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Mortgage Loans
 3 Months Ended
Mar. 31, 2024
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, 2024 and December 31, 2023 ($ in thousands):

March 31, 2024December 31, 2023
Loan portfolio basis by asset typeMortgage loans held-for-investment, netMortgage loans held-for-sale, netMortgage loans held-for-investment, netMortgage loans held-for-sale, net
Residential RPLs$427,486 $313,937 $787,700 $34,359 
Residential NPLs5,813 54,048 71,075 20,894 
SBC loans5,399 303 5,776 465 
Total$438,698 $368,288 $864,551 $55,718 

Included on the Company’s consolidated balance sheets as of March 31, 2024 and December 31, 2023 are approximately $438.7 million and $864.6 million, respectively, of RPLs, NPLs, and SBC loans that are held-for-investment and approximately $368.3 million and $55.7 million, respectively, of RPLs, NPLs and SBC loans held-for-sale. During the year ended December 31, 2023, the Company began marketing a pool of loans for sale. As a result of this activity, the Company reclassified these loans from Mortgage loans held-for-investment, net to Mortgage loans held-for-sale, net. The Company marked the loans to lower of cost or market by $8.6 million during the year ended December 31, 2023, using the prices in the sale agreement. During the three months ended March 31, 2024, the Company transferred an additional 2,109 loans from Mortgage loans held-for-investment, net to Mortgage loans held-for-sale, net and marked the loans to lower of cost or market by $47.3 million.
The categorization of RPLs, NPLs and SBC loans is determined at acquisition. The carrying value of RPLs, NPLs and SBC loans reflects the original investment amount, plus accretion of interest income as well as credit and non-credit discount, less principal and interest cash flows received. The carrying values at March 31, 2024 and December 31, 2023, for the Company's loans that are held-for-investment in the table above, are presented net of a cumulative allowance for expected credit losses of $0.4 million and $3.4 million, respectively, reflected in the appropriate lines in the table by loan type. For the three months ended March 31, 2024, the Company recognized $1.1 million of expense due to a net increase in expected credit losses resulting from decreases in the present value of the expected cash flows and $0.6 million of revenue due to a net decrease in expected credit losses resulting from increases in the present value of the expected cash flows for the three months ended March 31, 2023. Also, for the three months ended March 31, 2024 and 2023, the Company recognized accretable yield of $11.8 million and $13.3 million, respectively, with respect to its RPL, NPL and SBC loans.

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

The Company's mortgage loans are secured by real estate. Risks inherent in the Company's mortgage loan portfolio, affecting both the valuation of its mortgage loans as well as the portfolio's interest income include the risk of default, delays and inconsistency in the frequency and amount of payments, risks affecting borrowers such as man-made or natural disasters, or a pandemic and damage to or delay in realizing the value of the underlying collateral. Additionally, slower than expected prepayments can result in lower yields as the Company's mortgage loans were acquired at discounts. 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, 2024, the Company purchased no RPLs. Comparatively, during the three months ended March 31, 2023, the Company purchased three RPLs with UPB of $0.8 million. During both the three months ended March 31, 2024 and 2023, the Company purchased no NPLs. The Company purchased no SBC loans during both the three months ended March 31, 2024 and 2023. During the three months ended March 31, 2024, the Company sold 235 mortgage loans held-for-sale with a carrying value and UPB of $58.9 million to a third party resulting in the removal of the related loans from the consolidated balance sheet. The Company recognized a $0.4 million loss related to the sale. Comparatively, during the three months ended March 31, 2023, the Company sold no mortgage loans.

For pooling purposes, the Company aggregates its loans based on payment patterns and absolute dollars of equity. The portfolio is split between the Operating Partnership and Great Ajax REIT II as the entities are separate taxpayers and must maintain separate and complete books and records. At both the Operating Partnership and Great Ajax REIT II, the Company uses the following three pools for a total of six CECL pools:

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

Based on historical data, the Company has observed that borrowers that make at least seven of the last seven payments, either sequentially or in bulk, are significantly less likely to default. Additionally, the Company has similarly observed that $50.0 thousand absolute dollars of equity similarly drives a lower default rate and reduces loss severity in the event of foreclosure.
The following table presents information regarding the year of origination of the Company's mortgage loan portfolio by basis ($ in thousands):

March 31, 2024
Mortgage loans held-for-investment, net2024202320222021202020192009-20182006-20082005 and priorTotal
GAOP - 7f7 >50$— $— $— $— $— $— $3,456 $4,430 $1,739 $9,625 
GAOP - 7f7 <50— — 109 — — — — 870 217 1,196 
GAOP - 6f6 and below— — 410 — — — 1,519 5,561 267 7,757 
Great Ajax II REIT - 7f7 >50— — — — 728 758 35,156 240,791 83,366 360,799 
Great Ajax II REIT - 7f7 <50— — — — — 71 2,665 22,312 6,472 31,520 
Great Ajax II REIT - 6f6 and below— — — — — — 5,070 16,791 5,940 27,801 
Total$— $— $519 $— $728 $829 $47,866 $290,755 $98,001 $438,698 

December 31, 2023
Mortgage loans held-for-investment, net2023202220212020201920182009-20172006-20082005 and priorTotal
GAOP - 7f7 >50$— $2,473 $2,597 $1,370 $6,598 $658 $30,891 $190,106 $79,110 $313,803 
GAOP - 7f7 <50— 546 137 — 215 — 2,356 27,368 6,530 37,152 
GAOP - 6f6 and below— 591 1,415 — 737 1,134 13,343 55,452 14,642 87,314 
Great Ajax II REIT - 7f7 >50— — — 730 764 795 34,864 243,034 84,634 364,821 
Great Ajax II REIT - 7f7 <50— — — — 71 14 2,658 22,360 6,508 31,611 
Great Ajax II REIT - 6f6 and below— — — — — — 5,326 17,772 6,752 29,850 
Total$— $3,610 $4,149 $2,100 $8,385 $2,601 $89,438 $556,092 $198,176 $864,551 
The following table presents a reconciliation between the purchase price and par value for the Company's loan acquisitions and originations for the three months ended March 31, 2024 and 2023 ($ in thousands):

Three months ended March 31,
20242023
Par$— $828 
Discount— (191)
Increase in allowance— (33)
Purchase Price$— $604 

The Company performs an analysis of its expectation of the amount of undiscounted cash flows expected to be collected from its mortgage loan pools at the end of each calendar quarter. Under CECL, the Company adjusts its allowance for expected credit losses when there are changes in its expectation of future cash flows as compared to the amounts expected to be contractually received. An increase to the allowance for expected credit losses will occur when there is a reduction in the Company's expected future cash flows as compared to its contractual amounts due. Reduction to the allowance, or recovery, may occur if there is an increase in expected future cash flows that were previously subject to an allowance for expected credit loss. A decrease in the allowance for expected credit losses is generally facilitated by reclassifying amounts to non-credit discount from the allowance and then recording the recovery. During the three months ended March 31, 2024, the Company recorded a $0.3 million reclassification to non-credit discount from the allowance for expected credit losses, which was followed by a $1.1 million increase of the allowance for expected credit losses due to decreases in the net present value of expected cash flows. During the three months ended March 31, 2024, the Company reclassified $3.9 million of allowance to non-credit discount to reflect the impact of moving mortgage loans to a held-for-sale, net classification on the balance sheet. Comparatively, during the three months ended March 31, 2023, the Company recorded a $1.2 million reclassification to non-credit discount from the allowance for expected credit losses, which was followed by a $0.6 million reduction of the allowance for expected credit losses due to increases in the net present value of expected cash flows. During the three months ended March 31, 2023, the Company also recorded a $33 thousand increase in the allowance for expected credit losses due to new acquisitions. An analysis of the balance in the allowance for expected credit losses on loans account follows ($ in thousands):

Three months ended March 31,
20242023
Allowance for expected credit losses, beginning of period$(3,426)$(6,107)
Reclassification to non-credit discount from the allowance for changes in payment timing expectations310 1,225 
Increase in allowance for expected credit losses for loan acquisitions during the period— (33)
Credit loss expense on mortgage loans(43)(44)
(Increase in)/reversal of allowance for expected credit losses due to (decreases)/increases in the net present value of expected cash flows(1,112)621 
Reversal of allowance upon reclass of mortgage loans held-for-sale, net3,868 — 
Allowance for expected credit losses, end of period$(403)$(4,338)
The following table sets forth the carrying value of the Company’s mortgage loans by delinquency status as of March 31, 2024 and December 31, 2023 ($ in thousands):

March 31, 2024
Mortgage loans held-for-investment, netCurrent306090ForeclosureTotal
GAOP - 7f7 >50$6,232 $2,535 $16 $842 $— $9,625 
GAOP - 7f7 <50756 45 114 281 — 1,196 
GAOP - 6f6 and below1,186 410 — 2,293 3,868 7,757 
Great Ajax II REIT - 7f7 >50303,408 29,605 11,775 15,606 405 360,799 
Great Ajax II REIT - 7f7 <5025,629 2,726 1,252 1,913 — 31,520 
Great Ajax II REIT - 6f6 and below5,446 1,869 4,375 9,941 6,170 27,801 
Total$342,657 $37,190 $17,532 $30,876 $10,443 $438,698 

March 31, 2024
Mortgage loans held-for-sale, netCurrent306090ForeclosureTotal
Held-for-sale$194,244 $46,815 $37,453 $70,193 $19,583 $368,288 
Total$194,244 $46,815 $37,453 $70,193 $19,583 $368,288 

December 31, 2023
Mortgage loans held-for-investment, netCurrent306090ForeclosureTotal
GAOP - 7f7 >50$199,229 $49,868 $283 $63,498 $925 $313,803 
GAOP - 7f7 <5020,514 7,516 78 9,044 — 37,152 
GAOP - 6f6 and below8,565 6,906 421 45,058 26,364 87,314 
Great Ajax II REIT - 7f7 >50300,506 36,277 801 26,600 637 364,821 
Great Ajax II REIT - 7f7 <5025,592 3,846 42 2,131 — 31,611 
Great Ajax II REIT - 6f6 and below4,374 2,144 — 14,788 8,544 29,850 
Total$558,780 $106,557 $1,625 $161,119 $36,470 $864,551 

December 31, 2023
Mortgage loans held-for-sale, netCurrent306090ForeclosureTotal
Held-for-sale$1,284 $592 $— $26,243 $27,599 $55,718 
Total$1,284 $592 $— $26,243 $27,599 $55,718