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Debt
 3 Months Ended
Mar. 31, 2022
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 $150.0 million and the other $400.0 million at any one time. Upon the time of the initial sale to the buyer, the Trust, with a simultaneous agreement, also agrees to repurchase the pools of mortgage loans from the buyer. Mortgage loans sold under these facilities carry interest calculated based on a spread to one-month 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 five repurchase facilities substantially similar to the mortgage loan repurchase facilities, but where the pledged assets are securities retained from the Company's securitization transactions. These facilities have no effective ceilings. Each repurchase transaction represents its own borrowing. As such, the ceilings associated with these transactions are the amounts currently borrowed at any one time. The Company has effective control over the assets subject to all of these transactions; therefore, the Company’s repurchase transactions are accounted for as financing arrangements.

The Servicer services these mortgage loans pursuant to the terms of a Servicing Agreement by and between the Servicer and each buyer. Each Servicing Agreement has the same fees and expenses terms as the Company’s Servicing Agreement described under Note 10 — Related party transactions. The Operating Partnership, as guarantor, will provide to the buyers a limited guaranty of certain losses incurred by the buyers in connection with certain events and/or the Seller’s 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, 2022
Maturity DateOrigination DateMaximum Borrowing CapacityAmount OutstandingAmount of CollateralPercentage of Collateral CoverageInterest Rate
April 1, 2022October 5, 2021$28,482 $28,482 $34,299 120 %1.36 %
April 12, 2022January 12, 20224,739 4,739 5,928 125 %1.44 %
April 14, 2022January 14, 20224,356 4,356 5,397 124 %1.30 %
April 19, 2022October 22, 20217,909 7,909 9,279 117 %1.02 %
April 19, 2022October 22, 20216,215 6,215 7,276 117 %1.02 %
April 19, 2022October 22, 20215,090 5,090 6,063 119 %1.02 %
April 20, 2022March 23, 20228,068 8,068 10,604 131 %1.64 %
April 20, 2022March 23, 20227,997 7,997 10,455 131 %1.71 %
April 20, 2022March 17, 20225,320 5,320 10,455 197 %1.64 %
April 20, 2022March 23, 20222,824 2,824 4,050 143 %1.50 %
April 28, 2022January 28, 20228,263 8,263 10,273 124 %1.48 %
April 28, 2022January 28, 20227,489 7,489 9,342 125 %1.48 %
May 6, 2022February 7, 20224,970 4,970 6,399 129 %1.35 %
May 6, 2022February 7, 20221,721 1,721 2,184 127 %1.35 %
May 11, 2022February 11, 20224,025 4,025 5,796 144 %1.58 %
May 11, 2022February 11, 20223,016 3,016 4,428 147 %1.98 %
May 11, 2022February 11, 20222,160 2,160 3,090 143 %1.58 %
March 31, 2022
Maturity DateOrigination DateMaximum Borrowing CapacityAmount OutstandingAmount of CollateralPercentage of Collateral CoverageInterest Rate
May 11, 2022February 11, 20221,834 1,834 2,640 144 %1.58 %
May 11, 2022February 11, 20221,606 1,606 2,287 142 %1.58 %
May 11, 2022February 11, 20221,522 1,522 2,178 143 %1.58 %
May 16, 2022February 14, 202238,792 38,792 51,869 134 %1.43 %
May 16, 2022February 14, 20224,134 4,134 6,232 151 %1.68 %
May 18, 2022February 18, 20228,533 8,533 11,139 131 %1.69 %
May 23, 2022February 22, 202231,308 31,308 34,543 110 %0.97 %
May 23, 2022February 22, 202230,013 30,013 39,181 131 %1.57 %
May 23, 2022February 22, 20222,787 2,787 3,421 123 %1.27 %
May 23, 2022February 22, 20222,543 2,543 3,771 148 %1.87 %
May 23, 2022February 22, 20221,480 1,480 1,943 131 %1.47 %
May 23, 2022February 22, 20221,317 1,317 2,047 155 %1.87 %
May 23, 2022February 22, 20221,279 1,279 1,788 140 %1.72 %
May 24, 2022February 24, 20223,487 3,487 5,106 146 %2.09 %
June 10, 2022December 13, 202113,992 13,992 20,151 144 %1.49 %
June 10, 2022December 13, 20216,220 6,220 7,578 122 %1.29 %
June 17, 2022March 17, 20225,560 5,560 7,176 129 %2.12 %
June 17, 2022March 17, 20221,157 1,157 1,687 146 %2.52 %
June 24, 2022March 25, 202213,924 13,924 19,361 139 %2.17 %
June 24, 2022March 25, 20224,228 4,228 6,413 152 %2.57 %
July 8, 2022July 9, 2021150,000 13,458 20,407 152 %2.95 %
September 22, 2022September 23, 2021400,000 220,756 286,918 130 %2.64 %
Totals/weighted averages$838,360 $522,574 $683,154 131 %2.01 %

December 31, 2021
Maturity DateOrigination DateMaximum Borrowing CapacityAmount OutstandingAmount of CollateralPercentage of Collateral CoverageInterest Rate
January 6, 2022October 6, 2021$6,567 $6,567 $8,450 129 %1.33 %
January 12, 2022October 12, 20214,978 4,978 6,304 127 %1.32 %
January 13, 2022December 15, 20212,850 2,850 4,050 142 %1.31 %
January 14, 2022October 15, 20214,992 4,992 5,808 116 %1.17 %
January 20, 2022October 20, 20219,667 9,667 11,550 119 %1.18 %
January 27, 2022December 27, 20212,206 2,206 2,824 128 %1.30 %
January 28, 2022October 29, 20219,115 9,115 11,244 123 %1.33 %
January 28, 2022October 29, 20218,508 8,508 10,538 124 %1.33 %
February 11, 2022November 12, 20213,094 3,094 4,428 143 %1.75 %
February 11, 2022November 16, 20214,060 4,060 5,796 143 %1.36 %
February 11, 2022November 16, 20212,166 2,166 3,090 143 %1.36 %
February 11, 2022November 16, 20211,850 1,850 2,640 143 %1.36 %
February 11, 2022November 16, 20211,670 1,670 2,287 137 %1.36 %
February 11, 2022November 16, 20211,526 1,526 2,178 143 %1.36 %
February 18, 2022November 19, 20219,275 9,275 11,954 129 %1.36 %
February 24, 2022November 24, 20213,538 3,538 5,106 144 %1.77 %
March 8, 2022December 8, 20215,363 5,363 6,970 130 %1.19 %
December 31, 2021
Maturity DateOrigination DateMaximum Borrowing CapacityAmount OutstandingAmount of CollateralPercentage of Collateral CoverageInterest Rate
March 8, 2022December 8, 20211,955 1,955 2,496 128 %1.19 %
March 16, 2022December 16, 202140,956 40,956 54,424 133 %1.21 %
March 16, 2022December 16, 20214,258 4,258 6,232 146 %1.46 %
March 17, 2022December 17, 20216,425 6,425 8,093 126 %1.42 %
March 17, 2022December 17, 20215,904 5,904 7,573 128 %1.42 %
March 17, 2022December 17, 20211,177 1,177 1,687 143 %1.82 %
March 21, 2022December 20, 202130,850 30,850 41,473 134 %1.26 %
March 21, 2022December 20, 20212,629 2,629 3,770 143 %1.56 %
March 22, 2022December 22, 202133,201 33,201 35,956 108 %0.66 %
March 22, 2022December 22, 20212,892 2,892 3,421 118 %0.96 %
March 22, 2022December 22, 20211,541 1,541 1,943 126 %1.16 %
March 22, 2022December 22, 20211,369 1,369 2,047 150 %1.56 %
March 22, 2022December 22, 20211,330 1,330 1,788 134 %1.41 %
March 25, 2022December 27, 202115,443 15,443 20,367 132 %1.41 %
March 25, 2022December 27, 20214,444 4,444 6,413 144 %1.81 %
April 1, 2022October 5, 202128,482 28,482 36,200 127 %1.36 %
April 19, 2022October 22, 20217,909 7,909 9,279 117 %1.02 %
April 19, 2022October 22, 20216,215 6,215 7,276 117 %1.02 %
April 19, 2022October 22, 20215,090 5,090 6,063 119 %1.02 %
June 10, 2022December 13, 202113,992 13,992 20,151 144 %1.49 %
June 10, 2022December 13, 20216,220 6,220 8,203 132 %1.29 %
July 8, 2022July 9, 2021150,000 13,824 20,856 151 %2.60 %
September 22, 2022September 23, 2021400,000 228,523 300,324 131 %2.36 %
Totals/weighted averages$853,707 $546,054 $711,252 130 %1.74 %

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, 2022 and December 31, 2021, the Company had $15.1 million and $6.9 million, respectively, of cash collateral on deposit with financing counterparties. This cash is included in Prepaid expenses and other assets on its consolidated balance sheets and is not netted against its Borrowings under repurchase agreements. The amount outstanding on the Company’s repurchase facilities and the carrying value of the Company’s loans pledged as collateral are presented as gross amounts in the Company’s consolidated balance sheets at March 31, 2022 and December 31, 2021 in the table below ($ in thousands):

Gross amounts not offset in balance sheet
March 31, 2022December 31, 2021
Gross amount of recognized liabilities $522,574 $546,054 
Gross amount of loans and securities pledged as collateral683,154 711,252 
Other prepaid collateral15,117 6,902 
Net collateral amount$175,697 $172,100 

Secured Borrowings

From its inception (January 30, 2014) to March 31, 2022, the Company has completed 18 secured borrowings for its own balance sheet, not including its off-balance sheet joint ventures in which it holds investments in various classes of securities, pursuant to Rule 144A under the Securities Act, five of which were outstanding at March 31, 2022. The secured
borrowings are structured as debt financings and not sales through a real estate mortgage 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. The Company has retained the subordinate notes and the applicable trust certificates from one non-rated secured borrowing outstanding at March 31, 2022.

The Company’s rated secured borrowings are generally structured as “REIT TMP” transactions which allow the Company to issue multiple classes of securities without using a REMIC structure or being subject to an entity level tax. The Company’s rated secured borrowings generally issue classes of debt from AAA through mezzanine. The Company generally retains the mezzanine and residual certificates in the transactions. The Company has retained the applicable mezzanine and residual certificates from the other four rated secured borrowings outstanding at March 31, 2022. The Company’s rated secured borrowings are designated in the table below.

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

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

The following table sets forth the original terms of notes from the Company's secured borrowings outstanding at March 31, 2022 at their respective cutoff dates:

Issuing Trust/Issue DateInterest Rate Step-up DateSecurityOriginal PrincipalInterest Rate
Rated
Ajax Mortgage Loan Trust 2019-D/ July 2019July 25, 2027Class A-1 notes due 2065$140.4 million2.96 %
July 25, 2027Class A-2 notes due 2065$6.1 million3.50 %
July 25, 2027Class A-3 notes due 2065$10.1 million3.50 %
July 25, 2027
Class M-1 notes due 2065(1)
$9.3 million3.50 %
None
Class B-1 notes due 2065(2)
$7.5 million3.50 %
None
Class B-2 notes due 2065(2)
$7.1 million
variable(3)
None
Class B-3 notes due 2065(2)
$12.8 million
variable(3)
Deferred issuance costs$(2.7) million— %
Rated
Ajax Mortgage Loan Trust 2019-F/ November 2019November 25, 2026Class A-1 notes due 2059$110.1 million2.86 %
November 25, 2026Class A-2 notes due 2059$12.5 million3.50 %
November 25, 2026Class A-3 notes due 2059$5.1 million3.50 %
November 25, 2026
Class M-1 notes due 2059(1)
$6.1 million3.50 %
None
Class B-1 notes due 2059(2)
$11.5 million3.50 %
Issuing Trust/Issue DateInterest Rate Step-up DateSecurityOriginal PrincipalInterest Rate
None
Class B-2 notes due 2059(2)
$10.4 million
variable(3)
None
Class B-3 notes due 2059(2)
$15.1 million
variable(3)
Deferred issuance costs$(1.8) million— %
Rated
Ajax Mortgage Loan Trust 2020-B/ August 2020July 25, 2027Class A-1 notes due 2059$97.2 million1.70 %
July 25, 2027Class A-2 notes due 2059$17.3 million2.86 %
July 25, 2027
Class M-1 notes due 2059(1)
$7.3 million3.70 %
None
Class B-1 notes due 2059(2)
$5.9 million3.70 %
None
Class B-2 notes due 2059(2)
$5.1 million
variable(3)
None
Class B-3 notes due 2059(2)
$23.6 million
variable(3)
Deferred issuance costs$(1.8) million— %
Rated
Ajax Mortgage Loan Trust 2021-A/ January 2021January 25, 2029Class A-1 notes due 2065$146.2 million1.07 %
January 25, 2029Class A-2 notes due 2065$21.1 million2.35 %
January 25, 2029
Class M-1 notes due 2065(1)
$7.8 million3.15 %
None
Class B-1 notes due 2065(2)
$5.0 million3.80 %
None
Class B-2 notes due 2065(2)
$5.0 million
variable(3)
None
Class B-3 notes due 2065(2)
$21.5 million
variable(3)
Deferred issuance costs $(2.5) million— %
Non-rated
Ajax Mortgage Loan Trust 2021-B/ February 2021August 25, 2024Class A notes due 2066$215.9 million2.24 %
February 25, 2025
Class B notes due 2066(2)
$20.2 million4.00 %
Deferred issuance costs$(4.3) million— %
(1)The Class M notes are subordinated, sequential pay, fixed rate notes. The Company has retained the Class M notes, with the exception of Ajax Mortgage Loan Trust 2021-A.
(2)The Class B notes are subordinated, sequential pay, with B-2 and B-3 notes having variable interest rates and are subordinate to the Class B-1 notes. The Class B-1 notes are fixed rate notes. The Company has retained the Class B notes.
(3)The interest rate is effectively the rate equal to the spread between the gross average rate of interest the trust collects on its mortgage loan portfolio minus the rate derived from the sum of the servicing fee and other expenses of the trust.

Servicing for the mortgage loans in the Company’s secured borrowings is provided by the Servicer at servicing fee rates between 0.65% of outstanding UPB and 1.25% of outstanding UPB at acquisition, and is paid monthly. The determination of RPL or NPL status, which determines the servicing fee rates, is based on the status of the loan at acquisition and does not change regardless of the loan's subsequent performance. The following table sets forth the status of the notes held by others at March 31, 2022 and December 31, 2021, and the securitization cutoff date ($ in thousands):
Balances at March 31, 2022Balances at December 31, 2021Original balances at
securitization cutoff date
Class of NotesCarrying value of mortgagesBond principal balancePercentage of collateral coverageCarrying value of mortgagesBond principal balancePercentage of collateral coverageMortgage UPBBond principal balance
2019-D$112,819 $85,962 131 %$118,075 $92,778 127 %$193,301 $156,670 
2019-F110,985 75,340 147 %115,571 81,026 143 %170,876 127,673 
2020-B114,028 80,680 141 %119,184 86,011 139 %156,468 114,534 
2021-A152,739 132,236 116 %161,766 141,435 114 %206,506 175,116 
2021-B238,465 169,267 141 %242,191 181,657 133 %287,882 215,912 
$729,036 $543,485 (1)134 %$756,787 $582,907 (1)130 %$1,015,033 $789,905 
(1)This represents the gross amount of Secured borrowings and excludes the impact of deferred issuance costs of $6.5 million and $7.3 million as of March 31, 2022 and December 31, 2021.
Convertible Senior Notes

At March 31, 2022 and December 31, 2021, the Company had carrying values of $103.7 million and $102.8 million, respectively, for its convertible senior notes. 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 1.7405 shares of common stock per $25.00 principal amount of the notes, which represents a conversion price of approximately $14.36 per share of common stock. The conversion rate, and thus the conversion price, may be subject to adjustment under certain circumstances. As of March 31, 2022, the amount by which the if-converted value falls short of the principal value for the entire series is $19.2 million.

At March 31, 2022, the outstanding aggregate principal amount of the notes was $104.6 million, and discount and deferred expenses were $0.8 million. At December 31, 2021, the outstanding aggregate principal amount of the notes was $104.6 million, and discount and deferred expenses were $1.7 million. During the three months ended March 31, 2022 the Company recognized interest expense on its outstanding convertible notes of $2.1 million, which includes $0.2 million of amortization of discount and deferred expenses. In comparison, during the three months ended March 31, 2021 the Company recognized interest expense on its outstanding convertible notes 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, 2022 and March 31, 2021 were 8.11% and 8.72%, respectively.

During the first quarter of 2021 the Company completed a convertible note repurchase for aggregate principal amount of $2.5 million for a total purchase price of $2.4 million. There were no convertible note repurchases during the first quarter of 2022.

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

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. No sinking fund has been established for redemption of the principal.

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 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.