of $194.3 million and collateral value of $295.3 million acquired in the fourth quarter of 2017 through a 50% owned joint venture which we consolidate.

(2)Includes the impact of 256 mortgage loans with a purchase price of $47.4 million, UPB of $52.8 million and collateral value of $68.1 million acquired in the third quarter of 2018 through a 63% owned joint venture which we consolidated as of December 31, 2020.

(3)At March 31, 2021 and December 31, 2020, our loan portfolio consists of fixed rate (54.4% of UPB), ARM (9.0% of UPB) and Hybrid ARM (36.6% of UPB); and fixed rate (53.5% of UPB), ARM (8.9% of UPB) and Hybrid ARM (37.6% of UPB), respectively.

(4)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.

(5)As of date of acquisition.

(6)UPB as of March 31, 2021 and December 31, 2020, divided by market value of collateral and weighted by the UPB of the loan.

(7)Market value of REO is based on net realizable value. Fair market value is determined based on appraisals, BPOs, or other market indicators of fair value including list price or contract price.

(8)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.

(9)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.

Table 12: Portfolio Characteristics

The following tables present certain characteristics about our mortgage loans by year of origination as of March 31, 2021 and December 31, 2020, respectively ($ in thousands):

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Portfolio at March 31, 2021

	Years of Origination
Mortgage loans held-for-investment, net	After 2008			2006 – 2008			2005 and prior
Number of loans	615			2,997			1,683
Unpaid principal balance	$	153,703		$	672,720		$	237,723
Mortgage loan portfolio by year of origination	14.4		%	63.2		%	22.4		%
Loan Attributes:
Weighted average loan age (months)	90.9			169.8			209.2
Weighted Average loan-to-value	67.2		%	75.3		%	61.4		%
Delinquency Performance:
Current	58.8		%	56.1		%	55.5		%
30 days delinquent	7.4		%	9.1		%	9.4		%
60 days delinquent	3.4		%	5.7		%	6.9		%
90+ days delinquent	26.5		%	23.5		%	24.0		%
Foreclosure	3.9		%	5.6		%	4.2		%

	Years of Origination
Mortgage loans held-for-sale, net	After 2008			2006 – 2008			2005 and prior
Number of loans	39			472			269
Unpaid principal balance	$	7,437		$	97,567		$	31,958
Mortgage loan portfolio by year of origination	5.4		%	71.2		%	23.4		%
Loan Attributes:
Weighted average loan age (months)	127.5			169.5			206.6
Weighted Average loan-to-value	63.7		%	74.4		%	57.4		%
Delinquency Performance:
Current	53.8		%	46.4		%	54.5		%
30 days delinquent	3.3		%	16.0		%	15.2		%
60 days delinquent	5.7		%	7.4		%	6.6		%
90+ days delinquent	37.2		%	28.2		%	23.1		%
Foreclosure	—		%	2.0		%	0.6		%

Portfolio at December 31, 2020

	Years of Origination
Mortgage loans held-for-investment, net	After 2008			2006 – 2008			2005 and prior
Number of loans	639			3,471			1,921
Unpaid principal balance	$	156,250		$	780,956		$	267,598
Mortgage loan portfolio by year of origination	13.0		%	64.8		%	22.2		%
Loan Attributes:
Weighted average loan age (months)	91.0			166.7			205.8
Weighted Average loan-to-value	69.4		%	77.0		%	62.6		%
Delinquency Performance:
Current	53.0		%	51.9		%	53.3		%
30 days delinquent	13.6		%	11.4		%	10.9		%
60 days delinquent	3.8		%	6.7		%	6.8		%
90+ days delinquent	25.3		%	25.1		%	25.4		%
Foreclosure	4.3		%	4.9		%	3.6		%

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Table 13: Loans by State

The following table identifies our mortgage loans by state, number of loans, loan value, collateral value and percentages thereof at March 31, 2021 and December 31, 2020 ($ in thousands):

March 31, 2021										December 31, 2020
State	Count	UPB		% UPB		Collateral Value(1)		% of Collateral Value		State	Count	UPB		% UPB		Collateral Value(1)		% of Collateral Value
CA	914	$	313,452	26.1	%	$	577,048	28.6	%	CA	947	$	329,725	27.4	%	$	589,225	30.0	%
FL	647	107,170		8.9	%	178,338		8.9	%	FL	655	108,293		9.0	%	174,849		8.9	%
TX	417	42,780		3.6	%	86,040		4.3	%	TX	410	42,432		3.5	%	81,810		4.2	%
GA	354	46,093		3.8	%	75,281		3.8	%	GA	352	45,817		3.8	%	71,586		3.7	%
NY	353	108,907		9.1	%	186,947		9.3	%	NY	329	103,475		8.6	%	177,524		9.0	%
NJ	317	73,272		6.1	%	102,599		5.1	%	NJ	287	65,764		5.5	%	89,389		4.5	%
MD	249	60,790		5.1	%	81,391		4.0	%	MD	248	60,082		5.0	%	77,693		4.0	%
NC	244	36,251		3.0	%	63,018		3.1	%	NC	240	33,146		2.8	%	52,217		2.7	%
IL	231	42,153		3.6	%	55,526		2.8	%	IL	227	41,410		3.5	%	54,379		2.8	%
VA	208	43,965		3.7	%	65,684		3.3	%	VA	205	43,563		3.6	%	63,132		3.2	%
PA	192	22,186		1.8	%	33,125		1.6	%	PA	185	21,294		1.8	%	31,248		1.6	%
MA	177	35,602		3.0	%	63,344		3.1	%	MA	177	35,454		2.9	%	61,220		3.1	%
AZ	142	27,020		2.2	%	44,976		2.2	%	AZ	150	29,765		2.5	%	47,835		2.4	%
SC	131	13,928		1.2	%	22,251		1.1	%	SC	129	14,206		1.2	%	22,213		1.1	%
TN	116	11,819		1.0	%	21,502		1.1	%	TN	115	12,721		1.1	%	22,690		1.2	%
OH	112	12,843		1.1	%	18,149		0.9	%	OH	110	12,929		1.1	%	17,843		0.9	%
WA	100	23,069		1.9	%	43,969		2.2	%	WA	104	23,874		2.0	%	43,784		2.2	%
IN	97	9,007		0.7	%	14,960		0.7	%	IN	98	9,180		0.8	%	14,476		0.7	%
NV	94	17,817		1.5	%	29,982		1.5	%	NV	97	18,614		1.5	%	30,344		1.5	%
MI	94	12,649		1.1	%	19,743		1.0	%	MI	97	13,103		1.1	%	19,832		1.0	%
CT	78	14,003		1.2	%	19,054		0.9	%	CT	77	13,529		1.1	%	18,115		0.9	%
LA	78	7,739		0.6	%	12,404		0.6	%	LA	76	7,631		0.6	%	11,910		0.6	%
MO	75	8,443		0.7	%	11,868		0.6	%	MO	75	9,383		0.8	%	12,545		0.6	%
OR	69	24,054		2.0	%	46,662		2.3	%	OR	70	24,303		2.0	%	46,279		2.4	%
CO	52	10,157		0.8	%	22,472		1.1	%	CO	54	10,450		0.9	%	22,665		1.2	%
MN	48	8,308		0.7	%	12,824		0.6	%	MN	49	9,121		0.8	%	13,242		0.7	%
AL	47	3,870		0.3	%	5,387		0.3	%	UT	44	6,895		0.6	%	14,932		0.8	%
UT	44	6,844		0.6	%	15,591		0.8	%	AL	44	3,670		0.3	%	4,891		0.2	%
WI	42	5,510		0.5	%	7,679		0.4	%	WI	37	4,696		0.4	%	6,385		0.3	%
KY	36	4,129		0.3	%	6,173		0.3	%	KY	36	4,158		0.3	%	6,032		0.3	%
DE	34	6,184		0.5	%	7,812		0.4	%	DE	34	6,509		0.5	%	7,999		0.4	%
NM	30	4,443		0.4	%	6,412		0.3	%	NM	30	4,450		0.4	%	6,207		0.3	%
OK	27	2,401		0.2	%	3,748		0.2	%	OK	27	2,511		0.2	%	3,827		0.2	%
MS	27	2,144		0.2	%	3,267		0.2	%	MS	26	2,149		0.2	%	3,168		0.2	%
AR	21	1,547		0.1	%	2,206		0.1	%	AR	20	1,447		0.1	%	2,016		0.1	%
KS	19	1,414		0.1	%	3,054		0.2	%	KS	19	1,379		0.1	%	2,897		0.1	%
DC	18	5,434		0.5	%	8,499		0.4	%	NH	18	3,223		0.3	%	5,087		0.3	%
NH	18	3,207		0.3	%	5,272		0.3	%	IA	18	1,736		0.1	%	2,267		0.1	%
WV	18	1,336		0.1	%	1,948		0.1	%	DC	17	5,131		0.4	%	8,138		0.4	%
RI	17	3,589		0.3	%	5,369		0.3	%	WV	17	1,258		0.1	%	1,830		0.1	%
IA	17	1,563		0.1	%	2,196		0.1	%	HI	16	6,456		0.5	%	9,305		0.5	%
HI	16	6,432		0.5	%	9,494		0.5	%	RI	14	3,084		0.3	%	4,481		0.2	%
ID	15	1,824		0.2	%	3,848		0.2	%	ID	12	1,496		0.1	%	2,971		0.2	%
ME	10	1,362		0.1	%	1,873		0.1	%	ME	10	1,372		0.1	%	1,801		0.1	%
MT	6	1,018		0.1	%	1,610		0.1	%	MT	6	803		0.1	%	1,336		0.1	%
PR	5	596		—	%	544		—	%	PR	5	518		—	%	592		—	%
NE	4	564		—	%	657		—	%	SD	4	537		—	%	872		—	%
SD	4	535		—	%	881		—	%	NE	4	528		—	%	603		—	%
VT	3	613		0.1	%	586		—	%	WY	3	438		—	%	356		—	%
WY	3	435		—	%	381		—	%	ND	3	395		—	%	472		—	%

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ND	3	394		—	%	473		—	%	VT	2	452		—	%	518		—	%
AK	2	243		—	%	396		—	%	AK	2	249		—	%	391		—	%
	6,075	$	1,201,108	100.0	%	$	2,014,513	100.0	%		6,031	$	1,204,804	100.0	%	$	1,967,419	100.0	%

(1)As of date of acquisition.

Table 14: Debt Securities and Beneficial Interest Acquisitions

	Three months ended March 31,
	2021			2020
Class A securities
UPB	$	—		$	49,876
Purchase price	$	—		$	49,602
Purchase price % of UPB	—		%	99.5		%
Class B securities
UPB	$	—		$	4,656
Purchase price	$	—		$	4,623
Purchase price % of UPB	—		%	99.3		%
Beneficial interests
Purchase price	$	—		$	7,082

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. As the local and global economies have weakened as a result of the COVID-19 pandemic, ensuring adequate liquidity is critical. 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 the COVID-19 pandemic to 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 the potential for HPA decline. 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 reflected on our consolidated balance sheet.

As of March 31, 2021 and December 31, 2020, substantially all of our invested capital was in RPLs, NPLs, SBC loans, property held-for-sale, debt securities, beneficial interests and rental properties. We also held approximately $137.6 million of cash and cash equivalents, an increase of $30.5 million from our balance of $107.1 million at December 31, 2020. Our average daily cash balance during the quarter was $115.2 million, a decrease of $13.5 million from our average daily cash balance of $128.7 million during the three months ended December 31, 2020.

Our collections of principal and interest payments on mortgages and securities, payoffs and proceeds and on the sale of our property held-for-sale were $70.2 million and $62.4 million for the three months ended March 31, 2021 and 2020, respectively.

Our operating cash outflows, including the effect of restricted cash, for the three months ended March 31, 2021 and 2020 were $9.4 million and $30.4 million, respectively. Our primary operating cash inflow is cash interest payments on our mortgage loan pools of $12.6 million and $12.3 million for the three months ended March 31, 2021 and 2020, respectively. Non-cash interest income accretion was $5.9 million and $9.5 million for the three months ended March 31, 2021 and 2020, respectively. Interest income on beneficial interests was $3.6 million and $2.7 million during the three months ended March 31, 2021 and 2020, respectively. Interest income on debt securities was $2.5 million and $2.3 million during the three months ended March 31, 2021 and 2020, respectively. No mortgage loans were sold during the three months ended March 31, 2021.

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During the three months ended March 31, 2020 we recognized a loss of $0.7 million from the sale of 26 mortgage loans to Gaea, an affiliated entity.

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. We expect that the impact of the COVID-19 outbreak will 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 three months ended March 31, 2021, our investing cash inflows of $22.9 million were driven primarily by the proceeds from principal payments on and payoffs of our mortgage loan portfolio of $43.6 million and principal payments on and payoffs of our debt securities and beneficial interests of $12.9 million, offset by acquisitions of mortgage loans of $35.6 million. For the three months ended March 31, 2020 our investing cash inflow of $11.0 million was primarily driven by the sale of mortgage loans to Gaea in the amount of $25.4 million and principal payments on and payoffs of our mortgage loan portfolio of $34.6 million, principal payments on and payoffs on debt securities and beneficial interests held as investments of $10.2 million, offset by purchases of debt securities and beneficial interests of $61.3 million and acquisitions of mortgage loans of $1.4 million.

Our financing cash flows are driven primarily by funding used to acquire mortgage loan pools. We fund our mortgage loan pool acquisitions primarily through secured borrowings, repurchase agreements and the proceeds from our convertible debt and equity offerings. For the three months ended March 31, 2021, we had net financing cash inflows of $16.9 million primarily driven by additional borrowing through secured debt of $391.0 million and repurchase transactions of $89.7 million, offset by pay downs of existing debt obligations of $225.2 million on secured debt and repayments of $205.7 million on repurchase transaction. Also, we purchased the remaining 37% ownership of the Class B notes and trust certificates of 2018-C for a total of $17.2 million. For the three months ended March 31, 2020, we had net cash outflows from financing activities of $13.8 million from our pay down of existing debt obligations, primarily driven by repayments of $55.4 million on repurchase transactions, $22.6 million on secured debt and the repurchase of our senior convertible notes for a net cash impact of $8.2 million, partially offset by additional borrowing through repurchase transactions of $72.4 million. For the three months ended March 31, 2021 and 2020 we paid $5.9 million and $0.1 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 will depend 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 March 31, 2021 we held 107,243 shares of treasury stock consisting of 58,779 shares received through distributions of our shares previously held by our Manager and 48,464 shares acquired through open market purchases in the fourth quarter of 2020 under our approved stock repurchase plan. As of March 31, 2020 we held 37,278 shares of treasury stock received through distributions of our shares previously held by our Manager.

During 2020, we issued an aggregate of $130.0 million of preferred stock and warrants to institutional accredited investors in a series of private placements. We 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, each at a purchase price per share of $25.00 and two series of five-year warrants to purchase an aggregate of 6,500,000 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 to us at a specified put price on or after July 6, 2023. Under U.S. GAAP, we are required to allocate the proceeds between the Preferred stock and warrants. The allocation of the proceeds, net of all offering costs, resulted in the Preferred series A shares receiving an allocation of $51.1 million, the Preferred series B shares receiving an allocation of $64.0 million and the warrants an allocation of $9.5 million. We mark the obligation for the warrants and future put liability to market though earnings. We expect to use the net proceeds from the private placement to acquire mortgage loans and mortgage-related assets consistent with our investment strategy.

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During the three months ended March 31, 2021 and March 31, 2020, we did not sell any shares of common stock under our At the Market program which we established in October 2016, to sell, through our agents, shares of common stock with an aggregate offering price of up to $50.0 million. 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 NYSE or otherwise at market prices prevailing at the time of the sale.

Financing Activities — Secured Borrowings and Convertible Senior Notes

From inception (January 30, 2014) to March 31, 2021, 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, six of which were outstanding at March 31, 2021. 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 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. With the exception of our Ajax Mortgage Loan Trusts 2017-D ("2017-D") secured borrowings, from which we sold a 50% interest in the Class A notes we have retained the subordinate notes and the applicable trust certificates from the one other remaining non-rated secured borrowing outstanding at March 31, 2021.

Our 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. 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 March 31, 2021. Our rated secured borrowings are designated in the table below.

Our 2017-D secured borrowing contains 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 have retained 50% of both the Class A notes and Class B certificates from 2017-D.

Our 2018-C secured borrowing was structured with Class A notes, Class B notes and trust certificates representing the residual interest in the mortgages held within the securitization trusts subsequent to repayment of the Class A debt. We had retained 5% of the Class A notes and 63% of the Class B notes and trust certificates. During the first quarter of 2021 we acquired the remaining 37% ownership of the Class B notes and trust certificates and settled the remaining 95% of the outstanding Class A notes.

For our secured borrowing for 2017-D, if the Class A notes have not been redeemed by the payment date or otherwise paid in full 36 months after issue, an interest rate step-up of 300 basis points is triggered. Twelve months after the 300 basis point step up is triggered, an additional 100 basis point step up will be triggered, and an amount equal to the aggregate interest payment amount that accrued and would otherwise be paid to the subordinate notes will be paid as principal to the Class A notes on that date and each subsequent payment date until the Class A notes are paid in full. After the Class A notes are paid in full, the subordinate notes will resume receiving their respective interest payment amounts and any interest that accrued but was not paid while the Class A notes were outstanding. As the holder of the trust certificates, we are entitled to receive any remaining amounts in the trusts after the Class A notes and subordinate notes have been paid in full.

The following table sets forth the original terms of all outstanding notes from our secured borrowings outstanding at March 31, 2021 at their respective cutoff dates:

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Table 15: Secured Borrowings

Issuing Trust/Issue Date	Interest Rate Step-up Date	Security	Original Principal	Interest Rate
Non-rated
Ajax Mortgage Loan Trust 2017-D/ December 2017	April 25, 2021	Class A notes due 2057(1)	$177.8 million	3.75	%
	None	Class B certificates(1)	$44.5 million	—	%
		Deferred issuance costs	$(1.1) million	—	%
Rated
Ajax Mortgage Loan Trust 2019-D/ July 2019	July 25, 2027	Class A-1 notes due 2065	$140.4 million	2.96	%
	July 25, 2027	Class A-2 notes due 2065	$6.1 million	3.50	%
	July 25, 2027	Class A-3 notes due 2065	$10.1 million	3.50	%
	July 25, 2027	Class M-1 notes due 2065(2)	$9.3 million	3.50	%
	None	Class B-1 notes due 2065(3)	$7.5 million	3.50	%
	None	Class B-2 notes due 2065(3)	$7.1 million	variable(4)
	None	Class B-3 notes due 2065(3)	$12.8 million	variable(4)
		Deferred issuance costs	$(2.7) million	—	%
Rated
Ajax Mortgage Loan Trust 2019-F/ November 2019	November 25, 2026	Class A-1 notes due 2059	$110.1 million	2.86	%
	November 25, 2026	Class A-2 notes due 2059	$12.5 million	3.50	%
	November 25, 2026	Class A-3 notes due 2059	$5.1 million	3.50	%
	November 25, 2026	Class M-1 notes due 2059(2)	$6.1 million	3.50	%
	None	Class B-1 notes due 2059(3)	$11.5 million	3.50	%
	None	Class B-2 notes due 2059(3)	$10.4 million	variable(4)
	None	Class B-3 notes due 2059(3)	$15.1 million	variable(4)
		Deferred issuance costs	$(1.8) million	—	%
Rated
Ajax Mortgage Loan Trust 2020-B/ August 2020	July 25, 2027	Class A-1 notes due 2059	$97.2 million	1.70	%
	July 25, 2027	Class A-2 notes due 2059	$17.3 million	2.86	%
	July 25, 2027	Class M-1 notes due 2059(2)	$7.3 million	3.70	%
	None	Class B-1 notes due 2059(3)	$5.9 million	3.70	%
	None	Class B-2 notes due 2059(3)	$5.1 million	variable(4)
	None	Class B-3 notes due 2059(3)	$23.6 million	variable(4)
		Deferred issuance costs	$(1.8) million	—	%
Rated
Ajax Mortgage Loan Trust 2021-A/ January 2021	January 25, 2029	Class A-1 notes due 2065	$146.2 million	1.07	%
	January 25, 2029	Class A-2 notes due 2065	$21.1 million	2.35	%
	January 25, 2029	Class M-1 notes due 2065(2)	$7.8 million	3.15	%
	None	Class B-1 notes due 2065(3)	$5.0 million	3.80	%
	None	Class B-2 notes due 2065(3)	$5.0 million	variable(4)

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Issuing Trust/Issue Date	Interest Rate Step-up Date	Security	Original Principal	Interest Rate
	None	Class B-3 notes due 2065(3)	$21.5 million	variable(4)
		Deferred issuance costs	$(2.5) million	—	%
Non-rated
Ajax Mortgage Loan Trust 2021-B/ February 2021	August 25, 2024	Class A notes due 2066	$215.9 million	2.24	%
	February 25, 2025	Class B notes due 2066(3)	$20.2 million	4.00	%
		Deferred issuance costs	$(4.3) million	—	%

(1)Ajax Mortgage Loan Trust ("AJAXM") 2017-D is a joint venture in which a third party owns 50% of the Class A notes and 50% of the Class B certificates. We are required to consolidate 2017-D and are reflecting 100% of the mortgage loans, in Mortgage loans, net. 50% of the Class A notes, which are held by the third party, are included in Secured borrowings, net. The 50% portion of the Class A notes retained by us have been encumbered under a repurchase agreement. 50% of the Class B certificates are recognized as Non-controlling interest.

(2)The Class M notes are subordinated, sequential pay, fixed rate notes. The Company has retained the Class M notes, with the exception of AJAXM 2021-A.

(3)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. The Company has retained the Class B notes.

(4)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.

Convertible Senior Notes

On April 25, 2017, we completed the public offer and sale of $87.5 million in aggregate principal amount of our convertible senior notes (the “notes”) due 2024, with follow-on offerings of an additional $20.5 million and $15.9 million, respectively, in aggregate principal amount completed on August 18, 2017 and November 19, 2018, respectively, which, combined with the notes from our April offering form a single series of fungible securities. The 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 notes will mature on April 30, 2024, unless earlier repurchased, converted or redeemed. During certain periods and subject to certain conditions the notes will be convertible by their holders into shares of our common stock at a conversion rate of 1.7279 shares of common stock per $25.00 principal amount of the notes, which represents a conversion price of approximately $14.47 per share of common stock. The conversion rate, and thus the conversion price, may be subject to adjustment under certain circumstances.

During the first quarter of 2021, we completed a convertible note repurchase with a principal amount of $2.5 million for a purchase price of $2.4 million. The carrying amount of the equity component representing the embedded conversion feature reversed from Additional paid-in capital due to the first quarter of 2021 transaction was zero. During the first and third quarter of 2020, we completed a series of convertible note repurchases for aggregate principal amounts of $8.0 million and $2.5 million, respectively, for total purchase prices of $8.2 million and $2.3 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 third quarter of 2020 transactions were $0.1 million and zero, respectively.

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 $250.0 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 LIBOR, 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 the class B bonds and certificates 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

70

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.

A summary of our outstanding repurchase transactions at March 31, 2021 and December 31, 2020 is as follows ($ in thousands):

Table 16: Repurchase Transactions by Maturity Date

				March 31, 2021
Maturity Date	Origination date	Maximum Borrowing Capacity		Amount Outstanding		Amount of Collateral		Percentage of Collateral Coverage		Interest Rate
April 5, 2021	January 6, 2021	$	34,568	$	34,568	$	43,784	127	%	1.74	%
April 6, 2021	January 6, 2021	7,530		7,530		9,723		129	%	1.79	%
April 6, 2021	January 6, 2021	4,588		4,588		5,890		128	%	1.79	%
April 6, 2021	January 6, 2021	4,544		4,544		5,738		126	%	1.79	%
April 6, 2021	January 6, 2021	3,233		3,233		4,667		144	%	1.94	%
April 9, 2021	October 13, 2020	33,084		33,084		41,718		126	%	2.35	%
April 12, 2021	January 11, 2021	5,706		5,706		7,328		128	%	1.77	%
April 15, 2021	January 14, 2021	6,582		6,582		8,145		124	%	1.83	%
April 20, 2021	January 20, 2021	12,127		12,127		15,505		128	%	1.82	%
April 22, 2021	March 17, 2021	3,896		3,896		5,130		132	%	1.66	%
April 26, 2021	January 27, 2021	7,982		7,982		9,279		116	%	1.21	%
April 26, 2021	January 27, 2021	5,177		5,177		6,063		117	%	1.21	%
April 26, 2021	January 27, 2021	6,295		6,295		7,276		116	%	1.21	%
April 30, 2021	February 1, 2021	11,992		11,992		14,767		123	%	1.81	%
April 30, 2021	February 1, 2021	11,825		11,825		15,005		127	%	1.81	%
April 30, 2021	February 1, 2021	5,157		5,157		6,610		128	%	1.81	%
April 26, 2021	February 1, 2021	3,892		3,892		4,876		125	%	1.81	%
April 30, 2021	February 1, 2021	2,794		2,794		3,662		131	%	1.81	%
April 30, 2021	February 1, 2021	2,369		2,369		3,360		142	%	1.96	%
April 30, 2021	February 1, 2021	1,133		1,133		1,607		142	%	1.96	%
May 12, 2021	February 12, 2021	3,100		3,100		4,428		143	%	1.95	%
June 4, 2021	March 5, 2021	24,453		24,453		32,366		132	%	1.54	%
June 4, 2021	March 5, 2021	23,972		23,972		31,589		132	%	1.54	%
June 17, 2021	March 17, 2021	9,440		9,440		11,986		127	%	1.73	%
June 17, 2021	March 17, 2021	7,803		7,803		10,166		130	%	1.73	%
June 17, 2021	March 17, 2021	1,175		1,175		1,687		144	%	1.88	%
June 24, 2021	March 24, 2021	2,510		2,510		3,250		129	%	1.75	%
July 9, 2021	July 10, 2020	250,000		15,724		23,488		149	%	2.61	%
September 23, 2021	September 24, 2020	400,000		42,442		63,743		150	%	2.61	%
Totals/weighted averages		$	896,927	$	305,093	$	402,836	132	%	1.93	%

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				December 31, 2020
Maturity Date	Origination date	Maximum Borrowing Capacity		Amount Outstanding		Amount of Collateral		Percentage of Collateral Coverage		Interest Rate
January 6, 2021	October 9, 2020	$	35,635	$	35,635	$	46,120	129	%	2.33	%
January 6, 2021	September 28, 2020	7,697		7,697		10,075		131	%	2.33	%
January 6, 2021	September 28, 2020	6,311		6,311		9,038		143	%	2.48	%
January 6, 2021	September 28, 2020	4,755		4,755		6,114		129	%	2.33	%
January 6, 2021	September 28, 2020	4,666		4,666		6,044		130	%	2.33	%
January 6, 2021	September 28, 2020	3,213		3,213		4,667		145	%	2.48	%
January 11, 2021	September 29, 2020	5,879		5,879		7,575		129	%	2.32	%
January 14, 2021	October 29, 2020	6,991		6,991		8,738		125	%	2.35	%
January 20, 2021	October 20, 2020	13,263		13,263		16,582		125	%	2.22	%
January 29, 2021	October 30, 2020	7,762		7,762		9,702		125	%	2.21	%
January 29, 2021	October 30, 2020	7,153		7,153		9,537		133	%	2.21	%
February 1, 2021	December 1, 2020	12,258		12,258		16,052		131	%	1.88	%
February 1, 2021	December 1, 2020	12,015		12,015		15,794		131	%	1.88	%
February 1, 2021	December 1, 2020	5,298		5,298		6,895		130	%	1.88	%
February 1, 2021	December 1, 2020	3,985		3,985		5,136		129	%	1.88	%
February 1, 2021	December 1, 2020	2,887		2,887		3,790		131	%	1.88	%
February 1, 2021	December 1, 2020	2,332		2,332		3,360		144	%	2.03	%
February 1, 2021	December 1, 2020	1,132		1,132		1,607		142	%	2.03	%
February 12, 2021	November 13, 2020	2,945		2,945		4,428		150	%	2.02	%
March 5, 2021	December 7, 2020	24,946		24,946		33,348		134	%	1.78	%
March 5, 2021	December 7, 2020	24,312		24,312		32,571		134	%	1.78	%
March 17, 2021	December 17, 2020	10,219		10,219		13,172		129	%	1.78	%
March 17, 2021	December 17, 2020	8,381		8,381		10,872		130	%	1.78	%
March 17, 2021	December 17, 2020	3,894		3,894		5,193		133	%	1.78	%
March 17, 2021	December 17, 2020	1,145		1,145		1,687		147	%	1.93	%
March 24, 2021	December 24, 2020	7,016		7,016		10,024		143	%	1.94	%
March 24, 2021	December 24, 2020	5,008		5,008		6,637		133	%	1.79	%
March 24, 2021	December 24, 2020	2,577		2,577		3,367		131	%	1.79	%
April 9, 2021	October 13, 2020	33,084		33,084		43,069		130	%	2.35	%
July 9, 2021	July 10, 2020	250,000		53,256		84,337		158	%	2.64	%
September 23, 2021	September 24, 2020	400,000		101,117		160,068		158	%	2.65	%
Totals/weighted averages		$	916,759	$	421,132	$	595,599	141	%	2.29	%

As of March 31, 2021, we had $305.1 million outstanding under our repurchase transactions compared to $421.1 million as of December 31, 2020. The maximum month-end balance outstanding during the three months ended March 31, 2021 was $436.3 million, compared to a maximum month-end balance for the three months ended December 31, 2020, of $422.3 million. The following table presents certain details of our repurchase transactions for the three months ended March 31, 2021 and December 31, 2020 ($ in thousands):

Table 17: Repurchase Balances

	Three months ended
	March 31, 2021		December 31, 2020
Balance at the end of period	$	305,093	$	421,132
Maximum outstanding balance during the quarter	$	436,296	$	422,322
Average balance	$	352,739	$	417,973

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The decrease in our average balance from $418.0 million for the three months ended December 31, 2020 to our average balance of $352.7 million for the three months ended March 31, 2021 was due to a net decrease in repurchase financing during the three months ended March 31, 2021, as a result of repayments on pledged securities.

As of March 31, 2021 and December 31, 2020, we did not have any credit facilities or other outstanding debt obligations other than the repurchase facilities, secured borrowings, put option liability and our senior convertible 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 May 6, 2021, our Board of Directors declared a dividend of $0.19 per share, to be paid on May 31, 2021 to stockholders of record as of May 20, 2021. 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 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, all paid out within the applicable calendar year, paid out of our taxable income, exceeds of 8% (on an annualized basis) of our stock’s book value. During the three months ended March 31, 2021 and March 31, 2020, 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 4.70% on an annualized basis of our book value of $16.18 per share at March 31, 2021. If our taxable income increases to the levels we experienced during 2019, 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.

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(1) ($ in thousands):

						Great Ajax Corp. Ownership
Issuing Trust/Issue Date	Security	Total Original Outstanding Principal		Coupon		Ownership Percent		Original Stated or Notional Principal Balance Retained		Current Owned Stated or Notional Principal Balance Retained
Ajax Mortgage Loan Trust 2018-A/ April 2018	Class A notes due 2058	$	91,036	3.85	%	9.36	%	$	8,521	$	5,738

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	Trust certificates	$	22,759	—	%	9.36	%	$	2,130	$	2,144
Ajax Mortgage Loan Trust 2018-B/ June 2018	Class A notes due 2057	$	66,374	3.75	%	20.00	%	$	13,275	$	5,130
	Trust certificates	$	28,447	—	%	20.00	%	$	5,689	$	4,097
Ajax Mortgage Loan Trust 2018-D/ September 2018	Class A notes due 2058	$	80,664	3.75	%	20.00	%	$	16,133	$	12,973
	Trust certificates	$	20,166	—	%	20.00	%	$	4,033	$	3,915
Ajax Mortgage Loan Trust 2018-E/ December 2018	Class A notes due 2058	$	86,089	4.38	%	5.01	%	$	4,313	$	3,666
	Class B notes due 2058	$	8,035	5.25	%	20.00	%	$	1,607	$	1,605
	Trust certificates	$	20,662	—	%	20.00	%	$	4,132	$	4,130
Ajax Mortgage Loan Trust 2018-F/ December 2018	Class A notes due 2058	$	180,002	4.38	%	5.01	%	$	9,018	$	6,610
	Class B notes due 2058	$	16,800	5.25	%	20.00	%	$	3,360	$	3,360
	Trust certificates	$	43,201	—	%	20.00	%	$	8,640	$	8,252
Ajax Mortgage Loan Trust 2018-G/ December 2018	Class A notes due 2057	$	173,562	4.38	%	25.00	%	$	43,390	$	25,671
	Class B notes due 2057	$	16,199	5.25	%	25.00	%	$	4,050	$	4,050
	Trust certificates	$	41,655	—	%	25.00	%	$	10,414	$	10,585
Ajax Mortgage Loan Trust 2019-A/ March 2019	Class A notes due 2057	$	127,801	3.75	%	20.00	%	$	25,560	$	14,767
	Class B notes due 2057	$	11,928	5.25	%	20.00	%	$	2,386	$	2,388
	Trust certificates	$	30,672	—	%	20.00	%	$	6,134	$	6,137
Ajax Mortgage Loan Trust 2019-B/ March 2019	Class A notes due 2059	$	163,325	3.75	%	15.00	%	$	24,499	$	15,005
	Class B notes due 2059	$	15,244	5.25	%	15.00	%	$	2,287	$	2,287
	Trust certificates	$	39,198	—	%	15.00	%	$	5,880	$	5,976
Ajax Mortgage Loan Trust 2019-C/ May 2019	Class A notes due 2058	$	150,037	3.95	%	5.00	%	$	7,502	$	5,878
	Class B notes due 2058	$	14,003	5.25	%	34.00	%	$	4,761	$	4,761
	Trust certificates	$	36,009	—	%	34.00	%	$	12,243	$	12,417
Ajax Mortgage Loan Trust 2019-E/ September 2019	Class A notes due 2059	$	181,101	3.00	%	6.55	%	$	11,862	$	8,145
	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 2019	Class A notes due 2059	$	141,420	3.00	%	5.86	%	$	8,287	$	7,328
	Class B notes due 2059	$	13,199	4.25	%	20.00	%	$	2,640	$	2,640

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	Trust certificates	$	33,941	—	%	20.00	%	$	6,788	$	6,820
Ajax Mortgage Loan Trust 2019-H/ December 2019	Class A notes due 2059	$	90,381	3.00	%	20.00	%	$	18,076	$	11,985
	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 2020	Class A notes due 2059	$	249,384	2.38	%	20.00	%	$	49,877	$	41,718
	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 2020	Class A notes due 2060	$	339,365	2.25	%	10.01	%	$	33,970	$	32,366
	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 2020	Class A notes due 2060	$	330,721	2.25	%	10.01	%	$	33,105	$	31,589
	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

(1)Table does not include our 2017-D securitization with total original outstanding principal of $222.3 million as this trust is included in our consolidated financial statements.

Table 19: Contractual Obligations

A summary of our contractual obligations as of March 31, 2021 and December 31, 2020 is as follows ($ in thousands):

March 31, 2021	Payments Due by Period
	Total		Less than 1 Year		1 – 3 Years		3 – 5 Years		More than 5 Years
Convertible senior notes	$	110,850	$	—	$	—	$	110,850	$	—
Borrowings under repurchase agreements	305,093		305,093		—		—		—
Interest on convertible senior notes	26,456		8,039		16,073		2,344		—
Interest on repurchase agreements	997		997		—		—		—
Put obligation on outstanding common stock warrants	50,707		—		—		50,707		—
Total	$	494,103	$	314,129	$	16,073	$	163,901	$	—

December 31, 2020	Payments Due by Period
	Total		Less than 1 Year		1 – 3 Years		3 – 5 Years		More than 5 Years
Convertible senior notes	$	113,350	$	—	$	—	$	113,350	$	—
Borrowings under repurchase agreements	421,132		421,132		—		—		—
Interest on convertible senior notes	29,105		8,218		16,436		4,451		—
Interest on repurchase agreements	3,345		3,345		—		—		—
Put obligation on outstanding common stock warrants	50,707		—		—		50,707		—
Total	$	617,639	$	432,695	$	16,436	$	168,508	$	—

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Our secured borrowings are not included in the table above 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.

Inflation

Virtually all of our assets and liabilities are interest-rate sensitive in nature. As a result, interest rates and other factors influence our performance far more so than does inflation. Changes in interest rates do not necessarily correlate with inflation rates or changes in inflation rates. Our activities and consolidated balance sheet are measured with reference to historical cost and/or fair market value without considering inflation.

Subsequent Events

We have agreed to acquire, subject to due diligence, 106 residential RPLs in seven transactions, and nine NPLs in two transactions, with aggregate UPB of $14.1 million and $3.1 million, respectively. The purchase price of the residential RPLs equals 88.7% of UPB and 62.2% of the estimated market value of the underlying collateral of $20.1 million. The purchase price of the NPLs equals 90.3% of UPB and 70.0% of the estimated market value of the underlying collateral of $4.0 million.

We have agreed to acquire, subject to due diligence, 4,739 residential RPLs with aggregate UPB of $790.4 million in one transaction from a single seller. The purchase price equals 97.5% of UPB and 54.0% of the estimated market value of the underlying collateral of $1.4 billion. These loans are expected to be acquired through a joint venture with third-party institutional accredited investors.

We have also agreed to acquire, subject to due diligence, 132 NPLs with aggregate UPB of $88.4 million, in one transaction from a single seller. The purchase price equals 100.3% of UPB and 67.2% of the estimated market value of the underlying collateral of $131.9 million. These loans are expected to be acquired through a joint venture with third-party institutional accredited investors.

On April 7, 2021, we co-invested with third-party institutional investors to form Ajax Mortgage Loan Trust 2021-C ("2021-C") and retained $26.3 million of varying classes of related securities. We acquired 5.01% of the class A securities and 31.9% of the class B securities and trust certificates from the trust, which acquired 1,290 RPLs and NPLs with UPB of $259.6 million and an aggregate property value of $483.1 million. The senior securities represent 75% of the UPB of the underlying mortgage loans and carry a 2.115% coupon. Based on the structure of the transaction we will not consolidate 2021-C under U.S. GAAP. The assets included in the 2021-C securitization came from calling the bonds associated with our 2017-D, 2018-A and 2018-B securitizations, all of which were joint ventures with third party institutional accredited investors.

In April 2021, we completed two repurchases of our convertible senior notes for an aggregate principal amount of $5.0 million and a total purchase price of $5.0 million.

On May 6, 2021, our Board of Directors declared a cash dividend of $0.19 per share to be paid on May 31, 2021 to stockholders of record as of May 20, 2021.

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.

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 could cause us to suffer losses.

Interest Rate Risk

76

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. 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. 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.

We believe that a rising interest rate environment could have a positive effect on our operations to the extent we own rental real property or seek to sell real property. 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 the pandemic.

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.

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.

77

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.

78

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, 2020. There have been no material changes from these previously disclosed risk factors.

Item 2. Unregistered Sales of Securities

Unregistered Sales of Equity Securities

On March 8, 2021 we issued each of our four independent directors 1,070 shares of common stock in partial payment of their quarterly director fees for the fourth quarter of 2020. 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.

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EXHIBIT INDEX

Exhibit Number	Exhibit Description
31.1*	Rule 13a-14(a) Certification of Chief Executive Officer of the Company in accordance with Section 302 of the Sarbanes-Oxley Act of 2002.
31.2*	Rule 13a-14(a) Certification of Chief Financial Officer of the Company in accordance with Section 302 of the Sarbanes-Oxley Act of 2002.
32.1*	Section 1350 Certification of Chief Executive Officer of the Company in accordance with Section 906 of the Sarbanes-Oxley Act of 2002.
32.2*	Section 1350 Certification of Chief Financial Officer of the Company in accordance with Section 906 of the Sarbanes-Oxley Act of 2002.
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.

80

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: May 7, 2021	By:	/s/ Lawrence Mendelsohn
		Lawrence Mendelsohn
		Chairman and Chief Executive Officer (Principal Executive Officer)
Date: May 7, 2021	By:	/s/ Mary Doyle
		Mary Doyle
		Chief Financial Officer (Principal Financial and Accounting Officer)

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EX-31.1

EXHIBIT 31.1

CERTIFICATION

I, Lawrence Mendelsohn, certify that:

1.    I have reviewed this Report on Form 10-Q of Great Ajax Corp.;

2.    Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.    Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4.    The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal controls over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a)    Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b)    Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c)    Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d)    Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5.    The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s Board of Directors (or persons performing the equivalent functions):

a)    All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

b)    Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Dated: May 7, 2021

/s/ Lawrence Mendelsohn

Lawrence Mendelsohn

Chief Executive Officer

2

EX-31.2

EXHIBIT 31.2

CERTIFICATION

I, Mary Doyle, certify that:

1.    I have reviewed this Report on Form 10-Q of Great Ajax Corp.;

2.Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.Based on my knowledge, the consolidated financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4.The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal controls over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a)    Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b)    Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of consolidated financial statements for external purposes in accordance with generally accepted accounting principles;

(c)    Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d)    Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5.The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s Board of Directors (or persons performing the equivalent functions):

a)    All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

b)    Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Dated: May 7, 2021

/s/ Mary Doyle

Mary Doyle

Chief Financial Officer

2

EX-32.1

EXHIBIT 32.1

GREAT AJAX CORP.

CERTIFICATION PURSUANT TO

18 U.S.C. §1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report of Great Ajax Corp. (the “Company”) on Form 10-Q for the period ended March 31, 2021 as filed with the Securities and Exchange Commission (the “Report”), I, Lawrence Mendelsohn, Chief Executive Officer of the Company, hereby certify as of the date hereof, pursuant to 18 U.S.C. § 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that to my knowledge:

(1) the Report fully complies with the requirements of Section 13(a) or 15(d), as applicable, of the Securities Exchange Act of 1934; and

(2) the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company at the dates and for the periods indicated.

This Certification has not been, and shall not be deemed, “filed” with the Securities and Exchange Commission.

Dated: May 7, 2021

/s/ Lawrence Mendelsohn

Lawrence Mendelsohn

Chief Executive Officer

EX-32.2

EXHIBIT 32.2

GREAT AJAX CORP.

CERTIFICATION PURSUANT TO

18 U.S.C. §1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report of Great Ajax Corp. (the “Company”) on Form 10-Q for the period ended March 31, 2021 as filed with the Securities and Exchange Commission (the “Report”), I, Mary Doyle, Chief Financial Officer of the Company, hereby certify as of the date hereof, pursuant to 18 U.S.C. § 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that to my knowledge:

(1) the Report fully complies with the requirements of Section 13(a) or 15(d), as applicable, of the Securities Exchange Act of 1934; and

(2) the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company at the dates and for the periods indicated.

This Certification has not been, and shall not be deemed, “filed” with the Securities and Exchange Commission.

Dated: May 7, 2021

/s/ Mary Doyle

Mary Doyle

Chief Financial Officer

XML

Document and Entity Information - shares	3 Months Ended
	Mar. 31, 2021	May 05, 2021
Entity Information [Line Items]
Document Type	10-Q
Document Quarterly Report	true
Document Period End Date	Mar. 31, 2021
Document Transition Report	false
Entity File Number	001-36844
Entity Registrant Name	GREAT AJAX CORP.
Entity Incorporation, State or Country Code	MD
Entity Tax Identification Number	47-1271842
Entity Address, Address Line One	13190 SW 68th Parkway
Entity Address, Address Line Two	Suite 110
Entity Address, City or Town	Tigard
Entity Address, State or Province	OR
Entity Address, Postal Zip Code	97223
City Area Code	503
Local Phone Number	505-5670
Entity Current Reporting Status	Yes
Entity Interactive Data Current	Yes
Entity Emerging Growth Company	false
Entity Filer Category	Accelerated Filer
Entity Small Business	false
Entity Shell Company	false
Entity Common Stock, Shares Outstanding		22,988,847
Entity Central Index Key	0001614806
Current Fiscal Year End Date	--12-31
Amendment Flag	false
Document Fiscal Year Focus	2021
Document Fiscal Period Focus	Q1
Common stock, par value $0.01 per share
Entity Information [Line Items]
Title of 12(b) Security	Common stock, par value $0.01 per share
Trading Symbol	AJX
Security Exchange Name	NYSE
7.25% Convertible Senior Notes due 2024
Entity Information [Line Items]
Title of 12(b) Security	7.25% Convertible Senior Notes due 2024
Trading Symbol	AJXA
Security Exchange Name	NYSE

XML

CONSOLIDATED BALANCE SHEETS - USD ($)		Mar. 31, 2021	Dec. 31, 2020
ASSETS
Cash and cash equivalents		$ 137,579,000	$ 107,147,000
Cash held in trust		186,000	188,000
Mortgage loans held-for-investment, net	[1],[2]	991,811,000	1,119,372,000
Mortgage loans held-for-sale, net	[3],[4]	131,719,000	0
Real estate owned properties, net	[5]	7,098,000	8,526,000
Investment in debt securities		264,700,000	273,800,000
Receivable from servicer		18,847,000	15,755,000
Investments in affiliates		28,294,000	28,616,000
Prepaid expenses and other assets		11,864,000	8,876,000
Total assets		1,686,973,000	1,653,732,000
Liabilities:
Secured borrowings, net	[1],[2],[3],[4],[6]	740,035,000	585,403,000
Borrowings under repurchase transactions		305,093,000	421,132,000
Convertible senior notes, net	[6]	107,971,000	110,057,000
Management fee payable		2,270,000	2,247,000
Put option liability		16,149,000	14,205,000
Accrued expenses and other liabilities		5,920,000	6,197,000
Total liabilities		1,177,438,000	1,139,241,000
Commitments and contingencies – see Note 8
Equity:
Common stock $0.01 par value; 125,000,000 shares authorized, 22,988,847 shares issued and outstanding at March 31, 2021 and 22,978,339 shares issued and outstanding at December 31, 2020		231,000	231,000
Additional paid-in capital		314,709,000	317,424,000
Treasury stock		(1,159,000)	(1,159,000)
Retained earnings		56,500,000	53,346,000
Accumulated other comprehensive gain		1,681,000	375,000
Equity attributable to stockholders		487,106,000	485,361,000
Non-controlling interests	[7]	22,429,000	29,130,000
Total equity		509,535,000	514,491,000
Total liabilities and equity		1,686,973,000	1,653,732,000
Investments in Securities
ASSETS
Investment in debt securities	[8]	264,682,000	273,834,000
Beneficial interests in securitization trusts
ASSETS
Investment in debt securities	[9]	94,893,000	91,418,000
7.25% Series A preferred stock
Equity:
Preferred stock, $0.01 par value, 25,000,000 shares authorized		51,100,000	51,100,000
5.00% Series B preferred stock
Equity:
Preferred stock, $0.01 par value, 25,000,000 shares authorized		$ 64,044,000	$ 64,044,000

[1] As of March 31, 2021, balances for Mortgage loans held-for-investment, net and Secured borrowings, net of deferred costs includes zero from a 50% owned joint venture. As of December 31, 2020, balances for Mortgage loans held-for-investment, net include $307.1 million and Secured borrowings, net of deferred costs includes $250.6 million from 50.0% and 63.0% owned joint ventures, all of which the Company consolidates under U.S. Generally Accepted Accounting Principles ("U.S. GAAP"). The creditors do not have recourse to the primary beneficiary (Great Ajax Corp.). See Note 9 — Debt.

[2] Mortgage loans held-for-investment, net include $859.3 million and $842.2 million of loans at March 31, 2021 and December 31, 2020, 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 $17.9 million and $13.7 million of allowance for loan credit losses at March 31, 2021 and December 31, 2020, respectively.     

[3] As of March 31, 2021, balances for Mortgage loans held-for-sale, net includes $131.7 million and Secured borrowings, net of deferred costs includes $97.3 million from a 50.0% owned joint venture. As of December 31, 2020, balances for Mortgage loans held-for-sale, net and Secured borrowings, net of deferred costs include zero from 50.0% and 63.0% owned joint ventures. The creditors do not have recourse to the primary beneficiary (Great Ajax Corp.). See Note 9 — Debt.

[4] Mortgage loans held-for-sale, net includes $131.7 million and zero of loans at March 31, 2021 and December 31, 2020, respectively, transferred to securitization trusts that are 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.

[5] Real estate owned properties, net, includes valuation allowances of $1.3 million and $1.4 million at March 31, 2021 and December 31, 2020, respectively.

[6] Secured borrowings and Convertible senior notes, net are presented net of deferred issuance costs.

[7] As of March 31, 2021 non-controlling interests includes $20.8 million from a 50.0% owned joint venture, $1.4 million from a 53.1% owned subsidiary and $0.2 million from a 99.9% owned subsidiary. As of December 31, 2020 non-controlling interests includes $27.4 million from the 50.0% and 63.0% owned joint ventures, $1.5 million from a 53.1% owned subsidiary and $0.2 million from a 99.9% owned subsidiary which the Company consolidates under U.S. GAAP.

[8] As of March 31, 2021 and December 31, 2020, Investments in securities at fair value include amortized cost basis of $263.0 million and $273.4 million, respectively, and net unrealized gains of $1.7 million and $0.4 million, respectively.

[9] Investments in beneficial interests includes allowance for credit losses of $5.5 million and $4.5 million at March 31, 2021 and December 31, 2020, respectively.

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CONSOLIDATED BALANCE SHEETS (Parentheticals) - USD ($)		3 Months Ended
		Mar. 31, 2021	Dec. 31, 2020
Preferred stock, par value per share (in dollars per share)		$ 0.01	$ 0.01
Preferred stock, shares authorized (in shares)		25,000,000	25,000,000
Common stock, par value per share (in dollars per share)		$ 0.01	$ 0.01
Common stock, shares authorized (in shares)		125,000,000	125,000,000
Common stock, shares issued (in shares)		22,988,847	22,978,339
Common stock, shares outstanding (in shares)		22,988,847	22,978,339
Mortgage loans		$ 859,300,000	$ 842,200,000
Allowance for loan credit losses		17,890,000	13,712,000
Mortgage loans held-for-sale, net	[1],[2]	131,719,000	0
Property held-for-sale, valuation allowances		1,300,000	1,400,000
Basis		263,000,000.0	273,400,000
Debt securities accumulated unrealized gain (loss)		1,700,000	400,000
Noncontrolling interest	[3]	$ 22,429,000	$ 29,130,000
Series A preferred stock
Preferred stock, fixed-to-floating rate cumulative redeemable		7.25%
Preferred stock, liquidation preference per share (in dollars per share)		$ 25.00	$ 25.00
Preferred stock, shares issued (in shares)		2,307,400	2,307,400
Preferred stock, shares outstanding (in shares)		2,307,400	2,307,400
Series B preferred stock
Preferred stock, fixed-to-floating rate cumulative redeemable		5.00%
Preferred stock, liquidation preference per share (in dollars per share)		$ 25.00	$ 25.00
Preferred stock, shares issued (in shares)		2,892,600	2,892,600
Preferred stock, shares outstanding (in shares)		2,892,600	2,892,600
Beneficial interests in securitization trusts
Allowance for loan credit losses		$ 5,500,000	$ 4,500,000
Common stock, par value $0.01 per share
Common stock, shares outstanding (in shares)		22,988,847	22,988,847
Consolidated entities
Mortgage loans		$ 0	$ 307,100,000
Secured borrowings, net		97,300,000	250,600,000
Noncontrolling interest		$ 20,800,000	$ 27,400,000
2017-D
Percentage of ownership interests in joint venture		50.00%
2017-D | Great Ajax Corp
Ownership percentage by parent		50.00%	50.00%
2018-C
Percentage of ownership interests in joint venture		37.00%
2018-C | Great Ajax Corp
Ownership percentage by parent		100.00%
2018-C | Third party
Ownership percentage by parent			63.00%
Investment in AS Ajax E II LLC
Percentage of ownership interests in joint venture		53.10%	53.10%
Investment in AS Ajax E II LLC | Great Ajax Corp
Percentage of ownership interests in joint venture		53.10%	53.10%
Investment in AS Ajax E II LLC | Consolidated entities
Noncontrolling interest			$ 1,500,000
Investment in AS Ajax E II LLC | Consolidated entities | Great Ajax Corp
Noncontrolling interest		$ 1,400,000
Great Ajax II REIT | Great Ajax Corp
Ownership percentage by parent		99.90%	99.90%
Great Ajax II REIT | Consolidated entities
Noncontrolling interest			$ 200,000
Great Ajax II REIT | Consolidated entities | Great Ajax Corp
Noncontrolling interest		$ 200,000

[1] As of March 31, 2021, balances for Mortgage loans held-for-sale, net includes $131.7 million and Secured borrowings, net of deferred costs includes $97.3 million from a 50.0% owned joint venture. As of December 31, 2020, balances for Mortgage loans held-for-sale, net and Secured borrowings, net of deferred costs include zero from 50.0% and 63.0% owned joint ventures. The creditors do not have recourse to the primary beneficiary (Great Ajax Corp.). See Note 9 — Debt.

[2] Mortgage loans held-for-sale, net includes $131.7 million and zero of loans at March 31, 2021 and December 31, 2020, respectively, transferred to securitization trusts that are 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.

[3] As of March 31, 2021 non-controlling interests includes $20.8 million from a 50.0% owned joint venture, $1.4 million from a 53.1% owned subsidiary and $0.2 million from a 99.9% owned subsidiary. As of December 31, 2020 non-controlling interests includes $27.4 million from the 50.0% and 63.0% owned joint ventures, $1.5 million from a 53.1% owned subsidiary and $0.2 million from a 99.9% owned subsidiary which the Company consolidates under U.S. GAAP.

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CONSOLIDATED STATEMENTS OF INCOME - USD ($) $ in Thousands		3 Months Ended
		Mar. 31, 2021	Mar. 31, 2020
INCOME
Interest income		$ 24,035	$ 26,888
Interest expense		(10,304)	(13,070)
Net interest income		13,731	13,818
Recovery of/(provision for) losses		5,516	(4,711)
Net interest income after recovery of/(provision for) losses		19,247	9,107
Income/(loss) from investments in affiliates		163	(1,112)
Loss on sale of mortgage loans	[1]	0	(705)
Other income		356	747
Total revenue, net		19,766	8,037
EXPENSE
Related party expense – loan servicing fees		1,833	2,014
Management fee		2,273	1,799
Loan transaction expense		187	(103)
Professional fees		640	805
Real estate operating expenses		185	912
Fair value adjustment on put option liability		1,944	0
Other expense		1,117	1,025
Total expense		8,179	6,452
Loss on debt extinguishment		911	408
Income before provision for income taxes		10,676	1,177
Provision for income taxes (benefit)		34	(319)
Consolidated net income		10,642	1,496
Less: consolidated net income attributable to the non-controlling interest		1,689	1,096
Consolidated net income attributable to Company		8,953	400
Less: dividends on preferred stock		1,949	0
Consolidated net income attributable to common stockholders		$ 7,004	$ 400
Basic earnings per common share (in dollars per share)		$ 0.30	$ 0.02
Diluted earnings per common share (in dollars per share)		$ 0.30	$ 0.02
Weighted average shares - basic (in shares)		22,816,978	22,070,354
Weighted average shares - diluted (in shares)		22,816,978	22,189,984

[1] The Company sold no mortgage loans during the three months ended March 31, 2021. Comparatively, during the three months ended March 31, 2020, the Company sold 26 loans with a carrying value of $26.1 million and UPB of $26.2 million for a loss of $0.7 million.

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CONSOLIDATED STATEMENTS OF INCOME (Parentheticals) $ in Thousands		3 Months Ended
		Mar. 31, 2021 USD ($) loan		Mar. 31, 2020 USD ($) loan	Dec. 31, 2020 USD ($)	[1],[2]
Number of sold loans | loan		0		26
Carrying value of mortgages		$ 991,811	[1],[2]	$ 26,100	$ 1,119,372
Unpaid principal balance				26,200
Loss on sale of mortgage loans	[3]	$ 0		(705)
Mortgage loans | 2019-C
Carrying value of mortgages				$ 26,100

[1] As of March 31, 2021, balances for Mortgage loans held-for-investment, net and Secured borrowings, net of deferred costs includes zero from a 50% owned joint venture. As of December 31, 2020, balances for Mortgage loans held-for-investment, net include $307.1 million and Secured borrowings, net of deferred costs includes $250.6 million from 50.0% and 63.0% owned joint ventures, all of which the Company consolidates under U.S. Generally Accepted Accounting Principles ("U.S. GAAP"). The creditors do not have recourse to the primary beneficiary (Great Ajax Corp.). See Note 9 — Debt.

[2] Mortgage loans held-for-investment, net include $859.3 million and $842.2 million of loans at March 31, 2021 and December 31, 2020, 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 $17.9 million and $13.7 million of allowance for loan credit losses at March 31, 2021 and December 31, 2020, respectively.     

[3] The Company sold no mortgage loans during the three months ended March 31, 2021. Comparatively, during the three months ended March 31, 2020, the Company sold 26 loans with a carrying value of $26.1 million and UPB of $26.2 million for a loss of $0.7 million.

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CONSOLIDATED STATEMENTS OF COMPRHENSIVE INCOME - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Statement of Comprehensive Income [Abstract]
Consolidated net income attributable to common stockholders	$ 7,004	$ 400
Other comprehensive income/(loss):
Net unrealized gain/(loss) on investments in available-for-sale debt securities	1,306	(28,444)
Income tax expense related to items of other comprehensive income	0	0
Comprehensive income/(loss)	$ 8,310	$ (28,044)

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CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands		3 Months Ended
		Mar. 31, 2021	Mar. 31, 2020
CASH FLOWS FROM OPERATING ACTIVITIES
Consolidated net income		$ 10,642	$ 1,496
Adjustments to reconcile net income to net cash from operating activities
Stock-based compensation expense		294	214
Non-cash interest income accretion on mortgage loans		(5,878)	(9,450)
Interest and discount accretion on investment in debt securities		(2,476)	(122)
Discount accretion on investment in beneficial interests		(3,600)	(2,672)
Loss on sale of mortgage loans	[1]	0	705
Loss on debt extinguishment		911	408
Gain on sale of property held-for-sale		(105)	(286)
Depreciation of property		3	8
Impairment of real estate owned		171	897
Provision for (benefit)/losses on mortgage loans		(5,500)	1,893
Amortization of credit loss expense on mortgage loans		454	229
Provision for (benefit)/losses on beneficial interests		(15)	169
Amortization of credit loss expense on beneficial interests		139	2,818
Amortization of debt discount and prepaid financing costs		1,613	1,316
Undistributed (income)/loss from investment in affiliates		(163)	1,112
Fair value adjustment on put option liability		1,944	0
Other non-cash loan charges		6	0
Net change in operating assets and liabilities
Prepaid expenses and other assets		(4,468)	(28,878)
Receivable from Servicer		(3,092)	(278)
Accrued expenses, management fee payable, and other liabilities		(254)	12
Net cash from operating activities		(9,374)	(30,409)
CASH FLOWS FROM INVESTING ACTIVITIES
Purchase of mortgage loans and related balances		(35,637)	(1,391)
Principal paydowns on mortgage loans		43,578	34,597
Proceeds from sale of mortgage loans		0	25,412
Draws on small balance commercial loans		(85)	0
Purchase of securities		0	(61,306)
Principal and interest collection on debt securities		12,935	10,233
Proceeds from sale of property held-for-sale		1,587	3,017
Distribution from affiliates		485	453
Net cash from investing activities		22,863	11,015
CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from repurchase transactions		89,652	72,417
Repayments on repurchase transactions		(205,691)	(55,440)
Proceeds from sale of secured borrowings		391,028	0
Repayments on secured borrowings		(225,232)	(22,599)
Deferred financing costs		(7,301)	(34)
Purchase of bonds for non-controlling interest in subsidiaries		(5,887)	0
Repurchase of the Company's senior convertible notes		(2,430)	(8,176)
Sale of common stock pursuant to dividend reinvestment plan		47	0
Redemption of non-controlling interest in subsidiaries		(11,362)	0
Distribution to non-controlling interests		(84)	(84)
Issuance of non-controlling interests in subsidiaries		0	145
Dividends on common stock and preferred stock		(5,799)	0
Net cash from financing activities		16,941	(13,771)
NET CHANGE IN CASH, CASH EQUIVALENTS, AND CASH HELD IN TRUST		30,430	(33,165)
CASH, CASH EQUIVALENTS AND CASH HELD IN TRUST, beginning of period		107,335	64,363
CASH, CASH EQUIVALENTS AND CASH HELD IN TRUST, end of period		137,765	31,198
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION
Cash paid for interest		8,441	11,249
Cash paid for income taxes		0	0
SUPPLEMENTAL DISCLOSURE OF NONCASH INVESTING AND FINANCING ACTIVITIES
Transfer of loans from mortgage held-for-investment, net to mortgage loans held-for-sale, net		131,719	0
Unrealized gain on available for sale securities, net of non-controlling interest and tax		1,306	28,444
Net transfer of loans to rental property or property held-for-sale		228	814
Issuance of common stock for management fee and compensation expense		294	214
Non-cash adjustments to basis in mortgage loans		1,324	31
Issuance of common stock for dividends		0	7,097
Treasury stock received through distributions from investment in Manager		0	56
Total cash and cash equivalents and restricted cash shown on the consolidated statements of cash flows		$ 137,765	$ 31,198

[1] The Company sold no mortgage loans during the three months ended March 31, 2021. Comparatively, during the three months ended March 31, 2020, the Company sold 26 loans with a carrying value of $26.1 million and UPB of $26.2 million for a loss of $0.7 million.

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CONSOLIDATED STATEMENTS OF CHANGES IN EQUITY - USD ($) $ in Thousands	Total	Total Stockholders’ Equity	Common stock	Treasury stock	Additional Paid-in Capital	Retained Earnings	Accumulated other comprehensive gain/(loss)	Non-controlling Interest	7.25% Series A preferred stock	Preferred stock - Series B shares
Preferred stock - beginning balance (in shares) at Dec. 31, 2019									0	0
Preferred stock - beginning balance at Dec. 31, 2019									$ 0	$ 0
Beginning balance (in shares) at Dec. 31, 2019			22,142,143
Beginning balance at Dec. 31, 2019	$ 384,084	$ 359,882	$ 222	$ (458)	$ 309,395	$ 49,446	$ 1,277	$ 24,202
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Consolidated net income	1,496	400				400		1,096
Issuance of shares of subsidiary	145	145			145
Stock-based compensation expense (in shares)			2,600
Stock-based compensation expense	214	214			214
Dividends declared and distributions (in shares)			781,222
Dividends declared and distributions	(84)		$ 8		7,089	(7,097)		(84)
Issuance of shares under dividend reinvestment plan (in shares)			0
Convertible senior notes repurchase	(81)	(81)			(81)
Other comprehensive income/(loss)	(28,444)	(28,444)					(28,444)
Treasury stock (in shares)			(4,030)
Treasury stock	(56)	(56)		(56)
Ending balance (in shares) at Mar. 31, 2020			22,921,935
Ending balance at Mar. 31, 2020	357,274	332,060	$ 230	(514)	316,762	42,749	(27,167)	25,214
Preferred stock - ending balance at Mar. 31, 2020									$ 0	$ 0
Preferred stock - ending balance (in shares) at Mar. 31, 2020									0	0
Preferred stock - beginning balance (in shares) at Dec. 31, 2019									0	0
Preferred stock - beginning balance at Dec. 31, 2019									$ 0	$ 0
Beginning balance (in shares) at Dec. 31, 2019			22,142,143
Beginning balance at Dec. 31, 2019	$ 384,084	359,882	$ 222	(458)	309,395	49,446	1,277	24,202
Ending balance (in shares) at Dec. 31, 2020	22,978,339		22,988,847
Ending balance at Dec. 31, 2020	$ 514,491	485,361	$ 231	(1,159)	317,424	53,346	375	29,130
Preferred stock - ending balance at Dec. 31, 2020									$ 51,100	$ 64,044
Preferred stock - ending balance (in shares) at Dec. 31, 2020									2,307,400	2,892,600
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Consolidated net income	10,642	8,953				8,953		1,689
Stock-based compensation expense (in shares)			6,280
Stock-based compensation expense	294	294			294
Dividends declared and distributions	(5,883)	(5,799)				(5,799)		(84)
Issuance of shares under dividend reinvestment plan (in shares)			4,228
Issuance of shares under dividend reinvestment plan	47	47			47
Redemption of non-controlling interest in subsidiaries	(11,362)	(3,056)			(3,056)			(8,306)
Convertible senior notes repurchase	0
Other comprehensive income/(loss)	1,306	1,306					1,306
Treasury stock	$ 0
Ending balance (in shares) at Mar. 31, 2021	22,988,847		22,988,847
Ending balance at Mar. 31, 2021	$ 509,535	$ 487,106	$ 231	$ (1,159)	$ 314,709	$ 56,500	$ 1,681	$ 22,429
Preferred stock - ending balance at Mar. 31, 2021									$ 51,100	$ 64,044
Preferred stock - ending balance (in shares) at Mar. 31, 2021									2,307,400	2,892,600

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CONSOLIDATED STATEMENTS OF CHANGES IN EQUITY (Parenthetical) - $ / shares	Dec. 31, 2020	Dec. 31, 2019
Statement of Stockholders' Equity [Abstract]
Dividends payable (in dollars per share)	$ 0.17	$ 0.32

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Organization and Basis of Presentation

3 Months Ended

Mar. 31, 2021

Organization, Consolidation and Presentation of Financial Statements [Abstract]

Organization and Basis of Presentation

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 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. The Company also acquires and originates small balance commercial loans (“SBC loans”). The SBC loans that the Company opportunistically targets, through acquisitions, or originations, 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. Historically, the Company has also targeted investments in non-performing loans (“NPL”). NPLs are loans on which the most recent three payments have not been made. The Company may acquire NPLs from time to time, either directly or with joint venture partners. 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, 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 properties (“REO”) 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 March 31, 2021, held 99.9% of Great Ajax II REIT Inc. which holds an interest in Great Ajax II Depositor LLC which acts as the depositor of mortgage loans into rated securitization trusts and holds the subordinated securities issued by such trusts and any additional trusts the Company may form for additional secured borrowings. The Company has securitized mortgage loans through securitization trusts and retained subordinated securities from the secured borrowings. These trusts are considered to be VIEs and the Company has determined that it is the primary beneficiary of these VIEs.

In 2018, the Company formed Gaea Real Estate Corp. ("Gaea"), a wholly owned subsidiary of the Operating partnership to hold investments in multi-family, mixed use commercial real estate. The Company had elected to treat Gaea as a TRS under the Code. 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. The Company also formed BFLD Holdings LLC, Gaea Commercial Properties LLC, Gaea Commercial Finance LLC and Gaea RE LLC as subsidiaries of Gaea Real Estate Operating Partnership. In 2019, the Company formed DG Brooklyn Holdings, LLC also as 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 in which it raised $66.3 million from the issuance of 4,419,641 shares of its common stock to third parties to allow Gaea to continue to advance its investment strategy. The purchase price per share was $15.00. Upon completion of the private placement, the Company retained ownership of approximately 23.2% of Gaea with third party investors owning the remaining approximately 76.8%. Prior to the date of the capital raise, the Company consolidated Gaea's balance sheet and results of operations. At March 31, 2021 the Company owned approximately 22.9% of Gaea. From the date of the capital raise forward, 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 period ended December 31, 2020, included in the Company's Annual Report on Form 10-K filed with the Securities and Exchange Commission (the "SEC") on March 5, 2021.

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, 2021. 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 owns residential mortgage loans and residential real estate assets; AS Ajax E II is 53.1% owned by the Company. Ajax Mortgage Loan Trust 2017-D ("2017-D") is a securitization trust that holds mortgage loans, REO property and secured debt; 2017-D is 50.0% owned by the Company. Great Ajax II REIT Inc. which holds an interest in 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 and is 99.9% owned by the Company as of March 31, 2021 and December 31, 2020. 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 first quarter of 2021, the Company acquired the remaining ownership of Ajax Mortgage Loan Trusts 2018-C ("2018-C"), a subsidiary that previously had non-controlling ownership interest held by third parties and was 63.0% owned by the Company as of December 31, 2020 and consolidated in the Company's consolidated financial statements. As a result of the transaction at March 31, 2021, the non-controlling ownership interest in 2018-C held by third parties is zero.

At inception, the Operating Partnership was a majority owned partnership that had a non-controlling ownership interest held by an unaffiliated third party included in non-controlling interests on the Company’s consolidated balance sheet. At December 31, 2018, the Company owned 96.8% of the outstanding operating partnership units ("OP Units") and the remaining 3.2% of the OP Units were owned by the unaffiliated holder. The OP units were exchangeable on a 1-for-1 basis with shares of the Company’s common stock. During the second quarter of 2019, all 624,106 OP units held by the unaffiliated holder were exchanged for shares of the Company’s common stock. As a result, at March 31, 2021, the Operating Partnership was 100% owned by the Company. All controlled subsidiaries are included in the Company's consolidated financial statements and all intercompany accounts and transactions have been eliminated in consolidation.

The Company’s 19.8% investment in the Manager and 8.0% investment in 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 the Manager or GAFS since each is privately held.

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.

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Summary of Significant Accounting Policies

3 Months Ended

Mar. 31, 2021

Accounting Policies [Abstract]

Summary of Significant Accounting Policies

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, prior to the adoption of ASU 2016-13, Financial Instruments - Credit Losses, otherwise known as CECL, on January 1, 2020, the Company was required to account for the mortgage loans pursuant to ASC 310-30, Accounting for Loans with Deterioration in Credit Quality. Under both standards, the Company’s recognition of interest income for loans with deteriorated credit quality ("PCD loans") is based upon its 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.

Under both CECL and ASC 310-30, 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. However, CECL allows more flexibility to the Company to adjust its loan pools as the underlying risk factors change over time. Under ASC 310-30, RPLs were determined by the Company to have common risk characteristics and were accounted for as a single loan pool for loans acquired within each three-month calendar quarter. Similarly, NPLs were determined to have common risk characteristics and were accounted for as a single non-performing pool for loans acquired within each three-month calendar quarter. The result was generally two additional pools (RPLs and NPLs) each quarter. Under CECL, the Company has re-aggregated its loan pools around similar risk factors, while eliminating the previous distinction for the quarter in which loans were acquired. This resulted in a reduction of the number of loan pools to four as of March 31, 2020. The number of pools was then re-evaluated and increased to six as of June 30, 2020 through December 31, 2020 and is at five loan pools as of March 31, 2021. Each loan pool is oriented around 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 credit losses. Under CECL, upon the acquisition of PCD loans the Company records the acquisition as three separate elements for 1) the amount of purchase discount which the Company expects to recover through eventual repayment by the borrower, 2) an allowance for future expected credit loss and 3) the 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. Cash flows expected at acquisition include all cash flows directly related to the acquired 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. If the Company expects to collect greater cash flows over the life of the pool, any prior allowance is reversed to the extent of the increase and the expected yield to maturity is adjusted on a prospective basis. The allowance for credit losses is increased when the Company estimates it will not collect all amounts previously estimated to be collectible. Increases in loan yield expectations, whether caused by timing or loan performance, are reported in the period in which they arise and are reflected as a reduction in the provision for losses even if no provision expense was previously recorded. Management assesses the credit quality of the portfolio and the adequacy of loan loss reserves on a quarterly basis, or more frequently as necessary. Significant judgment is required in this analysis. Depending on the expected recovery of its investment, the Company considers the estimated net recoverable value of the loan pools as well as other factors, such as the fair value of the underlying collateral. Because these determinations are based upon projections of future economic events, which are inherently subjective, the amounts ultimately realized may differ materially from the carrying value as of the reporting date.

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 also acquires loans that have not experienced a deterioration in credit quality and originates SBC loans which are also subject to the provisions of CECL as discussed above.

As of December 31, 2020, the Company accounted for its non-PCD loans by estimating any allowance for credit losses for its non-PCD loans based on historical experience and the risk characteristics of the individual loans. Impaired loans are carried at the present value of expected future cash 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.

If necessary, an allowance for loan losses is established through a provision for loan losses charged to expenses. The allowance is the difference between the present value of the expected future cash flows from the loan and the contractual balance due.

Investments in Securities at Fair Value

The Company’s Investments in Securities at Fair Value as of March 31, 2021 and December 31, 2020 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 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 income. 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 as of March 31, 2021 and December 31, 2020 consist of investments in the trust certificates issued by joint ventures which the Company forms with third party institutional accredited investors. The trust certificates represent the residual interest of any special purpose entity formed to facilitate certain investments. The Company adopted CECL with respect to its Investment in beneficial interests on January 1, 2020. The methodology is similar to that described in "Mortgage Loans" except that the Company only recognizes its ratable share of gain, loss, income or expense.

Real Estate

The Company acquires real estate properties directly through purchases, when it forecloses on the borrower and takes title to the underlying property, or 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. Rental properties are intended to be held as long-term investments but may eventually be reclassified as held-for-sale. Property that arose through conversions of mortgage loans in the Company's portfolio such as when a mortgage loan is foreclosed upon and the Company takes title to the property or the borrower surrenders the deed in lieu of foreclosure is generally held for investment as rental property if the cash flows from use as a rental exceed the present value of expected cash flows from a sale. The Company also acquires rental properties through direct purchases of properties for its rental portfolio. Depreciation is provided for using the straight-line method over the estimated useful lives of the assets of 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, such as prolonged vacancy, identification of materially adverse legal or environmental factors, changes in expected ownership period or a decline in market value to an amount less than cost. This analysis is performed at the property level. The cash flows are estimated based on a number of assumptions that are subject to economic and market uncertainties including, among others, demand for rental properties, competition for customers, changes in market rental rates, costs to operate each property and expected ownership periods.

Renovations are performed by the Servicer, and those costs are then reimbursed to the Servicer. Any renovations on properties which the Company elects to hold as rental properties are capitalized as part of the property’s basis and depreciated over the remaining estimated useful life of the property. The Company may perform property renovations to maximize the value of a property for either its rental strategy or for resale.

Preferred Stock

During the quarter 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 third party 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, each at a purchase price per share of $25.00. The shares have a liquidation preference of $25.00 per share.

Put Option Liability

As part of the Company’s capital raise transactions during the quarter 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. 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 warrants were recorded as a liability in the Company's consolidated balance sheet as a put option liability with an original basis of $9.5 million. The Company is accreting the amount of the liability under the effective interest method to its expected future put value of $50.7 million 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.

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 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 deferred costs when incurred and amortized over the contractual life of the related borrowing.

Convertible Senior Notes

On April 25, 2017, the Company completed the public offer and sale of $87.5 million in aggregate principal amount of its convertible senior notes (the “notes”) due 2024, with follow-on offerings of an additional $20.5 million and $15.9 million, respectively, in aggregate principal amount completed on August 18, 2017 and November 19, 2018, respectively, which, combined with the notes from the April offering form a single series of fungible securities. The 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 notes will mature on April 30, 2024, unless earlier repurchased, converted or redeemed.  During certain periods and subject to certain conditions the notes will be convertible by their holders into shares of the Company’s common stock at a conversion rate of 1.7279 shares of common stock per $25.00 principal amount of the notes, which represents a conversion price of approximately $14.47 per share of common stock. The conversion rate, and thus the conversion price, may be subject to adjustment under certain circumstances.

Coupon interest on the 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 deduction from the notes, and are amortized to interest expense on an effective yield basis through April 30, 2023, the date at which the 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. A cumulative discount at issuance of $3.2 million, representing the fair value of the embedded conversion feature, was recorded to stockholder equity. No sinking fund has been established for redemption of the principal.

During the first quarter of 2021, the Company completed a convertible note repurchase with a principal amount of $2.5 million for a purchase price of $2.4 million. The carrying amount of the equity component representing the embedded conversion feature reversed from Additional paid-in capital due to the first quarter of 2021 transaction was zero. During the first and third quarter of 2020, the Company completed a series of convertible note repurchases for aggregate principal amounts of $8.0 million and $2.5 million, respectively, for total purchase prices of $8.2 million and $2.3 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 third quarter of 2020 transactions were $0.1 million and zero, respectively.

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 May 1, 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 has the option to pay up to 100% of the base and incentive fees in cash rather than in half cash and half shares of its common stock. Management fees are expensed

in the quarter incurred and the portion payable in common stock (if any) is included in stockholders’ equity 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 unpaid principal balance (“UPB”) to 1.25% annually of UPB for loans that are non-performing at acquisition. For certain of the Company's joint ventures, the servicing fee rate for RPLs is reduced to an annual servicing fee rate of 0.42% on a loan-by-loan basis for any loan that makes seven consecutive payments. Servicing fees are paid monthly. The total fees incurred by the Company for these services depend 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 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, property values, previous UPB of the relevant loan, and the number of 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) are determined based on the higher of the most recently reported book value or the average of the closing prices of the Company's common stock on the New York Stock Exchange ("NYSE") on the five business days after the date on which the most recent regular quarterly dividend to holders of the common stock is paid. Any management fees paid in common stock are recognized as an expense in the quarter incurred and recorded in stockholders' equity 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 award, including grants of long-term incentive plan units (“LTIP Units”) from the Operating Partnership, available for issuance under the Director Plan is 76,000 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, each of the Company’s independent directors receives an annual fee of $100,000, payable quarterly, 40% in shares of the Company’s common stock and 60% in cash. Stock-based expense for the directors’ annual fee is expensed as earned, in equal quarterly amounts during the year, and recorded in stockholders' equity at quarter end.

On June 7, 2016, the Company’s stockholders approved the 2016 Equity Incentive Plan (the “2016 Plan”) 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 exercise of all outstanding options and the conversion of all warrants and convertible senior notes, including OP Units and any LTIP Units, 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. The share grants vest over three years, with one third of the shares vesting on each of the first, second and third anniversaries of the grant date. The shares may not be sold until the third anniversary of the grant date.

Directors’ Fees

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

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.

Cash Held in Trust

Cash held in trust consists of restricted cash balances either legally due to lenders or held in trust for the benefit of the Company's secured borrowings, and is segregated from the Company’s other cash deposits. Cash held in trust is not available to the Company for any purpose other than the settlement of existing obligations.

Earnings per Share

The Company grants restricted 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 the 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.

•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 value of transfers of mortgage loans to REO is based upon the present value of future expected cash flows of the loans being transferred.

The Company values its investments in debt securities using estimates provided by its 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 Company also 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 Company's investment in the Manager is valued by applying an earnings multiple to base fee revenue.

The Company's investments 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 investment in GAFS, including warrants, is determined by applying an earnings multiple to expected earnings.

The fair value of the Company's investment in Gaea is estimated using a projected net operating income for its property portfolio.

The fair value of the Company's investment 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 the Company's put option liability is adjusted to approximate market value through earnings. Fair value is determined using a discounted cash flow methodology based on the future value of the liability.

The fair value of secured borrowings is estimated using estimates 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’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 Company’s convertible senior 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.

Property held-for-sale is carried at the lower of its acquisition basis or net realizable value. Net realizable value is determined based on broker price opinions, 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, Cash held in trust, 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 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 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. Income from these two 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 evaluates tax positions taken in its consolidated financial statements under the interpretation for accounting for uncertainty in income taxes. As a result of this evaluation, the Company may recognize a tax benefit from an uncertain tax position only if it is “more-likely-than-not” that the tax position will be sustained on examination by taxing authorities.

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.

Reclassifications

The Company combined its Property held-for-sale, net and Rental property, net lines with balances of $7.8 million and $0.7 million, respectively, in its December 31, 2020 consolidated balance sheet into a single line, Real estate owned properties, net, to conform to the current period presentation. There was no effect on the Company's reported earnings or cash flows for the periods presented. The Company reclassified its put option liability of $14.2 million at December 31, 2020, from Accrued expenses and other liabilities on the consolidated balance sheets to a separate line, Put option liability, to conform to the current period presentation. There was no effect on the Company's reported earnings or cash flows for the periods presented. The Company also reclassified its loans and securities credit loss expenses of $0.4 million for the three month period ended March 31, 2020, from Recovery of/(provision for) losses to Interest income on its consolidated statement of income to align the presentation with the method the Company uses to evaluate these results.

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 December 2019, the FASB issued ASU 2019-12, Income Taxes (Topic 740) - Simplifying the Accounting for Income Taxes. The amendments in this update simplify the accounting for income taxes by removing certain exceptions and adding certain clarifications to rules and definitions used in the calculation of the income tax provision. This guidance is effective for interim and annual reporting periods beginning after December 15, 2020, with early adoption permitted, including adoption in any interim period. The Company adopted ASU 2019-12 in the first quarter of 2021 with no effect on its consolidated assets or liabilities, consolidated net income or equity or cash flows on the date of adoption.

In January 2020, the FASB issued ASU 2020-01, Investments – Equity Securities (Topic 321, Investments) – Equity Method and Joint Ventures (Topic 323), and Derivatives and Hedging (Topic 815). The amendments in this update clarify the interactions between Topic 321, Topic 323, and Topic 815, which clarifies aspects of accounting for investments in equity-method investees acquired through step acquisitions to require remeasurement of an investment immediately before adopting the equity method of accounting if the investor identifies observable price changes in orderly transactions for an identical or similar investment of the same issuer, and also requires such remeasurement upon discontinuance of the equity method. The amendments also clarify whether upon settlement of a forward contract or option the underlying security would be accounted for under the Equity Method (Topic 323) or the fair value option (Topic 825). This guidance is effective for interim and annual reporting periods beginning after December 15, 2020, with early adoption permitted, including adoption in any interim period. The Company adopted ASU 2020-01 in the first quarter of 2021 with no effect on its consolidated assets or liabilities, consolidated net income or equity or cash flows on the date of adoption.

Recently Issued 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 as 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 and recognition as derivatives. This guidance is effective for interim and annual reporting periods beginning after December 15, 2021, with early adoption permitted, including adoption in any interim period. The Company is currently evaluating the impact on its consolidated financial statements and related disclosures.

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Mortgage Loans

3 Months Ended

Mar. 31, 2021

Mortgage Loans [Abstract]

Mortgage Loans

Mortgage Loans

The following table presents information regarding the carrying value for the Company's RPLs, NPLs and SBC loans as of March 31, 2021 and December 31, 2020 ($ in thousands):

	March 31, 2021				December 31, 2020
Loan portfolio basis by asset type	Mortgage loans held-for-investment, net		Mortgage loans held-for-sale, net		Mortgage loans held-for-investment, net		Mortgage loans held-for-sale, net
Residential RPLs	$	928,844	$	131,719	$	1,057,454	$	—
Residential NPLs	37,912		—		38,724		—
SBC loans	25,055		—		23,194		—
Total	$	991,811	$	131,719	$	1,119,372	$	—

Included on the Company’s consolidated balance sheets as of March 31, 2021 and December 31, 2020 are approximately $1.0 billion and $1.1 billion, respectively, of RPLs, NPLs, and SBCs that are held-for-investment and approximately $131.7 million and zero, respectively, of RPLs that are held-for-sale. The categorization of RPLs, NPLs and

SBCs is determined at acquisition. The carrying value of RPLs, NPLs and SBCs reflects the original investment amount, plus accretion of interest income and credit and non-credit discount, less principal and interest cash flows received. The carrying values at March 31, 2021 and December 31, 2020 for the Company's loans in the table above are presented net of a cumulative allowance for loan credit losses of $17.9 million and $13.7 million, respectively, reflected in the appropriate lines in the table by loan type. For the three months ended March 31, 2021, the Company recognized a $5.5 million acceleration of purchase discount on loans that paid off during the quarter as actual payoffs exceeded modeled expectations. For the three months ended March 31, 2020, the Company recognized $1.9 million of provision for loan losses. For the three months ended March 31, 2021 and March 31, 2020, the Company accreted $23.1 million and $19.6 million, respectively, net of credit impairments and recoveries 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, and incorporate any prepayment assumptions utilized in the expected cash flows. 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 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 months ended March 31, 2021 and 2020, the Company purchased 199 and 26 RPLs with UPB of $36.0 million and $2.0 million, respectively. During the three months ended March 31, 2021 and 2020, three and one NPLs were purchased with UPB of $0.7 million and $0.2 million, respectively. During the three months ended March 31, 2021, the Company acquired one SBC loan with UPB of $3.6 million. No SBC loans were acquired during the three months ended March 31, 2020.

During the three months ended March 31, 2021 the Company sold no mortgage loans. Comparatively, during the three months ended March 31, 2020 the Company sold 26 loans with a carrying value of $26.1 million and UPB of $26.2 million and collateral value of $44.2 million. 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, $10.2 million of loan discount was reclassified to the allowance for credit losses with no net impact on the amortized cost basis of the portfolio. The Company views its mortgage loan portfolio based on loan performance, or legal ownership for loans held by certain consolidated trusts, and uses five and six pools at March 31, 2021 and December 31, 2020, respectively, to aggregate its portfolio of PCD loans, and one pool for its non-PCD loans as of both March 31, 2021 and December 31, 2020. Among the PCD loans, separate pools exist for loans that have been securitized in rated secured borrowings during 2019, 2020 and 2021 ("Great Ajax II REIT") and for loans that are consolidated under U.S. GAAP but where the Company does not own 100% of the loan pool (2017-D and 2018-C). During the quarter ending March 31, 2021 the Company acquired the non-controlling interest in securitization trust 2018-C previously held by its joint venture partner. As a result of the acquisition, the non-controlling interest was eliminated and the loans in securitization trust 2018-C were reclassified into to new pools based on their status as of the acquisition date of the non-controlling interest. Subsequent to the acquisition date, a significant portion of the loans from 2018-C were added to the Great Ajax II REIT pool as these loans became the collateral for a secured borrowing at that entity. As of March 31, 2021 the loans pooled under 2017-D were designated as held-for-sale while these loans were considered held-for-investment as of December 31, 2020. Since the criteria for pooling loans includes a combination of both performance and legal ownership by subsidiary trust, these factors are not always mutually exclusive. The following table presents information regarding the year of origination of the Company's mortgage loan portfolio by basis as of March 31, 2021 and December 31, 2020 ($ in thousands):

	March 31, 2021
Mortgage loans held-for-investment, net	2021		2020		2019		2018		2017		2016		2009-2015		2006-2008		2005 and prior		Total
Great Ajax II REIT	$	—	$	860	$	179	$	1,305	$	489	$	2,046	$	53,144	$	394,518	$	143,521	$	596,062
California	—		2,207		—		926		368		—		4,396		47,600		12,496		67,993
7f7 and better	—		—		1,116		—		—		291		14,039		77,071		29,411		121,928
4f4-6f6 and below	—		—		1,563		2,034		341		305		24,420		103,672		40,279		172,614
Non-PCD	3,600		21,652		4,468		74		2,562		118		706		22		12		33,214
Total	$	3,600	$	24,719	$	7,326	$	4,339	$	3,760	$	2,760	$	96,705	$	622,883	$	225,719	$	991,811

	March 31, 2021
Mortgage loans held-for-sale, net	2021		2020		2019		2018		2017		2016		2009-2015		2006-2008		2005 and prior		Total
2017-D	$	—	$	—	$	—	$	—	$	121	$	—	$	6,929	$	93,353	$	31,316	$	131,719
Total	$	—	$	—	$	—	$	—	$	121	$	—	$	6,929	$	93,353	$	31,316	$	131,719

	December 31, 2020
Mortgage loans held-for-investment, net	2020		2019		2018		2017		2016		2009-2015		2006-2008		2005 and prior		Total
Great Ajax II REIT	$	—	$	—	$	257	$	488	$	1,991	$	41,746	$	280,606	$	99,909	$	424,997
2018-C	—		—		—		—		—		14,100		119,343		39,778		173,221
2017-D	—		—		—		121		—		6,826		94,711		32,238		133,896
California	2,221		952		1,484		362		—		5,292		60,393		18,084		88,788
7f7 and better	—		911		434		—		2,125		17,520		88,414		32,831		142,235
4f4-6f6 and below	872		1,397		2,054		336		305		13,409		78,202		30,239		126,814
Non-PCD	21,387		4,738		64		2,493		99		611		20		9		29,421
Total	$	24,480	$	7,998	$	4,293	$	3,800	$	4,520	$	99,504	$	721,689	$	253,088	$	1,119,372

The following table presents a reconciliation between the purchase price and par value for the Company's loan acquisitions and originations for the three months ended March 31, 2021 and 2020 ($ in thousands):

	Three months ended March 31,
	2021				2020
	PCD Loans		Non PCD Loans		PCD Loans		Non PCD Loans
Par	$	36,696	$	3,611	$	227	$	1,952
Discount	(2,929)		(8)		(37)		(747)
Allowance	(1,733)		—		(4)		—
Purchase Price	$	32,034	$	3,603	$	186	$	1,205

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

loan credit losses when there are changes in its expectation of future cash flows. An increase to the allowance for losses will occur when there is a reduction in the Company's expected future cash flows. Reduction to the allowance, or recovery, may occur if there is an increase in expected future cash flows that were previously subject to a provision for loss. A decrease in the allowance is generally facilitated by reclassifying amounts from non-credit discount to the allowance and then recording the recovery. During the three months ended March 31, 2021 the Company recorded a $5.4 million reclassification from non-credit discount to the allowance for losses followed by a $5.5 million reversal of the allowance for losses for loans that prepaid in full or in part during the quarter where actual payments exceeded expectations and a $3.8 million reclassification from non-credit discount to the allowance to reflect the impact of dissolving pool 2018-C and moving the loans to the remaining pools. The Company also reclassified $1.7 million of allowance to non-credit discount to reflect the impact of moving pool 2017-D to mortgage loans held-for-sale, net and recorded a $1.7 million increase in the allowance for new acquisitions. Comparatively, during the three months ended March 31, 2020, the Company recorded a reclassification from non-credit discount to the allowance for losses in the amount of $1.9 million and an incremental provision expense of $1.9 million. An analysis of the balance in the allowance for loan losses account follows ($ in thousands):

	Three months ended March 31,
	2021		2020
Allowance for loan credit losses, beginning of period	$	(13,712)	$	(1,960)
Beginning period adjustment for CECL	—		(10,156)
Reclassification from non-credit discount to the allowance for changes in payment expectations	(5,398)		—
Reclassification from non-credit discount to the allowance for losses for repooling adjustments	(3,834)		—
Increase in allowance for loan credit losses for loan acquisitions	(1,733)		(4)
Amortization of credit loss expense on mortgage loans	(454)		(229)
Reclassification from non-credit discount to the allowance for losses for increases in actual and projected cash flows	—		(1,894)
Reversal of/(increase in) provision for credit losses due to increases/(decreases) in actual and/or forecasted cash flows	5,500		(1,893)
Reversal of allowance for reclass of pool 2017-D to mortgage loans held-for-sale, net	1,741		—
Allowance for loan credit losses, end of period	$	(17,890)	$	(16,136)

The following table sets forth the carrying value of the Company’s mortgage loans by delinquency status as of March 31, 2021 and December 31, 2020 ($ in thousands):

	March 31, 2021
Mortgage loans held-for-investment, net	Current		30		60		90		Foreclosure		Total
Great Ajax II REIT	$	488,212	$	47,370	$	17,714	$	40,859	$	1,907	$	596,062
California	9,911		6,569		9,795		35,319		6,399		67,993
7f7 and better	23,961		19,887		19,316		57,878		886		121,928
4f4-6f6 and below	9,374		15,289		9,229		103,353		35,369		172,614
Non-PCD	32,400		67		63		47		637		33,214
Total	$	563,858	$	89,182	$	56,117	$	237,456	$	45,198	$	991,811

	March 31, 2021
Mortgage loans held-for-sale, net	Current		30		60		90		Foreclosure		Total
2017-D	$	65,047	$	20,019	$	9,678	$	35,067	$	1,908	$	131,719
Total	$	65,047	$	20,019	$	9,678	$	35,067	$	1,908	$	131,719

	December 31, 2020
Mortgage loans held-for-investment, net	Current		30		60		90		Foreclosure		Total
Great Ajax II REIT	$	311,941	$	48,266	$	19,559	$	43,364	$	1,867	$	424,997
2018-C	70,034		20,541		15,300		57,538		9,808		173,221
2017-D	58,198		24,906		12,437		36,106		2,249		133,896
California	42,214		7,660		5,519		29,343		4,052		88,788
7f7 and better	72,613		14,003		12,447		41,383		1,789		142,235
4f4-6f6 and below	13,976		10,773		7,157		68,677		26,231		126,814
Non-PCD	22,562		6,099		56		704		—		29,421
Total	$	591,538	$	132,248	$	72,475	$	277,115	$	45,996	$	1,119,372

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Real Estate Assets, Net

3 Months Ended

Mar. 31, 2021

Real Estate [Abstract]

Real Estate Assets, Net

Real Estate Assets, Net

The Company acquires real estate assets either through direct purchases of properties for its rental portfolio or through conversions of mortgage loans in its portfolio such as 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

The Company's REO property consists of property held-for-sale and rental property. REO property is considered held-for-sale if the REO is expected to be actively marketed for sale. As of March 31, 2021 and December 31, 2020, the Company’s net investments in real estate owned properties were $7.1 million and $8.5 million, respectively, which included balances relating to properties held-for-sale of $6.7 million and $7.8 million, respectively, and rental properties of $0.4 million and $0.7 million, respectively. Also, included in the properties held-for-sale balance for both periods as of March 31, 2021 and December 31, 2020, was $0.3 million for properties undergoing renovation or which are otherwise in the process of being brought to market. As of March 31, 2021 and December 31, 2020, the Company had a total of 31 and 38 real estate owned properties, respectively, which included 26 and 32 held-for-sale properties, respectively, and five and six rental properties, respectively. For the three months ended March 31, 2021 and 2020, all of the additions to REO held-for-sale were acquired through foreclosure or deed in lieu of foreclosure, and reclassified out of the mortgage loan portfolio and transfers from rental properties.

The following table presents the activity in the Company’s carrying value of property held-for-sale and rental property for the three months ended March 31, 2021 and 2020 ($ in thousands):

	Three months ended March 31,
	2021			2020
Property Held-for-sale and Rental Property	Count	Amount		Count	Amount
Balance at beginning of period	38	$	8,526	68	$	15,071
Net transfers from mortgage loans	2	228		5	814
Adjustments to record at lower of cost or fair value	—	(171)		—	(897)
Depreciation on rental properties	—	(3)		—	(8)
Disposals	(9)	(1,482)		(19)	(2,730)
Balance at end of period	31	$	7,098	54	$	12,250

Dispositions

During the three months ended March 31, 2021 and 2020, the Company sold nine and 19 REO properties, respectively, realizing net gains of approximately $0.1 million and $0.4 million, respectively. These amounts are included in Other income on the Company's consolidated statements of income. The Company recorded lower of cost or net realizable value adjustments in Real estate operating expense for the three months ended March 31, 2021 and 2020 of $0.2 million and $0.9 million, respectively.

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Investments

3 Months Ended

Mar. 31, 2021

Investments, Debt and Equity Securities [Abstract]

Investments

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 has sponsored but which 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. 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, 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):

	As of March 31, 2021
	Basis(1)		Gross unrealized gains		Gross unrealized losses		Carrying value (fair value)
Debt securities	$	263,001	$	1,926	$	(245)	$	264,682
Beneficial interests in securitization trusts	94,893		—		—		94,893
Total investments	$	357,894	$	1,926	$	(245)	$	359,575

(1)Basis amount is net of any amortized discount, allowance for credit losses, principal paydowns and interest receivable on securities of $0.2 million.

	As of December 31, 2020
	Basis(1)		Gross unrealized gains		Gross unrealized losses		Carrying value (fair value)
Debt securities	$	273,459	$	1,152	$	(777)	$	273,834
Beneficial interests in securitization trusts	91,418		—		—		91,418
Total investments	$	364,877	$	1,152	$	(777)	$	365,252

(1)Basis amount is net of any amortized costs, principal paydowns and interest receivable on securities of $0.2 million.

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

	As of March 31, 2021
	Step-up date(1)	Basis(2)		Gross unrealized losses		Carrying value (fair value)
Debt securities due September 2059(3)	February 2023/April 2023	$	21,390	$	(245)	$	21,145
Total		$	21,390	$	(245)	$	21,145

(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 line is comprised of two securities that are both due in September 2059 and both have been in an unrealized loss position for 12 months or longer.

	As of December 31, 2020
	Step-up date(1)	Basis(2)		Gross unrealized losses		Carrying value (fair value)
Debt securities due September 2059(3)	February 2023/April 2023	$	22,216	$	(238)	$	21,978
Debt securities due November 2059(4)	April 2023	14,738		(61)		14,677
Debt securities due December 2059(4)	July 2023	47,270		(315)		46,955
Debt securities due September 2060(4)	March 2024	34,970		(44)		34,926
Debt securities due June 2060(4)	March 2024	35,127		(119)		35,008
Total		$	154,321	$	(777)	$	153,544

(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 line is comprised of two securities that are both due September 2059. One security with a balance of $0.2 million has been in an unrealized loss position for less than 12 months and has a step-up date in April 2023 and the other security of $0.1 million has been in a loss position for 12 months or longer and has a step-up date in February 2023.

(4)This security has been in an unrealized loss position for less than 12 months.

As of March 31, 2021, the Company recorded $1.9 million gross unrealized gains and a gross unrealized loss of $0.2 million in fair valuation adjustments in accumulated other comprehensive income on the consolidated balance sheet at a fair value of $264.7 million, which includes $0.2 million in interest receivable. As of December 31, 2020, the Company recorded $1.2 million 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 at fair value of $273.8 million, which includes $0.2 million in interest receivable.

During the three months ended March 31, 2021, the Company acquired no debt securities and beneficial interests. Comparatively during the three months ended March 31, 2020, the Company acquired $61.3 million in debt securities and beneficial interests issued by joint ventures between the Company and third party institutional accredited investors. Each joint venture issued senior notes and beneficial interests, which are trust certificates representing the residual investment in the trust.  In certain transactions, the joint ventures also issued subordinated notes. Of the $61.3 million of debt securities acquired in the three months ended March 31, 2020, the Company acquired $49.6 million in senior notes, $4.6 million in subordinate notes and $7.1 million in beneficial interests issued by joint ventures. As of March 31, 2021, the investments in debt securities and beneficial interests were carried on the Company's consolidated balance sheet at $264.7 million and $94.9 million, respectively. At December 31, 2020, the investments in debt securities and beneficial interests were carried on the Company's consolidated balance sheet at $273.8 million and $91.4 million, respectively. As of March 31, 2021 and December 31, 2020, the Company had no securities that were past due.

The following table presents a reconciliation between the purchase price and par value for the Company's beneficial interests acquisitions for the three months ended March 31, 2021 and 2020 ($ in thousands):

	Three months ended March 31,
	2021		2020
Par	$	—	$	11,970
Discount	—		(2,335)
Allowance	—		(2,553)
Purchase Price	$	—	$	7,082

The Company adopted CECL using the prospective transition approach for PCD assets for its beneficial interests on January 1, 2020, at the time $1.7 million was reclassified from discount to allowance for credit losses for its Investments in beneficial interests. Under CECL, the Company adjusts its allowance for beneficial interest losses when there are changes in its expectation of future cash flows. An increase to the allowance for losses will occur when there is a reduction in the Company’s expected future cash flows. A reduction to the allowance, or recovery, may occur if there is an increase in expected future cash flows. 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 months ended March 31, 2021, the Company recorded a $15 thousand reversal of the allowance for losses for beneficial interests. During the three months ended March 31, 2020, the Company recorded a provision

expense of $0.2 million. An analysis of the balance in the allowance for beneficial interest losses account follows ($ in thousands):

	Three months ended March 31,
	2021		2020
Allowance for beneficial interests credit losses, beginning balance	$	(4,453)	$	—
Beginning period adjustment for CECL	—		(1,668)
Incremental increase in allowance for beneficial interests	(953)		—
Increase in allowance for beneficial interest credit losses for acquisitions	—		(2,553)
Amortization of credit loss expense on beneficial interests	(139)		(2,818)
Reversal of/(increase in) provision for credit losses due to increases/(decreases) in actual and/or forecasted cash flows	15		(169)
Allowance for beneficial interests credit losses, end balance	$	(5,530)	$	(7,208)

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Fair Value

3 Months Ended

Mar. 31, 2021

Fair Value Disclosures [Abstract]

Fair Value

Fair Value

Recurring financial assets and liabilities measured and carried at fair value by level within the fair value hierarchy as of March 31, 2021 and December 31, 2020 ($ in thousands):

			Level 1		Level 2		Level 3
March 31, 2021	Carrying Value		Quoted prices in active markets		Observable inputs other than Level 1 prices		Unobservable inputs
Recurring financial assets
Investment in debt securities at fair value	$	264,682	$	—	$	264,682	$	—
Recurring financial liabilities
Put option liability	$	16,149	$	—	$	—	$	16,149

			Level 1		Level 2		Level 3
December 31, 2020	Carrying Value		Quoted prices in active markets		Observable inputs other than Level 1 prices		Unobservable inputs
Recurring financial assets
Investment in debt securities at fair value	$	273,834	$	—	$	273,834	$	—
Recurring financial liabilities
Put option liability	$	14,205	$	—	$	—	$	14,205

The following tables set forth the fair value of financial instruments by level within the fair value hierarchy as of March 31, 2021 and December 31, 2020 ($ in thousands):

			Level 1		Level 2		Level 3
March 31, 2021	Carrying value		Quoted prices in active markets		Observable inputs other than Level 1 prices		Unobservable inputs
Financial assets
Mortgage loans held-for-investment, net	$	991,811	$	—	$	—	$	1,088,730
Mortgage loans held-for-sale, net	$	131,719	$	—	$	—	$	141,780
Investments in beneficial interests	$	94,893	$	—	$	—	$	94,893
Investment in Manager	$	1,535	$	—	$	—	$	11,818
Investment in AS Ajax E LLC	$	723	$	—	$	877	$	—
Investment in AS Ajax E II LLC	$	3,115	$	—	$	3,261	$	—
Investment in GAFS, including warrants	$	2,650	$	—	$	—	$	3,320
Investment in Gaea	$	19,897	$	—	$	—	$	19,133
Investment in Loan pool LLCs	$	374	$	—	$	—	$	707
Financial liabilities
Secured borrowings, net	$	740,035	$	—	$	743,762	$	—
Borrowings under repurchase transactions	$	305,093	$	—	$	305,093	$	—
Convertible senior notes, net	$	107,971	$	111,382	$	—	$	—

			Level 1		Level 2		Level 3
December 31, 2020	Carrying value		Quoted prices in active markets		Observable inputs other than Level 1 prices		Unobservable inputs
Financial assets
Mortgage loans held-for-investment, net	$	1,119,372	$	—	$	—	$	1,232,081
Investment in beneficial interests	$	91,418	$	—	$	—	$	91,418
Investment in Manager	$	1,366	$	—	$	—	$	11,709
Investment in AS Ajax E LLC	$	776	$	—	$	934	$	—
Investment in AS Ajax E II LLC	$	3,381	$	—	$	3,484	$	—
Investment in GAFS, including warrants	$	2,711	$	—	$	—	$	3,320
Investment in Gaea	$	20,001	$	—	$	—	$	19,150
Investment in Loan pool LLCs	$	381	$	—	$	—	$	701
Financial liabilities
Secured borrowings, net	$	585,403	$	—	$	586,419	$	—
Borrowings under repurchase agreement	$	421,132	$	—	$	421,132	$	—
Convertible senior notes, net	$	110,057	$	110,675	$	—	$	—

The fair value of mortgage loans and beneficial interests 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 loan. The value of transfers of mortgage loans to REO is based upon the present value of future expected cash flows of the loans being transferred.

The Company values its investments in debt securities using estimates provided by its 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 Company also 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 Company's investment in the Manager is valued by applying an earnings multiple to base fee revenue.

The Company’s investments 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 investment in GAFS, including warrants, is determined by applying an earnings multiple to expected earnings.

The Company's investment in Gaea is estimated using a projected net operating income for its property portfolio.

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

The fair value of secured borrowings is estimated using estimates 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's put option liability is adjusted to approximate market value through earnings. Fair value is determined by using a discounted cash flow model based on the future value of the liability.

The Company’s borrowings under repurchase agreements are short-term in nature, and the Company’s management 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 convertible senior notes are traded on the NYSE; the debt’s fair value is determined from the NYSE closing price on the balance sheet date.

The carrying values of its Cash and cash equivalents, Cash held in trust, 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

Property held-for-sale is carried at the lower of its acquisition cost (cost) or net realizable value. Net realizable value is determined based on appraisals, broker price opinions, 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 March 31, 2021 and December 31, 2020 ($ in thousands):

					Level 1		Level 2		Level 3
March 31, 2021	Carrying value		Three months ended fair value adjustment recognized in the consolidated statements of income		Quoted prices in active markets		Observable inputs other than Level 1 prices		Unobservable inputs
Non-financial assets
Property held-for-sale	$	6,736	$	(171)	$	—	$	—	$	6,736

					Level 1		Level 2		Level 3
December 31, 2020	Carrying value		Fair value adjustment recognized in the consolidated statements of income		Quoted prices in active markets		Observable inputs other than Level 1 prices		Unobservable inputs
Non-financial assets
Property held-for-sale	$	7,807	$	(1,359)	$	—	$	—	$	7,807

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Affiliates

3 Months Ended

Mar. 31, 2021

Investments in and Advances to Affiliates, Schedule of Investments [Abstract]

Affiliates

AffiliatesUnconsolidated Affiliates

On November 22, 2019, Gaea completed a private capital raise transaction in which it raised $66.3 million from the issuance of 4,419,641 shares of its common stock to third parties to allow it to continue to advance its investment strategy. Upon completion of the capital raise, the Company retained ownership of approximately 23.2% of Gaea with third party investors owning the remaining approximately 76.8%. The Company recognized no gain or loss on the transaction as Gaea's fair value at the date of the deconsolidation did not represent a material change from the fair values of its recently acquired assets and liabilities due to the limited lapse of time since their acquisitions. At March 31, 2021 the Company owned approximately 22.9% of Gaea with third party investors owning the remaining approximately 77.1%. The Company accounts for its investment 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. The Company accounts for its investment using the equity method.

During 2018, the Company acquired an 8.0% ownership interest in GAFS. The acquisition was completed in two transactions. On January 26, 2018, the Company in an initial closing acquired a 4.9% interest in GAFS and three warrants, each exercisable for a 2.45% interest in GAFS upon payment of additional consideration, in exchange for consideration of $1.1 million of cash and 45,938 shares of the Company’s common stock with a value of approximately $0.6 million. On May 29, 2018 the additional closing was completed wherein the Company acquired an additional 3.1% interest in GAFS and three warrants, each exercisable for a 1.55% interest in GAFS, in exchange for consideration of $0.7 million of cash and 29,063 shares of the Company's common stock with a value of approximately $0.4 million. The Company accounts for its investment in GAFS 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 residential real estate assets. AS Ajax E LLC owns a 5% equity interest in Ajax E Master Trust which holds a portfolio of RPLs. At the time of the original investment, the Company held a 24.2% interest in AS Ajax E LLC. In October 2016, additional capital contributions were made by third parties, and the Company’s ownership interest in AS Ajax E was reduced to a lower percentage of the total. As of March 31, 2021 and December 31, 2020, the Company’s interest in AS Ajax E LLC was approximately 16.5%. The Company accounts for its investment using the equity method.

Upon the closing of the Company’s original private placement in July 2014, the Company received a 19.8% equity interest in the Manager, a privately held company for which there is no public market for its securities. The Company accounts for its investment in the Manager 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 March 31,
Net income/(loss) at 100%	2021		2020
Thetis Asset Management LLC	$	851	$	(4,877)
Gaea Real Estate Corp.	$	78	$	15
AS Ajax E LLC	$	54	$	62
Loan pool LLCs	$	(16)	$	198
Great Ajax FS LLC	$	(777)	$	(3,450)

	March 31, 2021				December 31, 2020
Assets and Liabilities at 100%	Assets		Liabilities		Assets		Liabilities
Thetis Asset Management LLC	$	9,681	$	1,533	$	9,531	$	2,122
Gaea Real Estate Corp.	$	94,259	$	11,844	$	94,639	$	11,886
AS Ajax E LLC	$	4,482	$	2	$	4,808	$	2
Loan pool LLCs	$	2,410	$	3,964	$	2,423	$	3,961
Great Ajax FS LLC	$	56,457	$	36,807	$	56,532	$	36,101

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

	Three months ended March 31,
Net income/(loss) at the Company's share	2021		2020
Thetis Asset Management LLC	$	168	$	(966)
Gaea Real Estate Corp.	$	18	$	4
AS Ajax E LLC	$	9	$	10
Loan pool LLCs	$	(7)	$	79
Great Ajax FS LLC	$	(62)	$	(276)

	March 31, 2021				December 31, 2020
Assets and Liabilities at the Company's share	Assets		Liabilities		Assets		Liabilities
Thetis Asset Management LLC	$	1,917	$	304	$	1,887	$	420
Gaea Real Estate Corp.	$	21,642	$	2,719	$	21,729	$	2,729
AS Ajax E LLC	$	738	$	—	$	791	$	—
Loan pool LLCs	$	967	$	1,597	$	973	$	1,595
Great Ajax FS LLC	$	4,517	$	2,945	$	4,523	$	2,888

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 LLC, which was established to hold an equity interest in a Delaware trust formed to own residential mortgage loans and residential real estate assets. As of March 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 debt. As of March 31, 2021, 2017-D was 50.0% owned by a third-party institutional accredited investor. Great Ajax II REIT holds an interest in 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. Great Ajax II REIT was 99.9% owned by the Company as of March 31, 2021 and December 31, 2020.

During the first quarter of 2021, the Company acquired the remaining ownership of 2018-C, a subsidiary that previously had non-controlling ownership interest held by third parties and was 63.0% owned by the Company as of December 31, 2020. As of March 31, 2021, 2018-C was 100.0% owned by the Company and the previous non-controlling interest had been reduced to zero.

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Commitments and Contingencies

3 Months Ended

Mar. 31, 2021

Commitments and Contingencies Disclosure [Abstract]

Commitments and Contingencies

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 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 March 31, 2021, the Company had commitments to purchase, subject to due diligence, 235 RPLs and NPLs secured by single-family residences with aggregated UPB of $104.5 million. The Company will only acquire loans that meet the acquisition criteria for its own portfolios or those of its third party institutional accredited co-investors. See Note 15 — Subsequent Events, for remaining open acquisitions as of the filing date.

During the quarter 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, each at a purchase price per share of $25.00 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. 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. Accordingly, the Company has recognized a liability on its consolidated balance sheet within accrued expenses and other liabilities at March 31, 2021 for the present value of the put liability of $16.1 million. The Company is accreting the amount of the liability under the effective interest method to its expected future put value of $50.7 million and marks the obligation to market through earnings. The expense is recognized in the Fair value adjustment on put option liability line of the Company's consolidated statements of income. The following table sets forth the details of the Company's put option liability ($ in thousands):

	Three months ended March 31,
	2021		2020
Beginning balance	$	14,205	$	—
Fair value adjustments during the period	1,944		—
Ending balance	$	16,149	$	—

The full extent of the impact of COVID-19 on the global economy generally, and the Company's business in particular, is uncertain. As of March 31, 2021, no contingencies have been recorded on the Company's consolidated balance sheet as a result of COVID-19, however as the global pandemic continues, it may have long-term adverse impacts on the Company's financial condition, results of operations, and cash flows.

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 March 31, 2021, 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.

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Debt

3 Months Ended

Mar. 31, 2021

Debt Disclosure [Abstract]

Debt

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 $250.0 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 LIBOR, 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 the class B bonds and certificates from the Company's secured borrowing 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 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):

				March 31, 2021
Maturity Date	Origination date	Maximum Borrowing Capacity		Amount Outstanding		Amount of Collateral		Percentage of Collateral Coverage		Interest Rate
April 5, 2021	January 6, 2021	$	34,568	$	34,568	$	43,784	127	%	1.74	%
April 6, 2021	January 6, 2021	7,530		7,530		9,723		129	%	1.79	%
April 6, 2021	January 6, 2021	4,588		4,588		5,890		128	%	1.79	%
April 6, 2021	January 6, 2021	4,544		4,544		5,738		126	%	1.79	%
April 6, 2021	January 6, 2021	3,233		3,233		4,667		144	%	1.94	%
April 9, 2021	October 13, 2020	33,084		33,084		41,718		126	%	2.35	%
April 12, 2021	January 11, 2021	5,706		5,706		7,328		128	%	1.77	%
April 15, 2021	January 14, 2021	6,582		6,582		8,145		124	%	1.83	%
April 20, 2021	January 20, 2021	12,127		12,127		15,505		128	%	1.82	%
April 22, 2021	March 17, 2021	3,896		3,896		5,130		132	%	1.66	%
April 26, 2021	January 27, 2021	7,982		7,982		9,279		116	%	1.21	%
April 26, 2021	January 27, 2021	5,177		5,177		6,063		117	%	1.21	%
April 26, 2021	January 27, 2021	6,295		6,295		7,276		116	%	1.21	%
April 30, 2021	February 1, 2021	11,992		11,992		14,767		123	%	1.81	%
April 30, 2021	February 1, 2021	11,825		11,825		15,005		127	%	1.81	%
April 30, 2021	February 1, 2021	5,157		5,157		6,610		128	%	1.81	%
April 26, 2021	February 1, 2021	3,892		3,892		4,876		125	%	1.81	%
April 30, 2021	February 1, 2021	2,794		2,794		3,662		131	%	1.81	%
April 30, 2021	February 1, 2021	2,369		2,369		3,360		142	%	1.96	%
April 30, 2021	February 1, 2021	1,133		1,133		1,607		142	%	1.96	%
May 12, 2021	February 12, 2021	3,100		3,100		4,428		143	%	1.95	%
June 4, 2021	March 5, 2021	24,453		24,453		32,366		132	%	1.54	%
June 4, 2021	March 5, 2021	23,972		23,972		31,589		132	%	1.54	%
June 17, 2021	March 17, 2021	9,440		9,440		11,986		127	%	1.73	%
June 17, 2021	March 17, 2021	7,803		7,803		10,166		130	%	1.73	%
June 17, 2021	March 17, 2021	1,175		1,175		1,687		144	%	1.88	%
June 24, 2021	March 24, 2021	2,510		2,510		3,250		129	%	1.75	%
July 9, 2021	July 10, 2020	250,000		15,724		23,488		149	%	2.61	%
September 23, 2021	September 24, 2020	400,000		42,442		63,743		150	%	2.61	%
Totals/weighted averages		$	896,927	$	305,093	$	402,836	132	%	1.93	%

				December 31, 2020
Maturity Date	Origination date	Maximum Borrowing Capacity		Amount Outstanding		Amount of Collateral		Percentage of Collateral Coverage		Interest Rate
January 6, 2021	October 9, 2020	$	35,635	$	35,635	$	46,120	129	%	2.33	%
January 6, 2021	September 28, 2020	7,697		7,697		10,075		131	%	2.33	%
January 6, 2021	September 28, 2020	6,311		6,311		9,038		143	%	2.48	%
January 6, 2021	September 28, 2020	4,755		4,755		6,114		129	%	2.33	%
January 6, 2021	September 28, 2020	4,666		4,666		6,044		130	%	2.33	%
January 6, 2021	September 28, 2020	3,213		3,213		4,667		145	%	2.48	%
January 11, 2021	September 29, 2020	5,879		5,879		7,575		129	%	2.32	%

January 14, 2021	October 29, 2020	6,991		6,991		8,738		125	%	2.35	%
January 20, 2021	October 20, 2020	13,263		13,263		16,582		125	%	2.22	%
January 29, 2021	October 30, 2020	7,762		7,762		9,702		125	%	2.21	%
January 29, 2021	October 30, 2020	7,153		7,153		9,537		133	%	2.21	%
February 1, 2021	December 1, 2020	12,258		12,258		16,052		131	%	1.88	%
February 1, 2021	December 1, 2020	12,015		12,015		15,794		131	%	1.88	%
February 1, 2021	December 1, 2020	5,298		5,298		6,895		130	%	1.88	%
February 1, 2021	December 1, 2020	3,985		3,985		5,136		129	%	1.88	%
February 1, 2021	December 1, 2020	2,887		2,887		3,790		131	%	1.88	%
February 1, 2021	December 1, 2020	2,332		2,332		3,360		144	%	2.03	%
February 1, 2021	December 1, 2020	1,132		1,132		1,607		142	%	2.03	%
February 12, 2021	November 13, 2020	2,945		2,945		4,428		150	%	2.02	%
March 5, 2021	December 7, 2020	24,946		24,946		33,348		134	%	1.78	%
March 5, 2021	December 7, 2020	24,312		24,312		32,571		134	%	1.78	%
March 17, 2021	December 17, 2020	10,219		10,219		13,172		129	%	1.78	%
March 17, 2021	December 17, 2020	8,381		8,381		10,872		130	%	1.78	%
March 17, 2021	December 17, 2020	3,894		3,894		5,193		133	%	1.78	%
March 17, 2021	December 17, 2020	1,145		1,145		1,687		147	%	1.93	%
March 24, 2021	December 24, 2020	7,016		7,016		10,024		143	%	1.94	%
March 24, 2021	December 24, 2020	5,008		5,008		6,637		133	%	1.79	%
March 24, 2021	December 24, 2020	2,577		2,577		3,367		131	%	1.79	%
April 9, 2021	October 13, 2020	33,084		33,084		43,069		130	%	2.35	%
July 9, 2021	July 10, 2020	250,000		53,256		84,337		158	%	2.64	%
September 23, 2021	September 24, 2020	400,000		101,117		160,068		158	%	2.65	%
Totals/weighted averages		$	916,759	$	421,132	$	595,599	141	%	2.29	%

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 March 31, 2021 and December 31, 2020, the Company had $8.8 million and $4.7 million, respectively, of cash collateral on deposit with financing counterparties. This cash is included in Prepaid expenses and other assets on its consolidated balance sheets and is not netted against its Borrowings under repurchase agreements. The amount outstanding on the Company’s repurchase facilities and the carrying value of the Company’s loans pledged as collateral are presented as gross amounts in the Company’s consolidated balance sheets at March 31, 2021 and December 31, 2020 in the table below ($ in thousands):

	Gross amounts not offset in balance sheet
	March 31, 2021		December 31, 2020
Gross amount of recognized liabilities	$	305,093	$	421,132
Gross amount of loans and securities pledged as collateral	402,836		595,599
Other prepaid collateral	8,815		4,653
Net collateral amount	$	106,558	$	179,120

Secured Borrowings

From inception (January 30, 2014) to March 31, 2021, 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, six of which were outstanding at March 31, 2021. The secured borrowings are structured as debt financings and not sales through a real estate investment conduit (“REMIC”), and 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. With the exception of the Company’s 2017-D securitization, from which the Company sold a 50% interest in the Class B certificates to third parties, the Company has retained the subordinate notes and the applicable trust certificates from the one other non-rated secured borrowing outstanding at March 31, 2021.

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 at March 31, 2021. The Company’s rated secured borrowings are designated in the table below.

The Company's 2017-D secured borrowing contains 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 has retained 50% of both the Class A notes and Class B certificates from 2017-D.

The Company's 2018-C secured borrowing was structured with Class A notes, Class B notes and trust certificates representing the residual interest in the mortgages held within the securitization trusts subsequent to repayment of the Class A debt. The Company had retained 5% of the Class A notes and 63% of the Class B notes and trust certificates. During the first quarter of 2021 the Company acquired the remaining 37% ownership of the Class B notes and trust certificates and settled the remaining 95% of the outstanding Class A notes.

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.

For the Company's secured borrowing for 2017-D, if the Class A notes have not been redeemed by the payment date or otherwise paid in full 36 months after issue an interest rate step-up of 300 basis points is triggered. Twelve months after the 300 basis points step up is triggered, an additional 100 basis point step up will be triggered, and an amount equal to the aggregate interest payment amount that accrued and would otherwise be paid to the subordinate notes will be paid as principal to the Class A notes on that date and each subsequent payment date until the Class A notes are paid in full. After the Class A notes are paid in full, the subordinate notes will resume receiving their respective interest payment amounts and any interest that accrued but was not paid while the Class A notes were outstanding. As the holder of the trust certificates, the Company is entitled to receive any remaining amounts in the trusts after the Class A notes and subordinate notes have been paid in full.

The following table sets forth the original terms of all notes from our secured borrowings outstanding at March 31, 2021 at their respective cutoff dates:

Issuing Trust/Issue Date	Interest Rate Step-up Date	Security	Original Principal	Interest Rate
Non-rated
Ajax Mortgage Loan Trust 2017-D/ December 2017	April 25, 2021	Class A notes due 2057(1)	$177.8 million	3.75	%
	None	Class B certificates(1)	$44.5 million	—	%
		Deferred issuance costs	$(1.1) million	—	%
Rated
Ajax Mortgage Loan Trust 2019-D/ July 2019	July 25, 2027	Class A-1 notes due 2065	$140.4 million	2.96	%
	July 25, 2027	Class A-2 notes due 2065	$6.1 million	3.50	%

	July 25, 2027	Class A-3 notes due 2065	$10.1 million	3.50	%
	July 25, 2027	Class M-1 notes due 2065(2)	$9.3 million	3.50	%
	None	Class B-1 notes due 2065(3)	$7.5 million	3.50	%
	None	Class B-2 notes due 2065(3)	$7.1 million	variable(4)
	None	Class B-3 notes due 2065(3)	$12.8 million	variable(4)
		Deferred issuance costs	$(2.7) million	—	%
Rated
Ajax Mortgage Loan Trust 2019-F/ November 2019	November 25, 2026	Class A-1 notes due 2059	$110.1 million	2.86	%
	November 25, 2026	Class A-2 notes due 2059	$12.5 million	3.50	%
	November 25, 2026	Class A-3 notes due 2059	$5.1 million	3.50	%
	November 25, 2026	Class M-1 notes due 2059(2)	$6.1 million	3.50	%
	None	Class B-1 notes due 2059(3)	$11.5 million	3.50	%
	None	Class B-2 notes due 2059(3)	$10.4 million	variable(4)
	None	Class B-3 notes due 2059(3)	$15.1 million	variable(4)
		Deferred issuance costs	$(1.8) million	—	%
Rated
Ajax Mortgage Loan Trust 2020-B/ August 2020	July 25, 2027	Class A-1 notes due 2059	$97.2 million	1.70	%
	July 25, 2027	Class A-2 notes due 2059	$17.3 million	2.86	%
	July 25, 2027	Class M-1 notes due 2059(2)	$7.3 million	3.70	%
	None	Class B-1 notes due 2059(3)	$5.9 million	3.70	%
	None	Class B-2 notes due 2059(3)	$5.1 million	variable(4)
	None	Class B-3 notes due 2059(3)	$23.6 million	variable(4)
		Deferred issuance costs	$(1.8) million	—	%
Rated
Ajax Mortgage Loan Trust 2021-A/ January 2021	January 25, 2029	Class A-1 notes due 2065	$146.2 million	1.07	%
	January 25, 2029	Class A-2 notes due 2065	$21.1 million	2.35	%
	January 25, 2029	Class M-1 notes due 2065(2)	$7.8 million	3.15	%
	None	Class B-1 notes due 2065(3)	$5.0 million	3.80	%
	None	Class B-2 notes due 2065(3)	$5.0 million	variable(4)
	None	Class B-3 notes due 2065(3)	$21.5 million	variable(4)
		Deferred issuance costs	$(2.5) million	—	%
Non-rated
Ajax Mortgage Loan Trust 2021-B/ February 2021	August 25, 2024	Class A notes due 2066	$215.9 million	2.24	%
	February 25, 2025	Class B notes due 2066(3)	$20.2 million	4.00	%
		Deferred issuance costs	$(4.3) million	—	%

(1)Ajax Mortgage Loan Trust ("AJAXM") 2017-D is a joint venture in which a third party owns 50% of the Class A notes and 50% of the Class B certificates. The Company is required to consolidate 2017-D under U.S. GAAP and is reflecting 100% of the mortgage loans, in Mortgage loans, net. 50% of the Class A notes, which are held by the third party, are included in Secured borrowings, net. The 50% portion of the Class A notes retained by the Company have been encumbered under a repurchase agreement. 50% of the Class B certificates are recognized as Non-controlling interest.

(2)The Class M notes are subordinated, sequential pay, fixed rate notes. The Company has retained the Class M notes, with the exception of AJAXM 2021-A.

(3)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. The Company has retained the Class B notes.

(4)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.

Servicing for the mortgage loans in the Company’s secured borrowings is provided by the Servicer at servicing fee rates of 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 March 31, 2021 and December 31, 2020, and the securitization cutoff date ($ in thousands):

	Balances at March 31, 2021							Balances at December 31, 2020							Original balances at securitization cutoff date
Class of Notes	Carrying value of mortgages		Bond principal balance			Percentage of collateral coverage		Carrying value of mortgages		Bond principal balance			Percentage of collateral coverage		Mortgage UPB			Bond principal balance
2017-B	$	—	$	—		—	%	$	110,062	$	68,729		160	%	$	165,850		$	115,846
2017-D	131,719		48,660		(1)	271	%	133,897		51,256		(1)	261	%	203,870		(2)	88,903
2018-C	—		—			—	%	173,221		131,983		(3)	131	%	222,181		(4)	167,910
2019-D	140,383		115,651			121	%	148,641		125,008			119	%	193,301			156,670
2019-F	134,884		102,555			132	%	139,996		108,184			129	%	170,876			127,673
2020-B	132,863		101,707			131	%	136,360		105,601			129	%	156,468			114,534
2021-A	187,932		169,995			111	%	—		—			—	%	206,528			175,116
2021-B	263,267		212,111			124	%	—		—			—	%	287,895			215,912
	$	991,048	$	750,679	(5)	132	%	$	842,177	$	590,761	(5)	143	%	$	1,606,969		$	1,162,564

(1)The gross amount of senior bonds at March 31, 2021 and December 31, 2020 were $97.4 million and $102.6 million however, only $48.7 million and $51.3 million are reflected in Secured borrowings as the remainder is owned by the Company, respectively.

(2)Includes $26.7 million of cash collateral intended for use in the acquisition of additional mortgage loans.

(3)2018-C contained notes held by the third party institutional investors for senior bonds and class B bonds. The gross amount of the senior and class B bonds at December 31, 2020 were $132.7 million and $15.9 million, however, only $126.1 million and $5.9 million are reflected in Secured borrowings as the remainder is owned by the Company, respectively.

(4)Includes $45.5 million of cash collateral intended for use in the acquisition of additional mortgage loans.

(5)This represents the gross amount of Secured borrowings and excludes the impact of deferred issuance costs of $10.6 million and $5.4 million as of March 31, 2021 and December 31, 2020.

Convertible Senior Notes

On April 25, 2017, the Company completed the public offer and sale of $87.5 million in aggregate principal amount of its convertible senior notes (the “notes”) due 2024, with follow-on offerings of an additional $20.5 million and $15.9 million, respectively, in aggregate principal amount completed on August 18, 2017 and November 19, 2018, respectively, which, combined with the notes from the April offering form a single series of fungible securities. The 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 notes will mature on April 30, 2024, unless earlier repurchased, converted or redeemed. During certain periods and subject to certain conditions the notes will be convertible by their holders into shares of the Company’s common stock at a conversion rate of 1.7279 shares of common stock per $25.00 principal amount of the notes, which represents a conversion price of approximately $14.47 per share of common stock. The conversion rate, and thus the conversion price, may be subject to adjustment under certain circumstances.

Coupon interest on the 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 deduction from the notes, and are amortized to interest expense on an effective yield basis through April 30, 2023, the date at which the 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. A cumulative discount at issuance of $3.2 million, representing the fair value of the embedded conversion feature, was recorded to stockholder equity. No sinking fund has been established for redemption of the principal.

During the first quarter of 2021, the Company completed a convertible note repurchase with a principal amount of $2.5 million for a purchase price of $2.4 million. The carrying amount of the equity component representing the embedded conversion feature reversed from Additional paid-in capital due to the first quarter of 2021 transaction was zero. During the first and third quarters of 2020, the Company completed a series of convertible note repurchases for aggregate principal amounts of $8.0 million and $2.5 million, respectively, for total purchase prices of $8.2 million and $2.3 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 third quarter of 2020 transactions were $0.1 million and zero, respectively.

Holders may convert their notes at their option prior to April 30, 2023 only under certain circumstances. In addition, the 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 conversion rate as of March 31, 2021 equals 1.7279 shares of the Company's common stock per $25.00 principal amount of notes, which is equivalent to a conversion price of approximately $14.47 per share of common stock. The conversion rate, and thus the conversion price, may be subject to adjustment under certain circumstances. As of March 31, 2021, the amount by which the if-converted value falls short of the principal value for the entire series is $27.3 million.

The Company may not redeem the notes prior to April 30, 2022, and may redeem for cash all or any portion of the 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 notes to be redeemed, plus accrued and unpaid interest to, but excluding, the redemption date. No "sinking fund" will be provided for the notes.

At March 31, 2021, the outstanding aggregate principal amount of the notes was $110.9 million, and discount and deferred expenses were $2.9 million. During the three months ended March 31, 2021 the Company recognized interest expense of $2.4 million which includes $0.3 million of amortization of discount and deferred expenses. Comparatively at March 31, 2020, the outstanding aggregate principal amount of the notes was $115.9 million, and discount and deferred expenses were $4.4 million. During the three months ended March 31, 2020 the Company recognized interest expense of $2.4 million which includes $0.3 million of amortization of discount and deferred expenses. The effective interest rates of the notes for the quarters ended March 31, 2021 and March 31, 2020 were 9.01% and 8.72%, respectively.

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Related Party Transactions

3 Months Ended

Mar. 31, 2021

Related Party Transactions [Abstract]

Related Party Transactions

Related Party Transactions

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

			Three months ended March 31,
Transaction	Consolidated Statement of Income location	Counterparty	2021		2020
Interest income on securities and beneficial interest and recovery of/(provision for) losses on beneficial interests	Net interest income after recovery of/(provision for) losses	Various non-consolidated joint ventures	$	5,952	$	2,019
Management fee	Related party expense – management fee	Thetis	$	2,270	$	1,799
Loan servicing fees	Related party expense – loan servicing fees	Gregory	$	1,833	$	2,014
Income/(loss) from equity investment	Income/(loss) from investments in affiliates	Thetis	$	168	$	(966)
Income from equity investment	Income/(loss) from investments in affiliates	Gaea	$	18	$	4
Income from equity investment	Income/(loss) from investments in affiliates	AS Ajax E LLC	$	9	$	10
Loss on sale of mortgage loans	Loss on sale of mortgage loans	Gaea	$	—	$	(705)
(Loss)/income from equity investment	Income/(loss) from investments in affiliates	Loan pool LLCs	$	(7)	$	79

Loss from equity investment Income/(loss) from investments in affiliates Great Ajax FS $ (62) $ (276)

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

			As of March 31, 2021
Transaction	Consolidated Balance Sheet location	Counterparty	Amount
Investment in beneficial interests	Investments in beneficial interests	Various non-consolidated joint ventures	$	94,893
Receivables from Servicer	Receivable from Servicer	Gregory	$	18,847
Affiliate loan receivable	Mortgage loans held-for-investment, net	Gaea	$	11,000
Management fee payable	Management fee payable	Thetis	$	2,270
Expense reimbursement receivable	Prepaid expenses and other assets	Various non-consolidated joint ventures	$	1,133
Expense reimbursement	Accrued expenses and other liabilities	Gregory	$	(84)

			As of December 31, 2020
Transaction	Consolidated Balance Sheet location	Counterparty	Amount
Investment in beneficial interests	Investments in beneficial interests	Various non-consolidated joint ventures	$	91,418
Receivables from Servicer	Receivable from Servicer	Gregory	$	15,755
Affiliate loan receivable	Mortgage loans held-for-investment, net	Gaea	$	11,000
Management fee payable	Management fee payable	Thetis	$	2,247
Affiliate loan purchase	Mortgage loans held-for-investment, net	Great Ajax FS	$	1,838
Expense reimbursement receivable	Prepaid expenses and other assets	Various non-consolidated joint ventures	$	876
Expense reimbursement receivable	Prepaid expenses and other assets	Thetis	$	18
Expense reimbursements	Accrued expenses and other assets	Gregory	$	(44)

At March 31, 2021 and December 31, 2020, the Company had an outstanding originated SBC loan to Gaea, a related party of $11.0 million. The loan is secured by 20 of Gaea's SBC loans. The loan carries an interest rate of 4.25% and matured on March 31, 2021. The loan was paid off on April 5, 2021. The loan is included in Mortgage loans held-for-investment, net on the Company's consolidated balance sheets.

At December 31, 2020, the Company purchased 15 RPLs from GAFS, a related party, for $1.8 million with UPB of $2.1 million and collateral value of $3.7 million. The loans are all included in Mortgage loans held-for-investment, net on the Company's consolidated balance sheets.

The Company sold no mortgage loans during the three months ended March 31, 2021. Comparatively, during the three months ended March 31, 2020, the Company sold 26 SBC mortgage loans with a carrying value of $26.1 million and UPB of $26.2 million, for a loss of $0.7 million to Gaea, a related party. The retained securities are included in the notes and beneficial interests discussed in the paragraph below.

During the three months ended March 31, 2021, the Company acquired no debt securities and beneficial interests. Comparatively during the three months ended March 31, 2020, the Company acquired $61.3 million in debt securities and beneficial interests issued by joint ventures between the Company and third party institutional accredited investors. Each joint venture issued senior notes and beneficial interests, which are trust certificates representing the residual investment in the trust. 

In certain transactions, the joint ventures also issued subordinated notes. The debt securities are carried at fair value. Of the $61.3 million of debt securities acquired in the three months ended March 31, 2020, the Company acquired $49.6 million in senior notes, $4.6 million in subordinate notes and $7.1 million in beneficial interests issued by joint ventures. As of March 31, 2021, the investments in debt securities and beneficial interests were carried on the Company's consolidated balance sheet at $264.7 million and $94.9 million, respectively. At December 31, 2020, the investments in debt securities and beneficial interests were carried on the Company's consolidated balance sheet at $273.8 million and $91.4 million, respectively. As of March 31, 2021 and December 31, 2020, the Company had no securities that were past due.

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 purchase of real estate 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 March 31, 2021, and December 31, 2020, the Company had no advances outstanding to the Servicer. Interest on the arrangement accrues at 7.2% annually.

On November 22, 2019, Gaea completed a private capital raise transaction in which it raised $66.3 million from the issuance of 4,419,641 shares of its common stock to third parties to allow it to continue to advance its investment strategy. Upon completion of the capital raise, the Company retained ownership of approximately 23.2% of Gaea with third party investors owning the remaining approximately 76.8%. The Company recognized no gain or loss on the transaction as Gaea's fair value at the date of the deconsolidation did not represent a material change from the fair values of its recently acquired assets and liabilities due to the limited lapse of time since their acquisitions. At March 31, 2021 the Company owned approximately 22.9% of Gaea with third party investors owning the remaining approximately 77.1%. The Company accounts for its investment 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. 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 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 the time of the original investment, the Company held a 24.2% interest in AS Ajax E LLC. In October 2016, additional capital contributions were made by third parties, and the Company’s ownership interest in AS Ajax E was reduced to a lower percentage of the total. As of March 31, 2021 and December 31, 2020, the Company’s 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 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 is calculated and payable quarterly in arrears. The Company has the option to pay its management fee with between 50% to 100% 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 initial $1.0 million of the quarterly base management fee will be payable at least 75% in cash and up to 25% in shares of the Company’s common stock (allocated at the Company's discretion). Any amount of the base management fee in excess of $1.0 million may be payable in shares of the Company’s common stock (at the Company's discretion) until payment is at least 50% in cash and up to 50% in shares (the “50/50 split”). Any remaining amount of the quarterly base management fee after the 50/50 split threshold is reached may be payable in equal amounts of cash and shares (at the Company's discretion). The base management fee currently exceeds the 50/50 split threshold. 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 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, special cash dividends on its common stock 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. In the event that the payment of the quarterly base management fee has not reached the 50/50 split, up to 100% of the incentive fee will be payable in shares of the Company’s common stock, at the Company's discretion, until the 50/50 split occurs. In the event that the total payment of the quarterly base management fee and the incentive fee has reached the 50/50 split, up to 20% of the remaining incentive fee is payable in shares of the Company’s common stock at the Company's discretion and the remaining incentive fee is payable in cash. During the three months ended March 31, 2021 and March 31, 2020, 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 range from 0.65% to 1.25% annually UPB at acquisition (or the fair market value or purchase price of REO), and are paid monthly. For certain of the Company's securitization trusts, the servicing fee rate for RPLs is reduced to an annual servicing fee rate of 0.42% on a loan-by-loan basis for any loan that makes seven consecutive payments. 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 were previously RPLs 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 servicing fee for NPLs that convert to real property assets does not change.

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, property values, previous UPB of the relevant loan, and the number of 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.”

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Stock-based Payments and Director Fees

3 Months Ended

Mar. 31, 2021

Share-based Payment Arrangement [Abstract]

Stock-based Payments and Director Fees

Stock-based Payments and Director Fees

Pursuant to the terms of the Management Agreement, the Company may pay a portion of the base 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 date on which the most recent regular quarterly dividend to holders of its common stock is paid. The Company recognized a base management fee to the Manager for the three months ended March 31, 2021 of $2.3 million, of which none was payable in shares of its common stock as the Board of Directors approved the management fee to be paid in all cash. Comparatively, for the three months ended March 31, 2020, the Company recognized a base management fee of $1.8 million, of which none was payable in shares of its common stock.

In addition, each of the Company’s independent directors received an annual retainer of $100,000, payable quarterly, 40% of which is payable in shares of the Company's common stock using the same valuation method as defined for the stock portion of the management fee payable to the Manager and 60% in cash.

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

Stock-based Director Fees

	For the three months ended March 31,
	2021			2020
	Number of shares	Amount of expense recognized(1)		Number of shares	Amount of expense recognized(1)
Independent director fees	3,945	$	50	3,468	$	40
Totals	3,945	$	50	3,468	$	40

(1)All independent director fees are fully expensed in the period in which the relevant service is received by the Company.

Restricted Stock

The Company periodically grants shares of its common stock to employees of its Manager and Servicer. The shares vest over three years, with one third of the shares vesting on each of the first, second and third anniversaries of the grant date. The shares may not be sold until the third anniversary of the grant date. 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. 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 Grants			Director Grants
	Shares	Weighted Average Grant Date Fair Value		Shares	Weighted Average Grant Date Fair Value
March 31, 2021 outstanding unvested share grants	163,083	$	11.07	—	$	—
Shares vested	—	—		—	—
Shares forfeited	—	—		(2,000)	12.00
Shares granted	—	—		2,000	12.00
December 31, 2020 outstanding unvested share grants	163,083	$	11.07	—	$	—
March 31, 2020 outstanding unvested share grants	114,334	$	13.83	—	$	—
Shares vested	—	—		—	—
Shares forfeited	—	—		—	—
Shares granted	—	—		—	—
December 31, 2019 outstanding unvested share grants	114,334	$	13.83	—	$	—

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

	Three months ended March 31,
	2021		2020
Restricted stock grants	$	207	$	174
Director grants	24		—
Total expenses for plan grants	$	231	$	174

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Income Taxes

3 Months Ended

Mar. 31, 2021

Income Tax Disclosure [Abstract]

Income Taxes

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 months ended March 31, 2021 the Company had consolidated taxable income of $8.7 million; and provisions for income taxes of $34 thousand. For the three months ended March 31, 2020, the Company’s consolidated taxable income was $1.2 million; and income tax benefit of $0.3 million. The Company recognized no deferred income tax assets or liabilities on its consolidated balance sheets at March 31, 2021 or 2020. The Company also recorded no interest or penalties for the three months ended March 31, 2021 or 2020.

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Earnings per Share

3 Months Ended

Mar. 31, 2021

Earnings Per Share [Abstract]

Earnings per Share

Earnings per Share

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

	Three months ended March 31, 2021					Three months ended March 31, 2020
	Income (Numerator)		Shares (Denominator)	Per Share Amount		Income (Numerator)		Shares (Denominator)	Per Share Amount
Basic EPS
Consolidated net income attributable to common stockholders	$	7,004	22,816,978			$	400	22,070,354
Allocation of earnings to participating restricted shares	(52)		—			(2)		—
Consolidated net income attributable to unrestricted common stockholders	$	6,952	22,816,978	$	0.30	$	398	22,070,354	$	0.02
Effect of dilutive securities(1, 2)
Restricted stock grants and Manager and director fee shares(3)	—		—			2		119,630
Diluted EPS
Consolidated net income attributable to common stockholders and dilutive securities	$	6,952	22,816,978	$	0.30	$	400	22,189,984	$	0.02

(1)The Company's outstanding warrants for an addition 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 March 31, 2021, 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 March 31, 2021 would have been anti-dilutive and have been removed from the calculation.

(3)The effect of restricted stock grants and manager and director fee shares on the Company's diluted EPS calculation for the three months ended March 31, 2021 would have been anti-dilutive and have been removed from the calculation.

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Equity

3 Months Ended

Mar. 31, 2021

Equity [Abstract]

Equity

Equity

Common stock

As of March 31, 2021 and December 31, 2020, the Company had 22,988,847 and 22,978,339 shares, respectively, of $0.01 par value common stock outstanding with 125,000,000 shares authorized at each period end.

Preferred stock

During the quarter ended June 30, 2020, the Company issued to institutional accredited investors an aggregate of $130.0 million of preferred stock in two series and warrants 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, each at a purchase price per share of $25.00 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. 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. The Company expects to use the net proceeds from the private placement to acquire mortgage loans and mortgage-related assets consistent with the Company's investment strategy.

The Company had 2,307,400 shares of Series A preferred stock and 2,892,600 shares of Series B preferred stock outstanding at March 31, 2021 and December 31, 2020. There were 25,000,000 shares, cumulative for all series, authorized as of both March 31, 2021 and December 31, 2020.

Treasury stock and Stock Repurchase Plan

On February 28, 2020, the Company's Board of Directors approved a stock repurchase of up to $25.0 million of its common shares. The amount and timing of any repurchases will depend 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 March 31, 2021 and December 31, 2020, the Company held 107,243 shares of treasury stock consisting of 58,779 shares received through distributions of the Company's shares previously held by its Manager and 48,464 shares acquired through open market purchases in the fourth quarter of 2020 under the Company's approved stock repurchase plan.

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 months ended March 31, 2021 4,228 shares were issued under the plan for total proceeds of approximately $47 thousand. Comparatively, during the three months ended March 31, 2020 no shares were issued under the plan.

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 $50.0 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 months ended March 31, 2021 and 2020, no shares were sold under the at the market program.

Accumulated Other Comprehensive Loss

The Company recognizes unrealized gains or losses on its investment in debt securities as components of other comprehensive income. Total accumulated other comprehensive gain on the Company’s balance sheet at March 31, 2021 and December 31, 2020 was as follows ($ in thousands):

Investments in securities:	March 31, 2021		December 31, 2020
Unrealized gains	$	1,926	$	1,152
Unrealized losses	(245)		(777)
Accumulated other comprehensive gain	$	1,681	$	375

Non-controlling Interest

At December 31, 2020, the Company had non-controlling interests attributable to ownership interests for four legal entities. During the first quarter of 2021, the Company acquired the remaining ownership of 2018-C. This decreased the number of third party non-controlling interests as of March 31, 2021 to three legal entities. Legal entities consolidated by the Company which have non-controlling interests held by third parties are described below.

AS Ajax E II LLC was formed by the Company during 2017 to purchase and hold an investment in a Delaware trust which holds single family residential real estate loans, SBC loans and other real estate assets. AS Ajax E II LLC is 46.9% held by third parties. As of March 31, 2021 and December 31, 2020, the Company owned 53.1% of AS Ajax E II LLC and consolidated the assets, liabilities, revenues and expenses of the entity.

2017-D, a securitization trust, was formed by the Company during 2017. It is 50.0% held by an accredited institutional investor. As of March 31, 2021 and December 31, 2020, the Company owned 50.0% of 2017-D and consolidated the assets, liabilities, revenues and expenses of the trust.

Great Ajax II REIT was formed by the Company during 2019 to hold an interest in 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. As of March 31, 2021 and December 31, 2020, Great Ajax II REIT was 0.1% held by third parties. As of March 31, 2021 and December 31, 2020, the Company owned 99.9% of Great Ajax II REIT and consolidated the assets, liabilities, revenues and expenses of the entity.

2018-C, a securitization trust was formed by the Company during 2018 and was 37.0% held by an accredited institutional investor. The remaining 37.0% ownership was purchased by the Company during the first quarter of 2021. As of March 31, 2021 the Company owned 100.0% of 2018-C. Comparatively, as of December 31, 2020 the Company owned 63.0% of 2018-C and consolidated the assets, liabilities, revenues and expenses of the trust.

The following table sets forth the effects of changes in ownership of the Company's non-controlling interests due to transfers to or from non-controlling interest for the calendar preceding the Consolidated balance sheet dates ($ in thousands):

	March 31, 2021		December 31, 2020
Decrease from redemption of 2018-C	$	(8,306)	$	—
Change in non-controlling interest	$	(8,306)	$	—

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Subsequent Events

3 Months Ended

Mar. 31, 2021

Subsequent Events [Abstract]

Subsequent events

Subsequent Events

The Company has agreed to acquire, subject to due diligence, 106 residential RPLs in seven transactions, and nine NPLs in two transactions, with aggregate UPB of $14.1 million and $3.1 million, respectively. The purchase price of the residential RPLs equals 88.7% of UPB and 62.2% of the estimated market value of the underlying collateral of $20.1 million. The purchase price of the NPLs equals 90.3% of UPB and 70.0% of the estimated market value of the underlying collateral of $4.0 million.

The Company has agreed to acquire, subject to due diligence, 4,739 residential RPLs with aggregate UPB of $790.4 million in one transaction from a single seller. The purchase price equals 97.5% of UPB and 54.0% of the estimated market value of the underlying collateral of $1.4 billion. These loans are expected to be acquired through a joint venture with third-party institutional accredited investors.

The Company has also agreed to acquire, subject to due diligence, 132 NPLs with aggregate UPB of $88.4 million in one transaction from a single seller. The purchase price equals 100.3% of UPB and 67.2% of the estimated market value of the underlying collateral of $131.9 million. These loans are expected to be acquired through a joint venture with third-party institutional accredited investors.

On April 7, 2021, the Company co-invested with third-party institutional investors to form Ajax Mortgage Loan Trust 2021-C ("2021-C") and retained $26.3 million of varying classes of related securities. The Company acquired 5.01% of the class A securities and 31.9% of the class B securities and trust certificates from the trust, which acquired 1,290 RPLs and NPLs with UPB of $259.6 million and an aggregate property value of $483.1 million. The senior securities represent 75% of the UPB of the underlying mortgage loans and carry a 2.115% coupon. Based on the structure of the transaction the Company will not consolidate 2021-C under U.S. GAAP. The assets included in the 2021-C securitization came from calling the bonds associated with the Company's 2017-D, 2018-A and 2018-B securitizations, all of which were joint ventures with third party institutional accredited investors.

In April 2021, the Company completed two repurchases of its convertible senior notes for an aggregate principal amount of $5.0 million and a total purchase price of $5.0 million.

On May 6, 2021, the Company’s Board of Directors declared a cash dividend of $0.19 per share to be paid on May 31, 2021 to stockholders of record as of May 20, 2021.

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Summary of Significant Accounting Policies (Policies)

3 Months Ended

Mar. 31, 2021

Accounting Policies [Abstract]

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 period ended December 31, 2020, included in the Company's Annual Report on Form 10-K filed with the Securities and Exchange Commission (the "SEC") on March 5, 2021.

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, 2021. 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.

Mortgage loans

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, prior to the adoption of ASU 2016-13, Financial Instruments - Credit Losses, otherwise known as CECL, on January 1, 2020, the Company was required to account for the mortgage loans pursuant to ASC 310-30, Accounting for Loans with Deterioration in Credit Quality. Under both standards, the Company’s recognition of interest income for loans with deteriorated credit quality ("PCD loans") is based upon its 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.

Under both CECL and ASC 310-30, 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. However, CECL allows more flexibility to the Company to adjust its loan pools as the underlying risk factors change over time. Under ASC 310-30, RPLs were determined by the Company to have common risk characteristics and were accounted for as a single loan pool for loans acquired within each three-month calendar quarter. Similarly, NPLs were determined to have common risk characteristics and were accounted for as a single non-performing pool for loans acquired within each three-month calendar quarter. The result was generally two additional pools (RPLs and NPLs) each quarter. Under CECL, the Company has re-aggregated its loan pools around similar risk factors, while eliminating the previous distinction for the quarter in which loans were acquired. This resulted in a reduction of the number of loan pools to four as of March 31, 2020. The number of pools was then re-evaluated and increased to six as of June 30, 2020 through December 31, 2020 and is at five loan pools as of March 31, 2021. Each loan pool is oriented around 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 credit losses. Under CECL, upon the acquisition of PCD loans the Company records the acquisition as three separate elements for 1) the amount of purchase discount which the Company expects to recover through eventual repayment by the borrower, 2) an allowance for future expected credit loss and 3) the 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. Cash flows expected at acquisition include all cash flows directly related to the acquired 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. If the Company expects to collect greater cash flows over the life of the pool, any prior allowance is reversed to the extent of the increase and the expected yield to maturity is adjusted on a prospective basis. The allowance for credit losses is increased when the Company estimates it will not collect all amounts previously estimated to be collectible. Increases in loan yield expectations, whether caused by timing or loan performance, are reported in the period in which they arise and are reflected as a reduction in the provision for losses even if no provision expense was previously recorded. Management assesses the credit quality of the portfolio and the adequacy of loan loss reserves on a quarterly basis, or more frequently as necessary. Significant judgment is required in this analysis. Depending on the expected recovery of its investment, the Company considers the estimated net recoverable value of the loan pools as well as other factors, such as the fair value of the underlying collateral. Because these determinations are based upon projections of future economic events, which are inherently subjective, the amounts ultimately realized may differ materially from the carrying value as of the reporting date.

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

Non PCD Loans

While the Company generally acquires loans that have experienced deterioration in credit quality, it also acquires loans that have not experienced a deterioration in credit quality and originates SBC loans which are also subject to the provisions of CECL as discussed above.

As of December 31, 2020, the Company accounted for its non-PCD loans by estimating any allowance for credit losses for its non-PCD loans based on historical experience and the risk characteristics of the individual loans. Impaired loans are carried at the present value of expected future cash 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.

If necessary, an allowance for loan losses is established through a provision for loan losses charged to expenses. The allowance is the difference between the present value of the expected future cash flows from the loan and the contractual balance due.

Investments in Securities at Fair Value and Beneficial Interests

Investments in Securities at Fair Value

The Company’s Investments in Securities at Fair Value as of March 31, 2021 and December 31, 2020 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 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 income. 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 as of March 31, 2021 and December 31, 2020 consist of investments in the trust certificates issued by joint ventures which the Company forms with third party institutional accredited investors. The trust certificates represent the residual interest of any special purpose entity formed to facilitate certain investments. The Company adopted CECL with respect to its Investment in beneficial interests on January 1, 2020. The methodology is similar to that described in "Mortgage Loans" except that the Company only recognizes its ratable share of gain, loss, income or expense.

Real Estate

Real Estate

The Company acquires real estate properties directly through purchases, when it forecloses on the borrower and takes title to the underlying property, or 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. Rental properties are intended to be held as long-term investments but may eventually be reclassified as held-for-sale. Property that arose through conversions of mortgage loans in the Company's portfolio such as when a mortgage loan is foreclosed upon and the Company takes title to the property or the borrower surrenders the deed in lieu of foreclosure is generally held for investment as rental property if the cash flows from use as a rental exceed the present value of expected cash flows from a sale. The Company also acquires rental properties through direct purchases of properties for its rental portfolio. Depreciation is provided for using the straight-line method over the estimated useful lives of the assets of 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, such as prolonged vacancy, identification of materially adverse legal or environmental factors, changes in expected ownership period or a decline in market value to an amount less than cost. This analysis is performed at the property level. The cash flows are estimated based on a number of assumptions that are subject to economic and market uncertainties including, among others, demand for rental properties, competition for customers, changes in market rental rates, costs to operate each property and expected ownership periods.

Renovations are performed by the Servicer, and those costs are then reimbursed to the Servicer. Any renovations on properties which the Company elects to hold as rental properties are capitalized as part of the property’s basis and depreciated over the remaining estimated useful life of the property. The Company may perform property renovations to maximize the value of a property for either its rental strategy or for resale.

Preferred Stock

Preferred Stock

During the quarter 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 third party 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, each at a purchase price per share of $25.00. The shares have a liquidation preference of $25.00 per share.

Put Option Liability

Put Option Liability

As part of the Company’s capital raise transactions during the quarter 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. 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 warrants were recorded as a liability in the Company's consolidated balance sheet as a put option liability with an original basis of $9.5 million. The Company is accreting the amount of the liability under the effective interest method to its expected future put value of $50.7 million 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.

Secured Borrowings

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 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

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 deferred costs when incurred and amortized over the contractual life of the related borrowing.

Convertible Senior Notes

Convertible Senior Notes

On April 25, 2017, the Company completed the public offer and sale of $87.5 million in aggregate principal amount of its convertible senior notes (the “notes”) due 2024, with follow-on offerings of an additional $20.5 million and $15.9 million, respectively, in aggregate principal amount completed on August 18, 2017 and November 19, 2018, respectively, which, combined with the notes from the April offering form a single series of fungible securities. The 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 notes will mature on April 30, 2024, unless earlier repurchased, converted or redeemed.  During certain periods and subject to certain conditions the notes will be convertible by their holders into shares of the Company’s common stock at a conversion rate of 1.7279 shares of common stock per $25.00 principal amount of the notes, which represents a conversion price of approximately $14.47 per share of common stock. The conversion rate, and thus the conversion price, may be subject to adjustment under certain circumstances.

Coupon interest on the 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 deduction from the notes, and are amortized to interest expense on an effective yield basis through April 30, 2023, the date at which the 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. A cumulative discount at issuance of $3.2 million, representing the fair value of the embedded conversion feature, was recorded to stockholder equity. No sinking fund has been established for redemption of the principal.

During the first quarter of 2021, the Company completed a convertible note repurchase with a principal amount of $2.5 million for a purchase price of $2.4 million. The carrying amount of the equity component representing the embedded conversion feature reversed from Additional paid-in capital due to the first quarter of 2021 transaction was zero. During the first and third quarter of 2020, the Company completed a series of convertible note repurchases for aggregate principal amounts of $8.0 million and $2.5 million, respectively, for total purchase prices of $8.2 million and $2.3 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 third quarter of 2020 transactions were $0.1 million and zero, respectively.

Management Fee and Expense Reimbursement

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 May 1, 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 has the option to pay up to 100% of the base and incentive fees in cash rather than in half cash and half shares of its common stock. Management fees are expensed

in the quarter incurred and the portion payable in common stock (if any) is included in stockholders’ equity at quarter end. See Note 10 — Related party transactions.

Servicing Fees

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 unpaid principal balance (“UPB”) to 1.25% annually of UPB for loans that are non-performing at acquisition. For certain of the Company's joint ventures, the servicing fee rate for RPLs is reduced to an annual servicing fee rate of 0.42% on a loan-by-loan basis for any loan that makes seven consecutive payments. Servicing fees are paid monthly. The total fees incurred by the Company for these services depend 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 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, property values, previous UPB of the relevant loan, and the number of 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

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) are determined based on the higher of the most recently reported book value or the average of the closing prices of the Company's common stock on the New York Stock Exchange ("NYSE") on the five business days after the date on which the most recent regular quarterly dividend to holders of the common stock is paid. Any management fees paid in common stock are recognized as an expense in the quarter incurred and recorded in stockholders' equity 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 award, including grants of long-term incentive plan units (“LTIP Units”) from the Operating Partnership, available for issuance under the Director Plan is 76,000 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, each of the Company’s independent directors receives an annual fee of $100,000, payable quarterly, 40% in shares of the Company’s common stock and 60% in cash. Stock-based expense for the directors’ annual fee is expensed as earned, in equal quarterly amounts during the year, and recorded in stockholders' equity at quarter end.

On June 7, 2016, the Company’s stockholders approved the 2016 Equity Incentive Plan (the “2016 Plan”) 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 exercise of all outstanding options and the conversion of all warrants and convertible senior notes, including OP Units and any LTIP Units, 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. The share grants vest over three years, with one third of the shares vesting on each of the first, second and third anniversaries of the grant date. The shares may not be sold until the third anniversary of the grant date.

Directors' fees

Directors’ Fees

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

Variable Interest Entities

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

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.

Cash Held in Trust

Cash Held in Trust

Cash held in trust consists of restricted cash balances either legally due to lenders or held in trust for the benefit of the Company's secured borrowings, and is segregated from the Company’s other cash deposits. Cash held in trust is not available to the Company for any purpose other than the settlement of existing obligations.

Earnings per Share

Earnings per Share

The Company grants restricted 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 the 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 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.

•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 value of transfers of mortgage loans to REO is based upon the present value of future expected cash flows of the loans being transferred.

The Company values its investments in debt securities using estimates provided by its 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 Company also 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 Company's investment in the Manager is valued by applying an earnings multiple to base fee revenue.

The Company's investments 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 investment in GAFS, including warrants, is determined by applying an earnings multiple to expected earnings.

The fair value of the Company's investment in Gaea is estimated using a projected net operating income for its property portfolio.

The fair value of the Company's investment 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 the Company's put option liability is adjusted to approximate market value through earnings. Fair value is determined using a discounted cash flow methodology based on the future value of the liability.

The fair value of secured borrowings is estimated using estimates 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’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 Company’s convertible senior 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.

Property held-for-sale is carried at the lower of its acquisition basis or net realizable value. Net realizable value is determined based on broker price opinions, 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, Cash held in trust, 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

Income Taxes

The Company 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 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. Income from these two 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 evaluates tax positions taken in its consolidated financial statements under the interpretation for accounting for uncertainty in income taxes. As a result of this evaluation, the Company may recognize a tax benefit from an uncertain tax position only if it is “more-likely-than-not” that the tax position will be sustained on examination by taxing authorities.

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.

Reclassifications

ReclassificationsThe Company combined its Property held-for-sale, net and Rental property, net lines with balances of $7.8 million and $0.7 million, respectively, in its December 31, 2020 consolidated balance sheet into a single line, Real estate owned properties, net, to conform to the current period presentation. There was no effect on the Company's reported earnings or cash flows for the periods presented. The Company reclassified its put option liability of $14.2 million at December 31, 2020, from Accrued expenses and other liabilities on the consolidated balance sheets to a separate line, Put option liability, to conform to the current period presentation. There was no effect on the Company's reported earnings or cash flows for the periods presented. The Company also reclassified its loans and securities credit loss expenses of $0.4 million for the three month period ended March 31, 2020, from Recovery of/(provision for) losses to Interest income on its consolidated statement of income to align the presentation with the method the Company uses to evaluate these results.

Segment Information

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 and Issued Accounting Standards

Recently Adopted Accounting Standards

In December 2019, the FASB issued ASU 2019-12, Income Taxes (Topic 740) - Simplifying the Accounting for Income Taxes. The amendments in this update simplify the accounting for income taxes by removing certain exceptions and adding certain clarifications to rules and definitions used in the calculation of the income tax provision. This guidance is effective for interim and annual reporting periods beginning after December 15, 2020, with early adoption permitted, including adoption in any interim period. The Company adopted ASU 2019-12 in the first quarter of 2021 with no effect on its consolidated assets or liabilities, consolidated net income or equity or cash flows on the date of adoption.

In January 2020, the FASB issued ASU 2020-01, Investments – Equity Securities (Topic 321, Investments) – Equity Method and Joint Ventures (Topic 323), and Derivatives and Hedging (Topic 815). The amendments in this update clarify the interactions between Topic 321, Topic 323, and Topic 815, which clarifies aspects of accounting for investments in equity-method investees acquired through step acquisitions to require remeasurement of an investment immediately before adopting the equity method of accounting if the investor identifies observable price changes in orderly transactions for an identical or similar investment of the same issuer, and also requires such remeasurement upon discontinuance of the equity method. The amendments also clarify whether upon settlement of a forward contract or option the underlying security would be accounted for under the Equity Method (Topic 323) or the fair value option (Topic 825). This guidance is effective for interim and annual reporting periods beginning after December 15, 2020, with early adoption permitted, including adoption in any interim period. The Company adopted ASU 2020-01 in the first quarter of 2021 with no effect on its consolidated assets or liabilities, consolidated net income or equity or cash flows on the date of adoption.

Recently Issued 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 as 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 and recognition as derivatives. This guidance is effective for interim and annual reporting periods beginning after December 15, 2021, with early adoption permitted, including adoption in any interim period. The Company is currently evaluating the impact on its consolidated financial statements and related disclosures.

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Mortgage Loans (Tables)

3 Months Ended

Mar. 31, 2021

Mortgage Loans [Abstract]

Schedule of loan portfolio basis by asset type

The following table presents information regarding the carrying value for the Company's RPLs, NPLs and SBC loans as of March 31, 2021 and December 31, 2020 ($ in thousands):

	March 31, 2021				December 31, 2020
Loan portfolio basis by asset type	Mortgage loans held-for-investment, net		Mortgage loans held-for-sale, net		Mortgage loans held-for-investment, net		Mortgage loans held-for-sale, net
Residential RPLs	$	928,844	$	131,719	$	1,057,454	$	—
Residential NPLs	37,912		—		38,724		—
SBC loans	25,055		—		23,194		—
Total	$	991,811	$	131,719	$	1,119,372	$	—

Schedule of loan basis by year of origination

The following table presents information regarding the year of origination of the Company's mortgage loan portfolio by basis as of March 31, 2021 and December 31, 2020 ($ in thousands):

	March 31, 2021
Mortgage loans held-for-investment, net	2021		2020		2019		2018		2017		2016		2009-2015		2006-2008		2005 and prior		Total
Great Ajax II REIT	$	—	$	860	$	179	$	1,305	$	489	$	2,046	$	53,144	$	394,518	$	143,521	$	596,062
California	—		2,207		—		926		368		—		4,396		47,600		12,496		67,993
7f7 and better	—		—		1,116		—		—		291		14,039		77,071		29,411		121,928
4f4-6f6 and below	—		—		1,563		2,034		341		305		24,420		103,672		40,279		172,614
Non-PCD	3,600		21,652		4,468		74		2,562		118		706		22		12		33,214
Total	$	3,600	$	24,719	$	7,326	$	4,339	$	3,760	$	2,760	$	96,705	$	622,883	$	225,719	$	991,811

	March 31, 2021
Mortgage loans held-for-sale, net	2021		2020		2019		2018		2017		2016		2009-2015		2006-2008		2005 and prior		Total
2017-D	$	—	$	—	$	—	$	—	$	121	$	—	$	6,929	$	93,353	$	31,316	$	131,719
Total	$	—	$	—	$	—	$	—	$	121	$	—	$	6,929	$	93,353	$	31,316	$	131,719

	December 31, 2020
Mortgage loans held-for-investment, net	2020		2019		2018		2017		2016		2009-2015		2006-2008		2005 and prior		Total
Great Ajax II REIT	$	—	$	—	$	257	$	488	$	1,991	$	41,746	$	280,606	$	99,909	$	424,997
2018-C	—		—		—		—		—		14,100		119,343		39,778		173,221
2017-D	—		—		—		121		—		6,826		94,711		32,238		133,896
California	2,221		952		1,484		362		—		5,292		60,393		18,084		88,788
7f7 and better	—		911		434		—		2,125		17,520		88,414		32,831		142,235
4f4-6f6 and below	872		1,397		2,054		336		305		13,409		78,202		30,239		126,814
Non-PCD	21,387		4,738		64		2,493		99		611		20		9		29,421
Total	$	24,480	$	7,998	$	4,293	$	3,800	$	4,520	$	99,504	$	721,689	$	253,088	$	1,119,372

Schedule of loan acquisition reconciliation between purchase price and par value

The following table presents a reconciliation between the purchase price and par value for the Company's loan acquisitions and originations for the three months ended March 31, 2021 and 2020 ($ in thousands):

	Three months ended March 31,
	2021				2020
	PCD Loans		Non PCD Loans		PCD Loans		Non PCD Loans
Par	$	36,696	$	3,611	$	227	$	1,952
Discount	(2,929)		(8)		(37)		(747)
Allowance	(1,733)		—		(4)		—
Purchase Price	$	32,034	$	3,603	$	186	$	1,205

Allowance for credit losses on mortgage loans

An analysis of the balance in the allowance for loan losses account follows ($ in thousands):

	Three months ended March 31,
	2021		2020
Allowance for loan credit losses, beginning of period	$	(13,712)	$	(1,960)
Beginning period adjustment for CECL	—		(10,156)
Reclassification from non-credit discount to the allowance for changes in payment expectations	(5,398)		—
Reclassification from non-credit discount to the allowance for losses for repooling adjustments	(3,834)		—
Increase in allowance for loan credit losses for loan acquisitions	(1,733)		(4)
Amortization of credit loss expense on mortgage loans	(454)		(229)
Reclassification from non-credit discount to the allowance for losses for increases in actual and projected cash flows	—		(1,894)
Reversal of/(increase in) provision for credit losses due to increases/(decreases) in actual and/or forecasted cash flows	5,500		(1,893)
Reversal of allowance for reclass of pool 2017-D to mortgage loans held-for-sale, net	1,741		—
Allowance for loan credit losses, end of period	$	(17,890)	$	(16,136)

Schedule of carrying value of mortgage loans and related UPB by delinquency status

The following table sets forth the carrying value of the Company’s mortgage loans by delinquency status as of March 31, 2021 and December 31, 2020 ($ in thousands):

	March 31, 2021
Mortgage loans held-for-investment, net	Current		30		60		90		Foreclosure		Total
Great Ajax II REIT	$	488,212	$	47,370	$	17,714	$	40,859	$	1,907	$	596,062
California	9,911		6,569		9,795		35,319		6,399		67,993
7f7 and better	23,961		19,887		19,316		57,878		886		121,928
4f4-6f6 and below	9,374		15,289		9,229		103,353		35,369		172,614
Non-PCD	32,400		67		63		47		637		33,214
Total	$	563,858	$	89,182	$	56,117	$	237,456	$	45,198	$	991,811

	March 31, 2021
Mortgage loans held-for-sale, net	Current		30		60		90		Foreclosure		Total
2017-D	$	65,047	$	20,019	$	9,678	$	35,067	$	1,908	$	131,719
Total	$	65,047	$	20,019	$	9,678	$	35,067	$	1,908	$	131,719

	December 31, 2020
Mortgage loans held-for-investment, net	Current		30		60		90		Foreclosure		Total
Great Ajax II REIT	$	311,941	$	48,266	$	19,559	$	43,364	$	1,867	$	424,997
2018-C	70,034		20,541		15,300		57,538		9,808		173,221
2017-D	58,198		24,906		12,437		36,106		2,249		133,896
California	42,214		7,660		5,519		29,343		4,052		88,788
7f7 and better	72,613		14,003		12,447		41,383		1,789		142,235
4f4-6f6 and below	13,976		10,773		7,157		68,677		26,231		126,814
Non-PCD	22,562		6,099		56		704		—		29,421
Total	$	591,538	$	132,248	$	72,475	$	277,115	$	45,996	$	1,119,372

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Real Estate Assets, Net (Tables)

3 Months Ended

Mar. 31, 2021

Real Estate [Abstract]

Schedule of activity in the Company's carrying value held-for-sale

The following table presents the activity in the Company’s carrying value of property held-for-sale and rental property for the three months ended March 31, 2021 and 2020 ($ in thousands):

	Three months ended March 31,
	2021			2020
Property Held-for-sale and Rental Property	Count	Amount		Count	Amount
Balance at beginning of period	38	$	8,526	68	$	15,071
Net transfers from mortgage loans	2	228		5	814
Adjustments to record at lower of cost or fair value	—	(171)		—	(897)
Depreciation on rental properties	—	(3)		—	(8)
Disposals	(9)	(1,482)		(19)	(2,730)
Balance at end of period	31	$	7,098	54	$	12,250

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Investments (Tables)

3 Months Ended

Mar. 31, 2021

Investments, Debt and Equity Securities [Abstract]

Available-for-sale securities

The following table presents information regarding the Company's investments in debt securities and investments in beneficial interests ($ in thousands):

	As of March 31, 2021
	Basis(1)		Gross unrealized gains		Gross unrealized losses		Carrying value (fair value)
Debt securities	$	263,001	$	1,926	$	(245)	$	264,682
Beneficial interests in securitization trusts	94,893		—		—		94,893
Total investments	$	357,894	$	1,926	$	(245)	$	359,575

(1)Basis amount is net of any amortized discount, allowance for credit losses, principal paydowns and interest receivable on securities of $0.2 million.

	As of December 31, 2020
	Basis(1)		Gross unrealized gains		Gross unrealized losses		Carrying value (fair value)
Debt securities	$	273,459	$	1,152	$	(777)	$	273,834
Beneficial interests in securitization trusts	91,418		—		—		91,418
Total investments	$	364,877	$	1,152	$	(777)	$	365,252

(1)Basis amount is net of any amortized costs, principal paydowns and interest receivable on securities of $0.2 million.

Debt securities, available-for-sale, unrealized loss position, fair value

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

	As of March 31, 2021
	Step-up date(1)	Basis(2)		Gross unrealized losses		Carrying value (fair value)
Debt securities due September 2059(3)	February 2023/April 2023	$	21,390	$	(245)	$	21,145
Total		$	21,390	$	(245)	$	21,145

(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 line is comprised of two securities that are both due in September 2059 and both have been in an unrealized loss position for 12 months or longer.

	As of December 31, 2020
	Step-up date(1)	Basis(2)		Gross unrealized losses		Carrying value (fair value)
Debt securities due September 2059(3)	February 2023/April 2023	$	22,216	$	(238)	$	21,978
Debt securities due November 2059(4)	April 2023	14,738		(61)		14,677
Debt securities due December 2059(4)	July 2023	47,270		(315)		46,955
Debt securities due September 2060(4)	March 2024	34,970		(44)		34,926
Debt securities due June 2060(4)	March 2024	35,127		(119)		35,008
Total		$	154,321	$	(777)	$	153,544

(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 line is comprised of two securities that are both due September 2059. One security with a balance of $0.2 million has been in an unrealized loss position for less than 12 months and has a step-up date in April 2023 and the other security of $0.1 million has been in a loss position for 12 months or longer and has a step-up date in February 2023.

(4)This security has been in an unrealized loss position for less than 12 months.

Schedule of securities acquisition reconciliation between purchase price and par value

The following table presents a reconciliation between the purchase price and par value for the Company's beneficial interests acquisitions for the three months ended March 31, 2021 and 2020 ($ in thousands):

	Three months ended March 31,
	2021		2020
Par	$	—	$	11,970
Discount	—		(2,335)
Allowance	—		(2,553)
Purchase Price	$	—	$	7,082

Allowance for credit loss on beneficial interests

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

	Three months ended March 31,
	2021		2020
Allowance for beneficial interests credit losses, beginning balance	$	(4,453)	$	—
Beginning period adjustment for CECL	—		(1,668)
Incremental increase in allowance for beneficial interests	(953)		—
Increase in allowance for beneficial interest credit losses for acquisitions	—		(2,553)
Amortization of credit loss expense on beneficial interests	(139)		(2,818)
Reversal of/(increase in) provision for credit losses due to increases/(decreases) in actual and/or forecasted cash flows	15		(169)
Allowance for beneficial interests credit losses, end balance	$	(5,530)	$	(7,208)

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Fair Value (Tables)

3 Months Ended

Mar. 31, 2021

Fair Value Disclosures [Abstract]

Schedule of fair value, assets and liabilities measured on recurring basis

Recurring financial assets and liabilities measured and carried at fair value by level within the fair value hierarchy as of March 31, 2021 and December 31, 2020 ($ in thousands):

			Level 1		Level 2		Level 3
March 31, 2021	Carrying Value		Quoted prices in active markets		Observable inputs other than Level 1 prices		Unobservable inputs
Recurring financial assets
Investment in debt securities at fair value	$	264,682	$	—	$	264,682	$	—
Recurring financial liabilities
Put option liability	$	16,149	$	—	$	—	$	16,149

			Level 1		Level 2		Level 3
December 31, 2020	Carrying Value		Quoted prices in active markets		Observable inputs other than Level 1 prices		Unobservable inputs
Recurring financial assets
Investment in debt securities at fair value	$	273,834	$	—	$	273,834	$	—
Recurring financial liabilities
Put option liability	$	14,205	$	—	$	—	$	14,205

Schedule of fair value of financial assets and liabilities

The following tables set forth the fair value of financial instruments by level within the fair value hierarchy as of March 31, 2021 and December 31, 2020 ($ in thousands):

			Level 1		Level 2		Level 3
March 31, 2021	Carrying value		Quoted prices in active markets		Observable inputs other than Level 1 prices		Unobservable inputs
Financial assets
Mortgage loans held-for-investment, net	$	991,811	$	—	$	—	$	1,088,730
Mortgage loans held-for-sale, net	$	131,719	$	—	$	—	$	141,780
Investments in beneficial interests	$	94,893	$	—	$	—	$	94,893
Investment in Manager	$	1,535	$	—	$	—	$	11,818
Investment in AS Ajax E LLC	$	723	$	—	$	877	$	—
Investment in AS Ajax E II LLC	$	3,115	$	—	$	3,261	$	—
Investment in GAFS, including warrants	$	2,650	$	—	$	—	$	3,320
Investment in Gaea	$	19,897	$	—	$	—	$	19,133
Investment in Loan pool LLCs	$	374	$	—	$	—	$	707
Financial liabilities
Secured borrowings, net	$	740,035	$	—	$	743,762	$	—
Borrowings under repurchase transactions	$	305,093	$	—	$	305,093	$	—
Convertible senior notes, net	$	107,971	$	111,382	$	—	$	—

			Level 1		Level 2		Level 3
December 31, 2020	Carrying value		Quoted prices in active markets		Observable inputs other than Level 1 prices		Unobservable inputs
Financial assets
Mortgage loans held-for-investment, net	$	1,119,372	$	—	$	—	$	1,232,081
Investment in beneficial interests	$	91,418	$	—	$	—	$	91,418
Investment in Manager	$	1,366	$	—	$	—	$	11,709
Investment in AS Ajax E LLC	$	776	$	—	$	934	$	—
Investment in AS Ajax E II LLC	$	3,381	$	—	$	3,484	$	—
Investment in GAFS, including warrants	$	2,711	$	—	$	—	$	3,320
Investment in Gaea	$	20,001	$	—	$	—	$	19,150
Investment in Loan pool LLCs	$	381	$	—	$	—	$	701
Financial liabilities
Secured borrowings, net	$	585,403	$	—	$	586,419	$	—
Borrowings under repurchase agreement	$	421,132	$	—	$	421,132	$	—
Convertible senior notes, net	$	110,057	$	110,675	$	—	$	—

Fair value of non-financial assets by level

The following tables set forth the fair value of non-financial assets by level within the fair value hierarchy as of March 31, 2021 and December 31, 2020 ($ in thousands):

					Level 1		Level 2		Level 3
March 31, 2021	Carrying value		Three months ended fair value adjustment recognized in the consolidated statements of income		Quoted prices in active markets		Observable inputs other than Level 1 prices		Unobservable inputs
Non-financial assets
Property held-for-sale	$	6,736	$	(171)	$	—	$	—	$	6,736

					Level 1		Level 2		Level 3
December 31, 2020	Carrying value		Fair value adjustment recognized in the consolidated statements of income		Quoted prices in active markets		Observable inputs other than Level 1 prices		Unobservable inputs
Non-financial assets
Property held-for-sale	$	7,807	$	(1,359)	$	—	$	—	$	7,807

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Affiliates (Tables)

3 Months Ended

Mar. 31, 2021

Investments in and Advances to Affiliates, Schedule of Investments [Abstract]

Equity method investments

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 March 31,
Net income/(loss) at 100%	2021		2020
Thetis Asset Management LLC	$	851	$	(4,877)
Gaea Real Estate Corp.	$	78	$	15
AS Ajax E LLC	$	54	$	62
Loan pool LLCs	$	(16)	$	198
Great Ajax FS LLC	$	(777)	$	(3,450)

	March 31, 2021				December 31, 2020
Assets and Liabilities at 100%	Assets		Liabilities		Assets		Liabilities
Thetis Asset Management LLC	$	9,681	$	1,533	$	9,531	$	2,122
Gaea Real Estate Corp.	$	94,259	$	11,844	$	94,639	$	11,886
AS Ajax E LLC	$	4,482	$	2	$	4,808	$	2
Loan pool LLCs	$	2,410	$	3,964	$	2,423	$	3,961
Great Ajax FS LLC	$	56,457	$	36,807	$	56,532	$	36,101

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

	Three months ended March 31,
Net income/(loss) at the Company's share	2021		2020
Thetis Asset Management LLC	$	168	$	(966)
Gaea Real Estate Corp.	$	18	$	4
AS Ajax E LLC	$	9	$	10
Loan pool LLCs	$	(7)	$	79
Great Ajax FS LLC	$	(62)	$	(276)

	March 31, 2021				December 31, 2020
Assets and Liabilities at the Company's share	Assets		Liabilities		Assets		Liabilities
Thetis Asset Management LLC	$	1,917	$	304	$	1,887	$	420
Gaea Real Estate Corp.	$	21,642	$	2,719	$	21,729	$	2,729
AS Ajax E LLC	$	738	$	—	$	791	$	—
Loan pool LLCs	$	967	$	1,597	$	973	$	1,595
Great Ajax FS LLC	$	4,517	$	2,945	$	4,523	$	2,888

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Commitment and Contingencies (Tables)

3 Months Ended

Mar. 31, 2021

Commitments and Contingencies Disclosure [Abstract]

Other commitments

The following table sets forth the details of the Company's put option liability ($ in thousands):

	Three months ended March 31,
	2021		2020
Beginning balance	$	14,205	$	—
Fair value adjustments during the period	1,944		—
Ending balance	$	16,149	$	—

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Debt (Tables)

3 Months Ended

Mar. 31, 2021

Debt Disclosure [Abstract]

Schedule of details of repurchase agreement

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

				March 31, 2021
Maturity Date	Origination date	Maximum Borrowing Capacity		Amount Outstanding		Amount of Collateral		Percentage of Collateral Coverage		Interest Rate
April 5, 2021	January 6, 2021	$	34,568	$	34,568	$	43,784	127	%	1.74	%
April 6, 2021	January 6, 2021	7,530		7,530		9,723		129	%	1.79	%
April 6, 2021	January 6, 2021	4,588		4,588		5,890		128	%	1.79	%
April 6, 2021	January 6, 2021	4,544		4,544		5,738		126	%	1.79	%
April 6, 2021	January 6, 2021	3,233		3,233		4,667		144	%	1.94	%
April 9, 2021	October 13, 2020	33,084		33,084		41,718		126	%	2.35	%
April 12, 2021	January 11, 2021	5,706		5,706		7,328		128	%	1.77	%
April 15, 2021	January 14, 2021	6,582		6,582		8,145		124	%	1.83	%
April 20, 2021	January 20, 2021	12,127		12,127		15,505		128	%	1.82	%
April 22, 2021	March 17, 2021	3,896		3,896		5,130		132	%	1.66	%
April 26, 2021	January 27, 2021	7,982		7,982		9,279		116	%	1.21	%
April 26, 2021	January 27, 2021	5,177		5,177		6,063		117	%	1.21	%
April 26, 2021	January 27, 2021	6,295		6,295		7,276		116	%	1.21	%
April 30, 2021	February 1, 2021	11,992		11,992		14,767		123	%	1.81	%
April 30, 2021	February 1, 2021	11,825		11,825		15,005		127	%	1.81	%
April 30, 2021	February 1, 2021	5,157		5,157		6,610		128	%	1.81	%
April 26, 2021	February 1, 2021	3,892		3,892		4,876		125	%	1.81	%
April 30, 2021	February 1, 2021	2,794		2,794		3,662		131	%	1.81	%
April 30, 2021	February 1, 2021	2,369		2,369		3,360		142	%	1.96	%
April 30, 2021	February 1, 2021	1,133		1,133		1,607		142	%	1.96	%
May 12, 2021	February 12, 2021	3,100		3,100		4,428		143	%	1.95	%
June 4, 2021	March 5, 2021	24,453		24,453		32,366		132	%	1.54	%
June 4, 2021	March 5, 2021	23,972		23,972		31,589		132	%	1.54	%
June 17, 2021	March 17, 2021	9,440		9,440		11,986		127	%	1.73	%
June 17, 2021	March 17, 2021	7,803		7,803		10,166		130	%	1.73	%
June 17, 2021	March 17, 2021	1,175		1,175		1,687		144	%	1.88	%
June 24, 2021	March 24, 2021	2,510		2,510		3,250		129	%	1.75	%
July 9, 2021	July 10, 2020	250,000		15,724		23,488		149	%	2.61	%
September 23, 2021	September 24, 2020	400,000		42,442		63,743		150	%	2.61	%
Totals/weighted averages		$	896,927	$	305,093	$	402,836	132	%	1.93	%

				December 31, 2020
Maturity Date	Origination date	Maximum Borrowing Capacity		Amount Outstanding		Amount of Collateral		Percentage of Collateral Coverage		Interest Rate
January 6, 2021	October 9, 2020	$	35,635	$	35,635	$	46,120	129	%	2.33	%
January 6, 2021	September 28, 2020	7,697		7,697		10,075		131	%	2.33	%
January 6, 2021	September 28, 2020	6,311		6,311		9,038		143	%	2.48	%
January 6, 2021	September 28, 2020	4,755		4,755		6,114		129	%	2.33	%
January 6, 2021	September 28, 2020	4,666		4,666		6,044		130	%	2.33	%
January 6, 2021	September 28, 2020	3,213		3,213		4,667		145	%	2.48	%
January 11, 2021	September 29, 2020	5,879		5,879		7,575		129	%	2.32	%

January 14, 2021	October 29, 2020	6,991		6,991		8,738		125	%	2.35	%
January 20, 2021	October 20, 2020	13,263		13,263		16,582		125	%	2.22	%
January 29, 2021	October 30, 2020	7,762		7,762		9,702		125	%	2.21	%
January 29, 2021	October 30, 2020	7,153		7,153		9,537		133	%	2.21	%
February 1, 2021	December 1, 2020	12,258		12,258		16,052		131	%	1.88	%
February 1, 2021	December 1, 2020	12,015		12,015		15,794		131	%	1.88	%
February 1, 2021	December 1, 2020	5,298		5,298		6,895		130	%	1.88	%
February 1, 2021	December 1, 2020	3,985		3,985		5,136		129	%	1.88	%
February 1, 2021	December 1, 2020	2,887		2,887		3,790		131	%	1.88	%
February 1, 2021	December 1, 2020	2,332		2,332		3,360		144	%	2.03	%
February 1, 2021	December 1, 2020	1,132		1,132		1,607		142	%	2.03	%
February 12, 2021	November 13, 2020	2,945		2,945		4,428		150	%	2.02	%
March 5, 2021	December 7, 2020	24,946		24,946		33,348		134	%	1.78	%
March 5, 2021	December 7, 2020	24,312		24,312		32,571		134	%	1.78	%
March 17, 2021	December 17, 2020	10,219		10,219		13,172		129	%	1.78	%
March 17, 2021	December 17, 2020	8,381		8,381		10,872		130	%	1.78	%
March 17, 2021	December 17, 2020	3,894		3,894		5,193		133	%	1.78	%
March 17, 2021	December 17, 2020	1,145		1,145		1,687		147	%	1.93	%
March 24, 2021	December 24, 2020	7,016		7,016		10,024		143	%	1.94	%
March 24, 2021	December 24, 2020	5,008		5,008		6,637		133	%	1.79	%
March 24, 2021	December 24, 2020	2,577		2,577		3,367		131	%	1.79	%
April 9, 2021	October 13, 2020	33,084		33,084		43,069		130	%	2.35	%
July 9, 2021	July 10, 2020	250,000		53,256		84,337		158	%	2.64	%
September 23, 2021	September 24, 2020	400,000		101,117		160,068		158	%	2.65	%
Totals/weighted averages		$	916,759	$	421,132	$	595,599	141	%	2.29	%

Schedule of amount outstanding on repurchase transactions and carrying value collateral

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 March 31, 2021 and December 31, 2020 in the table below ($ in thousands):

	Gross amounts not offset in balance sheet
	March 31, 2021		December 31, 2020
Gross amount of recognized liabilities	$	305,093	$	421,132
Gross amount of loans and securities pledged as collateral	402,836		595,599
Other prepaid collateral	8,815		4,653
Net collateral amount	$	106,558	$	179,120

Schedule of securitization of notes

The following table sets forth the original terms of all notes from our secured borrowings outstanding at March 31, 2021 at their respective cutoff dates:

Issuing Trust/Issue Date	Interest Rate Step-up Date	Security	Original Principal	Interest Rate
Non-rated
Ajax Mortgage Loan Trust 2017-D/ December 2017	April 25, 2021	Class A notes due 2057(1)	$177.8 million	3.75	%
	None	Class B certificates(1)	$44.5 million	—	%
		Deferred issuance costs	$(1.1) million	—	%
Rated
Ajax Mortgage Loan Trust 2019-D/ July 2019	July 25, 2027	Class A-1 notes due 2065	$140.4 million	2.96	%
	July 25, 2027	Class A-2 notes due 2065	$6.1 million	3.50	%

	July 25, 2027	Class A-3 notes due 2065	$10.1 million	3.50	%
	July 25, 2027	Class M-1 notes due 2065(2)	$9.3 million	3.50	%
	None	Class B-1 notes due 2065(3)	$7.5 million	3.50	%
	None	Class B-2 notes due 2065(3)	$7.1 million	variable(4)
	None	Class B-3 notes due 2065(3)	$12.8 million	variable(4)
		Deferred issuance costs	$(2.7) million	—	%
Rated
Ajax Mortgage Loan Trust 2019-F/ November 2019	November 25, 2026	Class A-1 notes due 2059	$110.1 million	2.86	%
	November 25, 2026	Class A-2 notes due 2059	$12.5 million	3.50	%
	November 25, 2026	Class A-3 notes due 2059	$5.1 million	3.50	%
	November 25, 2026	Class M-1 notes due 2059(2)	$6.1 million	3.50	%
	None	Class B-1 notes due 2059(3)	$11.5 million	3.50	%
	None	Class B-2 notes due 2059(3)	$10.4 million	variable(4)
	None	Class B-3 notes due 2059(3)	$15.1 million	variable(4)
		Deferred issuance costs	$(1.8) million	—	%
Rated
Ajax Mortgage Loan Trust 2020-B/ August 2020	July 25, 2027	Class A-1 notes due 2059	$97.2 million	1.70	%
	July 25, 2027	Class A-2 notes due 2059	$17.3 million	2.86	%
	July 25, 2027	Class M-1 notes due 2059(2)	$7.3 million	3.70	%
	None	Class B-1 notes due 2059(3)	$5.9 million	3.70	%
	None	Class B-2 notes due 2059(3)	$5.1 million	variable(4)
	None	Class B-3 notes due 2059(3)	$23.6 million	variable(4)
		Deferred issuance costs	$(1.8) million	—	%
Rated
Ajax Mortgage Loan Trust 2021-A/ January 2021	January 25, 2029	Class A-1 notes due 2065	$146.2 million	1.07	%
	January 25, 2029	Class A-2 notes due 2065	$21.1 million	2.35	%
	January 25, 2029	Class M-1 notes due 2065(2)	$7.8 million	3.15	%
	None	Class B-1 notes due 2065(3)	$5.0 million	3.80	%
	None	Class B-2 notes due 2065(3)	$5.0 million	variable(4)
	None	Class B-3 notes due 2065(3)	$21.5 million	variable(4)
		Deferred issuance costs	$(2.5) million	—	%
Non-rated
Ajax Mortgage Loan Trust 2021-B/ February 2021	August 25, 2024	Class A notes due 2066	$215.9 million	2.24	%
	February 25, 2025	Class B notes due 2066(3)	$20.2 million	4.00	%
		Deferred issuance costs	$(4.3) million	—	%

(1)Ajax Mortgage Loan Trust ("AJAXM") 2017-D is a joint venture in which a third party owns 50% of the Class A notes and 50% of the Class B certificates. The Company is required to consolidate 2017-D under U.S. GAAP and is reflecting 100% of the mortgage loans, in Mortgage loans, net. 50% of the Class A notes, which are held by the third party, are included in Secured borrowings, net. The 50% portion of the Class A notes retained by the Company have been encumbered under a repurchase agreement. 50% of the Class B certificates are recognized as Non-controlling interest.

(2)The Class M notes are subordinated, sequential pay, fixed rate notes. The Company has retained the Class M notes, with the exception of AJAXM 2021-A.

(3)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. The Company has retained the Class B notes.

(4)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.

Schedule of status of mortgage loans

The following table sets forth the status of the notes held by others at March 31, 2021 and December 31, 2020, and the securitization cutoff date ($ in thousands):

	Balances at March 31, 2021							Balances at December 31, 2020							Original balances at securitization cutoff date
Class of Notes	Carrying value of mortgages		Bond principal balance			Percentage of collateral coverage		Carrying value of mortgages		Bond principal balance			Percentage of collateral coverage		Mortgage UPB			Bond principal balance
2017-B	$	—	$	—		—	%	$	110,062	$	68,729		160	%	$	165,850		$	115,846
2017-D	131,719		48,660		(1)	271	%	133,897		51,256		(1)	261	%	203,870		(2)	88,903
2018-C	—		—			—	%	173,221		131,983		(3)	131	%	222,181		(4)	167,910
2019-D	140,383		115,651			121	%	148,641		125,008			119	%	193,301			156,670
2019-F	134,884		102,555			132	%	139,996		108,184			129	%	170,876			127,673
2020-B	132,863		101,707			131	%	136,360		105,601			129	%	156,468			114,534
2021-A	187,932		169,995			111	%	—		—			—	%	206,528			175,116
2021-B	263,267		212,111			124	%	—		—			—	%	287,895			215,912
	$	991,048	$	750,679	(5)	132	%	$	842,177	$	590,761	(5)	143	%	$	1,606,969		$	1,162,564

(1)The gross amount of senior bonds at March 31, 2021 and December 31, 2020 were $97.4 million and $102.6 million however, only $48.7 million and $51.3 million are reflected in Secured borrowings as the remainder is owned by the Company, respectively.

(2)Includes $26.7 million of cash collateral intended for use in the acquisition of additional mortgage loans.

(3)2018-C contained notes held by the third party institutional investors for senior bonds and class B bonds. The gross amount of the senior and class B bonds at December 31, 2020 were $132.7 million and $15.9 million, however, only $126.1 million and $5.9 million are reflected in Secured borrowings as the remainder is owned by the Company, respectively.

(4)Includes $45.5 million of cash collateral intended for use in the acquisition of additional mortgage loans.

(5)This represents the gross amount of Secured borrowings and excludes the impact of deferred issuance costs of $10.6 million and $5.4 million as of March 31, 2021 and December 31, 2020.

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Related Party Transactions (Tables)

3 Months Ended

Mar. 31, 2021

Related Party Transactions [Abstract]

Schedule of related party transactions

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

			Three months ended March 31,
Transaction	Consolidated Statement of Income location	Counterparty	2021		2020
Interest income on securities and beneficial interest and recovery of/(provision for) losses on beneficial interests	Net interest income after recovery of/(provision for) losses	Various non-consolidated joint ventures	$	5,952	$	2,019
Management fee	Related party expense – management fee	Thetis	$	2,270	$	1,799
Loan servicing fees	Related party expense – loan servicing fees	Gregory	$	1,833	$	2,014
Income/(loss) from equity investment	Income/(loss) from investments in affiliates	Thetis	$	168	$	(966)
Income from equity investment	Income/(loss) from investments in affiliates	Gaea	$	18	$	4
Income from equity investment	Income/(loss) from investments in affiliates	AS Ajax E LLC	$	9	$	10
Loss on sale of mortgage loans	Loss on sale of mortgage loans	Gaea	$	—	$	(705)
(Loss)/income from equity investment	Income/(loss) from investments in affiliates	Loan pool LLCs	$	(7)	$	79

Loss from equity investment Income/(loss) from investments in affiliates Great Ajax FS $ (62) $ (276)

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

			As of March 31, 2021
Transaction	Consolidated Balance Sheet location	Counterparty	Amount
Investment in beneficial interests	Investments in beneficial interests	Various non-consolidated joint ventures	$	94,893
Receivables from Servicer	Receivable from Servicer	Gregory	$	18,847
Affiliate loan receivable	Mortgage loans held-for-investment, net	Gaea	$	11,000
Management fee payable	Management fee payable	Thetis	$	2,270
Expense reimbursement receivable	Prepaid expenses and other assets	Various non-consolidated joint ventures	$	1,133
Expense reimbursement	Accrued expenses and other liabilities	Gregory	$	(84)

			As of December 31, 2020
Transaction	Consolidated Balance Sheet location	Counterparty	Amount
Investment in beneficial interests	Investments in beneficial interests	Various non-consolidated joint ventures	$	91,418
Receivables from Servicer	Receivable from Servicer	Gregory	$	15,755
Affiliate loan receivable	Mortgage loans held-for-investment, net	Gaea	$	11,000
Management fee payable	Management fee payable	Thetis	$	2,247
Affiliate loan purchase	Mortgage loans held-for-investment, net	Great Ajax FS	$	1,838
Expense reimbursement receivable	Prepaid expenses and other assets	Various non-consolidated joint ventures	$	876
Expense reimbursement receivable	Prepaid expenses and other assets	Thetis	$	18
Expense reimbursements	Accrued expenses and other assets	Gregory	$	(44)

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Stock-based Payments and Director Fees (Tables)

3 Months Ended

Mar. 31, 2021

Share-based Payment Arrangement [Abstract]

Schedule of management fees and director fees

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

Stock-based Director Fees

	For the three months ended March 31,
	2021			2020
	Number of shares	Amount of expense recognized(1)		Number of shares	Amount of expense recognized(1)
Independent director fees	3,945	$	50	3,468	$	40
Totals	3,945	$	50	3,468	$	40

(1)All independent director fees are fully expensed in the period in which the relevant service is received by the Company.

Schedule of grants of restricted stock

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 Grants			Director Grants
	Shares	Weighted Average Grant Date Fair Value		Shares	Weighted Average Grant Date Fair Value
March 31, 2021 outstanding unvested share grants	163,083	$	11.07	—	$	—
Shares vested	—	—		—	—
Shares forfeited	—	—		(2,000)	12.00
Shares granted	—	—		2,000	12.00
December 31, 2020 outstanding unvested share grants	163,083	$	11.07	—	$	—
March 31, 2020 outstanding unvested share grants	114,334	$	13.83	—	$	—
Shares vested	—	—		—	—
Shares forfeited	—	—		—	—
Shares granted	—	—		—	—
December 31, 2019 outstanding unvested share grants	114,334	$	13.83	—	$	—

Schedule of restricted stock plan grants, expense

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

	Three months ended March 31,
	2021		2020
Restricted stock grants	$	207	$	174
Director grants	24		—
Total expenses for plan grants	$	231	$	174

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Earnings per Share (Tables)

3 Months Ended

Mar. 31, 2021

Earnings Per Share [Abstract]

Components of basic and diluted earnings per share

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

	Three months ended March 31, 2021					Three months ended March 31, 2020
	Income (Numerator)		Shares (Denominator)	Per Share Amount		Income (Numerator)		Shares (Denominator)	Per Share Amount
Basic EPS
Consolidated net income attributable to common stockholders	$	7,004	22,816,978			$	400	22,070,354
Allocation of earnings to participating restricted shares	(52)		—			(2)		—
Consolidated net income attributable to unrestricted common stockholders	$	6,952	22,816,978	$	0.30	$	398	22,070,354	$	0.02
Effect of dilutive securities(1, 2)
Restricted stock grants and Manager and director fee shares(3)	—		—			2		119,630
Diluted EPS
Consolidated net income attributable to common stockholders and dilutive securities	$	6,952	22,816,978	$	0.30	$	400	22,189,984	$	0.02

(1)The Company's outstanding warrants for an addition 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 March 31, 2021, 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 March 31, 2021 would have been anti-dilutive and have been removed from the calculation.

(3)The effect of restricted stock grants and manager and director fee shares on the Company's diluted EPS calculation for the three months ended March 31, 2021 would have been anti-dilutive and have been removed from the calculation.

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Equity (Tables)

3 Months Ended

Mar. 31, 2021

Equity [Abstract]

Schedule of 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 gain on the Company’s balance sheet at March 31, 2021 and December 31, 2020 was as follows ($ in thousands):

Investments in securities:	March 31, 2021		December 31, 2020
Unrealized gains	$	1,926	$	1,152
Unrealized losses	(245)		(777)
Accumulated other comprehensive gain	$	1,681	$	375

Consolidation, less than wholly owned subsidiary, parent ownership interest, effects of changes, net

The following table sets forth the effects of changes in ownership of the Company's non-controlling interests due to transfers to or from non-controlling interest for the calendar preceding the Consolidated balance sheet dates ($ in thousands):

	March 31, 2021		December 31, 2020
Decrease from redemption of 2018-C	$	(8,306)	$	—
Change in non-controlling interest	$	(8,306)	$	—

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Organization and Basis of Presentation (Details)			3 Months Ended
	Apr. 06, 2020 USD ($)	Nov. 22, 2019 USD ($) $ / shares shares	Mar. 31, 2021 USD ($) payment entity	Jun. 30, 2020 USD ($)	Dec. 31, 2020 entity	Jun. 30, 2019 shares	Dec. 31, 2018
Organization And Basis Of Presentation [Line Items]
Number of payments made on RPL mortgage loans (at least) | payment			5
Number of recent payments made on RPL mortgage loans | payment			7
Number of payments made on NPL mortgage loans | payment			3
Proceeds from issuance of private placement | $	$ 125,000,000.0			$ 130,000,000.0
Number of non controlling interest subsidiaries | entity			3		4
Percentage of outstanding OP units owned			100.00%				96.80%
Percentage of outstanding OP owned by an unaffiliated holder							3.20%
Operating partnership units | shares						624,106
Maximum
Organization And Basis Of Presentation [Line Items]
Principal balance of small balance commercial mortgage loans (up to) | $			$ 5,000,000.0
Delaware Trust
Organization And Basis Of Presentation [Line Items]
Ownership percentage			5.00%
Investment in AS Ajax E II LLC
Organization And Basis Of Presentation [Line Items]
Percentage of ownership interests in joint venture			53.10%		53.10%
Investment in AS Ajax E II LLC | Third party
Organization And Basis Of Presentation [Line Items]
Ownership percentage by third parties			46.90%
Investment in AS Ajax E II LLC | Great Ajax Corp
Organization And Basis Of Presentation [Line Items]
Percentage of ownership interests in joint venture			53.10%		53.10%
2017-D
Organization And Basis Of Presentation [Line Items]
Percentage of ownership interests in joint venture			50.00%
2017-D | Great Ajax Corp
Organization And Basis Of Presentation [Line Items]
Ownership percentage by parent			50.00%		50.00%
Great Ajax II REIT | Third party
Organization And Basis Of Presentation [Line Items]
Ownership percentage by third parties			0.10%		0.10%
Great Ajax II REIT | Great Ajax Corp
Organization And Basis Of Presentation [Line Items]
Ownership percentage by parent			99.90%		99.90%
2018-C
Organization And Basis Of Presentation [Line Items]
Percentage of ownership interests in joint venture			37.00%
2018-C | Third party
Organization And Basis Of Presentation [Line Items]
Ownership percentage by parent					63.00%
Ownership percentage by third parties			0.00%
2018-C | Great Ajax Corp
Organization And Basis Of Presentation [Line Items]
Ownership percentage by parent			100.00%
Gaea Real Estate Corp.
Organization And Basis Of Presentation [Line Items]
Ownership percentage		23.20%	22.90%
Proceeds from issuance of private placement | $		$ 66,300,000
Private placement share issuance (in shares) | shares		4,419,641
Purchase price per share (in usd per share) | $ / shares		$ 15.00
Gaea Real Estate Corp. | Third party
Organization And Basis Of Presentation [Line Items]
Ownership percentage by third parties		76.80%	77.10%
Thetis
Organization And Basis Of Presentation [Line Items]
Ownership percentage			19.80%
Great Ajax FS
Organization And Basis Of Presentation [Line Items]
Ownership percentage							8.00%

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Summary of Significant Accounting Policies - Narrative (Details)			3 Months Ended
	Apr. 06, 2020 USD ($) shares	Jun. 07, 2016	Mar. 31, 2021 USD ($) loanPool entity payment Segment $ / shares shares	Sep. 30, 2020 USD ($)	Jun. 30, 2020 USD ($) loanPool $ / shares shares	Mar. 31, 2020 USD ($) loanPool	Dec. 31, 2020 USD ($) loanPool $ / shares shares	Nov. 19, 2018 USD ($)	Aug. 18, 2017 USD ($)	Apr. 25, 2017 USD ($)
Summary Of Significant Accounting Policies [Line Items]
Number of loan pools | loanPool			5		6	4	6
Proceeds from issuance of private placement	$ 125,000,000.0				$ 130,000,000.0
Preferred stock, par value per share (in dollars per share) | $ / shares			$ 0.01				$ 0.01
Preferred stock, liquidation preference per share (in dollars per share) | $ / shares					$ 25.00
Class of warrant or right, outstanding (in shares) | shares	6,500,000				6,500,000
Investment warrants, exercise price (in dollars per share) | $ / shares					$ 10.00
Warrants original basis			$ 9,500,000
Convertible notes payable			2,500,000	$ 2,500,000		$ 8,000,000.0
Payments for repurchase of convertible notes			2,400,000	2,300,000		8,200,000
Convertible senior notes repurchase			$ 0	$ 0		(81,000)
Percentage of incentive fees payable in cash			100.00%
Minimum assets with banking institutions			$ 1,000,000,000
Number of taxable subsidiaries | entity			2
Rental properties			$ 400,000				$ 700,000
Put option liability			$ 16,149,000				$ 14,205,000
Loans and securities, credit loss expenses						$ 400,000
Number of operating segments | Segment			1
Put option
Summary Of Significant Accounting Policies [Line Items]
Present value of put liability			$ 50,700,000
Preferred stock - Series B shares
Summary Of Significant Accounting Policies [Line Items]
Preferred stock, shares issued (in shares) | shares			2,892,600		2,892,600		2,892,600
Preferred stock, fixed-to-floating rate cumulative redeemable			5.00%		5.00%
Preferred stock, par value per share (in dollars per share) | $ / shares					$ 25.00
Preferred stock, liquidation preference per share (in dollars per share) | $ / shares			$ 25.00				$ 25.00
7.25% Series A preferred stock
Summary Of Significant Accounting Policies [Line Items]
Preferred stock, shares issued (in shares) | shares			2,307,400		2,307,400		2,307,400
Preferred stock, fixed-to-floating rate cumulative redeemable			7.25%		7.25%
Preferred stock, par value per share (in dollars per share) | $ / shares					$ 25.00
Preferred stock, liquidation preference per share (in dollars per share) | $ / shares			$ 25.00				$ 25.00
Minimum
Summary Of Significant Accounting Policies [Line Items]
Estimated useful lives of an assets			27 years 6 months
Servicing agreement | Gregory
Summary Of Significant Accounting Policies [Line Items]
Servicing fees percentage						0.42%
Consecutive payments | payment			7
Percentage of fair market value of REO			1.00%
Percentage of purchase price of REO			1.00%
Renewal term			1 year
Servicing agreement | Gregory | Minimum
Summary Of Significant Accounting Policies [Line Items]
Servicing fees percentage			0.65%
Servicing agreement | Gregory | Maximum
Summary Of Significant Accounting Policies [Line Items]
Servicing fees percentage			1.25%
Amended and restated management agreement | Thetis
Summary Of Significant Accounting Policies [Line Items]
Period of common shares held as base management fee (at least)			3 years
2014 Director Equity Plan
Summary Of Significant Accounting Policies [Line Items]
Number of shares available under for distribution (in shares) | shares			76,000
Percentage of annual retainer received in shares			40.00%
Percentage of annual retainer received in cash			60.00%
2014 Director Equity Plan | Restricted stock
Summary Of Significant Accounting Policies [Line Items]
Annual retainer amount			$ 100,000
2016 Equity Incentive Plan
Summary Of Significant Accounting Policies [Line Items]
Vesting period		3 years
Percentage of outstanding shares on a fully diluted basis (up to)		5.00%
Fraction of award vesting period		0.3333
Long Term Incentive Plan | Restricted stock | IPO
Summary Of Significant Accounting Policies [Line Items]
Number of restricted stock awards issued to independent directors (in shares) | shares			2,000
Convertible notes payable
Summary Of Significant Accounting Policies [Line Items]
Aggregate principal										$ 87,500,000
Additional aggregate principal								$ 15,900,000	$ 20,500,000
Interest Rate										7.25%
Principal amount of note (in dollars per share) | $ / shares			$ 25.00
Cumulative discount			$ 3,200,000
Common stock | Convertible notes payable
Summary Of Significant Accounting Policies [Line Items]
Conversion rate			1.7279
Conversion price (in dollars per share) | $ / shares			$ 14.47

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Mortgage Loans - Schedule of loan portfolio basis by asset type (Details) - USD ($)		Mar. 31, 2021		Dec. 31, 2020		Mar. 31, 2020
Mortgage Loans on Real Estate
Mortgage loans held-for-investment, net		$ 991,811,000	[1],[2]	$ 1,119,372,000	[1],[2]	$ 26,100,000
Mortgage loans held-for-sale, net	[3],[4]	131,719,000		0
SBC loans
Mortgage Loans on Real Estate
Mortgage loans held-for-investment, net		25,055,000		23,194,000
Mortgage loans held-for-sale, net		0		0
Residential RPLs
Mortgage Loans on Real Estate
Mortgage loans held-for-investment, net		928,844,000		1,057,454,000
Mortgage loans held-for-sale, net		131,719,000		0
Residential NPLs
Mortgage Loans on Real Estate
Mortgage loans held-for-investment, net		37,912,000		38,724,000
Mortgage loans held-for-sale, net		$ 0		$ 0

[1] As of March 31, 2021, balances for Mortgage loans held-for-investment, net and Secured borrowings, net of deferred costs includes zero from a 50% owned joint venture. As of December 31, 2020, balances for Mortgage loans held-for-investment, net include $307.1 million and Secured borrowings, net of deferred costs includes $250.6 million from 50.0% and 63.0% owned joint ventures, all of which the Company consolidates under U.S. Generally Accepted Accounting Principles ("U.S. GAAP"). The creditors do not have recourse to the primary beneficiary (Great Ajax Corp.). See Note 9 — Debt.

[2] Mortgage loans held-for-investment, net include $859.3 million and $842.2 million of loans at March 31, 2021 and December 31, 2020, 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 $17.9 million and $13.7 million of allowance for loan credit losses at March 31, 2021 and December 31, 2020, respectively.     

[3] As of March 31, 2021, balances for Mortgage loans held-for-sale, net includes $131.7 million and Secured borrowings, net of deferred costs includes $97.3 million from a 50.0% owned joint venture. As of December 31, 2020, balances for Mortgage loans held-for-sale, net and Secured borrowings, net of deferred costs include zero from 50.0% and 63.0% owned joint ventures. The creditors do not have recourse to the primary beneficiary (Great Ajax Corp.). See Note 9 — Debt.

[4] Mortgage loans held-for-sale, net includes $131.7 million and zero of loans at March 31, 2021 and December 31, 2020, respectively, transferred to securitization trusts that are 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.

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Mortgage Loans - Narrative (Details)			3 Months Ended
		Jan. 01, 2020 USD ($)	Mar. 31, 2021 USD ($) loan loanPool		Mar. 31, 2020 USD ($) loan loanPool	Dec. 31, 2020 USD ($) loanPool		Jun. 30, 2020 loanPool	Dec. 31, 2019 USD ($)
Mortgage Loans on Real Estate
Mortgage loans held-for-investment, net			$ 991,811,000	[1],[2]	$ 26,100,000	$ 1,119,372,000	[1],[2]
Mortgage loans held-for-sale, net	[3],[4]		131,719,000			0
Allowance for credit loss			(17,890,000)		(16,136,000)	$ (13,712,000)			$ (1,960,000)
Reversal of/(increase in) provision for credit losses due to increases/(decreases) in actual and/or forecasted cash flows			5,500,000		(1,893,000)
Reversal of/(increase in) provision for credit losses due to increases/(decreases) in actual and/or forecasted cash flows			5,500,000		(1,893,000)
Interest income			$ 23,100,000		19,600,000
Aggregate unpaid principal balance of mortgage loans on real estate					$ 26,200,000
Number of sold loans | loan			0		26
Collateral value					$ 44,200,000
Beginning period adjustment for CECL		$ 10,200,000
Number of loan pools | loanPool			5		4	6		6
Reclassification from non-credit discount to the allowance for changes in payment expectations			$ (5,398,000)		$ 0
Reclassification from non-credit discount to the allowance for losses for repooling adjustments			(3,834,000)		0
Reversal of allowance for reclass of pool 2017-D to mortgage loans held-for-sale, net			1,741,000		0
Increase in allowance for loan credit losses for loan acquisitions			(1,733,000)		(4,000)
Provisions for losses			0		$ 1,894,000
RPLs, NPLs, and originated SBCs
Mortgage Loans on Real Estate
Mortgage loans held-for-investment, net			1,000,000,000.0			$ 1,100,000,000
RPLs Held-for-Sale
Mortgage Loans on Real Estate
Mortgage loans held-for-sale, net			131,700,000			0
SBC loans acquired at or near origination
Mortgage Loans on Real Estate
Aggregate unpaid principal balance of mortgage loans on real estate			$ 3,600,000
Number of originated SBC loans acquired | loan			1		0
7f7 and better
Mortgage Loans on Real Estate
Mortgage loans held-for-investment, net			$ 121,928,000			142,235,000
4f4-6f6 and below
Mortgage Loans on Real Estate
Mortgage loans held-for-investment, net			172,614,000			126,814,000
Non-PCD
Mortgage Loans on Real Estate
Mortgage loans held-for-investment, net			$ 33,214,000			$ 29,421,000
Number of loan pools | loanPool			1			1
Residential RPLs
Mortgage Loans on Real Estate
Mortgage loans held-for-investment, net			$ 928,844,000			$ 1,057,454,000
Mortgage loans held-for-sale, net			$ 131,719,000			0
Number of mortgage loans on real estate | loan			199		26
Aggregate unpaid principal balance of mortgage loans on real estate			$ 36,000,000.0		$ 2,000,000.0
Residential NPLs
Mortgage Loans on Real Estate
Mortgage loans held-for-investment, net			37,912,000			38,724,000
Mortgage loans held-for-sale, net			$ 0			$ 0
Number of mortgage loans on real estate | loan			3		1
Aggregate unpaid principal balance of mortgage loans on real estate			$ 700,000		$ 200,000

[1] As of March 31, 2021, balances for Mortgage loans held-for-investment, net and Secured borrowings, net of deferred costs includes zero from a 50% owned joint venture. As of December 31, 2020, balances for Mortgage loans held-for-investment, net include $307.1 million and Secured borrowings, net of deferred costs includes $250.6 million from 50.0% and 63.0% owned joint ventures, all of which the Company consolidates under U.S. Generally Accepted Accounting Principles ("U.S. GAAP"). The creditors do not have recourse to the primary beneficiary (Great Ajax Corp.). See Note 9 — Debt.

[2] Mortgage loans held-for-investment, net include $859.3 million and $842.2 million of loans at March 31, 2021 and December 31, 2020, 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 $17.9 million and $13.7 million of allowance for loan credit losses at March 31, 2021 and December 31, 2020, respectively.     

[3] As of March 31, 2021, balances for Mortgage loans held-for-sale, net includes $131.7 million and Secured borrowings, net of deferred costs includes $97.3 million from a 50.0% owned joint venture. As of December 31, 2020, balances for Mortgage loans held-for-sale, net and Secured borrowings, net of deferred costs include zero from 50.0% and 63.0% owned joint ventures. The creditors do not have recourse to the primary beneficiary (Great Ajax Corp.). See Note 9 — Debt.

[4] Mortgage loans held-for-sale, net includes $131.7 million and zero of loans at March 31, 2021 and December 31, 2020, respectively, transferred to securitization trusts that are 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.

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Mortgage Loans - Schedule of loan basis by year of origination (Details) - USD ($)		Mar. 31, 2021	Dec. 31, 2020
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		$ 991,811,000	$ 1,119,372,000
Mortgage loans held-for-sale, net	[1],[2]	131,719,000	0
Great Ajax II REIT
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		596,062,000	424,997,000
California
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		67,993,000	88,788,000
7f7 and better
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		121,928,000	142,235,000
2018-C
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis			173,221,000
2017-D
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis			133,896,000
Mortgage loans held-for-sale, net		131,719,000
4f4-6f6 and below
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		172,614,000	126,814,000
Non-PCD
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		33,214,000	29,421,000
2021
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		3,600,000
Mortgage loans held-for-sale, net		0
2021 | Great Ajax II REIT
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		0
2021 | California
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		0
2021 | 7f7 and better
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		0
2021 | 2017-D
Mortgage Loans [Line Items]
Mortgage loans held-for-sale, net		0
2021 | 4f4-6f6 and below
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		0
2021 | Non-PCD
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		3,600,000
2020
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		24,719,000	24,480,000
Mortgage loans held-for-sale, net		0
2020 | Great Ajax II REIT
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		860,000	0
2020 | California
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		2,207,000	2,221,000
2020 | 7f7 and better
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		0	0
2020 | 2018-C
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis			0
2020 | 2017-D
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis			0
Mortgage loans held-for-sale, net		0
2020 | 4f4-6f6 and below
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		0	872,000
2020 | Non-PCD
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		21,652,000	21,387,000
2019
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		7,326,000	7,998,000
Mortgage loans held-for-sale, net		0
2019 | Great Ajax II REIT
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		179,000	0
2019 | California
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		0	952,000
2019 | 7f7 and better
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		1,116,000	911,000
2019 | 2018-C
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis			0
2019 | 2017-D
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis			0
Mortgage loans held-for-sale, net		0
2019 | 4f4-6f6 and below
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		1,563,000	1,397,000
2019 | Non-PCD
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		4,468,000	4,738,000
2018
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		4,339,000	4,293,000
Mortgage loans held-for-sale, net		0
2018 | Great Ajax II REIT
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		1,305,000	257,000
2018 | California
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		926,000	1,484,000
2018 | 7f7 and better
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		0	434,000
2018 | 2018-C
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis			0
2018 | 2017-D
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis			0
Mortgage loans held-for-sale, net		0
2018 | 4f4-6f6 and below
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		2,034,000	2,054,000
2018 | Non-PCD
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		74,000	64,000
2017
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		3,760,000	3,800,000
Mortgage loans held-for-sale, net		121,000
2017 | Great Ajax II REIT
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		489,000	488,000
2017 | California
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		368,000	362,000
2017 | 7f7 and better
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		0	0
2017 | 2018-C
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis			0
2017 | 2017-D
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis			121,000
Mortgage loans held-for-sale, net		121,000
2017 | 4f4-6f6 and below
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		341,000	336,000
2017 | Non-PCD
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		2,562,000	2,493,000
2016
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		2,760,000	4,520,000
Mortgage loans held-for-sale, net		0
2016 | Great Ajax II REIT
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		2,046,000	1,991,000
2016 | California
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		0	0
2016 | 7f7 and better
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		291,000	2,125,000
2016 | 2018-C
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis			0
2016 | 2017-D
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis			0
Mortgage loans held-for-sale, net		0
2016 | 4f4-6f6 and below
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		305,000	305,000
2016 | Non-PCD
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		118,000	99,000
2009-2015
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		96,705,000	99,504,000
Mortgage loans held-for-sale, net		6,929,000
2009-2015 | Great Ajax II REIT
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		53,144,000	41,746,000
2009-2015 | California
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		4,396,000	5,292,000
2009-2015 | 7f7 and better
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		14,039,000	17,520,000
2009-2015 | 2018-C
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis			14,100,000
2009-2015 | 2017-D
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis			6,826,000
Mortgage loans held-for-sale, net		6,929,000
2009-2015 | 4f4-6f6 and below
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		24,420,000	13,409,000
2009-2015 | Non-PCD
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		706,000	611,000
2006-2008
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		622,883,000	721,689,000
Mortgage loans held-for-sale, net		93,353,000
2006-2008 | Great Ajax II REIT
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		394,518,000	280,606,000
2006-2008 | California
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		47,600,000	60,393,000
2006-2008 | 7f7 and better
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		77,071,000	88,414,000
2006-2008 | 2018-C
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis			119,343,000
2006-2008 | 2017-D
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis			94,711,000
Mortgage loans held-for-sale, net		93,353,000
2006-2008 | 4f4-6f6 and below
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		103,672,000	78,202,000
2006-2008 | Non-PCD
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		22,000	20,000
2005 and prior
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		225,719,000	253,088,000
Mortgage loans held-for-sale, net		31,316,000
2005 and prior | Great Ajax II REIT
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		143,521,000	99,909,000
2005 and prior | California
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		12,496,000	18,084,000
2005 and prior | 7f7 and better
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		29,411,000	32,831,000
2005 and prior | 2018-C
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis			39,778,000
2005 and prior | 2017-D
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis			32,238,000
Mortgage loans held-for-sale, net		31,316,000
2005 and prior | 4f4-6f6 and below
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		40,279,000	30,239,000
2005 and prior | Non-PCD
Mortgage Loans [Line Items]
Mortgage loan portfolio by basis		$ 12,000	$ 9,000

[1] As of March 31, 2021, balances for Mortgage loans held-for-sale, net includes $131.7 million and Secured borrowings, net of deferred costs includes $97.3 million from a 50.0% owned joint venture. As of December 31, 2020, balances for Mortgage loans held-for-sale, net and Secured borrowings, net of deferred costs include zero from 50.0% and 63.0% owned joint ventures. The creditors do not have recourse to the primary beneficiary (Great Ajax Corp.). See Note 9 — Debt.

[2] Mortgage loans held-for-sale, net includes $131.7 million and zero of loans at March 31, 2021 and December 31, 2020, respectively, transferred to securitization trusts that are 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.

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Mortgage Loans - Schedule of loan acquisition reconciliation between purchase price and par value (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Mortgage Loans on Real Estate
Par	$ 0	$ 11,970
Discount	0	(2,335)
Allowance	(1,733)	(4)
PCD Loans
Mortgage Loans on Real Estate
Par	36,696	227
Discount	(2,929)	(37)
Allowance	(1,733)	(4)
Purchase Price	32,034	186
Non-PCD
Mortgage Loans on Real Estate
Par	3,611	1,952
Discount	(8)	(747)
Allowance	0	0
Purchase Price	$ 3,603	$ 1,205

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Mortgage Loans - Allowance for loan losses (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Allowance for loan credit losses, beginning of period	$ (13,712)	$ (1,960)
Reclassification from non-credit discount to the allowance for changes in payment expectations	(5,398)	0
Reclassification from non-credit discount to the allowance for losses for repooling adjustments	(3,834)	0
Increase in allowance for loan credit losses for loan acquisitions	(1,733)	(4)
Amortization of credit loss expense on mortgage loans	(454)	(229)
Reclassification from non-credit discount to the allowance for losses for increases in actual and projected cash flows	0	(1,894)
Reversal of/(increase in) provision for credit losses due to increases/(decreases) in actual and/or forecasted cash flows	5,500	(1,893)
Reversal of allowance for reclass of pool 2017-D to mortgage loans held-for-sale, net	1,741	0
Allowance for loan credit losses, end of period	(17,890)	(16,136)
Beginning period adjustment for CECL
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Allowance for loan credit losses, beginning of period	$ 0	$ 10,156

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Mortgage Loans - Schedule of carrying value of mortgage loans (Details) - USD ($)		Mar. 31, 2021		Dec. 31, 2020		Mar. 31, 2020
Mortgage Loans on Real Estate
Carrying value of mortgages		$ 991,811,000	[1],[2]	$ 1,119,372,000	[1],[2]	$ 26,100,000
Mortgage loans held-for-sale, net	[3],[4]	131,719,000		0
Great Ajax II REIT
Mortgage Loans on Real Estate
Carrying value of mortgages		596,062,000		424,997,000
7f7 and better
Mortgage Loans on Real Estate
Carrying value of mortgages		121,928,000		142,235,000
2018-C
Mortgage Loans on Real Estate
Carrying value of mortgages				173,221,000
2017-D
Mortgage Loans on Real Estate
Carrying value of mortgages				133,896,000
Mortgage loans held-for-sale, net		131,719,000
California
Mortgage Loans on Real Estate
Carrying value of mortgages		67,993,000		88,788,000
4f4-6f6 and below
Mortgage Loans on Real Estate
Carrying value of mortgages		172,614,000		126,814,000
Non-PCD
Mortgage Loans on Real Estate
Carrying value of mortgages		33,214,000		29,421,000
Current
Mortgage Loans on Real Estate
Carrying value of mortgages		563,858,000		591,538,000
Mortgage loans held-for-sale, net		65,047,000
Current | Great Ajax II REIT
Mortgage Loans on Real Estate
Carrying value of mortgages		488,212,000		311,941,000
Current | 7f7 and better
Mortgage Loans on Real Estate
Carrying value of mortgages		23,961,000		72,613,000
Current | 2018-C
Mortgage Loans on Real Estate
Carrying value of mortgages				70,034,000
Current | 2017-D
Mortgage Loans on Real Estate
Carrying value of mortgages				58,198,000
Mortgage loans held-for-sale, net		65,047,000
Current | California
Mortgage Loans on Real Estate
Carrying value of mortgages		9,911,000		42,214,000
Current | 4f4-6f6 and below
Mortgage Loans on Real Estate
Carrying value of mortgages		9,374,000		13,976,000
Current | Non-PCD
Mortgage Loans on Real Estate
Carrying value of mortgages		32,400,000		22,562,000
30
Mortgage Loans on Real Estate
Carrying value of mortgages		89,182,000		132,248,000
Mortgage loans held-for-sale, net		20,019,000
30 | Great Ajax II REIT
Mortgage Loans on Real Estate
Carrying value of mortgages		47,370,000		48,266,000
30 | 7f7 and better
Mortgage Loans on Real Estate
Carrying value of mortgages		19,887,000		14,003,000
30 | 2018-C
Mortgage Loans on Real Estate
Carrying value of mortgages				20,541,000
30 | 2017-D
Mortgage Loans on Real Estate
Carrying value of mortgages				24,906,000
Mortgage loans held-for-sale, net		20,019,000
30 | California
Mortgage Loans on Real Estate
Carrying value of mortgages		6,569,000		7,660,000
30 | 4f4-6f6 and below
Mortgage Loans on Real Estate
Carrying value of mortgages		15,289,000		10,773,000
30 | Non-PCD
Mortgage Loans on Real Estate
Carrying value of mortgages		67,000		6,099,000
60
Mortgage Loans on Real Estate
Carrying value of mortgages		56,117,000		72,475,000
Mortgage loans held-for-sale, net		9,678,000
60 | Great Ajax II REIT
Mortgage Loans on Real Estate
Carrying value of mortgages		17,714,000		19,559,000
60 | 7f7 and better
Mortgage Loans on Real Estate
Carrying value of mortgages		19,316,000		12,447,000
60 | 2018-C
Mortgage Loans on Real Estate
Carrying value of mortgages				15,300,000
60 | 2017-D
Mortgage Loans on Real Estate
Carrying value of mortgages				12,437,000
Mortgage loans held-for-sale, net		9,678,000
60 | California
Mortgage Loans on Real Estate
Carrying value of mortgages		9,795,000		5,519,000
60 | 4f4-6f6 and below
Mortgage Loans on Real Estate
Carrying value of mortgages		9,229,000		7,157,000
60 | Non-PCD
Mortgage Loans on Real Estate
Carrying value of mortgages		63,000		56,000
90
Mortgage Loans on Real Estate
Carrying value of mortgages		237,456,000		277,115,000
Mortgage loans held-for-sale, net		35,067,000
90 | Great Ajax II REIT
Mortgage Loans on Real Estate
Carrying value of mortgages		40,859,000		43,364,000
90 | 7f7 and better
Mortgage Loans on Real Estate
Carrying value of mortgages		57,878,000		41,383,000
90 | 2018-C
Mortgage Loans on Real Estate
Carrying value of mortgages				57,538,000
90 | 2017-D
Mortgage Loans on Real Estate
Carrying value of mortgages				36,106,000
Mortgage loans held-for-sale, net		35,067,000
90 | California
Mortgage Loans on Real Estate
Carrying value of mortgages		35,319,000		29,343,000
90 | 4f4-6f6 and below
Mortgage Loans on Real Estate
Carrying value of mortgages		103,353,000		68,677,000
90 | Non-PCD
Mortgage Loans on Real Estate
Carrying value of mortgages		47,000		704,000
Foreclosure
Mortgage Loans on Real Estate
Carrying value of mortgages		45,198,000		45,996,000
Mortgage loans held-for-sale, net		1,908,000
Foreclosure | Great Ajax II REIT
Mortgage Loans on Real Estate
Carrying value of mortgages		1,907,000		1,867,000
Foreclosure | 7f7 and better
Mortgage Loans on Real Estate
Carrying value of mortgages		886,000		1,789,000
Foreclosure | 2018-C
Mortgage Loans on Real Estate
Carrying value of mortgages				9,808,000
Foreclosure | 2017-D
Mortgage Loans on Real Estate
Carrying value of mortgages				2,249,000
Mortgage loans held-for-sale, net		1,908,000
Foreclosure | California
Mortgage Loans on Real Estate
Carrying value of mortgages		6,399,000		4,052,000
Foreclosure | 4f4-6f6 and below
Mortgage Loans on Real Estate
Carrying value of mortgages		35,369,000		26,231,000
Foreclosure | Non-PCD
Mortgage Loans on Real Estate
Carrying value of mortgages		$ 637,000		$ 0

[1] As of March 31, 2021, balances for Mortgage loans held-for-investment, net and Secured borrowings, net of deferred costs includes zero from a 50% owned joint venture. As of December 31, 2020, balances for Mortgage loans held-for-investment, net include $307.1 million and Secured borrowings, net of deferred costs includes $250.6 million from 50.0% and 63.0% owned joint ventures, all of which the Company consolidates under U.S. Generally Accepted Accounting Principles ("U.S. GAAP"). The creditors do not have recourse to the primary beneficiary (Great Ajax Corp.). See Note 9 — Debt.

[2] Mortgage loans held-for-investment, net include $859.3 million and $842.2 million of loans at March 31, 2021 and December 31, 2020, 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 $17.9 million and $13.7 million of allowance for loan credit losses at March 31, 2021 and December 31, 2020, respectively.     

[3] As of March 31, 2021, balances for Mortgage loans held-for-sale, net includes $131.7 million and Secured borrowings, net of deferred costs includes $97.3 million from a 50.0% owned joint venture. As of December 31, 2020, balances for Mortgage loans held-for-sale, net and Secured borrowings, net of deferred costs include zero from 50.0% and 63.0% owned joint ventures. The creditors do not have recourse to the primary beneficiary (Great Ajax Corp.). See Note 9 — Debt.

[4] Mortgage loans held-for-sale, net includes $131.7 million and zero of loans at March 31, 2021 and December 31, 2020, respectively, transferred to securitization trusts that are 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.

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Real Estate Assets, Net - Narrative (Details) $ in Thousands	3 Months Ended			12 Months Ended
	Mar. 31, 2021 USD ($) property		Mar. 31, 2020 USD ($) property	Dec. 31, 2020 USD ($) property		Dec. 31, 2019 USD ($)
Real Estate [Line Items]
Net investments in real estate	$ 7,098	[1]	$ 12,250	$ 8,526	[1]	$ 15,071
Property held-for-sale	6,700			7,800
Rental properties	400			$ 700
Real estate held for sale improvements	$ 300
Number of properties owned | property	31			38
Number of held-for-sale properties | property	26			32
Number of rental properties | property	5			6
Number of held-for-sale residential properties disposed | property	9		19
Gain (loss) on sale of property	$ 105		$ 286
Real estate impairment	200		900
Carrying Value
Real Estate [Line Items]
Net investments in real estate	7,100			$ 8,500
Property held-for-sale	6,736			$ 7,807
Other income
Real Estate [Line Items]
Gain (loss) on sale of property	$ 100		$ 400

[1] Real estate owned properties, net, includes valuation allowances of $1.3 million and $1.4 million at March 31, 2021 and December 31, 2020, respectively.

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Real Estate Assets, Net - Schedule of ROE Held-For-Sale (Details) $ in Thousands	3 Months Ended
	Mar. 31, 2021 USD ($) property		Mar. 31, 2020 USD ($) property
Count [Abstract]
Balance at beginning of period | property	38		68
Net transfers from mortgage loans | property	2		5
Adjustments to record at lower of cost or fair value  | property	0		0
Depreciation on rental properties | property	0		0
Disposals | property	(9)		(19)
Balance at end of period | property	31		54
Amount [Abstract]
Balance at beginning of period | $	$ 8,526	[1]	$ 15,071
Net transfers from mortgage loans | $	228		814
Adjustments to record at lower of cost or fair value  | $	(171)		(897)
Depreciation on rental properties | $	(3)		(8)
Disposals | $	(1,482)		(2,730)
Balance at end of period | $	$ 7,098	[1]	$ 12,250

[1] Real estate owned properties, net, includes valuation allowances of $1.3 million and $1.4 million at March 31, 2021 and December 31, 2020, respectively.

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Investments - Available-for-sale (Details) - USD ($) $ in Thousands		Mar. 31, 2021	Dec. 31, 2020
Debt Securities, Available-for-sale [Line Items]
Basis		$ 263,000	$ 273,400
Gross unrealized gains		1,900	1,200
Gross unrealized losses		(200)	(800)
Carrying value (fair value)		264,700	273,800
Interest receivable on securities		200	200
Debt securities
Debt Securities, Available-for-sale [Line Items]
Basis		263,001	273,459
Gross unrealized gains		1,926	1,152
Gross unrealized losses		(245)	(777)
Carrying value (fair value)		264,682	273,834
Beneficial interests in securitization trusts
Debt Securities, Available-for-sale [Line Items]
Basis		94,893	91,418
Gross unrealized gains		0	0
Gross unrealized losses		0	0
Carrying value (fair value)	[1]	94,893	91,418
Accumulated net investment gain (loss) attributable to noncontrolling interest
Debt Securities, Available-for-sale [Line Items]
Basis		357,894	364,877
Gross unrealized gains		1,926	1,152
Gross unrealized losses		(245)	(777)
Carrying value (fair value)		$ 359,575	$ 365,252

[1] Investments in beneficial interests includes allowance for credit losses of $5.5 million and $4.5 million at March 31, 2021 and December 31, 2020, respectively.

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Investments - Debt Securities Available-for-sale, Unrealized Loss Position, Fair Value (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020	Dec. 31, 2020
Investments, Debt and Equity Securities [Line Items]
Basis	$ 263,000		$ 273,400
Gross unrealized losses	(200)		(800)
Carrying value (fair value)	264,700		273,800
Allowance	0	$ (2,553)
Incremental increase in allowance for beneficial interests	953	$ 0
Debt securities due September 2059
Investments, Debt and Equity Securities [Line Items]
Basis	21,390		22,216
Gross unrealized losses	(245)		(238)
Carrying value (fair value)	21,145		21,978
Debt securities due September 2059 | Unrealized loss 12 months or longer
Investments, Debt and Equity Securities [Line Items]
Gross unrealized losses			(100)
Debt securities due September 2059 | Unrealized loss less than 12 months
Investments, Debt and Equity Securities [Line Items]
Gross unrealized losses			(200)
Debt securities due November 2059
Investments, Debt and Equity Securities [Line Items]
Basis			14,738
Gross unrealized losses			(61)
Carrying value (fair value)			14,677
Debt securities due December 2059
Investments, Debt and Equity Securities [Line Items]
Basis			47,270
Gross unrealized losses			(315)
Carrying value (fair value)			46,955
Debt securities due September 2060
Investments, Debt and Equity Securities [Line Items]
Basis			34,970
Gross unrealized losses			(44)
Carrying value (fair value)			34,926
Debt securities due June 2060
Investments, Debt and Equity Securities [Line Items]
Basis			35,127
Gross unrealized losses			(119)
Carrying value (fair value)			35,008
Total basis
Investments, Debt and Equity Securities [Line Items]
Basis	21,390		154,321
Total gross unrealized losses
Investments, Debt and Equity Securities [Line Items]
Gross unrealized losses	(245)		(777)
Total carrying value (fair value)
Investments, Debt and Equity Securities [Line Items]
Carrying value (fair value)	$ 21,145		$ 153,544

XML

Investments - Narrative (Details) - USD ($)			3 Months Ended
		Jan. 01, 2020	Mar. 31, 2021	Mar. 31, 2020	Dec. 31, 2020
Debt Securities, Available-for-sale [Line Items]
Gross unrealized gains			$ 1,900,000		$ 1,200,000
Gross unrealized losses			(200,000)		(800,000)
Carrying value (fair value)			264,700,000		273,800,000
Interest receivable on securities			200,000		200,000
Investment In securities				$ 61,300,000
Securities past due			0		0
Provision for credit losses		$ 10,200,000
Provision for (benefit)/losses on beneficial interests			(15,000)	169,000
Beneficial interests in securitization trusts
Debt Securities, Available-for-sale [Line Items]
Provision for credit losses		$ (1,700,000)
Reversal of provision for credit losses			(15,000)
Provision for (benefit)/losses on beneficial interests				200,000
Senior notes
Debt Securities, Available-for-sale [Line Items]
Investment in senior notes				49,600,000
Subordinated debt
Debt Securities, Available-for-sale [Line Items]
Investment in subordinate notes				4,600,000
Beneficial interests in securitization trusts
Debt Securities, Available-for-sale [Line Items]
Gross unrealized gains			0		0
Gross unrealized losses			0		0
Carrying value (fair value)	[1]		$ 94,893,000		$ 91,418,000
Beneficial interests in securitization trusts
Debt Securities, Available-for-sale [Line Items]
Investment in beneficial interests				$ 7,100,000

[1] Investments in beneficial interests includes allowance for credit losses of $5.5 million and $4.5 million at March 31, 2021 and December 31, 2020, respectively.

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Investments - Schedule of securities at acquisition reconciliation between purchase price and par value (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Investments, Debt and Equity Securities [Abstract]
Par	$ 0	$ 11,970
Discount	0	(2,335)
Allowance	0	(2,553)
Purchase Price	$ 0	$ 7,082

XML

Investments - Allowance for Credit Loss on Beneficial Interests (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward]
Allowance for beneficial interests credit losses, beginning balance	$ (4,453)	$ 0
Incremental increase in allowance for beneficial interests	(953)	0
Increase in allowance for beneficial interest credit losses for acquisitions	0	(2,553)
Amortization of credit loss expense on beneficial interests	(139)	(2,818)
Reversal of/(increase in) provision for credit losses due to increases/(decreases) in actual and/or forecasted cash flows	15	(169)
Allowance for beneficial interests credit losses, end balance	(5,530)	(7,208)
Beginning period adjustment for CECL
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward]
Allowance for beneficial interests credit losses, beginning balance	$ 0	$ (1,668)

XML

Fair Value - Schedule of Recurring Financial Assets and Liabilities (Details) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Investment in debt securities at fair value - carrying value	$ 264,700	$ 273,800
Carrying Value | Fair value, recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Investment in debt securities at fair value - carrying value	264,682	273,834
Put option liability - carrying value	16,149	14,205
Level 1 | Fair value, recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Investment in debt securities at fair value	0	0
Put option liability	0	0
Level 2 | Fair value, recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Investment in debt securities at fair value	264,682	273,834
Put option liability	0	0
Level 3 | Fair value, recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Investment in debt securities at fair value	0	0
Put option liability	$ 16,149	$ 14,205

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Fair Value - Schedule of Assets and Liabilities at Fair Value (Details) - USD ($)		Mar. 31, 2021		Dec. 31, 2020		Mar. 31, 2020
Consolidated balance sheet at fair value disclosure (assets)
Mortgage loans held-for-investment, net		$ 991,811,000	[1],[2]	$ 1,119,372,000	[1],[2]	$ 26,100,000
Mortgage loans held-for-sale, net	[3],[4]	131,719,000		0
Not recognized on consolidated balance sheet at fair value (liabilities)
Borrowings under repurchase transactions		305,093,000		421,132,000
Convertible senior notes, net	[5]	107,971,000		110,057,000
Carrying value
Consolidated balance sheet at fair value disclosure (assets)
Mortgage loans held-for-investment, net		991,811,000		1,119,372,000
Mortgage loans held-for-sale, net		131,719,000
Not recognized on consolidated balance sheet at fair value (liabilities)
Secured borrowings, net		740,035,000		585,403,000
Borrowings under repurchase transactions		305,093,000		421,132,000
Convertible senior notes, net		107,971,000		110,057,000
Level 1 - Quoted prices in active markets
Consolidated balance sheet at fair value disclosure (assets)
Mortgage loans, net fair value		0		0
Mortgage loans held-for-sale, net		0
Not recognized on consolidated balance sheet at fair value (liabilities)
Secured borrowings, fair value		0		0
Borrowings under repurchase agreement, fair value		0		0
Convertible senior notes, net, fair value		111,382,000		110,675,000
Level 2 - Observable inputs other than Level 1 prices
Consolidated balance sheet at fair value disclosure (assets)
Mortgage loans, net fair value		0		0
Mortgage loans held-for-sale, net		0
Not recognized on consolidated balance sheet at fair value (liabilities)
Secured borrowings, fair value		743,762,000		586,419,000
Borrowings under repurchase agreement, fair value		305,093,000		421,132,000
Convertible senior notes, net, fair value		0		0
Level 3 - Unobservable inputs
Consolidated balance sheet at fair value disclosure (assets)
Mortgage loans, net fair value		1,088,730,000		1,232,081,000
Mortgage loans held-for-sale, net		141,780,000
Not recognized on consolidated balance sheet at fair value (liabilities)
Secured borrowings, fair value		0		0
Borrowings under repurchase agreement, fair value		0		0
Convertible senior notes, net, fair value		0		0
Investment in Manager | Carrying value
Consolidated balance sheet at fair value disclosure (assets)
Investments In affiliates		1,535,000		1,366,000
Investment in Manager | Level 1 - Quoted prices in active markets
Consolidated balance sheet at fair value disclosure (assets)
Fair value adjustment		0		0
Investment in Manager | Level 2 - Observable inputs other than Level 1 prices
Consolidated balance sheet at fair value disclosure (assets)
Fair value adjustment		0		0
Investment in Manager | Level 3 - Unobservable inputs
Consolidated balance sheet at fair value disclosure (assets)
Fair value adjustment		11,818,000		11,709,000
Investment in AS Ajax E LLC | Carrying value
Consolidated balance sheet at fair value disclosure (assets)
Investments In affiliates		723,000		776,000
Investment in AS Ajax E LLC | Level 1 - Quoted prices in active markets
Consolidated balance sheet at fair value disclosure (assets)
Fair value adjustment		0		0
Investment in AS Ajax E LLC | Level 2 - Observable inputs other than Level 1 prices
Consolidated balance sheet at fair value disclosure (assets)
Fair value adjustment		877,000		934,000
Investment in AS Ajax E LLC | Level 3 - Unobservable inputs
Consolidated balance sheet at fair value disclosure (assets)
Fair value adjustment		0		0
Investment in AS Ajax E II LLC | Carrying value
Consolidated balance sheet at fair value disclosure (assets)
Investments In affiliates		3,115,000		3,381,000
Investment in AS Ajax E II LLC | Level 1 - Quoted prices in active markets
Consolidated balance sheet at fair value disclosure (assets)
Fair value adjustment		0		0
Investment in AS Ajax E II LLC | Level 2 - Observable inputs other than Level 1 prices
Consolidated balance sheet at fair value disclosure (assets)
Fair value adjustment		3,261,000		3,484,000
Investment in AS Ajax E II LLC | Level 3 - Unobservable inputs
Consolidated balance sheet at fair value disclosure (assets)
Fair value adjustment		0		0
Great Ajax FS | Carrying value
Consolidated balance sheet at fair value disclosure (assets)
Investments In affiliates		2,650,000		2,711,000
Great Ajax FS | Level 1 - Quoted prices in active markets
Consolidated balance sheet at fair value disclosure (assets)
Fair value adjustment		0		0
Great Ajax FS | Level 2 - Observable inputs other than Level 1 prices
Consolidated balance sheet at fair value disclosure (assets)
Fair value adjustment		0		0
Great Ajax FS | Level 3 - Unobservable inputs
Consolidated balance sheet at fair value disclosure (assets)
Fair value adjustment		3,320,000		3,320,000
Gaea Real Estate Corp. | Carrying value
Consolidated balance sheet at fair value disclosure (assets)
Investments In affiliates		19,897,000		20,001,000
Gaea Real Estate Corp. | Level 1 - Quoted prices in active markets
Consolidated balance sheet at fair value disclosure (assets)
Fair value adjustment		0		0
Gaea Real Estate Corp. | Level 2 - Observable inputs other than Level 1 prices
Consolidated balance sheet at fair value disclosure (assets)
Fair value adjustment		0		0
Gaea Real Estate Corp. | Level 3 - Unobservable inputs
Consolidated balance sheet at fair value disclosure (assets)
Fair value adjustment		19,133,000		19,150,000
Investment in Loan pool LLCs | Carrying value
Consolidated balance sheet at fair value disclosure (assets)
Investments In affiliates		374,000		381,000
Investment in Loan pool LLCs | Level 1 - Quoted prices in active markets
Consolidated balance sheet at fair value disclosure (assets)
Fair value adjustment		0		0
Investment in Loan pool LLCs | Level 2 - Observable inputs other than Level 1 prices
Consolidated balance sheet at fair value disclosure (assets)
Fair value adjustment		0		0
Investment in Loan pool LLCs | Level 3 - Unobservable inputs
Consolidated balance sheet at fair value disclosure (assets)
Fair value adjustment		707,000		701,000
Beneficial interests in securitization trusts | Carrying value
Consolidated balance sheet at fair value disclosure (assets)
Investments In affiliates		94,893,000		91,418,000
Beneficial interests in securitization trusts | Level 1 - Quoted prices in active markets
Consolidated balance sheet at fair value disclosure (assets)
Investments, fair value disclosure		0		0
Beneficial interests in securitization trusts | Level 2 - Observable inputs other than Level 1 prices
Consolidated balance sheet at fair value disclosure (assets)
Investments, fair value disclosure		0		0
Beneficial interests in securitization trusts | Level 3 - Unobservable inputs
Consolidated balance sheet at fair value disclosure (assets)
Investments, fair value disclosure		$ 94,893,000		$ 91,418,000

[1] As of March 31, 2021, balances for Mortgage loans held-for-investment, net and Secured borrowings, net of deferred costs includes zero from a 50% owned joint venture. As of December 31, 2020, balances for Mortgage loans held-for-investment, net include $307.1 million and Secured borrowings, net of deferred costs includes $250.6 million from 50.0% and 63.0% owned joint ventures, all of which the Company consolidates under U.S. Generally Accepted Accounting Principles ("U.S. GAAP"). The creditors do not have recourse to the primary beneficiary (Great Ajax Corp.). See Note 9 — Debt.

[2] Mortgage loans held-for-investment, net include $859.3 million and $842.2 million of loans at March 31, 2021 and December 31, 2020, 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 $17.9 million and $13.7 million of allowance for loan credit losses at March 31, 2021 and December 31, 2020, respectively.     

[3] As of March 31, 2021, balances for Mortgage loans held-for-sale, net includes $131.7 million and Secured borrowings, net of deferred costs includes $97.3 million from a 50.0% owned joint venture. As of December 31, 2020, balances for Mortgage loans held-for-sale, net and Secured borrowings, net of deferred costs include zero from 50.0% and 63.0% owned joint ventures. The creditors do not have recourse to the primary beneficiary (Great Ajax Corp.). See Note 9 — Debt.

[4] Mortgage loans held-for-sale, net includes $131.7 million and zero of loans at March 31, 2021 and December 31, 2020, respectively, transferred to securitization trusts that are 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.

[5] Secured borrowings and Convertible senior notes, net are presented net of deferred issuance costs.

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Fair Value - Schedule of Non Financial Assets (Details) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Property held-for-sale	$ 6,700	$ 7,800
Level 1 - Quoted prices in active markets
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Property held-for-sale	0	0
Level 2 - Observable inputs other than Level 1 prices
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Property held-for-sale	0	0
Level 3 - Unobservable inputs
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Property held-for-sale	6,736	7,807
Carrying Value
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Property held-for-sale	6,736	7,807
Current period ended fair value adjustment recognized in the consolidated Statements of Income
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Property held-for-sale	$ (171)	$ (1,359)

XML

Affiliates - Narrative (Details) $ in Millions					3 Months Ended	12 Months Ended
	Apr. 06, 2020 USD ($)	Nov. 22, 2019 USD ($) shares	May 29, 2018 USD ($) warrant shares	Jan. 26, 2018 USD ($) warrant shares	Jun. 30, 2020 USD ($)	Dec. 31, 2019 USD ($) loanPool	Dec. 31, 2018 transaction	Mar. 31, 2021	Dec. 31, 2020	Mar. 14, 2016
Schedule of Equity Method Investments [Line Items]
Proceeds from issuance of private placement	$ 125.0				$ 130.0
2017-D
Schedule of Equity Method Investments [Line Items]
Percentage of ownership interests in joint venture								50.00%
2017-D | Great Ajax Corp
Schedule of Equity Method Investments [Line Items]
Ownership percentage by parent								50.00%	50.00%
2018-C
Schedule of Equity Method Investments [Line Items]
Percentage of ownership interests in joint venture								37.00%
2018-C | Third party
Schedule of Equity Method Investments [Line Items]
Ownership percentage by third parties								0.00%
Ownership percentage by parent									63.00%
2018-C | Great Ajax Corp
Schedule of Equity Method Investments [Line Items]
Ownership percentage by parent								100.00%
Great Ajax II REIT | Third party
Schedule of Equity Method Investments [Line Items]
Ownership percentage by third parties								0.10%	0.10%
Great Ajax II REIT | Great Ajax Corp
Schedule of Equity Method Investments [Line Items]
Ownership percentage by parent								99.90%	99.90%
Investment in AS Ajax E II LLC
Schedule of Equity Method Investments [Line Items]
Percentage of ownership interests in joint venture								53.10%	53.10%
Investment in AS Ajax E II LLC | Third party
Schedule of Equity Method Investments [Line Items]
Ownership percentage by third parties								46.90%
Investment in AS Ajax E II LLC | Great Ajax Corp
Schedule of Equity Method Investments [Line Items]
Percentage of ownership interests in joint venture								53.10%	53.10%
Thetis
Schedule of Equity Method Investments [Line Items]
Ownership percentage								19.80%
AS Ajax E LLC
Schedule of Equity Method Investments [Line Items]
Ownership percentage								16.50%	16.50%	24.20%
Unconsolidated Affiliates
Schedule of Equity Method Investments [Line Items]
Ownership percentage								100.00%
Gaea Real Estate Corp.
Schedule of Equity Method Investments [Line Items]
Proceeds from issuance of private placement		$ 66.3
Private placement share issuance (in shares) | shares		4,419,641
Ownership percentage		23.20%						22.90%
Gaea Real Estate Corp. | Third party
Schedule of Equity Method Investments [Line Items]
Ownership percentage by third parties		76.80%						77.10%
Ajax E Master Trust | AS Ajax E LLC
Schedule of Equity Method Investments [Line Items]
Ownership percentage								5.00%
Investment in Loan pool LLCs
Schedule of Equity Method Investments [Line Items]
Ownership percentage						40.40%
Number of entities | loanPool						3
Cash payment in business acquisition						$ 1.0
Great Ajax FS LLC
Schedule of Equity Method Investments [Line Items]
Ownership percentage							8.00%
Cash payment in business acquisition			$ 0.7	$ 1.1
Number of transactions | transaction							2
Percentage of equity interest at closing date			3.10%	4.90%
Number of warrants | warrant			3	3
Percentage of warrants exercisable			1.55%	2.45%
Number of shares (in shares) | shares			29,063	45,938
Common stock value			$ 0.4	$ 0.6

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Affiliates - Schedule of Net Income, Assets and Liabilities (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020	Dec. 31, 2020
Schedule of Equity Method Investments [Line Items]
Income/(loss) from investments in affiliates	$ 163	$ (1,112)
Assets at Company share	1,686,973		$ 1,653,732
Liabilities at Company share	1,177,438		1,139,241
Thetis
Schedule of Equity Method Investments [Line Items]
Net income/(loss) at 100%	851	(4,877)
Income/(loss) from investments in affiliates	168	(966)
Assets at Company share	1,917		1,887
Liabilities at Company share	304		420
Thetis | Assets
Schedule of Equity Method Investments [Line Items]
Assets and Liabilities at 100%	9,681		9,531
Thetis | Liabilities
Schedule of Equity Method Investments [Line Items]
Assets and Liabilities at 100%	1,533		2,122
Gaea Real Estate Corp.
Schedule of Equity Method Investments [Line Items]
Net income/(loss) at 100%	78	15
Income/(loss) from investments in affiliates	18	4
Assets at Company share	21,642		21,729
Liabilities at Company share	2,719		2,729
Gaea Real Estate Corp. | Assets
Schedule of Equity Method Investments [Line Items]
Assets and Liabilities at 100%	94,259		94,639
Gaea Real Estate Corp. | Liabilities
Schedule of Equity Method Investments [Line Items]
Assets and Liabilities at 100%	11,844		11,886
AS Ajax E LLC
Schedule of Equity Method Investments [Line Items]
Net income/(loss) at 100%	54	62
Income/(loss) from investments in affiliates	9	10
Assets at Company share	738		791
Liabilities at Company share	0		0
AS Ajax E LLC | Assets
Schedule of Equity Method Investments [Line Items]
Assets and Liabilities at 100%	4,482		4,808
AS Ajax E LLC | Liabilities
Schedule of Equity Method Investments [Line Items]
Assets and Liabilities at 100%	2		2
Investment in Loan pool LLCs
Schedule of Equity Method Investments [Line Items]
Net income/(loss) at 100%	(16)	198
Income/(loss) from investments in affiliates	(7)	79
Assets at Company share	967		973
Liabilities at Company share	1,597		1,595
Investment in Loan pool LLCs | Assets
Schedule of Equity Method Investments [Line Items]
Assets and Liabilities at 100%	2,410		2,423
Investment in Loan pool LLCs | Liabilities
Schedule of Equity Method Investments [Line Items]
Assets and Liabilities at 100%	3,964		3,961
Great Ajax FS LLC
Schedule of Equity Method Investments [Line Items]
Net income/(loss) at 100%	(777)	(3,450)
Income/(loss) from investments in affiliates	(62)	$ (276)
Assets at Company share	4,517		4,523
Liabilities at Company share	2,945		2,888
Great Ajax FS LLC | Assets
Schedule of Equity Method Investments [Line Items]
Assets and Liabilities at 100%	56,457		56,532
Great Ajax FS LLC | Liabilities
Schedule of Equity Method Investments [Line Items]
Assets and Liabilities at 100%	$ 36,807		$ 36,101

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Commitments and Contingencies - Narrative (Details)		3 Months Ended
	Apr. 06, 2020 USD ($) shares	Mar. 31, 2021 USD ($) loan $ / shares shares	Jun. 30, 2020 USD ($) $ / shares shares	Mar. 31, 2020 USD ($)	Dec. 31, 2020 $ / shares shares
Mortgage Loans on Real Estate
Aggregate unpaid principal balance of mortgage loans on real estate				$ 26,200,000
Proceeds from issuance of private placement	$ 125,000,000.0		$ 130,000,000.0
Preferred stock, par value per share (in dollars per share) | $ / shares		$ 0.01			$ 0.01
Warrant term			5 years
Class of warrant or right, outstanding (in shares) | shares	6,500,000		6,500,000
Investment warrants, exercise price (in dollars per share) | $ / shares			$ 10.00
Loss contingency		$ 0
7.25% Series A preferred stock
Mortgage Loans on Real Estate
Preferred stock, shares issued (in shares) | shares		2,307,400	2,307,400		2,307,400
Preferred stock, fixed-to-floating rate cumulative redeemable		7.25%	7.25%
Preferred stock, par value per share (in dollars per share) | $ / shares			$ 25.00
Preferred stock - Series B shares
Mortgage Loans on Real Estate
Preferred stock, shares issued (in shares) | shares		2,892,600	2,892,600		2,892,600
Preferred stock, fixed-to-floating rate cumulative redeemable		5.00%	5.00%
Preferred stock, par value per share (in dollars per share) | $ / shares			$ 25.00
Put option
Mortgage Loans on Real Estate
Present value of put liability		$ 50,700,000
Put option | Warrant
Mortgage Loans on Real Estate
Present value of put liability		$ 16,100,000
Re-performing loans | Purchase commitment | One-to-four family residences
Mortgage Loans on Real Estate
Number of mortgage loans on real estate | loan		235
Aggregate unpaid principal balance of mortgage loans on real estate		$ 104,500,000

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Commitment and Contingencies - Schedule of Put Option Rollforward (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020	Dec. 31, 2020	Dec. 31, 2019
Separate Account, Liability [Roll Forward]
Fair value adjustments during the period	$ 1,613	$ 1,316
Five-year warrants
Separate Account, Liability [Roll Forward]
Beginning balance	16,149	0	$ 14,205	$ 0
Fair value adjustments during the period	1,944	0
Ending balance	$ 16,149	$ 0

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Debt - Narrative (Details)	3 Months Ended			86 Months Ended
	Mar. 31, 2021 USD ($) Day securitization Facility counterparty trust $ / shares	Sep. 30, 2020 USD ($)	Mar. 31, 2020 USD ($)	Mar. 31, 2021 USD ($) securitization $ / shares	Dec. 31, 2020 USD ($)	Nov. 19, 2018 USD ($)	Aug. 18, 2017 USD ($)	Apr. 25, 2017 USD ($)
Debt Instrument [Line Items]
Percentage of guarantors beneficial interest	100.00%			100.00%
Cash collateral	$ 8,815,000			$ 8,815,000	$ 4,653,000
Number of securitizations completed | securitization				18
Number of securitizations outstanding | securitization	6			6
Basis points	100.00%
Convertible notes payable	$ 2,500,000	$ 2,500,000	$ 8,000,000.0	$ 2,500,000
Payments for repurchase of convertible notes	2,400,000	2,300,000	8,200,000	$ 2,400,000
Convertible senior notes repurchase	0	$ 0	81,000
Interest expense	$ 10,304,000		13,070,000
Class A Notes
Debt Instrument [Line Items]
Period after issue	36 months
Class B Notes
Debt Instrument [Line Items]
Percentage of interests in trust certificates sold to third parties	50.00%
Mortgage loans | Non-rated secured borrowings
Debt Instrument [Line Items]
Number of securitizations outstanding | securitization	1			1
Mortgage loans | Rated secured borrowings
Debt Instrument [Line Items]
Number of securitizations outstanding | securitization	4			4
Convertible notes payable
Debt Instrument [Line Items]
Aggregate principal								$ 87,500,000
Additional aggregate principal						$ 15,900,000	$ 20,500,000
Interest Rate								7.25%
Principal amount of note (in dollars per share) | $ / shares	$ 25.00
Cumulative discount	$ 3,200,000
If-converted value in excess of principal	$ 27,300,000
Threshold percentage of stock price trigger (at least)	130.00%
Threshold trading days (at least) | Day	20
Threshold consecutive trading days | Day	30
Redemption price, percentage	100.00%
Unamortized discount	$ 2,900,000		4,400,000	$ 2,900,000
Amortization of debt discount	$ 300,000		$ 300,000
Interest rate, effective percentage	9.01%		8.72%	9.01%
Master repurchase agreement
Debt Instrument [Line Items]
Interest Rate	1.93%			1.93%	2.29%
Master repurchase agreement | Delaware Trust | Mortgage loans
Debt Instrument [Line Items]
Number of facilities repurchased | Facility	2
Number of wholly-owned Delaware trusts | trust	2
Number of counterparties | counterparty	2
Ceiling for each repurchase facility	$ 250,000,000.0			$ 250,000,000.0
Master repurchase agreement | Delaware Trust | Mortgage loans | Minimum
Debt Instrument [Line Items]
Percentage of purchase price for each mortgage loan or REO	70.00%
Master repurchase agreement | Delaware Trust | Mortgage loans | Maximum
Debt Instrument [Line Items]
Percentage of purchase price for each mortgage loan or REO	85.00%
Master repurchase agreement | Delaware Trust | Mortgages one
Debt Instrument [Line Items]
Ceiling for each repurchase facility	$ 400,000,000.0			400,000,000.0
Master repurchase agreement | Delaware Trust | Bonds
Debt Instrument [Line Items]
Number of facilities repurchased | Facility	4
Gregory
Debt Instrument [Line Items]
Ceiling for each repurchase facility	$ 12,000,000.0			$ 12,000,000.0
Gregory | Servicing agreement
Debt Instrument [Line Items]
Servicing fees percentage			0.42%
Gregory | Servicing agreement | Minimum
Debt Instrument [Line Items]
Servicing fees percentage	0.65%
Gregory | Servicing agreement | Maximum
Debt Instrument [Line Items]
Servicing fees percentage	1.25%
Common stock | Convertible notes payable
Debt Instrument [Line Items]
Conversion rate	1.7279
Conversion price (in dollars per share) | $ / shares	$ 14.47			$ 14.47
2018-C | Class A Notes
Debt Instrument [Line Items]
Percentage of Interest retained by the Company	5.00%
Percentage of settled outstanding notes	0.95			0.95
2018-C | Mortgage loans | Class A Notes
Debt Instrument [Line Items]
Aggregate principal					$ 132,700,000
2018-C | Mortgage loans | Class B Notes
Debt Instrument [Line Items]
Aggregate principal					15,900,000
2017-D
Debt Instrument [Line Items]
Basis points	300.00%
2017-D | Mortgage loans | Class A Notes
Debt Instrument [Line Items]
Aggregate principal	$ 97,400,000			$ 97,400,000	$ 102,600,000
2018-C
Debt Instrument [Line Items]
Percentage of ownership interests in joint venture	37.00%			37.00%
2018-C | Third party
Debt Instrument [Line Items]
Ownership percentage by parent					63.00%
Ajax Mortgage Loan Trust 2017-D/ December 2017 | Mortgage loans
Debt Instrument [Line Items]
Percentage of ownership interests in joint venture	50.00%			50.00%
Ajax Mortgage Loan Trust 2017-D/ December 2017 | Mortgage loans | Class A Notes
Debt Instrument [Line Items]
Aggregate principal	$ 177,800,000			$ 177,800,000
Interest Rate	3.75%			3.75%
Convertible notes payable
Debt Instrument [Line Items]
Unpaid principal balance	$ 110,900,000		$ 115,900,000	$ 110,900,000
Interest expense	$ 2,400,000		$ 2,400,000

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Debt - Schedule of Repurchase Transactions and Facilities (Details) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
Debt Instrument [Line Items]
Amount of Collateral	$ 402,836	$ 595,599
Master repurchase agreement
Debt Instrument [Line Items]
Maximum Borrowing Capacity	896,927	916,759
Amount Outstanding	305,093	421,132
Amount of Collateral	$ 402,836	$ 595,599
Percentage of Collateral Coverage	132.00%	141.00%
Interest Rate	1.93%	2.29%
Debt Instrument 1 at 1.74% Interest Rate | Master repurchase agreement | April 5, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity	$ 34,568
Amount Outstanding	34,568
Amount of Collateral	$ 43,784
Percentage of Collateral Coverage	127.00%
Interest Rate	1.74%
Debt Instrument 2 at 1.79% Interest Rate | Master repurchase agreement | April 6, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity	$ 7,530
Amount Outstanding	7,530
Amount of Collateral	$ 9,723
Percentage of Collateral Coverage	129.00%
Interest Rate	1.79%
Debt Instrument 3 at 1.79% Interest Rate | Master repurchase agreement | April 6, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity	$ 4,588
Amount Outstanding	4,588
Amount of Collateral	$ 5,890
Percentage of Collateral Coverage	128.00%
Interest Rate	1.79%
Debt Instrument 4 at 1.79% Interest Rate | Master repurchase agreement | April 6, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity	$ 4,544
Amount Outstanding	4,544
Amount of Collateral	$ 5,738
Percentage of Collateral Coverage	126.00%
Interest Rate	1.79%
Debt Instrument 5 at 1.94% Interest Rate | Master repurchase agreement | April 6, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity	$ 3,233
Amount Outstanding	3,233
Amount of Collateral	$ 4,667
Percentage of Collateral Coverage	144.00%
Interest Rate	1.94%
Debt Instrument 6 at 2.35% Interest Rate | Master repurchase agreement | April 9, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity	$ 33,084
Amount Outstanding	33,084
Amount of Collateral	$ 41,718
Percentage of Collateral Coverage	126.00%
Interest Rate	2.35%
Debt Instrument 7 at 1.77% Interest Rate | Master repurchase agreement | April 12, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity	$ 5,706
Amount Outstanding	5,706
Amount of Collateral	$ 7,328
Percentage of Collateral Coverage	128.00%
Interest Rate	1.77%
Debt Instrument 8 at 1.83% Interest Rate | Master repurchase agreement | April 15, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity	$ 6,582
Amount Outstanding	6,582
Amount of Collateral	$ 8,145
Percentage of Collateral Coverage	124.00%
Interest Rate	1.83%
Debt Instrument 9 at 1.82% Interest Rate | Master repurchase agreement | April 20, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity	$ 12,127
Amount Outstanding	12,127
Amount of Collateral	$ 15,505
Percentage of Collateral Coverage	128.00%
Interest Rate	1.82%
Debt Instrument 10 at 1.66% Interest Rate | Master repurchase agreement | April 22, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity	$ 3,896
Amount Outstanding	3,896
Amount of Collateral	$ 5,130
Percentage of Collateral Coverage	132.00%
Interest Rate	1.66%
Debt Instrument 11 at 1.21% Interest Rate | Master repurchase agreement | April 26, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity	$ 7,982
Amount Outstanding	7,982
Amount of Collateral	$ 9,279
Percentage of Collateral Coverage	116.00%
Interest Rate	1.21%
Debt Instrument 12 at 1.21% Interest Rate | Master repurchase agreement | April 26, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity	$ 5,177
Amount Outstanding	5,177
Amount of Collateral	$ 6,063
Percentage of Collateral Coverage	117.00%
Interest Rate	1.21%
Debt Instrument 13 at 1.21% Interest Rate | Master repurchase agreement | April 26, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity	$ 6,295
Amount Outstanding	6,295
Amount of Collateral	$ 7,276
Percentage of Collateral Coverage	116.00%
Interest Rate	1.21%
Debt Instrument 14 at 1.81% Interest Rate | Master repurchase agreement | April 30, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity	$ 11,992
Amount Outstanding	11,992
Amount of Collateral	$ 14,767
Percentage of Collateral Coverage	123.00%
Interest Rate	1.81%
Debt Instrument 15 at 1.81% Interest Rate | Master repurchase agreement | April 30, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity	$ 11,825
Amount Outstanding	11,825
Amount of Collateral	$ 15,005
Percentage of Collateral Coverage	127.00%
Interest Rate	1.81%
Debt Instrument 16 at 1.81% Interest Rate | Master repurchase agreement | April 30, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity	$ 5,157
Amount Outstanding	5,157
Amount of Collateral	$ 6,610
Percentage of Collateral Coverage	128.00%
Interest Rate	1.81%
Debt Instrument 17 at 1.81% Interest Rate | Master repurchase agreement | April 26, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity	$ 3,892
Amount Outstanding	3,892
Amount of Collateral	$ 4,876
Percentage of Collateral Coverage	125.00%
Interest Rate	1.81%
Debt Instrument 18 at 1.81% Interest Rate | Master repurchase agreement | April 30, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity	$ 2,794
Amount Outstanding	2,794
Amount of Collateral	$ 3,662
Percentage of Collateral Coverage	131.00%
Interest Rate	1.81%
Debt Instrument 19 at 1.96% Interest Rate | Master repurchase agreement | April 30, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity	$ 2,369
Amount Outstanding	2,369
Amount of Collateral	$ 3,360
Percentage of Collateral Coverage	142.00%
Interest Rate	1.96%
Debt Instrument 20 at 1.96% Interest Rate | Master repurchase agreement | April 30, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity	$ 1,133
Amount Outstanding	1,133
Amount of Collateral	$ 1,607
Percentage of Collateral Coverage	142.00%
Interest Rate	1.96%
Debt Instrument 21 at 1.95% Interest Rate | Master repurchase agreement | May 12, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity	$ 3,100
Amount Outstanding	3,100
Amount of Collateral	$ 4,428
Percentage of Collateral Coverage	143.00%
Interest Rate	1.95%
Debt Instrument 22 at 1.54% Interest Rate | Master repurchase agreement | June 4, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity	$ 24,453
Amount Outstanding	24,453
Amount of Collateral	$ 32,366
Percentage of Collateral Coverage	132.00%
Interest Rate	1.54%
Debt Instrument 23 at 1.54% Interest Rate | Master repurchase agreement | June 4, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity	$ 23,972
Amount Outstanding	23,972
Amount of Collateral	$ 31,589
Percentage of Collateral Coverage	132.00%
Interest Rate	1.54%
Debt Instrument 24 at 1.73% Interest Rate | Master repurchase agreement | June 17, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity	$ 9,440
Amount Outstanding	9,440
Amount of Collateral	$ 11,986
Percentage of Collateral Coverage	127.00%
Interest Rate	1.73%
Debt Instrument 25 at 1.73% Interest Rate | Master repurchase agreement | June 17, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity	$ 7,803
Amount Outstanding	7,803
Amount of Collateral	$ 10,166
Percentage of Collateral Coverage	130.00%
Interest Rate	1.73%
Debt Instrument 26 at 1.88% Interest Rate | Master repurchase agreement | June 17, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity	$ 1,175
Amount Outstanding	1,175
Amount of Collateral	$ 1,687
Percentage of Collateral Coverage	144.00%
Interest Rate	1.88%
Debt Instrument 27 at 1.75% Interest Rate | Master repurchase agreement | June 24, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity	$ 2,510
Amount Outstanding	2,510
Amount of Collateral	$ 3,250
Percentage of Collateral Coverage	129.00%
Interest Rate	1.75%
Debt Instrument 28 at 2.61% Interest Rate | Master repurchase agreement | July 9, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity	$ 250,000
Amount Outstanding	15,724
Amount of Collateral	$ 23,488
Percentage of Collateral Coverage	149.00%
Interest Rate	2.61%
Debt Instrument 29 at 2.61% Interest Rate | Master repurchase agreement | September 23, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity	$ 400,000
Amount Outstanding	42,442
Amount of Collateral	$ 63,743
Percentage of Collateral Coverage	150.00%
Interest Rate	2.61%
Debt Instrument 30 at 2.33% Interest Rate | Master repurchase agreement | January 6, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity		$ 35,635
Amount Outstanding		35,635
Amount of Collateral		$ 46,120
Percentage of Collateral Coverage		129.00%
Interest Rate		2.33%
Debt Instrument 31 at 2.33% Interest Rate | Master repurchase agreement | January 6, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity		$ 7,697
Amount Outstanding		7,697
Amount of Collateral		$ 10,075
Percentage of Collateral Coverage		131.00%
Interest Rate		2.33%
Debt Instrument 32 at 2.48% Interest Rate | Master repurchase agreement | January 6, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity		$ 6,311
Amount Outstanding		6,311
Amount of Collateral		$ 9,038
Percentage of Collateral Coverage		143.00%
Interest Rate		2.48%
Debt Instrument 33 at 2.33% Interest Rate | Master repurchase agreement | January 6, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity		$ 4,755
Amount Outstanding		4,755
Amount of Collateral		$ 6,114
Percentage of Collateral Coverage		129.00%
Interest Rate		2.33%
Debt Instrument 34 at 2.33% Interest Rate | Master repurchase agreement | January 6, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity		$ 4,666
Amount Outstanding		4,666
Amount of Collateral		$ 6,044
Percentage of Collateral Coverage		130.00%
Interest Rate		2.33%
Debt Instrument 35 at 2.48% Interest Rate | Master repurchase agreement | January 6, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity		$ 3,213
Amount Outstanding		3,213
Amount of Collateral		$ 4,667
Percentage of Collateral Coverage		145.00%
Interest Rate		2.48%
Debt Instrument 36 at 2.32% Interest Rate | Master repurchase agreement | January 11, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity		$ 5,879
Amount Outstanding		5,879
Amount of Collateral		$ 7,575
Percentage of Collateral Coverage		129.00%
Interest Rate		2.32%
Debt Instrument 37 at 2.35% Interest Rate | Master repurchase agreement | January 14, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity		$ 6,991
Amount Outstanding		6,991
Amount of Collateral		$ 8,738
Percentage of Collateral Coverage		125.00%
Interest Rate		2.35%
Debt Instrument 38 at 2.22% Interest Rate | Master repurchase agreement | January 20, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity		$ 13,263
Amount Outstanding		13,263
Amount of Collateral		$ 16,582
Percentage of Collateral Coverage		125.00%
Interest Rate		2.22%
Debt Instrument 39 at 2.21% Interest Rate | Master repurchase agreement | January 29, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity		$ 7,762
Amount Outstanding		7,762
Amount of Collateral		$ 9,702
Percentage of Collateral Coverage		125.00%
Interest Rate		2.21%
Debt Instrument 40 at 2.21% Interest Rate | Master repurchase agreement | January 29, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity		$ 7,153
Amount Outstanding		7,153
Amount of Collateral		$ 9,537
Percentage of Collateral Coverage		133.00%
Interest Rate		2.21%
Debt Instrument 41 at 1.88% Interest Rate | Master repurchase agreement | February 1, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity		$ 12,258
Amount Outstanding		12,258
Amount of Collateral		$ 16,052
Percentage of Collateral Coverage		131.00%
Interest Rate		1.88%
Debt Instrument 42 at 1.88% Interest Rate | Master repurchase agreement | February 1, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity		$ 12,015
Amount Outstanding		12,015
Amount of Collateral		$ 15,794
Percentage of Collateral Coverage		131.00%
Interest Rate		1.88%
Debt Instrument 43 at 1.88% Interest Rate | Master repurchase agreement | February 1, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity		$ 5,298
Amount Outstanding		5,298
Amount of Collateral		$ 6,895
Percentage of Collateral Coverage		130.00%
Interest Rate		1.88%
Debt Instrument 44 at 1.88% Interest Rate | Master repurchase agreement | February 1, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity		$ 3,985
Amount Outstanding		3,985
Amount of Collateral		$ 5,136
Percentage of Collateral Coverage		129.00%
Interest Rate		1.88%
Debt Instrument 45 at 1.88% Interest Rate | Master repurchase agreement | February 1, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity		$ 2,887
Amount Outstanding		2,887
Amount of Collateral		$ 3,790
Percentage of Collateral Coverage		131.00%
Interest Rate		1.88%
Debt Instrument 46 at 2.03% Interest Rate | Master repurchase agreement | February 1, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity		$ 2,332
Amount Outstanding		2,332
Amount of Collateral		$ 3,360
Percentage of Collateral Coverage		144.00%
Interest Rate		2.03%
Debt Instrument 47 at 2.03% Interest Rate | Master repurchase agreement | February 1, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity		$ 1,132
Amount Outstanding		1,132
Amount of Collateral		$ 1,607
Percentage of Collateral Coverage		142.00%
Interest Rate		2.03%
Debt Instrument 48 at 2.02% Interest Rate | Master repurchase agreement | February 12, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity		$ 2,945
Amount Outstanding		2,945
Amount of Collateral		$ 4,428
Percentage of Collateral Coverage		150.00%
Interest Rate		2.02%
Debt Instrument 49 at 1.78% Interest Rate | Master repurchase agreement | March 5, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity		$ 24,946
Amount Outstanding		24,946
Amount of Collateral		$ 33,348
Percentage of Collateral Coverage		134.00%
Interest Rate		1.78%
Debt Instrument 50 at 1.78% Interest Rate | Master repurchase agreement | March 5, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity		$ 24,312
Amount Outstanding		24,312
Amount of Collateral		$ 32,571
Percentage of Collateral Coverage		134.00%
Interest Rate		1.78%
Debt Instrument 51 at 1.78% Interest Rate | Master repurchase agreement | March 17, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity		$ 10,219
Amount Outstanding		10,219
Amount of Collateral		$ 13,172
Percentage of Collateral Coverage		129.00%
Interest Rate		1.78%
Debt Instrument 52 at 1.78% Interest Rate | Master repurchase agreement | March 17, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity		$ 8,381
Amount Outstanding		8,381
Amount of Collateral		$ 10,872
Percentage of Collateral Coverage		130.00%
Interest Rate		1.78%
Debt Instrument 53 at 1.78% Interest Rate | Master repurchase agreement | March 17, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity		$ 3,894
Amount Outstanding		3,894
Amount of Collateral		$ 5,193
Percentage of Collateral Coverage		133.00%
Interest Rate		1.78%
Debt Instrument 54 at 1.93% Interest Rate | Master repurchase agreement | March 17, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity		$ 1,145
Amount Outstanding		1,145
Amount of Collateral		$ 1,687
Percentage of Collateral Coverage		147.00%
Interest Rate		1.93%
Debt Instrument 55 at 1.94% Interest Rate | Master repurchase agreement | March 24, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity		$ 7,016
Amount Outstanding		7,016
Amount of Collateral		$ 10,024
Percentage of Collateral Coverage		143.00%
Interest Rate		1.94%
Debt Instrument 56 at 1.79% Interest Rate | Master repurchase agreement | March 24, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity		$ 5,008
Amount Outstanding		5,008
Amount of Collateral		$ 6,637
Percentage of Collateral Coverage		133.00%
Interest Rate		1.79%
Debt Instrument 57 at 1.79% Interest Rate | Master repurchase agreement | March 24, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity		$ 2,577
Amount Outstanding		2,577
Amount of Collateral		$ 3,367
Percentage of Collateral Coverage		131.00%
Interest Rate		1.79%
Debt Instrument 58 at 2.35% Interest Rate | Master repurchase agreement | April 9, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity		$ 33,084
Amount Outstanding		33,084
Amount of Collateral		$ 43,069
Percentage of Collateral Coverage		130.00%
Interest Rate		2.35%
Debt Instrument 59 at 2.64% Interest Rate | Master repurchase agreement | July 9, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity		$ 250,000
Amount Outstanding		53,256
Amount of Collateral		$ 84,337
Percentage of Collateral Coverage		158.00%
Interest Rate		2.64%
Debt Instrument 60 at 2.65% Interest Rate | Master repurchase agreement | September 23, 2021
Debt Instrument [Line Items]
Maximum Borrowing Capacity		$ 400,000
Amount Outstanding		101,117
Amount of Collateral		$ 160,068
Percentage of Collateral Coverage		158.00%
Interest Rate		2.65%

XML

Debt - Schedule of Netting Agreement (Details) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
Debt Disclosure [Abstract]
Gross amount of recognized liabilities	$ 305,093	$ 421,132
Gross amount of loans and securities pledged as collateral	402,836	595,599
Cash collateral	8,815	4,653
Net collateral amount	$ 106,558	$ 179,120

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Debt - Schedule of Securitization Notes Outstanding (Details) - Mortgage loans - USD ($) $ in Millions	Mar. 31, 2021	Dec. 31, 2020
Debt Instrument [Line Items]
Deferred issuance costs	$ (10.6)	$ (5.4)
Ajax Mortgage Loan Trust 2017-D/ December 2017
Debt Instrument [Line Items]
Reflection of required consolidation	100.00%
Class A Notes | Ajax Mortgage Loan Trust 2017-D/ December 2017
Debt Instrument [Line Items]
Original Principal	$ 177.8
Interest Rate	3.75%
Ownership percentage	50.00%
Class A Notes | Ajax Mortgage Loan Trust 2021-B/ February 2021
Debt Instrument [Line Items]
Original Principal	$ 215.9
Interest Rate	2.24%
Class B Notes | Ajax Mortgage Loan Trust 2021-B/ February 2021
Debt Instrument [Line Items]
Original Principal	$ 20.2
Interest Rate	4.00%
Class B 1 Notes | Ajax Mortgage Loan Trust 2019-D/ July 2019
Debt Instrument [Line Items]
Original Principal	$ 7.5
Interest Rate	3.50%
Class B 1 Notes | Ajax Mortgage Loan Trust 2019-F/ November 2019
Debt Instrument [Line Items]
Original Principal	$ 11.5
Interest Rate	3.50%
Class B 1 Notes | Ajax Mortgage Loan Trust 2020-B/ August 2020
Debt Instrument [Line Items]
Original Principal	$ 5.9
Interest Rate	3.70%
Class B 1 Notes | Ajax Mortgage Loan Trust 2021-A/ January 2021
Debt Instrument [Line Items]
Original Principal	$ 5.0
Interest Rate	3.80%
Class B 2 Notes | Ajax Mortgage Loan Trust 2019-D/ July 2019
Debt Instrument [Line Items]
Original Principal	$ 7.1
Class B 2 Notes | Ajax Mortgage Loan Trust 2019-F/ November 2019
Debt Instrument [Line Items]
Original Principal	10.4
Class B 2 Notes | Ajax Mortgage Loan Trust 2020-B/ August 2020
Debt Instrument [Line Items]
Original Principal	5.1
Class B 2 Notes | Ajax Mortgage Loan Trust 2021-A/ January 2021
Debt Instrument [Line Items]
Original Principal	$ 5.0
Deferred issuance costs | Ajax Mortgage Loan Trust 2017-D/ December 2017
Debt Instrument [Line Items]
Interest Rate	0.00%
Deferred issuance costs	$ (1.1)
Deferred issuance costs | Ajax Mortgage Loan Trust 2019-D/ July 2019
Debt Instrument [Line Items]
Interest Rate	0.00%
Deferred issuance costs	$ (2.7)
Deferred issuance costs | Ajax Mortgage Loan Trust 2019-F/ November 2019
Debt Instrument [Line Items]
Interest Rate	0.00%
Deferred issuance costs	$ (1.8)
Deferred issuance costs | Ajax Mortgage Loan Trust 2020-B/ August 2020
Debt Instrument [Line Items]
Interest Rate	0.00%
Deferred issuance costs	$ (1.8)
Deferred issuance costs | Ajax Mortgage Loan Trust 2021-A/ January 2021
Debt Instrument [Line Items]
Interest Rate	0.00%
Deferred issuance costs	$ (2.5)
Deferred issuance costs | Ajax Mortgage Loan Trust 2021-B/ February 2021
Debt Instrument [Line Items]
Interest Rate	0.00%
Deferred issuance costs	$ (4.3)
Class M1 Notes | Ajax Mortgage Loan Trust 2019-D/ July 2019
Debt Instrument [Line Items]
Original Principal	$ 9.3
Interest Rate	3.50%
Class M1 Notes | Ajax Mortgage Loan Trust 2019-F/ November 2019
Debt Instrument [Line Items]
Original Principal	$ 6.1
Interest Rate	3.50%
Class M1 Notes | Ajax Mortgage Loan Trust 2020-B/ August 2020
Debt Instrument [Line Items]
Original Principal	$ 7.3
Interest Rate	3.70%
Class M1 Notes | Ajax Mortgage Loan Trust 2021-A/ January 2021
Debt Instrument [Line Items]
Original Principal	$ 7.8
Interest Rate	3.15%
Class B Certificates | Ajax Mortgage Loan Trust 2017-D/ December 2017
Debt Instrument [Line Items]
Interest Rate	0.00%
Original principal, trust certificates	$ 44.5
Ownership percentage	50.00%
Class A-1 Notes | Ajax Mortgage Loan Trust 2019-D/ July 2019
Debt Instrument [Line Items]
Original Principal	$ 140.4
Interest Rate	2.96%
Class A-1 Notes | Ajax Mortgage Loan Trust 2019-F/ November 2019
Debt Instrument [Line Items]
Original Principal	$ 110.1
Interest Rate	2.86%
Class A-1 Notes | Ajax Mortgage Loan Trust 2020-B/ August 2020
Debt Instrument [Line Items]
Original Principal	$ 97.2
Interest Rate	1.70%
Class A-1 Notes | Ajax Mortgage Loan Trust 2021-A/ January 2021
Debt Instrument [Line Items]
Original Principal	$ 146.2
Interest Rate	1.07%
Class A-2 Notes | Ajax Mortgage Loan Trust 2019-D/ July 2019
Debt Instrument [Line Items]
Original Principal	$ 6.1
Interest Rate	3.50%
Class A-2 Notes | Ajax Mortgage Loan Trust 2019-F/ November 2019
Debt Instrument [Line Items]
Original Principal	$ 12.5
Interest Rate	3.50%
Class A-2 Notes | Ajax Mortgage Loan Trust 2020-B/ August 2020
Debt Instrument [Line Items]
Original Principal	$ 17.3
Interest Rate	2.86%
Class A-2 Notes | Ajax Mortgage Loan Trust 2021-A/ January 2021
Debt Instrument [Line Items]
Original Principal	$ 21.1
Interest Rate	2.35%
Class A-3 Notes | Ajax Mortgage Loan Trust 2019-D/ July 2019
Debt Instrument [Line Items]
Original Principal	$ 10.1
Interest Rate	3.50%
Class A-3 Notes | Ajax Mortgage Loan Trust 2019-F/ November 2019
Debt Instrument [Line Items]
Original Principal	$ 5.1
Interest Rate	3.50%
Class B-3 Notes | Ajax Mortgage Loan Trust 2019-D/ July 2019
Debt Instrument [Line Items]
Original Principal	$ 12.8
Class B-3 Notes | Ajax Mortgage Loan Trust 2019-F/ November 2019
Debt Instrument [Line Items]
Original Principal	15.1
Class B-3 Notes | Ajax Mortgage Loan Trust 2020-B/ August 2020
Debt Instrument [Line Items]
Original Principal	23.6
Class B-3 Notes | Ajax Mortgage Loan Trust 2021-A/ January 2021
Debt Instrument [Line Items]
Original Principal	$ 21.5

XML

Debt - Schedule of Status of Notes and Securitizations (Details) - USD ($) $ in Thousands	Mar. 31, 2021		Dec. 31, 2020		Mar. 31, 2020
Debt Instrument [Line Items]
Carrying value of mortgages	$ 991,811	[1],[2]	$ 1,119,372	[1],[2]	$ 26,100
Mortgage loans
Debt Instrument [Line Items]
Carrying value of mortgages	991,048		842,177
Bond principal balance	$ 750,679		$ 590,761
Percentage of collateral coverage	132.00%		143.00%
Original balances at securitization cutoff date Mortgage UPB	$ 1,606,969
Original balances at securitization cutoff date Bond principal balance	1,162,564
Deferred issuance costs	(10,600)		$ (5,400)
Mortgage loans | 2017-B
Debt Instrument [Line Items]
Carrying value of mortgages	0		110,062
Bond principal balance	$ 0		$ 68,729
Percentage of collateral coverage	0.00%		160.00%
Original balances at securitization cutoff date Mortgage UPB	$ 165,850
Original balances at securitization cutoff date Bond principal balance	115,846
Mortgage loans | 2017-D
Debt Instrument [Line Items]
Carrying value of mortgages	131,719		$ 133,897
Bond principal balance	$ 48,660		$ 51,256
Percentage of collateral coverage	271.00%		261.00%
Original balances at securitization cutoff date Mortgage UPB	$ 203,870
Original balances at securitization cutoff date Bond principal balance	88,903
Cash collateral for borrowed securities	26,700
Mortgage loans | 2018-C
Debt Instrument [Line Items]
Carrying value of mortgages	0		$ 173,221
Bond principal balance	$ 0		$ 131,983
Percentage of collateral coverage	0.00%		131.00%
Original balances at securitization cutoff date Mortgage UPB	$ 222,181
Original balances at securitization cutoff date Bond principal balance	167,910
Cash collateral for borrowed securities	45,500
Mortgage loans | 2019-D
Debt Instrument [Line Items]
Carrying value of mortgages	140,383		$ 148,641
Bond principal balance	$ 115,651		$ 125,008
Percentage of collateral coverage	121.00%		119.00%
Original balances at securitization cutoff date Mortgage UPB	$ 193,301
Original balances at securitization cutoff date Bond principal balance	156,670
Mortgage loans | 2019-F
Debt Instrument [Line Items]
Carrying value of mortgages	134,884		$ 139,996
Bond principal balance	$ 102,555		$ 108,184
Percentage of collateral coverage	132.00%		129.00%
Original balances at securitization cutoff date Mortgage UPB	$ 170,876
Original balances at securitization cutoff date Bond principal balance	127,673
Mortgage loans | 2020-B
Debt Instrument [Line Items]
Carrying value of mortgages	132,863		$ 136,360
Bond principal balance	$ 101,707		$ 105,601
Percentage of collateral coverage	131.00%		129.00%
Original balances at securitization cutoff date Mortgage UPB	$ 156,468
Original balances at securitization cutoff date Bond principal balance	114,534
Mortgage loans | 2021-A
Debt Instrument [Line Items]
Carrying value of mortgages	187,932		$ 0
Bond principal balance	$ 169,995		$ 0
Percentage of collateral coverage	111.00%		0.00%
Original balances at securitization cutoff date Mortgage UPB	$ 206,528
Original balances at securitization cutoff date Bond principal balance	175,116
Mortgage loans | 2021-B
Debt Instrument [Line Items]
Carrying value of mortgages	263,267		$ 0
Bond principal balance	$ 212,111		$ 0
Percentage of collateral coverage	124.00%		0.00%
Original balances at securitization cutoff date Mortgage UPB	$ 287,895
Original balances at securitization cutoff date Bond principal balance	215,912
Class A Notes | Mortgage loans | 2017-D
Debt Instrument [Line Items]
Original Principal	97,400		$ 102,600
Secured borrowings	$ 48,700		51,300
Class A Notes | Mortgage loans | 2018-C
Debt Instrument [Line Items]
Original Principal			132,700
Secured borrowings			126,100
Class B Notes | Mortgage loans | 2018-C
Debt Instrument [Line Items]
Original Principal			15,900
Secured borrowings			$ 5,900

[1] As of March 31, 2021, balances for Mortgage loans held-for-investment, net and Secured borrowings, net of deferred costs includes zero from a 50% owned joint venture. As of December 31, 2020, balances for Mortgage loans held-for-investment, net include $307.1 million and Secured borrowings, net of deferred costs includes $250.6 million from 50.0% and 63.0% owned joint ventures, all of which the Company consolidates under U.S. Generally Accepted Accounting Principles ("U.S. GAAP"). The creditors do not have recourse to the primary beneficiary (Great Ajax Corp.). See Note 9 — Debt.

[2] Mortgage loans held-for-investment, net include $859.3 million and $842.2 million of loans at March 31, 2021 and December 31, 2020, 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 $17.9 million and $13.7 million of allowance for loan credit losses at March 31, 2021 and December 31, 2020, respectively.     

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Related Party Transactions - Schedule Statement of Income of Related Party Transactions (Details) - USD ($) $ in Thousands		3 Months Ended
		Mar. 31, 2021	Mar. 31, 2020
Related Party Transaction [Line Items]
Management fee		$ 2,273	$ 1,799
Related party expense – loan servicing fees		1,833	2,014
Loss on sale of mortgage loans	[1]	0	(705)
Net interest income after recovery of/(provision for) losses
Related Party Transaction [Line Items]
Amount of transaction		5,952	2,019
Gregory | Related party expense – loan servicing fees
Related Party Transaction [Line Items]
Related party expense – loan servicing fees		1,833	2,014
Thetis
Related Party Transaction [Line Items]
Management fee			1,800
Thetis | Management fee
Related Party Transaction [Line Items]
Management fee		2,270	1,799
Thetis | Income/(loss) from investments in affiliates
Related Party Transaction [Line Items]
Amount of transaction		168	(966)
Great Ajax FS | Income/(loss) from investments in affiliates
Related Party Transaction [Line Items]
Amount of transaction		(62)	(276)
Gaea | Income/(loss) from investments in affiliates
Related Party Transaction [Line Items]
Amount of transaction		18	4
Gaea | Loss on sale of mortgage loans
Related Party Transaction [Line Items]
Loss on sale of mortgage loans		0	(705)
Investment in Loan pool LLCs | Income/(loss) from investments in affiliates
Related Party Transaction [Line Items]
Amount of transaction		(7)	79
AS Ajax E LLC | Income/(loss) from investments in affiliates
Related Party Transaction [Line Items]
Amount of transaction		$ 9	$ 10

[1] The Company sold no mortgage loans during the three months ended March 31, 2021. Comparatively, during the three months ended March 31, 2020, the Company sold 26 loans with a carrying value of $26.1 million and UPB of $26.2 million for a loss of $0.7 million.

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Related Party Transactions - Schedule of Balance Sheet of Related Party Transaction (Details) - USD ($) $ in Thousands		Mar. 31, 2021	Dec. 31, 2020
Related Party Transaction [Line Items]
Carrying value (fair value)		$ 264,700	$ 273,800
Beneficial interests in securitization trusts
Related Party Transaction [Line Items]
Carrying value (fair value)	[1]	94,893	91,418
Receivable from Servicer | Gregory
Related Party Transaction [Line Items]
Amount of transaction		18,847	15,755
Management fee payable | Thetis
Related Party Transaction [Line Items]
Amount of transaction		2,270	2,247
Prepaid expenses and other assets
Related Party Transaction [Line Items]
Amount of transaction		1,133	876
Prepaid expenses and other assets | Gregory
Related Party Transaction [Line Items]
Amount of transaction		(84)	(44)
Prepaid expenses and other assets | Thetis
Related Party Transaction [Line Items]
Amount of transaction			18
Mortgage loans held-for-investment, net | Gaea Real Estate Corp.
Related Party Transaction [Line Items]
Amount of transaction		$ 11,000	11,000
Mortgage loans held-for-investment, net | Great Ajax FS
Related Party Transaction [Line Items]
Amount of transaction			$ 1,838

[1] Investments in beneficial interests includes allowance for credit losses of $5.5 million and $4.5 million at March 31, 2021 and December 31, 2020, respectively.

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Related party Transactions - Narrative (Details)				3 Months Ended				12 Months Ended
		Apr. 06, 2020 USD ($)	Nov. 22, 2019 USD ($) shares	Mar. 31, 2021 USD ($) calendarQuarter loan		Jun. 30, 2020 USD ($)	Mar. 31, 2020 USD ($) loan	Dec. 31, 2020 USD ($) loan		Dec. 31, 2019 USD ($) loanPool	Mar. 14, 2016
Related Party Transaction [Line Items]
Number of purchased loans | loan								15
Unpaid principal balance							$ 26,200,000
Collateral value							$ 44,200,000
Number of sold loans | loan				0			26
Carrying value of mortgages				$ 991,811,000	[1],[2]		$ 26,100,000	$ 1,119,372,000	[1],[2]
Loss on sale of mortgage loans	[3]			0			(705,000)
Investment In securities							61,300,000
Investment in debt securities				264,700,000				273,800,000
Securities past due				$ 0				0
Proceeds from issuance of private placement		$ 125,000,000.0				$ 130,000,000.0
Percentage of management fees payable in cash, minimum				50.00%
Percentage of management fees payable in cash, maximum				100.00%
Management fee payable				$ 2,270,000				$ 2,247,000
Percentage of incentive fees payable in cash				100.00%
Period of termination of license agreement				30 days
Investment in Loan pool LLCs
Related Party Transaction [Line Items]
Ownership percentage										40.40%
Number of entities | loanPool										3
Cash payment in business acquisition										$ 1,000,000.0
Ajax E Master Trust | AS Ajax E LLC
Related Party Transaction [Line Items]
Ownership percentage				5.00%
AS Ajax E LLC
Related Party Transaction [Line Items]
Ownership percentage				16.50%				16.50%			24.20%
Gaea Real Estate Corp.
Related Party Transaction [Line Items]
Proceeds from issuance of private placement			$ 66,300,000
Private placement share issuance (in shares) | shares			4,419,641
Ownership percentage			23.20%	22.90%
Gaea Real Estate Corp. | Third party
Related Party Transaction [Line Items]
Ownership percentage by third parties			76.80%	77.10%
Prepaid expenses and other assets
Related Party Transaction [Line Items]
Amount of transaction				$ 1,133,000				$ 876,000
Thetis | Management agreement
Related Party Transaction [Line Items]
Base management fee percentage				1.50%
Thetis | Amended and restated management agreement
Related Party Transaction [Line Items]
Management fee payable				$ 1,000,000.0
Percentage of base management fees payable in cash				75.00%
Percentage of base management fee payable in shares of common stock				25.00%
Percentage in excess of base management fees payable in cash				50.00%
Percentage in excess of base management fees payable in shares				50.00%
Period of common shares held as base management fee (at least)				3 years
Percentage of remaining incentive fee payable in common stock				20.00%
Percentage of remaining incentive fee in excess of book value				8.00%
Number of calender quarters | calendarQuarter				8
Incentive fee payable				$ 0			$ 0
Percentage of independent directors				66.67%
Thetis | Prepaid expenses and other assets
Related Party Transaction [Line Items]
Amount of transaction								18,000
Gregory
Related Party Transaction [Line Items]
Fixed interest rate				7.20%
Ceiling for each repurchase facility				$ 12,000,000.0
Gregory | Servicing agreement
Related Party Transaction [Line Items]
Servicing fees percentage							0.42%
Percentage of fair market value of REO				1.00%
Percentage of purchase price of REO				1.00%
Gregory | Servicing agreement | Minimum
Related Party Transaction [Line Items]
Servicing fees percentage				0.65%
Gregory | Servicing agreement | Maximum
Related Party Transaction [Line Items]
Servicing fees percentage				1.25%
Gregory | Prepaid expenses and other assets
Related Party Transaction [Line Items]
Amount of transaction				$ (84,000)				(44,000)
Gregory | Prepaid expenses and other assets | Receivable from servicer for REO acquisitions
Related Party Transaction [Line Items]
Amount of transaction				$ 0
Gaea Real Estate Corp.
Related Party Transaction [Line Items]
Bond principal balance								$ 11,000,000.0
Number of originated SBC loans acquired | loan								20
Fixed interest rate								4.25%
2019-C | Mortgage loans
Related Party Transaction [Line Items]
Carrying value of mortgages							$ 26,100,000
Great Ajax FS
Related Party Transaction [Line Items]
Purchase Price								$ 1,800,000
Unpaid principal balance								2,100,000
Collateral value								$ 3,700,000
Beneficial interests in securitization trusts
Related Party Transaction [Line Items]
Investment in beneficial interests							7,100,000
Senior notes
Related Party Transaction [Line Items]
Investment in senior notes							49,600,000
Subordinated debt
Related Party Transaction [Line Items]
Investment in subordinate notes							$ 4,600,000

[1] As of March 31, 2021, balances for Mortgage loans held-for-investment, net and Secured borrowings, net of deferred costs includes zero from a 50% owned joint venture. As of December 31, 2020, balances for Mortgage loans held-for-investment, net include $307.1 million and Secured borrowings, net of deferred costs includes $250.6 million from 50.0% and 63.0% owned joint ventures, all of which the Company consolidates under U.S. Generally Accepted Accounting Principles ("U.S. GAAP"). The creditors do not have recourse to the primary beneficiary (Great Ajax Corp.). See Note 9 — Debt.

[2] Mortgage loans held-for-investment, net include $859.3 million and $842.2 million of loans at March 31, 2021 and December 31, 2020, 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 $17.9 million and $13.7 million of allowance for loan credit losses at March 31, 2021 and December 31, 2020, respectively.     

[3] The Company sold no mortgage loans during the three months ended March 31, 2021. Comparatively, during the three months ended March 31, 2020, the Company sold 26 loans with a carrying value of $26.1 million and UPB of $26.2 million for a loss of $0.7 million.

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Stock-based Payments and Director Fees - Narrative (Details) - USD ($)	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Management fees	$ 2,300,000
Management fee	2,273,000	$ 1,799,000
Thetis
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Management fee		1,800,000
Thetis | Management fee
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Management fee	$ 2,270,000	1,799,000
Restricted stock | Employees
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting period	3 years
2014 Director Equity Plan
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Percentage of annual retainer received in shares	40.00%
Percentage of annual retainer received in cash	60.00%
2014 Director Equity Plan | Restricted stock
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Annual retainer amount	$ 100,000
Long term incentive plan | Initial public offering | Restricted stock
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Number of restricted stock awards issued to independent directors (in shares)	2,000
Management fee
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Amount of expense recognized	$ 0	$ 0

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Stock-based Payments and Director Fees - Schedule of Management Fees and Director Fees (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Number of shares (in shares)	3,945	3,468
Amount of expense recognized	$ 50	$ 40
Independent director fees
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Number of shares (in shares)	3,945	3,468
Amount of expense recognized	$ 50	$ 40

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Stock-based Payments and Director Fees - Grants of Restricted Stock Units to Directors and Employees (Details) - Restricted stock - Long Term Incentive Plan - $ / shares	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020	Dec. 31, 2020	Dec. 31, 2019
Employee And Service Provider
Shares
Shares, nonvested (in shares)	163,083	114,334	163,083	114,334
Shares vested (in shares)	0	0
Shares forfeited (in shares)	0	0
Shares granted (in shares)	0	0
Weighted Average Grant Date Fair Value
Per share grant fair value (in dollars per share)	$ 11.07	$ 13.83	$ 11.07	$ 13.83
Shares vested (in dollars per share)	0	0
Shares forfeited (in dollars per share)	0	0
Shares granted (in dollars per share)	$ 0	$ 0
Director
Shares
Shares, nonvested (in shares)	0	0	0	0
Shares vested (in shares)	0	0
Shares forfeited (in shares)	(2,000)	0
Shares granted (in shares)	2,000	0
Weighted Average Grant Date Fair Value
Per share grant fair value (in dollars per share)	$ 0	$ 0	$ 0	$ 0
Shares vested (in dollars per share)	0	0
Shares forfeited (in dollars per share)	12.00	0
Shares granted (in dollars per share)	$ 12.00	$ 0

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Stock-based Payments and Director Fees - Restricted Stock Plan Expenses (Details) - Restricted stock - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Total expenses for plan grants	$ 231	$ 174
Employee And Service Provider
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Total expenses for plan grants	207	174
Director
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Total expenses for plan grants	$ 24	$ 0

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Income Taxes - Narrative (Details)	3 Months Ended
	Mar. 31, 2021 USD ($) entity	Mar. 31, 2020 USD ($)
Income Tax Examination [Line Items]
Number of taxable subsidiaries | entity	2
Taxable income	$ 8,700,000	$ 1,200,000
Provision for income taxes (benefit)	34,000	(319,000)
Income tax interest and penalties recorded	0	0
Assets
Income Tax Examination [Line Items]
Deferred income tax assets	0	0
Liability
Income Tax Examination [Line Items]
Deferred income tax liabilities	$ 0	$ 0

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Earnings per Share - Schedule of Components of Basic and Diluted EPS (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020	Jun. 30, 2020	Apr. 06, 2020
Basic EPS
Consolidated net income attributable to common stockholders	$ 7,004	$ 400
Allocation of earnings to participating restricted shares	(52)	(2)
Consolidated net income attributable to unrestricted common stockholders	6,952	398
Effect of dilutive securities
Restricted stock grants and Manager and director fee shares(3)	0	2
Diluted EPS
Consolidated net income attributable to common stockholders and dilutive securities	$ 6,952	$ 400
Basic EPS
Consolidated net income attributable to unrestricted common stockholders (in shares)	22,816,978	22,070,354
Allocation of earnings to participating restricted shares (in shares)	0	0
Effect of dilutive securities
Restricted stock grants and Manager and director fee shares (in shares)	0	119,630
Diluted EPS
Consolidated net income attributable to common stockholders and dilutive securities (in shares)	22,816,978	22,189,984
Per Share Amount
Consolidated net income attributable to unrestricted common stockholders (in dollars per share)	$ 0.30	$ 0.02
Consolidated net income attributable to common stockholders and dilutive securities (in dollars per share)	$ 0.30	$ 0.02
Class of warrant or right, outstanding (in shares)			6,500,000	6,500,000

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Equity - Narrative (Details)		3 Months Ended
	Apr. 06, 2020 USD ($) shares	Mar. 31, 2021 USD ($) entity $ / shares shares	Jun. 30, 2020 USD ($) $ / shares shares	Mar. 31, 2020 USD ($) shares	Dec. 31, 2020 entity $ / shares shares	Feb. 28, 2020 USD ($)	Dec. 31, 2019 shares
Class of Stock [Line Items]
Common stock, shares outstanding (in shares)		22,988,847			22,978,339
Common stock, par value per share (in dollars per share) | $ / shares		$ 0.01			$ 0.01
Common stock, shares authorized (in shares)		125,000,000			125,000,000
Proceeds from issuance of private placement | $	$ 125,000,000.0		$ 130,000,000.0
Preferred stock, par value per share (in dollars per share) | $ / shares		$ 0.01			$ 0.01
Warrant term			5 years
Class of warrant or right, outstanding (in shares)	6,500,000		6,500,000
Investment warrants, exercise price (in dollars per share) | $ / shares			$ 10.00
Preferred stock, shares authorized (in shares)		25,000,000			25,000,000
Common stock authorized | $						$ 25,000,000.0
Treasury stock (in shares)		107,243			107,243
Sale of common stock pursuant to dividend reinvestment plan | $		$ 47,000		$ 0
Common stock, shares issued (in shares)		22,988,847			22,978,339
Number of non controlling interest subsidiaries | entity		3			4
Open market purchases
Class of Stock [Line Items]
Treasury stock (in shares)		48,464			48,464
At-the-Market Program
Class of Stock [Line Items]
Common stock authorized | $		$ 50,000,000.0
Common stock, shares issued (in shares)		0		0
7.25% Series A preferred stock
Class of Stock [Line Items]
Preferred stock, shares issued (in shares)		2,307,400	2,307,400		2,307,400
Preferred stock, fixed-to-floating rate cumulative redeemable		7.25%	7.25%
Preferred stock, par value per share (in dollars per share) | $ / shares			$ 25.00
Preferred stock, shares outstanding (in shares)		2,307,400		0	2,307,400		0
Preferred stock - Series B shares
Class of Stock [Line Items]
Preferred stock, shares issued (in shares)		2,892,600	2,892,600		2,892,600
Preferred stock, fixed-to-floating rate cumulative redeemable		5.00%	5.00%
Preferred stock, par value per share (in dollars per share) | $ / shares			$ 25.00
Preferred stock, shares outstanding (in shares)		2,892,600		0	2,892,600		0
Common stock
Class of Stock [Line Items]
Common stock, shares outstanding (in shares)		22,988,847		22,921,935	22,988,847		22,142,143
Issuance of shares under dividend reinvestment plan (in shares)		4,228		0
Sale of common stock pursuant to dividend reinvestment plan | $		$ 47,000
2017-D
Class of Stock [Line Items]
Percentage of ownership interests in joint venture		50.00%
2017-D | Great Ajax Corp
Class of Stock [Line Items]
Ownership percentage by parent		50.00%			50.00%
Investment in AS Ajax E II LLC
Class of Stock [Line Items]
Percentage of ownership interests in joint venture		53.10%			53.10%
Investment in AS Ajax E II LLC | Great Ajax Corp
Class of Stock [Line Items]
Percentage of ownership interests in joint venture		53.10%			53.10%
Investment in AS Ajax E II LLC | Third party
Class of Stock [Line Items]
Ownership percentage by third parties		46.90%
2018-C
Class of Stock [Line Items]
Percentage of ownership interests in joint venture		37.00%
2018-C | Great Ajax Corp
Class of Stock [Line Items]
Ownership percentage by parent		100.00%
2018-C | Third party
Class of Stock [Line Items]
Ownership percentage by third parties		0.00%
Ownership percentage by parent					63.00%
Great Ajax II REIT | Great Ajax Corp
Class of Stock [Line Items]
Ownership percentage by parent		99.90%			99.90%
Great Ajax II REIT | Third party
Class of Stock [Line Items]
Ownership percentage by third parties		0.10%			0.10%
Thetis
Class of Stock [Line Items]
Treasury stock (in shares)		58,779			58,779

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Equity - Schedule of Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2021	Dec. 31, 2020
Accumulated Other Comprehensive Income (Loss) [Line Items]
Accumulated other comprehensive gain	$ 1,681	$ 375
Accumulated net investment gain (loss) attributable to parent
Accumulated Other Comprehensive Income (Loss) [Line Items]
Unrealized gains	1,926	1,152
Unrealized losses	(245)	(777)
AOCI attributable to parent
Accumulated Other Comprehensive Income (Loss) [Line Items]
Accumulated other comprehensive gain	$ 1,681	$ 375

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Equity - Schedule of Less than wholly owned subsidiary, parent ownership interest, net (Details) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2021	Dec. 31, 2020
Consolidation, Less than Wholly Owned Subsidiary, Parent Ownership Interest, Effects of Changes, Net [Line Items]
Decrease from redemption of 2018-C	$ 11,362
Change in non-controlling interest	(8,306)	$ 0
2018-C
Consolidation, Less than Wholly Owned Subsidiary, Parent Ownership Interest, Effects of Changes, Net [Line Items]
Decrease from redemption of 2018-C	$ (8,306)	$ 0

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Subsequent Events - Narrative (Details) $ / shares in Units, $ in Millions	1 Months Ended		3 Months Ended
	May 06, 2021 USD ($) loanPool $ / shares	May 06, 2021 USD ($) residentialNPL loanPool transaction residentialRPL $ / shares	Mar. 31, 2021 USD ($) loan	Mar. 31, 2020 USD ($) loan	Apr. 30, 2021 USD ($)	Apr. 07, 2021 USD ($)	Dec. 31, 2020 $ / shares	Sep. 30, 2020 USD ($)	Dec. 31, 2019 $ / shares
Subsequent Event [Line Items]
Aggregate unpaid principal balance of mortgage loans on real estate				$ 26.2
Estimated market value of the underlying collateral				44.2
Investment In securities				61.3
Convertible notes payable			$ 2.5	8.0				$ 2.5
Payments for repurchase of convertible notes			$ 2.4	$ 8.2				$ 2.3
Dividends payable, amount per share (in dollars per share) | $ / shares							$ 0.17		$ 0.32
Residential RPLs
Subsequent Event [Line Items]
Number of mortgage loans on real estate | loan			199	26
Aggregate unpaid principal balance of mortgage loans on real estate			$ 36.0	$ 2.0
Residential NPLs
Subsequent Event [Line Items]
Number of mortgage loans on real estate | loan			3	1
Aggregate unpaid principal balance of mortgage loans on real estate			$ 0.7	$ 0.2
Subsequent event
Subsequent Event [Line Items]
Convertible notes payable					$ 5.0
Payments for repurchase of convertible notes					$ 5.0
Subsequent event | Ajax Mortgage Loan Trust 2021-C | Mortgage loans
Subsequent Event [Line Items]
Aggregate property value						$ 483.1
Subsequent event | Corporate Joint Venture | Ajax Mortgage Loan Trust 2021-C | Mortgage loans
Subsequent Event [Line Items]
Investment In securities	$ 26.3
Subsequent event | Class A Notes | Ajax Mortgage Loan Trust 2021-C
Subsequent Event [Line Items]
Percentage of securities acquired from trust						0.0501
Subsequent event | Class A Notes | Ajax Mortgage Loan Trust 2021-C | Mortgage loans
Subsequent Event [Line Items]
Original Principal						$ 259.6
Interest Rate						2.115%
Subsequent event | Class A Notes | Corporate Joint Venture | Ajax Mortgage Loan Trust 2021-C
Subsequent Event [Line Items]
Securities percentage of total UPB						75.00%
Subsequent event | Class B Notes | Ajax Mortgage Loan Trust 2021-C
Subsequent Event [Line Items]
Percentage of securities acquired from trust						0.319
Subsequent event | Residential RPLs
Subsequent Event [Line Items]
Number of mortgage loans on real estate | residentialRPL		4,739
Aggregate unpaid principal balance of mortgage loans on real estate		$ 790.4
Percentage of unpaid principal balance of loan acquired		97.50%
Percentage of estimated market value of the underlying collateral	54.00%	54.00%
Estimated market value of the underlying collateral		$ 1,400.0
Subsequent event | Residential RPLs | Eight sellers
Subsequent Event [Line Items]
Number of mortgage loans on real estate | residentialRPL		106
Number of transaction | transaction		7
Aggregate unpaid principal balance of mortgage loans on real estate		$ 14.1
Percentage of unpaid principal balance of loan acquired		88.70%
Percentage of estimated market value of the underlying collateral	62.20%	62.20%
Estimated market value of the underlying collateral		$ 20.1
Subsequent event | Residential NPLs | Two sellers
Subsequent Event [Line Items]
Number of mortgage loans on real estate | residentialNPL		9
Number of transaction | transaction		2
Aggregate unpaid principal balance of mortgage loans on real estate		$ 3.1
Percentage of unpaid principal balance of loan acquired		90.30%
Percentage of estimated market value of the underlying collateral	70.00%	70.00%
Estimated market value of the underlying collateral		$ 4.0
Subsequent event | Nonperforming Mortgage Loans On Real Estate
Subsequent Event [Line Items]
Number of mortgage loans on real estate | loanPool		132
Aggregate unpaid principal balance of mortgage loans on real estate		$ 88.4
Percentage of unpaid principal balance of loan acquired		100.30%
Percentage of estimated market value of the underlying collateral	67.20%	67.20%
Estimated market value of the underlying collateral		$ 131.9
Subsequent event | Performing Financial Instruments and Nonperforming Financial Instruments | Ajax Mortgage Loan Trust 2021-C
Subsequent Event [Line Items]
Number of mortgage loans on real estate | loanPool	1,290
Board of directors | Subsequent event
Subsequent Event [Line Items]
Dividends payable, amount per share (in dollars per share) | $ / shares	$ 0.19	$ 0.19