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Debt (Tables)
 3 Months Ended
Mar. 31, 2022
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, 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 $711,252 130 %1.74 %
Schedule of amount outstanding on repurchase transactions and carrying value collateral The amount outstanding on the Company’s repurchase facilities and the carrying value of the Company’s loans pledged as collateral are presented as gross amounts in the Company’s consolidated balance sheets at March 31, 2022 and December 31, 2021 in the table below ($ 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 
Schedule of securitization of notes
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.
Schedule of status of mortgage loans 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.