UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

(Mark One)

☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended September 30, ~~2020~~2021

☐ 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~~46-5211870
State or other jurisdiction of incorporation or organization			(I.R.S. Employer Identification No.)

13190 SW 68th Parkway, Suite ~~201~~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☐~~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☐~~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☒~~No ☒

As of November ~~4, 2020, 23,034,443~~3, 2021, 23,143,037 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

GREAT AJAX CORP. AND SUBSIDIARIES

CONSOLIDATED BALANCE SHEETS

($ in thousands except per share data) September 30, 2020 December 31, 2019
ASSETS (Unaudited)
Cash and cash equivalents $ 135,190 $ 64,343
Cash held in trust 189 20
Mortgage loans, net(1,2)
1,102,360 1,151,469
Property held-for-sale, net(3)
6,484 13,537
Rental property, net 724 1,534
Investments at fair value(4)
284,655 231,685
Investments in beneficial interests(5)
86,241 57,954
Receivable from servicer 16,438 17,013
Investments in affiliates 28,730 30,441
Prepaid expenses and other assets 5,963 8,845
Total assets $ 1,666,974 $ 1,576,841
LIABILITIES AND EQUITY
Liabilities:
Secured borrowings, net(1,2,6)
$ 614,214 $ 652,747
Borrowings under repurchase transactions 415,419 414,114
Convertible senior notes, net(6)
109,710 118,784
Management fee payable 2,261 1,634
Accrued expenses and other liabilities 19,024 5,478
Total liabilities 1,160,628 1,192,757
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 September 30, 2020 and 0 shares issued or outstanding at December 31, 2019 51,100 0
Series B 5.00% Fixed-to-Floating Rate Cumulative Redeemable, $25.00 liquidation preference per share, 2,892,600 shares issued and outstanding at September 30, 2020 and 0 shares issued and outstanding at December 31, 2019 64,044 0
Common stock $0.01 par value; 125,000,000 shares authorized, 23,034,443 shares issued and outstanding at September 30, 2020 and 22,142,143 shares issued and outstanding at December 31, 2019 231 222
Additional paid-in capital 317,295 309,395
Treasury stock (634) (458)
Retained earnings 46,441 49,446
Accumulated other comprehensive gain 401 1,277
Equity attributable to stockholders 478,878 359,882
Non-controlling interests(7)
27,468 24,202
Total equity 506,346 384,084
Total liabilities and equity $ 1,666,974 $ 1,576,841


($ in thousands except per share data)	September 30, 2021		December 31, 2020
ASSETS	(Unaudited)
Cash and cash equivalents	$	92,843	$	107,147
Cash held in trust	2,534		188
Mortgage loans held-for-investment, net(1,2)	976,351		1,119,372
Mortgage loans held-for-sale, net	30,963		—
Real estate owned properties, net(3)	6,097		8,526
Investments in securities at fair value(4)	340,082		273,834
Investments in beneficial interests(5)	139,494		91,418
Receivable from servicer	18,128		15,755
Investments in affiliates	27,464		28,616
Prepaid expenses and other assets	14,132		8,876
Total assets	$	1,648,088	$	1,653,732
LIABILITIES AND EQUITY
Liabilities:
Secured borrowings, net(1,2,6)	$	612,592	$	585,403
Borrowings under repurchase transactions	399,340		421,132
Convertible senior notes, net(6)	103,754		110,057
Management fee payable	2,289		2,247
Put option liability	20,843		14,205
Accrued expenses and other liabilities	6,165		6,197
Total liabilities	1,144,983		1,139,241
Commitments and contingencies – see Note 8	0		0
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 September 30, 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 September 30, 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, 23,140,131 shares issued and outstanding at September 30, 2021 and 22,978,339 shares issued and outstanding at December 31, 2020	232		231
Additional paid-in capital	315,611		317,424
Treasury stock	(1,539)		(1,159)
Retained earnings	66,958		53,346
Accumulated other comprehensive income	3,418		375
Equity attributable to stockholders	499,824		485,361
Non-controlling interests(7)	3,281		29,130
Total equity	503,105		514,491
Total liabilities and equity	$	1,648,088	$	1,653,732

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

(1)Mortgage loans held-for-investment, net include ~~$862.8~~$790.9 million and ~~$908.6~~$842.2 million of loans at September 30, ~~2020~~2021 and December 31, ~~2019,~~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

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

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 ~~$15.2~~$13.9 million and ~~$2.0~~$13.7 million of allowance for ~~loan~~expected credit losses at September 30, ~~2020~~2021 and December 31, ~~2019,~~2020, respectively.

(2)As of September 30, 2021, balances for Mortgage loans held-for-investment, net include $1.5 million from a 50.0% owned joint venture. As of December 31, 2020, balances for Mortgage loans held-for-investment, net ~~includes $309.2~~include $307.1 million and Secured borrowings, net of deferred costs includes ~~$257.0~~$250.6 million from ~~50%~~50.0% and 63% owned joint ventures, respectively. As of December 31, 2019, balances for Mortgage loans, net include $341.8 million and Secured borrowings, net of deferred costs includes $284.8 million from 50% and 63%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)~~Property held-for-sale,~~Real estate owned properties, net, ~~includes~~are presented net of valuation allowances of ~~$1.4~~$0.4 million and ~~$1.8~~$1.4 million at September 30, ~~2020~~2021 and December 31, ~~2019,~~2020, respectively.

(4)As of September 30, ~~2020~~2021 and December 31, ~~2019~~2020, Investments in securities at fair value include amortized cost basis of ~~$284.3~~$336.7 million and ~~$230.4~~$273.4 million, respectively, and net unrealized gains of ~~$0.4~~$3.4 million and ~~$1.3~~$0.4 million, respectively.

(5)Investments in beneficial interests includes allowance for expected credit losses of ~~$5.9~~$0.6 million and $4.5 million at September 30, ~~2020. NaN allowance for credit losses was recorded as of~~2021 and December 31, ~~2019.~~2020, respectively.

(6)Secured borrowings, ~~and Convertible senior notes~~net are presented net of deferred issuance ~~costs.~~costs of $8.3 million at September 30, 2021 and $5.4 million at December 31, 2020. Convertible senior notes, net are presented net of deferred issuance costs of $2.1 million at September 30, 2021 and $3.3 million at December 31, 2020.

(7)As of September 30, ~~2020 and December 31, 2019~~2021 non-controlling interests includes ~~$25.8~~$1.8 million from a 50.0% owned joint venture, $1.3 million from a 53.1% owned subsidiary and ~~$22.4~~$0.1 million ~~respectively,~~from a 99.9% owned subsidiary. As of December 31, 2020 non-controlling interests includes $27.4 million from the ~~50%~~50.0% and ~~63%~~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.

GREAT AJAX CORP. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF INCOME

(Unaudited)

Three months ended Nine months ended
($ in thousands except per share data) September 30, 2020 September 30, 2019 September 30, 2020 September 30, 2019
INCOME
Interest income $ 23,950 $ 27,723 $ 74,941 $ 85,303
Interest expense (11,727) (14,317) (37,855) (45,441)
Net interest income 12,223 13,406 37,086 39,862
Provision for credit benefit/(losses) 4,007 (3) 3,226 (242)
Net interest income after provision for credit benefit/(losses) 16,230 13,403 40,312 39,620
(Loss)/income from investments in affiliates (25) 583 (465) 1,301
Income/(loss) on sale of mortgage loans(1)
0 109 (705) 7,123
Other income 537 1,221 1,964 3,159
Total revenue, net 16,742 15,316 41,106 51,203
EXPENSE
Related party expense – loan servicing fees 1,848 2,197 5,798 6,977
Related party expense – management fee 2,264 2,215 6,206 5,555
Loan transaction expense (178) 52 (216) 312
Professional fees 576 446 2,113 1,942
Real estate operating expenses 173 1,216 1,273 2,889
Other expense 2,930 940 6,280 3,240
Total expense 7,613 7,066 21,454 20,915
Loss on debt extinguishment 253 0 661 182
Income before provision for income taxes 8,876 8,250 18,991 30,106
Provision for taxes (benefit) (16) 27 (215) 136
Consolidated net income 8,892 8,223 19,206 29,970
Less: consolidated net income attributable to the non-controlling interest 1,662 532 3,493 1,922
Consolidated net income attributable to Company 7,230 7,691 15,713 28,048
Less: dividends on preferred stock 1,950 0 3,791 0
Consolidated net income attributable to common stockholders $ 5,280 $ 7,691 $ 11,922 $ 28,048
Basic earnings per common share $ 0.23 $ 0.39 $ 0.53 $ 1.44
Diluted earnings per common share $ 0.23 $ 0.36 $ 0.53 $ 1.29
Weighted average shares – basic 22,844,192 19,751,142 22,575,480 19,247,706
Weighted average shares – diluted 22,989,616 28,200,653 22,575,480 27,987,798


	Three months ended				Nine months ended
($ in thousands except per share data)	September 30, 2021		September 30, 2020		September 30, 2021		September 30, 2020
INCOME
Interest income	$	23,054	$	23,517	$	70,137	$	73,576
Interest expense	(8,609)		(11,727)		(27,743)		(37,855)
Net interest income	14,445		11,790		42,394		35,721
Net decrease in the net present value of expected credit losses(1)	3,678		4,440		13,927		4,591
Net interest income after the impact of changes in the net present value of expected credit losses	18,123		16,230		56,321		40,312
Income/(loss) from investments in affiliates	90		(25)		610		(465)
Other income	778		537		1,620		1,259
Total revenue, net	18,991		16,742		58,551		41,106
EXPENSE
Related party expense – loan servicing fees	1,743		1,848		5,275		5,798
Related party expense – management fee	2,292		2,264		6,835		6,206
Professional fees	526		576		1,929		2,113
Real estate operating expenses	(76)		173		197		1,273
Fair value adjustment on put option liability	2,493		1,766		6,638		3,016
Other expense	1,227		986		3,906		3,048
Total expense	8,205		7,613		24,780		21,454
Loss on debt extinguishment	—		253		1,072		661
Income before provision for income taxes	10,786		8,876		32,699		18,991
Provision for income taxes (benefit)	102		(16)		203		(215)
Consolidated net income	10,684		8,892		32,496		19,206
Less: consolidated net (loss)/income attributable to the non-controlling interest	(578)		1,662		(47)		3,493
Consolidated net income attributable to Company	11,262		7,230		32,543		15,713
Less: dividends on preferred stock	1,949		1,950		5,848		3,791
Consolidated net income attributable to common stockholders	$	9,313	$	5,280	$	26,695	$	11,922
Basic earnings per common share	$	0.40	$	0.23	$	1.16	$	0.53
Diluted earnings per common share	$	0.38	$	0.23	$	1.10	$	0.53
Weighted average shares – basic	22,862,429		22,844,192		22,835,237		22,575,480
Weighted average shares – diluted	30,407,649		22,989,616		30,286,613		22,575,480

(1)~~The Company sold 0 mortgage loans~~Net decrease in the net present value of expected credit losses represents the net decrease to the allowance resulting from changes in actual and expected cash flows during both the three ~~months ended September 30, 2020. During the~~and nine months ended September 30, 2021 and September 30, 2020, respectively. It represents the ~~Company sold 26 SBC mortgage loans with a carrying~~net increase of the present value of ~~$26.1 million~~the expected cash flows in excess of contractual cash flows offset by any incremental provision expense on the Mortgage loan pools and ~~UPB of $26.2 million~~Beneficial interests. The decrease is calculated at the pool level for Mortgage loans and at the security level for Beneficial interests. To the extent a ~~loss of $0.7 million. Comparatively, during~~pool or Beneficial interest has an associated allowance, the ~~three months ended September 30, 2019,~~decrease in expected credit losses is recorded in the ~~Company sold 3 loans with a carrying value of $1.9 million and UPB of $2.0 million for a gain of $0.1 million. During~~period in which the ~~nine months ended September 30, 2019, the Company sold 965 loans with a carrying value of $178.8 million and UPB of $202.1 million for a gain of $7.1 million.~~change occurs, otherwise it is recognized prospectively as an increase in yield.

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

GREAT AJAX CORP. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME

(Unaudited)

Three months ended September 30, Nine months ended September 30,
($ in thousands) 2020 2019 2020 2019
Consolidated net income attributable to common stockholders $ 5,280 $ 7,691 $ 11,922 $ 28,048
Other comprehensive income:
Net unrealized gain/(loss) on investments in available-for-sale debt securities 4,337 1,012 (876) 2,119
Income tax expense related to items of other comprehensive income 0 0 0 0
Comprehensive income $ 9,617 $ 8,703 $ 11,046 $ 30,167


	Three months ended September 30,				Nine months ended September 30,
($ in thousands)	2021		2020		2021		2020
Consolidated net income attributable to common stockholders	$	9,313	$	5,280	$	26,695	$	11,922
Other comprehensive income:
Net unrealized income/(loss) on investments in available-for-sale debt securities	1,767		4,337		3,043		(876)
Income tax expense related to items of other comprehensive income	—		—		—		—
Comprehensive income	$	11,080	$	9,617	$	29,738	$	11,046

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

GREAT AJAX CORP. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF CASH FLOWS

(Unaudited)

Nine months ended
($ in thousands) September 30, 2020 September 30, 2019
CASH FLOWS FROM OPERATING ACTIVITIES
Consolidated net income $ 19,206 $ 29,970
Adjustments to reconcile net income to net cash from operating activities
Stock-based management fee and compensation expense 650 3,344
Non-cash interest income accretion on mortgage loans (22,765) (30,274)
Discount accretion on investment in debt securities and beneficial interests (13,056) (8,878)
Loss/(gain) on sale of mortgage loans 705 (7,123)
Loss on debt extinguishment 661 182
Gain on sale of property held-for-sale (957) (401)
Gain on sale of securities (145) (8)
Depreciation of property 23 367
Impairment of real estate owned 1,155 1,691
Provision for credit (benefit)/losses on mortgage loans (2,108) 242
Provision for credit benefit on beneficial interests (1,118) 0
Amortization of debt discount and prepaid financing costs 3,924 4,010
Undistributed loss/(income) from investment in affiliates 465 (1,301)
Accretion of put option expense 2,956 0
Net change in operating assets and liabilities
Prepaid expenses and other assets 2,355 (1,066)
Receivable from Servicer 618 (2,596)
Accrued expenses, management fee payable, and other liabilities 1,376 862
Net cash from operating activities (6,055) (10,979)
CASH FLOWS FROM INVESTING ACTIVITIES
Purchase of mortgage loan pools and related balances (41,823) (98,315)
Acquisition of commercial loans (3,023) (18,449)
Principal paydowns on mortgage loans 91,161 104,012
Principal paydowns on debt securities held as investments 37,921 31,348
Proceeds from sale of mortgage loans 25,412 186,071
Draws on small balance commercial loans 0 (735)
Purchase of securities (144,682) (127,552)
Proceeds from sale of securities 38,944 39,635
Purchase of rental property 0 (22,275)
Proceeds from sale of property held-for-sale 9,101 13,323
Recovery costs of property held-for-sale 64 156
Renovations of rental property (10) 0
Distribution from affiliates 1,082 731
Net cash from investing activities 14,147 107,950
CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from repurchase transactions 270,019 198,172
Repayments on repurchase transactions (268,714) (298,935)
Proceeds from sale of secured borrowings 114,534 156,488
Repayments on secured borrowings (153,932) (135,653)


	Nine months ended
($ in thousands)	September 30, 2021		September 30, 2020
CASH FLOWS FROM OPERATING ACTIVITIES
Consolidated net income	$	32,496	$	19,206
Adjustments to reconcile net income to net cash from operating activities
Stock-based compensation expense	979		650
Non-cash interest income accretion on mortgage loans	(15,495)		(22,765)
Interest and discount accretion on investment in debt securities	(8,159)		(5,074)
Discount accretion on investment in beneficial interests	(12,339)		(7,982)
Loss on sale of mortgage loans	—		705
Gain on refinancing of securitization trust 2017-D	(122)		—
Loss on debt extinguishment	1,072		661
Gain on sale of property held-for-sale	(572)		(957)
Gain on sale of securities	(201)		(145)
Depreciation of property	7		23
Impairment of real estate owned	170		1,155
Decrease in net present value of expected credit losses on loans	(9,148)		(2,902)
Credit loss expense on mortgage loans	757		794
Decrease in net present value of expected credit losses on beneficial interests	(4,779)		(1,688)
Credit loss expense on beneficial interests	440		570
Amortization of debt discount and prepaid financing costs	4,777		3,924
Undistributed (income)/loss from investment in affiliates	(610)		465
Fair value adjustment on put option liability	6,638		3,016
Other non-cash charges	(3)		—
Net change in operating assets and liabilities
Prepaid expenses and other assets	(8,759)		2,355
Receivable from Servicer	(2,373)		618
Accrued expenses, management fee payable, and other liabilities	12		1,316
Net cash from operating activities	(15,212)		(6,055)
CASH FLOWS FROM INVESTING ACTIVITIES
Purchase of mortgage loans and related balances	(128,422)		(44,846)
Principal paydowns on mortgage loans	145,442		91,161
Proceeds from sale of mortgage loans	—		25,412
Proceeds from refinancing of securitization trust	125,975		—
Draws on small balance commercial loans	(10,366)		—
Purchase of securities	(286,461)		(144,682)
Principal and interest collection on debt securities	111,238		37,921
Proceeds from payoff and sale of securities	90,229		38,944
Proceeds from sale of property held-for-sale	5,835		9,101
Renovations and recovery costs of rental property and property held-for-sale	—		54
Distribution from affiliates	1,381		1,082
Net cash from investing activities	54,851		14,147
CASH FLOWS FROM FINANCING ACTIVITIES

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


Deferred financing costs		(1,861)		(2,666)
Proceeds from repurchase transactions						Proceeds from repurchase transactions	376,301		270,019
Repayments on repurchase transactions						Repayments on repurchase transactions	(398,093)		(268,714)
Proceeds from origination of secured borrowings						Proceeds from origination of secured borrowings	391,028		114,534
Repayments on secured borrowings						Repayments on secured borrowings	(354,990)		(153,932)
Payment of prepaid financing costs						Payment of prepaid financing costs	(7,339)		(1,861)
Purchase of bonds of non-controlling interest in subsidiaries						Purchase of bonds of non-controlling interest in subsidiaries	(5,887)		—
Repurchase of the Company's senior convertible notes	Repurchase of the Company's senior convertible notes	(10,481)		0		Repurchase of the Company's senior convertible notes	(7,463)		(10,481)
Proceeds from issuance of preferred stock and warrants, net of offering costs	Proceeds from issuance of preferred stock and warrants, net of offering costs	124,976		0		Proceeds from issuance of preferred stock and warrants, net of offering costs	—		124,976
Sale of common stock, net of offering costs	Sale of common stock, net of offering costs	0		8,291		Sale of common stock, net of offering costs	99		—
Sale of common stock pursuant to dividend reinvestment plan	Sale of common stock pursuant to dividend reinvestment plan	86		206		Sale of common stock pursuant to dividend reinvestment plan	166		86
Redemption of non-controlling interests in subsidiaries						Redemption of non-controlling interests in subsidiaries	(26,163)		—
Distribution to non-controlling interests	Distribution to non-controlling interests	(227)		(715)		Distribution to non-controlling interests	(325)		(227)
Issuance of non-controlling interests in subsidiaries	Issuance of non-controlling interests in subsidiaries	145		59		Issuance of non-controlling interests in subsidiaries	—		145
Dividends on common stock and preferred stock	Dividends on common stock and preferred stock	(11,621)		(19,462)		Dividends on common stock and preferred stock	(18,931)		(11,621)
Net cash from financing activities	Net cash from financing activities	62,924		(94,215)		Net cash from financing activities	(51,597)		62,924
NET CHANGE IN CASH, CASH EQUIVALENTS, AND CASH HELD IN TRUST	NET CHANGE IN CASH, CASH EQUIVALENTS, AND CASH HELD IN TRUST	71,016		2,756		NET CHANGE IN CASH, CASH EQUIVALENTS, AND CASH HELD IN TRUST	(11,958)		71,016
CASH, CASH EQUIVALENTS AND CASH HELD IN TRUST, beginning of period	CASH, CASH EQUIVALENTS AND CASH HELD IN TRUST, beginning of period	64,363		55,170		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	CASH, CASH EQUIVALENTS AND CASH HELD IN TRUST, end of period	$	135,379	$	57,926	CASH, CASH EQUIVALENTS AND CASH HELD IN TRUST, end of period	$	95,377	$	135,379
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION	SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION					SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION
Cash paid for interest	Cash paid for interest	$	32,511	$	41,346	Cash paid for interest	$	22,151	$	32,511
Cash paid for income taxes						Cash paid for income taxes	$	57	$	60
SUPPLEMENTAL DISCLOSURE OF NONCASH INVESTING AND FINANCING ACTIVITIES	SUPPLEMENTAL DISCLOSURE OF NONCASH INVESTING AND FINANCING ACTIVITIES					SUPPLEMENTAL DISCLOSURE OF NONCASH INVESTING AND FINANCING ACTIVITIES
Net transfer of loans from mortgage held-for-investment, net to mortgage loans held-for-sale, net						Net transfer of loans from mortgage held-for-investment, net to mortgage loans held-for-sale, net	$	159,733	$	—
Non-cash adjustments to basis in mortgage loans						Non-cash adjustments to basis in mortgage loans	$	3,193	$	43
Unrealized gain/(loss) on available for sale securities, net of non-controlling interest and tax						Unrealized gain/(loss) on available for sale securities, net of non-controlling interest and tax	$	3,043	$	(876)
Net transfer of loans to rental property or property held-for-sale						Net transfer of loans to rental property or property held-for-sale	$	3,013	$	1,515
Issuance of common stock for compensation expense						Issuance of common stock for compensation expense	$	979	$	650
Treasury stock received through distributions from investment in Manager						Treasury stock received through distributions from investment in Manager	$	380	$	164
Issuance of common stock for dividends	Issuance of common stock for dividends	$	7,097	$	0	Issuance of common stock for dividends	$	—	$	7,097
Net transfer of loans to rental property or property held-for-sale		$	1,515	$	10,675
Issuance of common stock for management fee and compensation expense		$	650	$	3,344
Treasury stock received through distributions from investment in Manager		$	164	$	127
Non-cash adjustments to basis in mortgage loans		$	43	$	(26)
Unrealized (loss)/gain on available for sale securities, net of non-controlling interest and tax		$	(876)	$	2,119

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 September 30, ~~2020~~2021 and September 30, ~~2019~~2020 ($ in thousands):


		September 30, 2020		September 30, 2019			September 30, 2021		September 30, 2020
Cash and cash equivalents	Cash and cash equivalents	$	135,190	$	57,905	Cash and cash equivalents	$	92,843	$	135,190
Cash held in trust	Cash held in trust	189		21		Cash held in trust	2,534		189
Total cash and cash equivalents and restricted cash shown on the consolidated statements of cash flows	Total cash and cash equivalents and restricted cash shown on the consolidated statements of cash flows	$	135,379	$	57,926	Total cash and cash equivalents and restricted cash shown on the consolidated statements of cash flows	$	95,377	$	135,379

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

GREAT AJAX CORP. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF CHANGES IN EQUITY

(Unaudited)


($ in thousands)	($ 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 (loss)/gain			Total Stockholders' Equity			Non-controlling Interest				Total Equity		($ 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 income/(loss)			Total Stockholders' Equity	Non-controlling Interest	Total Equity
Balance at December 31, 2018		0	$	0	0	$	0	18,909,874	$	189	$	(270)	$	260,427	$	41,063	$	(575)		$	300,834		$	33,445			$	334,279
Balance at nine months ended September 30, 2020																			Balance at nine months ended September 30, 2020
Balance at December 31, 2019																			Balance at December 31, 2019			—			$	—				—		$	—		22,142,143		$	222		$	(458)		$	309,395		$	49,446		$	1,277		$	359,882		$	24,202		$	384,084
Net income	Net income	—	—		—	—		—	—		—		—		7,330		—			7,330			791				8,121		Net income		—			—		—			—			—			—			—			—			400			—			400	1,096	1,496
Issuance of shares under dividend reinvestment plan		—	—		—	—		5,321	—		—		72		—		—			72			—				72
Stock-based management fee expense		—	—		—	—		52,556	1		—		727		—		—			728			—				728
Issuance of shares of subsidiary																			Issuance of shares of subsidiary			—			—					—		—			—		—			—			145			—			—			145			—			145
Stock-based compensation expense	Stock-based compensation expense	—	—		—	—		2,424	—		—		301		—		—			301			—				301		Stock-based compensation expense		—			—		—			—			2,600			—			—			214			—			—			214	—	214
Dividends declared ($0.32 per share) and distributions	Dividends declared ($0.32 per share) and distributions	—	—		—	—		—	—		—		—		(7,021)		—			(7,021)			(162)				(7,183)		Dividends declared ($0.32 per share) and distributions		—			—		—			—			781,222			8			—			7,089			(7,097)			—			—	(84)	(84)
Other comprehensive income		—	—		—	—		—	—		—		—		—		397			397			—				397
Convertible senior notes repurchase																			Convertible senior notes repurchase			—			—					—		—			—		—			—			(81)			—			—			(81)			—			(81)
Other comprehensive loss																			Other comprehensive loss			—			—					—		—			—		—			—			—			—			(28,444)			(28,444)			—			(28,444)
Treasury stock	Treasury stock	—	—		—	—		(2,952)	—		(40)		—		—		—			(40)			—				(40)		Treasury stock		—			—		—			—			(4,030)			—			(56)			—			—			—			(56)	—	(56)
Balance at March 31, 2019		0	$	0	0	$	0	18,967,223	$	190	$	(310)	$	261,527	$	41,372	$	(178)		$	302,601		$	34,074			$	336,675
Balance at March 31, 2020																			Balance at March 31, 2020			—			$	—				—		$	—		22,921,935		$	230		$	(514)		$	316,762		$	42,749		$	(27,167)		$	332,060		$	25,214		$	357,274
Net income	Net income	—	—		—	—		—	—		—		—		13,027		—			13,027			599				13,626		Net income		—			—		—			—			—			—			—			—			8,083			—			8,083	735	8,818
Conversion of Operating Partnership Units		—	—		—	—		624,106	6		—		10,765		—		—			10,771			(10,771)				—
Preferred Stock																			Preferred Stock			2,307,400			51,100					2,892,600		64,044			—		—			—			—			—			—			115,144			—			115,144
Issuance of shares under dividend reinvestment plan																			Issuance of shares under dividend reinvestment plan			—			—					—		—			5,057		—			—			41			—			—			41			—			41
Stock-based compensation expense																			Stock-based compensation expense			—			—					—		—			3,468		—			—			214			—			—			214			—			214

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


Issuance of shares under dividend reinvestment plan		—	—		—	—		5,056	—		—		64		—		—			64			—				64
Stock-based management fee expense		—	—		—	—		62,301	1		—		823		—		—			824			—				824
Stock-based compensation expense		—	—		—	—		(1,403)	—		—		259		—		—			259			—				259
Dividends declared ($0.32 per share) and distributions		—	—		—	—		—	—		—		—		(6,098)		—			(6,098)			(432)				(6,530)
($ in thousands)																			($ 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 income/(loss)			Total Stockholders' Equity			Non-controlling Interest			Total Equity
Dividends declared ($0.17 per share) and distributions																			Dividends declared ($0.17 per share) and distributions			—			—					—		—			—		—			—			—			(5,748)			—			(5,748)			(66)			(5,814)
Other comprehensive income	Other comprehensive income	—	—		—	—		—	—		—		—		—		710			710			—				710		Other comprehensive income		—			—		—			—			—			—			—			—			—			23,231			23,231	—	23,231
Treasury stock	Treasury stock	—	—		—	—		(2,953)	—		(42)		—		—		—			(42)			—				(42)		Treasury stock		—			—		—			—			(5,478)			—			(50)			12			—			—			(38)	—	(38)
Balance at June 30, 2019		0	$	0	0	$	0	19,654,330	$	197	$	(352)	$	273,438	$	48,301	$	532		$	322,116		$	23,470			$	345,586
Balance at June 30, 2020																			Balance at June 30, 2020			2,307,400			$	51,100				2,892,600		$	64,044		22,924,982		$	230		$	(564)		$	317,029		$	45,084		$	(3,936)		$	472,987		$	25,883		$	498,870
Net income	Net income	—	—		—	—		—	—		—		—		7,691		—			7,691			532				8,223		Net income		—			—		—			—			—			—			—			—			7,230			—			7,230	1,662	8,892
Issuance of non-controlling interest in subsidiaries		—	—		—	—		—	—		—		—		—		—			—			59				59
Sale of shares		—	—		—	—		551,223	6		—		8,285		—		—			8,291			—				8,291
Conversion of Operating Partnership Units		—	—		—	—		—	—		—		45		—		—			45			(45)				0
Issuance of shares under dividend reinvestment plan	Issuance of shares under dividend reinvestment plan	—	—		—	—		4,827	—		—		70		—		—			70			—				70		Issuance of shares under dividend reinvestment plan		—			—		—			—			4,928			—			—			45			—			—			45	—	45
Stock-based management fee expense		—	—		—	—		58,398	0		—		985		—		—			985			—				985
Stock-based compensation expense	Stock-based compensation expense	—	—		—	—		81,836	1		—		246		—		—			247			—				247		Stock-based compensation expense		—			—		—			—			111,950			1			—			221			—			—			222	—	222
Dividends declared ($0.17 per share) and distributions																			Dividends declared ($0.17 per share) and distributions			—			—					—		—			—		—			—			—			(5,873)			—			(5,873)			(77)			(5,950)
Other comprehensive income																			Other comprehensive income			—			—					—		—			—		—			—			—			—			4,337			4,337			—			4,337
Treasury stock																			Treasury stock			—			—					—		—			(7,417)		—			(70)			—			—			—			(70)			—			(70)
Balance at September 30, 2020																			Balance at September 30, 2020			2,307,400			$	51,100				2,892,600		$	64,044		23,034,443		$	231		$	(634)		$	317,295		$	46,441		$	401		$	478,878		$	27,468		$	506,346

Balance at nine months ended September 30, 2021																			Balance at nine months ended September 30, 2021
Balance at December 31, 2020																			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																			Net income			—			—					—		—			—		—			—			—			8,953			—			8,953			1,689			10,642

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

Dividends declared ($0.32 per share) and distributions — — — — — — — — (6,343) — (6,343) (121) (6,464)
Other comprehensive income — — — — — — — — — 1,012 1,012 — 1,012
Treasury stock — — — — (3,105) — (45) — — — (45) — (45)
Balance at September 30, 2019 0 $ 0 0 $ 0 20,347,509 $ 204 $ (397) $ 283,069 $ 49,649 $ 1,544 $ 334,069 $ 23,895 $ 357,964
Balance at December 31, 2019 0 $ 0 0 $ 0 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 0 — 214 — — 214 — 214
Dividends declared ($0.32 per share) and distributions — — — — 781,222 8 — 7,089 (7,097) — 0 (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 0 $ 0 0 $ 0 22,921,935 $ 230 $ (514) $ 316,762 $ 42,749 $ (27,167) $ 332,060 $ 25,214 $ 357,274
Net income — — — — — — — — 8,083 — 8,083 735 8,818
Preferred Stock 2,307,400 51,100 2,892,600 64,044 — — — — — — 115,144 — 115,144


($ 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 income/(loss)		Total Stockholders' Equity		Non-controlling Interest		Total Equity
Issuance of shares under dividend reinvestment plan	—	—		—	—		4,228	—		—		47		—		—		47		—		47
Acquisition of non-controlling interest in subsidiary	—	—		—	—		—	—		—		(3,056)		—		—		(3,056)		(8,306)		(11,362)
Stock-based compensation expense	—	—		—	—		6,280	—		—		294		—		—		294		—		294
Dividends declared ($0.17 per share) and distributions	—	—		—	—		—	—		—		—		(5,799)		—		(5,799)		(84)		(5,883)
Other comprehensive income	—	—		—	—		—	—		—		—		—		1,306		1,306		—		1,306
Balance at March 31, 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
Net income	—	—		—	—		—	—		—		—		12,328		—		12,328		(1,158)		11,170
Issuance of shares under dividend reinvestment plan	—	—		—	—		3,820	—		—		48		—		—		48		—		48
Distribution to non-controlling interest	—	—		—	—		—	—		—		—		—		—		—		(16,864)		(16,864)
Stock-based compensation expense	—	—		—	—		19,945	—		—		374		—		—		374		—		374
Dividends declared ($0.19 per share) and distributions	—	—		—	—		—	—		—		—		(6,326)		—		(6,326)		(169)		(6,495)
Other comprehensive loss	—	—		—	—		—	—		—		—		—		(30)		(30)		—		(30)

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


($ in thousands)																			($ 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 income/(loss)			Total Stockholders' Equity			Non-controlling Interest			Total Equity
Treasury stock																			Treasury stock			—			—					—		—			(19,366)		—			(246)			—			—			—			(246)			—			(246)
Balance at June 30, 2021																			Balance at June 30, 2021			2,307,400			$	51,100				2,892,600		$	64,044		22,993,246		$	231		$	(1,405)		$	315,131		$	62,502		$	1,651		$	493,254		$	4,238		$	497,492
Net income																			Net income			—			—					—		—			—		—			—			—			11,262			—			11,262			(578)			10,684
Sale of shares																			Sale of shares			—			—					—		—			9,073		—			—			99			—			—			99			—			99
Issuance of shares under dividend reinvestment plan	Issuance of shares under dividend reinvestment plan	—	—		—	—		5,057	—		—		41		—		—			41			—				41		Issuance of shares under dividend reinvestment plan		—			—		—			—			5,049			—			—			71			—			—			71	—	71
Distribution to non-controlling interest																			Distribution to non-controlling interest			—			—					—		—			—		—			—			—			—			—			—			(307)			(307)
Stock-based compensation expense	Stock-based compensation expense	—	—		—	—		3,468	0		—		214		—		—			214			—				214		Stock-based compensation expense		—			—		—			—			142,557			1			—			310			—			—			311	—	311
Dividends declared ($0.17 per share) and distributions		—	—		—	—		—	—		—		—		(5,748)		—			(5,748)			(66)				(5,814)
Dividends declared ($0.21 per share) and distributions																			Dividends declared ($0.21 per share) and distributions			—			—					—		—			—		—			—			—			(6,806)			—			(6,806)			(72)			(6,878)
Other comprehensive income	Other comprehensive income	—	—		—	—		—	—		—		—		—		23,231			23,231			0				23,231		Other comprehensive income		—			—		—			—			—			—			—			—			—			1,767			1,767	—	1,767
Treasury stock	Treasury stock	—	—		—	—		(5,478)	—		(50)		12		—		—			(38)			—				(38)		Treasury stock		—			—		—			—			(9,794)			—			(134)			—			—			—			(134)	—	(134)
Balance at June 30, 2020		2,307,400	$	51,100	2,892,600	$	64,044	22,924,982	$	230	$	(564)	$	317,029	$	45,084	$	(3,936)		$	472,987		$	25,883			$	498,870
Net income		—	—		—	—		—	—		—		—		7,230		—			7,230			1,662				8,892
Issuance of shares under dividend reinvestment plan		—	—		—	—		4,928	—		—		45		—		—			45			—				45
Stock-based compensation expense		—	—		—	—		111,950	1		—		221		—		—			222			—				222
Dividends declared ($0.17 per share) and distributions		—	—		—	—		—	—		—		—		(5,873)		—			(5,873)			(77)				(5,950)
Other comprehensive income		—	—		—	—		—	—		—		—		—		4,337			4,337			—				4,337
Treasury stock		—	—		—	—		(7,417)	—		(70)		0		—		—			(70)			—				(70)
Balance at September 30, 2020		2,307,400	$	51,100	2,892,600	$	64,044	23,034,443	$	231	$	(634)	$	317,295	$	46,441	$	401		$	478,878		$	27,468			$	506,346
Balance at September 30, 2021																			Balance at September 30, 2021			2,307,400			$	51,100				2,892,600		$	64,044		23,140,131		$	232		$	(1,539)		$	315,611		$	66,958		$	3,418		$	499,824		$	3,281		$	503,105

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

GREAT AJAX CORP. AND SUBSIDIARIES

NOTES TO CONSOLIDATED INTERIM FINANCIAL STATEMENTS

September 30, ~~2020~~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 ~~was formed to facilitate~~facilitates capital raising activities and ~~to operate~~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 5 of the 7 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 5 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 5 of the 7 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 5 payments has been paid in the last seven months. The Company may also opportunistically originate SBC loans with principal balances generally up to $5.0 million which are secured by multi-family residential and commercial mixed use retail/residential properties. 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~~The Company ~~has~~may also ~~targeted~~target investments in non-performing loans (“~~NPL”~~NPLs”). NPLs are loans on which the most recent 3 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~~and Great Ajax Depositor LLC are wholly owned ~~subsidiary~~subsidiaries 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 September 30, ~~2020 and December 31, 2019, holds~~2021, held 99.9% ~~and 99.8%, respectively,~~ of Great Ajax II REIT Inc. which ~~holds an interest in~~wholly owns Great Ajax II Depositor LLC which ~~was formed to act~~then acts as the depositor of mortgage loans into rated securitization trusts and ~~to hold~~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 athese securitization ~~trust~~trusts and retained subordinated securities from the secured borrowings. ~~This trust is~~These trusts are considered to be ~~a VIE~~VIEs and the Company has determined that it is the primary beneficiary of ~~this VIE.~~these VIEs.

In 2018, the Company formed Gaea Real Estate Corp. ("Gaea"), as a wholly owned subsidiary of the Operating partnership to hold investments in multi-family, mixed use and 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 ~~BLFD~~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 also 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.

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 September 30, ~~2020~~2021 the Company owned approximately ~~23.0%~~22.8% of Gaea. ~~From the date of~~Following the capital raise, ~~forward,~~ the Company ~~accounts~~has accounted for its ~~investment~~ownership interest 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, ~~2019,~~2020, included in the Company's Annual Report on Form 10-K filed with the Securities and Exchange Commission (the "SEC") on March ~~4, 2020.~~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, ~~2020.~~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 43 subsidiaries with non-controlling ownership interests held by third parties. AS Ajax E II LLC ("AS Ajax E II") holds a 5.0% interest in a Delaware trust that ~~was formed to own~~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") ~~and Ajax Mortgage Loan Trust 2018-C (“2018-C”) are~~is a securitization ~~trusts~~trust that ~~hold~~holds mortgage loans, REO property and secured ~~debt;~~borrowings; 2017-D is 50.0% ~~owned by the Company, and 2018-C is 63.0%~~ owned by the Company. Great Ajax II REIT Inc. which ~~holds an interest in~~wholly owns Great Ajax II Depositor LLC which ~~was formed to act~~acts as the depositor of mortgage loans into securitization trusts and ~~to hold~~holds the subordinated securities issued by such trusts and any additional trusts the Company may form for additional secured borrowings and is 99.9% ~~and 99.8%, respectively,~~ owned by the Company as of September 30, ~~2020~~2021 and December 31, ~~2019.~~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~~third party investors for its consolidated subsidiaries.

~~At inception,~~During the ~~Operating Partnership was~~second quarter of 2021, the majority of loans held by 2017-D were re-securitized into Ajax Mortgage Loan Trust 2021-C ("2021-C"), a ~~majority owned partnership~~related party joint venture with third party institutional investors. The Company held a 50.0% ownership of the remaining loans held by 2017-D at September 30, 2021.

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 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")~~parties and ~~the remaining 3.2% of the OP Units were~~was 63.0% owned by the ~~unaffiliated holder. The OP units were exchangeable on a 1-for-1 basis with shares~~Company as 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 September 30,December 31, 2020 ~~the Operating Partnership was 100% owned by the Company. All controlled subsidiaries are included~~and consolidated in the Company's consolidated financial ~~statements and all intercompany accounts and transactions have been eliminated~~statements. At September 30, 2021 there was no non-controlling ownership interest in ~~consolidation.~~2018-C held by third parties.

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

Note 2 — Summary of Significant Accounting Policies

Mortgage loans

Purchased Credit Deteriorated Loans ~~acquired with deterioration in credit quality~~("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")~~loans is based upon ~~its~~it having a reasonable expectation of the amount and timing of the cash flows expected to be collected. When the timing and amount of cash flows expected to be collected are reasonably estimable, the Company uses expected cash flows to apply the effective interest method of income recognition. The Company adopted ASU 2016-13, Financial Instruments - Credit Losses, otherwise known as CECL using the prospective transition approach for PCD assets on January 1, 2020. At the time, $10.2 million of loan discount was reclassified to the allowance for expected credit losses with no net impact on the amortized cost basis of the portfolio.

~~Under both CECL and ASC 310-30, acquired~~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~~The Company tomay 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~~aggregated its mortgage loan portfolio into 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 4 as of March 31, 2020. The number of pools was then re-evaluated and increased to 6 as of June 30, 2020 and remains at 6 loan pools as of September 30, 2020. Each loan pool is oriented aroundbased on similar risk factors. Excluded from the aggregate pools are loans that pay in full subsequent to the acquisition closing date but prior to pooling. Any gain or loss on these loans is recognized as ~~Interest~~interest income in the period the loan pays in full.

The Company’s accounting for PCD loans gives rise to an accretable yield and an allowance for expected credit losses. ~~Under CECL, upon~~Upon the acquisition of PCD loans the Company records the acquisition as three separate elements for 1)(i) the amount of purchase discount which the Company expects to recover through eventual repayment by the borrower, 2)(ii) an allowance for future expected credit loss and 3)(iii) 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~~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~~The net present value of changes in expected cash flows, ~~over~~whether caused by timing or loan performance, is reported in the ~~life of~~period in which it arises and is reflected as an increase or decrease in the ~~pool, any prior allowance is reversed~~provision for expected credit losses to the extent ~~of the increase and the~~a provision for expected ~~yield to maturity is adjusted on a prospective basis. The allowance for~~ credit losses is ~~increased when~~recorded against the ~~Company estimates it will not collect all amounts previously estimated to be collectible. Reduction to~~pool of mortgage loans. If no provision for expected credit losses is recorded against the ~~allowance, or recovery, may occur if there is an~~pool of assets, the increase in expected future cash flows ~~that were previously subject to a provision for loss. Management assesses the credit quality of the portfolio and the adequacy of loan loss reserves on a quarterly basis, or more frequently~~is recognized prospectively as ~~necessary. Significant judgment is required~~an increase 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.yield.

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

Borrower payments on the Company’s mortgage loans are classified as principal, interest, payments of fees, or escrow deposits. Amounts applied as interest on the borrower account are similarly classified as interest for accounting purposes and are classified as operating cash flows in the Company’s consolidated ~~Statement~~statement of ~~Cash Flows.~~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~~statement of ~~Cash Flows~~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.~~

Other income and classified as operating cash flows in the consolidated ~~Statement~~statement of ~~Cash Flows.~~cash flows. Escrow deposits are recorded on the Servicer’s balance sheet and do not impact the Company’s cash flow.

Non-PCD Loans ~~acquired or originated that have not experienced a deterioration in credit quality~~

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.

~~Accrual of interest on individual~~The Company accounts for its non-PCD loans is discontinued when management believes that, after considering economic and business conditions and collection efforts, the borrower’s financial condition is such that collection of interest is doubtful. The Company’s policy is to stop accruing interest when a loan’s delinquency exceeds 90 days. All interest accrued but not collectedby estimating any allowance for expected credit losses for its non-PCD loans that are placed on non-accrual status or subsequently charged-off are reversed against Interest income. Income is subsequently recognized on the cash basis until, in management’s judgment, the borrower’s ability to make periodic principal and interest payments returns and future payments are reasonably assured, in which case the loan is returned to accrual status.

~~An individual loan is considered to be impaired when,~~ based on ~~current events~~historical experience and ~~conditions, it is probable~~ the ~~Company will be unable to collect all amounts due (both principal and interest) according to the contractual terms~~risk characteristics of the ~~loan agreement.~~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

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

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

Investments in Securities at Fair Value

The Company’s Investments in Securities at Fair Value ~~as of September 30, 2020 and December 31, 2019~~ consist of investments in senior and subordinate notes issued by joint ventures which the Company forms with third party institutional accredited investors. The Company recognizes income on the debt securities using the effective interest method. Additionally, the notes are classified as available for sale and are carried at fair value with changes in fair value reflected in the Company's consolidated statements of comprehensive income. The Company marks its investments to fair value using prices received from its financing counterparties and believes any unrealized losses on its debt securities are expected to be temporary. Any other-than-temporary losses, which represent the excess of the amortized cost basis over the present value of expected future cash flows, are recognized in the period identified in the Company’s consolidated statements of 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 September 30, 2020 and December 31, 2019~~ 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.~~expense and each beneficial interest is accounted for independently.

Real Estate

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

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 may also ~~acquires~~acquire 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 up to 27.5 years. The Company performs an impairment analysis for rental property using estimated cash flows if events or changes in circumstances indicate that the carrying value may be impaired, 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

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

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.

~~Warrant~~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 ~~within accrued expenses and other liabilities~~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.~~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

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

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~~expense when ~~incurred and amortized over the contractual life~~incurred.

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

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~~is 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 and second quarters of 2021, the Company completed a series of convertible note repurchases for aggregate principal amounts of $2.5 million and $5.0 million, respectively, for total purchase prices of $2.4 million and $5.1 million, respectively. The carrying amounts of the equity component representing the embedded conversion feature reversed from Additional paid-in capital due to the first and second quarter of 2021 transactions were both zero. There were no convertible note repurchases during the third quarter of 2021. 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 0,zero, respectively. There were no convertible note repurchases during the second quarter of 2020.

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.

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

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 0.20% annually on a loan-by-loan basis for any loan that makes 7 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

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

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~~preceding the record date ~~on which~~of the most recent regular quarterly dividend to holders of the common ~~stock is paid.~~stock. 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,~~awards, including grants of long-term incentive plan units (“LTIP Units”) from the Operating Partnership, available for issuance under the Director Plan is ~~78,000~~60,000 shares. The Company issued to each of its independent directors restricted stock awards of 2,000 shares of its common stock upon joining the Board of ~~Directors, which are subject to a~~ ~~one-year vesting period.~~Directors. The Company may also periodically issue additional restricted stock awards to its independent directors under the Director Plan. In addition, ~~through March 31, 2019,~~ each of the Company’s independent directors ~~received~~receives an annual fee of ~~$75,000,~~$100,000, payable quarterly, ~~50%~~40% in shares of the Company’s common stock and ~~50%~~60% in cash. ~~The annual fee was increased to $100,000, 40% of which is payable in shares of the Company's common stock and 60% in cash, which was effective as of April 1, 2019.~~ 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

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

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~~shares granted in 2021 vest over four years, with one-fourth of the shares vesting on each of the first, second, third and fourth anniversaries of the grant date. The shares granted prior to 2021 vest over three years, with ~~one third~~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 or fourth anniversary of the grant ~~date.~~date, as determined by the contract.

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

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

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

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

Diluted earnings per share is determined by dividing Consolidated net income attributable to diluted shareholders, which adds back to Consolidated net income attributable to common stockholders the interest expense and applicable portion of management fee expense, net of applicable income taxes, on the Company’s convertible senior notes, by the weighted-average common shares outstanding, assuming all dilutive securities, including stock grants, shares that would be issued in the event that warrants were redeemed for shares of common stock of the Company, shares issued in respect of the stock-based portion of the base fee payable to the Manager and independent directors, and shares that would be issued in the event of conversion of the Company’s outstanding convertible senior notes, were issued. In the event the Company were to record a net loss, potentially dilutive securities would be excluded from the diluted loss per share calculation, as their effect on loss per share would be anti-dilutive. The Company uses the ~~Treasury Stock~~treasury stock method of accounting for ~~the~~its outstanding warrants. Under the ~~Treasury Stock~~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

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

reducing the assumed dilution from the warrant exercise. In applying the ~~Treasury Stock~~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.

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

•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 ~~loan.~~loans. The ~~Company reviews its discount rates periodically~~value of transfers of mortgage loans to ~~ensure~~REO is based upon the ~~assumptions used to calculate fair~~present value ~~are in line with market conditions.~~of future expected cash flows of the loans being transferred.

The ~~Company’s Investments at fair value are carried at fair value with changes in fair value of equity securities reflected in the Company’s consolidated statements of income. Fair~~Company values ~~of the Company's~~its investments in debt securities ~~are derived from~~using estimates provided by ~~financial counterparties which are compared against available reference data from recent transactions and~~its financing counterparties. The Company also relies on the Manager's proprietary ~~valuation model.~~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's ownership interest in the Manager is valued by applying an earnings multiple to base fee revenue.

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

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

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

The fair value of the Company's ownership interest in the loan pool LLCs is determined by using estimates of underlying assets and liabilities taken from ~~estimates provided by banking institutions which are compared for reasonableness against analyses from the~~its Manager's ~~proprietary valuation~~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,~~debt. The Company is able to call the bonds issued in its secured borrowings at par value plus accrued interest pursuant to the terms of the offering document. The Company carries its secured borrowings net of deferred issuance cost. Accordingly, the difference between fair value and ~~which drive~~carrying value is largely driven by the ~~cash flows used to make interest payments.~~deferred issuance costs.

The fair value of the Company's put option liability is adjusted to approximate market value through earnings. The put obligation is a fixed amount that may be settled in cash or shares of the Company’s common stock at the option of the Company. Fair value is determined using the discounted cash flow method using a rate to accrete the initial basis of $9.5 million to the future put obligation of $50.7 million over the 39-month term of the put option liability. The fair value of the Company's put option liability is measured quarterly with adjustments posted to the Company's consolidated statements of income.

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. The Convertible debt may be redeemable at par plus

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

accrued interest beginning on April 30, 2022 subject to satisfying the conversion price trigger. The Company carries its Convertible debt net of deferred issuance cost. Accordingly, the difference between fair value and carrying value is partially driven by the deferred issuance costs.

Property held-for-sale is carried at the lower of its acquisition basis or net realizable value. Net realizable value is determined based on ~~the Manager's proprietary asset valuation model unless a property is listed for sale~~BPOs, appraisals, or ~~is under contract, in~~other market indicators of fair value, which ~~case the list price or contract price is used, respectively, which price is~~are then reduced by ~~expected~~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 accompanying notes are an integral part of the consolidated interim financial statements.~~

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

The Company’s consolidated financial statements include the operations of ~~2 TRS entities,~~ GA-TRS and GAJX Real Estate Corp., and other TRS entities, which are subject to U.S. federal, state and local income taxes on their taxable income. Income from these 2 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 ~~reclassified~~combined its ~~investment~~Property held-for-sale, net and Rental property, net lines with balances of $7.8 million and $0.7 million, respectively, in ~~warrants for the purchase of an additional interest in GAFS with a balance of $0.8 million at both September 30, 2020 and~~its December 31, ~~2019 from the Prepaid expenses and other assets classification in the Consolidated~~2020 consolidated balance ~~sheets~~sheet into a single line, Real estate owned properties, net, to conform to the ~~Investments in affiliates classification to more accurately present the Company’s combined interest in GAFS.~~current period presentation. There was no effect on the ~~Company’s~~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 in its 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 and $1.3 million for the three and nine months ended September 30, 2020, respectively, from Net decrease in the net present value of expected credit 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 Company reclassified its loss from loan settlement of $0.7 million for the nine months ended September 30, 2020 from Loss on sale of mortgage loans to Other income on its consolidated statement of income to align the presentation with the method the Company uses to evaluate these results. The Company also reclassified its loan transaction expense of $0.2 million for both the three and nine months ended September 30, 2020 from Loan transaction expense to Other expense 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.

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 ~~June 2016, the FASB issued ASU 2016-13,~~ ~~Financial Instruments - Credit Losses~~. The main objective of this guidance is to provide financial statement users with more decision-useful information about the expected credit losses on financial instruments and other commitments to extend credit held by a reporting entity. To achieve this, the amendments in this guidance replace the incurred loss impairment methodology in current U.S. GAAP with a methodology that reflects expected credit losses and requires consideration of a broader range of reasonable and supportable information to inform credit loss estimates. Specifically, the amendments in this guidance require a financial asset (or a group of financial assets) measured at amortized cost basis to be presented at the net amount expected to be collected. The measurement of expected credit losses is based on relevant information about past events, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the reported amount. An entity must use judgment in determining the relevant information and estimation methods that are appropriate in its circumstances. In May 2019, the FASB issued ASU

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

~~2019-04,~~ ~~Codification Improvements to Topic 326, Financial Instruments-Credit Losses, Topic 815, Derivatives and Hedging, and Topic 825, Financial Instruments~~. The amendments to Topic 326 and other Topics in this Update include items related to the amendments in Update 2016-13 discussed at the June 2018 and November 2018 Credit Losses Transition Resource Group meetings. The amendments clarify or address stakeholders’ specific issues about certain aspects of the amendments in Update 2016-13. This guidance is effective for interim and annual reporting periods that are applicable to the original ASU’s affected by the codification improvements. Also in MayDecember 2019, the FASB issued ASU ~~2019-05,~~2019-12, ~~Financial Instruments - Credit Losses - Targeted Transition Relief~~Income Taxes (Topic 740) – Simplifying the Accounting for Income Taxes. to allow financial statement preparers who had elected the fair value option for newly acquired financial assets to irrevocably elect the fair value option, applied on an instrument-by-instrument basis for eligible instruments, upon adoption of ASU 2016-13 for assets previously measured at amortized cost basis. In November 2019, the FASB issued ASU 2019-11, ~~Codification Improvements to Topic 326, Financial Instruments - Credit Losses~~ ~~to clarify or address stakeholders’ specific issues about certain aspects of the amendments in Update 2016-13. In February 2020, the FASB issued ASU 2020-02,~~ ~~Financial Instruments - Credit Losses (Topic 326) and Leases (Topic 842)~~ ~~to amend SEC paragraphs pursuant to SEC Staff Accounting Bulletin No. 119 and to update the SEC section~~on the effective date related to ASU 2016-02. The guidance in ASU 2016-13, ASU 2019-04, ASU 2019-05, ASU 2019-11 and ASU 2020-02 became effective for the Company for all periods beginning after December 15, 2019. The Company adopted ASU 2016-13 and all related amendments on January 1, 2020.

For the Company’s mortgage loan portfolio, the initial adoption resulted in a reclassification between loan discount and allowance for purchased credit impaired loans of $10.2 million. This adjustment had no effect on the Company’s balance sheet presentation, or on consolidated equity. The Company does not consider this transition adjustment to be material to its financial position or previously reported statements. During subsequent periods this allowance for credit losses will be adjusted either upward or downward for expected changes in future credit losses based on expected cash flows. These changes to the reserve will be recognized in the Company's current period income. Historically, only reductions in expected cash flows were recognized in the current period earnings, while increases in expected cash flows were recognized prospectively over the remaining expected lives of the loan pools. The Company’s investments in beneficial interests are also deemed to be credit impaired under ASC 2016-13 and follow guidance comparable to that for impaired loans. Similarly, upon adoption, a reclassification from discount to allowance for credit impaired loss of $4.2 million was recorded, with no net impact on the Company’s balance sheet or on consolidated equity. As with the adjustment noted above for the Company's loan portfolio, this adjustment had no effect on the Company’s balance sheet presentation, or on consolidated equity. The Company does not consider this transition adjustment to be material to its financial position or previously reported statements. In subsequent periods, changes to the reserve for beneficial interests will be recognized in the Company’s current period income. Under ASU 2016-13, credit losses for available-for-sale debt securities are measured in a manner similar to current GAAP. However, the amendments in this ASU require that credit losses be recorded through an allowance for credit losses, which will cause subsequent reversals in credit loss estimates to be recognized in current income. In addition, the allowance for available-for-sale debt securities is limited to the extent that the fair value is less than the amortized cost.

~~In August 2018, the FASB issued ASU 2018-13, Fair Value Measurement~~ ~~(Topic 820): Disclosure Framework -Changes to the Disclosure Requirements for Fair Value Measurement~~. The amendments in this update ~~modify~~simplify the ~~disclosure requirements on fair value measurements in Topic 820, Fair Value Measurement, based on the concepts~~accounting for income taxes by removing certain exceptions and adding certain clarifications to rules and definitions used in the ~~concepts statement, including~~calculation of the ~~consideration of costs and benefits.~~income tax provision. This guidance is effective for interim and annual reporting periods beginning after December 15, ~~2019,~~2020, with early adoption permitted, including ~~early~~ adoption ofin any ~~removed or modified disclosures addressed in this update and delay of additional disclosures until their effective date.~~interim period. The Company adopted ASU ~~2018-13~~2019-12 in the first quarter of ~~2020~~2021 with no effect on its consolidated assets or liabilities, consolidated net income or equity or cash flows on the date of adoption.

In ~~August 2018,~~January 2020, the FASB issued ASU ~~2018-15,~~2020-01, ~~Intangibles - Goodwill~~Investments – Equity Securities (Topic 321, Investments) – Equity Method and ~~Other - Internal-Use Software (Subtopic 350-40): Customer's Accounting for Fees Paid in a Cloud Computing Arrangement~~Joint Ventures (Topic 323), and Derivatives and Hedging (Topic 815). . The amendments in this update ~~align~~clarify the ~~requirements~~interactions between Topic 321, Topic 323, and Topic 815, which clarifies aspects of accounting for ~~capitalizing implementation costs incurred~~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 ~~hosting arrangement that is a service~~forward contract ~~with~~or option the ~~requirements~~underlying security would be accounted for ~~capitalizing implementation costs incurred to develop~~under the Equity Method (Topic 323) or ~~obtain internal-use software and hosting arrangements that include an internal-use software license.~~the fair value option (Topic 825). This guidance is effective for interim and annual reporting periods beginning after December 15, ~~2019,~~2020, with early adoption permitted, including adoption in any interim period. The Company adopted ASU ~~2018-15~~2020-01 in the first quarter of ~~2020~~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 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

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

effective for interim and annual reporting periods beginning after December 15, 2020, 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.

~~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 is currently evaluating the impact on its consolidated financial statements and related disclosures.

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~~or 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.~~permitted. The Company is currently evaluating the impact on its consolidated financial statements and related disclosures.

In August 2020, the Securities and Exchange Commission (“SEC”) voted to adopt amendments to modernize the description of business, legal proceedings, and risk factor disclosures that registrants are required to make pursuant to Regulation S-K. The business description was amended to be primarily principles-based, requiring disclosure of information material to an understanding of the general development of the business, and eliminating the previously prescribed five-year timeframe. The amendment clarifies that registrants may provide an update of the general development of the business rather than a full discussion. The amendment includes a nonexclusive list of disclosure topic examples, including a description of the registrant’s human capital resources to the extent such disclosures would be material to an understanding of the registrant’s business. Amendments to the legal proceedings disclosure allow the required information to be provided by hyperlink or cross-reference to legal proceedings disclosure located elsewhere in the document to avoid duplicative disclosure. The amendments also require a summary risk factor disclosure of no more than two pages if the registrant’s risk factor section exceeds 15 pages. The amendments will become effective 30 days after publication in the Federal Register. The Company is currently evaluating the impact on its 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 September 30, ~~2020~~2021 and December 31, ~~2019~~2020 ($ in thousands):


							September 30, 2021				December 31, 2020
Loan portfolio basis by asset type	Loan portfolio basis by asset type	September 30, 2020		December 31, 2019		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	Residential RPLs	$	1,068,503	$	1,085,514	Residential RPLs	$	834,309	$	30,963	$	1,057,454	$	—
Residential NPLs	Residential NPLs	28,448		30,869		Residential NPLs	117,681		—		38,724		—
SBC/commercial loans		5,409		35,086
SBC loans						SBC loans	24,361		—		23,194		—
Total	Total	$	1,102,360	$	1,151,469	Total	$	976,351	$	30,963	$	1,119,372	$	—

Included on the Company’s consolidated balance sheets as of September 30, ~~2020~~2021 and December 31, ~~2019~~2020 are approximately ~~$1.1 billion~~$976.4 million and ~~$1.2~~$1.1 billion, respectively, of RPLs, NPLs, and ~~SBCs. RPLs, NPLs~~SBC loans that are held-for-investment and ~~SBCs are categorized at acquisition. The carrying value~~approximately $31.0 million and zero, respectively, of RPLs and NPLs reflects the original investment amount, plus accretion of interest income and credit and non-credit discount, less principal and interest cash flows received; while the carrying value of SBCs reflects the original investment amount, credit and non-credit discount, less principal cash flows received. The carrying values atthat are held-for-sale. At September 30, ~~2020 and December 31, 2019 for~~2021 the ~~Company's~~Company reclassified $31.0 million of Mortgage loans held-for-investment to the Mortgage loans held-for-sale line in ~~the table above are presented net of a cumulative allowance for loan credit losses of $15.2 million and $2.0 million, respectively, reflected in the appropriate lines in the table by~~its consolidated

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

2221

balance sheet. The Company intends to sell the loans to a joint venture trust held with a third party institutional accredited investor.

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 and credit and non-credit discount, less principal and interest cash flows received. The carrying values at September 30, 2021 and December 31, 2020 for the Company's loans in the table above are presented net of a cumulative allowance for expected credit losses of $13.9 million and $13.7 million, respectively, reflected in the appropriate lines in the table by loan type. For the three and nine months ended September 30, 2021, the Company recognized a $0.9 million and $9.1 million, respectively, of revenue during the three and nine month periods due to a net decrease in expected credit losses resulting from increases in the present value of the expected cash flows. For the three and nine months ended September 30, 2020, the Company recognized ~~a recovery of $2.7~~$3.0 million and ~~$2.1~~$2.9 million, respectively, of ~~provision for loan~~revenue, respectively due to a net decrease in expected credit ~~losses.~~losses resulting from increases in the present value of the expected cash flows. For the three and nine months ended September 30, ~~2019, the Company recognized a $3 thousand and $0.2 million, respectively, of provision for loan credit losses. For the three and nine month periods ended September 30, 2020,~~2021, the Company accreted ~~$21.2~~$16.6 million and ~~$61.1~~$58.1 million, respectively, net of the impact of changes in expected credit ~~impairments and recoveries, respectively,~~losses into interest income with respect to its RPL, NPL and SBC loans. For the three and nine ~~month periods~~months ended September 30, ~~2019,~~2020, the Company accreted ~~$23.2~~$21.2 million and ~~$73.6~~$61.1 million, respectively, net of the impact of net changes in expected credit ~~impairments, respectively,~~losses into interest income with respect to its RPL, NPL and SBC loans.

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

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

During the three and nine months ended September 30, 2021, the Company purchased 4 and 241 RPLs with UPB of $0.5 million and $41.7 million, respectively. Comparatively, during the three and nine months ended September 30, 2020 the Company purchased 244 and 270 RPLs with UPB of $46.3 million and $48.2 million, respectively. ~~Comparatively, during~~During the three and nine months ended September 30, ~~2019,~~2021, the Company ~~acquired 5~~purchased 364 and ~~539 RPLs~~367 NPLs with UPB of ~~$0.5~~$90.9 million and ~~$115.6~~$91.5 million, respectively. During the three and nine months ended September 30, 2020, 1 and 2 NPLs were purchased with UPB of $0.5 million and $0.7 million, respectively. ~~NaN NPLs were purchased~~The Company had no SBC acquisitions during the three ~~and~~months ended September 30, 2021; however, during the nine months ended September 30, ~~2019. During~~2021, the Company acquired 1 SBC loan with UPB of $3.6 million. Comparatively, during both the three and nine months ended September 30, 2020 ~~the Company originated~~ 2 SBC loans were acquired with UPB of $1.9 million. ~~Comparatively, during~~

During the three months ended September 30, 2021, the Company sold no mortgage loans. During the nine months ended September 30, ~~2019,~~2021, the Company ~~acquired 21 SBC~~re-securitized 760 loans from 2017-D with a carrying value of $129.2 million and UPB of ~~$18.4~~$133.8 million through a sponsored joint venture between the Company and ~~0 SBC loans were acquired during~~a third party accredited institutional investor. The Company retained various classes of securities from the ~~three months ended September 30, 2019.~~

joint venture. During the three months ended September 30, 2020 the Company sold 0no mortgage loans; however, during the nine months ended September 30, 2020, the Company sold 26 ~~commercial~~ loans ~~to Gaea, an affiliated entity~~ with a carrying value of $26.1 million and UPB of $26.2 million and a collateral value of $44.2 ~~million. Comparatively, during the three and nine months ended September 30, 2019 the Company sold 3 and 965 loans with~~million to Gaea, a ~~carrying value of $1.9 million and $178.8 million, respectively, and UPB of $2.0 million and $202.1 million, respectively, and collateral values of $3.6 million and $323.7 million, respectively.~~related party. See Note 10 — Related Party Transactions.

The Company adopted CECL using the prospective transition approach for PCD assets on January 1, 2020. At the time, $10.2 million of loan discount was reclassified to the allowance for expected credit losses with no net impact on the amortized cost basis of the portfolio. The Company views its mortgage loan portfolio based on loan performance, or legal ownership for loans held by certain consolidated trusts, and ~~uses~~used 5 and 6 pools at September 30, 2021 and December 31, 2020, respectively, to aggregate its portfolio of PCD loans, and 1 pool for its non-PCD ~~loans.~~loans as of both September 30, 2021 and December 31, 2020. Among the PCD loans, separate pools exist for loans that have been securitized in rated secured

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

borrowings during 2019, 2020 and ~~2020~~2021 ("Great Ajax II REIT"), and for loans that are consolidated under U.S. GAAP but where the Company did 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 ~~trusts~~trust 2018-C ~~and 2017-D,~~were reclassified into new pools based on their payment status as of the acquisition date of the non-controlling interest. Subsequent to the acquisition date, a significant portion of the loans ~~with collateral in California which are not included in~~from 2018-C were added to the Great Ajax II REIT ~~2018-C or~~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. During the second quarter of 2021, 760 loans from 2017-D were re-securitized into a new joint venture, leaving 22 loans in the trust. The remaining loans were reclassified into new pools based on their payment status as of the sale date. A significant portion of the remaining loans from 2017-D were added to the 7f7 and better pool, and the remaining loans ~~which are pooled between those which have made 7 of~~were added to the ~~most recent 7 payments ("7f7 and better") and those which have made between 4 and six of the most recent payments or worse ("~~4f4-6f6 and ~~below").~~below pool. As of September 30, 2021 the loans pooled under Ajax N Trust were designated as held-for-sale while these loans were designated as held-for-investment as of June 30, 2021. 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 September 30, 2021 and December 31, 2020 ($ in thousands):


	September 30, 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	$	—	$	762	$	180	$	697	$	329	$	1,749	$	47,403	$	357,311	$	131,165	$	539,596
California	—		—		1,265		632		370		—		4,019		44,297		12,351		62,934
7f7 and better	—		—		933		108		435		449		14,274		95,403		32,125		143,727
4f4-6f6 and below	—		109		2,802		2,203		209		366		25,373		118,411		49,171		198,644
Non-PCD	13,686		9,621		4,580		78		2,592		124		733		24		12		31,450
Total	$	13,686	$	10,492	$	9,760	$	3,718	$	3,935	$	2,688	$	91,802	$	615,446	$	224,824	$	976,351


	September 30, 2021
Mortgage loans held-for-sale, net	2021		2020		2019		2018		2017		2016		2009-2015		2006-2008		2005 and prior		Total
Ajax N Trust	$	—	$	—	$	332	$	—	$	—	$	—	$	4,602	$	16,545	$	9,484	$	30,963
Total	$	—	$	—	$	332	$	—	$	—	$	—	$	4,602	$	16,545	$	9,484	$	30,963


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

September 30, 2020
2020 2019 2018 2017 2016 2009-2015 2006-2008 2005 and prior Total
Great Ajax II REIT $ 0 $ 0 $ 258 $ 490 $ 2,001 $ 43,337 $ 291,294 $ 103,024 $ 440,404
2018-C 0 0 0 0 0 13,975 119,230 40,324 173,529
2017-D 0 0 0 123 0 6,795 95,147 33,596 135,661
California 2,244 1,221 590 620 0 4,031 57,726 17,752 84,184
7f7 and better 0 116 435 0 1,636 16,391 82,482 32,092 133,152
4f4-6f6 and below 854 103 25 132 447 14,795 81,105 30,772 128,233
Non-PCD 1,822 777 1,242 2,499 101 693 54 9 7,197
Total $ 4,920 $ 2,217 $ 2,550 $ 3,864 $ 4,185 $ 100,017 $ 727,038 $ 257,569 $ 1,102,360

The following table presents a reconciliation between the purchase price and par value for the Company's loan acquisitions and originations for the three and nine months ended September 30, 2021 and 2020 ($ in thousands):


											Three months ended September 30,								Nine months ended September 30,
		Three months ended September 30, 2020				Nine months ended September 30, 2020					2021				2020				2021				2020
		PCD Loans		Non PCD Loans		PCD Loans		Non PCD Loans			PCD Loans		Non-PCD Loans		PCD Loans		Non-PCD Loans		PCD Loans		Non-PCD Loans		PCD Loans		Non-PCD Loans
Par	Par	$	46,811	$	1,859	$	47,038	$	3,811	Par	$	91,392	$	—	$	46,811	$	1,859	$	133,245	$	3,611	$	47,038	$	3,811
Discount		(3,901)		(41)		(3,938)		(788)
Premium/(discount)										Premium/(discount)	2,582		—		(3,901)		(41)		(737)		(8)		(3,938)		(788)
Allowance	Allowance	(1,272)		0		(1,276)		0		Allowance	(5,962)		—		(1,272)		—		(7,689)		—		(1,276)		—
Purchase Price	Purchase Price	$	41,638	$	1,818	$	41,824	$	3,023	Purchase Price	$	88,012	$	—	$	41,638	$	1,818	$	124,819	$	3,603	$	41,824	$	3,023

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~~expected credit losses when there are changes in its expectation of future cash flows. An increase to the allowance for expected credit 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 an allowance for expected credit loss. A decrease in the allowance for expected credit losses is generally facilitated by reclassifying amounts to non-credit discount from the allowance and then recording the recovery. During the three months ended September 30, 2021 the Company recorded a ~~provision~~$1.2 million reclassification to non-credit discount from the allowance for ~~loss. Management assesses~~expected credit losses, and during the nine months ended September 30, 2021 the Company recorded a $2.6 million reclassification from non-credit discount to the allowance for expected credit ~~quality~~losses. This was followed by a $0.9 million and $9.1 million reduction of the ~~portfolio~~allowance for expected credit losses, respectively, due to increases in the net present value of expected cash flows. During the three and nine months ended September 30, 2021, the ~~adequacy of loan loss reserves on~~Company also recorded a ~~quarterly basis, or more frequently as necessary. During~~$6.0 million and $7.7 million increase, respectively, in the allowance for expected credit losses due to new acquisitions. Comparatively, during the three and nine months ended September 30, 2020 the Company recorded a ~~recovery of~~$2.1 million and $3.9 million reclassification, respectively, from non-credit discount to the ~~provision~~allowance for expected credit losses ~~of $2.7~~followed by a $3.0 million and ~~$2.1~~$2.9 million reduction of allowance for expected credit losses, respectively, ~~on its mortgage loan portfolio primarily as a result~~due to increases in the net present value of ~~improved~~expected cash ~~flow expectations despite the pandemic caused by COVID-19 that began during the first quarter of 2020.~~flows. During the three and nine months ended September 30, ~~2019,~~2020, the Company also recorded a ~~provision~~$1.3 million increase in the allowance for expected credit losses ~~of $3 thousand and $0.2 million, respectively, on its mortgage loan portfolio.~~due to new acquisitions. An analysis of the balance in the allowance for ~~loan~~expected credit losses account follows ($ in thousands):

Three months ended September 30, Nine months ended September 30,
2020 2019 2020 2019
Allowance for loan credit losses, beginning of period $ (14,450) $ (1,403) $ (1,960) $ (1,164)
Beginning period adjustment for CECL 0 0 (10,156) 0
Reversal of / (increase in) provision for credit losses on mortgage loans 2,705 (3) 2,108 (242)
Incremental increase in allowance for loan credit losses (2,137) 0 (3,870) 0
Increase in allowance for loan credit losses for loan acquisitions (1,272) 0 (1,276) 0
Allowance for loan credit losses, end of period $ (15,154) $ (1,406) $ (15,154) $ (1,406)


	Three months ended September 30,				Nine months ended September 30,
	2021		2020		2021		2020
Allowance for expected credit losses, beginning of period	$	(9,833)	$	(14,450)	$	(13,712)	$	(1,960)
Beginning period adjustment for CECL adoption	—		—		—		(10,156)
Reclassification to/(from) non-credit discount from/(to) the allowance for changes in payment expectations	1,175		(2,137)		(2,607)		(3,870)
Increase in allowance for expected credit losses for loan acquisitions	(5,962)		(1,272)		(7,689)		(1,276)
Credit loss expense on mortgage loans	(164)		(291)		(757)		(794)
Reversal of allowance for expected credit losses due to increases in the net present value of expected cash flows	908		2,996		9,148		2,902
Reversal of allowance upon reclass of pool 2017-D to mortgage loans held-for-sale, net	—		—		1,741		—
Allowance for expected credit losses, end of period	$	(13,876)	$	(15,154)	$	(13,876)	$	(15,154)

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

The following table sets forth the carrying value of the Company’s mortgage loans by delinquency status as of September 30, ~~2020~~2021 and December 31, ~~2019~~2020 ($ in thousands):


		September 30, 2020													September 30, 2021
		Current		30		60		90		Foreclosure		Total
Mortgage loans held-for-investment, net														Mortgage loans held-for-investment, net	Current		30		60		90		Foreclosure		Total
Great Ajax II REIT	Great Ajax II REIT	$	379,092	$	23,054	$	14,625	$	23,257	$	376	$	440,404	Great Ajax II REIT	$	474,914	$	22,649	$	11,594	$	28,018	$	2,421	$	539,596
2018-C		97,469		14,162		10,938		42,357		8,603		173,529
2017-D		82,982		11,816		8,203		30,446		2,214		135,661
California	California	45,910		7,451		6,901		20,861		3,061		84,184		California	28,456		4,880		5,270		17,436		6,892		62,934
7f7 and better	7f7 and better	81,015		14,515		9,029		28,593		0		133,152		7f7 and better	68,210		21,403		15,374		38,299		441		143,727
4f4- 6f6 and below		23,926		12,184		10,659		49,563		31,901		128,233
4f4-6f6 and below														4f4-6f6 and below	24,164		4,271		5,331		113,691		51,187		198,644
Non-PCD	Non-PCD	5,102		129		51		1,915		0		7,197		Non-PCD	30,707		—		12		84		647		31,450
Total	Total	$	715,496	$	83,311	$	60,406	$	196,992	$	46,155	$	1,102,360	Total	$	626,451	$	53,203	$	37,581	$	197,528	$	61,588	$	976,351

December 31, 2019
Current 30 60 90 Foreclosure Total
Great Ajax II REIT $ 265,677 $ 37,553 $ 14,034 $ 4,597 $ 0 $ 321,861
2018-C 75,253 33,904 19,756 42,315 8,074 179,302
2017-D 68,996 28,318 14,452 33,166 3,188 148,120
California 90,658 12,733 9,123 20,737 1,173 134,424
7f7 and better 147,722 29,371 22,645 28,864 1,829 230,431
4f4- 6f6 and below 6,412 4,329 12,946 66,177 24,033 113,897
Non-PCD 21,425 0 850 1,159 0 23,434
Total $ 676,143 $ 146,208 $ 93,806 $ 197,015 $ 38,297 $ 1,151,469


	September 30, 2021
Mortgage loans held-for-sale, net	Current		30		60		90		Foreclosure		Total
Ajax N Trust	$	16,940	$	1,899	$	1,338	$	9,108	$	1,678	$	30,963
Total	$	16,940	$	1,899	$	1,338	$	9,108	$	1,678	$	30,963


	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

AsThe Company's REO property consists of ~~September 30, 2020, the Company owned 6~~property held-for-sale and rental ~~properties with an aggregate carrying value of $0.7 million held for investment as rentals, at which time 5 properties were rented. NaN~~property. REO property was acquired as an RPL but transitioned to foreclosure prior to boarding by the Servicer, 1 was acquired through foreclosure and 3 were transferred from Property held-for-sale, where all 3 were acquired through foreclosures. The remaining rental property was directly purchased. As of December 31, 2019, the Company owned 10 rental properties with a carrying value of $1.5 million held for use as rentals, at which time 6 were rented. NaN properties were acquired as RPLs but transitioned to foreclosure prior to boarding by the Servicer, 1 was acquired through foreclosures, and 6 were transferred from Property held-for-sale, where all 6 were acquired through foreclosures. The remaining rental property was directly purchased.

~~Property Held-for-Sale~~

~~The Company classifies REO as~~is considered held-for-sale if the REO is expected to be actively marketed for sale. As of September 30, ~~2020~~2021 and December 31, ~~2019,~~2020, the Company’s net investments in ~~REO held-for-sale~~real estate owned properties were ~~$6.5~~$6.1 million and ~~$13.5~~$8.5 million, respectively, which ~~include~~included balances relating to properties held-for-sale of ~~$0.3~~$6.1 million and ~~$2.2~~$7.8 million, respectively, and rental properties of zero and $0.7 million, respectively. Also, included in the properties held-for-sale balance for the periods as of September 30, 2021 and December 31, 2020, was $0.4 million and $0.3 million, respectively, for properties undergoing renovation or which are otherwise in the process of being brought to market. As of September 30, 2021 and December 31, 2020, the Company had a total of 31 and 38 real estate owned properties, respectively, which included 31 and 32 held-for-sale properties, respectively, and zero and 6 rental properties, respectively. For the nine months ended September 30, ~~2020~~2021 and ~~2019,~~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 accompanying notes are an integral part of the consolidated interim financial statements.

The following table presents the activity in the Company’s carrying value of property held-for-sale and rental property for the three and nine months ended September 30, ~~2020~~2021 and ~~2019~~2020 ($ in thousands):


		Three months ended September 30,						Nine months ended September 30,							Three months ended September 30,						Nine months ended September 30,
		2020			2019			2020			2019				2021			2020			2021			2020
Property Held-for-sale		Count	Amount		Count	Amount		Count	Amount		Count	Amount
Property Held-for-Sale and Rental Property														Property Held-for-Sale and Rental Property	Count	Amount		Count	Amount		Count	Amount		Count	Amount
Balance at beginning of period	Balance at beginning of period	33	$	6,879	97	$	21,335	58	$	13,537	102	$	19,402	Balance at beginning of period	25	$	4,768	42	$	8,233	38	$	8,526	68	$	15,071
Transfers from mortgage loans		5	603		7	849		12	1,515		52	10,675
Net transfers from mortgage loans														Net transfers from mortgage loans	10	1,739		5	603		17	3,013		12	1,515
Adjustments to record at lower of cost or fair value	Adjustments to record at lower of cost or fair value	0	(156)		0	(690)		0	(1,156)		0	(1,691)		Adjustments to record at lower of cost or fair value	—	78		—	(156)		—	(170)		—	(1,156)
Depreciation on rental properties														Depreciation on rental properties	—	(1)		—	(7)		—	(7)		—	(23)
Disposals	Disposals	(7)	(1,416)		(30)	(5,055)		(40)	(8,143)		(84)	(12,941)		Disposals	(4)	(487)		(7)	(1,416)		(24)	(5,265)		(40)	(8,143)
Transfers from Rental property		3	574		1	196		4	755		6	1,613
Transfers to Rental property		0	0		0	0		0	0		(1)	(293)
Other	Other	0	0		0	(94)		0	(24)		0	(224)		Other	—	—		—	(49)		—	—		—	(56)
Balance at end of period	Balance at end of period	34	$	6,484	75	$	16,541	34	$	6,484	75	$	16,541	Balance at end of period	31	$	6,097	40	$	7,208	31	$	6,097	40	$	7,208

Dispositions

During the three and nine months ended September 30, 2021, the Company sold 4 and 24 REO properties, respectively, realizing net gains of approximately $0.4 million and $0.6 million, respectively. Comparatively, for the three and nine months ended September 30, 2020, the Company sold 7 and 40 REO properties, respectively, realizing net gains of approximately $0.2 million and $1.0 ~~million, respectively. Comparatively, for the three and nine months ended September 30, 2019, the Company sold 30 and 84 REO properties, realizing net gains of approximately $0.3 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 and nine months ended September 30, ~~2020~~2021 of ~~$0.2~~$0.1 million and ~~$1.2~~$0.2 million, respectively. Comparatively, for the three and nine months ended September 30, ~~2019,~~2020, the Company recorded lower of cost or net realizable value adjustments of ~~$0.7~~$0.2 million and ~~$1.7~~$1.2 million, respectively.

Note 5 — Investments

The Company holds investments in various debt securities and beneficial interests which are the net residual interest of the Company’s investments in securitization trusts holding pools of mortgage loans. The Company's debt securities and beneficial interests are issued by securitization trusts, which are VIEs, that the Company 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 ~~outbreak,~~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 September 30, 2020
Basis(1)
Gross unrealized gains Gross unrealized losses Carrying value (fair value)
Debt securities $ 284,254 $ 1,999 $ (1,598) $ 284,655
Beneficial interests in securitization trusts 86,241 0 0 86,241
Total investments $ 370,495 $ 1,999 $ (1,598) $ 370,896


	As of September 30, 2021
	Basis(1)		Gross unrealized gains		Gross unrealized losses		Carrying value
Debt securities	$	336,664	$	3,621	$	(203)	$	340,082
Beneficial interests in securitization trusts	139,494		—		—		139,494
Total investments	$	476,158	$	3,621	$	(203)	$	479,576

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

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

As of December 31, 2019
Basis(1)
Gross unrealized gains Gross unrealized losses Carrying value (fair value)
Debt securities $ 230,408 $ 1,643 $ (366) $ 231,685
Beneficial interests in securitization trusts 57,954 0 0 57,954
Total investments $ 288,362 $ 1,643 $ (366) $ 289,639


	As of December 31, 2020
	Basis(1)		Gross unrealized gains		Gross unrealized losses		Carrying 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 ~~discount,~~costs, principal ~~paydown~~paydowns and interest receivable on securities of ~~$0.3~~$0.2 million.

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

As of September 30, 2020
Basis(1)
Gross unrealized losses Carrying value (fair value)
Debt securities due February 2057(2)
$ 5,405 $ (6) $ 5,399
Debt securities due October 2058(3)
11,039 (109) 10,930
Debt securities due September 2059(3)
23,263 (534) 22,729
Debt securities due November 2059(3)
16,169 (331) 15,838
Debt securities due December 2059(3)
48,336 (618) 47,718
Total $ 104,212 $ (1,598) $ 102,614


	As of September 30, 2021
	Step-up date(1)	Basis(2)		Gross unrealized losses		Carrying value
Debt securities due September 2059(3)	April 2023	$	9,159	$	(203)	$	8,956
Total		$	9,159	$	(203)	$	8,956

(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.

~~(2)~~(3)~~These securities have~~This security has been in an unrealized loss position for 12 months or longer.

~~(3)This security has been in an unrealized loss position for less than 12 months.~~


		As of December 31, 2019							As of December 31, 2020
		Basis(1)		Gross unrealized losses		Carrying value (fair value)			Step-up date(1)	Basis(2)		Gross unrealized losses		Carrying value
Debt securities due April 2058(2)		$	6,855	$	(9)	$	6,846
Debt securities due February 2057(2)		7,324		(1)		7,323
Debt securities due September 2059(3)	Debt securities due September 2059(3)	37,843		(356)		37,487		Debt securities due September 2059(3)	February 2023/April 2023	$	22,216	$	(238)	$	21,978
Debt securities due November 2059(4)								Debt securities due November 2059(4)	April 2023	14,738		(61)		14,677
Debt securities due December 2059(4)								Debt securities due December 2059(4)	July 2023	47,270		(315)		46,955
Debt securities due September 2060(4)								Debt securities due September 2060(4)	March 2024	34,970		(44)		34,926
Debt securities due June 2060(4)								Debt securities due June 2060(4)	March 2024	35,127		(119)		35,008
Total	Total	$	52,022	$	(366)	$	51,656	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.

~~(2)~~(3)~~These~~This line is comprised of two securities ~~have~~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.~~longer and has a step-up date in February 2023.

~~(3)~~(4)This security has been in an unrealized loss position for less than 12 months.

As of September 30, ~~2020,~~2021, the Company recorded ~~$2.0~~$3.6 million of gross unrealized gains and a gross unrealized loss of ~~$1.6~~$0.2 million in fair valuation adjustments in accumulated other comprehensive income on the consolidated balance sheet aton investments with a fair value of ~~$284.7~~$340.1 million, which includes $0.2 million in interest receivable. As of December 31, ~~2019,~~2020, the Company recorded a$1.2 million of gross unrealized ~~gain of $1.6 million~~gains and a gross unrealized loss of ~~$0.4~~$0.8 million in fair valuation adjustments in accumulated other comprehensive income on the ~~Company's~~ consolidated balance sheet aton investments with a fair value of ~~$231.7~~$273.8 million, which includes ~~$0.3~~$0.2 million in interest receivable.

During the three and nine months ended September 30, 2021, the Company acquired $54.7 million and $287.6 million, respectively, in aggregate of debt securities and beneficial interests issued by joint ventures between the Company and third party institutional accredited investors. The joint ventures issued senior notes and beneficial interests. In certain transactions, the joint ventures also issued subordinated notes. Of the $54.7 million and $287.6 million, respectively, the Company acquired $43.2 million and $213.1 million, respectively, in senior notes, $8.3 million and $31.8 million, respectively, of subordinate notes and $3.2 million and $42.7 million, respectively, in beneficial interests issued by joint ventures. Comparatively, during the three and nine months ended September 30, 2020, the Company acquired $83.4 million and $144.7 million, respectively, in aggregate of 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 $83.4 million and $144.7 million, respectively, of debt securities acquired in the three and nine months ended September 30, 2020, respectively, the Company acquired $66.0 million and $115.6 million, respectively, in ~~senior notes and $5.2 million and $9.8 million,~~

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

senior notes, $5.2 million and $9.8 million, respectively, in subordinate notes. The debt securities are carried at fair value. Comparatively for the three and nine months ended September 30, 2019, the Company acquired $43.4 million and $127.6 million, respectively, in debt securities and beneficial interests issued by joint ventures between the Company and third party institutional accredited investors. Of the $43.4 million and $127.6 million, respectively, for three and nine months ended September 30, 2019, the Company retained $36.1 million and $93.6 million, respectively, in senior notes and $3.3 million and $12.6 million in subordinate notes. During the three and nine months ended September 30, 2020, the Company sold senior notes issued by certain joint ventures for total proceeds of $38.9 million and recognized a gain of $0.1 million. During three months ended September 30, 2019, the Company did 0t sell any senior notes. During the nine months ended September 30, 2019, the Company sold senior notes issued by certain joint ventures for total proceeds of $39.6 million and recognized a gain of $8 thousand, net of transaction fees.

~~During the three and nine months ended September 30, 2020, the Company also acquired~~ $12.2 million and $19.3 million, respectively, in beneficial interests issued by joint ventures. ~~Comparatively, for the three and nine months ended September 30, 2019, the Company acquired $4.0 million and $21.4 million, respectively, in beneficial interests issued by joint ventures.~~ As of September 30, ~~2020,~~2021, the investments in debt securities and beneficial interests were carried on the Company's consolidated balance sheet at ~~$86.2 million.~~$340.1 million and $139.5 million, respectively. At December 31, ~~2019,~~2020, the investments in debt securities and beneficial interests were carried on the Company's consolidated balance sheet at ~~$58.0 million.~~$273.8 million and $91.4 million, respectively. As of September 30, ~~2020~~2021 and December 31, ~~2019,~~2020, the Company had 0no 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 and nine months ended September 30, 2021 and 2020 ($ in thousands):


		Three months ended September 30, 2020		Nine months ended September 30, 2020			Three months ended September 30,				Nine months ended September 30,
		Beneficial Interest		Beneficial Interest			2021		2020		2021		2020
Par	Par	$	15,349	$	27,319	Par	$	5,177	$	15,349	$	51,662	$	27,319
Discount	Discount	(2,899)		(7,787)		Discount	(1,346)		(2,899)		(6,771)		(5,234)
Allowance	Allowance	(225)		(2,779)		Allowance	(618)		(225)		(2,211)		(2,778)
Purchase Price(1)	Purchase Price(1)	$	12,225	$	16,753	Purchase Price(1)	$	3,213	$	12,225	$	42,680	$	19,307

(1)During the quarter ended September 30, 2021, the Company acquired Class XS, an interest only class, in Ajax Mortgage Loan Trust 2021-E. Class XS is entitled to receive the spread between the interest income on the underlying mortgage loans and the interest expense on the bonds outstanding. Because Class XS has no stated principal balance, the sum of the contractual cash flows is presented as par.

The Company adopted CECL using the prospective transition approach for PCD assets for its beneficial interests on January 1, 2020, at the time ~~$4.2~~$1.7 million was reclassified from discount to allowance for expected credit losses for its Investments in beneficial interests. Under CECL, the Company ~~adjusts its allowance for loan losses when there are changes~~generally recognizes increases and decreases in ~~its expectation~~the net present value of ~~future~~expected cash ~~flows.~~flows in earnings in the period they occur. An expense will be recorded to increase to the allowance for expected credit losses ~~will occur~~ when there is a reduction in the Company’s expected future cash ~~flows. A reduction~~flows compared to ~~the allowance, or recovery, may occur~~contractual amounts due. Income will be recognized if there is an increase in expected future cash flows ~~that were previously subject~~ to the extent an allowance has been recorded against the beneficial interest. If there is no allowance for expected credit losses recorded against a ~~provision~~beneficial interest, any increase in expected cash flows is recognized prospectively as a change in yield. A decrease in the allowance for ~~losses.~~expected credit losses is generally facilitated by reclassifying amounts to non-credit discount from the allowance and then recording the reduction to the allowance. Management assesses the credit quality of the portfolio and the adequacy of loss reserves on a quarterly basis, or more frequently as necessary. During the three and nine months ended September 30, ~~2020,~~2021, the Company recorded ~~a reversal~~reversals of the ~~provision~~allowance for expected credit losses for beneficial interests of ~~$1.3~~$2.8 million and ~~$1.1~~$4.8 million, ~~respectively on its beneficial interest portfolio, primarily as a result of increased cash flow expectations despite the pandemic caused by COVID-19 that began during the first quarter of 2020.~~respectively. During the three and nine months ended September 30, ~~2019,~~2020, the Company recorded ~~0 impairment on its~~reversals of the allowance for expected credit losses for beneficial ~~interests.~~interests of $1.4 million and $1.7 million, respectively. An analysis of the balance in the allowance for expected credit losses for beneficial ~~interest losses~~interests account follows ($ in thousands):

Three months ended September 30, Nine months ended September 30,
2020 2019 2020 2019
Allowance for beneficial interests credit losses, beginning balance $ (6,959) $ 0 $ 0 $ 0
Beginning period adjustment for CECL 0 0 (4,221) 0
Reversal of provision for credit losses on beneficial interests 1,302 0 1,118 0
Increase in allowance for beneficial interest credit losses for acquisitions (225) 0 (2,779) 0
Allowance for beneficial interests credit losses, end balance $ (5,882) $ 0 $ (5,882) $ 0


	Three months ended September 30,				Nine months ended September 30,
	2021		2020		2021		2020
Allowance for expected credit losses, beginning balance	$	(2,959)	$	(6,959)	$	(4,453)	$	—
Beginning period adjustment for CECL adoption	—		—		—		(1,668)
Reclassification to/(from) non-credit discount from/(to) the allowance for changes in payment expectations	274		—		1,709		(2,553)
Increase in allowance for expected credit losses for acquisitions	(618)		(225)		(2,211)		(2,778)
Credit loss expense on beneficial interests	(85)		(141)		(440)		(570)
Reversal of allowance for expected credit losses due to increases in the net present value of expected cash flows	2,770		1,443		4,777		1,687
Allowance for expected credit losses, ending balance	$	(618)	$	(5,882)	$	(618)	$	(5,882)

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

Note 6 — Fair Value

~~The following tables set forth the fair value of~~Recurring financial assets and liabilities measured and carried at fair value by level within the fair value hierarchy as of September 30, ~~2020~~2021 and December 31, ~~2019~~2020 ($ in thousands):

Level 1 Level 2 Level 3
September 30, 2020 Carrying value Quoted prices in active markets Observable inputs other than Level 1 prices Unobservable inputs
Financial assets
Recurring financial assets
Investments in debt securities at fair value $ 284,655 $ 0 $ 284,655 $ 0
Investments in beneficial interests(1)
$ 86,241 $ 0 $ 0 $ 86,241
Non-recurring financial assets
Mortgage loans, net $ 1,102,360 $ 0 $ 0 $ 1,203,720
Investment in Manager $ 1,228 $ 0 $ 0 $ 11,196
Investment in AS Ajax E LLC $ 823 $ 0 $ 970 $ 0
Investment in AS Ajax E II LLC $ 3,543 $ 0 $ 3,643 $ 0
Investment in GAFS, including warrants $ 2,703 $ 0 $ 0 $ 3,320
Investment in Gaea $ 19,987 $ 0 $ 0 $ 19,987
Investment in legacy entities $ 446 $ 0 $ 0 $ 446
Financial liabilities
Recurring financial liabilities
Warrant liability $ 12,488 $ 0 $ 0 $ 12,488
Borrowings under repurchase transactions $ 415,419 $ 0 $ 415,419 $ 0
Non-recurring financial liabilities
Secured borrowings, net $ 614,214 $ 0 $ 613,099 $ 0
Convertible senior notes, net $ 109,710 $ 108,045 $ 0 $ 0


			Level 1		Level 2		Level 3
September 30, 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	$	340,082	$	—	$	340,082	$	—
Recurring financial liabilities
Put option liability	$	20,843	$	—	$	—	$	20,843


			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 September 30, 2021 and December 31, 2020 ($ in thousands):

~~(1)~~


			Level 1		Level 2		Level 3
September 30, 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	$	976,351	$	—	$	—	$	1,059,040
Mortgage loans held-for-sale, net	$	30,963	$	—	$	—	$	33,429
Investment in beneficial interests	$	139,494	$	—	$	—	$	139,494
Investment in Manager	$	1,569	$	—	$	—	$	12,379
Investment in AS Ajax E LLC	$	611	$	—	$	761	$	—
Investment in AS Ajax E II LLC	$	2,755	$	—	$	2,958	$	—
Investment in GAFS, including warrants	$	2,619	$	—	$	—	$	3,320
Investment in Gaea	$	19,670	$	—	$	—	$	20,287
Investment in Loan pool LLCs	$	240	$	—	$	—	$	672
Financial liabilities
Secured borrowings, net	$	612,592	$	—	$	624,743	$	—
Borrowings under repurchase transactions	$	399,340	$	—	$	399,340	$	—
Convertible senior notes, net	$	103,754	$	111,227	$	—	$	—

~~Includes acquisition cost of $104.7 million.~~

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

Level 1 Level 2 Level 3
December 31, 2019 Carrying value Quoted prices in active markets Observable inputs other than Level 1 prices Unobservable inputs
Financial assets
Recurring financial assets
Investments in debt securities at fair value $ 231,685 $ 0 $ 231,685 $ 0
Investments in beneficial interests(1)
$ 57,954 $ 0 $ 57,954 $ 0
Non-recurring financial assets
Mortgage loans, net $ 1,151,469 $ 0 $ 0 $ 1,260,385
Investment in Manager $ 1,755 $ 0 $ 0 $ 7,721
Investment in AS Ajax E LLC $ 931 $ 0 $ 1,012 $ 0
Investment in AS Ajax E II LLC $ 3,977 $ 0 $ 3,895 $ 0
Investment in GAFS, including warrants $ 3,023 $ 0 $ 0 $ 3,320
Investment in Gaea $ 19,995 $ 0 $ 0 $ 19,995
Investment in legacy entities $ 760 $ 0 $ 0 $ 760
Financial liabilities
Recurring financial liabilities
Borrowings under repurchase transactions $ 414,114 $ 0 $ 414,114 $ 0
Non-recurring financial liabilities
Secured borrowings, net $ 652,747 $ 0 $ 0 $ 657,918
Convertible senior notes, net $ 118,784 $ 132,173 $ 0 $ 0

~~(1)Includes acquisition cost of $58.0 million.~~


			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~~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's investments in beneficial interests are trust certificates representing the residual investment in securitization trusts the Company forms with joint venture partners. The trust certificates represent the residual investment in the trust. 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. During the quarter ended September 30, 2020, the Company transferred its beneficial interests from level 2 to level 3 due to the Company's increased reliance on its Manager’s pricing model for these valuations. See Note 5 — ~~Investments.~~

The Company's ~~investment~~ownership interest in the Manager is valued by applying an earnings multiple to ~~net income.~~base fee revenue.

The Company’s ~~investment~~ownership interests in AS Ajax E LLC isand AS Ajax E II LLC are valued using estimates provided by financing ~~counterparties.~~counterparties or other publicly available information.

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

The fair value of the Company's ~~investments~~ownership interest in Gaea ~~and the legacy entities are presented as the carrying~~is estimated using a projected net operating income for its property portfolio.

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

The fair value of secured borrowings is estimated using 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, and which drive~~debt. The Company is able to call the ~~cash flows used to make interest payments. During the quarter ended June 30, 2020, the Company transferred~~bonds issued in its secured borrowings ~~from level 3 to level 2 due~~at par value plus accrued interest pursuant to the terms of the offering document. The Company carries its secured borrowings net of deferred issuance cost. Accordingly, the difference between fair value and carrying value is largely driven by the deferred issuance costs.

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

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

~~increased reliance on the use of estimates provided by its financing counterparties in the determination of secured borrowings fair values.~~

~~The Company's warrant liability is adjusted to approximate market value through earnings.~~ Fair value is determined by using the ~~greater~~discounted cash flow method using a rate to accrete the initial basis of $9.5 million to the future put obligation of $50.7 million over the 39-month term of the ~~expected call or~~ put ~~prices based on~~option liability. The fair value of the ~~call price,~~Company's put option liability is measured quarterly with adjustments posted to the ~~carry cost discount and the interest discount.~~Company's consolidated statements of income.

The Company’s borrowings under repurchase agreements are short-term in nature, and the ~~Company’s management~~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; the debt’s fair value is determined from the NYSE closing price on the balance sheet date. The Convertible debt may be redeemable at par plus accrued interest beginning on April 30, 2022 subject to satisfying the conversion price trigger. The Company carries its Convertible debt net of deferred issuance cost. Accordingly, the difference between fair value and carrying value is partially driven by the deferred issuance costs.

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)~~("cost") or net realizable value. Net realizable value is determined based on appraisals, ~~broker price opinions,~~BPOs, 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~~it's carrying value. The following tables set forth the fair value of non-financial assets by level within the fair value hierarchy as of September 30, ~~2020~~2021 and December 31, ~~2019~~2020 ($ in thousands):


						Level 1		Level 2		Level 3							Level 1		Level 2		Level 3
September 30, 2020		Carrying value		Nine 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
September 30, 2021												September 30, 2021	Carrying value		Nine 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	Non-financial assets											Non-financial assets
Property held-for-sale	Property held-for-sale	$	6,484	$	(1,156)	$	0	$	0	$	6,484	Property held-for-sale	$	6,097	$	(170)	$	—	$	—	$	6,097

Level 1 Level 2 Level 3
December 31, 2019 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 $ 13,537 $ (2,104) $ 0 $ 0 $ 13,537


					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

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 September 30, ~~2020~~2021 the Company owned approximately ~~23.0%~~22.8% of Gaea with third party investors owning the remaining approximately ~~77.0%~~77.2%. The Company accounts for its ~~investment~~ownership interest in Gaea using the equity method.

During the year ended December 31, 2019, the Company acquired a cumulative 40.4% average ownership interest in 3 ~~legacy entity~~loan pool LLCs managed by the Servicer for $1.0 million, which hold investments in RPLs and NPLs. The Company accounts for its ~~investment~~ownership interest using the equity method.

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

During 2018, the Company acquired an 8.0% ownership interest in GAFS. The acquisition was completed in 2 transactions. On January 26, 2018, the Company in an initial closing acquired a 4.9% interest in GAFS and 3 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 3 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~~ownership interest 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 LLC was reduced to a lower percentage of the total. As of September 30, ~~2020~~2021 and December 31, ~~2019,~~2020, the Company’s ownership interest in AS Ajax E LLC was approximately 16.5%. The Company accounts for its ~~investment~~ownership interest 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~~ownership interest 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 September 30,				Nine months ended September 30,					Three months ended September 30,				Nine months ended September 30,
Net income/(loss) at 100%	Net income/(loss) at 100%	2020		2019		2020		2019		Net income/(loss) at 100%	2021		2020		2021		2020
Thetis Asset Management LLC	Thetis Asset Management LLC	$	378	$	2,261	$	(1,837)	$	4,660	Thetis Asset Management LLC	$	665	$	378	$	2,945	$	(1,837)
AS Ajax E LLC										AS Ajax E LLC	$	66	$	52	$	162	$	151
Loan pool LLCs										Loan pool LLCs	$	(41)	$	(114)	$	(92)	$	27
Gaea Real Estate Corp.	Gaea Real Estate Corp.	$	60	$	0	$	320	$	0	Gaea Real Estate Corp.	$	(123)	$	60	$	136	$	320
AS Ajax E LLC		$	52	$	61	$	151	$	214
Legacy Entities		$	(114)	$	0	$	27	$	0
Great Ajax FS LLC	Great Ajax FS LLC	$	(1,454)	$	886	$	(4,004)	$	2,489	Great Ajax FS LLC	$	(460)	$	(1,454)	$	(1,148)	$	(4,004)

September 30, 2020 December 31, 2019
Assets and Liabilities at 100% Assets Liabilities Assets Liabilities
Thetis Asset Management LLC $ 9,921 $ 2,864 $ 12,277 $ 2,265
Gaea Real Estate Corp. $ 83,485 $ 845 $ 83,068 $ 768
AS Ajax E LLC $ 5,095 $ 2 $ 5,747 $ 2
Legacy Entities $ 2,564 $ 3,941 $ 1,592 $ 3,095
Great Ajax FS LLC $ 55,784 $ 35,463 $ 61,432 $ 37,142

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


		Three months ended September 30,				Nine months ended September 30,					September 30, 2021				December 31, 2020
Net income/(loss) at the Company's share		2020		2019		2020		2019
Assets and Liabilities at 100%										Assets and Liabilities at 100%	Assets		Liabilities		Assets		Liabilities
Thetis Asset Management LLC	Thetis Asset Management LLC	$	75	$	448	$	(364)	$	923	Thetis Asset Management LLC	$	10,524	$	2,378	$	9,531	$	2,122
AS Ajax E LLC										AS Ajax E LLC	$	3,797	$	2	$	4,808	$	2
Loan pool LLCs										Loan pool LLCs	$	2,234	$	4,018	$	2,423	$	3,961
Gaea Real Estate Corp.	Gaea Real Estate Corp.	$	14	$	0	$	74	$	0	Gaea Real Estate Corp.	$	92,877	$	11,270	$	94,639	$	11,886
AS Ajax E LLC		$	9	$	10	$	25	$	36
Legacy Entities		$	(46)	$	0	$	10	$	0
Great Ajax FS LLC	Great Ajax FS LLC	$	(116)	$	71	$	(320)	$	200	Great Ajax FS LLC	$	54,529	$	35,251	$	56,532	$	36,101

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

September 30, 2020 December 31, 2019
Assets and Liabilities at the Company's share Assets Liabilities Assets Liabilities
Thetis Asset Management LLC $ 1,964 $ 567 $ 2,431 $ 448
Gaea Real Estate Corp. $ 19,186 $ 194 $ 19,252 $ 178
AS Ajax E LLC $ 841 $ 0 $ 948 $ 0
Legacy Entities $ 1,029 $ 1,587 $ 637 $ 1,247
Great Ajax FS LLC $ 4,463 $ 2,837 $ 4,915 $ 2,971
Net income/(loss), assets and liabilities of unconsolidated affiliates at the Company's share


	Three months ended September 30,				Nine months ended September 30,
Net income/(loss) at the Company's share	2021		2020		2021		2020
Thetis Asset Management LLC	$	132	$	75	$	583	$	(364)
AS Ajax E LLC	$	11	$	9	$	27	$	25
Loan pool LLCs	$	(16)	$	(46)	$	(37)	$	10
Gaea Real Estate Corp.	$	(28)	$	14	$	32	$	74
Great Ajax FS LLC	$	(37)	$	(116)	$	(92)	$	(320)


	September 30, 2021				December 31, 2020
Assets and Liabilities at the Company's share	Assets		Liabilities		Assets		Liabilities
Thetis Asset Management LLC	$	2,084	$	471	$	1,887	$	420
AS Ajax E LLC	$	625	$	—	$	791	$	—
Loan pool LLCs	$	897	$	1,619	$	973	$	1,595
Gaea Real Estate Corp.	$	21,195	$	2,572	$	21,729	$	2,729
Great Ajax FS LLC	$	4,362	$	2,820	$	4,523	$	2,888

Consolidated Affiliates

The Company consolidates the results and balances of certain securitization trusts ~~that~~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 ~~the~~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 September 30, ~~2020,~~2021, AS Ajax E II LLC was 53.1% owned by the Company, with the remainder held by third parties. 2017-D ~~and 2018-C are~~is a securitization ~~trusts~~trust formed to hold mortgage loans, REO property and secured ~~debt. As~~borrowings. During the second quarter of 2021, the majority of loans held by 2017-D was re-securitized into 2021-C, a related party joint venture with third party institutional investors. At September 30, ~~2020, 2017-D was 50.0% owned by a third-party institutional accredited investor. As of September 30, 2020, 2018-C was 63.0% owned by~~2021, the Company ~~with~~held a 50.0% ownership in the ~~remainder~~remaining loans held by ~~third-party institutional accredited investors.~~2017-D. Great Ajax II REIT ~~holds an interest in~~owns Great Ajax II Depositor LLC which ~~was formed to act~~acts as the depositor of mortgage loans into securitization trusts and ~~to hold~~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% ~~and 99.8%, respectively,~~ owned by the Company as of September 30, ~~2020~~2021 and December 31, ~~2019.~~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 September 30, 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 September 30, ~~2020,~~2021, the Company had commitments to purchase, subject to due diligence, ~~130~~161 RPLs and NPLs secured by single-family residences ~~and 1 SBC loan secured by real property,~~ with aggregated ~~UPBs~~UPB of ~~$35.4 million and $0.9 million, respectively.~~$49.0 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

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

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 September 30, ~~2020~~2021 for the present value of the put liability of ~~$12.5~~$20.8 million. The Company is accreting the amount of the liability under the effective interest method to its expected future put value of $50.7 million and marks the obligation to market through earnings. The expense is recognized in the ~~other expense~~Fair value adjustment on put option liability line of the Company's consolidated statements of income. The following table sets forth the details of the Company's put option liability ($ in thousands):


	Three months ended September 30,				Nine months ended September 30,
	2021		2020		2021		2020
Beginning balance	$	18,350	$	10,722	$	14,205	$	—
Initial recognition of put option liability	—		—		—		9,472
Fair value adjustments during the period	2,493		1,766		6,638		3,016
Ending balance	$	20,843	$	12,488	$	20,843	$	12,488

The full extent of the impact of the COVID-19 pandemic on the global economy generally, and the Company's business in particular, iscontinues to be uncertain. As of September 30, ~~2020, 0~~2021, no contingencies have been recorded on the Company's consolidated balance sheet as a result of the COVID-19 pandemic, 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.

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

Litigation, Claims and Assessments

From time to time, the Company may be involved in various claims and legal actions arising in the ordinary course of business. As of September 30, ~~2020,~~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 2 repurchase facilities whereby the Company, through 2 wholly owned Delaware trusts (the “Trusts”) acquires pools of mortgage loans which are then sold by the Trusts, as “Seller” to 2 separate counterparties, the “buyer” or “buyers.” One facility has a ceiling of ~~$250.0~~$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 45 repurchase facilities substantially similar to the mortgage loan repurchase facilities, but where the pledged assets are ~~the class B bonds and certificates~~securities retained from the Company's ~~secured borrowing~~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.~~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

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

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):

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

September 30, 2020
Maturity Date Origination date Maximum
Borrowing
Capacity Amount
Outstanding Amount of
Collateral Percentage of Collateral Coverage Interest Rate
October 9, 2020 September 11, 2020 $ 35,718 $ 35,718 $ 47,661 133 % 2.65 %
October 13, 2020 July 13, 2020 30,754 30,754 44,160 144 % 2.97 %
October 20, 2020 July 24, 2020 13,857 13,857 17,813 129 % 2.97 %
October 30, 2020 July 31, 2020 7,762 7,762 9,702 125 % 2.26 %
October 30, 2020 July 31, 2020 6,795 6,795 9,537 140 % 2.26 %
November 13, 2020 August 13, 2020 2,735 2,735 4,428 162 % 2.50 %
December 1, 2020 September 1, 2020 13,533 13,533 17,720 131 % 2.34 %
December 1, 2020 September 1, 2020 13,056 13,056 17,017 130 % 2.34 %
December 1, 2020 September 1, 2020 5,474 5,474 7,215 132 % 2.34 %
December 1, 2020 September 1, 2020 4,068 4,068 5,307 130 % 2.34 %
December 1, 2020 September 1, 2020 2,934 2,934 3,866 132 % 2.34 %
December 1, 2020 September 1, 2020 2,332 2,332 3,360 144 % 2.49 %
December 1, 2020 September 1, 2020 1,132 1,132 1,607 142 % 2.49 %
December 17, 2020 September 17, 2020 11,351 11,351 14,619 129 % 2.35 %
December 17, 2020 September 17, 2020 8,878 8,878 11,678 132 % 2.35 %
December 17, 2020 September 17, 2020 4,110 4,110 5,405 132 % 2.35 %
December 17, 2020 September 17, 2020 1,110 1,110 1,687 152 % 2.50 %
December 24, 2020 September 24, 2020 6,876 6,876 10,024 146 % 2.47 %
December 24, 2020 September 24, 2020 5,145 5,145 6,796 132 % 2.32 %
December 24, 2020 September 24, 2020 2,646 2,646 3,442 130 % 2.32 %
December 28, 2020 September 16, 2020 7,306 7,306 9,532 130 % 2.59 %
January 5, 2021 September 28, 2020 25,044 25,044 33,970 136 % 2.37 %
January 5, 2021 September 28, 2020 24,423 24,423 33,105 136 % 2.37 %
January 6, 2021 September 28, 2020 7,697 7,697 10,299 134 % 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 6,352 134 % 2.33 %
January 6, 2021 September 28, 2020 4,666 4,666 6,222 133 % 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 7,843 133 % 2.32 %
July 9, 2021 July 10, 2020 250,000 43,998 71,384 162 % 2.65 %
September 23, 2021 September 24, 2020 400,000 101,861 161,856 159 % 2.65 %
Totals $ 919,560 $ 415,419 $ 597,312 144 % 2.56 %


				September 30, 2021
Maturity Date	Origination Date	Maximum Borrowing Capacity		Amount Outstanding		Amount of Collateral		Percentage of Collateral Coverage		Interest Rate
October 5, 2021	April 9, 2021	$	31,326	$	31,326	$	37,953	121	%	1.41	%
October 6, 2021	July 6, 2021	7,073		7,073		8,745		124	%	1.34	%
October 6, 2021	July 6, 2021	4,150		4,150		5,057		122	%	1.34	%
October 6, 2021	July 6, 2021	3,343		3,343		4,761		142	%	1.74	%
October 12, 2021	July 12, 2021	5,242		5,242		6,572		125	%	1.32	%
October 15, 2021	July 15, 2021	5,553		5,553		6,627		119	%	1.18	%
October 20, 2021	July 20, 2021	10,879		10,879		12,889		118	%	1.18	%
October 22, 2021	April 26, 2021	7,899		7,899		9,279		117	%	1.11	%
October 22, 2021	April 26, 2021	6,231		6,231		7,276		117	%	1.11	%
October 22, 2021	April 26, 2021	5,123		5,123		6,063		118	%	1.11	%
October 29, 2021	July 30, 2021	9,984		9,984		12,436		125	%	1.33	%
October 29, 2021	July 30, 2021	9,840		9,840		11,851		120	%	1.33	%
November 12, 2021	August 12, 2021	3,110		3,110		4,428		142	%	1.72	%
November 19, 2021	August 19, 2021	9,747		9,747		12,635		130	%	1.33	%
November 24, 2021	August 24, 2021	3,543		3,543		5,106		144	%	1.73	%
December 7, 2021	September 7, 2021	5,825		5,825		7,444		128	%	1.12	%
December 7, 2021	September 7, 2021	2,311		2,311		2,848		123	%	1.12	%
December 13, 2021	June 15, 2021	14,148		14,148		20,151		142	%	1.35	%
December 13, 2021	June 15, 2021	7,160		7,160		8,682		121	%	1.15	%
December 16, 2021	September 16, 2021	44,200		44,200		57,815		131	%	1.12	%
December 16, 2021	September 16, 2021	4,333		4,333		6,232		144	%	1.37	%
December 17, 2021	September 17, 2021	7,333		7,333		9,556		130	%	1.32	%
December 17, 2021	September 17, 2021	6,687		6,687		8,451		126	%	1.32	%
December 17, 2021	September 17, 2021	1,179		1,179		1,687		143	%	1.72	%
December 20, 2021	September 20, 2021	35,153		35,153		37,867		108	%	0.57	%
December 20, 2021	September 20, 2021	2,918		2,918		3,421		117	%	0.87	%
December 20, 2021	September 20, 2021	1,570		1,570		1,943		124	%	1.07	%
December 20, 2021	September 20, 2021	1,400		1,400		2,047		146	%	1.47	%
December 20, 2021	September 20, 2021	1,341		1,341		1,788		133	%	1.32	%
December 27, 2021	September 24, 2021	16,643		16,643		21,720		131	%	1.33	%
December 27, 2021	September 24, 2021	4,482		4,482		6,413		143	%	1.73	%
December 27, 2021	September 24, 2021	2,277		2,277		2,923		128	%	1.33	%
July 8, 2022	July 9, 2021	150,000		14,085		21,232		151	%	2.58	%
September 22, 2022	September 23, 2021	400,000		103,252		144,774		140	%	2.58	%
Totals/weighted averages		$	832,003	$	399,340	$	518,672	130	%	1.60	%

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

December 31, 2019
Maturity Date Origination date Maximum
Borrowing
Capacity Amount
Outstanding Amount of
Collateral Percentage of Collateral Coverage Interest Rate
January 3, 2020 November 26, 2019 $ 8,411 $ 8,411 $ 11,098 132 % 3.45 %
January 3, 2020 November 26, 2019 6,093 6,093 9,038 148 % 3.45 %
January 3, 2020 November 26, 2019 5,175 5,175 6,855 132 % 3.45 %
January 3, 2020 December 2, 2019 11,966 11,966 15,742 132 % 3.45 %
January 3, 2020 December 2, 2019 10,648 10,648 14,058 132 % 3.45 %
January 3, 2020 December 2, 2019 5,485 5,485 7,050 129 % 3.45 %
January 3, 2020 December 2, 2019 4,096 4,096 5,261 128 % 3.45 %
January 3, 2020 December 2, 2019 1,644 1,644 2,388 145 % 3.55 %
January 3, 2020 December 2, 2019 1,576 1,576 2,287 145 % 3.55 %
January 10, 2020 December 11, 2019 21,088 21,088 28,284 134 % 3.47 %
January 10, 2020 December 11, 2019 1,808 1,808 2,640 146 % 3.57 %
January 13, 2020 July 11, 2019 8,956 8,956 13,016 145 % 4.16 %
January 21, 2020 December 20, 2019 15,718 15,718 20,623 131 % 3.41 %
January 21, 2020 December 20, 2019 10,305 10,305 13,521 131 % 3.41 %
January 21, 2020 December 20, 2019 5,840 5,840 7,324 125 % 3.41 %
January 21, 2020 December 20, 2019 2,784 2,784 4,050 145 % 3.51 %
January 28, 2020 October 30, 2019 5,318 5,318 7,464 140 % 3.19 %
January 28, 2020 October 30, 2019 2,520 2,520 3,381 134 % 2.99 %
February 3, 2020 August 1, 2019 7,568 7,568 9,702 128 % 4.19 %
February 3, 2020 August 1, 2019 6,664 6,664 9,537 143 % 4.19 %
February 24, 2020 November 26, 2019 41,412 41,412 54,828 132 % 2.92 %
March 25, 2020 September 25, 2019 7,075 7,075 10,024 142 % 3.96 %
March 25, 2020 September 25, 2019 5,851 5,851 7,423 127 % 3.81 %
March 26, 2020 September 26, 2019 27,075 27,075 34,591 128 % 3.81 %
March 27, 2020 September 27, 2019 2,915 2,915 3,709 127 % 3.79 %
June 3, 2020 December 6, 2019 6,097 6,097 7,891 129 % 3.64 %
June 3, 2020 December 6, 2019 4,704 4,704 6,106 130 % 3.64 %
June 3, 2020 December 6, 2019 3,053 3,053 4,035 132 % 3.64 %
June 3, 2020 December 6, 2019 2,332 2,332 3,360 144 % 3.79 %
June 3, 2020 December 6, 2019 1,132 1,132 1,607 142 % 3.79 %
June 19, 2020 December 19, 2019 13,447 13,447 18,076 134 % 3.55 %
June 19, 2020 December 19, 2019 1,155 1,155 1,687 146 % 3.70 %
June 30, 2020 December 30, 2019 5,286 5,286 7,044 133 % 3.57 %
June 30, 2020 December 30, 2019 3,324 3,324 4,667 140 % 3.72 %
July 10, 2020 July 15, 2016 250,000 28,931 57,397 198 % 4.28 %
September 24, 2020 September 25, 2019 400,000 116,662 164,403 141 % 4.24 %
Totals $ 918,521 $ 414,114 $ 580,167 140 % 3.77 %


				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~~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. During the last two weeks in March 2020, the Company received margin calls from its financing counterparties in the amount of $28.2 million due to the turmoil in the financial markets resulting from the COVID-19 outbreak. The Company ended the first quarter of 2020 with $32.4 million of cash collateral on deposit with its financing counterparties. However, subsequent to March 31, 2020, the Company's required cash collateral

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

~~position has declined as security prices increased and its financing counterparties returned a portion of the cash collateral.~~ As of September 30, 2021 and December 31, 2020, the Company had ~~$1.0~~$10.4 million and $4.7 million, respectively, of cash collateral on deposit with financing counterparties. This cash is included in Prepaid expenses and other assets on its consolidated balance ~~sheet at September 30, 2020~~sheets and is not netted against its Borrowings under repurchase agreements. The amount outstanding on the Company’s repurchase facilities and the carrying value of the Company’s loans pledged as collateral are presented as gross amounts in the Company’s consolidated balance sheets at September 30, ~~2020~~2021 and December 31, ~~2019~~2020 in the table below ($ in thousands):

Gross amounts not offset in balance sheet
September 30, 2020 December 31, 2019
Gross amount of recognized liabilities $ 415,419 $ 414,114
Gross amount of loans and securities pledged as collateral 597,312 580,167
Other prepaid collateral 986 4,117
Net collateral amount $ 182,879 $ 170,170

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


	Gross amounts not offset in balance sheet
	September 30, 2021		December 31, 2020
Gross amount of recognized liabilities	$	399,340	$	421,132
Gross amount of loans and securities pledged as collateral	518,672		595,599
Other prepaid collateral	10,377		4,653
Net collateral amount	$	129,709	$	179,120

Secured Borrowings

From its inception (January 30, 2014) to September 30, ~~2020,~~2021, the Company has completed 1618 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, 65 of which were outstanding at September 30, ~~2020.~~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 and 2018-C securitization, from which the Company sold a 95% interest in the Class A notes and 37% in the Class B notes and trust certificates, theThe Company has retained the subordinate notes and the applicable trust certificates from ~~the other 6~~1 non-rated secured ~~borrowings~~borrowing outstanding at September 30, ~~2020.~~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 4 rated secured borrowings at September 30, 2021. The Company’s rated secured borrowings are designated in the table below.

At March 31, 2021, the Company's 2017-D secured borrowing ~~contains~~contained Class A notes and Class B certificates representing the residual interests in the mortgages held within the securitization trusts subsequent to repayment of the Class A ~~debt.~~notes. The Company ~~has~~had retained 50% of both the Class A notes and Class B certificates from ~~2017-D.~~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 refinanced in 2021-C. Based on the structure of the transaction the Company does not consolidate 2021-C under U.S. GAAP.

The Company's 2018-C secured borrowing ~~contains~~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 ~~has~~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 ~~2017-B, 2019-D, 2019-F and 2020-B~~ secured borrowings carry no provision for a step-up in interest rate on any of the Class ~~A, Class~~ B ~~or Class M notes.~~notes, except for 2021-B.

For all of the Company's secured borrowings, the Class A notes are senior, sequential pay, fixed rate notes with the exception of 2019-D, 2019-F and 2020-B, which are subordinate, sequential pay, fixed rate notes for Class B-1 and variable rate notes for Class B-2 and Class B-3. The interest rate is effectively the rate equal to the spread between the gross average rate of interest the trust collects on its mortgage loan portfolio minus the rate derived from the sum of the servicing fee and other expenses of the trust. The Class M notes issued under 2017-B, 2019-D, 2019-F and 2020-B are also mezzanine, sequential pay, fixed rate notes.

For all of the Company's secured borrowings, except 2017-B, 2019-D, 2019-F and 2020-B, which contain no interest rate step-up, 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

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

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~~the Company's secured borrowings outstanding at September 30, ~~2020~~2021 at their respective cutoff dates:

Issuing Trust/Issue Date

Interest Rate Step-up Date

Security

Original Principal

Interest Rate

~~Ajax Mortgage Loan Trust 2017-B/ December 2017~~Rated

~~None~~

~~Class A notes due 2056~~

~~$115.8 million~~

~~3.16~~

~~None~~

~~Class M-1 notes due 2056(3)~~

~~$9.7 million~~

~~3.50~~

~~None~~

~~Class M-2 notes due 2056(3)~~

~~$9.5 million~~

~~3.50~~

~~None~~

~~Class B-1 notes due 2056(1)~~

~~$9.0 million~~

~~3.75~~

~~None~~

~~Class B-2 notes due 2056(1)~~

~~$7.5 million~~

~~3.75~~

~~Trust certificates(2)~~

~~$14.3 million~~

~~Deferred issuance costs~~

~~$(1.8) million~~

~~Ajax Mortgage Loan Trust 2017-D/ December 2017~~

~~April 25, 2021~~

~~Class A notes due 2057(4)~~

~~$177.8 million~~

~~3.75~~

~~None~~

~~Class B certificates(4)~~

~~$44.5 million~~

~~Deferred issuance costs~~

~~$(1.1) million~~

~~Ajax Mortgage Loan Trust 2018-C/ September 2018~~

~~October 25, 2021~~

~~Class A notes due 2065(5)~~

~~$170.5 million~~

~~4.36~~

~~April 25, 2022~~

~~Class B notes due 2065(5)~~

~~$15.9 million~~

~~5.25~~

~~Trust certificates(5)~~

~~$40.9 million~~

~~Deferred issuance costs~~

~~$(2.0) million~~

Ajax Mortgage Loan Trust 2019-D/ July 2019

~~None~~July 25, 2027

Class A-1 notes due 2065

$140.4 million

2.96

~~None~~July 25, 2027

Class A-2 notes due 2065

$6.1 million

3.50

~~None~~July 25, 2027

Class A-3 notes due 2065

$10.1 million

3.50

~~None~~July 25, 2027

Class M-1 notes due 2065~~(3)~~(1)

$9.3 million

3.50

None

Class B-1 notes due 2065~~(6)~~(2)

$7.5 million

3.50

None

Class B-2 notes due 2065~~(6)~~(2)

$7.1 million

variable~~(7)~~(3)

None

Class B-3 notes due 2065~~(6)~~(2)

$12.8 million

variable~~(7)~~(3)

Deferred issuance costs

$(2.7) million

0—

Rated

Ajax Mortgage Loan Trust 2019-F/ November 2019

~~None~~November 25, 2026

Class A-1 notes due 2059

$110.1 million

2.86

~~None~~November 25, 2026

Class A-2 notes due 2059

$12.5 million

3.50

~~None~~November 25, 2026

Class A-3 notes due 2059

$5.1 million

3.50

~~None~~November 25, 2026

Class M-1 notes due 2059~~(3)~~(1)

$6.1 million

3.50

None

Class B-1 notes due 2059~~(6)~~(2)

$11.5 million

3.50

None

Class B-2 notes due 2059~~(6)~~(2)

$10.4 million

variable~~(7)~~(3)

None

Class B-3 notes due 2059~~(6)~~(2)

$15.1 million

variable~~(7)~~(3)

Deferred issuance costs

$(1.8) million

0—

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(1)

$7.3 million

3.70

None

Class B-1 notes due 2059(2)

$5.9 million

3.70

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 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(1)

$7.8 million

3.15

None

Class B-1 notes due 2065(2)

$5.0 million

3.80

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

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

Issuing Trust/Issue Date

Interest Rate Step-up Date

Security

Original Principal

Interest Rate

Ajax Mortgage Loan Trust ~~2020-B/ August 2020~~2021-B/ February 2021

~~None~~August 25, 2024

Class ~~A-1~~A notes due ~~2059~~2066

$~~97.2~~215.9 million

~~1.70~~2.24

~~None~~

~~Class A-2 notes due 2059~~

~~$17.3 million~~

~~2.86~~

~~None~~February 25, 2025

Class ~~M-1~~B notes due ~~2059~~2066~~(3)~~(2)

$~~7.3~~20.2 million

~~3.70~~4.00

~~None~~

~~Class B-1 notes due 2059(6)~~

~~$5.9 million~~

~~3.70~~

~~None~~

~~Class B-2 notes due 2059(6)~~

~~$5.1 million~~

~~variable(7)~~

~~None~~

~~Class B-3 notes due 2059(6)~~

~~$23.6 million~~

~~variable(7)~~

Deferred issuance costs

$~~(1.8)~~(4.3) million

0—

(1)The Class ~~B notes are subordinated, sequential pay, fixed rate notes with Class B-2 notes subordinate to the Class B-1 notes. The Company has retained the Class B notes.~~

~~(2)~~The trust certificates issued by the trusts and the beneficial ownership of the trusts are retained by Great Ajax Funding LLC as the depositor. As the holder of the trust certificates, the Company is entitled to receive any remaining amounts in the trusts after the Class A notes, Class M notes, where present, and Class B notes have been paid in full.

~~(3)The Class~~ M notes are subordinated, sequential pay, fixed rate ~~notes with Class M-2 notes subordinate to the Class M-1~~ notes. The Company has retained the Class M ~~notes.~~

~~(4)~~notes, with the exception of 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 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.2021-A.

~~(5)~~AJAXM 2018-C is a joint venture in which a third party owns 95% of the Class A notes and 37% of the Class B notes and certificates. The Company is required to consolidate 2018-C under GAAP and is reflecting 100% of the mortgage loans, in Mortgage loans, net. 95% of the Class A notes and 37% of the Class B notes, which are held by the third party, are included in Secured borrowings, net. The 5% portion of the Class A notes retained by the Company have been encumbered under the repurchase agreement. 37% of the Class C certificates are recognized as Non-controlling interest.

~~(6)~~(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.

~~(7)~~(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 of between 0.65% of outstanding UPB and 1.25% of outstanding UPB at acquisition, and is paid monthly. For certain of the Company's joint ventures, the servicing fee rate for RPLs is reduced to an annual servicing fee rate of 0.20% annually on a loan-by-loan basis for any loan that makes seven consecutive payments. 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~~loan's subsequent performance. The following table sets forth the status of the notes held by others at September 30, ~~2020~~2021 and December 31, ~~2019,~~2020, and the securitization cutoff date ($ in thousands):


		Balances at September 30, 2020							Balances at December 31, 2019							Original balances at securitization cutoff date						Balances at September 30, 2021							Balances at December 31, 2020							Original balances at securitization cutoff date
Class of Notes	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		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	2017-B	$	113,240	$	72,897		155	%	$	121,909	$	84,624		144	%	$	165,850		$	115,846	2017-B	$	—	$	—		—	%	$	110,062	$	68,729		160	%	$	165,850		$	115,846
2017-C		0		0			0	%	137,369		94,126			146	%	185,942			130,159
2017-D	2017-D	135,660		52,968		(1)	256	%	148,119		60,934		(1)	243	%	203,870		(2)	88,903		2017-D	—		—			—	%	133,897		51,256		(1)	261	%	203,870		(2)	88,903
2018-C	2018-C	173,529		135,008		(3)	129	%	179,303		146,925		(3)	122	%	222,181		(4)	167,910		2018-C	—		—			—	%	173,221		131,983		(3)	131	%	222,181		(4)	167,910
2019-D	2019-D	153,729		131,075			117	%	165,963		146,383			113	%	193,301			156,670		2019-D	126,893		102,367			124	%	148,641		125,008			119	%	193,301			156,670
2019-F	2019-F	145,312		115,389			126	%	155,899		126,723			123	%	170,876			127,673		2019-F	121,110		86,702			140	%	139,996		108,184			129	%	170,876			127,673
2020-B	2020-B	141,363		112,978			125	%	0		0			0	%	156,468			114,534		2020-B	123,544		91,203			135	%	136,360		105,601			129	%	156,468			114,534
		$	862,833	$	620,315	(5)	139	%	$	908,562	$	659,715	(5)	138	%	$	1,298,488		$	901,695
2021-A																					2021-A	168,049		149,730			112	%	—		—			—	%	206,528			175,116
2021-B																					2021-B	251,303		190,920			132	%	—		—			—	%	287,895			215,912
																						$	790,899	$	620,922	(5)	127	%	$	842,177	$	590,761	(5)	143	%	$	1,606,969		$	1,162,564

(1)The gross amount of senior bonds at ~~September 30, 2020 and~~ December 31, ~~2019 were $105.9 million and $121.9~~2020 was $102.6 million however, only ~~$53.0~~$51.3 million ~~and $60.9 million are~~is reflected in Secured borrowings as the remainder is owned by the ~~Company, respectively.~~Company.

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

(3)2018-C ~~contains~~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 ~~September 30,~~December 31, 2020 were ~~$135.9~~$132.7 million and $15.9 million, however, only ~~$129.1~~$126.1 million and $5.9 million, respectively, are reflected in Secured borrowings as the remainder is owned by the ~~Company, respectively. The gross amount of the senior and class B bonds at December 31, 2019 were $148.5 million and~~Company.

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

~~$15.9 million, however, only $141.0 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 ~~$6.1~~$8.3 million and ~~$7.0~~$5.4 million as of September 30, ~~2020~~2021 and December 31, ~~2019.~~2020.

~~The Company’s obligations under its secured borrowings are not fixed, and the payments on these borrowings are predicated upon cash flows received on the underlying mortgage loans.~~

Convertible Senior Notes

~~On April 25, 2017,~~At September 30, 2021 and December 31, 2020, the Company ~~completed the public offer~~had carrying values of $103.8 million and ~~sale of $87.5~~$110.1 million, ~~in aggregate principal amount of~~respectively, for 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.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 1.7279 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. As of September 30, 2021, the amount by which the if-converted value falls short of the principal value for the entire series is $7.2 million.

At September 30, 2021, the outstanding aggregate principal amount of the notes was $105.9 million, and discount and deferred expenses were $2.1 million. At December 31, 2020, the outstanding aggregate principal amount of the notes was

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

$113.4 million, and discount and deferred expenses were $3.3 million. During the three and nine months ended September 30, 2021 the Company recognized interest expense on its outstanding convertible notes of $2.2 million and $6.8 million, respectively, which includes $0.3 million and $1.0 million of amortization of discount and deferred expenses, respectively. During the three and nine months ended September 30, 2020 the Company recognized interest expense on its outstanding convertible notes of $2.4 million and $7.3 million, respectively, which includes $0.3 million and $1.0 million of amortization of discount and deferred expenses, respectively. The effective interest rates of the notes for the quarters ended September 30, 2021 and September 30, 2020 were 8.96% and 8.92%, respectively.

During the first and second quarters of 2021, the Company completed a series of convertible note repurchases for aggregate principal amounts of $2.5 million and $5.0 million, respectively, for total purchase prices of $2.4 million and $5.1 million, respectively. The carrying amounts of the equity component representing the embedded conversion feature reversed from Additional paid-in capital due to the first and second quarter of 2021 transactions were both zero. There were no convertible note repurchases during the third quarter of 2021. 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. There were no convertible note repurchases during the second quarter of 2020.

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 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 0, 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 September 30, 2020 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 September 30, 2020, the amount by which the if-converted value falls short of the principal value for the entire series is $50.9 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 September 30, 2020, the outstanding aggregate principal amount of the notes was $113.4 million, and discount and deferred expenses were $3.7 million. During the three and nine months ended September 30, 2020 the Company recognized interest expense of $2.4 million and $7.3 million, respectively, which includes $0.3 million and $1.0 million, respectively of amortization of discount and deferred expenses. Comparatively at September 30, 2019, the outstanding aggregate principal amount of the notes was $123.9 million, and discount and deferred expenses were $5.4 million. During the three and nine months ended September 30, 2019 the Company recognized interest expense of $2.6 million and $7.7 million, respectively, which includes $0.3 million and $0.9 million, respectively of amortization of discount and deferred expenses. The effective interest rate of the notes for the quarter ended September 30, 2020 and September 30, 2019 was 8.92% and 8.94%, respectively.

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

Note 10 — Related Party Transactions

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

Three months ended September 30,
Transaction Consolidated Statement of Income location Counterparty 2020 2019
Interest income and recovery of provision for credit losses on beneficial interests Net interest income after provision for credit benefit/(losses) Various non-consolidated joint ventures $ 6,536 $ 3,322
Management fee Related party expense – management fee Thetis $ 2,264 $ 2,215
Loan servicing fees Related party expense – loan servicing fees Gregory $ 1,848 $ 2,197
Gain on sale of securities Other income Various non-consolidated joint ventures $ 145 $ 0
Income from equity investment Income from investments in affiliates Thetis $ 75 $ 448
Income from equity investment Income from investments in affiliates Gaea $ 14 $ 0
Income from equity investment Income from investments in affiliates AS Ajax E LLC $ 9 $ 10
Loss from equity investment Income from investments in affiliates Legacy Entities $ (46) $ 0
(Loss)/income from equity investment Income from investments in affiliates Great Ajax FS $ (116) $ 71


			Three months ended September 30,
Transaction	Consolidated Statement of Income location	Counterparty	2021		2020
Interest income on securities and beneficial interest and net decrease in the net present value of expected credit losses on beneficial interests	Net interest income after the impact of changes in the net present value of expected credit losses	Various non-consolidated joint ventures	$	9,896	$	6,536
Management fee	Related party expense – management fee	Manager	$	2,289	$	2,264
Loan servicing fees	Related party expense – loan servicing fees	Servicer	$	1,743	$	1,848
Gain on sale of securities	Other income	Various non-consolidated joint ventures	$	201	$	145

Nine months ended September 30,
Transaction Consolidated Statement of Income location Counterparty 2020 2019
Interest income and recovery of provision for credit losses on beneficial interests Net interest income after provision for credit benefit/(losses) Various non-consolidated joint ventures $ 16,386 $ 8,878
Management fee Related party expense – management fee Thetis $ 6,206 $ 5,555
Loan servicing fees Related party expense – loan servicing fees Gregory $ 5,798 $ 6,977
Gain on sale of securities Other income Various non-consolidated joint ventures $ 145 $ 8
Income from equity investment Income from investments in affiliates Gaea $ 74 $ 0
Income from equity investment Income from investments in affiliates AS Ajax E LLC $ 25 $ 36
Income from equity investment Income from investments in affiliates Legacy Entities $ 10 $ 0
Gain on sale of mortgage loans Gain on sale of mortgage loans 2019-C $ — $ 7,014
(Loss)/income from equity investment Income from investments in affiliates Great Ajax FS $ (320) $ 200
(Loss)/income from equity investment Income from investments in affiliates Thetis $ (364) $ 923
Loss on sale of mortgage loans Loss on sale of mortgage loans Gaea $ (705) $ 0

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


			Three months ended September 30,
Transaction	Consolidated Statement of Income location	Counterparty	2021		2020
Income from equity investment	Income/(loss) from investments in affiliates	Manager	$	132	$	75
Affiliate loan interest income	Interest income	Gaea	$	74	$	—
Income from equity investment	Income/(loss) from investments in affiliates	AS Ajax E LLC	$	11	$	9
Loss from equity investment	Income/(loss) from investments in affiliates	Loan pool LLCs	$	(16)	$	(46)
(Loss)/income from equity investment	Income/(loss) from investments in affiliates	Gaea	$	(28)	$	14
Loss from equity investment	Income/(loss) from investments in affiliates	Servicer	$	(37)	$	(116)


			Nine months ended September 30,
Transaction	Consolidated Statement of Income location	Counterparty	2021		2020
Interest income on securities and beneficial interest and net decrease in the net present value of expected credit losses on beneficial interests	Net interest income after the impact of changes in the net present value of expected credit losses	Various non-consolidated joint ventures	$	24,835	$	16,386
Management fee	Related party expense – management fee	Manager	$	6,826	$	6,206
Loan servicing fees	Related party expense – loan servicing fees	Servicer	$	5,275	$	5,798
Income/(loss) from equity investment	Income/(loss) from investments in affiliates	Manager	$	583	$	(364)
Affiliate loan interest income	Interest income	Gaea	$	203	$	—
Gain on sale of securities	Other income	Various non-consolidated joint ventures	$	201	$	145
Gain on refinancing of securitization trust	Other income	2021-C	$	122	$	—
Income from equity investment	Income/(loss) from investments in affiliates	Gaea	$	32	$	74
Income from equity investment	Income/(loss) from investments in affiliates	AS Ajax E LLC	$	27	$	25
Loss on sale of mortgage loans	Other income	Gaea	$	—	$	(705)
(Loss)/income from equity investment	Income/(loss) from investments in affiliates	Loan pool LLCs	$	(37)	$	10
Loss from equity investment	Income/(loss) from investments in affiliates	Servicer	$	(92)	$	(320)

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

As of September 30, 2021

Transaction

Consolidated Balance Sheet location

Counterparty

Amount

Investment in beneficial interests

Various non-consolidated joint ventures

139,494

Receivables from Servicer

Receivable from servicer

Servicer

18,128

Affiliate loan receivable

Mortgage loans held-for-investment, net

Gaea

10,025

Management fee payable

Manager

2,289

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

As of September 30, ~~2020~~2021

Transaction

Consolidated Balance Sheet location

Counterparty

Amount

~~Receivables from Servicer~~

~~Receivable from Servicer~~

~~Gregory~~

~~16,438~~

~~Management fee payable~~

~~Thetis~~

~~2,261~~

Expense reimbursement receivable

Prepaid expenses and other assets

Various non-consolidated joint ventures

~~655~~1,354

~~Expense reimbursement receivable~~Servicing fee payable

~~Prepaid~~Accrued expenses and other ~~assets~~liabilities

~~Gregory~~Servicer

~~219~~

~~Expense reimbursement receivable~~

~~Prepaid expenses and other assets~~

~~Thetis~~

38 (92)

As of December 31, ~~2019~~2020

Transaction

Consolidated Balance Sheet location

Counterparty

Amount

Investment in beneficial interests

Various non-consolidated joint ventures

91,418

Receivables from Servicer

Receivable from ~~Servicer~~servicer

~~Gregory~~Servicer

~~17,013~~15,755

Affiliate loan receivable

Mortgage loans held-for-investment, net

Gaea

11,000

Management fee payable

~~Thetis~~Manager

~~1,634~~2,247

Affiliate loan purchase

Mortgage loans held-for-investment, net

Servicer

1,838

Expense ~~reimbursements receivable~~

~~Prepaid expenses and other assets~~

~~Gregory~~

~~687~~

~~Advances to Servicer~~

~~Prepaid expenses and other assets~~

~~Gregory~~

~~585~~

~~Expense reimbursements~~reimbursement receivable

Prepaid expenses and other assets

Various non-consolidated joint ventures

~~241~~876

Expense ~~reimbursements~~reimbursement receivable

Prepaid expenses and other assets

~~Thetis~~Manager

8718

Expense reimbursements

Accrued expenses and other liabilities

~~Gaea~~Servicer

~~Expense reimbursements~~

~~Accrued expenses and other liabilities~~

~~Various non-consolidated joint ventures~~

10 (44)

On June 21, 2021, the Company became a party to a promissory note with Gaea under which Gaea can borrow up to $11.0 million on a revolving line of credit from the Company. Funds advanced to Gaea under the note carry an interest rate of 4.25% and are secured by a selection of Gaea's mortgage loans. The agreement expires on December 31, 2021 and can be extended to January 30, 2022 at Gaea’s option. At September 30, 2021, the amount outstanding under the note was $10.0 million, which was secured by 18 of Gaea's SBC loans. At December 31, 2020, the Company had a separate loan of $11.0 million outstanding loan to Gaea, which was secured by 20 of Gaea's SBC loans. The loan was repaid to the Company on April 5, 2021. At September 30, 2021 and December 31, 2020, these loans were included in Mortgage loans held-for-investment, net on the Company's consolidated balance sheets.

During the quarter ended 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 included in Mortgage loans held-for-investment, net on the Company's consolidated balance sheets.

During the three months ended September 30, 2021, the Company sold no mortgage loans; however, during the nine months ended September 30, 2021, as part of a refinancing transaction the Company sold 760 loans from 2017-D with a carrying value of $129.2 million and UPB of $133.8 million to a joint venture formed between the Company and a third party accredited institutional investor, and retained various classes of securities from the joint venture. During the three months ended September 30, 2020, the Company sold 0no mortgage ~~loans,~~loans; however, during the nine months ended September 30, 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. Comparatively, during the three months ended September 30, 2019, the Company sold 3 mortgage loans to third parties with a carrying value of $1.9 million and UPB of $2.0 million for a gain of $0.1 million. During the nine months ended September 30, 2019, the Company sold a total of 965 loans with a carrying value of $178.8 million and UPB of $202.1 million. Of these, 962 of the loans sold during 2019 were sold to a related party joint venture, 2019-C, with a carrying value of $176.9 million and UPB of $200.1 million for a gain of $7.0 million and retained 34% or $8.0 million of the trust certificates and $12.1 million in debt securities. The retained securities are included in the notes and beneficial interests discussed in the paragraph below.

During the three and nine months ended September 30, ~~2020,~~2021, the Company acquired ~~$83.4~~$54.7 million and ~~$144.7~~$287.6 million, respectively, in aggregate of debt securities and beneficial interests issued by joint ventures between the Company and third party institutional accredited investors. The joint ventures issued senior notes and beneficial interests. In certain transactions, the joint ventures also issued subordinated notes. Of the $54.7 million and $287.6 million, respectively, the Company acquired $43.2 million and $213.1 million, respectively, in senior notes, $8.3 million and $31.8 million, respectively, of subordinate notes and $3.2 million and $42.7 million, respectively, in beneficial interests issued by joint ventures. Comparatively, ~~for~~during the three and nine months ended September 30, ~~2019,~~2020, the Company acquired $83.4 million and $144.7 million, respectively, in aggregate of debt securities and beneficial interests ~~of $43.4 million~~issued by joint ventures between the Company and $127.6 million, respectively. Each joint venture issued senior notes and beneficial interests, which are trust certificates representing the residual balance of the trust after the outstanding debt obligations have been settled. In certain transactions, the joint venture also issued subordinate notes.third party institutional accredited investors. Of the $83.4 million and $144.7 million, respectively, of debt securities acquired in the three and nine months ended September 30, 2020, respectively, the Company ~~retained~~acquired $66.0 million and $115.6 million, respectively, in senior notes and $5.2 million and $9.8 million, respectively, in subordinate notes. Comparatively, during the three and nine months ended September 30, 2019, the Company retained $36.1 million and $93.6 million, respectively, in senior notes and $3.3 million and $12.6 million, respectively, in subordinate notes. The debt securities are carried at fair value. During the three and nine months ended September 30, 2020, the Company sold senior notes issued by certain joint ventures for total proceeds of $38.9 million and recognized a gain of $0.1 million. During three months ended September 30, 2019, the Company did 0t sell any senior notes. During the nine months ended September 30, 2019, the Company sold senior notes issued by certain joint ventures for total proceeds of $39.6 million and recognized a gain of $8 thousand, net of transaction fees. As of September 30, 2020 and December 31, 2019, the debt securities were carried on the Company’s consolidated balance sheet at a fair value of $284.7 million and $231.7 million, respectively.

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

~~During the three~~senior notes, $5.2 million and ~~nine months ended September 30, 2020 the Company also acquired~~$9.8 million, respectively, in subordinate notes and $12.2 million and $19.3 million, respectively, in beneficial interests issued by joint ventures. ~~Comparatively, for the three and nine months ended September 30, 2019, the Company acquired $4.0 million and $21.4 million, respectively, in beneficial interests issued by joint ventures.~~ As of September 30, ~~2020~~2021, the investments in debt securities and ~~December 31, 2019, the Investments in~~ beneficial interests were carried on the Company's consolidated balance sheet at ~~$86.2~~$340.1 million and ~~$58.0~~$139.5 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 September 30, 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 September 30, ~~2020,~~2021, and December 31, ~~2019,~~2020, the Company had no advances ~~of 0 and $0.6 million, respectively,~~ 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 September 30, ~~2020~~2021 the Company owned approximately ~~23.0%~~22.8% of Gaea with third party investors owning the remaining approximately ~~77.0%~~77.2%. The Company accounts for its ~~investment~~ownership interest in Gaea 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 LLC was reduced to a lower percentage of the total. As of September 30, ~~2020~~2021 and December 31, ~~2019,~~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.

The Manager is also entitled to an incentive fee, payable quarterly and calculated in arrears, which through the end of 2018, was calculated as 20% of the amount by which total dividends on common stock and distributions on OP units exceeded 8% of book value on a per share basis. Effective as of March 5, 2019, the incentive fee was restructured intocontains 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 ~~its distributions on its externally-held operating partnership units~~ 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 ~~and distributions on its externally-held operating partnership units~~ 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 8 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 and nine months ended September 30, 2021 and September 30, 2020, the Company did 0tnot record ~~an incentive fee payable to the Manager. Comparatively during the three and nine months ended September 30, 2019, the Company recorded $0.5 million and $0.7 million, respectively, for~~ an incentive fee payable to the Manager.

The Company also reimburses the Manager for all ~~third-party,~~third party, out-of-pocket costs incurred by the Manager for managing its business, including ~~third-party~~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~~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 0.20% annually 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. ~~For the joint ventures, a conversion from a loan to a real property asset does not cause a change in servicing fee rate.~~

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

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

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

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

Note 11 — Stock-based Payments and Director Fees

Pursuant to the terms of the Management Agreement, the Company may pay a portion of the base management fee to the Manager in shares of its common stock with the number of shares determined based on the average of the closing prices of its common stock on the NYSE on the five business days preceding the record date ~~on which~~of the most recent regular quarterly dividend to holders of ~~its~~the common ~~stock is paid.~~stock. The Company recognized a base management ~~fee~~fees to the Manager for the three and nine months ended September 30, ~~2020~~2021 of $2.3 million and ~~$6.2~~$6.9 million, respectively, all of which ~~NaN~~ 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 and nine months ended September 30, ~~2019,~~2020, the Company recognized a base management ~~fee~~fees of ~~$1.7~~$2.3 million and ~~$4.9~~$6.2 million, ~~respectively,~~all of which ~~$0.9 million and $2.5 million, respectively,~~ was payable in ~~shares of its common stock.~~cash.

In addition, ~~through the first quarter of 2019,~~ each of the Company’s independent directors received an annual retainer of ~~$75,000,~~$100,000, payable quarterly, ~~half~~40% of which was ~~paid~~payable in shares of the ~~Company’s~~Company's common stock onusing the same ~~basis~~valuation method as defined for the stock portion of the management fee payable to the ~~Manager and half~~Manager. This excludes additional compensation for committee chairs which is paid in cash. ~~The annual fee was increased to $100,000, 40% of which is payable in shares of the Company's common stock and 60% in cash, which became effective as of April 1, 2019.~~

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

Stock-based ~~Management Fees and~~ Director Fees

For the three months ended September 30,
2020 2019
Number of shares
Amount of expense recognized(1)
Number of shares
Amount of expense recognized(1)
Independent director fees 4,116 $ 35 2,748 $ 40
Management fees 0 0 63,982 986
Totals 4,116 $ 35 66,730 $ 1,026


		For the nine months ended September 30,							For the three months ended September 30,
		2020			2019				2021			2020
		Number of shares	Amount of expense recognized(1)		Number of shares	Amount of expense recognized(1)			Number of shares	Amount of expense recognized(1)		Number of shares	Amount of expense recognized(1)
Independent director fees	Independent director fees	12,784	$	115	8,348	$	118	Independent director fees	3,580	$	50	4,116	$	35
Management fees		0	0		184,681	2,538
Totals	Totals	12,784	$	115	193,029	$	2,656	Totals	3,580	$	50	4,116	$	35


	For the nine months ended September 30,
	2021			2020
	Number of shares	Amount of expense recognized(1)		Number of shares	Amount of expense recognized(1)
Independent director fees	11,550	$	150	12,784	$	115
Totals	11,550	$	150	12,784	$	115

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

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

Restricted Stock

~~Each independent director is issued a restricted stock award of 2,000~~The Company periodically grants shares of ~~the Company’s~~its common ~~stock subject to a~~ ~~one~~-year vesting period upon initial appointment to the Company’s Board of Directors. On August 17, 2016, the Company granted 153,000 shares of restricted stock to employees of its Manager and Servicer, which was reduced in 2017 by forfeitures of 4,000 shares and in 2018 by forfeitures of 2,666 shares and in 2019 by forfeitures of 1,667 shares. On July 24, 2017, the Company granted 39,000 shares of restricted stock to employees of its Manager and Servicer, which was reduced in 2019 by forfeitures of 333 shares. On July 31, 2018, the Company granted 36,500 shares of restricted stock to employees of its Manager and Servicer, which was reduced in 2019 by forfeitures of 2,500 shares. On August 1, 2019, the Company granted 79,000 shares of restricted stock to employees of its Manager and Servicer, which was reduced in 2020 by forfeitures of 2,000 shares. On August 13, 2020, the Company granted 108,750 shares of restricted stock to employees of its Manager and Servicer. The shares granted in 2021 vest over four years, with one-fourth of the shares vesting on the each of the first, second, third and fourth anniversaries of the grant date. The shares granted prior to 2021 vest over three years, with ~~one third~~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 or fourth anniversary of the grant ~~date.~~date, as determined by the contract. 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 was issued a restricted stock award of 2,000 shares of the Company’s common stock upon joining the Board. Additionally, the Company may issue grants of its shares of common stock from time to time to its directors.

The ~~following table sets~~accompanying notes are an integral part of the consolidated interim financial statements.

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 ~~activity in the Company’s restricted stock plans ($ in thousands, except per share amounts):~~table below:

Total Grants Current period activity Non-vested shares at September 30, 2020 Fully-vested shares at September 30, 2020
Three months ended September 30, 2020 Total shares granted Total expected cost of grant Shares granted during the year Grant expense recognized for the three months ended September 30, 2020 Shares Per share grant date fair value Shares Per share grant date fair value
Employee and Service Provider Grant 2017(1,5)
38,667 $ 539 0 $ 15 0 $ 13.95 38,667 $ 13.95
Employee and Service Provider Grant 2018(2,6)
34,000 462 0 38 11,333 13.58 22,667 13.58
Employee and Service Provider Grant 2019(3,7)
77,000 1,073 0 76 50,667 13.94 26,333 13.94
Employee and Service Provider Grant 2020(4)
108,750 1,039 108,750 58 108,750 9.55 — 0
Totals 258,417 $ 3,113 108,750 $ 187 170,750 $ 11.12 87,667 $ 13.85


	Employee and Service Provider Grants			Director Grants
	Shares	Weighted Average Grant Date Fair Value		Shares	Weighted Average Grant Date Fair Value
Nine months ended September 30, 2021
December 31, 2020 outstanding unvested share grants	163,083	$	11.07	—	$	—
Shares vested	—	—		(2,000)	12.00
Shares forfeited	—	—		—	—
Shares granted	—	—		2,000	12.00
March 31, 2021 outstanding unvested share grants	163,083	$	11.07	—	$	—
Shares vested	—	—		(8,000)	12.60
Shares forfeited	—	—		—	—
Shares granted	—	—		16,000	12.60
June 30, 2021 outstanding unvested share grants	163,083	$	11.07	8,000	$	12.60
Shares vested	(65,305)	11.74		—	—
Shares forfeited	(14,168)	10.88		—	—
Shares granted	152,700	12.79		—	—
September 30, 2021 outstanding unvested share grants	236,310	$	12.01	8,000	$	12.60

~~(1)Vesting is ratable over~~ ~~three-year period from grant date. Grant is fully vested at September 30, 2020.~~

~~(2)Vesting is ratable over~~ ~~three-year period from grant date. Weighted average remaining life of grant at September 30, 2020 is 0.9 years.~~

~~(3)Vesting is ratable over~~ ~~three-year period from grant date. Weighted average remaining life of grant at September 30, 2020 is 1.8 years.~~

~~(4)Vesting is ratable over~~ ~~three-year period from grant date. Weighted average remaining life of grant at September 30, 2020 is 2.9 years.~~

~~(5)Total is shown net of 2019 forfeitures of 333 shares.~~

~~(6)Total is shown net of 2019 forfeitures of 2,500 shares.~~

~~(7)Total is shown net of 2020 forfeitures of 2,000 shares.~~


	Employee and Service Provider Grants			Director Grants
	Shares	Weighted Average Grant Date Fair Value		Shares	Weighted Average Grant Date Fair Value
Nine months ended September 30, 2020
December 31, 2019 outstanding unvested share grants	114,334	$	13.83	—	$	—
Shares vested	—	—		—	—
Shares forfeited	—	—		—	—
Shares granted	—	—		—	—
March 31, 2020 outstanding unvested share grants	114,334	$	13.83	—	$	—
Shares vested	—	—		—	—
Shares forfeited	—	—		—	—
Shares granted	—	—		—	—
June 30, 2020 outstanding unvested share grants	114,334	$	13.83	—	$	—
Shares vested	(50,334)	13.86		—	—
Shares forfeited	(2,000)	12.06		—	—
Shares granted	108,750	9.55		—	—
September 30, 2020 outstanding unvested share grants	170,750	$	11.11	—	$	—

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

Total Grants Current period activity Non-vested shares at September 30, 2019 Fully-vested shares at September 30, 2019
Three months ended September 30, 2019 Total shares granted Total expected cost of grant Shares granted during the year Grant expense recognized for the three months ended September 30, 2019 Shares Per share grant date fair value Shares Per share grant date fair value
Directors’ Grants 2018(1)
12,000 $ 162 0 $ 0 0 $ 13.48 12,000 $ 13.48
Employee and Service Provider Grant 2016(2,6)
144,667 1,953 0 62 0 13.50 144,667 13.50
Employee and Service Provider Grant 2017(3)
39,000 544 0 45 13,000 13.95 26,000 13.95
Employee and Service Provider Grant 2018(4,7)
34,000 462 0 39 22,667 13.58 11,333 13.58
Employee and Service Provider Grant 2019(5)
79,000 1,101 79,000 61 79,000 13.94 — 0
Totals 308,667 $ 4,222 79,000 $ 207 114,667 $ 13.87 194,000 $ 13.56
The following table presents the expenses for the Company's restricted stock plan for the years ended ($ in thousands):

~~(1)Half of the 12,000 shares granted vested immediately on the grant date while the remaining shares vest ratably over a one-year period. Grant is fully vested at September 30, 2019.~~

~~(2)Vesting is ratable over~~ ~~three-year period from grant date. Grant is fully vested at September 30, 2019~~

~~(3)Vesting is ratable over~~ ~~three-year period from grant date. Weighted average remaining life of grant at September 30, 2019 is 0.8 years.~~

~~(4)Vesting is ratable over~~ ~~three-year period from grant date. Weighted average remaining life of grant at September 30, 2019 is 1.9 years.~~

~~(5)Vesting is ratable over~~ ~~three-year period from grant date. Weighted average remaining life of grant at September 30, 2019 is 2.8 years.~~

~~(6)Total is shown net of 2017 forfeitures of 4,000 shares, 2018 forfeitures of 2,666 shares and 2019 forfeitures of 1,667 shares.~~

~~(7)Total is shown net of 2019 forfeitures of 2,500 shares.~~

Total Grants Current period activity Non-vested shares at September 30, 2020 Fully-vested shares at September 30, 2020
Nine months ended September 30, 2020 Total shares granted Total expected cost of grant Shares granted during the year Grant expense recognized for the nine months ended September 30, 2020 Shares Per share grant date fair value Shares Per share grant date fair value
Employee and Service Provider Grant 2017(1,5)
38,667 $ 539 0 $ 103 0 $ 13.95 38,667 $ 13.95
Employee and Service Provider Grant 2018(2,6)
34,000 462 0 114 11,333 13.58 22,667 13.58
Employee and Service Provider Grant 2019(3,7)
77,000 1,073 0 260 50,667 13.94 26,333 13.94
Employee and Service Provider Grant 2020(4)
108,750 1,039 108,750 58 108,750 9.55 — 0
Totals 258,417 $ 3,113 108,750 $ 535 170,750 $ 11.12 87,667 $ 13.85