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, ~~2021~~2022

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

13190 SW 68th Parkway, Suite 110

Tigard, OR 97223

(Address of principal executive offices and Zip Code)

503-505-5670

Registrant’s telephone number, including area code

Securities registered pursuant to Section 12(b) of the Act:

Title of each class

Trading Symbols

Name of each exchange on which registered

Common stock, par value $0.01 per share

AJX

New York Stock Exchange

7.25% Convertible Senior Notes due 2024

AJXA

New York Stock Exchange

Indicate by check mark whether the Registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the Registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☒ No ☐

Indicate by check mark whether the Registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the Registrant was required to submit such files). Yes ☒ No ☐

Indicate by check mark whether the Registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company or an emerging growth company. See definition of “large accelerated filer,” “accelerated filer,” “smaller reporting company” and "emerging growth company" in Rule 12b-2 of the Exchange Act. (check one):


Large accelerated filer	☐	Accelerated filer	☒
Non-accelerated filer (Do not check if a smaller reporting company)	☐	Smaller reporting company	☐
Emerging Growth Company	☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No ☒

As of November ~~3, 2021, 23,143,037~~2, 2022, 22,892,634 shares of the registrant’s common stock, par value $0.01 per share, were outstanding.

PART I. FINANCIAL INFORMATION

Item 1. Consolidated Interim Financial Statements

GREAT AJAX CORP. AND SUBSIDIARIES

CONSOLIDATED BALANCE SHEETS


($ in thousands except per share data)	($ in thousands except per share data)	September 30, 2021		December 31, 2020		($ in thousands except per share data)	September 30, 2022		December 31, 2021
ASSETS	ASSETS	(Unaudited)				ASSETS	(Unaudited)
Cash and cash equivalents	Cash and cash equivalents	$	92,843	$	107,147	Cash and cash equivalents	$	72,896	$	84,426
Cash held in trust		2,534		188
Mortgage loans held-for-sale, net						Mortgage loans held-for-sale, net	—		29,572
Mortgage loans held-for-investment, net(1,2)	Mortgage loans held-for-investment, net(1,2)	976,351		1,119,372		Mortgage loans held-for-investment, net (1,2)	1,006,386		1,080,434
Mortgage loans held-for-sale, net		30,963		—
Real estate owned properties, net(3)	Real estate owned properties, net(3)	6,097		8,526		Real estate owned properties, net(3)	6,074		6,063
Investments in securities at fair value(4)	Investments in securities at fair value(4)	340,082		273,834		Investments in securities at fair value(4)	257,812		355,178
Investments in beneficial interests(5)	Investments in beneficial interests(5)	139,494		91,418		Investments in beneficial interests(5)	127,669		139,588
Receivable from servicer	Receivable from servicer	18,128		15,755		Receivable from servicer	8,803		20,899
Investments in affiliates	Investments in affiliates	27,464		28,616		Investments in affiliates	30,944		27,020
Prepaid expenses and other assets	Prepaid expenses and other assets	14,132		8,876		Prepaid expenses and other assets	16,390		16,500
Total assets	Total assets	$	1,648,088	$	1,653,732	Total assets	$	1,526,974	$	1,759,680
LIABILITIES AND EQUITY	LIABILITIES AND EQUITY					LIABILITIES AND EQUITY
Liabilities:	Liabilities:					Liabilities:
Secured borrowings, net(1,2,6)	Secured borrowings, net(1,2,6)	$	612,592	$	585,403	Secured borrowings, net(1,2,6)	$	481,824	$	575,563
Borrowings under repurchase transactions	Borrowings under repurchase transactions	399,340		421,132		Borrowings under repurchase transactions	463,256		546,054
Convertible senior notes, net(6)	Convertible senior notes, net(6)	103,754		110,057		Convertible senior notes, net(6)	104,061		102,845
Notes payable, net(6)						Notes payable, net(6)	106,169		—
Management fee payable	Management fee payable	2,289		2,247		Management fee payable	1,945		2,279
Put option liability	Put option liability	20,843		14,205		Put option liability	10,722		23,667
Accrued expenses and other liabilities	Accrued expenses and other liabilities	6,165		6,197		Accrued expenses and other liabilities	7,501		8,799
Total liabilities	Total liabilities	1,144,983		1,139,241		Total liabilities	1,175,478		1,259,207
Commitments and contingencies – see Note 8	Commitments and contingencies – see Note 8	0		0		Commitments and contingencies – see Note 8
Equity:	Equity:					Equity:
Preferred stock, $0.01 par value, 25,000,000 shares authorized	Preferred stock, $0.01 par value, 25,000,000 shares authorized					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
Series A 7.25% Fixed-to-Floating Rate Cumulative Redeemable, $25.00 liquidation preference per share, 424,949 shares issued and outstanding at September 30, 2022 and 2,307,400 shares issued and outstanding at December 31, 2021						Series A 7.25% Fixed-to-Floating Rate Cumulative Redeemable, $25.00 liquidation preference per share, 424,949 shares issued and outstanding at September 30, 2022 and 2,307,400 shares issued and outstanding at December 31, 2021	9,411		51,100
Series B 5.00% Fixed-to-Floating Rate Cumulative Redeemable, $25.00 liquidation preference per share, 1,135,590 shares issued and outstanding at September 30, 2022 and 2,892,600 shares issued and outstanding at December 31, 2021						Series B 5.00% Fixed-to-Floating Rate Cumulative Redeemable, $25.00 liquidation preference per share, 1,135,590 shares issued and outstanding at September 30, 2022 and 2,892,600 shares issued and outstanding at December 31, 2021	25,143		64,044
Common stock $0.01 par value; 125,000,000 shares authorized, 22,883,634 shares issued and outstanding at September 30, 2022 and 23,146,775 shares issued and outstanding at December 31, 2021						Common stock $0.01 par value; 125,000,000 shares authorized, 22,883,634 shares issued and outstanding at September 30, 2022 and 23,146,775 shares issued and outstanding at December 31, 2021	235		233
Additional paid-in capital	Additional paid-in capital	315,611		317,424		Additional paid-in capital	317,273		316,162
Treasury stock	Treasury stock	(1,539)		(1,159)		Treasury stock	(6,695)		(1,691)
Retained earnings	Retained earnings	66,958		53,346		Retained earnings	26,375		66,427
Accumulated other comprehensive income		3,418		375
Accumulated other comprehensive (loss)/income						Accumulated other comprehensive (loss)/income	(22,420)		1,020
Equity attributable to stockholders	Equity attributable to stockholders	499,824		485,361		Equity attributable to stockholders	349,322		497,295
Non-controlling interests(7)	Non-controlling interests(7)	3,281		29,130		Non-controlling interests(7)	2,174		3,178
Total equity	Total equity	503,105		514,491		Total equity	351,496		500,473
Total liabilities and equity	Total liabilities and equity	$	1,648,088	$	1,653,732	Total liabilities and equity	$	1,526,974	$	1,759,680

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

(1)Mortgage loans held-for-investment, net include ~~$790.9~~$687.0 million and ~~$842.2~~$756.8 million of loans at September 30, ~~2021~~2022 and December 31, ~~2020,~~2021, 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 ~~$13.9~~$5.2 million and ~~$13.7~~$7.1 million of allowance for expected credit losses at September 30, ~~2021~~2022 and December 31, ~~2020,~~2021, respectively.

(2)As of September 30, 2022 and December 31, 2021, balances for Mortgage loans held-for-investment, net include ~~$1.5~~$0.9 million and $1.4 million, respectively, from a 50.0% owned joint venture. As of December 31, 2020, balances for Mortgage loans held-for-investment, net include $307.1 million and Secured borrowings, net of deferred costs includes $250.6 million from 50.0% and 63.0% owned joint ventures, all ofventure, which the Company consolidates under U.S. Generally Accepted Accounting Principles ("U.S. GAAP" or "GAAP"). ~~The creditors do not have recourse to the primary beneficiary (Great Ajax Corp.). See Note 9 — Debt.~~

(3)Real estate owned properties, net, are presented net of valuation allowances of $0.4 million and ~~$1.4~~$0.5 million at September 30, ~~2021~~2022 and December 31, ~~2020,~~2021, respectively.

(4)As of September 30, ~~2021 and December 31, 2020,~~2022, Investments in securities at fair value include an amortized cost basis of ~~$336.7~~$280.2 million and ~~$273.4~~a net unrealized loss of $22.4 million. As of December 31, 2021, Investments in securities at fair value include an amortized cost basis of $354.2 million ~~respectively,~~ and net unrealized gains of ~~$3.4 million and $0.4 million, respectively.~~$1.0 million.

(5)Investments in beneficial interests includes allowance for expected credit losses of ~~$0.6 million~~zero and ~~$4.5~~$0.6 million at September 30, ~~2021~~2022 and December 31, ~~2020,~~2021, respectively.

(6)Secured borrowings, net are presented net of deferred issuance costs of ~~$8.3~~$5.1 million at September 30, ~~2021~~2022 and ~~$5.4~~$7.3 million at December 31, ~~2020.~~2021. Convertible senior notes, net are presented net of deferred issuance costs of ~~$2.1~~$0.5 million and $1.7 million at September 30, 2022 and December 31, 2021, respectively. Notes payable, net are presented net of deferred issuance costs and ~~$3.3~~discount of $3.8 million at September 30, 2022 and zero at December 31, ~~2020.~~2021.

(7)As of September 30, 2022 non-controlling interests includes $1.0 million from a 50.0% owned joint venture, $1.1 million from a 53.1% owned subsidiary and $0.1 million from a 99.9% owned subsidiary. As of December 31, 2021 non-controlling interests includes $1.8 million from a 50.0% owned joint venture, $1.3 million from a 53.1% owned subsidiary and $0.1 million from a 99.9% owned subsidiary. As of December 31, 2020 non-controlling interests includes $27.4 million from the 50.0% and 63.0% owned joint ventures, $1.5 million from a 53.1% owned subsidiary and $0.2 million from a 99.9% owned subsidiary which the Company ~~consolidates under U.S. GAAP.~~consolidates.

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

GREAT AJAX CORP. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF ~~INCOME~~OPERATIONS

(Unaudited)


		Three months ended				Nine months ended					Three months ended				Nine months ended
($ in thousands except per share data)	($ in thousands except per share data)	September 30, 2021		September 30, 2020		September 30, 2021		September 30, 2020		($ in thousands except per share data)	September 30, 2022		September 30, 2021		September 30, 2022		September 30, 2021
INCOME	INCOME									INCOME
Interest income	Interest income	$	23,054	$	23,517	$	70,137	$	73,576	Interest income	$	20,021	$	23,054	$	64,133	$	70,137
Interest expense	Interest expense	(8,609)		(11,727)		(27,743)		(37,855)		Interest expense	(11,369)		(8,609)		(29,150)		(27,743)
Net interest income	Net interest income	14,445		11,790		42,394		35,721		Net interest income	8,652		14,445		34,983		42,394
Net decrease in the net present value of expected credit losses(1)	Net decrease in the net present value of expected credit losses(1)	3,678		4,440		13,927		4,591		Net decrease in the net present value of expected credit losses(1)	1,935		3,678		6,874		13,927
Net interest income after the impact of changes in the net present value of expected credit losses	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		Net interest income after the impact of changes in the net present value of expected credit losses	10,587		18,123		41,857		56,321
Income/(loss) from investments in affiliates		90		(25)		610		(465)
Other income		778		537		1,620		1,259
(Loss)/income from investments in affiliates										(Loss)/income from investments in affiliates	(451)		90		(869)		610
Other income/(loss)										Other income/(loss)	386		778		(6,727)		1,620
Total revenue, net	Total revenue, net	18,991		16,742		58,551		41,106		Total revenue, net	10,522		18,991		34,261		58,551
EXPENSE	EXPENSE									EXPENSE
Related party expense – loan servicing fees	Related party expense – loan servicing fees	1,743		1,848		5,275		5,798		Related party expense – loan servicing fees	1,952		1,743		6,049		5,275
Related party expense – management fee	Related party expense – management fee	2,292		2,264		6,835		6,206		Related party expense – management fee	1,948		2,292		6,604		6,835
Professional fees	Professional fees	526		576		1,929		2,113		Professional fees	667		526		1,431		1,929
Real estate operating expenses	Real estate operating expenses	(76)		173		197		1,273		Real estate operating expenses	(16)		(76)		136		197
Fair value adjustment on put option liability	Fair value adjustment on put option liability	2,493		1,766		6,638		3,016		Fair value adjustment on put option liability	2,917		2,493		9,712		6,638
Other expense	Other expense	1,227		986		3,906		3,048		Other expense	1,377		1,227		4,299		3,906
Total expense	Total expense	8,205		7,613		24,780		21,454		Total expense	8,845		8,205		28,231		24,780
Acceleration of put option settlement										Acceleration of put option settlement	8,813		—		12,344		—
Loss on debt extinguishment	Loss on debt extinguishment	—		253		1,072		661		Loss on debt extinguishment	—		—		—		1,072
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
(Loss)/income before provision for income taxes										(Loss)/income before provision for income taxes	(7,136)		10,786		(6,314)		32,699
Provision for income taxes										Provision for income taxes	2,367		102		2,339		203
Consolidated net (loss)/income										Consolidated net (loss)/income	(9,503)		10,684		(8,653)		32,496
Less: consolidated net (loss)/income attributable to the non-controlling interest	Less: consolidated net (loss)/income attributable to the non-controlling interest	(578)		1,662		(47)		3,493		Less: consolidated net (loss)/income attributable to the non-controlling interest	(42)		(578)		70		(47)
Consolidated net income attributable to Company		11,262		7,230		32,543		15,713
Consolidated net (loss)/income attributable to Company										Consolidated net (loss)/income attributable to Company	(9,461)		11,262		(8,723)		32,543
Less: dividends on preferred stock	Less: dividends on preferred stock	1,949		1,950		5,848		3,791		Less: dividends on preferred stock	1,053		1,949		4,927		5,848
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
Less: discount on retirement of preferred stock										Less: discount on retirement of preferred stock	5,735		—		8,194		—
Consolidated net (loss)/income attributable to common stockholders										Consolidated net (loss)/income attributable to common stockholders	$	(16,249)	$	9,313	$	(21,844)	$	26,695
Basic (loss)/earnings per common share										Basic (loss)/earnings per common share	$	(0.71)	$	0.40	$	(0.95)	$	1.16
Diluted (loss)/earnings per common share										Diluted (loss)/earnings per common share	$	(0.71)	$	0.38	$	(0.95)	$	1.10
Weighted average shares – basic	Weighted average shares – basic	22,862,429		22,844,192		22,835,237		22,575,480		Weighted average shares – basic	22,538,891		22,862,429		22,737,182		22,835,237
Weighted average shares – diluted	Weighted average shares – diluted	30,407,649		22,989,616		30,286,613		22,575,480		Weighted average shares – diluted	22,833,465		30,407,649		23,014,197		30,286,613

(1)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 and nine months ended September 30, ~~2021~~2022 and ~~September 30, 2020, respectively.~~2021. It represents the net increase of the present value of the expected cash flows in excess of contractual cash flows offset by any incremental provision expense on the Mortgage loan pools and 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 pool or Beneficial interest has an associated allowance, the decrease in expected credit losses is recorded in the period in which the 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 (LOSS) INCOME

(Unaudited)

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


	Three months ended				Nine months ended
($ in thousands)	September 30, 2022		September 30, 2021		September 30, 2022		September 30, 2021
Consolidated net (loss)/income attributable to common stockholders	$	(16,249)	$	9,313	$	(21,844)	$	26,695
Other comprehensive (loss)/income:
Net unrealized (loss)/income on investments in available-for-sale debt securities	(3,724)		1,767		(23,440)		3,043
Income tax expense related to items of other comprehensive income	—		—		—		—
Comprehensive (loss)/income	$	(19,973)	$	11,080	$	(45,284)	$	29,738

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					Nine months ended
($ in thousands)	($ in thousands)	September 30, 2021		September 30, 2020		($ in thousands)	September 30, 2022		September 30, 2021
CASH FLOWS FROM OPERATING ACTIVITIES	CASH FLOWS FROM OPERATING ACTIVITIES					CASH FLOWS FROM OPERATING ACTIVITIES
Consolidated net income		$	32,496	$	19,206
Consolidated net (loss)/income						Consolidated net (loss)/income	$	(8,653)	$	32,496
Adjustments to reconcile net income to net cash from operating activities	Adjustments to reconcile net income to net cash from operating activities					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)
Stock-based management fee and compensation expense						Stock-based management fee and compensation expense	1,536		979
Discount accretion on mortgage loans						Discount accretion on mortgage loans	(11,011)		(15,495)
Interest and discount accretion on investment in debt securities	Interest and discount accretion on investment in debt securities	(8,159)		(5,074)		Interest and discount accretion on investment in debt securities	(8,001)		(8,159)
Discount accretion on investment in beneficial interests	Discount accretion on investment in beneficial interests	(12,339)		(7,982)		Discount accretion on investment in beneficial interests	(8,831)		(12,339)
Loss on sale of mortgage loans		—		705
Gain on refinancing of securitization trust 2017-D		(122)		—
Gain on sale of mortgage loans						Gain on sale of mortgage loans	—		(122)
Loss on debt extinguishment	Loss on debt extinguishment	1,072		661		Loss on debt extinguishment	—		1,072
Gain on sale of property held-for-sale		(572)		(957)
Gain on sale of securities		(201)		(145)
Depreciation of property		7		23
Gain on sale of real estate owned properties						Gain on sale of real estate owned properties	(759)		(572)
Loss/(gain) on sale of securities						Loss/(gain) on sale of securities	860		(201)
Impairment of real estate owned	Impairment of real estate owned	170		1,155		Impairment of real estate owned	78		170
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
Credit loss expense on mortgage loans and beneficial interests						Credit loss expense on mortgage loans and beneficial interests	357		1,197
Net decrease in the net present value of expected credit losses(1)						Net decrease in the net present value of expected credit losses(1)	(6,874)		(13,927)
Loss on loans and joint venture refinancing on beneficial interests						Loss on loans and joint venture refinancing on beneficial interests	8,038		—
Amortization of debt discount and prepaid financing costs	Amortization of debt discount and prepaid financing costs	4,777		3,924		Amortization of debt discount and prepaid financing costs	2,845		4,777
Undistributed (income)/loss from investment in affiliates		(610)		465
Undistributed loss/(income) from investment in affiliates						Undistributed loss/(income) from investment in affiliates	869		(610)
Fair value adjustment on put option liability	Fair value adjustment on put option liability	6,638		3,016		Fair value adjustment on put option liability	9,712		6,638
Preferred stock non-cash						Preferred stock non-cash	(108)		—
Acceleration of put option settlement						Acceleration of put option settlement	12,344		—
Other non-cash charges	Other non-cash charges	(3)		—		Other non-cash charges	14		4
Net change in operating assets and liabilities	Net change in operating assets and liabilities					Net change in operating assets and liabilities
Prepaid expenses and other assets	Prepaid expenses and other assets	(8,759)		2,355		Prepaid expenses and other assets	(139)		(8,571)
Receivable from Servicer	Receivable from Servicer	(2,373)		618		Receivable from Servicer	12,111		(2,373)
Accrued expenses, management fee payable, and other liabilities	Accrued expenses, management fee payable, and other liabilities	12		1,316		Accrued expenses, management fee payable, and other liabilities	(353)		12
Net cash from operating activities	Net cash from operating activities	(15,212)		(6,055)		Net cash from operating activities	4,035		(15,024)
CASH FLOWS FROM INVESTING ACTIVITIES	CASH FLOWS FROM INVESTING ACTIVITIES					CASH FLOWS FROM INVESTING ACTIVITIES
Purchase of mortgage loans and related balances	Purchase of mortgage loans and related balances	(128,422)		(44,846)		Purchase of mortgage loans and related balances	(10,690)		(128,422)
Principal paydowns on mortgage loans	Principal paydowns on mortgage loans	145,442		91,161		Principal paydowns on mortgage loans	126,791		145,442
Draws on small balance commercial loans						Draws on small balance commercial loans	—		(10,366)
Proceeds from sale of mortgage loans	Proceeds from sale of mortgage loans	—		25,412		Proceeds from sale of mortgage loans	—		125,975
Proceeds from refinancing of securitization trust		125,975		—
Draws on small balance commercial loans		(10,366)		—
Proceeds from refinancing and sale of securities						Proceeds from refinancing and sale of securities	123,933		90,229
Purchase of securities	Purchase of securities	(286,461)		(144,682)		Purchase of securities	(84,492)		(286,461)
Principal and interest collection on debt securities	Principal and interest collection on debt securities	111,238		37,921		Principal and interest collection on debt securities	56,275		111,238
Proceeds from payoff and sale of securities		90,229		38,944
Proceeds from sale of property held-for-sale	Proceeds from sale of property held-for-sale	5,835		9,101		Proceeds from sale of property held-for-sale	4,029		5,835
Renovations and recovery costs of rental property and property held-for-sale		—		54
Purchase of property held-for-sale						Purchase of property held-for-sale	(27)		—
Investment in equity method investments						Investment in equity method investments	(6,090)		—
Distribution from affiliates	Distribution from affiliates	1,381		1,082		Distribution from affiliates	946		1,381
Net cash from investing activities	Net cash from investing activities	54,851		14,147		Net cash from investing activities	210,675		54,851
CASH FLOWS FROM FINANCING ACTIVITIES	CASH FLOWS FROM FINANCING ACTIVITIES					CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from repurchase transactions						Proceeds from repurchase transactions	138,244		376,301

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


Proceeds from repurchase transactions		376,301		270,019
Repayments on repurchase transactions	Repayments on repurchase transactions	(398,093)		(268,714)		Repayments on repurchase transactions	(221,042)		(398,093)
Proceeds from origination of secured borrowings	Proceeds from origination of secured borrowings	391,028		114,534		Proceeds from origination of secured borrowings	—		391,028
Repayments on secured borrowings	Repayments on secured borrowings	(354,990)		(153,932)		Repayments on secured borrowings	(95,939)		(354,990)
Payment of prepaid financing costs		(7,339)		(1,861)
Payment of prepaid financing costs on secured borrowings						Payment of prepaid financing costs on secured borrowings	—		(7,339)
Purchase of bonds of non-controlling interest in subsidiaries	Purchase of bonds of non-controlling interest in subsidiaries	(5,887)		—		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	(7,463)		(10,481)		Repurchase of the Company's senior convertible notes	(75)		(7,463)
Proceeds from issuance of preferred stock and warrants, net of offering costs		—		124,976
Proceeds from notes payable						Proceeds from notes payable	108,910		—
Payment of prepaid financing costs on notes payable						Payment of prepaid financing costs on notes payable	(2,806)		—
Repurchase of preferred stock and warrants						Repurchase of preferred stock and warrants	(124,958)		—
Repurchase of common stock						Repurchase of common stock	(4,653)		—
Sale of common stock, net of offering costs	Sale of common stock, net of offering costs	99		—		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	166		86		Sale of common stock pursuant to dividend reinvestment plan	288		166
Redemption of non-controlling interests in subsidiaries		(26,163)		—
Acquisition of non-controlling interest in subsidiary						Acquisition of non-controlling interest in subsidiary	—		(26,163)
Distribution to non-controlling interests	Distribution to non-controlling interests	(325)		(227)		Distribution to non-controlling interests	(1,074)		(325)
Issuance of non-controlling interests in subsidiaries		—		145
Dividends on common stock and preferred stock		(18,931)		(11,621)
Dividends paid on common stock and preferred stock						Dividends paid on common stock and preferred stock	(23,135)		(18,931)
Net cash from financing activities	Net cash from financing activities	(51,597)		62,924		Net cash from financing activities	(226,240)		(51,597)
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		107,335		64,363
CASH, CASH EQUIVALENTS AND CASH HELD IN TRUST, end of period		$	95,377	$	135,379
NET CHANGE IN CASH AND CASH EQUIVALENTS						NET CHANGE IN CASH AND CASH EQUIVALENTS	(11,530)		(11,770)
CASH AND CASH EQUIVALENTS, beginning of period						CASH AND CASH EQUIVALENTS, beginning of period	84,426		107,147
CASH AND CASH EQUIVALENTS, end of period						CASH AND CASH EQUIVALENTS, end of period	$	72,896	$	95,377
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	$	22,151	$	32,511	Cash paid for interest	$	26,716	$	22,151
Cash paid for income taxes	Cash paid for income taxes	$	57	$	60	Cash paid for income taxes	$	828	$	358
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		$	159,733	$	—
Net transfer of loans to rental property or property held-for-sale						Net transfer of loans to rental property or property held-for-sale	$	3,332	$	3,013
Issuance of common stock for management fee and compensation expense						Issuance of common stock for management fee and compensation expense	$	1,536	$	979
Treasury stock received through distributions from investment in Manager						Treasury stock received through distributions from investment in Manager	$	350	$	380
Non-cash adjustments to basis in mortgage loans	Non-cash adjustments to basis in mortgage loans	$	3,193	$	43	Non-cash adjustments to basis in mortgage loans	$	18	$	3,193
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		$	3,013	$	1,515
Issuance of common stock for compensation expense		$	979	$	650
Treasury stock received through distributions from investment in Manager		$	380	$	164
Issuance of common stock for dividends		$	—	$	7,097
Other non-cash charges						Other non-cash charges	$	14	$	4
Preferred stock non-cash						Preferred stock non-cash	$	(108)	$	—
Unrealized (loss)/gain on available for sale securities, net of non-controlling interest and tax						Unrealized (loss)/gain on available for sale securities, net of non-controlling interest and tax	$	(23,440)	$	3,043
Net transfer of loans (to)/from mortgage held-for-investment, net (from)/to mortgage loans held-for-sale, net						Net transfer of loans (to)/from mortgage held-for-investment, net (from)/to mortgage loans held-for-sale, net	$	(29,572)	$	159,733

(1)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 nine months ended September 30, 2022 and 2021. It represents the net increase of the present value of the expected cash flows in excess of contractual cash flows offset by any incremental provision expense on the Mortgage loan pools and 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 pool or Beneficial interest has an associated allowance, the decrease in expected credit losses is recorded in the period in which the change occurs, otherwise it is recognized prospectively as an increase in yield.

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

September 30, 2021 September 30, 2020
Cash and cash equivalents $ 92,843 $ 135,190
Cash held in trust 2,534 189
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) 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 nine months ended September 30, 2020
Balance at December 31, 2019 — $ — — $ — 22,142,143 $ 222 $ (458) $ 309,395 $ 49,446 $ 1,277 $ 359,882 $ 24,202 $ 384,084
Net income — — — — — — — — 400 — 400 1,096 1,496
Issuance of shares of subsidiary — — — — — — — 145 — — 145 — 145
Stock-based compensation expense — — — — 2,600 — — 214 — — 214 — 214
Dividends declared ($0.32 per share) and distributions — — — — 781,222 8 — 7,089 (7,097) — — (84) (84)
Convertible senior notes repurchase — — — — — — — (81) — — (81) — (81)
Other comprehensive loss — — — — — — — — — (28,444) (28,444) — (28,444)
Treasury stock — — — — (4,030) — (56) — — — (56) — (56)
Balance at March 31, 2020 — $ — — $ — 22,921,935 $ 230 $ (514) $ 316,762 $ 42,749 $ (27,167) $ 332,060 $ 25,214 $ 357,274
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
Issuance of shares under dividend reinvestment plan — — — — 5,057 — — 41 — — 41 — 41
Stock-based compensation expense — — — — 3,468 — — 214 — — 214 — 214


($ 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 nine months ended September 30, 2021
Balance at December 31, 2020	2,307,400	$	51,100	2,892,600	$	64,044	22,978,339	$	231	$	(1,159)	$	317,424	$	53,346	$	375	$	485,361	$	29,130	$	514,491
Net income	—	—		—	—		—	—		—		—		8,953		—		8,953		1,689		10,642
Issuance of shares under dividend reinvestment plan	—	—		—	—		4,228	—		—		47		—		—		47		—		47
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)

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		($ 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		—	—		—	—		—	—		—		—		(5,748)		—			(5,748)			(66)				(5,814)
Stock-based compensation expense																			Stock-based compensation expense			—			—					—		—			19,945		—			—			374			—			—			374			—			374
Dividends declared ($0.19 per share) and distributions																			Dividends declared ($0.19 per share) and distributions			—			—					—		—			—		—			—			—			(6,326)			—			(6,326)			(169)			(6,495)
Other comprehensive loss																			Other comprehensive loss			—			—					—		—			—		—			—			—			—			(30)			(30)			—			(30)
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			—			—					—		—			5,049		—			—			71			—			—			71			—			71
Distribution to non-controlling interest																			Distribution to non-controlling interest			—			—					—		—			—		—			—			—			—			—			—			(307)			(307)
Stock-based compensation expense																			Stock-based compensation expense			—			—					—		—			142,557		1			—			310			—			—			311			—			311
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			—				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)		—		—		—			(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

Balance at nine months ended September 30, 2021
Balance at December 31, 2020		2,307,400	$	51,100	2,892,600	$	64,044	22,978,339	$	231	$	(1,159)	$	317,424	$	53,346	$	375		$	485,361		$	29,130			$	514,491
Net income		—	—		—	—		—	—		—		—		8,953		—			8,953			1,689				10,642

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		($ 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
Balance at nine months ended September 30, 2022																			Balance at nine months ended September 30, 2022
Balance at December 31, 2021																			Balance at December 31, 2021			2,307,400			$	51,100				2,892,600		$	64,044		23,146,775		$	233		$	(1,691)		$	316,162		$	66,427		$	1,020		$	497,295		$	3,178		$	500,473
Net income	Net income	—	—		—	—		—	—		—		—		12,328		—			12,328			(1,158)				11,170		Net income		—			—		—			—			—			—			—			—			5,535			—			5,535	96	5,631
Issuance of shares under dividend reinvestment plan	Issuance of shares under dividend reinvestment plan	—	—		—	—		3,820	—		—		48		—		—			48			—				48		Issuance of shares under dividend reinvestment plan		—			—		—			—			9,739			—			—			115			—			—			115	—	115
Distribution to non-controlling interest	Distribution to non-controlling interest	—	—		—	—		—	—		—		—		—		—			—			(16,864)				(16,864)		Distribution to non-controlling interest		—			—		—			—			—			—			—			—			—			—			—	(819)	(819)
Stock-based management fee expense																			Stock-based management fee expense			—			—					—		—			39,558		1			—			436			—			—			437			—			437
Stock-based compensation expense	Stock-based compensation expense	—	—		—	—		19,945	—		—		374		—		—			374			—				374		Stock-based compensation expense		—			—		—			—			8,900			—			—			324			—			—			324	—	324
Dividends declared ($0.19 per share) and distributions		—	—		—	—		—	—		—		—		(6,326)		—			(6,326)			(169)				(6,495)
Dividends declared ($0.26 per share) and distributions																			Dividends declared ($0.26 per share) and distributions			—			—					—		—			—		—			—			—			(7,966)			—			(7,966)			(90)			(8,056)
Other comprehensive loss	Other comprehensive loss	—	—		—	—		—	—		—		—		—		(30)			(30)			—				(30)		Other comprehensive loss		—			—		—			—			—			—			—			—			—			(9,778)			(9,778)	—	(9,778)
Reclass of conversion premium - convertible notes																			Reclass of conversion premium - convertible notes			—			—					—		—			—		—			—			(711)			—			—			(711)			—			(711)
Treasury stock																			Treasury stock			—			—					—		—			(10,406)		—			(117)			—			—			—			(117)			—			(117)
Balance at March 31, 2022																			Balance at March 31, 2022			2,307,400			$	51,100				2,892,600		$	64,044		23,194,566		$	234		$	(1,808)		$	316,326		$	63,996		$	(8,758)		$	485,134		$	2,365		$	487,499
Net loss																			Net loss			—			—					—		—			—		—			—			—			(4,797)			—			(4,797)			16			(4,781)

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

($ 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 — — — — (19,366) — (246) — — — (246) — (246)
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 — — — — — — — — 11,262 — 11,262 (578) 10,684
Sale of shares — — — — 9,073 — — 99 — — 99 — 99
Issuance of shares under dividend reinvestment plan — — — — 5,049 — — 71 — — 71 — 71
Distribution to non-controlling interest — — — — — — — — — — — (307) (307)
Stock-based compensation expense — — — — 142,557 1 — 310 — — 311 — 311
Dividends declared ($0.21 per share) and distributions — — — — — — — — (6,806) — (6,806) (72) (6,878)
Other comprehensive income — — — — — — — — — 1,767 1,767 — 1,767
Treasury stock — — — — (9,794) — (134) — — — (134) — (134)
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


($ 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	—	—		—	—		8,100	—		—		85		—		—		85		—		85
Distribution to non-controlling interest	—	—		—	—		—	—		—		—		—		—		—		(14)		(14)
Stock-based compensation expense	—	—		—	—		11,597	—		—		347		—		—		347		—		347
Dividends declared ($0.26 per share) and distributions	—	—		—	—		—	—		—		—		(7,940)		—		(7,940)		(93)		(8,033)
Other comprehensive loss	—	—		—	—		—	—		—		—		—		(9,938)		(9,938)		—		(9,938)
Repurchase of preferred stock	(768,519)	(17,020)		(231,481)	(5,125)		—	—		—		—		(2,459)		—		(24,604)		—		(24,604)
Treasury stock	—	—		—	—		(487,691)	—		(4,769)		—		—		—		(4,769)		—		(4,769)
Balance at June 30, 2022	1,538,881	$	34,080	2,661,119	$	58,919	22,726,572	$	234	$	(6,577)	$	316,758	$	48,800	$	(18,696)	$	433,518	$	2,274	$	435,792
Net loss	—	—		—	—		—	—		—		—		(9,461)		—		(9,461)		(42)		(9,503)
Issuance of shares under dividend reinvestment plan	—	—		—	—		9,315	—		—		88		—		—		88		—		88
Distribution to non-controlling interest	—	—		—	—		—	—		—		—		—		—		—		(34)		(34)
Stock-based compensation expense	—	—		—	—		159,309	1		—		427		—		—		428		—		428
Dividends declared ($0.27 per share) and distributions	—	—		—	—		—	—		—		—		(7,229)		—		(7,229)		(24)		(7,253)

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


($ 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
Other comprehensive loss	—	—		—	—		—	—		—		—		—		(3,724)		(3,724)		—		(3,724)
Repurchase of preferred stock	(1,113,932)	(24,669)		(1,525,529)	(33,776)		—	—		—		—		(5,735)		—		(64,180)		—		(64,180)
Treasury stock	—	—		—	—		(11,562)	—		(118)		—		—		—		(118)		—		(118)
Balance at September 30, 2022	424,949	$	9,411	1,135,590	$	25,143	22,883,634	$	235	$	(6,695)	$	317,273	$	26,375	$	(22,420)	$	349,322	$	2,174	$	351,496

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, ~~2021~~2022

(Unaudited)

Note 1 — Organization and Basis of Presentation

Great Ajax Corp., a Maryland corporation (the “Company”), is an externally managed real estate company formed on January 30, 2014, and capitalized on March 28, 2014, by its then sole stockholder, Aspen Yo (“Aspen”), a company affiliated with Aspen Capital, the trade name for the Aspen group of companies. The Company facilitates capital raising activities and operates as a mortgage real estate investment trust (“REIT”). The Company primarily targets acquisitions (i) of re-performing loans (“RPLs”), which are residential mortgage loans on which at least 5five of the 7seven 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 5five payments has been paid in the last seven ~~months.~~months and (ii) non-performing loans ("NPLs"), which are residential mortgage loans on which the most recent three payments have not been made. The Company may acquire RPLs and NPLs either directly or in joint ventures with institutional accredited investors. The joint ventures are structured as securitization trusts, of which the Company acquires debt securities and beneficial interests. The Company may also ~~acquires and originates~~acquire or originate small balance commercial loans (“SBC loans”). The SBC loans that the Company opportunistically targets ~~through acquisitions,~~ generally have a principal balance of up to $5.0 million and are secured by multi-family residential and commercial mixed use retail/residential properties on which at least 5five of the 7seven 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 5five 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. The Company may also target investments in non-performing loans (“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, Great Ajax Operating LLC, 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 ~~and Great Ajax Depositor LLC are~~is a wholly owned ~~subsidiaries~~subsidiary of the Operating Partnership formed to act as the depositor of mortgage loans into securitization trusts and to hold the subordinated securities issued by such trusts and any additional trusts the Company may form for additional secured borrowings. The Company generally securitizes its mortgage loans through securitization trusts and retains subordinated securities from the secured borrowings. These trusts are considered to be variable interest entities ("VIEs"), and the Company has determined that it is the primary beneficiary of many of these VIEs. AJX Mortgage Trust I and AJX Mortgage Trust II are wholly owned subsidiaries of the Operating Partnership formed to hold mortgage loans used as collateral for financings under the Company’s repurchase agreements. In addition, the Company, through its Operating Partnership, holds real estate owned ~~properties~~ (“REO”) properties 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, ~~2021,~~2022, held 99.9% of Great Ajax II REIT Inc., which ~~wholly~~ owns Great Ajax II Depositor LLC, which ~~then acts~~was formed to act as the depositor of mortgage loans into ~~rated~~ securitization trusts and ~~holds~~to hold the subordinated securities issued by such ~~trusts and any additional trusts~~trusts. Similarly, as of September 30, 2022, the ~~Company may form for additional secured borrowings.~~Operating Partnership wholly owned Great Ajax III Depositor LLC, which was formed to act as the depositor into Ajax Mortgage Loan Trust 2021-E ("2021-E"), which is a real estate mortgage investment conduit ("REMIC"). The Company has securitized mortgage loans through ~~these~~a securitization ~~trusts~~trust and retained subordinated securities from the secured borrowings. ~~These trusts are~~This trust is considered to be ~~VIEs~~a VIE, and the Company has determined that it is the primary beneficiary of ~~these~~this VIEs.

In 2018, the Company formed Gaea Real Estate Corp. ("Gaea"), as a ~~wholly owned~~wholly-owned subsidiary of the Operating ~~partnership to hold investments~~Partnership that invests in ~~multi-family, mixed use~~multifamily properties with a focus on property appreciation and ~~commercial real estate.~~triple net lease veterinary clinics. The Company ~~had~~ elected to treat Gaea as a TRS under the ~~Code.~~Code in 2018 and elected to treat Gaea as a REIT under the Code in 2019 and thereafter. Also during 2018, the Company formed Gaea Real Estate Operating Partnership LP, a ~~wholly owned~~wholly-owned subsidiary of Gaea, to hold investments in commercial real estate ~~assets.~~assets, and Gaea Real Estate Operating LLC, to act as its general partner. The Company also formed Gaea Veterinary Holdings LLC, BFLD Holdings LLC, Gaea Commercial Properties LLC, Gaea Commercial Finance LLC and Gaea RE Holdings LLC as subsidiaries of Gaea Real Estate Operating Partnership.

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

In 2019, the Company ~~also~~ formed DG Brooklyn Holdings LLC, asalso 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 inthrough 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~~Additionally, in January 2022, Gaea completed a second 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 in which it raised approximately $30.0 million from the ~~Company consolidated Gaea's balance sheet~~issuance of its common stock and ~~results of operations.~~warrants. At September 30, ~~2021~~2022 the Company owned approximately ~~22.8%~~22.1% of Gaea. ~~Following the capital raise, the~~The Company ~~has accounted~~accounts for its ~~ownership interest~~investment in Gaea under the equity method.

Basis of Presentation and Use of Estimates

The consolidated interim financial statements should be read in conjunction with the Company's consolidated financial statements and the notes thereto for the ~~period~~year ended December 31, ~~2020,~~2021, included in the Company's Annual Report on Form 10-K filed with the Securities and Exchange Commission (the "SEC") on March ~~5, 2021.~~4, 2022.

Interim financial statements are unaudited and prepared in accordance with U.S. GAAP for interim financial information and pursuant to the requirements for reporting on Form 10-Q and Regulation S-X. In the opinion of management, all adjustments, consisting solely of normal recurring accruals considered necessary for the fair presentation of consolidated financial statements for the interim period presented, have been included. The current period’s results of operations will not necessarily be indicative of results that ultimately may be achieved for the fiscal year ending December 31, ~~2021.~~2022. 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 3three 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 owns residential mortgage loans and residential real estate assets; AS Ajax E II is 53.1% owned by the ~~Company.~~Company at both September 30, 2022 and December 31, 2021. Ajax Mortgage Loan Trust 2017-D ("2017-D") is a securitization trust that holds mortgage loans, REO property and secured borrowings; 2017-D is 50.0% owned by the Company. Great Ajax II REIT Inc. ~~which~~ wholly owns Great Ajax II Depositor LLC which acts as the depositor of mortgage loans into securitization trusts and holds the subordinated securities issued by such trusts and any additional trusts the Company may form for additional secured borrowings ~~and~~ is 99.9% owned by the Company as of September 30, ~~2021~~2022 and December 31, ~~2020.~~2021. Similarly, as of September 30, 2022 and December 31, 2021, the Operating Partnership wholly owned Great Ajax III Depositor LLC, which was formed to act as the depositor into 2021-E, which is a REMIC. The Company recognizes non-controlling interests in its consolidated financial statements for the amounts of the investments and income due to the third party investors for its consolidated subsidiaries.

During the second quarter of 2021, the majority of loans held by 2017-D were ~~re-securitized~~sold into Ajax Mortgage Loan Trust 2021-C ("2021-C"), a 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 both September 30, 2022 and December 31, 2021.

During the first quarter of 2021, the Company acquired the ~~remaining~~outstanding non-controlling ownership ofinterest in Ajax Mortgage Loan ~~Trusts~~Trust 2018-C ("2018-C"), a subsidiary that ~~previously~~ had ~~non-controlling ownership interest held by third parties and was~~been 63.0% owned by the Company ~~as of December 31, 2020 and consolidated~~with its results included in the Company's consolidated financial statements. AtAs a result, at both September 30, 2022 and December 31, 2021, there ~~was~~were no non-controlling ownership ~~interest~~interests in 2018-C held by third parties.

The Company’s 19.8% ownership of the Manager and 8.0% 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 either the Manager or ~~GAFS since each is privately held.~~GAFS.

~~The preparation~~In the fourth quarter of ~~consolidated financial statements in conformity with U.S. GAAP requires~~2021, the Company ~~to make estimates and assumptions that affect~~acquired the ~~reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as~~remaining outstanding 66.0% of the ~~date of the consolidated financial statements~~Class B notes and ~~the reported amounts of revenues and expenses during the reporting periods. The Company considers significant estimates to include expected cash flows~~trust certificates in Ajax Mortgage Loan Trust 2019-C ("2019-C") from its ~~holdings of mortgage~~joint venture partner and retired the outstanding $95.2 million liability for the senior bond which carried an interest rate higher than the Company's current borrowing rate at that time. As a result the Company now owns a 100.0% interest in the loans ~~and beneficial interests~~that were formerly 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.2019-C.

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

1213

Note 2 — Summary of Significant Accounting Policies

Mortgage ~~loans~~Loans

Purchased Credit Deteriorated Loans ("PCD ~~Loans"~~loans")

As of their acquisition date, the loans acquired by the Company have generally suffered some credit deterioration subsequent to origination. As a result, the Company’s recognition of interest income for PCD loans is based upon 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.

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. The Company may adjust its loan pools as the underlying risk factors change over time. The Company has aggregated its mortgage loan portfolio into loan pools based 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 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. Upon the acquisition of PCD loans the Company records the acquisition as three separate elements for (i) the amount of purchase discount which the Company expects to recover through eventual repayment by the borrower, (ii) an allowance for future expected credit loss and (iii) the ~~UPB~~unpaid principal balance (“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~~Expected cash flows ~~expected at acquisition~~from acquired loans include all cash flows directly related to the ~~acquired~~ loan, including those expected from the underlying collateral. The Company recognizes the accretable yield as interest income on a prospective level yield basis over the life of the pool. The Company’s expectation of the amount of undiscounted cash flows to be collected is evaluated at the end of each calendar quarter. The net present value of changes in expected cash flows as compared to contractual amounts due, whether caused by timing or loan performance, is reported in the period in which it arises and is reflected as an increase or decrease in the provision for expected credit losses to the extent a provision for expected credit losses is recorded against the pool of mortgage loans. If no provision for expected credit losses is recorded against the pool of assets, the increase in expected future cash flows is recognized prospectively as an increase in 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 of cash flows. Amounts applied as principal on the borrower account including amounts contractually due from borrowers that exceed the Company’s basis in loans purchased at a discount, are similarly classified as principal for accounting purposes and are classified as investing cash flows in the consolidated statement of cash flows as required under U.S. GAAP. Amounts received as payments of fees are recorded in Other income and classified as operating cash flows in the consolidated statement of cash flows. Escrow deposits are recorded on the Servicer’s balance sheet and do not impact the Company’s cash flow.

Non-PCD Loans

While the Company generally acquires loans that have experienced deterioration in credit quality, it ~~also acquires~~may acquire loans that have not experienced a deterioration in credit quality and originates SBC loans.

The Company accounts for its non-PCD loans by estimating any allowance for expected credit losses for its non-PCD loans based on ~~historical experience and~~ the risk characteristics of the individual loans. If necessary, an allowance for expected credit losses is established through a provision for loan 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. Impaired loans are carried at the present value of expected future cash

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

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 expected credit losses is established through a provision for loan 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 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.~~operations. 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~~investments in beneficial interests consist of ~~investments~~the residual investment in the ~~trust certificates issued by joint ventures~~securitization trusts 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~~carries its ~~Investment~~investments in beneficial interests ~~on January 1, 2020.~~at amortized cost. The accounting methodology used is similar to that described in "Mortgage Loans" except that the Company only recognizes its ratable share of gain, loss, income or expense ~~and each beneficial interest is accounted for independently.~~based on its percentage ownership interest.

Real Estate

The Company generally acquires real estate properties through one of three instances, either directly through purchases, when it forecloses on ~~the~~a borrower and takes title to the underlying property, or when 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 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.impaired.

Preferred Stock

During the ~~quarter~~three months 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.~~Stock. The shares have a liquidation preference of $25.00 per share.

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

During the three and nine months ended September 30, 2022, the Company completed a series of preferred share repurchases. The Company repurchased and retired 1,113,932 and 1,882,451 shares, respectively, of its 7.25% Series A Fixed-to-Floating Rate Preferred Stock and 1,525,529 and 1,757,010 shares, respectively of its 5.00% Series B Fixed-to-Floating Rate Preferred Stock.

Put Option Liability

As part of the Company’s capital raise transactions during the ~~quarter~~three months 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~~

The warrants ~~includes~~include a put option that allows the holder to sell the warrants to the Company at a specified put price on or after July 6, 2023. U.S. GAAP requires the Company to account for the outstanding warrants as if the put option will be exercised by the holders. The warrants were recorded as a liability in the Company's consolidated balance ~~sheet as a put option liability~~sheets with an original basis of $9.5 ~~million.~~million, reduced to $2.9 million at September 30, 2022 due to the Company's repurchases and retirement of warrants. The Company is accreting the amount of the liability under the effective interest method to its expected future put value ~~of $50.7 million~~ and marks the obligation to market through earnings at each balance sheet date. The Company determines the fair value using a discounted cash flow method. The future put obligation was reduced to $15.7 million as of September 30, 2022 from an original value of $50.7 million due to the Company's repurchases and retirement of warrants.

Secured Borrowings

The Company, through securitization trusts which are VIEs, issues callable debt secured by its mortgage loans in the ordinary course of business. The secured borrowings facilitated by the trusts are structured as debt financings, and the mortgage loans used as collateral remain on the Company’s consolidated balance sheet as the Company is the primary beneficiary of the securitization trusts. These secured borrowing VIEs are structured as pass through entities that receive principal and interest on the underlying mortgages and distribute those payments to the holders of the notes. The Company’s exposure to the obligations of the VIEs is generally limited to its investments in the entities; the creditors do not have recourse to the primary beneficiary. Coupon interest expense on the debt is recognized using the accrual method of accounting. Deferred issuance costs, including original issue discount and debt issuance costs, are carried on the Company’s consolidated balance sheets as a deduction from Secured borrowings, and are amortized to interest expense on an effective yield basis based on the underlying cash flow of the mortgage loans serving as collateral. The Company's unrated securitizations have a call provision and 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 expense when incurred.

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

Convertible Senior Notes

~~On April 25,~~During 2017 and 2018, 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~~(the "2024 Notes"). At September 30, 2022 and December 31, 2021, the UPB of ~~an additional $20.5~~the debt was $104.5 million and ~~$15.9~~$104.6 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.respectively. The ~~notes~~2024 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~~2024 Notes will mature on April 30, 2024, unless earlier repurchased, converted or redeemed. During certain periods and subject to certain conditions, the ~~notes~~2024 Notes will be convertible by their holders into shares of the Company’s common stock at a current conversion rate of ~~1.7279~~1.7405 shares of common stock per $25.00 principal

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

amount of the notes, which represents a conversion price of approximately ~~$14.47~~$14.36 per share of common stock. The conversion rate, and thus the conversion price, isare subject to adjustment under certain circumstances.

Coupon interest on the ~~notes~~2024 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~~reduction of the ~~notes,~~carrying value of the 2024 Notes, and are amortized to interest expense on an effective yield basis through April 30, 2023, the date at which the ~~notes~~2024 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,~~three months ended March 31, 2022, the Company ~~completed~~adopted ASU 2020-06, Debt – Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging – Contracts in an Entity’s Own Equity (Subtopic 815-40) by recording a ~~series~~reduction in its additional paid-in capital account of ~~convertible note repurchases for aggregate principal amounts of $2.5~~$0.7 million and ~~$5.0~~a corresponding increase in the carrying value of its Convertible senior notes of $0.7 million, ~~respectively, for total purchase prices of $2.4 million and $5.1 million, respectively. The~~representing the carrying ~~amounts~~value of the ~~equity component representing the embedded~~ conversion feature ~~reversed from Additional paid-in capital due to~~associated with 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.notes. See — Recently Adopted Accounting Standards, below.

Notes Payable

During August 2022, the Operating Partnership issued $110.0 million aggregate principal amount of 8.875% senior unsecured notes due September 2027 (the "2027 Notes"). The 2027 Notes have a five year term and were issued at 99.009% of par value and are fully and unconditionally guaranteed by the Company and two of its subsidiaries: Great Ajax Operating LLC (the "GP Guarantor") and Great Ajax II Operating Partnership L.P. (the "Subsidiary Guarantor," and together with the Company and the GP Guarantor, the "Guarantors"). The 2027 Notes are included in the Company's liabilities in its consolidated balance sheet at September 30, 2022. Interest on the 2027 Notes is payable semi-annually on March 1 and September 1, with the first payment due and payable on March 1, 2023. The 2027 Notes will mature on September 1, 2027. Net proceeds from the sale of the 2027 Notes totaled approximately $106.1 million, after deducting the discount, commissions, and offering expenses which will be amortized over the term of the 2027 Notes using the effective interest method. The Company used $90.0 million of the proceeds to repurchase and retire a portion of its outstanding 7.25% Series A and 5.00% Series B Fixed-to-Floating Rate Preferred Stock at a discount, and a proportionate amount of outstanding warrants. The remainder of the proceeds is expected to be used for general corporate purposes. At September 30, 2022, the UPB of the 2027 Notes was $110.0 million.

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,~~April 28, 2020, expiring on March 5, 2034. Under the Management Agreement, the Manager implements the Company’s business strategy and manages the Company’s business and investment activities and day-to-day operations subject to oversight by the Company’s Board of Directors. Among other services, the Manager provides the Company with a management team and necessary administrative and support personnel. Additionally, the Company pays directly for the internal audit function that reports directly to the Audit Committee and the Board of Directors. The Company does not currently have any employees that it pays directly and does not expect to have any employees that it pays directly in the foreseeable future. Each of the Company’s executive officers is an employee or officer, or both, of the Manager or the Servicer.

Under the Management Agreement, the Company pays a quarterly base management fee based on its ~~stockholders’~~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 the change in book value, and has the option to pay up to 100% of the base and incentive fees in cash ~~rather than~~or in ~~half cash and half~~ shares of ~~its~~the Company's common stock. Management fees are expensed in the quarter incurred and the portion payable in common stock, ~~(if any)~~if any, is ~~included in stockholders’ equity~~accrued at quarter end. See Note 10 — Related ~~party transactions.~~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”)~~UPB of loans that are re-performing at acquisition to 1.25% annually of UPB ~~for~~of loans that are non-performing at acquisition. Servicing fees are paid monthly. The total fees incurred by the Company for these services ~~depend~~depends upon the UPB and type of mortgage loans that the Servicer services pursuant to the terms of the Servicing Agreement. The fees do not change if an RPL becomes non-performing or vice versa. Servicing fees for the Company’s real property assets are the greater of (i) the servicing fee applicable to the underlying mortgage loan prior to

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

1617

~~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, for fees based on mortgage loans, and property values, previous UPB of the relevant loan, and the number of REO properties for fees based on 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.~~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~~is determined based on the average of the closing prices of the Company's common stock on the New York Stock Exchange ("NYSE") on the five business days preceding the record date of the most recent regular quarterly dividend to holders of the common stock. Any management fees paid in common stock are recognized as an expense in the quarter incurred and ~~recorded in stockholders' equity~~accrued 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 awards, including grants of long-term incentive plan units (“LTIP Units”) from the Operating Partnership, available for issuance under the Director Plan is 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. The Company may also periodically issue additional restricted stock awards to its independent directors under the Director Plan. In addition, through December 31, 2021, each of the Company’s independent directors ~~receives~~received an annual fee of $100,000, payable quarterly, 40% in shares of the ~~Company’s~~Company's common stock and 60% in cash. The annual fee was increased to $140,000, 50% of which is payable in shares of the Company’s common stock and 50% in cash, effective as of January 1, 2022. The committee chairpersons also receive annual fees for their services. Through December 31, 2021, the chairpersons of the Compensation and Corporate Governance committees each received an annual fee of $10,000, payable quarterly, 100% in cash. The annual fee was increased to $15,000, 100% payable in cash, effective as of January 1, 2022. Through December 31, 2021, the chairperson of the audit committee received an annual fee of $15,000, payable quarterly, 100% in cash. The annual fee was increased to $20,000, 100% payable in cash, effective as of January 1, 2022. Stock-based expense for the directors’ annual fee and the committee chairperson’s annual fee is expensed as earned, in equal quarterly amounts during the year, and ~~recorded in stockholders' equity~~accrued at quarter end.

~~On June 7, 2016,~~Under the ~~Company’s stockholders approved the~~Company's 2016 Equity Incentive Plan (the “2016 Plan”) the Company may make stock-based awards 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~~any outstanding warrants and convertible senior notes ~~including OP Units and any LTIP Units,~~ into shares of common stock). Grants of restricted stock under the 2016 Plan use grant date fair value of the stock as the basis for measuring the cost of the grant. Forfeitures of granted shares are accounted for in the period in which they occur. ~~The shares granted in 2021~~Share grants vest over ~~four years, with one-fourth of~~ the ~~shares vesting on each of the first, second, third and fourth anniversaries of the~~relevant service periods. The grant ~~date. The shares granted prior to 2021 vest over three years, with one-third of the shares vesting on each of the first, second and third anniversaries of the grant date. The~~ shares may not be sold by the recipient until the ~~third or fourth anniversary~~end of the ~~grant date, as determined by~~service period, even if certain of the ~~contract.~~shares were subject to a ratable vesting and were fully vested before completion of the service period.

Directors’ Fees

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

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

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 method of accounting for its outstanding warrants. Under the treasury stock method, the exercise of the warrants is assumed at the beginning of the period, and shares of common stock are assumed to have been issued. The proceeds from the exercise are assumed to be used by the Company to repurchase treasury stock, thereby reducing the assumed dilution from the warrant exercise. In applying the treasury stock method, all dilutive potential common shares, regardless of whether they are exercisable, are treated as if they had been exercised.

In the event that any of the adjustments normally included to arrive at diluted earnings per share were to produce an anti-dilutive result, one that either increased earnings or reduced the quantity of shares used in the calculation, the anti-dilutive adjustment would not be included in the diluted earnings per share calculation.

Fair Value of Financial Instruments

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A fair value hierarchy has been established that requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. The standard describes three levels of inputs that may be used to measure fair value:

•Level 1 — Quoted prices in active markets for identical assets or liabilities.

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

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

The ~~Company values its~~fair value of investments in debt securities is determined using estimates provided by ~~its~~the Company's financing counterparties. The Company also relies on the Manager's proprietary pricing model to estimate the underlying cash flows expected to be collected on these investments as a comparison to the estimates received from financing counterparties.

The ~~Company's~~fair value of investments in beneficial interests ~~are trust certificates representing~~represent 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 relies on its Manager's proprietary pricing model to estimate the underlying cash flows expected to be collected on its investments in beneficial interests.

The fair value of the Company's ownership interest in the Manager is valued by applying an earnings multiple to base fee revenue.

The fair value of 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 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~~an implied capitalization rate applied to the value of the underlying properties and the Manager's propriety pricing model for ~~its property portfolio.~~loans.

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 its Manager's pricing model.

The fair value of secured borrowings is estimated using ~~estimates~~prices provided by the Company's financing counterparties, which are compared for reasonableness to the Manager’s proprietary pricing model which estimates expected cash flows of the underlying mortgage loans collateralizing the debt. The Company 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.~~documents. The Company carries its secured borrowings net of deferred issuance cost. Accordingly, the difference between fair value and carrying value is ~~largely~~partially driven by the 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~~adjusted for subsequent repurchases, 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.~~operations.

The Company’s borrowings under its repurchase agreements are short-term in nature, and the Manager believes it can renew the current borrowing arrangements on similar terms in the future. Accordingly, the carrying value of these borrowings approximates fair value.

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

The Company’s ~~convertible senior notes~~2024 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~~2024 Notes 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~~2024 Notes net of deferred issuance cost. Accordingly, the difference between fair value and carrying value is partially driven by the deferred issuance costs.

~~Property~~The 2027 Notes payable fair value is determined using estimates provided by third party valuation services using observed transactions for similar financing arrangements. The 2027 Notes will mature on September 1, 2027, unless earlier repurchased or redeemed. The Company carries the 2027 Notes payable net of deferred issuance costs.

The fair value of property held-for-sale is ~~carried at~~determined using the lower of its acquisition basis or net realizable value. Net realizable value is determined based on BPOs, appraisals, or other market indicators of fair value, which are then reduced by anticipated selling costs. Net unrealized losses due to changes in market value are recognized through a valuation allowance by charges to income.

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

Income Taxes

The Company 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 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 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’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~~Estimates

The preparation of consolidated financial statements in conformity with U.S. GAAP requires the Company ~~combined its Property held-for-sale, net~~to make estimates and ~~Rental property, net lines with balances~~assumptions that affect the reported amounts of ~~$7.8 million~~assets and ~~$0.7 million, respectively, in its December 31, 2020~~liabilities and disclosure of contingent assets and liabilities as of the date of the consolidated ~~balance sheet into a single line, Real estate owned properties, net,~~financial statements and the reported amounts of revenues and expenses during the reporting periods. The Company considers significant estimates to ~~conform to the current period presentation. There was no effect on the Company's reported earnings or~~include expected cash flows ~~for the periods presented. The Company reclassified~~from 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 saleholdings of mortgage loans toand beneficial interests in trusts, and their resolution methods and timelines, including foreclosure costs, eviction costs and property rehabilitation costs. Other ~~income on its consolidated statement~~significant estimates are fair value measurements, and the net realizable value 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.REO properties held-for-sale.

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

2021

Reclassifications

The Company reclassified its restricted cash relating to mortgage repurchases of $3.1 million at December 31, 2021, from Cash held in trust in its consolidated balance sheets to Prepaid expenses and other assets, to conform to the current period presentation. This resulted in a reclassification in its reported cash flows of $0.2 million during the nine months ended September 30, 2021, from the beginning of period cash total to its operating activities from Prepaid expenses and other assets. There was no effect on the Company's reported earnings.

Segment Information

The Company’s primary business is acquiring, investing in and managing a portfolio of mortgage loans. The Company operates in a single segment focused on re-performing mortgages, and to a lesser extent non-performing mortgages and real property.

Recently Adopted ~~Accounting Standards~~

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

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

~~Recently Issued~~ Accounting Standards

In August 2020, the FASB issued ASU 2020-06, Debt – Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging – Contracts in an Entity’s Own Equity (Subtopic 815-40). The amendments in this update simplify the accounting for convertible instruments by removing certain accounting models that require separation of convertible instruments into debt and equity components with conversion features that are not required to be accounted for as derivatives or that do not result in substantial premiums. Consequently a convertible instrument will be accounted for as a single liability measured asat 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 or recognition as derivatives. The Company adopted 2020-06 using the modified retrospective method as of the beginning of its calendar year 2022 and recorded a reduction in its additional paid-in capital account of $0.7 million and a corresponding increase in the carrying value of its 2024 Notes of $0.7 million, representing the carrying value of the conversion feature associated with the 2024 Notes.

Recently Issued Accounting Standards

In March 2022, the FASB issued ASU 2022-02, Financial Instruments – Credit Losses (Topic 326) – Troubled Debt Restructurings and Vintage Disclosures. The amendments in this update eliminate the accounting guidance for troubled debt restructurings by creditors, and require that an entity disclose current period gross write offs by year of origination for financing receivables and net investments in leases within the scope of subtopic 326-20. This guidance is effective for interim and annual reporting periods beginning after December 15, ~~2021,~~2022, with early adoption permitted. The Company is currently evaluating the impact on its consolidated financial statements and related disclosures.

In June 2022, the FASB issued ASU 2022-03, Fair Value Measurement (Topic 820) – Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions. The amendments in this update clarify that a contractual restriction on the sale of an equity security is not considered part of the unit of account of the equity security and, therefore, is not considered in measuring fair value. The amendments also clarify that an entity cannot, as a separate unit of account, recognize and measure a contractual sale restriction. The amendments in this update also require the additional disclosures for equity securities subject to contractual sale restrictions. This guidance is effective for interim and annual reporting periods beginning after December 15, 2023, with early adoption permitted. The Company is currently evaluating the impact on its consolidated financial statements and related disclosures.

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

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, ~~2021~~2022 and December 31, ~~2020~~2021 ($ in thousands):


		September 30, 2021				December 31, 2020					September 30, 2022				December 31, 2021
Loan portfolio basis by asset type	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		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	$	834,309	$	30,963	$	1,057,454	$	—	Residential RPLs	$	887,412	$	—	$	941,565	$	29,572
Residential NPLs	Residential NPLs	117,681		—		38,724		—		Residential NPLs	107,267		—		119,520		—
SBC loans	SBC loans	24,361		—		23,194		—		SBC loans	11,707		—		19,349		—
Total	Total	$	976,351	$	30,963	$	1,119,372	$	—	Total	$	1,006,386	$	—	$	1,080,434	$	29,572

Included on the Company’s consolidated balance sheets as of September 30, ~~2021~~2022 and December 31, ~~2020~~2021 are approximately ~~$976.4 million~~$1.0 billion and $1.1 billion, respectively, of RPLs, NPLs, and SBC loans that are held-for-investment and approximately ~~$31.0~~zero and $29.6 million, ~~and zero,~~ respectively, of RPLs ~~that are~~ held-for-sale. At ~~September 30, 2021~~March 31, 2022 the Company reclassified ~~$31.0~~$29.6 million of Mortgage loans ~~held-for-investment~~held-for-sale to the Mortgage loans ~~held-for-sale~~held-for-investment line in its consolidated

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

balance ~~sheet. The Company~~sheet as it no longer intends to sell ~~the loans to a joint venture trust held with a third party institutional accredited investor.~~these loans.

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~~as well as credit and non-credit discount, less principal and interest cash flows received. The carrying values at September 30, ~~2021~~2022 and December 31, ~~2020~~2021, for the Company's loans in the table above, are presented net of a cumulative allowance for expected credit losses of ~~$13.9~~$5.2 million and ~~$13.7~~$7.1 million, respectively, reflected in the appropriate lines in the table by loan type. For the three and nine months ended September 30, ~~2021,~~2022, the Company recognized ~~a $0.9~~$1.9 million and ~~$9.1~~$7.0 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~~Comparatively, for the three and nine months ended September 30, ~~2020,~~2021, the Company recognized ~~$3.0~~$0.9 million and ~~$2.9~~$9.1 million, respectively, of revenue ~~respectively~~ 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, ~~2021,~~2022, the Company accreted ~~$16.6~~$16.8 million and ~~$58.1~~$53.4 million, respectively, net of the impact of net changes in expected credit losses into interest income with respect to its RPL, NPL and SBC loans. ~~For~~Comparatively, for the three and nine months ended September 30, ~~2020,~~2021, the Company accreted ~~$21.2~~$16.6 million and ~~$61.1~~$58.7 million, respectively, net of ~~the~~ impact of net changes in expected credit 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 using a constant prepayment rate assumption. Expected cash flows are based on the Manager's proprietary model, which includes factors such as resolution method, resolution timeline, foreclosure costs, rehabilitation costs and eviction costs. Additional variables bearing upon cash flow expectations include the specific location of the underlying property, loan-to-value ratio, property age and condition, change and rate of change of borrower credit rating, servicing notes, interest rate, monthly payment amount and neighborhood rents.

The Company's mortgage loans are secured by real estate. Risks inherent in the Company's mortgage loan portfolio, affecting both the valuation of its mortgage loans as well as the portfolio's interest income include the risk of default, delays and inconsistency in the frequency and amount of payments, risks affecting borrowers such as man-made or natural disasters, or 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, 2022, the Company purchased 34 and 40 RPLs with UPB of $9.1 million and $10.3 million, respectively. Comparatively, during the three and nine months ended September 30, 2021 the Company purchased 4four and 241 RPLs with UPB of $0.5 million and $41.7 million, respectively. ~~Comparatively, during~~During the three and nine months ended September 30, ~~2020~~2022, the Company purchased ~~244~~three and ~~270 RPLs~~eight NPLs with UPB of ~~$46.3~~$0.4 million and ~~$48.2~~$1.5 million, respectively. ~~During~~Comparatively, for the three and nine months ended September 30, 2021, the Company purchased 364 and 367 NPLs with UPB of $90.9 million and $91.5 million, respectively. ~~During~~The Company purchased no SBC loans during both 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. The~~2022. Comparatively, the Company had no SBC acquisitions during the three months

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

ended September 30, 2021; however, during the nine months ended September 30, 2021, the Company acquired 1one SBC loan with UPB of $3.6 million. ~~Comparatively, during both~~

During the three and nine months ended September 30, ~~2020 2 SBC loans were acquired with UPB of $1.9 million.~~

~~During~~2022, the Company sold no mortgage loans. Comparatively, during the three months ended September 30, 2021, the Company sold no mortgage loans. During the nine months ended September 30, 2021, the Company re-securitized 760 loans from 2017-D with a carrying value of $129.2 million and UPB of $133.8 million through a sponsored joint venture between the Company and a third party accredited institutional investor. The Company retained various classes of securities from the joint venture. During the three months ended September 30, 2020 the Company sold no mortgage loans; however, during the nine months ended September 30, ~~2020,~~2021, the Company sold 26760 loans with a carrying value of ~~$26.1~~$129.2 million and UPB of ~~$26.2 million and collateral value of $44.2~~$133.8 million, to ~~Gaea,~~ a sponsored joint venture between the Company and a third party accredited institutional investor resulting in the removal of the related ~~party.~~loans from the consolidated balance sheet. The Company retained various classes of securities from the joint venture. 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~~has historically viewed its mortgage loan portfolio based on a combination of loan performance orand legal ownership for loans held by certain consolidated trusts, and used ~~5 and 6~~seven pools at ~~September 30, 2021 and~~ December 31, ~~2020, respectively,~~2021 to aggregate its portfolio of PCD loans, and ~~1 pool~~two pools for its non-PCD loans ~~as of both September 30, 2021 and~~at December 31, ~~2020. Among~~2021.

During the first quarter of 2022, the Company re-pooled all of the mortgage loans in its portfolio to reflect recent trends in market conditions and loan performance. At January 1, 2022, the Company's mortgage loans were re-aggregated based on payment patterns observed during the prior 18 month period. The portfolio is split between the Operating Partnership and Great Ajax REIT II as the entities are separate taxpayers and must maintain separate and complete books and records. At both the Operating Partnership and Great Ajax REIT II, the Company uses the following three pools for a total of six CECL pools:

1.Loans that have made at least seven of the last seven payments, either sequentially or in bulk and that have at least $50.0 thousand in absolute dollars of borrower equity;

2.Loans that have made at least seven of the last seven payments, either sequentially or in bulk and that have less than $50.0 thousand in absolute dollars of borrower equity; and

3.Loans that have not made at least seven of the last seven payments.

Based on historical data, the Company has observed that borrowers that make at least seven of the last seven payments, either sequentially or in bulk, are significantly less likely to default. Additionally, the Company has similarly observed that $50.0 thousand absolute dollars of equity similarly drives a lower default rate and reduces loss severity in the event of foreclosure.

At December 31, 2021, the Company aggregated its PCD mortgage loans ~~separate pools exist for~~in seven loan pools. Great Ajax REIT II holds loans included in the Company's rated securitization transaction which had all made at least 12 of the last 12 payments and met the pay string and loan to value requirements to obtain a AAA rating on the senior bond. Pool California contains all loans from California that were not included in Great Ajax REIT II. The Company's California loans generally outperform those of other states in that the Company rarely takes back an REO property because it receives foreclosure bids that exceed its investment in the mortgage loan. 7f7 and better contains all loans that have ~~been~~made at least seven on time payments, either sequentially or in bulk. Pool 6f6 and below contains loans that have not made seven of the last seven payments and, accordingly, have a much lower survival rate assumption in expected cash flows. Pool 2021-B is an on-balance-sheet secured borrowing consisting primarily of loans previously owned by 2018-C that were not eligible to be securitized in a rated ~~secured~~transaction. Pool 2019-C was formed by acquiring the trust's outstanding equity certificate from an unaffiliated third party holder and recognizing the loans on the Company's balance sheet. The Company established the Ajax N pool to hold a small pool of loans which were designated as held-for-sale as of December 31, 2021. During the three months ended March 31, 2022, due to factors beyond the Company's control affecting the expected purchaser, the Company closed the Ajax N pool, re-pooling these loans into its other loan pools.

The portfolio of non-PCD loans at December 31, 2021 was grouped into two loan pools. During the three months ended March 31, 2022, the Company determined that the risk characteristics of the loans in its non-PCD loan pools were not materially different from the risk characteristics of the loans in its PCD loan pools and re-pooled these loans into its other loan pools based on the underlying characteristics.

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

2224

borrowings during 2019, 2020 and 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 trust 2018-C 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 from 2018-C were added to the Great Ajax II REIT pool as these loans became the collateral for a secured borrowing at that entity. As of March 31, 2021 the loans pooled under 2017-D were designated as held-for-sale. 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 were added to the 4f4-6f6 and 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, 2022
Mortgage loans held-for-investment, net	2022		2021		2020		2019		2018		2017		2009-2016		2006-2008		2005 and prior		Total
GAOP - 7f7 >50	$	—	$	1,062	$	5,542	$	6,859	$	2,536	$	2,809	$	32,584	$	204,582	$	82,589	$	338,563
GAOP - 7f7 <50	—		—		—		60		—		—		2,264		34,474		11,256		48,054
GAOP - 6f6 and below	2,071		1,002		876		1,479		589		1,707		17,784		98,879		31,143		155,530
Great Ajax II REIT - 7f7 >50	—		—		737		602		806		609		36,356		256,314		91,486		386,910
Great Ajax II REIT - 7f7 <50	—		—		—		203		15		—		3,930		28,362		8,744		41,254
Great Ajax II REIT - 6f6 and below	—		—		—		—		—		48		4,976		19,988		11,063		36,075
Total	$	2,071	$	2,064	$	7,155	$	9,203	$	3,946	$	5,173	$	97,894	$	642,599	$	236,281	$	1,006,386

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, 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	$	—	$	764	$	181	$	698	$	328	$	1,730	$	46,041	$	339,759	$	125,095	$	514,596
2021-B	—		—		589		—		2,353		443		28,541		159,318		50,948		242,192
2019-C	—		—		—		—		265		—		9,020		96,995		39,801		146,081
California	—		—		1,268		1,248		—		—		1,681		6,431		1,373		12,001
7f7 and better	471		—		2,019		1,541		440		—		3,847		17,032		6,891		32,241
6f6 and below	—		1,351		1,783		1,470		209		368		9,885		70,163		28,774		114,003
18-1 LLC	—		—		605		176		284		429		819		33		10		2,356
Non-PCD	3,771		8,831		3,855		—		507		—		—		—		—		16,964
Total	$	4,242	$	10,946	$	10,300	$	5,133	$	4,386	$	2,970	$	99,834	$	689,731	$	252,892	$	1,080,434

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.~~


	December 31, 2021
Mortgage loans held-for-sale, net	2021		2020		2019		2018		2017		2016		2009-2015		2006-2008		2005 and prior		Total
Ajax N	$	—	$	—	$	204	$	—	$	—	$	—	$	4,267	$	15,893	$	9,208	$	29,572
Total	$	—	$	—	$	204	$	—	$	—	$	—	$	4,267	$	15,893	$	9,208	$	29,572

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~~2022 and ~~2020~~2021 ($ in thousands):

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

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


	Three months ended September 30,								Nine months ended September 30,
	2022				2021				2022				2021
	PCD Loans		Non-PCD Loans		PCD Loans		Non-PCD Loans		PCD Loans		Non-PCD Loans		PCD Loans		Non-PCD Loans
Par	$	9,509	$	—	$	91,392	$	—	$	11,851	$	—	$	133,245	$	3,611
(Discount)/premium	(740)		—		2,582		—		(880)		—		(737)		(8)
Allowance	(253)		—		(5,962)		—		(281)		—		(7,689)		—
Purchase Price	$	8,516	$	—	$	88,012	$	—	$	10,690	$	—	$	124,819	$	3,603

The Company performs an analysis of its expectation of the amount of undiscounted cash flows expected to be collected from its mortgage loan pools at the end of each calendar quarter. Under CECL, the Company adjusts its allowance for expected credit losses when there are changes in its expectation of future cash ~~flows.~~flows as compared to the amounts expected to be contractually received. An increase to the allowance for expected credit losses will occur when there is a reduction in the Company's expected future cash ~~flows.~~flows as compared to its contractual amounts due. Reduction to the allowance, or recovery, may occur if there is an increase in expected future cash flows that were previously subject to an allowance for expected credit loss. A decrease in the allowance for expected credit losses is generally facilitated by reclassifying amounts to non-credit discount from the allowance and then recording the recovery. During the three months ended September 30, 2022, the Company recorded a $2.3 million reclassification to non-credit discount from the allowance for expected credit losses, and during the nine months ended September 30, 2022, the Company recorded a $4.5 million reclassification from non-credit discount to the allowance for expected credit losses. The reclassification to non-credit discount from the allowance for expected credit losses is driven by collections of cash that were previously unanticipated at acquisition as payment performance exceeded original expectations. During the three and nine months ended September 30, 2022, this was followed by a $1.9 million and $7.0 million, respectively, reduction of the allowance for expected credit losses due to increases in the net present value of expected cash flows. During both the three and nine months ended September 30, 2022, the Company also recorded $0.3 million increases in the allowance for expected credit losses due to new acquisitions. Comparatively, during the three months ended September 30, 2021 the Company recorded a $1.2 million reclassification to non-credit discount from the allowance for 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 losses. ~~This~~During the three and nine months ended September 30, 2021, this was followed by a $0.9 million and $9.1 million, ~~reduction~~respectively, reversal of the allowance for expected credit losses ~~respectively,~~ due to ~~increases~~the increase in the net present value of expected cash flows. During the three and nine months ended September 30, 2021, the Company also recorded a $6.0 million and $7.7 million ~~increase,~~increases, 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 $2.1 million and $3.9 million reclassification, respectively, from non-credit discount to the allowance for expected credit losses followed by a $3.0 million and $2.9 million reduction of 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, ~~2020,~~2021, the Company ~~also recorded~~reclassified zero and $1.7 million, respectively, of allowance to non-credit discount to reflect the impact of moving pool 2017-D to mortgage loans to a ~~$1.3 million increase in~~held-for-sale, net classification on the ~~allowance for expected credit losses due to new acquisitions.~~balance sheet. An analysis of the balance in the allowance for expected credit losses account follows ($ in thousands):


		Three months ended September 30,				Nine months ended September 30,					Three months ended September 30,				Nine months ended September 30,
		2021		2020		2021		2020			2022		2021		2022		2021
Allowance for expected credit losses, beginning of period	Allowance for expected credit losses, beginning of period	$	(9,833)	$	(14,450)	$	(13,712)	$	(1,960)	Allowance for expected credit losses, beginning of period	$	(9,126)	$	(9,833)	$	(7,112)	$	(13,712)
Beginning period adjustment for CECL adoption		—		—		—		(10,156)
Reclassification to/(from) non-credit discount from/(to) the allowance for changes in payment expectations	Reclassification to/(from) non-credit discount from/(to) the allowance for changes in payment expectations	1,175		(2,137)		(2,607)		(3,870)		Reclassification to/(from) non-credit discount from/(to) the allowance for changes in payment expectations	2,304		1,175		(4,488)		(2,607)
Increase in allowance for expected credit losses for loan acquisitions	Increase in allowance for expected credit losses for loan acquisitions	(5,962)		(1,272)		(7,689)		(1,276)		Increase in allowance for expected credit losses for loan acquisitions	(253)		(5,962)		(281)		(7,689)
Credit loss expense on mortgage loans	Credit loss expense on mortgage loans	(164)		(291)		(757)		(794)		Credit loss expense on mortgage loans	(80)		(164)		(307)		(757)
Reversal of allowance for expected credit losses due to increases in the net present value of expected cash flows	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 for expected credit losses due to increases in the net present value of expected cash flows	1,935		908		6,968		9,148
Reversal of allowance upon reclass of pool 2017-D to mortgage loans held-for-sale, net		—		—		1,741		—
Reversal of allowance upon reclass of mortgage loans held-for-sale, net										Reversal of allowance upon reclass of mortgage loans held-for-sale, net	—		—		—		1,741
Allowance for expected credit losses, end of period	Allowance for expected credit losses, end of period	$	(13,876)	$	(15,154)	$	(13,876)	$	(15,154)	Allowance for expected credit losses, end of period	$	(5,220)	$	(13,876)	$	(5,220)	$	(13,876)

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

2426

The following table sets forth the carrying value of the Company’s mortgage loans by delinquency status as of September 30, ~~2021~~2022 and December 31, ~~2020~~2021 ($ in thousands):

September 30, 2021
Mortgage loans held-for-investment, net Current 30 60 90 Foreclosure Total
Great Ajax II REIT $ 474,914 $ 22,649 $ 11,594 $ 28,018 $ 2,421 $ 539,596
California 28,456 4,880 5,270 17,436 6,892 62,934
7f7 and better 68,210 21,403 15,374 38,299 441 143,727
4f4-6f6 and below 24,164 4,271 5,331 113,691 51,187 198,644
Non-PCD 30,707 — 12 84 647 31,450
Total $ 626,451 $ 53,203 $ 37,581 $ 197,528 $ 61,588 $ 976,351


	September 30, 2022
Mortgage loans held-for-investment, net	Current		30		60		90		Foreclosure		Total
GAOP - 7f7 >50	$	194,956	$	1,320	$	38,515	$	102,141	$	1,631	$	338,563
GAOP - 7f7 <50	24,169		235		6,987		16,439		224		48,054
GAOP - 6f6 and below	6,598		337		711		99,603		48,281		155,530
Great Ajax II REIT - 7f7 >50	328,288		3,412		35,631		19,474		105		386,910
Great Ajax II REIT - 7f7 <50	34,585		671		3,942		2,056		—		41,254
Great Ajax II REIT - 6f6 and below	—		—		323		32,843		2,909		36,075
Total	$	588,596	$	5,975	$	86,109	$	272,556	$	53,150	$	1,006,386

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, 2021
Mortgage loans held-for-investment, net	Current		30		60		90		Foreclosure		Total
Great Ajax II REIT	$	398,200	$	52,782	$	19,530	$	41,931	$	2,153	$	514,596
2021-B	61,066		24,428		24,807		113,459		18,432		242,192
2019-C	78,238		13,920		11,738		35,727		6,458		146,081
California	3,938		661		—		5,132		2,270		12,001
7f7 and better	13,087		4,192		1,718		13,068		176		32,241
6f6 and below	15,169		4,408		2,064		62,456		29,906		114,003
18-1 LLC	2,123		67		111		55		—		2,356
Non-PCD	16,457		—		—		—		507		16,964
Total	$	588,278	$	100,458	$	59,968	$	271,828	$	59,902	$	1,080,434

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


	December 31, 2021
Mortgage loans held-for-sale, net	Current		30		60		90		Foreclosure		Total
Ajax N	$	13,485	$	3,927	$	2,369	$	7,828	$	1,963	$	29,572
Total	$	13,485	$	3,927	$	2,369	$	7,828	$	1,963	$	29,572

Note 4 — Real Estate Assets, Net

The Company acquires real estate assets either through direct purchases of properties ~~for its rental portfolio~~ or through conversions of mortgage loans in its portfolio ~~such as~~ when a mortgage loan is foreclosed upon and the Company takes title to the property on the foreclosure date or the borrower surrenders the deed in lieu of foreclosure.

Property Held-for-Sale and Rental Property

~~The Company's REO property consists~~As of ~~property held-for-sale~~both September 30, 2022 and ~~rental property.~~December 31, 2021, the Company’s net investments in real estate owned properties was $6.1 million, all of which related to properties held-for-sale. REO property is considered held-for-sale if the REO is expected to be actively marketed for sale. As of September 30, 2021 and December 31, 2020, the Company’s net investments in real estate owned properties were $6.1 million and $8.5 million, respectively, which included balances relating to properties held-for-sale of $6.1 million and $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~~2022 and December 31, ~~2020,~~2021, was $0.4 million and ~~$0.3~~$0.7 million, respectively, for properties undergoing renovation or which are otherwise in the process of being brought to market. As of September 30, ~~2021~~2022 and December 31, ~~2020,~~2021, the Company had no rental properties. As of September 30, 2022 and December 31, 2021, the Company had a total of 3137 and 3831 real estate owned properties, ~~respectively, which included 31 and 32 held-for-sale properties, respectively, and zero and 6 rental properties,~~ respectively. For the three and nine months ended September 30, 2022 and 2021, ~~and 2020, all~~the majority 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~~or from rental ~~properties.~~

properties, or acquired through direct purchase.

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

2527

The following table presents the activity in the Company’s carrying value of ~~property held-for-sale and rental~~REO property for the three and nine months ended September 30, ~~2021~~2022 and ~~2020~~2021 ($ in thousands):


		Three months ended September 30,						Nine months ended September 30,							Three months ended September 30,						Nine months ended September 30,
		2021			2020			2021			2020				2022			2021			2022			2021
Property Held-for-Sale and Rental Property	Property Held-for-Sale and Rental Property	Count	Amount		Count	Amount		Count	Amount		Count	Amount		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	25	$	4,768	42	$	8,233	38	$	8,526	68	$	15,071	Balance at beginning of period	37	$	7,434	25	$	4,768	31	$	6,063	38	$	8,526
Net transfers from mortgage loans	Net transfers from mortgage loans	10	1,739		5	603		17	3,013		12	1,515		Net transfers from mortgage loans	8	1,099		10	1,739		18	3,332		17	3,013
Purchases														Purchases	1	27		—	—		1	27		—	—
Adjustments to record at lower of cost or fair value	Adjustments to record at lower of cost or fair value	—	78		—	(156)		—	(170)		—	(1,156)		Adjustments to record at lower of cost or fair value	—	22		—	78		—	(78)		—	(170)
Depreciation on rental properties	Depreciation on rental properties	—	(1)		—	(7)		—	(7)		—	(23)		Depreciation on rental properties	—	—		—	(1)		—	—		—	(7)
Disposals	Disposals	(4)	(487)		(7)	(1,416)		(24)	(5,265)		(40)	(8,143)		Disposals	(9)	(2,508)		(4)	(487)		(13)	(3,270)		(24)	(5,265)
Other		—	—		—	(49)		—	—		—	(56)
Balance at end of period	Balance at end of period	31	$	6,097	40	$	7,208	31	$	6,097	40	$	7,208	Balance at end of period	37	$	6,074	31	$	6,097	37	$	6,074	31	$	6,097

Dispositions

During the three and nine months ended September 30, 2022, the Company sold 9 and 13 REO properties, respectively, realizing net gains of approximately $0.8 million during both periods. Comparatively, for 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. These amounts are included in Other income on the Company's consolidated statements of ~~income. The~~operations. During the three and nine months ended September 30, 2022, the Company recorded a recovery of lower of cost or net realizable value adjustments in Real estate operating expense ~~for the three~~of $22.0 thousand and ~~nine months ended September 30, 2021~~an expense of lower of cost or net realizable value adjustments in Real estate operating expense of $0.1 ~~million and $0.2~~ million, respectively. Comparatively, for the three and nine months ended September 30, ~~2020,~~2021, the Company recorded a recovery of lower of cost or net realizable value adjustments in Real estate operating expense of ~~$0.2~~$0.1 million and ~~$1.2~~recorded an expense of lower of cost or net realizable value adjustments in Real estate operating expense of $0.2 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.~~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. The

Company carries its investments in beneficial interests at amortized cost.

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, interest rate risk, risks affecting borrowers such as man-made or natural disasters, or the COVID-19 pandemic, and damage to or delay in realizing the value of the underlying collateral. The Company monitors the credit quality of the mortgage loans underlying its debt securities on an ongoing basis, principally by considering loan payment activity or delinquency status. In addition, the Company assesses the expected cash flows from the mortgage loans, the fair value of the underlying collateral and other factors, and evaluates whether and when it becomes probable that all amounts contractually due will not be collected. The following table presents information regarding the Company's investments in debt securities and investments in beneficial interests ($ in thousands):

As of 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

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


	As of September 30, 2022
	Basis(1)		Gross unrealized gains		Gross unrealized losses		Carrying value
Debt securities, at fair value	$	280,232	$	42	$	(22,462)	$	257,812
Investment in beneficial interests at amortized cost, net of allowance for credit losses	127,669		—		—		127,669
Total investments	$	407,901	$	42	$	(22,462)	$	385,481

(1)Basis amount is net of amortized discount, principal paydowns and interest receivable on securities of $0.1 million.


	As of December 31, 2021
	Basis(1)		Gross unrealized gains		Gross unrealized losses		Carrying value
Debt securities, at fair value	$	354,158	$	1,822	$	(802)	$	355,178
Investment in beneficial interests at amortized cost, net of allowance for credit losses	139,588		—		—		139,588
Total investments	$	493,746	$	1,822	$	(802)	$	494,766

(1)Basis amount is net of amortized discount, allowance for expected credit losses on beneficial interests, 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, 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 amortized costs, principal paydowns and interest receivable on securities of $0.2~~$0.3 million.

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


		As of September 30, 2021								As of September 30, 2022
		Step-up date(1)	Basis(2)		Gross unrealized losses		Carrying value			Step-up date(s)(1)	Basis(2)		Gross unrealized losses		Carrying value
Debt securities due September 2059(3)		April 2023	$	9,159	$	(203)	$	8,956
Debt securities due November 2051(3)									Debt securities due November 2051(3)	March 2025	$	38,789	$	(1,787)	$	37,002
Debt securities due September 2059(4)									Debt securities due September 2059(4)	February 2023/April 2023	15,714		(739)		14,975
Debt securities due November 2059(3)									Debt securities due November 2059(3)	April 2023	7,036		(238)		6,798
Debt securities due December 2059(3)									Debt securities due December 2059(3)	July 2023	34,779		(2,062)		32,717
Debt securities due March 2060(3)									Debt securities due March 2060(3)	February 2025	15,051		(1,621)		13,430
Debt securities due June 2060(3)									Debt securities due June 2060(3)	March 2024	8,310		(504)		7,806
Debt securities due December 2060(3)									Debt securities due December 2060(3)	July 2029	43,978		(5,262)		38,716
Debt securities due January 2061(5)									Debt securities due January 2061(5)	September 2024	12,250		(728)		11,522
Debt securities due June 2061(6)									Debt securities due June 2061(6)	January 2025/February 2025	76,947		(8,075)		68,872
Debt securities due October 2061(3)									Debt securities due October 2061(3)	April 2029	12,542		(857)		11,685
Debt securities due March 2062(3)									Debt securities due March 2062(3)	May 2029	11,332		(589)		10,743
Total	Total		$	9,159	$	(203)	$	8,956	Total		$	276,728	$	(22,462)	$	254,266

(1)Step-up date is the date at which the coupon interest rate on the security increases. The Company expects the security to be called before the step-up date.

(2)Basis amount is net of any realized amortized costs and principal paydowns.

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

(4)This line is comprised of two securities that are both due September 2059. One security with a balance of $0.3 million has been in a loss position for less than 12 months and has a step-up date in February 2023, and the other security of $0.4 million has been in a loss position for less than 12 months and has a step-up date in April 2023.

(5)This security has been in an unrealized loss position for 12 months or longer.

(6)This line is comprised of two securities that are both due June 2061. One security with a balance of $5.4 million has been in an unrealized loss position for 12 months or longer and has a step-up date in January 2025, and the other security of $2.6 million has been in a loss position for less than 12 months and has a step-up date in February 2025.

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

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


	As of December 31, 2021
	Step-up date(s)(1)	Basis(2)		Gross unrealized losses		Carrying value
Debt securities due November 2051(3)	March 2025	$	44,902	$	(12)	$	44,890
Debt securities due June 2057(3)	April 2022(5)	23,165		(3)		23,162
Debt securities due September 2059(3)	February 2023	9,173		(24)		9,149
Debt securities due December 2059(3)	July 2023	40,502		(87)		40,415
Debt securities due March 2060(3)	February 2025	16,977		(91)		16,886
Debt securities due January 2061(3)	September 2024	14,000		(140)		13,860
Debt securities due June 2061(4)	January 2025/February 2025	86,909		(445)		86,464
Total		$	235,628	$	(802)	$	234,826

(1)Step-up date is the date at which the coupon interest rate on the security increases. The Company expects the security to be called before the step-up date.

(2)Basis amount is net of any realized amortized costs and principal paydowns.

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

(4)This line is comprised of two securities that are both due ~~September 2059.~~June 2061. One security with a balance of ~~$0.2~~$0.4 million has been in an unrealized loss position for less than 12 months and has a step-up date in ~~April 2023,~~January 2025, and the other security of $0.1 million ~~has~~ been in a loss position for less than 12 months ~~or longer~~ and has a step-up date in February ~~2023.~~2025.

~~(4)~~(5)~~This~~On January 25, 2022 the step-up date for this security ~~has been in an unrealized loss position for less than 12 months.~~was extended from January 2022 to April 2022.

As of September 30, ~~2021,~~2022, the Company ~~recorded $3.6 million of gross unrealized gains and~~had a gross unrealized loss of ~~$0.2~~$22.5 million and a gross unrealized gain of $42.0 thousand in fair valuation adjustments in accumulated other comprehensive income on the consolidated balance sheet on total investments with a fair value of ~~$340.1~~$257.8 million, which includes ~~$0.2~~$0.1 million in interest receivable. As of December 31, ~~2020,~~2021, the Company recorded ~~$1.2~~$1.8 million of gross unrealized gains and a gross unrealized loss of $0.8 million in fair valuation adjustments in accumulated other comprehensive income on the consolidated balance sheet on total investments with a fair value of ~~$273.8~~$355.2 million, which includes ~~$0.2~~$0.3 million in interest receivable.

During the three months ended September 30, 2022, the Company acquired zero securities. During the nine months ended September 30, 2022, the Company re-securitized, with an accredited institutional investor, Ajax Mortgage Loan Trust 2018-D and 2018-G ("2018-D and -G") joint ventures into Ajax Mortgage Loan Trust 2022-A ("2022-A") and retained 23.28% or $49.2 million of varying classes of agency rated securities and equity. 2022-A acquired 811 RPLs and NPLs with UPB of $215.5 million and an aggregate property value of $518.8 million. The AAA through A rated securities represent 71.9% of the UPB of the underlying mortgage loans and carry a weighted average coupon of 3.47%. This is the first fully rated securitization structure to include a substantial amount of NPLs. Approximately 33.90% of loan UPB in 2022-A was 60 days or more delinquent. Also, the Company re-securitized, with an accredited institutional investor, Ajax Mortgage Loan Trust 2019-A and 2019-B ("2019-A and -B") joint ventures into Ajax Mortgage Loan Trust 2022-B ("2022-B") and retained 17.18% or $36.8 million of varying classes of agency rated securities and equity. 2022-B acquired 1,106 RPLs and NPLs with UPB of $220.8 million and an aggregate property value of $575.5 million. The AAA through A rated securities represent 76.9% of the UPB of the underlying mortgage loans and carry a weighted average coupon of 3.47%. Comparatively, 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, ofin subordinate notes and $3.2 million and $42.7 million, respectively, in beneficial interests issued by joint ventures. As of September 30, 2022, the investments in debt securities and beneficial interests were carried on the Company's consolidated balance sheet at $257.8 million and $127.7 million, respectively.

At December 31, 2021, the investments in debt securities and beneficial interests were carried on the Company's consolidated balance sheet at $355.2 million and $139.6 million, respectively. During the three and nine months ended September 30, 2022, the Company sold senior notes issued by certain joint ventures and recognized a loss of $0.9 million. Comparatively, during the three and nine months ended September 30, ~~2020,~~2021, the Company ~~acquired $83.4 million and $144.7 million, respectively, in aggregate of debt securities and beneficial interests~~sold senior notes issued by certain joint ventures ~~between~~and recognized a gain of $0.2 million. As of September 30, 2022 and December 31, 2021, the Company ~~and third party institutional accredited investors. Of the $83.4 million and $144.7 million, respectively, of debt~~had no 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~~that were past due.

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

2730

~~senior notes, $5.2~~During the first quarter of 2022, the Company recorded an impairment of $4.0 million on its beneficial interests in 2018-D and ~~$9.8~~-G in other loss/income on its consolidated statements of operations, which became a realized loss when the transaction closed during the second quarter of 2022. During the second quarter of 2022, the Company recorded a loss of $2.1 million on its beneficial interests in 2019-A and -B in other loss/income on its consolidated statements of operations. Although the Company continues to own approximately the same interest in the underlying mortgage loans and related cash flows, the beneficial interests are accounted for as distinct legal securities and were received through a combination of the beneficial interest in 2022-A and -B and cash received from the sale of the underlying loans in 2022-A and -B. The decline in loan prices driven by disruption in the markets since year end resulted in lower than expected cash proceeds at redemption. For the three and nine months ended September 30, 2022, the Company recognized a loss of zero and $6.1 million, respectively, in subordinate notes and $12.2 million and $19.3 million, respectively, in beneficial interests issued by joint ventures. As of September 30, 2021, the investments in debt securities and beneficial interests were carried on the Company's consolidated balance sheet at $340.1 million and $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.other loss/income.

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~~2022 and ~~2020~~2021 ($ in thousands):

Three months ended September 30, Nine months ended September 30,
2021 2020 2021 2020
Par $ 5,177 $ 15,349 $ 51,662 $ 27,319
Discount (1,346) (2,899) (6,771) (5,234)
Allowance (618)

(225) (2,211) (2,778)
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.


	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Par	$	—	$	5,177	$	14,720	$	51,662
(Discount)/premium	—		(1,346)		1,087		(6,771)
Allowance	—		(618)		—		(2,211)
Purchase Price	$	—	$	3,213	$	15,807	$	42,680

The Company adopted CECL using the prospective transition approach for PCD assets for its beneficial interests on January 1, 2020, at the time $1.7 million was reclassified from discount to allowance for expected credit losses for its Investments in beneficial interests. Under CECL, the Company generally recognizes increases and decreases in the net present value of expected cash flows in earnings in the period they occur. An expense ~~will be~~is recorded to increase the allowance for expected credit losses when there is a reduction in the Company’s expected future cash flows compared to contractual amounts due. Income ~~will be~~is recognized if there is an increase in expected future cash flows to the extent an allowance has been recorded against the beneficial interest. If there is no allowance for expected credit losses recorded against a beneficial interest, any increase in expected cash flows is recognized prospectively as a change in yield. 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 reduction to the ~~allowance.~~allowance through the income statement. 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, 2022, the Company recorded a zero and $0.8 million reclassification to non-credit discount from the allowance for changes in payment expectations and zero and $0.1 million increase in the allowance for expected credit losses due to decreases in the net present value of expected cash flows, respectively. Comparatively, during three and nine months ended September 30, 2021, the Company recorded a reclassification from non-credit discount to the allowance for changes in payment expectations of $0.3 million and $0.5 million, respectively. During the three and nine months ended September 30, 2021, the Company recorded reversals of the allowance for expected credit losses for beneficial interests of $2.8 million and $4.8 million, respectively. During the three and nine months ended September 30, 2020, the Company recorded reversals of the allowance for expected credit losses for beneficial interests of $1.4 million and $1.7 million, respectively.

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

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)


	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Allowance for expected credit losses, beginning balance	$	—	$	(2,959)	$	(615)	$	(4,453)
Reclassification (from)/to non-credit discount (to)/from the allowance for changes in payment expectations	—		(344)		759		(502)
Credit loss expense on beneficial interests	—		(85)		(50)		(440)
Reversal of/(increase in) allowance for expected credit losses due to increases/(decreases) in the net present value of expected cash flows	—		2,770		(94)		4,777
Allowance for expected credit losses, ending balance	$	—	$	(618)	$	—	$	(618)

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

2831

Note 6 — Fair Value

Recurring financial assets and liabilities measured and carried at fair value by level within the fair value hierarchy as of September 30, ~~2021~~2022 and December 31, ~~2020~~2021 ($ in thousands):


				Level 1		Level 2		Level 3					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
September 30, 2022										September 30, 2022	Carrying value		Quoted prices in active markets		Observable inputs other than Level 1 prices		Unobservable inputs
Recurring financial assets	Recurring financial assets									Recurring financial assets
Investment in debt securities at fair value	Investment in debt securities at fair value	$	340,082	$	—	$	340,082	$	—	Investment in debt securities at fair value	$	257,812	$	—	$	257,812	$	—
Recurring financial liabilities	Recurring financial liabilities									Recurring financial liabilities
Put option liability	Put option liability	$	20,843	$	—	$	—	$	20,843	Put option liability	$	10,722	$	—	$	—	$	10,722

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


			Level 1		Level 2		Level 3
December 31, 2021	Carrying value		Quoted prices in active markets		Observable inputs other than Level 1 prices		Unobservable inputs
Recurring financial assets
Investment in debt securities at fair value	$	355,178	$	—	$	355,178	$	—
Recurring financial liabilities
Put option liability	$	23,667	$	—	$	—	$	23,667

The following tables set forth the fair value of financial instruments by level within the fair value hierarchy as of September 30, ~~2021~~2022 and December 31, ~~2020~~2021 ($ in thousands):


				Level 1		Level 2		Level 3					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
September 30, 2022										September 30, 2022	Carrying value		Quoted prices in active markets		Observable inputs other than Level 1 prices		Unobservable inputs
Financial assets	Financial assets									Financial assets
Mortgage loans held-for-investment, net	Mortgage loans held-for-investment, net	$	976,351	$	—	$	—	$	1,059,040	Mortgage loans held-for-investment, net	$	1,006,386	$	—	$	—	$	986,977
Mortgage loans held-for-sale, net		$	30,963	$	—	$	—	$	33,429
Investment in beneficial interests	Investment in beneficial interests	$	139,494	$	—	$	—	$	139,494	Investment in beneficial interests	$	127,669	$	—	$	—	$	127,669
Investment in Manager	Investment in Manager	$	1,569	$	—	$	—	$	12,379	Investment in Manager	$	942	$	—	$	—	$	11,357
Investment in AS Ajax E LLC	Investment in AS Ajax E LLC	$	611	$	—	$	761	$	—	Investment in AS Ajax E LLC	$	473	$	—	$	616	$	—
Investment in AS Ajax E II LLC	Investment in AS Ajax E II LLC	$	2,755	$	—	$	2,958	$	—	Investment in AS Ajax E II LLC	$	2,261	$	—	$	2,274	$	—
Investment in GAFS, including warrants	Investment in GAFS, including warrants	$	2,619	$	—	$	—	$	3,320	Investment in GAFS, including warrants	$	2,142	$	—	$	—	$	3,320
Investment in Gaea	Investment in Gaea	$	19,670	$	—	$	—	$	20,287	Investment in Gaea	$	24,932	$	—	$	—	$	26,326
Investment in Loan pool LLCs	Investment in Loan pool LLCs	$	240	$	—	$	—	$	672	Investment in Loan pool LLCs	$	194	$	—	$	—	$	778
Financial liabilities	Financial liabilities									Financial liabilities
Secured borrowings, net	Secured borrowings, net	$	612,592	$	—	$	624,743	$	—	Secured borrowings, net	$	481,824	$	—	$	433,736	$	—
Borrowings under repurchase transactions	Borrowings under repurchase transactions	$	399,340	$	—	$	399,340	$	—	Borrowings under repurchase transactions	$	463,256	$	—	$	463,256	$	—
Convertible senior notes, net	Convertible senior notes, net	$	103,754	$	111,227	$	—	$	—	Convertible senior notes, net	$	104,061	$	99,750	$	—	$	—
Notes payable										Notes payable	$	106,169	$	—	$	102,720	$	—

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

2932


				Level 1		Level 2		Level 3					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
December 31, 2021										December 31, 2021	Carrying value		Quoted prices in active markets		Observable inputs other than Level 1 prices		Unobservable inputs
Financial assets	Financial assets									Financial assets
Mortgage loans held-for-investment, net	Mortgage loans held-for-investment, net	$	1,119,372	$	—	$	—	$	1,232,081	Mortgage loans held-for-investment, net	$	1,080,434	$	—	$	—	$	1,174,660
Mortgage loans held-for-sale, net										Mortgage loans held-for-sale, net	$	29,572	$	—	$	—	$	32,857
Investment in beneficial interests	Investment in beneficial interests	$	91,418	$	—	$	—	$	91,418	Investment in beneficial interests	$	139,588	$	—	$	—	$	139,588
Investment in Manager	Investment in Manager	$	1,366	$	—	$	—	$	11,709	Investment in Manager	$	1,502	$	—	$	—	$	12,346
Investment in AS Ajax E LLC	Investment in AS Ajax E LLC	$	776	$	—	$	934	$	—	Investment in AS Ajax E LLC	$	569	$	—	$	721	$	—
Investment in AS Ajax E II LLC	Investment in AS Ajax E II LLC	$	3,381	$	—	$	3,484	$	—	Investment in AS Ajax E II LLC	$	2,550	$	—	$	2,824	$	—
Investment in GAFS, including warrants	Investment in GAFS, including warrants	$	2,711	$	—	$	—	$	3,320	Investment in GAFS, including warrants	$	2,602	$	—	$	—	$	3,320
Investment in Gaea	Investment in Gaea	$	20,001	$	—	$	—	$	19,150	Investment in Gaea	$	19,571	$	—	$	—	$	21,170
Investment in Loan pool LLCs	Investment in Loan pool LLCs	$	381	$	—	$	—	$	701	Investment in Loan pool LLCs	$	226	$	—	$	—	$	853
Financial liabilities	Financial liabilities									Financial liabilities
Secured borrowings, net	Secured borrowings, net	$	585,403	$	—	$	586,419	$	—	Secured borrowings, net	$	575,563	$	—	$	580,166	$	—
Borrowings under repurchase agreement	Borrowings under repurchase agreement	$	421,132	$	—	$	421,132	$	—	Borrowings under repurchase agreement	$	546,054	$	—	$	546,054	$	—
Convertible senior notes, net	Convertible senior notes, net	$	110,057	$	110,675	$	—	$	—	Convertible senior notes, net	$	102,845	$	108,816	$	—	$	—

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.~~loans.

The ~~Company values its~~fair value of investments in debt securities is determined using estimates provided by ~~its~~the Company's 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~~fair value of investments in beneficial interests ~~are trust certificates representing~~represent 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 relies on its ~~Manager's~~Manager’s proprietary pricing model to estimate the underlying cash flows expected to be collected on its investments in beneficial interests.

The fair value of the Company's ownership interest in the Manager is valued by applying an earnings multiple to base fee revenue.

The fair value of the Company’s ownership ~~interests~~interest in AS Ajax E LLC and AS Ajax E II LLC are valued using estimates provided by financing counterparties or other publicly available information.

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

The fair value of the ~~Company's~~Company’s ownership interest in Gaea is estimated using ~~a projected net operating income~~an implied capitalization rate applied to the value of the underlying properties and the Manager's propriety pricing model for ~~its property portfolio.~~loans.

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

The fair value of secured borrowings is estimated using ~~estimates~~prices provided by the Company's financing counterparties, which are compared for reasonableness to the Manager’s proprietary pricing model which estimates expected cash flows of the underlying mortgage loans collateralizing the debt. The Company 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 carrying value is ~~largely~~partially driven by the deferred issuance costs.

The ~~Company's~~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

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

3033

~~Fair value is~~ determined using the discounted cash flow method using a rate to accrete the initial basis, ~~of $9.5 million~~adjusted for subsequent repurchases, to the future put ~~obligation of $50.7 million over the 39-month term of the put option liability.~~obligation. The fair value of the ~~Company's~~Company’s put option liability is measured quarterly with adjustments posted to the Company's consolidated statements of ~~income.~~operations.

The Company’s borrowings under 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~~2024 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~~2024 Notes will mature on April 30, ~~2022 subject to satisfying the conversion price trigger.~~2024, unless earlier repurchased, converted or redeemed. The Company carries its ~~Convertible debt~~2024 Notes net of deferred issuance cost. Accordingly, the difference between fair value and carrying value is partially driven by the deferred issuance costs.

The 2027 Notes payable fair value is determined using estimates provided by third party valuation services using observed transactions for similar financing arrangements. The 2027 Notes will mature on September 1, 2027, unless earlier repurchased or redeemed. The Company carries the 2027 Notes payable net of 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~~The fair value of property held-for-sale is ~~carried at~~determined using the lower of its acquisition cost ("cost") or net realizable value. Net realizable value is determined based on BPOs, appraisals, ~~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 ~~it's~~its 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, ~~2021~~2022 and December 31, ~~2020~~2021 ($ in thousands):


						Level 1		Level 2		Level 3							Level 1		Level 2		Level 3
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
September 30, 2022												September 30, 2022	Carrying value		Nine months ended fair value adjustment recognized in the consolidated statements of operations		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	$	6,097	$	(170)	$	—	$	—	$	6,097	Property held-for-sale	$	6,074	$	(78)	$	—	$	—	$	6,074


						Level 1		Level 2		Level 3							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
December 31, 2021												December 31, 2021	Carrying value		Fair value adjustment recognized in the consolidated statements of operations		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	$	7,807	$	(1,359)	$	—	$	—	$	7,807	Property held-for-sale	$	6,063	$	(293)	$	—	$	—	$	6,063

Note 7 — Affiliates

Unconsolidated Affiliates

~~On November 22, 2019, Gaea completed a private capital raise transaction in which it raised $66.3 million from~~At both September 30, 2022 and December 31, 2021, and for 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 assetsthree and ~~liabilities due to the limited lapse of time since their acquisitions. At~~nine months ended September 30, 2022 and 2021, the Company ~~owned~~had ownership interests in six affiliated entities accounted for under the equity method of accounting.

At both September 30, 2022 and December 31, 2021, the Company’s ownership interest in the Manager, a privately held company for which there is no public market for its securities, was approximately ~~22.8% of Gaea with third party investors owning the remaining approximately 77.2%~~19.8%. The Company accounts for its ownership interest in ~~Gaea~~the Manager using the equity method.

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

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

3134

~~During 2018,~~At both September 30, 2022 and December 31, 2021, the ~~Company acquired an 8.0%~~Company's ownership interest was approximately 8.0% 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 ~~ownership interest~~investment in GAFS using the equity method.

~~On March 14, 2016,~~At September 30, 2022 and December 31, 2021, the Company ~~formed~~owned approximately 22.1% and 22.8% of Gaea, respectively. The Company accounts for its ownership interest in Gaea using the equity method.

At both September 30, 2022 and December 31, 2021, the Company’s ownership interest in AS Ajax E LLC, ~~to hold an equity interest in~~ a Delaware trust formed to own residential mortgage loans and residential real estate ~~assets.~~assets, was approximately 16.5%. AS Ajax E LLC owns a 5%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, 2021 and December 31, 2020, the Company’s ownership interest in AS Ajax E LLC was approximately 16.5%. The Company accounts for its ownership interest using the equity method.

~~Upon the closing of~~At both September 30, 2022 and December 31, 2021, the Company’s ~~original private placement~~ownership interest was approximately 40.1% in ~~July 2014,~~two loan pool LLCs managed by the ~~Company received a 19.8% equity interest~~Servicer, which hold investments in ~~the Manager, a privately held company for which there is no public market for its securities.~~RPLs and NPLs. The Company accounts for its 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%	2021		2020		2021		2020		Net income/(loss) at 100%	2022		2021		2022		2021
Thetis Asset Management LLC		$	665	$	378	$	2,945	$	(1,837)
AS Ajax E LLC	AS Ajax E LLC	$	66	$	52	$	162	$	151	AS Ajax E LLC	$	45	$	66	$	85	$	162
Loan pool LLCs	Loan pool LLCs	$	(41)	$	(114)	$	(92)	$	27	Loan pool LLCs	$	(49)	$	(41)	$	(81)	$	(92)
Thetis Asset Management LLC										Thetis Asset Management LLC	$	(502)	$	665	$	(1,065)	$	2,945
Gaea Real Estate Corp.	Gaea Real Estate Corp.	$	(123)	$	60	$	136	$	320	Gaea Real Estate Corp.	$	(757)	$	(123)	$	(1,209)	$	136
Great Ajax FS LLC	Great Ajax FS LLC	$	(460)	$	(1,454)	$	(1,148)	$	(4,004)	Great Ajax FS LLC	$	(2,458)	$	(460)	$	(5,734)	$	(1,148)


		September 30, 2021				December 31, 2020					September 30, 2022				December 31, 2021
Assets and Liabilities at 100%	Assets and Liabilities at 100%	Assets		Liabilities		Assets		Liabilities		Assets and Liabilities at 100%	Assets		Liabilities		Assets		Liabilities
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	AS Ajax E LLC	$	2,957	$	2	$	3,545	$	2
Loan pool LLCs	Loan pool LLCs	$	2,234	$	4,018	$	2,423	$	3,961	Loan pool LLCs	$	2,247	$	4,147	$	2,242	$	4,060
Thetis Asset Management LLC										Thetis Asset Management LLC	$	7,255	$	2,791	$	9,498	$	1,904
Gaea Real Estate Corp.	Gaea Real Estate Corp.	$	92,877	$	11,270	$	94,639	$	11,886	Gaea Real Estate Corp.	$	151,121	$	44,717	$	105,667	$	24,305
Great Ajax FS LLC	Great Ajax FS LLC	$	54,529	$	35,251	$	56,532	$	36,101	Great Ajax FS LLC	$	76,156	$	62,838	$	66,355	$	47,293

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

3235

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


		Three months ended September 30,				Nine months ended September 30,					Three months ended September 30,				Nine months ended September 30,
Net income/(loss) at the Company's share	Net income/(loss) at the Company's share	2021		2020		2021		2020		Net income/(loss) at the Company's share	2022		2021		2022		2021
Thetis Asset Management LLC		$	132	$	75	$	583	$	(364)
AS Ajax E LLC	AS Ajax E LLC	$	11	$	9	$	27	$	25	AS Ajax E LLC	$	7	$	11	$	14	$	27
Loan pool LLCs	Loan pool LLCs	$	(16)	$	(46)	$	(37)	$	10	Loan pool LLCs	$	(20)	$	(16)	$	(33)	$	(37)
Thetis Asset Management LLC										Thetis Asset Management LLC	$	(99)	$	132	$	(211)	$	583
Gaea Real Estate Corp.	Gaea Real Estate Corp.	$	(28)	$	14	$	32	$	74	Gaea Real Estate Corp.	$	(167)	$	(28)	$	(268)	$	32
Great Ajax FS LLC	Great Ajax FS LLC	$	(37)	$	(116)	$	(92)	$	(320)	Great Ajax FS LLC	$	(197)	$	(37)	$	(460)	$	(92)


		September 30, 2021				December 31, 2020					September 30, 2022				December 31, 2021
Assets and Liabilities at the Company's share	Assets and Liabilities at the Company's share	Assets		Liabilities		Assets		Liabilities		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	AS Ajax E LLC	$	625	$	—	$	791	$	—	AS Ajax E LLC	$	487	$	—	$	583	$	—
Loan pool LLCs	Loan pool LLCs	$	897	$	1,619	$	973	$	1,595	Loan pool LLCs	$	902	$	1,670	$	900	$	1,635
Thetis Asset Management LLC										Thetis Asset Management LLC	$	1,437	$	553	$	1,881	$	377
Gaea Real Estate Corp.	Gaea Real Estate Corp.	$	21,195	$	2,572	$	21,729	$	2,729	Gaea Real Estate Corp.	$	33,322	$	9,860	$	24,092	$	5,542
Great Ajax FS LLC	Great Ajax FS LLC	$	4,362	$	2,820	$	4,523	$	2,888	Great Ajax FS LLC	$	6,092	$	5,027	$	5,308	$	3,783

Consolidated Affiliates

The Company consolidates the results and balances of certain securitization trusts which are established to provide debt financing to the Company by securitizing pools of mortgage loans. These trusts are considered to be VIEs, and the Company has determined that it is the primary beneficiary of certain of these VIEs. See Note 9 — Debt.

The Company also consolidates the activities and balances of its controlled affiliates, which include AS Ajax E II, ~~LLC,~~ which was established to hold an equity interest in a Delaware trust formed to own residential mortgage loans and residential real estate assets. ~~As of~~At both September 30, 2022 and December 31, 2021, AS Ajax E II ~~LLC~~ was 53.1% owned by the Company, with the remainder held by third parties. 2017-D is a securitization trust formed to hold mortgage loans, REO property and secured 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 both September 30, 2022 and December 31, 2021, the Company held a 50.0% ownership in the remaining loans held by 2017-D. Great Ajax II REIT wholly owns Great Ajax II Depositor LLC which acts as the depositor of mortgage loans into securitization trusts and holds ~~the~~ subordinated securities issued by such ~~trusts~~trusts. At both September 30, 2022 and ~~any additional trusts the Company may form for additional secured borrowings.~~December 31, 2021, Great Ajax II REIT was 99.9% owned by the ~~Company~~Company. Similarly, as of September 30, ~~2021~~2022 and December 31, ~~2020.~~

~~During the first quarter of~~ 2021, the ~~Company acquired~~Operating Partnership wholly owned Great Ajax III Depositor LLC, which was formed to act as 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.depositor into 2021-E.

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 or other assets 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, ~~2021,~~2022, the Company had commitments to purchase with third party institutional accredited investors, subject to due diligence, ~~161~~2,065 RPLs ~~and NPLs~~ secured by single-family residences with aggregated UPB of ~~$49.0~~$312.5 million. ~~The Company will only acquire loans that meet the acquisition criteria for its own portfolios or those of its third party institutional accredited co-investors.~~ See Note 15 — Subsequent Events, for remaining open acquisitions as of the filing date.

~~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. The preferred shares have a liquidation preference of $25.00 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 accompanying notes are an integral part of the consolidated interim financial statements.

During the three and nine months ended September 30, 2022, the Company ~~has recognized~~repurchased and retired 1,113,932 and 1,882,451 shares, respectively, of its series A preferred stock and 1,525,529 and 1,757,010 shares, respectively, of its series B preferred stock in a series of repurchase transactions. The series A and series B preferred stock was repurchased during the three and nine months ended September 30, 2022, for an aggregate of $64.2 million and $88.7 million, respectively, at an average price of $24.32 and $24.37 per share, respectively, representing a discount of approximately 2.7% and 2.5%, respectively, to the face value of $25.00 per share. The repurchase of the preferred stock caused the recognition of $5.7 million and $8.2 million of preferred stock discount during the three and nine months ended September 30, 2022. There was no repurchase of preferred stock in either the three or nine months ended September 30, 2021. Also during the three and nine months ended September 30, 2022, the Company repurchased and retired 3,299,328 and 4,549,328 of the outstanding warrants for $25.8 million and $35.0 million, respectively. The remaining liability on ~~its~~the consolidated balance sheet ~~within accrued expenses and other liabilities~~ at September 30, ~~2021~~2022 for the present value of the put liability on the remaining outstanding warrants is $10.7 million, representing the fair value of ~~$20.8 million.~~the put liability at the balance sheet date. The Company is accreting the amount of the liability under the effective interest method to its expected future put value of ~~$50.7~~$15.7 million and marks the obligation to market through earnings. The expense is recognized in the Fair value adjustment on put option liability line of the Company's consolidated statements of ~~income.~~operations. The following table sets forth the details of the Company's put option liability ($ 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, continues to be uncertain. As of September 30, 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.


	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Beginning balance	$	24,834	$	18,350	$	23,667	$	14,205
Fair value adjustments during the period	2,917		2,493		9,712		6,638
Repurchases	(17,029)		—		(22,657)		—
Ending balance	$	10,722	$	20,843	$	10,722	$	20,843

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, ~~2021,~~2022, 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 2two repurchase facilities whereby the Company, through 2two wholly owned Delaware trusts (the “Trusts”) acquires pools of mortgage loans which are then sold by the Trusts, as “Seller” to 2two separate counterparties, the “buyer” or “buyers.” One facility has a ceiling of $150.0 million and the other $400.0 million at any one time. Upon the time of the initial sale to the buyer, the Trust, with a simultaneous agreement, also agrees to repurchase the pools of mortgage loans from the buyer. Mortgage loans sold under these facilities carry interest calculated based on a spread to one-month ~~LIBOR,~~SOFR, 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 5four repurchase facilities substantially similar to the mortgage loan repurchase facilities, but where the pledged assets are securities retained from the Company's securitization transactions. These facilities have no effective ceilings. Each repurchase transaction represents its own borrowing. As such, the ceilings associated with these transactions are the amounts currently borrowed at any one time. The Company has effective control over the assets subject to all of these transactions; therefore, the Company’s repurchase transactions are accounted for as financing arrangements.

The Servicer services these mortgage loans pursuant to the terms of a Servicing Agreement by and between the Servicer and each buyer. Each Servicing Agreement has the same fees and expenses terms as the Company’s Servicing Agreement described under Note 10 — Related ~~party transactions.~~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.

3437

obligations under the mortgage loan purchase agreement, following the breach of certain covenants by the Seller, the occurrence of certain bad acts by the Seller, the occurrence of certain insolvency events of the Seller or other events specified in the Guaranty. As security for its obligations under the Guaranty, the guarantor will pledge the ~~Trust Certificate~~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):

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 %


	September 30, 2022
	Maturity Date	Amount Outstanding		Amount of Collateral			Interest Rate
Barclays - bonds(1)		$	110,312	$	152,652		3.61	%
A Bonds	October 3, 2022	37,657		54,929			3.45	%
	October 7, 2022	7,982		9,497			2.96	%
	October 21, 2022	54,507		71,674			3.73	%
B Bonds	October 3, 2022	3,975		6,338			3.71	%
	October 21, 2022	4,684		7,703			4.30	%
M Bonds	October 7, 2022	311		533			3.52	%
	October 21, 2022	1,196		1,978			3.94	%
Nomura - loans(2)	October 6, 2022	$	224,698	$	294,666		5.10	%
Nomura - bonds(1)		$	38,513	$	57,268		4.57	%
A Bonds	October 12, 2022	4,156		5,572			3.82	%
	November 18, 2022	7,139		10,178			4.16	%
	December 16, 2022	4,026		5,364			4.68	%
	December 23, 2022	12,177		18,457			4.80	%
B Bonds	November 14, 2022	2,937		4,427			4.52	%
	November 23, 2022	3,172		5,179			4.58	%
	December 16, 2022	1,106		1,687			5.08	%
	December 23, 2022	3,800		6,404			5.20	%
Goldman Sachs - bonds(1)		$	3,464	$	4,758		3.95	%
A Bonds	October 14, 2022	3,464		4,758			3.95	%
JP Morgan - bonds(1)		$	74,035	$	106,229		3.88	%
A Bonds	December 6, 2022	5,299		7,235			3.11	%
	December 7, 2022	7,180		9,027			3.95	%
	March 24, 2023	22,131		30,400			5.41	%
B Bonds	November 4, 2022	9,278		14,106			3.99	%
	December 6, 2022	13,149		20,840			3.31	%
M Bonds	October 14, 2022	16,487		23,722			2.44	%
	December 7, 2022	511		899			4.41	%
JP Morgan - loans(3)	July 10, 2023	$	12,234	$	18,185		5.59	%
Totals/weighted averages		$	463,256	$	633,758	(4)	4.51	%

(1)Maximum borrowing capacity is the equivalent of the amount outstanding as of September 30, 2022.

(2)Maximum borrowing capacity as of September 30, 2022 was $400.0 million.

(3)Maximum borrowing capacity as of September 30, 2022 was $150.0 million.

(4)Includes $42.8 million of bonds that are consolidated on the Company's balance sheet for GAAP as of September 30, 2022.


	December 31, 2021
	Maturity Date	Amount Outstanding		Amount of Collateral		Interest Rate
Barclays - bonds(1)		$	126,344	$	162,160	1.09	%
A Bonds	March 8, 2022	7,318		9,710		1.19	%
	March 16, 2022	40,957		55,178		1.21	%

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

3538

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 %


	December 31, 2021
	Maturity Date	Amount Outstanding		Amount of Collateral			Interest Rate
	March 21, 2022	30,850		41,413			1.26	%
	March 22, 2022	36,093		40,091			0.69	%
B Bonds	March 16, 2022	4,258		6,232			1.46	%
	March 21, 2022	2,629		3,758			1.56	%
	March 22, 2022	2,698		3,835			1.49	%
M Bonds	March 22, 2022	1,541		1,943			1.16	%
Nomura - loans(2)	September 22, 2022	$	228,523	$	300,324		2.36	%
Nomura - bonds(1)		$	80,674	$	107,860		1.43	%
A bonds	January 6, 2022	6,567		8,484			1.33	%
	January 12, 2022	4,978		6,554			1.32	%
	January 27, 2022	2,206		3,065			1.30	%
	January 28, 2022	17,623		22,908			1.33	%
	February 18, 2022	9,275		12,323			1.36	%
	March 17, 2022	12,329		16,226			1.42	%
	March 25, 2022	15,443		20,657			1.41	%
B Bonds	February 11, 2022	3,094		4,434			1.75	%
	February 24, 2022	3,538		5,111			1.77	%
	March 17, 2022	1,177		1,686			1.82	%
	March 25, 2022	4,444		6,412			1.81	%
Goldman Sachs - bonds(1)		$	14,659	$	18,672		1.18	%
A Bonds	January 14, 2022	4,992		6,438			1.17	%
	January 20, 2022	9,667		12,234			1.18	%
JP Morgan - bonds(1)		$	82,030	$	108,282		1.29	%
A Bonds	April 1, 2022	28,482		37,753			1.36	%
	June 10, 2022	6,220		7,220			1.29	%
B Bonds	January 13, 2022	2,850		4,052			1.31	%
	February 11, 2022	11,272		16,087			1.36	%
	June 10, 2022	13,992		20,155			1.49	%
M Bonds	April 19, 2022	19,214		23,015			1.02	%
JP Morgan - loans(3)	July 8, 2022	$	13,824	$	20,856		2.60	%
Totals/weighted averages		$	546,054	$	718,154	(4)	1.74	%

(1)Maximum borrowing capacity is the equivalent of the amount outstanding as of December 31, 2021.

(2)Maximum borrowing capacity as of December 31, 2021 was $400.0 million.

(3)Maximum borrowing capacity as of December 31, 2021 was $150.0 million.

(4)Includes $42.8 million of bonds that are consolidated on the Company's balance sheet for GAAP as of December 31, 2021.

The Guaranty establishes a master netting arrangement; however, the arrangement does not meet the criteria for offsetting within the Company’s consolidated balance sheets. A master netting arrangement derives from contractual agreements entered into by two parties to multiple contracts that provides for the net settlement of all contracts covered by the agreements in the event of default under any one contract. As of September 30, ~~2021~~2022 and December 31, ~~2020,~~2021, the Company had ~~$10.4~~$7.8 million and ~~$4.7~~$6.9 million, respectively, of cash collateral on deposit with financing counterparties. This cash is included in Prepaid expenses and other assets on its consolidated balance sheets and is not netted against its Borrowings under repurchase agreements. The amount outstanding on the Company’s repurchase facilities and the carrying value of the Company’s loans pledged as collateral are presented as gross amounts in the Company’s consolidated balance sheets at September 30, ~~2021~~2022 and December 31, ~~2020~~2021 in the table below ($ in thousands):

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

3639

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


	Gross amounts not offset in balance sheet
	September 30, 2022		December 31, 2021
Gross amount of recognized liabilities	$	463,256	$	546,054
Gross amount of loans and securities pledged as collateral	625,924		711,252
Other prepaid collateral	7,834		6,902
Net collateral amount	$	170,502	$	172,100

Secured Borrowings

From its inception (January 30, 2014) to September 30, ~~2021,~~2022, the Company has completed 18 secured borrowings for its own balance sheet, not including its off-balance sheet joint ventures in which it holds investments in various classes of securities, pursuant to Rule 144A under the Securities Act, 5five of which were outstanding at September 30, ~~2021.~~2022. The secured borrowings are generally structured as debt ~~financings and not sales through a real estate investment conduit (“REMIC”), and the~~financings. The loans included in the secured borrowings remain on the Company’s consolidated balance sheet as the Company is the primary beneficiary of the securitization trusts, which are VIEs. The securitization VIEs are structured as pass through entities that receive principal and interest on the underlying mortgages and distribute those payments to the holders of the notes. The Company’s exposure to the obligations of the VIEs is generally limited to its investments in the entities. The notes that are issued by the securitization trusts are secured solely by the mortgages held by the applicable trusts and not by any of the Company’s other assets. The mortgage loans of the applicable trusts are the only source of repayment and interest on the notes issued by such trusts. The Company does not guarantee any of the obligations of the trusts under the terms of the agreement governing the notes or otherwise.

The Company’s non-rated secured borrowings are generally structured with Class A notes, subordinated notes, and trust certificates, which have rights to the residual interests in the mortgages once the notes are repaid. The Company has retained the subordinate notes and the applicable trust certificates from 1one non-rated secured borrowing outstanding at September 30, ~~2021.~~2022.

The Company’s rated secured borrowings are generally structured as “REIT TMP” transactions which allow the Company to issue multiple classes of securities without using a REMIC structure or being subject to an entity level tax. The Company’s rated secured borrowings generally issue classes of debt from AAA through mezzanine. The Company generally retains the mezzanine and residual certificates in the transactions. The Company has retained the applicable mezzanine and residual certificates from the other 4four rated secured borrowings outstanding at September 30, ~~2021.~~2022. The Company’s rated secured borrowings are designated in the table below.

At March 31, 2021, the Company's 2017-D secured borrowing contained Class A notes and Class B certificates representing the residual interests in the mortgages held within the securitization trusts subsequent to repayment of the Class A notes. The Company had retained ~~50%~~50.0% of both the Class A notes and Class B certificates from 2017-D; and the assets and liabilities were consolidated on the Company's consolidated balance sheets. During the second quarter of 2021, the majority of the loans in 2017-D were ~~refinanced in 2021-C.~~sold into 2021-C and the Class A note was redeemed. 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 was structured with Class A notes, Class B notes and trust certificates representing the residual interest in the mortgages held within the securitization trusts subsequent to repayment of the Class A debt. The Company had retained 5% of the Class A notes and 63% of the Class B notes and trust certificates. During the first quarter of 2021 the Company acquired the remaining 37% ownership of the Class B notes and trust certificates and settled the remaining 95% of the outstanding Class A notes.

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

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

The following table sets forth the original terms of ~~all~~ notes from the Company's secured borrowings outstanding at September 30, ~~2021~~2022 at their respective cutoff dates:

Issuing Trust/Issue Date

Interest Rate Step-up Date

Security

Original Principal

Interest Rate

Rated

Ajax Mortgage Loan Trust 2019-D/ July 2019

July 25, 2027

Class A-1 notes due 2065

$140.4 million

2.96

July 25, 2027

Class A-2 notes due 2065

$6.1 million

3.50

July 25, 2027

Class A-3 notes due 2065

$10.1 million

3.50

July 25, 2027

Class M-1 notes due 2065(1)

$9.3 million

3.50

None

Class B-1 notes due 2065(2)

$7.5 million

3.50

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

None

Class B-2 notes due 2065(2)

$7.1 million

variable(3)

None

Class B-3 notes due 2065(2)

$12.8 million

variable(3)

Deferred issuance costs

$(2.7) million

—

Rated

Ajax Mortgage Loan Trust 2019-F/ November 2019

November 25, 2026

Class A-1 notes due 2059

$110.1 million

2.86

November 25, 2026

Class A-2 notes due 2059

$12.5 million

3.50

November 25, 2026

Class A-3 notes due 2059

$5.1 million

3.50

November 25, 2026

Class M-1 notes due 2059(1)

$6.1 million

3.50

None

Class B-1 notes due 2059(2)

$11.5 million

3.50

None

Class B-2 notes due 2059(2)

$10.4 million

variable(3)

None

Class B-3 notes due 2059(2)

$15.1 million

variable(3)

Deferred issuance costs

$(1.8) million

—

Rated

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

August 25, 2024

Class A notes due 2066

$215.9 million

2.24

February 25, 2025

Class B notes due 2066(2)

$20.2 million

4.00

Deferred issuance costs

$(4.3) million

—

(1)The Class M notes are subordinated, sequential pay, fixed rate notes. The Company has retained the Class M notes, with the exception of Ajax Mortgage Loan Trust 2021-A.

(2)The Class B notes are subordinated, sequential pay, with B-2 and B-3 notes having variable interest rates and are subordinate to the Class B-1 notes. The Class B-1 notes are fixed rate notes. The Company has retained the Class B notes.

(3)The interest rate is effectively the rate equal to the spread between the gross average rate of interest the trust collects on its mortgage loan portfolio minus the rate derived from the sum of the servicing fee and other expenses of the trust.

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

Servicing for the mortgage loans in the Company’s secured borrowings is provided by the Servicer at servicing fee rates of between 0.65% of outstanding UPB and 1.25% of outstanding UPB at acquisition, and is paid monthly. The determination of RPL or NPL status, which determines the servicing fee rates, is based on the status of the loan at acquisition and does not change regardless of the loan's subsequent performance. The following table sets forth the status of the notes held by others at September 30, ~~2021~~2022 and December 31, ~~2020,~~2021, and the securitization cutoff date ($ in thousands):


		Balances at September 30, 2021							Balances at December 31, 2020							Original balances at securitization cutoff date						Balances at September 30, 2022							Balances at December 31, 2021							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		$	—	$	—		—	%	$	110,062	$	68,729		160	%	$	165,850		$	115,846
2017-D		—		—			—	%	133,897		51,256		(1)	261	%	203,870		(2)	88,903
2018-C		—		—			—	%	173,221		131,983		(3)	131	%	222,181		(4)	167,910
2019-D	2019-D	126,893		102,367			124	%	148,641		125,008			119	%	193,301			156,670		2019-D	$	106,589	$	77,832		137	%	$	118,075	$	92,778		127	%	$	193,301	$	156,670
2019-F	2019-F	121,110		86,702			140	%	139,996		108,184			129	%	170,876			127,673		2019-F	106,430		68,520			155	%	115,571		81,026			143	%	170,876		127,673
2020-B	2020-B	123,544		91,203			135	%	136,360		105,601			129	%	156,468			114,534		2020-B	107,943		71,849			150	%	119,184		86,011			139	%	156,468		114,534
2021-A	2021-A	168,049		149,730			112	%	—		—			—	%	206,528			175,116		2021-A	140,843		117,462			120	%	161,766		141,435			114	%	206,506		175,116
2021-B	2021-B	251,303		190,920			132	%	—		—			—	%	287,895			215,912		2021-B	225,224		151,305			149	%	242,191		181,657			133	%	287,882		215,912
		$	790,899	$	620,922	(5)	127	%	$	842,177	$	590,761	(5)	143	%	$	1,606,969		$	1,162,564		$	687,029	$	486,968	(1)	141	%	$	756,787	$	582,907	(1)	130	%	$	1,015,033	$	789,905

(1)~~The gross amount of senior bonds at December 31, 2020 was $102.6 million however, only $51.3 million is reflected in Secured borrowings as the remainder is owned by the Company.~~

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

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

~~(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 ~~$8.3~~$5.1 million and ~~$5.4~~$7.3 million as of September 30, ~~2021~~2022 and December 31, ~~2020.~~2021.

~~Convertible~~Notes

2024 Notes (Convertible Senior ~~Notes~~Notes)

At September 30, ~~2021~~2022 and December 31, ~~2020,~~2021, the ~~Company~~Company's 2024 Notes had carrying values of ~~$103.8~~$104.1 million and ~~$110.1~~$102.8 million, ~~respectively, for its convertible senior notes.~~respectively. The ~~notes~~2024 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~~2024 Notes will mature on April 30, 2024, unless earlier repurchased, converted or redeemed. During certain periods and subject to certain conditions the ~~notes~~2024 Notes will be convertible by their holders into shares of the Company’s common stock at a conversion rate of ~~1.7279~~1.7405 shares of common stock per $25.00 principal amount of the ~~notes,~~2024 Notes, which represents a conversion price of approximately ~~$14.47~~$14.36 per share of common stock. The conversion rate, and thus the conversion price, may be subject to adjustment under certain circumstances. As of September 30, ~~2021,~~2022, the amount by which the if-converted value falls short of the principal value for the entire series is ~~$7.2~~$49.9 million.

At September 30, 2022, the outstanding aggregate principal amount of the 2024 Notes was $104.5 million, and discount and deferred expenses were $0.5 million. At December 31, 2021, the outstanding aggregate principal amount of the ~~notes~~2024 Notes was ~~$105.9~~$104.6 million, and discount and deferred expenses were ~~$2.1~~$1.7 million. ~~At December 31, 2020,~~During the three and nine months ended September 30, 2022 the Company recognized interest expense on its outstanding ~~aggregate principal amount~~2024 Notes of ~~the notes was~~

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

~~$113.4~~$2.1 million and $6.3 million, respectively, which includes $0.2 million and $0.6 million of amortization of discount and deferred expenses, ~~were $3.3 million.~~respectively. During the three and nine months ended September 30, 2021 the Company recognized interest expense on its outstanding convertible ~~notes~~2024 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~~2024 Notes for the quarters ended September 30, ~~2021~~2022 and September 30, ~~2020~~2021 were ~~8.96%~~8.04% and ~~8.92%~~8.49%, respectively.

During the second quarter of 2022 the Company completed a repurchase of $0.1 million aggregate principal of its 2024 Notes for a total purchase price of $0.1 million. There were no 2024 Notes repurchases during the first or third quarters of 2022. During the first and second quarters of 2021, the Company completed a series of ~~convertible note~~2024 Notes 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~~additional paid-in capital due to the first and second ~~quarter~~quarters of 2021 ~~transactions~~ were both zero. There were no ~~convertible note~~2024 Notes repurchases during the third quarter of 2021.

During the ~~first and third quarters of 2020,~~three months ended March 31, 2022, the Company ~~completed~~adopted ASU 2020-06, Debt – Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging – Contracts in an Entity’s Own Equity (Subtopic 815-40) by recording a ~~series~~reduction in its additional paid-in capital account of ~~convertible note repurchases for aggregate principal amounts of $8.0~~$0.7 million and ~~$2.5~~a corresponding increase in the carrying value of its 2024 Notes of $0.7 million, ~~respectively, for total purchase prices of $8.2 million and $2.3 million, respectively. The~~representing the carrying ~~amounts~~value of the ~~equity component representing the embedded~~ conversion feature ~~reversed from Additional paid-in capital due to~~associated with the ~~first and third quarter~~2024 Notes. See Note 2— Recently Adopted Accounting Standards.

The accompanying notes are an integral part of ~~2020 transactions were $0.1 million and zero, respectively. There were no convertible note repurchases during~~ the ~~second quarter of 2020.~~consolidated interim financial statements.

Coupon interest on the ~~notes~~2024 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~~reduction of the ~~notes,~~carrying value of the 2024 Notes, and are amortized to interest expense on an effective yield basis through April 30, 2023, the date at which the ~~notes~~2024 Notes can be converted. The Company assumes the debt will be converted at the specified conversion date for purposes of amortizing issuance costs because the Company believes such conversion will be in the economic interest of the holders. No sinking fund has been established for redemption of the principal.

Holders may convert their ~~notes~~2024 Notes at their option prior to April 30, 2023 only under certain circumstances. In addition, the ~~notes~~2024 Notes will be convertible irrespective of those circumstances from, and including, April 30, 2023 to, and including, the business day immediately preceding the maturity date. Upon conversion, the Company will pay or deliver, as the case may be, cash, shares of its common stock or a combination of cash and shares of its common stock, at the Company's election.

The Company may not redeem the ~~notes~~2024 Notes prior to April 30, 2022, and may redeem for cash all or any portion of the ~~notes,~~2024 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~~2024 Notes to be redeemed, plus accrued and unpaid interest to, but excluding, the redemption date.

2027 Notes (Unsecured Notes)

~~Note 10 — Related Party Transactions~~

In August 2022, the Operating Partnership issued $110.0 million aggregate principal amount of 8.875% 2027 Notes. The 2027 Notes have a five year term and were issued at 99.009% of par value and are fully and unconditionally guaranteed by the Company and are included in the Company's liabilities in its consolidated balance sheet at September 30, 2022. Interest on the 2027 Notes is payable semi-annually on March 1 and September 1, with the first payment due and payable on March 1, 2023. The 2027 Notes will mature on September 1, 2027. Net proceeds from the sale of the 2027 Notes totaled approximately $106.1 million, after deducting the discount, commissions, and offering expenses which will be amortized over the term of the 2027 Notes using the effective interest method. The Company used $90.0 million of the proceeds to repurchase and retire a portion of its outstanding 7.25% Series A and 5.00% Series B Fixed-to-Floating Rate Preferred Stock at a discount, and a proportionate amount of outstanding warrants. The remainder of the proceeds is expected to be used for general corporate purposes.

At September 30, 2022, the outstanding aggregate principal amount of the 2027 Notes was $110.0 million, and discount and deferred expenses in aggregate were $3.8 million. During both the three and nine months ended September 30, 2022, the Company recognized interest expense on the 2027 Notes of $1.0 million, which includes $0.1 million of amortization of discount and deferred expenses. The effective interest rate for the 2027 Notes for the quarter ended September 30, 2022 was 9.81%.

The ~~Company’s consolidated statements of income included~~following table summarizes the ~~following significant related party transactions~~Company's long term maturities ($ in thousands):

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


		As of September 30, 2022
Year	Debt instrument	Long-term maturities
2023		$	—
2024	2024 Notes (Convertible Senior Notes)	$	104,516
2025		$	—
2026		$	—
2027	2027 Notes (Unsecured Notes)	$	110,000

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

4043

Note 10 — Related Party Transactions

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


			Three months ended September 30,
Transaction	Consolidated Statement of Income location	Counterparty	2022		2021
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	$	4,614	$	9,896
Loan servicing fees	Related party expense – loan servicing fees	Servicer	$	1,952	$	1,743
Management fee	Related party expense – management fee	Manager	$	1,948	$	2,292
Affiliate loan interest income	Interest income	Servicer	$	69	$	—
Income from equity investment	(Loss)/income from investments in affiliates	AS Ajax E LLC	$	7	$	11
Affiliate loan interest income	Interest income	Gaea	$	—	$	74
Loss from equity investment	(Loss)/income from investments in affiliates	Loan pool LLCs	$	(20)	$	(16)
(Loss)/income from equity investment	(Loss)/income from investments in affiliates	Manager	$	(99)	$	132
Loss from equity investment	(Loss)/income from investments in affiliates	Gaea	$	(167)	$	(28)
Loss from equity investment	(Loss)/income from investments in affiliates	Servicer	$	(197)	$	(37)
(Loss)/gain on sale of securities	Other income/(loss)	Various non-consolidated joint ventures	$	(860)	$	201


			Nine months ended September 30,
Transaction	Consolidated Statement of Income location	Counterparty	2022		2021
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	$	16,689	$	24,835
Management fee	Related party expense – management fee	Manager	$	6,604	$	6,835
Loan servicing fees	Related party expense – loan servicing fees	Servicer	$	6,049	$	5,275
Affiliate loan interest income	Interest income	Servicer	$	203	$	—
Income from equity investment	(Loss)/income from investments in affiliates	AS Ajax E LLC	$	14	$	27
Affiliate loan interest income	Interest income	Gaea	$	—	$	203
Gain on sale of mortgage loans	Other income/(loss)	2021-C	$	—	$	122
Loss from equity investment	(Loss)/income from investments in affiliates	Loan pool LLCs	$	(33)	$	(37)
(Loss)/income from equity investment	(Loss)/income from investments in affiliates	Manager	$	(211)	$	583
(Loss)/income from equity investment	(Loss)/income from investments in affiliates	Gaea	$	(268)	$	32

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)


			Nine months ended September 30,
Transaction	Consolidated Statement of Income location	Counterparty	2022		2021
Loss from equity investment	(Loss)/income from investments in affiliates	Servicer	$	(460)	$	(92)
(Loss)/gain on sale of securities	Other income/(loss)	Various non-consolidated joint ventures	$	(939)	$	201
Loss from joint venture re-securitization on beneficial interests	Other income/(loss)	2019-A and -B	$	(2,142)	$	—
Loss from joint venture re-securitization on beneficial interests	Other income/(loss)	2018-D and -G	$	(3,973)	$	—

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

As of September 30, ~~2021~~2022

Transaction

Consolidated Balance Sheet location

Counterparty

Amount

Investment in beneficial interests

~~Investment~~Investments in beneficial interests

Various non-consolidated joint ventures

~~139,494~~127,669

Receivables from Servicer

Receivable from servicer

Servicer

~~18,128~~8,803

Affiliate loan receivable and interest

~~Mortgage loans held-for-investment, net~~Prepaid expenses and other assets

~~Gaea~~Servicer

~~10,025~~3,521

Management fee payable

Manager

~~2,289~~

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

~~As of September 30, 2021~~

~~Transaction~~

~~Consolidated Balance Sheet location~~

~~Counterparty~~

~~Amount~~

~~Expense reimbursement receivable~~

~~Prepaid expenses and other assets~~

~~Various non-consolidated joint ventures~~

~~1,354~~1,945

Servicing fee payable

Accrued expenses and other liabilities

Servicer

~~(92)~~105

Payable to Servicer

Accrued expenses and other liabilities

Servicer

As of December 31, ~~2020~~2021

Transaction

Consolidated Balance Sheet location

Counterparty

Amount

Purchase of mortgage loans

Mortgage loans held-for-sale, net

2019-C

152,883

Investment in beneficial interests

~~Investment~~Investments in beneficial interests

Various non-consolidated joint ventures

~~91,418~~139,588

Receivables from Servicer

Receivable from servicer

Servicer

~~15,755~~20,899

Affiliate loan receivable and interest

~~Mortgage loans held-for-investment, net~~Prepaid expenses and other assets

~~Gaea~~Servicer

~~11,000~~3,509

Management fee payable

Manager

~~2,247~~

~~Affiliate loan purchase~~

~~Mortgage loans held-for-investment, net~~

~~Servicer~~

~~1,838~~2,279

Expense reimbursement receivable

Prepaid expenses and other assets

Various non-consolidated joint ventures

~~876~~

~~Expense reimbursement receivable~~

~~Prepaid expenses and other assets~~

~~Manager~~

181,211

Expense reimbursements

Accrued expenses and other liabilities

Servicer

~~(44)~~78

Affiliate loan receivable interest

Prepaid expenses and other assets

Gaea

Expense reimbursement receivable

Prepaid expenses and other assets

Servicer

The Company acquires debt securities and beneficial interests issued by joint ventures between the Company and third party institutional accredited investors. The joint ventures issue senior notes and beneficial interests and in certain transactions, the joint ventures also issue subordinated notes. As of September 30, 2022, the investments in debt securities and beneficial interests were carried on the Company's consolidated balance sheet at $257.8 million and $127.7 million, respectively. As of December 31, 2021, the investments in debt securities and beneficial interests were carried on the Company's consolidated balance sheet at $355.2 million and $139.6 million, respectively.

During the second quarter of 2022 the Company re-securitized 2018-D and -G and 2019-A and -B, which formed 2022-A and -B, respectively. Although the Company continues to own approximately the same interest in the underlying

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

mortgage loans and related cash flows, the beneficial interests are accounted for as distinct legal securities and were received through a combination of the beneficial interest in 2022-A and -B and cash received from the sale of the underlying loans in 2022-A and -B. The decline in loan prices driven by disruption in the markets since year end resulted in lower than expected current cash proceeds at redemption. As a result, for the nine months ended September 30, 2022, the Company recognized a loss of $6.1 million in other loss/income.

During the fourth quarter of 2021, the Company acquired the remaining 66.0% of 2019-C from the Company's joint venture partner in exchange for cash consideration for the outstanding equity certificate and subordinate notes and the assumption of the obligation to repay the senior note outstanding. Subsequent to the acquisition, the senior and subordinate notes were retired in December 2021. The Company previously recorded its investment in 2019-C as Investment in debt securities and Investment in beneficial interests because it was not the primary beneficiary of the trust. Subsequent to acquiring the outstanding equity certificate, the Company became the sole owner of the trust and now reflects the underlying mortgage loans on its consolidated balance sheet.

On December 9, 2021, the Company became a party to a promissory note with the Servicer under which the Servicer can borrow up to $3.5 million on a revolving line of credit from the Company. Interest on the arrangement accrues at 7.2% annually. At September 30, 2022, the amount outstanding on the note and interest was $3.5 million.

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 portfolio of mortgage loans. The ~~agreement expires on~~maturity date of the loan was December 31, 2021 and ~~can be extended to January 30, 2022~~ at ~~Gaea’s option. At September 30,~~December 31, 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.repaid.

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 no mortgage 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 to Gaea, a related party.

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. 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

~~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 and $12.2 million and $19.3 million, respectively, in beneficial interests issued by joint ventures. As of September 30, 2021, the investments in debt securities and beneficial interests were carried on the Company's consolidated balance sheet at $340.1 million and $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~~sale of ~~real estate~~REO properties from certain of the ~~Company's~~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, ~~2021,~~2022, and December 31, ~~2020,~~2021, the Company had nozero advances outstanding to the Servicer. Interest on the arrangement accrues at 7.2% annually.

OnDuring November ~~22,~~ 2019 and January 2022, Gaea completed atwo private capital ~~raise transaction in which it~~raises and has raised ~~$66.3~~a total of $96.3 million ~~from the issuance of 4,419,641~~and issued 6,247,794 shares of its common stock and warrants to third parties ~~to allow it to continue~~ to advance its investment strategy. ~~Upon completion~~The Company has a total investment of ~~the capital raise,~~$25.5 million in Gaea and has received 1,704,436 shares of common stock and 371,103 warrants. At September 30, 2022 and December 31, 2021, the Company ~~retained ownership~~owned approximately 22.1% and 22.8% of ~~approximately 23.2% of~~ Gaea, respectively, 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 assets77.9% and liabilities due to the limited lapse of time since their acquisitions. At September 30, 2021 the Company owned approximately 22.8% of Gaea with third party investors owning the remaining approximately 77.2%., respectively. The Company accounts for its 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 3three loan pool LLCs managed by the Servicer for $1.0 million, which hold investments in RPLs and NPLs. During the year ended December 31, 2020, one of the loan pool LLCs sold its remaining loans. At both September 30, 2022 and December 31, 2021, the Company’s ownership interest in the two loan pool LLCs was approximately 40.1%. The Company accounts for its ~~ownership interest~~investment using the equity method.

On March 14, 2016, the Company formed AS Ajax E LLC to hold an equity interest in a Delaware trust formed to own residential mortgage loans and other 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,~~both September 30, 2022 and December 31, 2021, the Company’s ownership ~~interest in AS Ajax E LLC was reduced to a lower percentage of the total. As of September 30, 2021 and December 31, 2020, the Company’s~~ interest in AS Ajax E LLC was approximately 16.5%. The Company accounts for its investment using the equity method.

Management Agreement

The Company is a party to the Amended and Restated Management Agreement with the Manager, which expires on March 5, 2034. Under the Management Agreement, the Manager implements the Company’s business strategy and manages the Company’s business and investment activities and day-to-day operations, subject to oversight by the Company’s Board of Directors. Among other services, the Manager, directly or through affiliates, provides the Company with a management team and necessary administrative and support personnel. The Company does not currently have any employees that it pays directly

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

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 management fee is payable with 50% paid in shares of the Company's common stock and 50% in cash. However, the Company has the option to pay its management fee with ~~between 50%~~up to 100% in 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 contains both a quarterly and annual component. A quarterly incentive fee is payable to the Manager if the sum of the Company’s dividends on its common stock paid out of taxable income 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 paid out of taxable income, special cash dividends on its common stock paid out of taxable income and increase in book value 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 8eight 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 remainingThe incentive fee is payable in shares of the Company’s common stock at the Company's discretion and ~~the~~any remaining incentive fee is payable in cash. During the three and nine months ended September 30, ~~2021~~2022, the Company recorded an incentive fee of zero and $0.3 million, respectively. Comparatively, during the three and nine months ended September 30, ~~2020,~~2021, the Company did not record an incentive fee payable to the Manager.

The Company also reimburses the Manager for all third party, out-of-pocket costs incurred by the Manager for managing its business, including third party due diligence and valuation consultants, legal expenses, auditors and other financial services. The reimbursement obligation is not subject to any dollar limitation. Expenses are reimbursed in cash on a monthly basis.

The Company will be required to pay the Manager a termination fee in the event that the Management Agreement is terminated as a result of (i) a termination by the Company without cause, (ii) its decision not to renew the Management Agreement upon the determination of at least two-thirds of the Company’s independent directors for reasons including the failure to agree on revised compensation, (iii) a termination by the Manager as a result of the Company becoming regulated as an “investment company” under the Investment Company Act of 1940, as amended (the “Investment Company Act”) (other than as a result of the acts or omissions of the Manager in violation of investment guidelines approved by the Company’s Board of Directors), or (iv) a termination by the Manager if the Company defaults in the performance of any material term of the Management Agreement (subject to a notice and cure period). The termination fee will be equal to twice the combined base fee and incentive fees payable to the Manager during the 12-month period ended as of the end of the most recently completed fiscal quarter prior to the date of termination.

Servicing Agreement

The Company is also a party to the Servicing Agreement, expiring July 8, 2029, with the Servicer. The Company’s overall servicing costs under the Servicing Agreement will vary based on the types of assets serviced.

Servicing fees for mortgage loans range from 0.65% to 1.25% annually of UPB at acquisition (or the fair market value or purchase price of REO), and are paid monthly. 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.~~accompanying notes are an integral part of the consolidated interim financial statements.

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 to foreclosed property 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, for fees based on mortgage loans, and property values, previous UPB of the relevant loan, and the number of REO properties for fees based on REO properties.

If the Servicing Agreement has been terminated other than for cause and/or the Servicer terminates the servicing agreement, the Company will be required to pay a termination fee equal to the aggregate servicing fees payable under the servicing agreement for the immediate preceding 12-month period.

Trademark Licenses

Aspen has granted the Company a non-exclusive, non-transferable, non-sublicensable, royalty-free license to use the name “Great Ajax” and the related logo. The Company also has a similar license to use the name “Thetis.” The agreement has

~~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 of the most recent regular quarterly dividend to holders of the common stock. The Company recognized a base management ~~fees~~fee to the Manager for the three and nine months ended September 30, 2022 of $1.9 million and $6.5 million, respectively, of which zero was settled in shares of its common stock. However, during the nine months ended September 30, 2022, the Company issued 39,558 shares of its common stock in satisfaction of a component of the base management fee for the fourth quarter of 2021 that was approved by the Board during the first quarter of 2022. Comparatively, for the three and nine months ended September 30, 2021, the Company recognized base management fees of $2.3 million and $6.9 million, respectively, all of which was payable in cash. ~~Comparatively, for~~

Also, during the three and nine months ended September 30, ~~2020,~~2022, the Company ~~recognized base management fees~~recorded an incentive fee of ~~$2.3~~zero and $0.3 million, ~~and $6.2 million, all~~respectively, of which none was ~~payable~~settled in ~~cash.~~shares of its common stock. Comparatively, the Company recorded no incentive fee during the three and nine months ended September 30, 2021.

~~In addition,~~As of December 31, 2021, each of the Company’s independent directors received an annual retainer of $100,000, payable quarterly, 40% ~~of which was payable~~ in shares of the Company's common stock ~~using~~on the same ~~valuation method~~basis as ~~defined for~~ the stock portion of the management fee payable to the ~~Manager. This excludes additional compensation for committee chairs~~Manager and 60% in cash. The annual fee was increased to $140,000, 50% of which is ~~paid~~payable in shares of the Company's common stock and 50% in cash, which became effective as of January 1, 2022. As of December 31, 2021, the chairpersons of the Compensation and Corporate Governance committees each received an annual retainer of $10,000, payable quarterly, 100% in cash. The annual fee was increased to $15,000, 100% payable in cash, effective as of January 1, 2022. As of December 31, 2021, the chairperson of the Audit committee received an annual fee of $15,000, payable quarterly, 100% in cash. The annual fee was increased to $20,000, 100% payable in cash, effective as of January 1, 2022.

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,							For the three months ended September 30,
		2021			2020				2022			2021
		Number of shares	Amount of expense recognized(1)		Number of shares	Amount of expense recognized(1)			Number of shares	Amount of expense recognized		Number of shares	Amount of expense recognized
Independent director fees	Independent director fees	3,580	$	50	4,116	$	35	Independent director fees	8,440	$	88	3,580	$	50
Totals	Totals	3,580	$	50	4,116	$	35	Totals	8,440	$	88	3,580	$	50

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

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


	For the nine months ended September 30,
	2022				2021
	Number of shares	Amount of expense recognized			Number of shares	Amount of expense recognized
Management fees	39,558	$	—	(1)	—	$	—
Independent director fees	25,790	263			11,550	150
Totals	65,348	$	263		11,550	$	150

(1)~~All independent director~~Management fees ~~are~~were fully expensed induring the fourth quarter of 2021, the period in which the ~~relevant service is received~~services were provided. However, the shares associated with these services were approved and issued by the ~~Company.~~Board during the first quarter of 2022.

Restricted Stock

The Company periodically grants shares of its common stock to employees of its Manager and Servicer. The Company granted 157,350 and 201,615 shares of its common stock in the three and nine months ended September 30, 2022, respectively, which have vesting periods up to four years. Comparatively, the Company granted 152,700 shares of its common stock to employees of its Manager and Servicer in the three and nine months ended September 30, 2021, ~~vest over~~which have vesting periods of 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 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, as determined by the contract.years. 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~~is 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 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 table below:


		Employee and Service Provider Grants			Director Grants				Employee and Service Provider grants				Director grants
		Shares	Weighted Average Grant Date Fair Value		Shares	Weighted Average Grant Date Fair Value			Shares		Weighted Average Grant Date Fair Value		Shares		Weighted Average Grant Date Fair Value
Nine months ended September 30, 2021	Nine months ended September 30, 2021							Nine months ended September 30, 2021
December 31, 2020 outstanding unvested share grants	December 31, 2020 outstanding unvested share grants	163,083	$	11.07	—	$	—	December 31, 2020 outstanding unvested share grants	163,083		$	11.07	—		$	—
Shares vested	Shares vested	—	—		(2,000)	12.00		Shares vested	—		—		(2,000)	(1)	12.00
Shares forfeited	Shares forfeited	—	—		—	—		Shares forfeited	—		—		—		—
Shares granted	Shares granted	—	—		2,000	12.00		Shares granted	—		—		2,000	(1)	12.00
March 31, 2021 outstanding unvested share grants	March 31, 2021 outstanding unvested share grants	163,083	$	11.07	—	$	—	March 31, 2021 outstanding unvested share grants	163,083		$	11.07	—		$	—
Shares vested	Shares vested	—	—		(8,000)	12.60		Shares vested	—		—		(8,000)		12.60
Shares forfeited	Shares forfeited	—	—		—	—		Shares forfeited	—		—		—		—
Shares granted	Shares granted	—	—		16,000	12.60		Shares granted	—		—		16,000		12.60
June 30, 2021 outstanding unvested share grants	June 30, 2021 outstanding unvested share grants	163,083	$	11.07	8,000	$	12.60	June 30, 2021 outstanding unvested share grants	163,083		$	11.07	8,000		$	12.60
Shares vested	Shares vested	(65,305)	11.74		—	—		Shares vested	(65,750)		11.72		—		—
Shares forfeited	Shares forfeited	(14,168)	10.88		—	—		Shares forfeited	(14,168)		10.88		—		—
Shares granted	Shares granted	152,700	12.79		—	—		Shares granted	152,700		12.79		—		—
September 30, 2021 outstanding unvested share grants	September 30, 2021 outstanding unvested share grants	236,310	$	12.01	8,000	$	12.60	September 30, 2021 outstanding unvested share grants	235,865	(2)	$	12.01	8,000	(3)	$	12.60

(1)Shares granted vest immediately.

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 — $ —
(2)Weighted average remaining life of unvested shares for employee and service provider grants at September 30, 2021 is 1.9 years.

(3)Weighted average remaining life of unvested shares for director grants at September 30, 2021 is 0.6 years.

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

4649


	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, 2022
December 31, 2021 outstanding unvested share grants	228,365		$	12.00	8,000		$	12.60
Shares vested	—		—		—		—
Shares forfeited	(17,335)		11.93		—		—
Shares granted	22,765		11.42		—		—
March 31, 2022 outstanding unvested share grants	233,795		$	11.95	8,000		$	12.60
Shares vested	—		—		(8,000)		12.60
Shares forfeited	(17,668)		11.88		—		—
Shares granted	21,500		10.50		—		—
June 30, 2022 outstanding unvested share grants	237,627		$	11.82	—		$	—
Shares vested	(76,214)		11.95		—		—
Shares forfeited	(7,626)		11.51		—		—
Shares granted	157,350		10.41		—		—
September 30, 2022 outstanding unvested share grants	311,137	(1)	$	11.09	—	(2)	$	—

(1)Weighted average remaining life of unvested shares for employee and service provider grants at September 30, 2022 is 2.2 years.

(2)Director shares are fully vested at September 30, 2022.

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


		Three months ended September 30,				Nine months ended September 30,					Three months ended September 30,				Nine months ended September 30,
		2021		2020		2021		2020			2022		2021		2022		2021
Restricted stock grants	Restricted stock grants	$	230	$	187	$	644	$	535	Restricted stock grants	$	328	$	230	$	821	$	644
Director grants	Director grants	25		—		167		—		Director grants	—		25		33		167
Total expenses for plan grants	Total expenses for plan grants	$	255	$	187	$	811	$	535	Total expenses for plan grants	$	328	$	255	$	854	$	811

Note 12 — Income Taxes

As a REIT, the Company must meet certain organizational and operational requirements including the requirement to distribute at least 90% of its annual REIT taxable income to its stockholders. And as a REIT, the Company generally will not be subject to U.S. federal income tax to the extent the Company distributes its REIT taxable income to its stockholders and provided the Company satisfies the REIT requirements including certain asset, income, distribution and stock ownership tests. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to U.S. federal, state and local income taxes and may be precluded from qualifying as a REIT for the subsequent four taxable years following the year in which it lost its REIT qualification.

The Company’s consolidated financial statements include the operations of 2two TRS entities, GA-TRS and GAJX Real Estate Corp., which are subject to U.S. federal, state and local income taxes on their taxable income.

For the three and nine months ended September 30, 2022, the Company had consolidated taxable income of $6.5 million and $27.5 million, respectively, and income tax expense of $2.4 million and $2.3 million, respectively. For the three and nine months ended September 30, 2022, the Company recorded $1.7 million in income taxes on undistributed income and $0.7 million in income taxes on our TRS entities. For the three and nine months ended September 30, 2021, the Company had consolidated taxable income of $9.9 million and $26.3 million, ~~respectively;~~respectively, and provisions for income taxes of $0.1 million and $0.2 million, respectively. For the three and nine months ended September 30, 2020, the Company had consolidated taxable income $2.5 million and $1.7 million, respectively; and income tax benefit of $16 thousand and $0.2 million, respectively. The Company recognized no deferred income tax assets or liabilities on its consolidated balance sheets at September 30, 2021 or 2020. The Company also recorded no interest or penalties for the three and nine months ended September 30, ~~2021 or 2020.~~2022 and 2021.

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

Note 13 — Earnings per Share

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

Three months ended September 30, 2021 Three months ended September 30, 2020
Income
(Numerator) Shares
(Denominator) Per Share
Amount Income
(Numerator) Shares
(Denominator) Per Share
Amount
Basic EPS
Consolidated net income attributable to common stockholders $ 9,313 22,862,429 $ 5,280 22,844,192
Allocation of earnings to participating restricted shares (92) — (33) —
Consolidated net income attributable to unrestricted common stockholders $ 9,221 22,862,429 $ 0.40 $ 5,247 22,844,192 $ 0.23
Effect of dilutive securities(1)
Restricted stock grants and Manager and director fee shares 92 229,291 33 145,424
Interest expense (add back) and assumed conversion of shares from convertible senior notes(2)
2,237 7,315,929 — —
Diluted EPS
Consolidated net income attributable to common stockholders and dilutive securities $ 11,550 30,407,649 $ 0.38 $ 5,280 22,989,616 $ 0.23

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


	Three months ended September 30, 2022					Three months ended September 30, 2021
	Income (Numerator)		Shares (Denominator)	Per Share Amount		Income (Numerator)		Shares (Denominator)	Per Share Amount
Basic EPS
Consolidated net (loss)/income attributable to common stockholders	$	(16,249)	22,538,891			$	9,313	22,862,429
Allocation of earnings to participating restricted shares	210		—			(92)		—
Consolidated net (loss)/income attributable to unrestricted common stockholders	$	(16,039)	22,538,891	$	(0.71)	$	9,221	22,862,429	$	0.40
Effect of dilutive securities(1)
Restricted stock grants and Manager and director fee shares	(210)		294,574			92		229,291
Interest expense (add back) and assumed conversion of shares from convertible senior notes(2)	—		—			2,237		7,315,929
Diluted EPS
Consolidated net (loss)/income attributable to common stockholders and dilutive securities	$	(16,249)	22,833,465	$	(0.71)	$	11,550	30,407,649	$	0.38

(1)The Company's outstanding warrants for an additional 1,950,672 and 6,500,000 shares of common stock and effect of the put option share settlement would have an anti-dilutive effect on diluted earnings per share for the three months ended September 30, 2022 and 2021, ~~and September 30, 2020,~~respectively, and have not been included in the calculation.

(2)The effect of interest expense and assumed conversion of shares from convertible notes on the Company's diluted EPS calculation for the three months ended September 30, ~~2020~~2022 would have been anti-dilutive and has been removed from the calculation.

Nine months ended September 30, 2021 Nine months ended September 30, 2020
Income
(Numerator) Shares
(Denominator) Per Share
Amount Income
(Numerator) Shares
(Denominator) Per Share
Amount
Basic EPS
Consolidated net income attributable to common stockholders $ 26,695 22,835,237 $ 11,922 22,575,480
Allocation of earnings to participating restricted shares (222) — (68) —
Consolidated net income attributable to unrestricted common stockholders $ 26,473 22,835,237 $ 1.16 $ 11,854 22,575,480 $ 0.53
Effect of dilutive securities(1,2)
Interest expense (add back) and assumed conversion of shares from convertible senior notes(3)
6,836 7,451,376 — —
Diluted EPS
Consolidated net income attributable to common stockholders and dilutive securities $ 33,309 30,286,613 $ 1.10 $ 11,854 22,575,480 $ 0.53

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


	Nine months ended September 30, 2022					Nine months ended September 30, 2021
	Income (Numerator)		Shares (Denominator)	Per Share Amount		Income (Numerator)		Shares (Denominator)	Per Share Amount
Basic EPS
Consolidated net (loss)/income attributable to common stockholders	$	(21,844)	22,737,182			$	26,695	22,835,237
Allocation of earnings to participating restricted shares	263		—			(222)		—
Consolidated net (loss)/income attributable to unrestricted common stockholders	$	(21,581)	22,737,182	$	(0.95)	$	26,473	22,835,237	$	1.16
Effect of dilutive securities(1)
Restricted stock grants and manager and director fee shares(2)	(263)		277,015			—		—
Interest expense (add back) and assumed conversion of shares from convertible senior notes(3)	—		—			6,836		7,451,376
Diluted EPS
Consolidated net (loss)/income attributable to common stockholders and dilutive securities	$	(21,844)	23,014,197	$	(0.95)	$	33,309	30,286,613	$	1.10

(1)The Company's outstanding warrants for an additional 1,950,672 and 6,500,000 shares of common stock and effect of the put option share settlement would have an anti-dilutive effect on diluted earnings per share for the nine months ended September 30, 2022 and 2021, ~~and September 30, 2020,~~respectively, and have not been included in the calculation.

(2)The effect of restricted stock grants and manager and director fee shares on the Company's diluted EPS calculation for the nine months ended September 30, 2021 ~~and September 30, 2020~~ would have been anti-dilutive and have not been included in the calculation.

(3)The effect of interest expense and assumed conversion of shares from convertible notes on the Company's diluted EPS calculation for the nine months ended September 30, ~~2020~~2022 would have been anti-dilutive and has been removed from the calculation.

Note 14 — Equity

Common Stock

As of September 30, ~~2021~~2022 and December 31, ~~2020,~~2021, the Company had ~~23,140,131~~22,883,634 and ~~22,978,339~~23,146,775 shares, respectively, of $0.01 par value common stock outstanding with 125,000,000 shares authorized at each period end.

Preferred Stock

~~During the quarter ended June 30, 2020, the~~The Company has outstanding shares of preferred stock which were issued to institutional accredited investors ~~an aggregate of $130.0 million of preferred stock in two series and warrants~~ in a series of private ~~placements.~~placements during the first half of 2020. 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~~Stock. The shares have a ~~purchase price per share~~liquidation preference of $25.00 ~~and two series of five-year warrants to purchase an aggregate of 6,500,000 shares of the Company's common stock at an exercise price of $10.00~~ per share. Each series of warrants includes a put option that allows the holder to sell the warrants to the Company at a specified put price on or after July 6, 2023. The Company continues to use the net proceeds from the private placement to acquire mortgage loans and mortgage-related assets consistent with the Company's investment strategy.

~~The~~During the three and nine months ended September 30, 2022, the Company ~~had 2,307,400~~repurchased and retired 1,113,932 and 1,882,451 shares, respectively, of ~~Series~~its series A preferred stock and ~~2,892,600~~1,525,529 and 1,757,010 shares, respectively, of ~~Series~~its series B preferred stock ~~outstanding~~in a series of repurchase transactions. The series A and series B preferred stock was repurchased for an aggregate of $64.2 million and $88.7 million, respectively, at an average price of $24.32 and $24.37 per share, respectively, representing a discount of approximately 2.7% and 2.5%, respectively, to the face value of $25.00 per share. The repurchase of the preferred stock caused the recognition of $5.7 million and $8.2 million of preferred stock discount during the three and nine months ended September 30, ~~2021 and December 31, 2020.~~2022, respectively. There ~~were 25,000,000 shares, cumulative for all series, authorized as~~was no repurchase of ~~both~~preferred stock in either the three or nine months ended September 30, ~~2021 and December 31, 2020.~~2021.

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

4852

At September 30, 2022 and December 31, 2021, the Company had 424,949 and 2,307,400 shares, respectively, of Series A preferred stock and 1,135,590 and 2,892,600 shares, respectively, of Series B preferred stock outstanding. There were 25,000,000 shares, cumulative for all series, authorized as of both September 30, 2022 and December 31, 2021.

Treasury Stock and Stock Repurchase Plan

On February 28, 2020, the Company's Board of Directors approved a stock ~~repurchase~~buyback of up to $25.0 million of its common shares. The amount and timing of any repurchases ~~will depend~~depends on a number of factors, including but not limited to the price and availability of the common shares, trading volume and general circumstances and market conditions.

AsThe Company did not repurchase any shares of its common stock for the three months ended September 30, 2022; however, for the nine months ended September 30, 2022 the Company repurchased 475,355 shares of its common stock through open market transactions. Comparatively for the three and nine months ended September 30, 2021, the Company did not repurchase any shares of its common stock. As of September 30, 2022, the Company held ~~136,403~~657,029 shares of treasury stock consisting of ~~87,939~~131,990 shares received through distributions of the Company's shares previously held by its Manager and ~~48,464~~525,039 shares acquired through open market ~~purchases in the fourth quarter of 2020 under the Company's approved stock repurchase plan.~~purchases. As of December 31, ~~2020,~~2021, the Company held ~~107,243~~147,370 shares of treasury stock consisting of ~~58,779~~97,686 shares received through distributions of the Company's shares previously held by its Manager and ~~48,464~~49,684 shares acquired through open market ~~purchases in the fourth quarter of 2020 under the Company's approved stock repurchase plan.~~purchases.

Dividend Reinvestment Plan

The Company sponsors a dividend reinvestment plan through which stockholders may purchase additional shares of the Company’s common stock by reinvesting some or all of the cash dividends received on shares of the Company’s common stock. During the three and nine months ended September 30, 2022, 9,315 and 27,154 shares were issued, respectively, under the plan for total proceeds of approximately $88.0 thousand and $0.3 million, respectively. Comparatively, during the three and nine months ended September 30, 2021, 5,049 and 13,097 shares were issued, respectively, under the plan for total proceeds of approximately ~~$0.1 million~~$71.0 thousand and $0.2 million, respectively. Comparatively, during the three and nine months ended September 30, 2020 4,928 and 9,985 shares were issued, respectively, under the plan for total proceeds of approximately $45 thousand and $0.1 million, respectively.

At the Market Offering

The Company has entered into an equity distribution agreement under which the Company may sell shares of its common stock having an aggregate offering price of up to $100.0 million from time to time in any method permitted by law deemed to be an “At the Market” offering as defined in Rule 415 under the Securities Act of 1933, as amended, or the Securities Act. During ~~both~~the three and nine months ended September 30, 2022, no shares were sold under the At the Market program. Comparatively, during the three and nine months ended September 30, 2021, 9,073 shares were sold under the At the Market program. ~~Comparatively, no shares were sold under the At the Market program during the three and nine months ended September 30, 2020.~~ The Company ~~intends to use~~is deploying the net proceeds to acquire mortgage loans and mortgage-related assets consistent with its investment strategy.

Accumulated Other Comprehensive Income

The Company recognizes unrealized gains or losses on its investment in debt securities as components of other comprehensive income. Total accumulated other comprehensive (loss)/income on the Company’s balance sheet at September 30, ~~2021~~2022 and December 31, ~~2020~~2021 was as follows ($ in thousands):


Investments in securities:	Investments in securities:	September 30, 2021		December 31, 2020		Investments in securities:	September 30, 2022		December 31, 2021
Unrealized gains	Unrealized gains	$	3,621	$	1,152	Unrealized gains	$	42	$	1,822
Unrealized losses	Unrealized losses	(203)		(777)		Unrealized losses	(22,462)		(802)
Accumulated other comprehensive income		$	3,418	$	375
Accumulated other comprehensive (loss)/income						Accumulated other comprehensive (loss)/income	$	(22,420)	$	1,020

Non-controlling Interest

At both September 30, 2022 and December 31, ~~2020,~~2021, the Company had non-controlling interests attributable to ownership interests for 4three legal entities. During the first quarter of 2021, the Company acquired the remaining ownership of 2018-C. This decreased the number of third party non-controlling interests as of September 30, 2021 to 3 legal entities. Legal entities consolidated by the Company which have non-controlling interests held by third parties are described below.

AS Ajax E II LLC was formed by the Company during 2017 to purchase and hold an investment in a Delaware trust which holds single family residential real estate loans, SBC loans and other real estate assets. AS Ajax E II LLC is 46.9% held by third parties. As ofAt both September 30, ~~2021~~2022 and December 31, ~~2020,~~2021, the ~~Company owned~~Company's ownership interest is approximately 53.1% of AS Ajax E II ~~LLC~~ and ~~consolidated~~it consolidates the assets, liabilities, revenues and expenses of the entity.

2017-D, a securitization trust, was formed by the Company during 2017, and is 50.0% held by an accredited institutional investor. During the second quarter of 2021, the majority of the loans in 2017-D were re-securitized into 2021-C,

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

~~with 22 loans remaining in 2017-D. As of September 30, 2021 and December 31, 2020, the Company owned 50.0% of 2017-D and consolidated the assets, liabilities, revenues and expenses of the trust.~~

Great Ajax II REIT was formed by the Company during 2019 to own Great Ajax II Depositor LLC, which acts as the depositor of mortgage loans into securitization trusts and holds the subordinated securities issued by such trusts and any additional trusts the Company may form for additional secured borrowings. As of September 30, 2021 and December 31, 2020, Great Ajax II REIT was 0.1% held by third parties. As of September 30, 2021 and December 31, 2020, the Company owned 99.9% of Great Ajax II REIT and consolidated the assets, liabilities, revenues and expenses of the entity.

2018-C, a securitization trust was formed by the Company during 2018 and was 37.0% held by an accredited institutional investor. The remaining 37.0% ownership was purchased by the Company during the first quarter of 2021. As of September 30, 2021 the Company owned 100.0% of 2018-C. Comparatively, as of December 31, 2020 the Company owned 63.0% of 2018-C and consolidated the assets, liabilities, revenues and expenses of the trust.

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

Three months ended September 30, Nine months ended September 30,
2021 2020 2021 2020
Decrease from redemption of 2018-C $ — $ — $ (8,306) $ —
Decrease from the distribution resulting from the refinancing of substantially all of 2017-D (307) — (17,171) —
Change in non-controlling interest $ (307) $ — $ (25,477) $ —

~~Note 15 — Subsequent Events~~

Since September 30, 2021, the Company has acquired 20 residential RPLs in 2 transactions from 2 different sellers, and 1 NPL in 1 transaction from a single seller, with aggregate UPB of $2.4 million and $0.4 million, respectively. The purchase price of the RPLs was 68.8% of UPB and 47.3% of the estimated market value of the underlying collateral of $3.5 million. The purchase price of the NPL was 97.4% of UPB and 84.4% of the estimated market value of the underlying collateral of $0.4 million.

The Company has agreed to acquire, subject to due diligence, 4 residential RPLs in 4 transactions, and 3 NPLs in 2 transactions, with aggregate UPB of $1.7 million and $0.8 million, respectively. The purchase price of the residential RPLs is 96.5% of UPB and 70.3% of the estimated market value of the underlying collateral of $2.4 million. The purchase price of the NPLs is 93.9% of UPB and 61.8% of the estimated market value of the underlying collateral of $1.2 million.

The Company has agreed to acquire, subject to due diligence, 2,498 NPLs with aggregate UPB of $350.9 million in 1 transaction from a single seller. The purchase price is 103.5% of UPB and 49.4% of the estimated market value of the underlying collateral of $734.9 million. These loans are expected to be acquired through a joint venture with third party institutional accredited investors. The Company expects its ownership percentage to be approximately 16.3%.

~~On November 4, 2021, the Company’s Board of Directors declared a cash dividend of $0.24 per share to be paid on November 29, 2021 to stockholders of record as of November 15, 2021.~~

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

5053

At both September 30, 2022 and December 31, 2021, the Company's ownership interest is approximately 50.0% of 2017-D and it consolidates the assets, liabilities, revenues and expenses of the trust.

At both September 30, 2022 and December 31, 2021, the Company's ownership interest is approximately 99.9% of Great Ajax II REIT and it consolidates the assets, liabilities, revenues and expenses of the entity.

At both September 30, 2022 and December 31, 2021, the Company owned 100.0% of 2018-C as the 37.0% non-controlling ownership was purchased by the Company during the first quarter of 2021 and the non-controlling interest was derecognized from the Company's balance sheet.

The following table sets forth the effects of changes in the Company's ownership interest due to transfers to or from non-controlling interest ($ in thousands):


	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Decrease from redemption of 2018-C	$	—	$	—	$	—	$	(8,306)
Decrease from the distribution of 2017-D	(34)		(307)		(867)		(17,171)
Change in non-controlling interest	$	(34)	$	(307)	$	(867)	$	(25,477)

Note 15 — Subsequent Events

Since September 30, 2022, the Company has acquired three residential RPLs in one transaction from a single seller with aggregate UPB of $0.8 million. The purchase price of the RPLs was 78.5% of UPB and 58.2% of the estimated market value of the underlying collateral of $1.1 million.

The Company has agreed to acquire, subject to due diligence, two residential RPLs in two transactions with aggregate UPB of $0.6 million. The purchase price of the residential RPLs is 84.2% of UPB and 58.6% of the estimated market value of the underlying collateral of $0.9 million.

On October 26, 2022, the Company co-invested with third-party institutional investors to form 2022-RPL1 and acquired 17.5% of the securities and trust certificates from the trust. 2022-RPL1 acquired 1,948 RPLs with aggregate UPB of $293.6 million. The purchase price including joint venture expenses is 86.7% of UPB and 39.0% of the estimated market value of the underlying collateral of $653.1 million. Based on the structure of the transaction, the Company will not consolidate 2022-RPL1 under U.S. GAAP.

On November 3, 2022, the Company’s Board of Directors declared a cash dividend of $0.27 per share to be paid on November 29, 2022 to stockholders of record as of November 15, 2022.

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

CAUTIONARY STATEMENT REGARDING FORWARD-LOOKING STATEMENTS

Some of the statements under “Risk Factors” and “Management’s Discussion and Analysis of Financial Condition and Results of Operations,” and elsewhere in this quarterly report constitute forward-looking ~~statements.~~statements within the meaning of the federal securities laws. Forward-looking statements relate to expectations, beliefs, projections, future plans and strategies, anticipated events or trends, and similar expressions concerning matters that are not historical facts. In some cases, you can identify forward-looking statements by terms such as “anticipate,” “believe,” “could,” “estimate,” “expect,” “intend,” “may,” “plan,” “potential,” “should,” “will” and “would” or the negatives of these terms or other comparable terminology.

The forward-looking statements are based on our beliefs, assumptions and expectations of our future performance, taking into account all information currently available to us. These beliefs, assumptions and expectations can change as a result of many possible events or factors, not all of which are known to us or are within our control. If a change occurs, our business, financial condition, liquidity and results of operations may vary materially from those expressed in our forward-looking statements. ~~You should carefully consider~~The outcome of the events described in these forward-looking statements is subject to risks, ~~along with the following~~uncertainties and other factors ~~that could cause actual results to vary from our forward-looking statements:~~including but not limited to:

•the impact of adverse real estate, mortgage or housing markets and changes in the general economy;

•changes in our business strategy;

•the impact of the global pandemic caused by the novel coronavirus ("COVID-19") outbreak;

•general volatility of the capital markets;

•the impact of adverse legislative or regulatory tax changes;

•our ability to obtain financing on favorable terms or at all;

•our ability to implement our business strategy;

•difficulties in identifying re-performing loans (“RPLs”), small balance commercial mortgage loans (“SBC loans”) and properties to acquire; and the impact of changes to the supply of, value of and the returns on RPLs and SBC loans;

•our ability to compete with our competitors;

•our ability to control our costs;

•the impact of changes in interest rates and the market value of the collateral underlying our RPL and non-performing loan (“NPL”) portfolios or of our other real estate assets;

•our ability to convert NPLs into performing loans or to modify or otherwise resolve such loans;

•our ability to convert NPLs to properties that can generate attractive returns, ~~either~~generally through ~~sale or rental;~~sale;

•our ability to retain our engagement of our Manager;

•the failure of the Servicer to perform its obligations under the Servicing Agreement;

•our failure to qualify or maintain qualification as a real estate investment trust (“REIT”); and

•our failure to maintain our exemption from registration under the Investment Company Act of 1940, as amended (the “Investment Company Act”).

Accordingly, you should not rely upon forward-looking statements as an indication of future performance. We cannot assure you that the results, events and circumstances reflected in the forward-looking statements will be achieved or will occur, and actual results, events or circumstances could differ materially from those projected in the forward-looking statements. The forward-looking statements made in this quarterly report relate only to events as of the date on which the statements are made. We may not actually achieve the plans, intentions or expectations disclosed in our forward-looking statements and you should not place undue reliance on our forward-looking statements. We undertake no obligation and do not assume any obligation to update any forward-looking statements, whether as a result of new information, future events or circumstances after the date on which the statements are made or to reflect the occurrence of unanticipated events or otherwise, except as required by law.

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

In this quarterly report on Form 10-Q (“report”), unless the context indicates otherwise, references to “Great Ajax,” “we,” “the company,” “our” and “us” refer to the activities of and the assets and liabilities of the business and operations of Great Ajax Corp.; “operating partnership” refers to Great Ajax Operating Partnership L.P., a Delaware limited partnership; “our Manager” refers to Thetis Asset Management LLC, a Delaware limited liability company; “Aspen Capital” refers to the Aspen Capital group of companies; “Aspen” and “Aspen Yo” refers to Aspen Yo LLC, an Oregon limited liability company that is part of Aspen Capital; and “the Servicer” and “Gregory” refer to Gregory Funding LLC, an Oregon limited liability company and our affiliate, and an indirect subsidiary of Aspen Yo.

Our Management’s Discussion and Analysis of Financial Condition and Results of Operations should be read in conjunction with the unaudited interim consolidated financial statements and related notes included in Item 1. Consolidated interim financial statements of this report and in Item 8. Financial statements and supplementary data in our most recent Annual Report on Form 10-K, as well as the section entitled “Risk Factors” in Part II, Item 1A. of this report, as well as other cautionary statements and risks described elsewhere in this report and our most recent Annual Report on Form 10-K.

Overview

Great Ajax Corp. is a Maryland corporation that is organized and operated in a manner intended to allow us to qualify as a REIT. We primarily target acquisitions of (i) RPLs, which are residential mortgage loans on which at least five of the seven most recent payments have been made, or the most recent payment has been made and accepted pursuant to an agreement, or the full dollar amount, to cover at least five payments has been paid in the last seven ~~months.~~months and (ii) NPLs, which are residential mortgage loans on which the most recent three payments have not been made. We may acquire RPLs and NPLs either directly or in joint ventures with institutional accredited investors. The joint ventures are structured as securitization trusts, of which we acquire debt securities and beneficial interests. We may also acquire ~~and~~or originate SBC loans. The SBC loans that we target through acquisitions generally have a principal balance of up to $5.0 million and are secured by multi-family residential and commercial mixed use retail/residential properties on which at least five of the seven most recent payments have been made, or the most recent payment has been made and accepted pursuant to an agreement, or the full dollar amount to cover at least five payments has been paid in the last seven months. ~~We also originate SBC loans that we believe will provide an appropriate risk-adjusted total return.~~ Additionally, we invest in single-family and smaller commercial properties directly either through a foreclosure event of a loan in our mortgage portfolio, or, less frequently, through a direct acquisition. ~~We may also target investments in NPLs either directly or with joint venture partners. NPLs are loans on which the most recent three payments have not been made.~~ We own a 19.8% equity interest in ~~the~~our Manager and an 8.0% equity interest in the parent company of our ~~Servicer.~~Servicer through GA-TRS, is a wholly owned subsidiary of the Operating ~~Partnership that owns the equity interest in the Manager and the Servicer.~~Partnership. We have elected to treat GA-TRS as a taxable REIT subsidiary under the Code. Our mortgage loans and real properties are serviced by the Servicer, also an affiliated company.

In 2014, we formed Great Ajax Funding LLC, a wholly owned subsidiary of the Operating Partnership, to act as the depositor of mortgage loans into securitization trusts and to hold the subordinated securities issued by such trusts and any additional trusts we may form for additional secured borrowings. AJX Mortgage Trust I and AJX Mortgage Trust II are wholly owned subsidiaries of the Operating Partnership formed to hold mortgage loans used as collateral for financings under our repurchase agreements. On February 1, 2015, we formed GAJX Real Estate Corp., as a wholly owned subsidiary of the Operating Partnership, to own, maintain, improve and sell certain REOs purchased by us. We have elected to treat GAJX Real Estate Corp. as a TRS under the Code.

Our Operating Partnership, through interests in certain entities as of September 30, ~~2021 and December 31, 2020,~~2022, owns 99.9% of Great Ajax II REIT Inc. which ~~holds an interest in~~owns Great Ajax II Depositor LLC which then acts as the depositor of mortgage loans into securitization trusts and holds ~~the~~ subordinated securities issued by such ~~trusts and any additional trusts we may form for additional secured borrowings.~~trusts. Similarly, as of September 30, 2022, the Operating Partnership wholly owned Great Ajax III Depositor LLC, which was formed to act as the depositor into Ajax Mortgage Loan Trust 2021-E ("2021-E"), which is a real estate mortgage investment conduit ("REMIC"). We have securitized mortgage loans through these securitization trusts and retained subordinated securities from the secured borrowings. These trusts are considered to be variable interest entities ("VIEs"), and we have determined that we are the primary beneficiary of the VIEs.

In 2018, we formed Gaea Real Estate Corp. ("Gaea"), as a ~~wholly owned~~wholly-owned subsidiary of the Operating ~~Partnership.~~Partnership that invests in multifamily properties with a focus on property appreciation and triple net lease veterinary clinics. We elected to treat Gaea as a TRS under the Code for 2018 and we elected to treat Gaea as a REIT under the Code in 2019 and thereafter. Also during 2018, we formed Gaea Real Estate Operating Partnership LP, a ~~wholly owned~~wholly-owned subsidiary of Gaea, to hold investments in commercial real estate ~~assets.~~assets, and Gaea Real Estate Operating LLC, to act as its general partner. We also formed Gaea Veterinary Holdings LLC, BFLD Holdings LLC, Gaea Commercial Properties LLC, Gaea Commercial Finance LLC and Gaea RE Holdings LLC as subsidiaries of Gaea Real Estate Operating Partnership. In 2019, we formed DG Brooklyn Holdings LLC, also a subsidiary of Gaea Real Estate Operating Partnership LP, to hold investments in multi-family properties.

On November 22, 2019, Gaea completed a private capital raise intransaction through which it raised $66.3 million from the issuance ~~of 4,419,641 shares~~ of its common stock to third parties to allow Gaea to continue to advance its investment strategy. ~~We retained~~Additionally, in January 2022, Gaea completed a ~~23.2% ownership interest~~second private capital raise in ~~Gaea following~~which it raised approximately $30.0 million from the ~~transaction.~~issuance of its common stock and warrants. At September 30, ~~2021,~~2022 we owned approximately ~~22.8%~~22.1% of Gaea. We account for our investment in Gaea under the equity method.

We elected to be taxed as a REIT for U.S. federal income tax purposes beginning with our taxable year ended December 31, 2014. Our qualification as a REIT depends upon our ability to meet, on a continuing basis, various complex requirements under the Code relating to, among other things, the sources of our gross income, the composition and values of our assets, our distribution levels and the diversity of ownership of our capital stock. We believe that we are organized in conformity with the requirements for qualification as a REIT under the Code, and that our current intended manner of operation enables us to meet the requirements for taxation as a REIT for U.S. federal income tax purposes.

Our Portfolio

The following table outlines the carrying value of our portfolio of mortgage loan assets and single-family and smaller commercial properties as of September 30, ~~2021~~2022 and December 31, ~~2020~~2021 ($ in millions):


		September 30, 2021		December 31, 2020			September 30, 2022		December 31, 2021
Residential RPLs	Residential RPLs	$	865.3	$	1,057.5	Residential RPLs	$	887.4	$	971.1
Residential NPLs	Residential NPLs	117.7		38.7		Residential NPLs	107.3		119.5
SBC loans	SBC loans	24.4		23.2		SBC loans	11.7		19.3
Real estate owned properties, net	Real estate owned properties, net	6.1		8.5		Real estate owned properties, net	6.1		6.1
Investments in securities at fair value	Investments in securities at fair value	340.1		273.8		Investments in securities at fair value	257.8		355.2
Investment in beneficial interests	Investment in beneficial interests	139.5		91.4		Investment in beneficial interests	127.7		139.6
Total mortgage related assets	Total mortgage related assets	$	1,493.1	$	1,493.1	Total mortgage related assets	$	1,398.0	$	1,610.8

We closely monitor the status of our mortgage loans and, through our Servicer, work with our borrowers to improve their payment records.

Market Trends and Outlook

~~COVID-19~~

In September and November, 2022 the U.S. Federal Reserve (the "Fed") raised its benchmark federal-funds rate by three quarters of a percentage point. This follows rate increases in March, May, June and July for a year to date increase of 3.75 points. The ~~COVID-19 pandemic that began during~~Fed indicated it would likely continue raising the ~~first quarter~~federal-funds rate as long as inflation remained above its 2.00% target and would continue reducing its holdings of ~~2020 created a global public-health crisis that resulted in widespread volatility~~Treasury securities and ~~deteriorations in household, business,~~agency debt and ~~economic market conditions, including in~~agency mortgage-backed securities. According to Freddie Mac, the ~~United States, where we conduct all~~30-year fixed rate mortgage rate increased to an average of our business. During 2020 many governmental and nongovernmental authorities directed their actions toward curtailing household and business activity in order to contain or mitigate the impact of the COVID-19 pandemic and deployed fiscal- and monetary-policy measures in order to seek to partially mitigate the adverse effects. These programs have had varying degrees of success and the extent of the long term impact on the mortgage market remains unknown.

~~The COVID-19 pandemic began to meaningfully impact our operations in late March 2020 and any continuing disruption was reflected in our results of operations~~6.92% for the ~~quarter ended September 30, 2021. The pandemic has continued and continues to significantly and adversely impact certain areas~~week of the United States. As a result, our forecast of macroeconomic conditions and expected lifetime credit losses on our mortgage loan and beneficial interest portfolios is subject to meaningful uncertainty and volatility. While the majority of our borrowers continue to make scheduled payments and we continue to receive payments in full, we have acted swiftly to support our borrowers with a mortgage forbearance program. While we generally do not hold loans guaranteed by government-sponsored enterprises ("GSEs") or the U.S. government, we, through our Servicer, are nonetheless offering a forbearance program under terms similar to those required for GSE loans. Borrowers who request COVID-19 related hardship assistance are asked to complete a standardized hardship questionnaire, including documentation to support the COVID-19 related hardship claim. The materials are reviewed, along with the borrower's monthly payment status, to determine if the borrower is eligible for the three-month forbearance plan. If the borrower is not eligible, they are encouraged to apply for loss mitigation. In the event the COVID-19 related hardship is continuing at the end of the forbearance period, it may be extended for an additional period. At the end of the forbearance plan, the borrower may repay the amounts in a lump sum, or our Servicer will work with the borrower on repayment options or traditional loan modification options. Notwithstanding the foregoing, to the extent special rules apply to a mortgagor because of the jurisdiction or type of mortgage loan, the Servicer will comply with those rules. Our Servicer has extensive experience dealing with delinquent borrowers and we believe it is well positioned to react on our behalf to any increase in mortgage delinquencies. The following list shows the COVID-19 related forbearance activity in our mortgage loan portfolio as of November 1, 2021October 13, 2022.(1):

•~~Number of COVID-19 forbearance relief inquiries: 1,208~~

•~~Number of COVID-19 forbearance relief granted: 337~~

We expect continued volatility in the residential mortgage securities market in the short term and increased acquisition opportunities. Extended forbearance, foreclosure timelines and eviction timelines could result in lower yields and losses on our mortgage loan and beneficial interest portfolios and losses on our REO held-for-sale. Ongoing disruption in the credit markets could result in margin calls from our financing counterparties and additional mark downs on our Investments in debt securities, beneficial interests and mortgage loans.

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

•~~historically~~rising interest rates have increased our borrowing costs;

•increasing mortgage interest rates and higher home prices, are slowing home purchases and refinancing activity resulting in lower prepayments of our loan and securities portfolios;

•rising home prices are triggering significant prepayments by borrowers selling their homes to downsize or relocate to lower cost markets;

•borrowers that purchased or refinanced in 2020 and 2021 have record low interest rates and ~~elevated operating costs resulting from new regulatory requirements continue~~will be unlikely to ~~drive sales of residential mortgage assets by banks and other mortgage lenders;~~trade up in the current interest rate environment;

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

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

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

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

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

The origination of subprime and alternative residential mortgage loans remains substantially below 2008 levels and the qualified mortgage and ability-to-repay rule requirements have put pressure on new originations. Additionally, many banks and other mortgage lenders have increased their credit standards and down payment requirements for originating new loans. Recent market disruption from the COVID-19 pandemic has reduced financing alternatives for borrowers not eligible for financing programs underwritten by the GSEs or the federal government.

The combination of these factors has also resulted in a significant number of families that cannot qualify to obtain new residential mortgage loans. We believe the U.S. federal regulations addressing “qualified mortgages” based on, among other factors such as employment status, debt-to-income level, impaired credit history or lack of savings, limit mortgage loan availability from traditional mortgage lenders. In addition, we believe that many homeowners displaced by foreclosure or who either cannot afford to own or cannot be approved for a mortgage will prefer to live in single-family rental properties with similar characteristics and amenities to owned homes as well as smaller multi-family residential properties. In certain demographic areas, new households are being formed at a rate that exceeds the new homes being added to the market, which we believe favors future demand for non-federally guaranteed mortgage financing for single-family and smaller multi-family rental properties. For all these reasons, we believe that demand for single-family and smaller multi-family rental properties will continue to increase in the near term and remain at heightened levels for the foreseeable future.

We believe that investments in residential RPLs and NPLs with positive equity provide an optimal investment value. As a result, we are currently focused on acquiring pools of RPLs ~~though we may acquire~~and NPLs, ~~either directly or with joint venture partners, if~~at attractive ~~opportunities exist.~~prices. Through our Servicer, we work with our borrowers to improve their payment records. Once there is a period of continued performance, we expect that borrowers will typically refinance these loans at or near the estimated value of the underlying property.

We also believe there are significant attractive investment opportunities in the SBC loan and property markets and originate as well as purchase these loans, particularly in urban areas where there is a sustainable trend of young adults desiring to live near where they work. We focus on densely populated urban areas where we expect positive economic change based on certain demographic, economic and social statistical data. The primary lenders for smaller multi-family and mixed retail/residential properties are community banks and not regional and national banks and large institutional lenders. We believe the primary lenders and loan purchasers are less interested in these assets because they typically require significant commercial and residential mortgage credit and underwriting expertise, special servicing capability and active property management. It is also more difficult to create the large pools of these loans that primary banks, lenders and portfolio acquirers typically desire. We continually monitor opportunities to increase our holdings of these SBC loans and properties.

We also believe that banks and other mortgage lenders have strengthened their capital bases and are more aggressively foreclosing on delinquent borrowers or selling these loans to dispose of their inventory. Additionally, many NPL buyers are now interested in reducing their investment duration and are selling RPLs.

(1)Freddie Mac Primary Mortgage Market Survey, U.S. weekly averages as of October 13, 2022.

Factors That May Affect Our Operating Results

Acquisitions. Our operating results depend heavily on sourcing residential RPLs and SBC loans and, when attractive opportunities are identified, NPLs. We believe that there is generally a large supply of RPLs available to us for acquisition and we believe the available supply provides for a steady acquisition pipeline of assets since large institutions are active sellers in the market. However, we expect that our residential mortgage loan portfolio may grow at an uneven pace, as opportunities to acquire distressed residential mortgage loans may be irregularly timed and may involve large portfolios of loans, and the timing and extent of our success in acquiring such loans cannot be predicted. In addition, for any given portfolio of loans that we agree to acquire, we typically acquire fewer loans than originally expected, as certain loans may be resolved prior to the closing date or may fail to meet our diligence standards. The number of loans not acquired typically constitutes a small portion of a particular portfolio. In any case where we do not acquire the full portfolio, we make appropriate adjustments to the applicable purchase price.

Financing. Our ability to grow our business by acquiring residential RPLs and SBC loans depends on the availability of adequate financing, including additional equity financing, debt financing or both in order to meet our objectives. We intend to leverage our investments with debt, the level of which may vary based upon the particular characteristics of our portfolio and on market conditions. We have funded and intend to continue to fund our asset acquisitions with non-recourse secured borrowings in which the underlying collateral is not marked to market and employ repurchase agreements without the obligation to mark to market the underlying collateral to the extent available. We securitize our whole loan portfolios, primarily as a financing tool, when economically efficient to create long-term, fixed rate, non-recourse financing with moderate leverage, while retaining one or more tranches of the subordinate MBS so created. The secured borrowings are structured as debt financings and not ~~real estate investment conduit (“REMIC”)~~REMIC sales. We completed the securitization transactions pursuant to Rule 144A under the Securities Act of 1933, as amended (the “Securities Act”), in which we issued notes primarily secured by seasoned, performing and non-performing mortgage loans primarily secured by first liens on one-to-four family residential properties. Currently there is substantial uncertainty in the securitization markets which could limit our access to financing.

To qualify as a REIT under the Code, we generally will need to distribute at least 90% of our taxable income each year (subject to certain adjustments) to our stockholders. This distribution requirement limits our ability to retain earnings and thereby replenish or increase capital to support our activities.

Resolution Methodologies. We, through the Servicer, or our affiliates, employ various loan resolution methodologies with respect to our residential mortgage loans, including loan modification, collateral resolution and collateral disposition. The manner in which an NPL is resolved will affect the amount and timing of revenue we will receive. Our preferred resolution methodology is typically to ~~modify NPLs. Once successfully modified~~cause the RPLs to continue to perform and ~~there is~~NPLs to perform through loan modification. Following a period of continued performance, we expect that borrowers will typically refinance these loans at or near the estimated value of the underlying property. We believe modification followed by refinancing generates near-term cash flows, provides the highest possible economic outcome for us and is a socially responsible business strategy because it keeps more families in their homes. In certain circumstances, we may also consider selling these modified loans. Through historical experience, we expect that many of our NPLs will enter into foreclosure or similar proceedings, ultimately becoming REO that we can sell or convert into single-family rental properties that we believe will generate long-term returns for our stockholders. Our REO properties may be converted into single-family rental properties or they may be sold through REO liquidation and short sale processes.sell. We expect the timelines for ~~each of the~~these different processes to vary significantly. The exact nature of resolution will depend on a number of factors that are beyond our control, including borrower willingness, property value, availability of refinancing, interest rates, conditions in the financial markets, regulatory environment and other factors. To avoid the 100% prohibited transaction tax on the sale of dealer property by a REIT, we may dispose of assets that may be treated as held “primarily for sale to customers in the ordinary course of a trade or business” by contributing or selling the asset to a TRS prior to marketing the asset for sale.

The state of the real estate market and home prices will determine proceeds from any sale of real estate. We will opportunistically and on an asset-by-asset basis determine whether to rent any REO we acquire, whether upon foreclosure or otherwise. We may determine to sell such assets if they do not meet our investment criteria. In addition, while we seek to track real estate price trends and estimate the effects of those trends on the valuations of our portfolios of residential mortgage loans, future real estate values are subject to influences beyond our control.

Conversion to Rental Property. From time to time we ~~will~~may retain an REO property as a rental property and may acquire rental properties through direct purchases at attractive prices. The key variables that will affect our residential rental revenues over the long-term will be the extent to which we acquire properties, which, in turn, will depend on the amount of our capital invested, average occupancy and rental rates in our owned rental properties. We expect the timeline to convert multi-family and single-family loans into rental properties will vary significantly by loan, which could result in variations in our revenue and our

operating performance from period to period. There are a variety of factors that may inhibit our ability, through the Servicer, to foreclose upon a residential mortgage loan and get access to the real property within the time frames we model as part of our valuation process. These factors include, without limitation: state foreclosure timelines and the associated deferrals (including from litigation); unauthorized occupants of the property; U.S. federal, state or local legislative action or initiatives designed to provide homeowners with assistance in avoiding residential mortgage loan foreclosures that may delay the foreclosure process; U.S. federal government programs that require specific procedures to be followed to explore the non-foreclosure outcome of a residential mortgage loan prior to the commencement of a foreclosure proceeding; and declines in real estate values and high levels of unemployment and underemployment that increase the number of foreclosures and place additional pressure on the already overburdened judicial and administrative systems.property. We do not expect to retain a material number of single family residential properties for use as rentals. ~~We do, however, intend to focus on retaining multi-unit residences derived from foreclosures or acquired through outright purchases as rentals.~~

Expenses. Our expenses primarily consist of the fees and expenses payable by us under the Management Agreement and the Servicing Agreement. Additionally, our Manager incurs direct, out-of-pocket costs related to managing our business, which are contractually reimbursable by us. Loan transaction expense is the cost of performing due diligence on pools of mortgage loans under consideration for purchase. Professional fees are primarily for legal, accounting and tax services. Real estate operating expense consists of the ownership and operating costs of our REO properties, ~~both held-for-sale and as rentals,~~ and includes any charges for impairments to the carrying value of these assets, which may be significant. Those expenses may increase due to extended eviction timelines caused by the pandemic. Interest expense, which is subtracted from our Interest income to arrive at Net interest income, consists of the costs to borrow money.

Changes in Home Prices. As discussed above, generally, rising home prices are expected to positively affect our results, particularly as this should result in greater levels of re-performance of mortgage loans, faster refinancing of those mortgage loans, more re-capture of principal on greater than 100% LTV (loan-to-value) mortgage loans and increased recovery of the principal of the mortgage loans upon sale of any REO. Conversely, declining real estate prices are expected to negatively affect our results, particularly if the home prices should decline below our purchase price for the loans and especially if borrowers determine that it is better to strategically default as their equity in their homes decline. We typically concentrate our investments in specific urban geographic locations in which we expect stable or better property markets. However, when we analyze loan and property acquisitions we do not take home price appreciation ("HPA") into account except for rural properties for which we model negative HPA related to our expectation of worse than expected property condition. While we initially expected the COVID-19 outbreak to have a material downward effect on home prices, we are generally seeing increases in HPA in our target ~~markets~~.markets. A significant decline in HPA could have an adverse impact on our operating results.

Changes in Market Interest Rates. With respect to our business operations, increases in existing interest rates, in general, may over time cause: (1) the value of our mortgage loan and MBS portfolio to decline; (2) coupons on our ARM and hybrid ARM mortgage loans and MBS to reset, although on a delayed basis, to higher interest rates; (3) prepayments on our mortgage loans and MBS portfolio to slow, thereby slowing the amortization of our purchase premiums and the accretion of our purchase discounts; (4) the interest expense associated with our borrowings to increase; and (5) to the extent we enter into interest rate swap agreements as part of our hedging strategy, the value of these agreements to increase. Conversely, decreases in interest rates, in general, may over time cause: (a) prepayments on our mortgage loan and MBS portfolio to increase, thereby accelerating the accretion of our purchase discounts; (b) the value of our mortgage loan and MBS portfolio to increase; (c) coupons on our ARM and hybrid ARM mortgage loans and MBS to reset, although on a delayed basis, to lower interest rates; (d) the interest expense associated with our borrowings to decrease; and (e) to the extent we enter into interest rate swap agreements as part of our hedging strategy, the value of these agreements to decrease.

Market Conditions. ~~Due~~As the Fed continues its current trend toward monetary tightening, mortgage markets are undergoing a great deal of uncertainty with regard to ~~the dramatic repricing of real estate assets that occurred during the 2008 financial crisis~~both interest rates and the continuing uncertainty regarding the direction and strength of the real estate markets including as a result of the COVID-19 pandemic, we believe a void in the debt and equity capital available for investing in real estate exists as many financial institutions, insurance companies, finance companies and fund managers have determined to reduce or discontinue investment in debt or equity related to real estate. We believe the dislocations in the residential real estate market have resulted or will result in an “over-correction” in the repricing of real estate assets, creating a potential opportunity for us to capitalize on these market dislocations and capital void to the extent we are able to obtain financing for additional purchases.

origination volume. We believe that in spite of the

continuing uncertain market environment for mortgage-related assets ~~including as a result of the pandemic outbreak,~~ current market conditions offer potentially attractive investment opportunities for us, even in the face of a riskier and more volatile market environment. We expect that market conditions will continue to impact our operating results and will cause us to adjust our investment and financing strategies over time as new opportunities emerge and risk profiles of our business change.

COVID-19 Pandemic. ~~The~~While lock downs and restrictions from the pandemic ~~has also impacted, and is likely to continue to impact, directly or indirectly, many of~~have ended, the other factors discussed above, as well as other aspects of our business. New developments continue to emerge and it is not possible for us to predict with certainty which factors will impact our business. In addition, we cannot assess the impact of each factor on our business or the extent to which any factor, or combination of factors, may cause actual results to differ materially from those contained in any forward-looking statements. In particular, it is difficult to fully assess the impacteffects of the pandemic ~~at this time due~~on inflation and resulting increase in interest rates have contributed to ~~among other things, uncertainty regarding~~a substantial dislocation in the ~~severity and duration of~~credit markets. A return to any COVID-19 pandemic restriction could also negatively impact our business if the ~~outbreak domestically and internationally and the effectiveness~~reactions of federal, state and local ~~government efforts to contain~~governments caused additional disruption in the ~~spread of COVID-19, the effects of those efforts on our business, the indirect impact on the U.S. economy and economic activity and the impact on the mortgage~~capital markets and ~~capital markets.~~in housing.

Critical Accounting Policies and Estimates

~~Mortgage Loans~~Various elements of our accounting policies, by their nature, are inherently subject to estimation techniques, and other subjective assessments. In particular, we have identified six policies that, due to the judgment and estimates inherent in those policies, are critical to understanding our consolidated financial statements. These policies relate to (i) the allowance for credit losses, (ii) accounting for Interest income on our mortgage loan portfolio; (iii) accounting for Investments at fair value; (iv) accounting for investments in Beneficial Interests; (v) accounting for Interest expense on our secured borrowings, repurchase facilities, 2024 Notes and 2027 Notes; and (vi) fair values. We believe that the judgment and estimates used in the preparation of our consolidated financial statements are appropriate given the factual circumstances at the time. However, given the sensitivity of our consolidated financial statements to these critical accounting policies, the use of other judgments or estimates could result in material differences in our results of operations or financial condition. For further information, see below for our additional critical accounting policies on convertible senior notes and notes payable and our Form 10-K for our calendar year ended December 31, 2021, for our previous policies that have not changed.

~~Purchased Credit Deteriorated Loans ("PCD Loans") —~~ As of their acquisition date, the loans we acquired have generally suffered some credit deterioration subsequent to origination. As a result, our recognition of interest income for PCD loans is based upon our having a reasonable expectation of the amount and timing of the cash flows expected to be collected. When the timing and amount of cash flows expected to be collected are reasonably estimable, we use expected cash flows to apply the effective interest method of income recognition. We 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.Critical Accounting Policies

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. We may adjust our loan pools as the underlying risk factors change over time. We have aggregated our mortgage loan portfolio into loan pools based 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 income in the period the loan pays in full.Convertible Senior Notes

~~Our accounting for PCD loans gives rise~~During 2017 and 2018, we completed the public offer and sale of our convertible senior notes due 2024 (the "2024 Notes"). At September 30, 2022 and December 31, 2021, the UPB of the debt was $104.5 million and $104.6 million, respectively. The 2024 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 2024 Notes will mature on April 30, 2024, unless earlier repurchased, converted or redeemed. During certain periods and subject to ~~an accretable yield and an allowance for expected credit losses. Upon~~certain conditions the ~~acquisition~~2024 Notes will be convertible by their holders into shares of ~~PCD loans we record the acquisition as three separate elements for (i) the~~our common stock at a current conversion rate of 1.7405 shares of common stock per $25.00 principal amount of ~~purchase discount~~the 2024 Notes, which ~~we expect~~represents a conversion price of approximately $14.36 per share of common stock. The conversion rate, and thus the conversion price, are subject to recover through eventual repayment by the borrower, (ii) an allowance for future expected credit loss and (iii) the unpaid principal balance (“UPB”) of the loan. The purchase price discount which we expect at the time of acquisition to collect over the life of the loans is the accretable yield. Cash flows expected at acquisition include all cash flows directly related to the acquired loan, including those expected from the underlying collateral. We recognize the accretable yield as interest income on a prospective level yield basis over the life of the pool. Our expectation of the amount of undiscounted cash flows to be collected is evaluated at the end of each calendar quarter. The net present value of changes in expected cash flows, whether caused by timing or loan performance, is reported in the period in which it arises and is reflected as an increase or decrease in the provision for expected credit losses to the extent a provision for expected credit losses is recorded against the pool of mortgage loans. If no provision for expected credit losses is recorded against the pool of assets, the increase in expected future cash flows is recognized prospectively as an increase in yield.adjustment under certain circumstances.

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

~~Borrower payments on our mortgage loans are classified as principal, interest, payments of fees, or escrow deposits. Amounts applied as~~Coupon interest on the borrower account are similarly classified as interest for accounting purposes and are classified as operating cash flows in our consolidated Statement of Cash Flows. Amounts applied as principal on the borrower account including amounts contractually due from borrowers that exceed our basis in loans purchased at a discount, are similarly classified as principal for accounting purposes and are classified as investing cash flows in the consolidated Statement of Cash Flows as required under U.S. Generally Accepted Accounting Principles ("U.S. GAAP"). Amounts received as payments of fees are recorded in Other income and classified as operating cash flows in the consolidated Statement of Cash Flows. Escrow deposits are recorded on the Servicer’s balance sheet and do not impact our cash flow.

~~Non-PCD Loans —~~ ~~While we generally acquire loans that have experienced deterioration in credit quality, we also acquire loans that have not experienced a deterioration in credit quality and originate SBC loans.~~

We account for our non-PCD loans by estimating any allowance for expected credit losses for our non-PCD loans based on historical experience and the risk characteristics of the individual loans. Impaired loans are carried at the present value of expected future cash flows discounted at the loan’s effective interest rate, the loan’s market price, or the fair value of the collateral if the loan is collateral dependent. For individual loans, a troubled debt restructuring is a formal restructuring of a loan where, for economic or legal reasons related to the borrower’s financial difficulties, a concession that would not otherwise be considered is granted to the borrower. The concession may be granted in various forms, including providing a below-market interest rate, a reduction in the loan balance or accrued interest, an extension of the maturity date, or a combination of these. An individual loan that has had a troubled debt restructuring is considered to be impaired and is subject to the relevant accounting for impaired loans.

~~Investments in Securities at Fair Value~~

Our Investments in Securities at Fair Value consist of investments in senior and subordinated notes issued by joint ventures, which we form with third party institutional accredited investors. We recognize income on the debt securities using the effective interest method. Additionally, the notes are classified as available-for-sale and are carried at fair value with changes in fair value reflected in our consolidated statements of comprehensive income. We mark our investments to fair value using prices received from our financing counterparties and believe any unrealized losses on our debt securities 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 our consolidated statements of income. Risks inherent in our debt securities portfolio, affecting both the valuation of the securities as well as the portfolio’s interest income include the risk of default, delays and inconsistency in the frequency and amount of payments, risks affecting borrowers such as man-made or natural disasters, or the pandemic, and damage to or delay in realizing the value of the underlying collateral. We monitor the credit quality of the mortgage loans underlying our debt securities on an ongoing basis, principally by considering loan payment activity or delinquency status. In addition, we assess the expected cash flows from the mortgage loans, the fair value of the underlying collateral and other factors, and evaluate whether and when it becomes probable that all amounts contractually due will not be collected.

~~Investments in Beneficial Interests~~

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

~~Debt~~

~~Secured Borrowings —~~ Through securitization trusts which are VIEs, we issue callable debt secured by our mortgage loans in the ordinary course of business. The secured borrowings facilitated by the trusts are structured as debt financings, and the mortgage loans used as collateral remain on our consolidated balance sheet as we are the primary beneficiary of the securitization trusts. These secured borrowing VIEs are structured as pass through entities that receive principal and interest on the underlying mortgages and distribute those payments to the holders of the notes. Our exposure to the obligations of the VIEs is generally limited to our investments in the entities; the creditors do not have recourse to the primary beneficiary. Coupon interest expense on the debt2024 Notes is recognized using the accrual method of accounting. ~~Deferred issuance costs, including original issue discount~~Discount and ~~debt~~deferred issuance costs are carried on our consolidated balance sheets as a ~~deduction from Secured borrowings,~~reduction of the carrying value of the 2024 Notes, and are amortized to interest expense on an effective yield basis ~~based on~~through April 30, 2023, the ~~underlying cash flow of~~date at which the ~~mortgage loans serving as collateral.~~2024 Notes can be converted. We assume the debt will be ~~called~~converted at the specified ~~call~~conversion date for purposes of amortizing ~~discount and~~ issuance costs because we believe itsuch conversion will ~~have the intent and ability to call the debt on the call date. Changes~~be in the ~~actual or projected underlying cash flows are reflected~~economic interest of the holders. No sinking fund has been established for redemption of the principal.

During the three months ended March 31, 2022, we adopted ASU 2020-06, Debt – Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging – Contracts in an Entity’s Own Equity (Subtopic 815-40) by recording a reduction in our additional paid-in capital account of $0.7 million and a corresponding increase in the ~~timing and amount~~carrying value of ~~deferred issuance cost amortization.~~our Convertible senior notes of $0.7 million, representing the carrying value of the conversion feature associated with the 2024 Notes.

Notes Payable

~~Repurchase Facilities —~~
~~We enter into repurchase financing facilities under which we nominally sell assets to~~

During August 2022, our Operating Partnership issued $110.0 million aggregate principal amount of 8.875% senior unsecured notes due September 2027 (the "2027 Notes"). The 2027 Notes have a ~~counterparty~~five-year term and ~~simultaneously enter into an agreement to repurchase~~were issued at 99.009% of par value and are fully and unconditionally guaranteed by us and two of our subsidiaries: Great Ajax Operating LLC (the "GP Guarantor") and Great Ajax II Operating Partnership L.P. (the "Subsidiary Guarantor," and together with us and the ~~sold assets at a price equal to~~GP Guarantor, "Guarantors"). Interest on the ~~sold amount plus an interest factor. Despite being legally structured as sales~~2027 Notes is payable semi-annually on March 1 and ~~subsequent repurchases, repurchase transactions are generally accounted for as debt secured by~~September 1, with the ~~underlying assets. At~~first payment due and payable on March 1, 2023. The 2027 Notes will mature on September 1, 2027. Net proceeds from the ~~maturity~~sale of ~~a repurchase financing, unless~~ the ~~repurchase financing is renewed, we are required to repay~~2027 Notes totaled approximately $106.1 million, after deducting the ~~borrowing including any accrued interest~~discount, commissions, and ~~concurrently receive back our~~offering expenses which

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pledged collateral from the lender. The repurchase financings are treated as collateralized financing transactions; pledged assets are recorded as assets in our consolidated balance sheets, and debt is recognized at the contractual amount. Interest is recorded at the contractual amount on an accrual basis. Costs associated with the set-up of a repurchasing contract are recorded as deferred expense at inception andwill be 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 expense when incurred.~~

~~Fair Value~~

~~Fair Value of Financial Instruments —~~ Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A fair value hierarchy has been established that requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. The standard describes three levels of inputs that may be used to measure fair value:

•~~Level 1~~ ~~— Quoted prices in active markets for identical assets or liabilities.~~

•~~Level 2~~ — Observable inputs other than Level 1 prices, such as quoted prices for similar assets and liabilities; quoted prices in markets that are not active; or other inputs that are observable or can be corroborated by observable market data for substantially the full term of the ~~assets or liabilities.~~

•~~Level 3~~ ~~— Unobservable inputs that are supported by little or no market activity and that are significant to the fair value of the assets or liabilities.~~

~~The fair value of mortgage loans is estimated~~unsecured 2027 Notes using the ~~Manager’s proprietary pricing model which estimates expected cash flows with the discount rate used in the present value calculation representing the estimated~~ effective ~~yield of the loans. The value of transfers of mortgage loans to REO is based upon the present value of future expected cash flows of the loans being transferred.~~

We value our investments in debt securities using estimates provided by our financing counterparties. We also rely on our Manager's proprietary pricing model to estimate the underlying cash flows expected to be collected on these investments as a comparison to the estimates received from financing counterparties.

Our investments in beneficial interests are trust certificates representing the residual investment in securitization trusts which we form with joint venture partners. The trust certificates represent the residual investment in the trust. We rely on our Manager's proprietary pricing model to estimate the underlying cash flows expected to be collected on our investments in beneficial interests.

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

~~Our 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 our ownership interest in GAFS, including warrants, is determined by applying an earnings multiple to expected earnings.~~

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

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

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

plus accrued interest pursuant to the terms of the offering document. We carry our secured borrowings net of deferred issuance cost. Accordingly, the difference between fair value and carrying value is largely driven by the deferred issuance costs.

Our 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 our common stock at our option. 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 put option liability is measured quarterly with adjustments posted to our consolidated statements of income.

Our borrowings under repurchase agreements are short-term in nature, and our Manager believes it can renew the current borrowing arrangements on similar terms in the future. Accordingly, the carrying value of these borrowings approximates fair value.

Our convertible senior notes are traded on the NYSE; the debt’s fair value is determined from the NYSE closing price on the balance sheet date. The Convertible debt may be redeemable at par plus accrued interest beginning on April 30, 2022 subject to satisfying the conversion price trigger. We carry the 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 broker price opinions (“BPOs”), appraisals, or other market indicators of fair value, which are then reduced by anticipated selling costs. Net unrealized losses due to changes in market value are recognized through a valuation allowance by charges to income.

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

Recent Accounting Pronouncements

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

Results of Operations

Quarter Overview

For the three months ended September 30, 2021, we had net income attributable to common stockholders of $9.3 million, or $0.40 per share for basic and $0.38 per share for diluted common shares. For the three months ended September 30, 2020, we had net income attributable to common stockholders of $5.3 million, or $0.23 per share for basic and diluted common shares. Key items for the three months ended September 30, ~~2021~~2022 include:

•Interest income of ~~$23.1~~$20.0 million; net interest income of ~~$14.4~~$8.7 million

•Net ~~income~~loss attributable to common stockholders of ~~$9.3~~$(16.2) million

•~~Basic earnings~~Earnings per share ("EPS") per basic common share of ~~$0.40~~$(0.71)

•Operating income of $3.1 million

•Operating income per basic common share of $0.14

•Taxable income of $0.26 per share attributable to common stockholders after payment of dividends on our preferred stock

•Book value per common share of ~~$16.00~~$13.75 at September 30, ~~2021~~2022

•~~Taxable income~~Repurchased and retired $66.0 million face amount of ~~$0.43 per common share~~our preferred stock and associated warrants

•~~Formed one joint venture that acquired $517.7~~Issued $110.0 million ~~in UPB~~aggregate principal amount of mortgage loans with collateral values of $968.6 million and retained or acquired $54.7 million of varying classes of related securities issued by the joint venture to end the quarter with $479.6 million of investments in debt securities and beneficial interests

•Purchased $87.5 million of NPLs, with UPB of $90.9 million at 64.0% of property value, and $0.5 million of RPLs, with UPB of $0.5 million at 61.7% of property value to end the quarter with $1.0 billion in net mortgage loans

•In July 2021 we purchased $170.7 million of RPLs and NPLs into a joint venture securitization that was created in June 2021 with a securitized prefunding structure. We own 20.0% of this joint venture. The purchase price was 97.8% of UPB and 53.2% of underlying property value.8.875% senior unsecured notes due 2027

•Collected total cash of ~~$82.8~~$57.8 million, from loan payments, sales of REO and collections from investments in debt securities and beneficial interests

•Held ~~$92.8~~$72.9 million of cash and cash equivalents at September 30, ~~2021;~~2022; average daily cash balance for the quarter was ~~$89.2~~$62.3 million

•As of September 30, ~~2021,~~2022, approximately ~~76.6%~~79.6% of portfolio based on acquisition UPB made at least 12 out of the last 12 payments

~~Our~~We generated a consolidated net loss attributable to common stockholders under U.S. Generally Accepted Accounting Principles ("U.S. GAAP" or "GAAP") for the three months ended September 30, 2022 of $(16.2) million or $(0.71) per common share after preferred dividends, and Operating income, of $3.1 million or $0.14 per common share. Operating income is a non-GAAP financial measure which adjusts GAAP earnings by removing unrealized gains and losses as well as certain other non-core income and expenses and preferred dividends. We consider Operating income a useful measure for comparing the results of our ongoing operations over multiple quarters. Comparatively, our GAAP consolidated net income attributable to common stockholders increased $4.0 million for the quarter ended September 30, 2021 compared to the quarter ended September 30, 2020. The increase in our earnings compared to the quarter ended September 30, 2020 was primarily driven by a $3.1 million decrease in our interest expense. The increase in net interest income was primarily driven by the same decrease of $3.1 million in our interest expense of $8.6 million versus interest expense of $11.7 million in the third quarter of 2020. Our book value increased to $16.00 per common share from $15.59 at December 31, 2020 driven by increases in our earnings and our acquisition of our joint venture partner's share of Ajax Mortgage Loan Trusts 2018-C ("2018-C") in the first quarter, the repurchase of $7.5 million of our convertible senior notes and an increase in common equity resulting from net fair value adjustments of $3.0 million on our portfolio of debt securities recorded to Other comprehensive income since December 31, 2020.

~~We recorded $0.1 million in recoveries from previous impairments on our REO held-for-sale portfolio in the real estate operating expense line of our consolidated statement of income~~ for the three months ended September 30, 2021 ~~compared to $0.2~~was $9.3 million, ~~of impairments for~~or $0.40 per common share, and Operating income was $9.4 million, or $0.41 per common share.

During the three months ended September 30, ~~2020.~~2022, we repurchased and retired 1,113,932 shares of our series A preferred stock, 1,525,529 shares of our series B preferred stock and 3,299,328 warrants for our common stock in a series of repurchase transactions. The ~~recovery~~series A and series B preferred stock was repurchased for an aggregate of ~~impairments~~$64.2 million at an average price of $24.32 per share, representing a discount of approximately 2.7% to the face value of $25.00 per share. The warrants were repurchased for an aggregate of $25.8 million which is equal to the ~~quarter were~~expected future put value obligation of $20.00 per warrant. The repurchase of the preferred stock caused the recognition of $5.7 million of GAAP preferred stock discount, and the repurchase of the warrants accelerated future GAAP accretion expense on the warrant's put option of $8.8 million. The repurchase of the preferred stock is expected to save us approximately $3.9 million annually in preferred dividends while the repurchase of the warrants will reduce future put option accretion expense by $8.0 million annually.

At September 30, 2022, our book value decreased to $13.75 per common share from $15.92 at December 31, 2021, driven ~~primarily~~ by ~~increases~~the effect of mark to market adjustments of $23.4 million on our investments in ~~property values. Our quantity~~debt securities, dividends on our common stock of ~~REO properties increased~~$18.2 million and the year-to-date net loss attributable to common stockholders of $21.8 million, partially offset by the repurchase of 475,355 shares of our common stock during the second quarter ~~with four properties sold in~~at an average price of $9.77 per share and the ~~third quarter~~removal of ~~2021 while 10 were added~~our convertible senior notes from the calculation due to ~~REO held-for-sale through foreclosures or deed in lieu proceedings. Comparatively, during~~their antidilutive effect on our earnings per share.

During the three months ended ~~September 30, 2020~~March 31, 2022, we ~~sold seven REO properties while adding five properties through foreclosures~~invested an additional $6.1 million in Gaea to increase our total investment to $25.5 million, or ~~deed in lieu proceedings.~~22.2% of total shares outstanding. In addition to common stock, we received 371,103 warrants to purchase additional shares at $16.41 per share for a two year period following the date that the common stock commences trading on a trading market.

Table 1: Results of Operations


		Three months ended September 30,				Nine months ended September 30,					Three months ended September 30,				Nine months ended September 30,
($ in thousands)	($ in thousands)	2021		2020		2021		2020		($ in thousands)	2022		2021		2022		2021
INCOME	INCOME									INCOME
Interest income	Interest income	$	23,054	$	23,517	$	70,137	$	73,576	Interest income	$	20,021	$	23,054	$	64,133	$	70,137
Interest expense	Interest expense	(8,609)		(11,727)		(27,743)		(37,855)		Interest expense	(11,369)		(8,609)		(29,150)		(27,743)
Net interest income	Net interest income	14,445		11,790		42,394		35,721		Net interest income	8,652		14,445		34,983		42,394
Net decrease in the net present value of expected credit losses(1)	Net decrease in the net present value of expected credit losses(1)	3,678		4,440		13,927		4,591		Net decrease in the net present value of expected credit losses(1)	1,935		3,678		6,874		13,927
Net interest income after the impact of changes in the net present value of expected credit losses	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		Net interest income after the impact of changes in the net present value of expected credit losses	10,587		18,123		41,857		56,321
Income/(loss) from investments in affiliates		90		(25)		610		(465)
Other income		778		537		1,620		1,259
(Loss)/income from investments in affiliates										(Loss)/income from investments in affiliates	(451)		90		(869)		610
Other income/(loss)										Other income/(loss)	386		778		(6,727)		1,620
Total revenue, net	Total revenue, net	18,991		16,742		58,551		41,106		Total revenue, net	10,522		18,991		34,261		58,551
EXPENSE	EXPENSE									EXPENSE
Related party expense – loan servicing fees	Related party expense – loan servicing fees	1,743		1,848		5,275		5,798		Related party expense – loan servicing fees	1,952		1,743		6,049		5,275
Related party expense – management fee	Related party expense – management fee	2,292		2,264		6,835		6,206		Related party expense – management fee	1,948		2,292		6,604		6,835
Professional fees	Professional fees	526		576		1,929		2,113		Professional fees	667		526		1,431		1,929
Real estate operating expenses	Real estate operating expenses	(76)		173		197		1,273		Real estate operating expenses	(16)		(76)		136		197
Fair value adjustment on put option liability	Fair value adjustment on put option liability	2,493		1,766		6,638		3,016		Fair value adjustment on put option liability	2,917		2,493		9,712		6,638
Other expense	Other expense	1,227		986		3,906		3,048		Other expense	1,377		1,227		4,299		3,906
Total expense	Total expense	8,205		7,613		24,780		21,454		Total expense	8,845		8,205		28,231		24,780
Acceleration of put option settlement										Acceleration of put option settlement	8,813		—		12,344		—
Loss on debt extinguishment	Loss on debt extinguishment	—		253		1,072		661		Loss on debt extinguishment	—		—		—		1,072
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
(Loss)/income before provision for income taxes										(Loss)/income before provision for income taxes	(7,136)		10,786		(6,314)		32,699
Provision for income taxes										Provision for income taxes	2,367		102		2,339		203
Consolidated net (loss)/income										Consolidated net (loss)/income	(9,503)		10,684		(8,653)		32,496
Less: consolidated net (loss)/income attributable to the non-controlling interest	Less: consolidated net (loss)/income attributable to the non-controlling interest	(578)		1,662		(47)		3,493		Less: consolidated net (loss)/income attributable to the non-controlling interest	(42)		(578)		70		(47)
Consolidated net income attributable to Company		11,262		7,230		32,543		15,713
Consolidated net (loss)/income attributable to Company										Consolidated net (loss)/income attributable to Company	(9,461)		11,262		(8,723)		32,543
Less: dividends on preferred stock	Less: dividends on preferred stock	1,949		1,950		5,848		3,791		Less: dividends on preferred stock	1,053		1,949		4,927		5,848
Consolidated net income attributable to common stockholders		$	9,313	$	5,280	$	26,695	$	11,922
Less: discount on retirement of preferred stock										Less: discount on retirement of preferred stock	5,735		—		8,194		—
Consolidated net (loss)/income attributable to common stockholders										Consolidated net (loss)/income attributable to common stockholders	$	(16,249)	$	9,313	$	(21,844)	$	26,695
Basic (loss)/earnings per common share										Basic (loss)/earnings per common share	$	(0.71)	$	0.40	$	(0.95)	$	1.16
Diluted (loss)/earnings per common share										Diluted (loss)/earnings per common share	$	(0.71)	$	0.38	$	(0.95)	$	1.10


	Three months ended September 30,				Nine months ended September 30,
($ in thousands)	2022		2021		2022		2021
Reconciliation of consolidated net (loss)/income attributable to common stockholders to consolidated operating income
Consolidated net (loss)/income attributable to common stockholders	$	(16,249)	$	9,313	$	(21,844)	$	26,695
Dividends on preferred stock	(1,053)		(1,949)		(4,927)		(5,848)
Discount on retirement of preferred stock	(5,735)		—		(8,194)		—
Consolidated net (loss)/income attributable to Company	(9,461)		11,262		(8,723)		32,543
Provision for income taxes	(2,367)		(102)		(2,339)		(203)
Consolidated net loss/(income) attributable to the non-controlling interest	42		578		(70)		47
(Loss)/income before provision for income taxes	(7,136)		10,786		(6,314)		32,699
Mark to market gain loss on loans and joint venture refinancing	—		—		(7,959)		—
Net decrease in the net present value of expected credit losses(1)	1,935		3,678		6,874		13,927
Fair value adjustment on put option liability	(2,917)		(2,493)		(9,712)		(6,638)
Acceleration of put option settlement	(8,813)		—		(12,344)		—
Other adjustments	(442)		168		(960)		(632)
Consolidated operating income	$	3,101	$	9,433	$	17,787	$	26,042
Basic operating income per common share	$	0.14	$	0.41	$	0.77	$	1.13
Diluted operating income per common share	$	0.14	$	0.38	$	0.77	$	1.08

(1)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 and nine months ended September 30, 2022 and 2021. It represents the net increase of the present value of the expected cash flows in excess of contractual cash flows offset by any incremental provision expense on the Mortgage loan pools and 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 pool or Beneficial interest has an associated allowance, the decrease in expected credit losses is recorded in the period in which the change occurs, otherwise it is recognized prospectively as an increase in yield.

Interest Income

Our primary source of income is accretion earned on our mortgage loan portfolio offset by the interest expense incurred to fund and hold portfolio acquisitions. ~~For~~ Our gross interest income excluding the impact of credit losses decreased $3.1 million to $20.0 million for the three months ended September 30, 2022 from $23.1 million for the three months ended September 30, 2021 primarily due to lower yields on our mortgage loan portfolio and ~~2020 net~~beneficial interests. Under CECL, we are required to recognize any increase in expected cash flows in the period in which the change in expectations occurs. During 2021, prepayments arising from increasing home prices and record low interest rates caused the acceleration of yield into the current periods versus recognizing those gains prospectively over the remaining life of the loans or beneficial interests. For the nine months ended September 30, 2022, our gross interest income ~~after recording~~decreased $6.0 million to $64.1 million from $70.1 million for the nine months ended September 30, 2021 with the decrease again primarily due to the impact from the application of ~~the net present value of decreases in expected credit losses increased to $18.1 million from $16.2 million, respectively, primarily as a result of a $3.1 million decrease in interest~~CECL.

Interest expense ~~as we have secured lower funding costs~~ for ~~our loan and debt security portfolios. Additionally, for the~~the three months ended September 30, ~~2021 and 2020, our net income included $3.7~~2022 increased $2.8 million ~~and $4.4~~to $11.4 million from ~~net decreases in the net present value of expected credit losses. Of the $3.7~~$8.6 million for the three months ended September 30, 2021 ~~$0.9 million relates~~due to an increase in the weighted average interest rate on our ~~mortgage loan portfolio~~debt as well as an increase in the average balances of debt outstanding driven primarily by increases in our repurchase financings and ~~$2.8 million to~~the issuance of our investments in beneficial interests. Comparatively, during the three months ended September 30, 2020, of the $4.4 million, $3.0 million relates to our mortgage loan portfolio and $1.4 million to our investments in beneficial interests.unsecured debt. For the nine months ended September 30, ~~2021 and 2020 net~~2022, our interest ~~income after recording the impact of the net decrease in the net present value of expected credit losses~~expense increased $1.5 million to ~~$56.3~~$29.2 million from $40.3 million, respectively, primarily as a result of a net $13.9 million impact of the net decrease in the net present value of expected credit losses for the nine months ended September 30, 2021 compared to a $4.6 million impact of the net decrease in the net present value of expected credit losses for the nine months ended September 30, 2020. Of the $13.9$27.7 million for the nine months ended September 30, 2021 ~~$9.1 million relates~~due to increases in both the effective interest rate on our ~~mortgage loan portfolio~~borrowings, and ~~$4.8 million to~~ our ~~investments in beneficial interests. Comparatively, of~~average borrowing balance outstanding.

For the ~~$4.6 million for the~~three and nine months ended September 30, ~~2020, $2.9~~2022, we recorded a $1.9 million ~~relates to~~and $6.9 million, respectively, decrease in the net present value of expected future credit losses. A decrease in the net present value of expected future credit losses is driven by higher than expected payments received on our mortgage loan ~~portfolio~~ and ~~$1.7 million relates to our investments in beneficial interests. To date,~~securities portfolios. Comparatively, for the ~~COVID-19 pandemic has not had a significant negative impact on our expected cash flows due to the continuing low rate environment~~three and ~~rising home prices.~~

Our gross interest income decreased by $0.4 million to $23.1 million in the quarter ended September 30, 2021 from $23.5 million in the quarter ended September 30, 2020 primarily due to a decrease in average yield. This was offset by a decrease in interest expense of $3.1 million to $8.6 million in the quarter ended September 30, 2021 from $11.7 million in the quarter ended September 30, 2020 primarily due to decreases in the average interest rates applicable to our borrowings. We expect our cost of funds to continue to remain low in the current interest rate and credit environment. Similarly, our gross interest income decreased by $3.5 million to $70.1 million in the nine months ended September 30, 2021, ~~from $73.6~~we recorded a $3.7 million ~~in the nine months ended September 30, 2020 primarily due to a~~and $13.9 million, respectively, decrease in

the ~~average yield. This was offset by~~net present value of expected future credit losses. We generally acquire loans at a ~~decrease~~discount and record an allowance for expected credit losses at acquisition. We update the allowance quarterly based on changing cash flow expectations in ~~interest expense~~accordance with CECL. Only one of $10.2 million to $27.7 million in the nine months ended September 30, 2021 from $37.9 million in the nine months ended September 30, 2020 similarly due to decreases in the average interest rates applicable to our ~~borrowings.~~CECL loan pools has an allowance recorded at acquisition remaining.

During the ~~third quarter of 2021,~~three months ended September 30, 2022, we collected ~~$82.8~~$57.8 million in cash payments and proceeds on our mortgage loans, securities and REO held-for-sale compared to ~~$56.4~~$82.8 million for the third quarter of 2020. These amounts exclude cash proceeds from the sale of debt securities. The increase in cash collections in 2021 is due to a higher volume of payoffs as borrowers continued to refinance or sell the underlying property.three months ended September 30, 2021.

The interest income detail for the three and nine months ended September 30, ~~2021~~2022 and ~~2020~~2021 are included in the table below ($ in thousands):

Table 2: Interest ~~income detail~~Income Detail


		Three months ended September 30,				Nine months ended September 30,					Three months ended September 30,				Nine months ended September 30,
		2021		2020(1,2)		2021		2020(1,2)			2022		2021		2022		2021
Accretable yield recognized on RPL, NPL and SBC loans	Accretable yield recognized on RPL, NPL and SBC loans	$	15,772	$	18,311	$	49,741	$	58,661	Accretable yield recognized on RPL, NPL and SBC loans	$	14,864	$	15,772	$	46,452	$	49,741
Interest income on debt securities										Interest income on debt securities	2,443		3,084		8,001		8,158
Accretable yield recognized on beneficial interests	Accretable yield recognized on beneficial interests	4,041		2,737		11,897		7,413		Accretable yield recognized on beneficial interests	2,170		4,041		8,781		11,897
Interest income on debt securities		3,084		2,356		8,158		7,285
Other interest income/(loss)		114		38		119		(54)
Other interest income										Other interest income	273		114		503		119
Bank interest income	Bank interest income	43		75		222		271		Bank interest income	271		43		396		222
Interest income	Interest income	$	23,054	$	23,517	$	70,137	$	73,576	Interest income	$	20,021	$	23,054	$	64,133	$	70,137
Net decrease in the present value of expected credit losses(3)		3,678		4,440		13,927		4,591
Net decrease in the net present value of expected credit losses(1)										Net decrease in the net present value of expected credit losses(1)	1,935		3,678		6,874		13,927
Interest income after the impact of changes in the net present value of expected credit losses	Interest income after the impact of changes in the net present value of expected credit losses	$	26,732	$	27,957	$	84,064	$	78,167	Interest income after the impact of changes in the net present value of expected credit losses	$	21,956	$	26,732	$	71,007	$	84,064

(1)Includes reclass of loan and beneficial interest credit losses from net decrease in the present value of expected credit losses to accretable yield recognized on RPL, NPL and SBC loans and accretable yield recognized on beneficial interests, respectively.

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

~~(3)~~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 and nine months ended September 30, ~~2021~~2022 and ~~September 30, 2020, respectively.~~2021. It represents the net increase of the present value of the expected cash flows in excess of contractual cash flows offset by any incremental provision expense on the Mortgage loan pools and 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 pool or Beneficial interest has an associated allowance, the decrease in expected credit losses is recorded in the period in which the change occurs, otherwise it is recognized prospectively as an increase in yield.

The ~~decrease in the accretable yield recognized on RPL, NPL and SBC loans is primarily driven by a decrease in the~~ average carrying balance of our mortgage loan portfolio ~~from payoffs and paydowns exceeding new~~increased for the three months ended September 30, 2022 versus the comparative period in 2021 primarily due to loan acquisitions and the refinancing of the loans from Ajax Mortgage Trust 2017-D (“2017-D”) into an off-balance sheet trust which issued debt securities and beneficial interests. Accordingly, the loans subject to the refinancing, net of the senior bond that was retired, are now reflected in the fourth quarter of 2021. The average carrying ~~value~~balances of ~~debt securities and the average carrying value of beneficial interests. The average balance of~~ our ~~mortgage loan portfolio,~~ debt securities, beneficial interests and debt outstanding decreased for the three months ended September 30, 2022 versus the comparative period in 2021 as paydowns and ~~2020~~sales outpaced acquisitions. The average carrying balances for our portfolio are included in the table below ($ in thousands):

Table 3: Average Balances

Three months ended September 30,
2021
2020(1)
Average mortgage loan portfolio $ 976,829 $ 1,097,046
Average carrying value of debt securities $ 387,247 $ 259,433
Average carrying value of beneficial interests $ 133,567 $ 71,576
Total average asset level debt $ 1,044,125 $ 1,038,406

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


	Three months ended September 30,
	2022		2021
Average mortgage loan portfolio	$	1,014,320	$	976,829
Average carrying value of debt securities	$	310,313	$	387,247
Average carrying value of beneficial interests	$	125,536	$	133,567
Total average asset backed debt	$	987,394	$	1,044,125

~~Other~~ Loss/Income from Equity Method Investments

~~Other income increased~~For both the three and nine months ended September 30, 2022, we recorded losses from our investments in affiliates of $0.5 million and $0.9 million, respectively. Comparatively, for the three and nine months ended September 30, 2021, ~~over~~we recorded income from our investments in affiliates of $0.1 million and $0.6 million, respectively. The change is partially due to the ~~comparable~~flow-through impact of the mark to market adjustment on shares of our stock held by our Manager and our Servicer. We account for our investments in our Manager and our Servicer using the equity method of accounting.

During the three months ended March 31, 2022, we invested an additional $6.1 million in Gaea to increase our total investment to $25.5 million, or 22.2% of total shares outstanding. In addition to common stock, we received 371,103 warrants to purchase additional shares at $16.41 per share for a two year period ~~in 2020. The increase~~ following the date that the common stock commences trading on a trading market.

Other Income/Loss

Other income decreased for the three months ended isSeptember 30, 2022 by $0.4 million from the comparable period in 2021, primarily due to ~~higher gain~~a $0.9 million loss on ~~sale for property held-for-sale and gain on sale~~the disposition of debt securities, ~~partially~~ offset by ~~lower income from the federal government's Home Affordable Modification Program ("HAMP") as more loans reached the five-year threshold and no additional fees are earned. Other income increased for~~$0.5 million of late fee income. For the nine months ended September 30, ~~2021 primarily~~2022, Other income decreased $8.3 million from the nine month period in 2021. The decrease in Other income was driven by $4.0 million other than temporary impairment on the partial redemption of our beneficial interests in Ajax Mortgage Loan Trusts 2018-D and 2018-G ("2018-D and -G") during the first quarter of 2022 which became a realized loss when the transaction closed in April 2022. The 2018-D and -G trusts were re-securitized in the second quarter of 2022 and the underlying mortgage loans were used to form Ajax Mortgage Loan Trust 2022-A ("2022-A"). We also had a $2.1 million loss on the partial redemption of our beneficial interests in Ajax Mortgage Loan Trust 2019-A and 2019-B ("2019-A and -B") during the second quarter of 2022. The 2019-A and -B trusts were also re-securitized in the second quarter of 2022 and the underlying mortgage loans were used to form Ajax Mortgage Loan Trust 2022-B ("2022-B"). Although we continue to own approximately the same interest in the underlying mortgage loans and related cash flows, we account for our beneficial interests as legal securities and recorded a loss on the transaction as a ~~result~~result. The beneficial interests were exchanged for a combination of the beneficial interest in 2022-A and -B, respectively, and cash received from the sale of the underlying loans to 2022-A and -B, respectively. Also, during the nine months ended September 30, 2022, we recognized a lower of cost or market adjustment on our mortgage loan portfolio of $1.8 million due to duration extension of a ~~Loss on sale~~portion of ~~mortgage loans~~our loan portfolio as previously delinquent borrowers have become more consistent payers. This was partially offset by an increase in ~~2020, increases~~the first quarter in late fee ~~income and a gain on~~

~~the sale of securities compared with the comparable period in 2020.~~income. A breakdown of Other income is provided in the table below ($ in thousands):

Table 4: Other ~~Income~~Income/(Loss)


		Three months ended September 30,				Nine months ended September 30,					Three months ended September 30,				Nine months ended September 30,
		2021		2020		2021		2020			2022		2021		2022		2021
Net gain on sale of property held-for-sale	Net gain on sale of property held-for-sale	$	375	$	150	$	572	$	957	Net gain on sale of property held-for-sale	$	757	$	375	$	759	$	572
Gain on sale of securities		201		145		201		145
Late fee income	Late fee income	182		177		608		525		Late fee income	511		182		1,437		608
Rental income										Rental income	3		5		10		31
HAMP fees	HAMP fees	26		59		105		311		HAMP fees	1		26		12		105
Rental income		5		6		31		26
Loss on sale of mortgage loans		—		—		—		(705)
Other (loss)/income		(11)		—		103		—
Total Other income		$	778	$	537	$	1,620	$	1,259
Lower of cost or market adjustment on mortgage loans										Lower of cost or market adjustment on mortgage loans	—		—		(1,844)		—
Loss on refinancing of beneficial interests										Loss on refinancing of beneficial interests	—		—		(6,115)		—
Other (loss)/gain										Other (loss)/gain	(26)		(11)		(47)		103
(Loss)/gain on sale of securities										(Loss)/gain on sale of securities	(860)		201		(939)		201
Total Other income/(loss)										Total Other income/(loss)	$	386	$	778	$	(6,727)	$	1,620

Expenses

Total expenses increased for the three and nine months ended September 30, ~~2021~~2022 over the comparable periods in ~~2020~~2021 as a result of our put option ~~amortization~~ expense on our outstanding common stock warrants and an increase in loan servicing fees as NPLs increased as a percentage of the ~~Other expense category by an increase from a stock grant to members of our Board during the second quarter of 2021.~~total portfolio. These were partially offset by lower ~~Professional~~management fees during the three and nine months ended September 30, 2022 due to a ~~recovery of impairments on three REO properties within the Real estate operating expenses line.~~reduction in stockholders' equity. A breakdown of expenses is provided in the table below ($ in thousands):

Table 5: Expenses


		Three months ended September 30,				Nine months ended September 30,					Three months ended September 30,				Nine months ended September 30,
		2021		2020		2021		2020			2022		2021		2022		2021
Fair value adjustment on put option liability	Fair value adjustment on put option liability	$	2,493	$	1,766	$	6,638	$	3,016	Fair value adjustment on put option liability	$	2,917	$	2,493	$	9,712	$	6,638
Related party expense – loan servicing fees										Related party expense – loan servicing fees	1,952		1,743		6,049		5,275
Related party expense – management fee	Related party expense – management fee	2,292		2,264		6,835		6,206		Related party expense – management fee	1,948		2,292		6,604		6,835
Related party expense – loan servicing fees		1,743		1,848		5,275		5,798
Other expense	Other expense	1,227		986		3,906		3,048		Other expense	1,377		1,227		4,299		3,906
Professional fees	Professional fees	526		576		1,929		2,113		Professional fees	667		526		1,431		1,929
Real estate operating expenses	Real estate operating expenses	(76)		173		197		1,273		Real estate operating expenses	(16)		(76)		136		197
Total expenses		$	8,205	$	7,613	$	24,780	$	21,454
Total expense										Total expense	$	8,845	$	8,205	$	28,231	$	24,780

Other Expense

Other expense increased for the three and nine months ended September 30, ~~2021~~2022 over the comparable periods in ~~2020~~2021 primarily due to ~~higher Insurance expense, Employee~~an increase in employee and service provider grants and ~~Directors' fees~~travel, meals and ~~grants,~~entertainment, partially offset by ~~cost recoveries from joint venture partners within Loan transaction expense, and~~ lower ~~Borrowing related expenses and Taxes and regulatory expense.~~non due diligence lien release. A breakdown of Other expense is provided in the table below ($ in thousands):

Table 6: Other Expense


		Three months ended September 30,				Nine months ended September 30,					Three months ended September 30,				Nine months ended September 30,
		2021		2020		2021		2020			2022		2021		2022		2021
Employee and service provider share grants										Employee and service provider share grants	$	328	$	230	$	821	$	644
Borrowing related expenses										Borrowing related expenses	237		138		519		471
Directors' fees and grants										Directors' fees and grants	200		165		580		585
Insurance	Insurance	$	253	$	238	$	711	$	606	Insurance	175		253		679		711
Employee and service provider share grants		230		187		644		535
Directors' fees and grants		165		104		585		322
Software licenses and amortization										Software licenses and amortization	118		86		343		261
Other expense	Other expense	159		72		376		230		Other expense	91		159		247		376
Borrowing related expenses		138		227		471		615
Taxes and regulatory expense	Taxes and regulatory expense	105		198		349		395		Taxes and regulatory expense	89		105		546		349
Software licenses and amortization		86		90		261		224
Travel, meals, entertainment										Travel, meals, entertainment	74		15		339		113
Internal audit services										Internal audit services	39		46		159		123
Loan transaction expense										Loan transaction expense	26		(34)		73		106
Lien release non due diligence	Lien release non due diligence	64		13		167		104		Lien release non due diligence	—		64		(7)		167
Internal audit services		46		35		123		107
Travel, meals, entertainment		15		—		113		126
Loan transaction expense		(34)		(178)		106		(216)
Total Other expense	Total Other expense	$	1,227	$	986	$	3,906	$	3,048	Total Other expense	$	1,377	$	1,227	$	4,299	$	3,906

Acceleration of Put Option Settlement

During the three and nine months ended September 30, 2022, we repurchased and retired 3,299,328 and 4,549,328 warrants, respectively, for our common stock in a series of repurchase transactions. The warrants were repurchased for an aggregate of $25.8 million and $35.0 million, respectively, at a price equal to the expected future put value obligation of $20.00 per warrant. The repurchase of the warrants accelerated future accretion expense on the warrant's put option of $8.8 million and $12.3 million, respectively. The repurchase is expected to reduce future put option expense by $8.0 million annually. There was no repurchase of warrants in either the three or nine month periods ended September 30, 2021.

Loss on Debt Extinguishment

During the three and nine months ended September 30, 2022, we had no acceleration of deferred issuance costs from refinancing activities. Comparatively, for the three months ended September 30, 2021 we had no acceleration of deferred issuance costs for refinancing activities; however, for the nine months ended September 30, 2021, we recorded $1.1 million related to the acceleration of deferred issuance costs for calling and re-securitizing our secured borrowings at a lower cost of funds.

Discount on Retirement of Preferred Stock

During the three and nine months ended September 30, 2022, we repurchased and retired 1,113,932 and 1,882,451 shares, respectively, of our series A preferred stock and 1,525,529 and 1,757,010 shares, respectively, of our series B preferred stock in a series of repurchase transactions. The series A and series B preferred stock was repurchased for an aggregate of $64.2 million and $88.7 million, respectively, at an average price of $24.32 and $24.37 per share, respectively, representing discounts of approximately 2.7% and 2.5%, respectively, to the face value of $25.00 per share. The repurchase of the preferred stock caused the recognition of $5.7 million and $8.2 million, respectively, of preferred stock discount during the three and nine months ended September 30, 2022. The repurchase is expected to save us approximately $3.9 million annually in preferred dividends. There was no repurchase of preferred stock in either the three or nine months ended September 30, 2021.

Equity and Net Book Value per Share

Our net book value per common share was ~~$16.00~~$13.75 and ~~$15.59~~$15.92 at September 30, ~~2021~~2022 and December 31, ~~2020,~~2021, respectively. The ~~increase~~decrease in book value was primarily ~~driven~~due to the effect of mark to market adjustments of $23.4 million on our investments in debt securities, dividends on our common stock of $18.2 million and the year-to-date net loss attributable to common stockholders of $21.8 million, partially offset by ~~our buyout of our joint venture partner's interest in 2018-C in the first quarter,~~ the repurchase of ~~$7.5 million~~475,355 shares of our common stock at an average price of $9.77 per share and the removal of our convertible senior notes ~~and an increase in common equity resulting~~ from ~~net fair value adjustments of $3.0 million~~the calculation due to their antidilutive effect on our ~~portfolio of debt securities recorded to Other comprehensive income since December 31, 2020. While U.S. GAAP does not specifically define the parameters for calculating book value, we~~earnings per share. We believe our calculation is representative of our book value on a per share basis, and our Manager believes book value per share is a valuable metric for evaluating our business. The net book value per share is calculated by ~~dividing~~taking equity ~~after adjusting~~at the balance sheet date (i) less preferred stock and non-controlling interest, (ii) adjusted for ~~the anticipated conversion of the senior convertible notes into shares of common stock, the subtraction of non-controlling interests and preferred shares classified in equity, and shares~~any addition for ~~Manager and director fees that were approved but still unissued as of the date indicated, unvested employee and service provider stock grants and the common shares from assumed~~potential conversion of our 2024 Notes, divided by outstanding shares at the balance sheet date adjusted to include (i) unvested restricted stock earned but unissued and (ii) any share equivalents for our convertible senior ~~convertible notes.~~notes or our put option liability as determined by the dilution requirements for our EPS calculation. A breakdown of our book value per share is set forth in the table below ($ in thousands except per share amounts):

Table 7: Book Value per Common Share


		September 30, 2021		December 31, 2020			September 30, 2022		December 31, 2021
Outstanding shares	Outstanding shares	23,140,131		22,978,339		Outstanding shares	22,883,634		23,146,775
Adjustments for:	Adjustments for:					Adjustments for:
Unvested grants of restricted stock, and Manager and director shares earned but not issued as of the date indicated		3,580		4,280
Unvested grants of restricted stock and shares earned but not issued as of the date indicated						Unvested grants of restricted stock and shares earned but not issued as of the date indicated	8,440		3,470
Conversion of convertible senior notes into shares of common stock(1)	Conversion of convertible senior notes into shares of common stock(1)	7,315,929		7,834,299		Conversion of convertible senior notes into shares of common stock(1)	—		7,228,910
Settlement of put option in shares~~(1)~~(2)	Settlement of put option in shares~~(1)~~(2)	—		—		Settlement of put option in shares~~(1)~~(2)	—		—
Total adjusted shares outstanding	Total adjusted shares outstanding	30,459,640		30,816,918		Total adjusted shares outstanding	22,892,074		30,379,155

Equity at period end	Equity at period end	$	503,105	$	514,491	Equity at period end	$	351,496	$	500,473
Net increase in equity from expected conversion of convertible senior notes(1)	Net increase in equity from expected conversion of convertible senior notes(1)	102,762		110,250		Net increase in equity from expected conversion of convertible senior notes(1)	—		101,511
Adjustment for equity due to preferred shares	Adjustment for equity due to preferred shares	(115,144)		(115,144)		Adjustment for equity due to preferred shares	(34,554)		(115,144)
Net adjustment for equity due to non-controlling interests	Net adjustment for equity due to non-controlling interests	(3,281)		(29,130)		Net adjustment for equity due to non-controlling interests	(2,174)		(3,178)
Adjusted equity	Adjusted equity	$	487,442	$	480,467	Adjusted equity	$	314,768	$	483,662
Book value per share	Book value per share	$	16.00	$	15.59	Book value per share	$	13.75	$	15.92

(1)The conversion of convertible senior notes was removed as of September 30, 2022 due to it having an anti-dilutive effect on our earnings per share calculation.

(2)The settlement of the put option in shares ~~are~~is not included in the book value calculation as of September 30, 2022 or December 31, 2021 as it has an anti-dilutive effect on our earnings per share calculation.

Mortgage Loan Portfolio

For the three and nine months ended September 30, 2022, we purchased $8.2 million and $9.4 million of RPLs with UPB of $9.1 million and $10.3 million, respectively, at 42.3% and 44.2% of property value, respectively, and 90.4% and 90.6% of UPB, respectively. Comparatively, for the three and nine months ended September 30, 2021, we purchased $0.5 million and $36.8 million of RPLs with UPB of $0.5 million and $41.7 million, respectively, at 61.7% and 57.7% of ~~the underlying~~ property value, respectively, and 89.6% and 88.3% of UPB, respectively. ~~Comparatively, for~~For the three and nine months ended September 30, ~~2020~~2022, we purchased ~~$41.2~~$0.3 million and ~~$42.4~~$1.3 million of ~~RPLs~~NPLs with UPB of ~~$46.3~~$0.4 million and ~~$48.2~~$1.5 million, respectively, at ~~63.0%~~52.4% and ~~61.9%~~54.0% of ~~the underlying~~ property value, respectively, and 69.2% and 87.5% of UPB, respectively. ~~For~~Comparatively, for the three and nine months ended September 30, 2021, we purchased $87.5 million and $88.0 million of NPLs with UPB of $90.9 million and $91.5 million, respectively, at 64.0% and 63.9% of ~~the underlying~~ property ~~value. Comparatively, for~~value, respectively, and 96.3% and 96.1% of UPB, respectively. For both the three and nine months ended September 30, ~~2020~~2022, we purchased ~~$0.5 million and $0.7 million of NPLs with UPB of $0.5 million and $0.7 million, respectively, at 72.0% and 69.2% of the underlying property value, respectively. For~~no SBC loans. Comparatively, for the three months ended September 30, 2021, we purchased no SBC ~~loans;~~loans, however, for the nine months ended September 30, 2021, we purchased $3.6 million of SBC loans with UPB of $3.6 million at 36.5% of ~~the underlying~~ property ~~value. Comparatively, for both the three~~value and ~~nine months ended September 30, 2020, we purchased $1.8 million~~99.8% of ~~SBC loans with UPB of $1.9 million at 47.1% of the underlying property value.~~UPB. We ended the period with $1.0 billion of net mortgage loans with an aggregate UPB of $1.0 billion as of September 30, 2022 and $1.0 billion of net mortgage loans with an aggregate UPB of $1.1 billion as of September 30, ~~2021 and $1.1 billion of net mortgage loans with an aggregate UPB of $1.2 billion as of September 30, 2020.~~2021.

The following table shows loan portfolio acquisitions for the three and nine months ended September 30, ~~2021,~~2022, and ~~2020~~2021 ($ in thousands):

Table 8: Loan Portfolio Acquisitions


		Three months ended September 30,						Nine months ended September 30,							Three months ended September 30,						Nine months ended September 30,
		2021			2020			2021			2020				2022			2021			2022			2021
RPLs	RPLs													RPLs
Count	Count	4			244			241			270			Count	34			4			40			241
UPB	UPB	$	530		$	46,291		$	41,718		$	48,243		UPB	$	9,119		$	530		$	10,327		$	41,718
Purchase price	Purchase price	$	475		$	41,170		$	36,835		$	42,375		Purchase price	$	8,246		$	475		$	9,357		$	36,835
Purchase price % of UPB	Purchase price % of UPB	89.6		%	88.9		%	88.3		%	87.8		%	Purchase price % of UPB	90.4		%	89.6		%	90.6		%	88.3		%
NPLs	NPLs													NPLs
Count	Count	364			1			367			2			Count	3			364			8			367
UPB	UPB	$	90,862		$	520		$	91,527		$	747		UPB	$	390		$	90,862		$	1,524		$	91,527
Purchase price	Purchase price	$	87,537		$	468		$	87,984		$	653		Purchase price	$	270		$	87,537		$	1,333		$	87,984
Purchase price % of UPB	Purchase price % of UPB	96.3		%	90.0		%	96.1		%	87.4		%	Purchase price % of UPB	69.2		%	96.3		%	87.5		%	96.1		%
SBC loans	SBC loans													SBC loans
Count	Count	—			2			1			2			Count	—			—			—			1
UPB	UPB	$	—		$	1,859		$	3,611		$	1,859		UPB	$	—		$	—		$	—		$	3,611
Purchase price	Purchase price	$	—		$	1,818		$	3,603		$	1,818		Purchase price	$	—		$	—		$	—		$	3,603
Purchase price % of UPB	Purchase price % of UPB	—		%	97.8		%	99.8		%	97.8		%	Purchase price % of UPB	—		%	—		%	—		%	99.8		%

During the three and nine months ended September 30, 2022, 146 and 567 mortgage loans, respectively, representing 2.3% and 10.8% of our ending UPB, respectively, were liquidated. Comparatively, during the three and nine months ended September 30, 2021, 183 and 1,292 mortgage loans, respectively, representing 3.7% and 23.1% of our ending UPB, respectively, were liquidated. ~~Comparatively, during the three and nine months ended September 30, 2020, 119 and 382 mortgage loans, respectively, representing 2.0% and 8.3%, respectively, of our ending UPB, were liquidated.~~ Our loan portfolio activity for the three and nine months ended September 30, ~~2021~~2022 and ~~2020~~2021 is presented below ($ in thousands):

Table 9: Loan Portfolio Activity


		Three months ended September 30,									Three months ended September 30,
		2021				2020					2022				2021
		Mortgage loans held-for-investment, net		Mortgage loans held-for-sale, net		Mortgage loans held-for-investment, net		Mortgage loans held-for-sale, net			Mortgage loans held-for-investment, net		Mortgage loans held-for-sale, net		Mortgage loans held-for-investment, net		Mortgage loans held-for-sale, net
Beginning carrying value	Beginning carrying value	$	955,628	$	—	$	1,080,617	$	—	Beginning carrying value	$	1,023,614	$	—	$	955,628	$	—
RPL, NPL and SBC portfolio acquisitions, net cost basis		88,012		—		43,455		—
Mortgage loans acquired										Mortgage loans acquired	8,516		—		88,012		—
Draws on SBC loans	Draws on SBC loans	3,022		—		—		—		Draws on SBC loans	—		—		3,022		—
Accretion recognized	Accretion recognized	15,772		—		18,311		—		Accretion recognized	14,864		—		15,772		—
Payments received on loans, net	Payments received on loans, net	(54,292)		—		(42,424)		—		Payments received on loans, net	(41,528)		—		(54,292)		—
Net reclassifications to mortgage loans held-for-sale, net		(30,963)		30,963		—		—
Net reclassifications (to)/from mortgage loans held-for-sale, net										Net reclassifications (to)/from mortgage loans held-for-sale, net	—		—		(30,963)		30,963
Reclassifications to REO	Reclassifications to REO	(1,739)		—		(603)		—		Reclassifications to REO	(1,099)		—		(1,739)		—
Decrease in net present value of expected credit losses on mortgage loans	Decrease in net present value of expected credit losses on mortgage loans	908		—		2,996		—		Decrease in net present value of expected credit losses on mortgage loans	1,935		—		908		—
Other	Other	3		—		8		—		Other	84		—		3		—
Ending carrying value	Ending carrying value	$	976,351	$	30,963	$	1,102,360	$	—	Ending carrying value	$	1,006,386	$	—	$	976,351	$	30,963


	Nine months ended September 30,
	2022				2021
	Mortgage loans held-for-investment, net		Mortgage loans held-for-sale, net		Mortgage loans held-for-investment, net		Mortgage loans held-for-sale, net
Beginning carrying value	$	1,080,434	$	29,572	$	1,119,372	$	—
Mortgage loans acquired	10,690		—		128,422		—
Draws on SBC loans	—		—		10,366		—
Accretion recognized	46,451		—		49,741		—
Payments received on loans, net	(162,622)		—		(180,443)		—
Net reclassifications from/(to) mortgage loans held-for-sale, net	29,572		(29,572)		(159,733)		159,733
Reclassifications to REO	(3,332)		—		(3,013)		—
Sale of mortgage loans	—		—		—		(128,770)
Decrease in net present value of expected credit losses on mortgage loans and lower of cost or market adjustment	5,124		—		9,148		—
Other	69		—		2,491		—
Ending carrying value	$	1,006,386	$	—	$	976,351	$	30,963

6769

Nine months ended September 30,
2021 2020
Mortgage loans held-for-investment, net Mortgage loans held-for-sale, net Mortgage loans held-for-investment, net Mortgage loans held-for-sale, net
Beginning carrying value $ 1,119,372 $ — $ 1,151,469 $ —
RPL, NPL and SBC portfolio acquisitions, net cost basis 128,422 — 44,846 —
Draws on SBC loans 10,366 — — —
Accretion recognized 49,741 — 58,661 —
Payments received on loans, net (180,443) — (127,935) —
Net reclassifications to mortgage loans held-for-sale, net (159,733) 159,733 — —
Reclassifications to REO (3,013) — (1,515) —
Sale of mortgage loans — — (26,111) —
Refinancing of 2017-D — (128,770) — —
Decrease in net present value of expected credit losses on mortgage loans 9,148 — 2,902 —
Other 2,491 — 43 —
Ending carrying value $ 976,351 $ 30,963 $ 1,102,360 $ —

Table 10: Portfolio Composition

As of September 30, ~~2021~~2022 and December 31, ~~2020,~~2021, our portfolios consisted of the following ($ in thousands):

September 30, 2021
December 31, 2020(1,2)
No. of Loans 5,353 No. of Loans 6,031
Total UPB(3)
$ 1,071,034
Total UPB(3)
$ 1,204,804
Interest-Bearing Balance $ 985,282 Interest-Bearing Balance $ 1,127,499
Deferred Balance(4)
$ 85,752
Deferred Balance(4)
$ 77,305
Market Value of Collateral(5)
$ 1,925,879
Market Value of Collateral(5)
$ 1,967,419
Original Purchase Price/Total UPB 82.7 % Original Purchase Price/Total UPB 82.2 %
Original Purchase Price/Market Value of Collateral 49.2 % Original Purchase Price/Market Value of Collateral 53.7 %
Weighted Average Coupon 4.31 % Weighted Average Coupon 4.44 %
Weighted Average LTV(6)
66.6 %
Weighted Average LTV(6)
72.8 %
Weighted Average Remaining Term (months) 296 Weighted Average Remaining Term (months) 297
No. of first liens 5,293 No. of first liens 5,973
No. of second liens 60 No. of second liens 58
No. of Rental Properties — No. of Rental Properties 6
Capital Invested in Rental Properties $ — Capital Invested in Rental Properties $ 710
RPLs 85.9 % RPLs 94.4 %
NPLs 11.7 % NPLs 3.5 %
SBC loans 2.4 % SBC loans 2.1 %
No. of REO properties held-for-sale 31 No. of REO properties held-for-sale 32
Market Value of Other REO(7)
$ 6,971
Market Value of Other REO(7)
$ 8,105
Carrying value of debt securities and beneficial interests in trusts $ 476,158 Carrying value of debt securities and beneficial interests in trusts $ 369,330

September 30, 2021
December 31, 2020(1,2)
Loans with 12 for 12 payments as an approximate percentage of UPB (8)
76.6 %
Loans with 12 for 12 payments as an approximate percentage of UPB (8)
71.9 %
Loans with 24 for 24 payments as an approximate percentage of UPB (9)
68.8 %
Loans with 24 for 24 payments as an approximate percentage of UPB (9)
65.1 %


September 30, 2022				December 31, 2021
No. of Loans	5,426			No. of Loans	5,941
Total UPB(1)	$	1,047,692		Total UPB(1)	$	1,165,841
Interest-Bearing Balance	$	957,443		Interest-Bearing Balance	$	1,069,407
Deferred Balance(2)	$	90,249		Deferred Balance(2)	$	96,434
Market Value of Collateral(3)	$	2,232,297		Market Value of Collateral(3)	$	2,193,143
Current Purchase Price/Total UPB	81.7		%	Current Purchase Price/Total UPB	82.0		%
Current Purchase Price/Market Value of Collateral	42.0		%	Current Purchase Price/Market Value of Collateral	47.1		%
Weighted Average Coupon	4.35		%	Weighted Average Coupon	4.33		%
Weighted Average LTV(4)	56.4		%	Weighted Average LTV(4)	63.7		%
Weighted Average Remaining Term (months)	295			Weighted Average Remaining Term (months)	295
No. of first liens	5,375			No. of first liens	5,883
No. of second liens	51			No. of second liens	58
RPLs	88.2		%	RPLs	87.5		%
NPLs	10.6		%	NPLs	10.8		%
SBC loans	1.2		%	SBC loans	1.7		%
No. of REO properties held-for-sale	37			No. of REO properties held-for-sale	31
Market Value of REO(5)	$	6,902		Market Value of REO(5)	$	6,611
Carrying value of debt securities and beneficial interests in trusts	$	407,901		Carrying value of debt securities and beneficial interests in trusts	$	494,361
Loans with 12 for 12 payments as an approximate percentage of acquisition UPB (6)	79.6		%	Loans with 12 for 12 payments as an approximate percentage of acquisition UPB (6)	72.3		%
Loans with 24 for 24 payments as an approximate percentage of acquisition UPB (7)	69.3		%	Loans with 24 for 24 payments as an approximate percentage of acquisition UPB (7)	63.9		%

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

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

~~(3)~~At September 30, ~~2021~~2022 and December 31, ~~2020,~~2021, our loan portfolio consists of fixed rate ~~(60.1%~~(61.7% of UPB), ARM (6.9% of UPB) and Hybrid ARM (31.4% of UPB); and fixed rate (60.6% of UPB), ARM (7.5% of UPB) and Hybrid ARM ~~(32.4% of UPB); and fixed rate (53.5% of UPB), ARM (8.9% of UPB) and Hybrid ARM (37.6%~~(31.9% of UPB), respectively.

~~(4)~~(2)Amounts that have been deferred in connection with a loan modification on which interest does not accrue. These amounts generally become payable at the time of maturity.

~~(5)~~(3)As of the reporting date.

~~(6)~~(4)UPB as of September 30, ~~2021~~2022 and December 31, ~~2020,~~2021, divided by market value of collateral and weighted by the UPB of the loan.

~~(7)~~(5)Market value of REO is based on net realizable value. Fair market value is determined based on appraisals, ~~BPOs,~~broker price opinions ("BPOs"), or other market indicators of fair value including list price or contract price.

~~(8)~~(6)Loans that have made at least 12 of the last 12 payments, or for which the full dollar amount to cover at least 12 payments has been made in the last 12 months.

~~(9)~~(7)Loans that have made at least 24 of the last 24 payments, or for which the full dollar amount to cover at least 24 payments has been made in the last 24 months.

Table 11: Portfolio Characteristics

The following tables present certain characteristics about our mortgage loans by year of origination as of September 30, ~~2021~~2022 and December 31, ~~2020,~~2021, respectively ($ in thousands):

Portfolio at September 30, ~~2021~~2022

Years of Origination
Mortgage loans held-for-investment, net After 2008 2006 – 2008 2005 and prior
Number of loans 578 2,937 1,657
UPB $ 142,834 $ 660,411 $ 234,442
Mortgage loan portfolio by year of origination 13.8 % 63.6 % 22.6 %
Loan Attributes:
Weighted average loan age (months) 96.0 175.7 215.1
Weighted average loan-to-value 63.1 % 70.3 % 56.6 %
Delinquency Performance:
Current 66.1 % 64.0 % 62.6 %
30 days delinquent 5.6 % 5.2 % 5.8 %
60 days delinquent 2.1 % 3.9 % 4.5 %
90+ days delinquent 19.9 % 20.2 % 20.5 %
Foreclosure 6.3 % 6.7 % 6.6 %


		Years of Origination										Years of Origination
Mortgage loans held-for-sale, net		After 2008			2006 – 2008			2005 and prior
Mortgage loans held-for-investment, net											Mortgage loans held-for-investment, net	After 2008			2006 – 2008			2005 and prior
Number of loans	Number of loans	27			83			71			Number of loans	606			3,047			1,773
UPB	UPB	$	5,121		$	17,918		$	10,308		UPB	$	132,309		$	673,169		$	242,214
Mortgage loan portfolio by year of origination		15.4		%	53.7		%	30.9		%
Percent of mortgage loan portfolio by year of origination											Percent of mortgage loan portfolio by year of origination	12.6		%	64.3		%	23.1		%
Loan Attributes:	Loan Attributes:										Loan Attributes:
Weighted average loan age (months)	Weighted average loan age (months)	118.5			175.8			213.9			Weighted average loan age (months)	117.1			187.9			227.2
Weighted average loan-to-value	Weighted average loan-to-value	64.3		%	85.5		%	76.6		%	Weighted average loan-to-value	55.1		%	59.6		%	48.3		%
Delinquency Performance:	Delinquency Performance:										Delinquency Performance:
Current	Current	47.3		%	52.0		%	62.6		%	Current	57.8		%	59.8		%	58.2		%
30 days delinquent	30 days delinquent	—		%	7.8		%	6.1		%	30 days delinquent	0.9		%	0.4		%	0.9		%
60 days delinquent	60 days delinquent	7.9		%	3.8		%	3.3		%	60 days delinquent	5.5		%	8.7		%	9.5		%
90+ days delinquent	90+ days delinquent	44.8		%	29.2		%	24.1		%	90+ days delinquent	29.7		%	25.9		%	27.5		%
Foreclosure	Foreclosure	—		%	7.2		%	3.9		%	Foreclosure	6.1		%	5.2		%	3.9		%

Portfolio at December 31, ~~2020~~2021


		Years of Origination										Years of Origination
Mortgage loans held-for-investment, net	Mortgage loans held-for-investment, net	After 2008			2006 – 2008			2005 and prior			Mortgage loans held-for-investment, net	After 2008			2006 – 2008			2005 and prior
Number of loans	Number of loans	639			3,471			1,921			Number of loans	638			3,258			1,868
UPB	UPB	$	156,250		$	780,956		$	267,598		UPB	$	144,418		$	727,856		$	261,101
Mortgage loan portfolio by year of origination		13.0		%	64.8		%	22.2		%
Percent of mortgage loan portfolio by year of origination											Percent of mortgage loan portfolio by year of origination	12.7		%	64.2		%	23.1		%
Loan Attributes:	Loan Attributes:										Loan Attributes:
Weighted average loan age (months)	Weighted average loan age (months)	91.0			166.7			205.8			Weighted average loan age (months)	105.0			178.8			217.9
Weighted average loan-to-value	Weighted average loan-to-value	69.4		%	77.0		%	62.6		%	Weighted average loan-to-value	60.6		%	67.1		%	54.2		%
Delinquency Performance:	Delinquency Performance:										Delinquency Performance:
Current	Current	53.0		%	51.9		%	53.3		%	Current	55.4		%	55.3		%	52.6		%
30 days delinquent	30 days delinquent	13.6		%	11.4		%	10.9		%	30 days delinquent	7.4		%	9.6		%	9.2		%
60 days delinquent	60 days delinquent	3.8		%	6.7		%	6.8		%	60 days delinquent	4.5		%	5.1		%	7.0		%
90+ days delinquent	90+ days delinquent	25.3		%	25.1		%	25.4		%	90+ days delinquent	27.2		%	23.7		%	27.1		%
Foreclosure	Foreclosure	4.3		%	4.9		%	3.6		%	Foreclosure	5.5		%	6.3		%	4.1		%


	Years of Origination
Mortgage loans held-for-sale, net	After 2008			2006 – 2008			2005 and prior
Number of loans	25			82			70
UPB	$	4,791		$	17,464		$	10,211
Percent of mortgage loan portfolio by year of origination	14.8		%	53.8		%	31.4		%
Loan Attributes:
Weighted average loan age (months)	125.5			178.3			217.2
Weighted average loan-to-value	64.2		%	83.6		%	74.5		%
Delinquency Performance:
Current	45.0		%	44.0		%	48.8		%
30 days delinquent	5.5		%	15.7		%	12.0		%
60 days delinquent	3.6		%	8.4		%	9.4		%
90+ days delinquent	45.9		%	24.0		%	23.2		%
Foreclosure	—		%	7.9		%	6.6		%

Table 12: Loans by State

The following table identifies our mortgage loans by state, number of loans, loan value, collateral value and percentages thereof at September 30, ~~2021~~2022 and December 31, ~~2020~~2021 ($ in thousands):


September 30, 2021											December 31, 2020
September 30, 2022																			September 30, 2022																		December 31, 2021
State	State	Count	UPB		% UPB		Collateral Value(1)		% of Collateral Value		State	Count	UPB		% UPB		Collateral Value(1)			% of Collateral Value		State		Count		UPB				% UPB		Collateral Value(1)				% of Collateral Value		State		Count		UPB				% UPB		Collateral Value(1)				% of Collateral Value
CA	CA	737	$	246,860	23.0	%	$	505,390	26.2	%	CA	947	$	329,725	27.4	%	$	589,225		30.0	%	CA		710		$	230,799			22.0	%	$	543,515			24.3	%	CA		774		$	254,732			21.8	%	$	542,547			24.7	%
FL	FL	919	179,712		16.8	%	301,986		15.7	%	FL	655	108,293		9.0	%	174,849			8.9	%	FL		880		177,390				16.9	%	378,894				17.0	%	FL		998		197,755				17.0	%	350,213				16.0	%
NY	NY	319	99,916		9.3	%	174,212		9.0	%	NY	329	103,475		8.6	%	177,524			9.0	%	NY		360		109,495				10.5	%	219,611				9.8	%	NY		370		115,297				10.0	%	209,610				9.6	%
NJ	NJ	284	65,676		6.1	%	96,021		5.0	%	NJ	287	65,764		5.5	%	89,389			4.5	%	NJ		293		65,843				6.3	%	113,164				5.1	%	NJ		311		72,179				6.3	%	109,171				5.0	%
MD	MD	205	49,973		4.7	%	72,220		3.7	%	MD	248	60,082		5.0	%	77,693			4.0	%	MD		214		50,850				4.9	%	84,985				3.8	%	MD		240		57,412				4.9	%	88,757				4.0	%
VA	VA	165	36,020		3.4	%	58,407		3.0	%	GA	352	45,817		3.8	%	71,586			3.7	%	VA		176		37,575				3.6	%	67,512				3.0	%	VA		186		39,780				3.4	%	66,701				3.0	%
IL		199	34,839		3.3	%	48,862		2.5	%	VA	205	43,563		3.6	%	63,132			3.2	%
TX	TX	328	34,065		3.2	%	75,367		3.9	%	TX	410	42,432		3.5	%	81,810			4.2	%	TX		345		34,912				3.3	%	93,628				4.2	%	TX		372		37,838				3.2	%	88,631				4.0	%
GA	GA	260	31,906		3.0	%	59,974		3.3	%	IL	227	41,410		3.5	%	54,379			2.8	%	GA		283		33,397				3.2	%	80,493				3.6	%	IL		218		37,505				3.2	%	54,622				2.5	%
IL																			IL				198		33,060			3.2	%		52,502			2.4	%		GA		301		36,733			3.2	%		73,635			3.4	%
MA	MA	143	28,777		2.7	%	54,578		2.8	%	MA	177	35,454		2.9	%	61,220			3.1	%	MA		148		30,292				2.9	%	67,534				3.0	%	MA		163		34,322				2.9	%	68,812				3.1	%
NC	NC	195	28,010		2.6	%	56,514		2.9	%	NC	240	33,146		2.8	%	52,217			2.7	%	NC		202		25,398				2.4	%	58,772				2.6	%	NC		227		32,371				2.8	%	67,322				3.1	%
AZ																			AZ				104		19,415			1.9	%		46,032			2.1	%		AZ		119		23,270			2.0	%		47,579			2.2	%
PA																			PA				180		18,957			1.8	%		34,745			1.6	%		PA		193		21,302			1.8	%		35,222			1.6	%
WA																			WA				81		18,581			1.8	%		48,201			2.2	%		WA		91		20,578			1.8	%		46,555			2.1	%
NV																			NV				72		13,389			1.3	%		32,157			1.4	%		SC		127		14,381			1.2	%		25,379			1.2	%
SC																			SC				119		12,773			1.2	%		26,872			1.2	%		NV		75		13,992			1.2	%		29,298			1.3	%
CT																			CT				69		11,657			1.1	%		20,779			0.9	%		CT		75		12,980			1.1	%		20,634			0.9	%
OH																			OH				98		10,408			1.0	%		19,035			0.9	%		OR		63		12,275			1.1	%		26,938			1.2	%
OR																			OR				55		8,851			0.8	%		23,257			1.0	%		OH		106		12,109			1.0	%		19,242			0.9	%
TN																			TN				90		8,763			0.8	%		22,240			1.0	%		TN		108		10,884			0.9	%		23,233			1.0	%
IN																			IN				88		8,187			0.8	%		16,554			0.7	%		IN		99		9,414			0.8	%		16,833			0.8	%
MI																			MI				69		7,962			0.8	%		16,907			0.8	%		MI		80		9,331			0.8	%		18,099			0.8	%
CO																			CO				40		7,325			0.7	%		22,308			1.0	%		CO		43		8,127			0.7	%		21,188			1.0	%
LA																			LA				67		6,460			0.6	%		11,864			0.5	%		MO		61		6,957			0.6	%		11,624			0.5	%
UT																			UT				36		5,754			0.5	%		17,356			0.8	%		LA		71		6,885			0.6	%		11,573			0.5	%
MO																			MO				55		5,647			0.5	%		10,955			0.5	%		UT		39		6,156			0.5	%		16,978			0.8	%
MN																			MN				33		5,630			0.5	%		10,670			0.5	%		MN		35		5,881			0.5	%		10,205			0.5	%
DE																			DE				28		5,081			0.5	%		8,054			0.4	%		WI		44		5,771			0.5	%		8,829			0.4	%
DC																			DC				15		4,512			0.4	%		8,612			0.4	%		AL		49		5,613			0.5	%		7,872			0.4	%
WI																			WI				38		4,449			0.4	%		7,902			0.4	%		DE		30		5,416			0.5	%		7,779			0.4	%

7072


September 30, 2021											December 31, 2020
September 30, 2022																			September 30, 2022																		December 31, 2021
State	State	Count	UPB		% UPB		Collateral Value(1)		% of Collateral Value		State	Count	UPB		% UPB		Collateral Value(1)			% of Collateral Value		State		Count		UPB				% UPB		Collateral Value(1)				% of Collateral Value		State		Count		UPB				% UPB		Collateral Value(1)				% of Collateral Value
OR		62	22,910		2.1	%	41,406		2.1	%	AZ	150	29,765		2.5	%	47,835			2.4	%
AZ		109	21,168		2.0	%	40,717		2.1	%	OR	70	24,303		2.0	%	46,279			2.4	%
PA		171	19,813		1.8	%	31,144		1.6	%	WA	104	23,874		2.0	%	43,784			2.2	%
WA		81	18,766		1.8	%	40,697		2.1	%	PA	185	21,294		1.8	%	31,248			1.6	%
NV		71	13,304		1.2	%	26,469		1.4	%	NV	97	18,614		1.5	%	30,344			1.5	%
CT		70	12,162		1.1	%	18,409		1.0	%	SC	129	14,206		1.2	%	22,213			1.1	%
SC		110	11,838		1.1	%	19,674		1.0	%	CT	77	13,529		1.1	%	18,115			0.9	%
OH		91	10,810		1.0	%	15,903		0.8	%	MI	97	13,103		1.1	%	19,832			1.0	%
TN		96	9,767		0.9	%	19,256		1.0	%	OH	110	12,929		1.1	%	17,843			0.9	%
IN		91	8,112		0.8	%	14,888		0.8	%	TN	115	12,721		1.1	%	22,690			1.2	%
MI		69	8,069		0.8	%	14,341		0.7	%	CO	54	10,450		0.9	%	22,665			1.2	%
CO		37	7,591		0.7	%	18,926		1.0	%	MO	75	9,383		0.8	%	12,545			0.6	%
MO		55	6,400		0.6	%	10,310		0.5	%	IN	98	9,180		0.8	%	14,476			0.7	%
LA		64	6,269		0.6	%	10,229		0.5	%	MN	49	9,121		0.8	%	13,242			0.7	%
MN		33	5,813		0.5	%	9,778		0.5	%	LA	76	7,631		0.6	%	11,910			0.6	%
UT		33	5,016		0.5	%	13,778		0.7	%	UT	44	6,895		0.6	%	14,932			0.8	%
WI		38	4,837		0.5	%	7,399		0.4	%	DE	34	6,509		0.5	%	7,999			0.4	%
DE		26	4,825		0.5	%	6,524		0.3	%	HI	16	6,456		0.5	%	9,305			0.5	%
DC		13	4,369		0.4	%	7,007		0.4	%	DC	17	5,131		0.4	%	8,138			0.4	%
AL																			AL				43		4,017			0.4	%		6,282			0.3	%		DC		16		5,039			0.4	%		9,182			0.4	%
NM	NM	25	3,926		0.4	%	6,524		0.3	%	WI	37	4,696		0.4	%	6,385			0.3	%	NM		23		3,616				0.3	%	6,775				0.3	%	HI		11		3,941				0.3	%	7,058				0.3	%
HI	HI	9	3,512		0.3	%	6,294		0.3	%	NM	30	4,450		0.4	%	6,207			0.3	%	HI		10		3,522				0.3	%	7,309				0.3	%	NM		24		3,784				0.3	%	6,143				0.3	%
KY	KY	29	3,452		0.3	%	5,527		0.3	%	KY	36	4,158		0.3	%	6,032			0.3	%	KY		29		3,461				0.3	%	6,317				0.3	%	KY		29		3,504				0.3	%	5,777				0.3	%
AL		39	3,211		0.3	%	4,660		0.2	%	AL	44	3,670		0.3	%	4,891			0.2	%
RI																			RI				14		3,129			0.3	%		5,583			0.3	%		RI		15		3,236			0.3	%		5,203			0.2	%
NH	NH	14	2,683		0.3	%	4,364		0.2	%	NH	18	3,223		0.3	%	5,087			0.3	%	NH		15		2,759				0.3	%	5,547				0.2	%	NH		16		3,006				0.3	%	5,450				0.2	%
RI		10	2,243		0.2	%	3,488		0.2	%	RI	14	3,084		0.3	%	4,481			0.2	%
MS																			MS				24		1,923			0.2	%		3,438			0.2	%		OK		22		2,104			0.2	%		3,768			0.2	%
OK	OK	22	2,119		0.2	%	3,586		0.2	%	OK	27	2,511		0.2	%	3,827			0.2	%	OK		19		1,773				0.2	%	3,608				0.2	%	MS		25		2,025				0.2	%	3,327				0.2	%
MS		24	1,850		0.2	%	2,949		0.2	%	MS	26	2,149		0.2	%	3,168			0.2	%
ID																			ID				10		1,384			0.1	%		4,164			0.2	%		KS		22		1,593			0.1	%		3,713			0.2	%
KS	KS	21	1,537		0.1	%	3,425		0.2	%	IA	18	1,736		0.1	%	2,267			0.1	%	KS		17		1,315				0.1	%	3,254				0.1	%	ID		11		1,569				0.1	%	3,995				0.2	%
ME	ME	9	1,305		0.1	%	2,030		0.1	%	ID	12	1,496		0.1	%	2,971			0.2	%	ME		8		1,060				0.1	%	1,995				0.1	%	ME		9		1,296				0.1	%	2,118				0.1	%
ID		10	1,176		0.1	%	2,904		0.2	%	AR	20	1,447		0.1	%	2,016			0.1	%
IA	IA	13	1,090		0.1	%	1,695		0.1	%	KS	19	1,379		0.1	%	2,897			0.1	%	IA		13		1,041				0.1	%	1,852				0.1	%	WV		13		1,283				0.1	%	2,095				0.1	%
WV	WV	14	1,065		0.1	%	1,683		0.1	%	ME	10	1,372		0.1	%	1,801			0.1	%	WV		10		996				0.1	%	1,853				0.1	%	IA		14		1,137				0.1	%	1,837				0.1	%
MT	MT	6	1,009		0.1	%	1,830		0.1	%	WV	17	1,258		0.1	%	1,830			0.1	%	MT		6		989				0.1	%	2,329				0.1	%	MT		6		1,003				0.1	%	1,966				0.1	%
PR																			PR				6		870			0.1	%		948			—	%		PR		6		884			0.1	%		929			—	%
AR	AR	15	869		0.1	%	1,493		0.1	%	MT	6	803		0.1	%	1,336			0.1	%	AR		14		742				0.1	%	1,587				—	%	AR		15		863				0.1	%	1,592				0.1	%
PR		5	588		0.1	%	554		0.1	%	SD	4	537		—	%	872			—	%
SD	SD	4	529		—	%	983		0.1	%	NE	4	528		—	%	603			—	%	SD		5		696				0.1	%	1,730				0.1	%	SD		5		713				0.1	%	1,524				0.1	%
VT	VT	2	397		—	%	338		—	%	PR	5	518		—	%	592			—	%	VT		3		515				0.1	%	537				—	%	VT		3		520				—	%	493				—	%
NE																			NE				5		395			0.1	%		994			—	%		NE		5		408			—	%		886			—	%
ND	ND	3	390		—	%	492		0.1	%	VT	2	452		—	%	518			—	%	ND		3		383				—	%	589				—	%	ND		3		388				—	%	580				—	%
WY	WY	2	246		—	%	231		—	%	WY	3	438		—	%	356			—	%	WY		2		240				—	%	304				—	%	WY		2		244				—	%	257				—	%
NE		2	188		—	%	280		—	%	ND	3	395		—	%	472			—	%
AK	AK	1	56		—	%	163		—	%	AK	2	249		—	%	391			—	%	AK		1		54				—	%	192				—	%	AK		1		55				—	%	169				—	%
		5,353	$	1,071,034	100.0	%	$	1,925,879	100.0	%		6,031	$	1,204,804	100.0	%	$	1,967,419		100.0	%			5,426		$	1,047,692			100.0	%	$	2,232,297			100.0	%			5,941		$	1,165,841			100.0	%	$	2,193,143			100.0	%

(1)As of the reporting date.

Table 13: Debt Securities and Beneficial Interest Acquisitions

The following table shows our debt securities and beneficial interest acquisitions for the three and nine months ended September 30, ~~2021,~~2022 and ~~2020~~2021 ($ in thousands):


		Three months ended September 30,						Nine months ended September 30,							Three months ended September 30,						Nine months ended September 30,
		2021			2020			2021			2020				2022			2021			2022			2021
Class A securities	Class A securities													Class A securities
UPB	UPB	$	43,120		$	67,076		$	213,969		$	116,952		UPB	$	—		$	43,120		$	65,254		$	213,969
Purchase price		$	43,115		$	65,956		$	213,077		$	115,558
Purchase price(1,2)														Purchase price(1,2)	$	—		$	43,115		$	63,658		$	213,077
Purchase price % of UPB	Purchase price % of UPB	100.0		%	98.3		%	99.6		%	98.8		%	Purchase price % of UPB	—		%	100.0		%	97.6		%	99.6		%
Class M securities	Class M securities													Class M securities
UPB	UPB	$	1,943		$	—		$	1,943		$	—		UPB	$	—		$	1,943		$	8,120		$	1,943
Purchase price		$	1,943		$	—		$	1,943		$	—
Purchase price(1,2)														Purchase price(1,2)	$	—		$	1,943		$	6,533		$	1,943
Purchase price % of UPB	Purchase price % of UPB	100.0		%	—		%	100.0		%	—		%	Purchase price % of UPB	—		%	100.0		%	80.5		%	100.0		%
Class B securities	Class B securities													Class B securities
UPB	UPB	$	9,561		$	5,267		$	33,222		$	9,923		UPB	$	—		$	9,561		$	—		$	33,222
Purchase price		$	6,399		$	5,194		$	29,907		$	9,817
Purchase price(1,2)														Purchase price(1,2)	$	—		$	6,399		$	—		$	29,907
Purchase price % of UPB	Purchase price % of UPB	66.9		%	98.6		%	90.0		%	98.9		%	Purchase price % of UPB	—		%	66.9		%	—		%	90.0		%
Beneficial interests
Purchase price		$	3,213		$	12,225		$	42,680		$	19,307
Trust certificates														Trust certificates
Purchase price(1,2)														Purchase price(1,2)	$	—		$	3,213		$	15,807		$	42,680

(1)The securities were received in exchange for our investments in 2018-D and -G and 2019-A and -B and include cash and non-cash components for the nine months ended September 30, 2022.

(2)The securities were received in exchange for our investments in Ajax Mortgage Loan Trust 2020-C and Ajax Mortgage Loan Trust 2020-D and include cash and non-cash components for the three and nine months ended September 30, 2021.

Liquidity and Capital Resources

Source and Uses of Cash

Our primary sources of cash have consisted of proceeds from our securities offerings, our secured borrowings, repurchase agreements, principal and interest payments on our loan portfolio, principal paydowns on securities, and sales of properties held-for-sale. Depending on market conditions, we expect that our primary financing sources will continue to include secured borrowings, repurchase agreements, and securities offerings in addition to transaction or asset specific funding arrangements and credit facilities (including term loans and revolving facilities). We expect that these sources of funds will be sufficient to meet our short-term and long-term liquidity needs. We believe we have access to adequate resources to meet the needs of our existing operations, mandatory capital expenditures, dividend payments, and working capital, to the extent not funded by cash provided by operating activities. However, we expect market events, including inflation and the ~~COVID-19 pandemic~~related Federal Reserve bank actions, may adversely impact our future operating cash flows due to the inability of some of our borrowers to make scheduled payments on time or at all, and ~~the potential for HPA decline.~~through increased interest rates on secured borrowings and repurchase lines of credit. From time to time, we may invest with third parties and acquire interests in loans and other real estate assets through investments in joint ventures using special purpose entities that can result in investments at fair value and investments in beneficial interests, which are included on our consolidated balance sheet.

As of September 30, ~~2021~~2022 and December 31, ~~2020,~~2021, substantially all of our invested capital was in RPLs, NPLs, SBC loans, ~~property held-for-sale,~~ debt securities, and beneficial interests. We also held approximately ~~$92.8~~$72.9 million of cash and cash equivalents, a decrease of ~~$14.3~~$11.5 million from our balance of ~~$107.1~~$84.4 million at December 31, ~~2020.~~2021, due to investments in mortgage related assets during 2022. Our average daily cash balance during the quarter was ~~$89.2~~$62.3 million, a decrease of ~~$39.5~~$17.0 million from our average daily cash balance of ~~$128.7~~$79.3 million during the three months ended December 31, ~~2020.~~2021, due to investments in additional mortgage related assets during 2022.

Our collections of principal and interest payments on mortgages and securities, and payoffs and proceeds ~~and~~ on the sale of our property held-for-sale were $57.8 million and $217.1 million, respectively, for the three and nine months ended September 30, 2022 and $82.8 million and $231.9 million, respectively, for the three and nine months ended September 30, ~~2021~~2021.

Nine month Operating, Investing and ~~$56.4 million and $176.6 million, respectively, for the three and nine months ended September 30, 2020.~~Financing Cash Flows

Our operating cash ~~outflows, including~~inflows for the ~~effect of restricted~~nine months ended September 30, 2022 were $4.0 million. Our operating cash outflows for the nine months ended September 30, 2021 ~~and 2020~~ were ~~$15.2 million and $6.1 million, respectively.~~$15.0 million. Our primary operating cash inflow is cash interest payments on our mortgage loan pools of ~~$34.8~~$35.8 million and ~~$36.2~~$34.8 million for the nine months ended September 30, ~~2021~~2022 and ~~2020,~~2021, respectively. Non-cash interest income accretion on our mortgage loans was ~~$15.5~~$11.0 million and ~~$22.8~~$15.5 million for the nine months ended September 30, ~~2021~~2022 and ~~2020,~~2021, respectively. Interest income on beneficial interests was ~~$12.3~~$8.8 million and ~~$8.0 million during the nine months ended~~

~~September 30, 2021 and 2020, respectively. Interest income on debt securities was $8.2 million and $7.3~~$12.3 million during the nine months ended September 30, 2022 and 2021, respectively. Interest income on debt securities was $8.0 million and ~~2020,~~$8.2 million during the nine months ended September 30, 2022 and 2021, respectively.

Though the ownership of mortgage loans and other real estate assets is our business, U.S. GAAP requires that operating cash flows do not include the portion of principal payments that are allocable to the discount we recognize on our mortgage loans including proceeds from loans that pay in full or are liquidated in a short sale or third party sale at foreclosure or the proceeds on the sales of our property held-for-sale. These activities are all considered to be investing activities under U.S. GAAP, and the cash flows from these activities are included in the investing section of our consolidated statements of cash flows. ~~We expect that the~~The impact of the COVID-19 outbreak ~~will~~may put pressure on our cash flow from operations as we enter into loan modifications on certain of our loans permitting interest payments to be deferred.

For the nine months ended September 30, 2022, our investing cash inflows of $210.7 million were driven by principal payments on and payoffs of our mortgage loan portfolio of $126.8 million, proceeds from refinancing and sale of our debt securities and beneficial interests of $123.9 million and principal and interest collections on our securities of $56.3 million, partially offset by the purchase of securities of $84.5 million, acquisitions of our mortgage loans of $10.7 million and the purchase of additional shares of common stock in our Gaea affiliate of $6.1 million. For the nine months ended September 30, 2021 our investing cash inflows of $54.9 million were primarily driven by principal payments on and payoffs of our mortgage loan portfolio of $145.4 million, proceeds from the ~~refinancing~~sale of loans from our 2017-D mortgage loan trust of $126.0 million, principal ~~payments on~~ and ~~payoffs~~interest collections of our debt securities and beneficial interests of $111.2 million and proceeds from payoff and sale of our securities of $90.2 million, partially offset by the acquisitions of our debt securities and beneficial interests of $286.5 million and acquisitions of our mortgage loans of $128.4 million. For the nine months ended September 30, 2020 our investing cash inflow of $14.1 million was primarily driven by principal payments on and payoffs of our mortgage loan portfolio of $91.2 million, principal payments on and payoffs on debt securities and beneficial interests held as investments of $37.9 million and the sale of 26 mortgage loans to Gaea, an affiliated entity, in the amount of $25.4 million, partially offset by the acquisitions of our debt securities and beneficial interests of $144.7 million and acquisitions of mortgage loans of $44.8 million.

Our financing cash flows are driven primarily by funding used to acquire mortgage loan ~~pools.~~pools and debt securities. We fund our mortgage loan ~~pool acquisitions~~pools primarily through secured borrowings and repurchase agreements and we fund our debt securities primarily through repurchase agreements. For the ~~proceeds from~~nine months ended September 30, 2022, we had net financing cash outflows of $226.2 million primarily driven by repayments of $221.0 million on repurchase transactions and pay downs of existing debt obligations of $95.9 million on secured borrowings, partially offset by additional borrowing through repurchase transactions of $138.2 million. We had repurchased $34.1 million of our ~~convertible~~preferred stock and warrants, net of discount during the second quarter of 2022. During the third quarter of 2022 we issued unsecured debt, net of discount and ~~equity offerings.~~deferred expenses of $106.1 million, which was primarily used to fund our third quarter repurchase of our preferred stock and warrants, net of discount of $90.9 million. For the nine months ended September 30, 2021, we had net ~~financing~~ cash outflows from financing activities of $51.6 million primarily driven by repayments of $398.1 million on repurchase ~~transaction~~transactions and pay downs of existing debt obligations of $355.0 million on secured borrowings. WeAlso, we purchased the remaining ~~37%~~37.0% ownership of the Class B notes and trust certificates of 2018-C for a total of $17.2 million and repurchased our ~~senior convertible notes~~2024 Notes of $7.5 million, partially offset by additional borrowing through secured ~~borrowings~~debt of $391.0 million and repurchase transactions of $376.3 million. For the nine months ended September 30, ~~2020,~~2022 and 2021, we had net cash inflows from financing activities of $62.9 million primarily driven from our issuance of preferred stock and warrants, net of any offering costs, for $125.0 million in a series of private placements to institutional accredited investors as well as from additional borrowing through repurchase transactions of $270.0paid $24.2 million and secured debt of $114.5 million, partially offset by repayments of $268.7 million on repurchase transactions, pay downs of existing debt obligations of $153.9 million on secured borrowings and repurchased our senior convertible notes of $10.5 million. For the nine months ended September 30, 2021 and 2020 we paid $19.3 ~~million and $11.8~~ million, respectively, in combined dividends and distributions.

Financing Activities — Equity ~~offerings~~Offerings

On February 28, 2020, our Board of Directors approved a stock repurchase of up to $25.0 million of our common shares. The amount and timing of any repurchases ~~will depend~~depends on a number of factors, including but not limited to the price and availability of the common shares, trading volume and general circumstances and market conditions. As of September 30, 2022, we held 657,029 shares of treasury stock consisting of 131,990 shares received through distributions of our shares previously held by our Manager and 525,039 shares acquired through open market purchases. As of September 30, 2021, we held 136,403 shares of treasury stock consisting of 87,939 shares received through distributions of our shares previously held by our Manager and 48,464 shares acquired through open market purchases in the fourth quarter of 2020 under our approved stock repurchase plan. As of September 30, 2020 we held 50,173 shares of treasury stock received through distributions of our shares previously held by our Manager.

During 2020, we issued an aggregate of $130.0 million of preferred stock and warrants to institutional accredited investors in a series of private placements. We issued 2,307,400 shares of 7.25% Series A Fixed-to-Floating Rate Preferred Stock and 2,892,600 shares of 5.00% Series B Fixed-to-Floating Rate Preferred Stock, each at a purchase price per share of $25.00, and two series of five-year warrants to purchase an aggregate of 6,500,000 shares of our common stock at an exercise price of $10.00 per share. Each series of warrants includes a put option that allows the holder to sell the warrants to us at a specified put price on or after July 6, 2023. Under U.S. GAAP, we are required to allocate the proceeds between the Preferred stock and warrants. The allocation of the proceeds, net of all offering costs, resulted in the Preferred series A shares receiving an allocation of $51.1 million, the Preferred series B shares receiving an allocation of $64.0 million and the warrants an allocation of $9.5 million. We mark the obligation for the warrants and future put liability to market though earnings. We are using the net proceeds from the private placement to acquire mortgage loans and mortgage-related assets consistent with our investment strategy.

purchases.

During the three and nine months ended September 30, ~~2021,~~2022, we ~~sold 9,073~~repurchased and retired 1,113,932 and 1,882,451 shares, respectively, of our series A preferred stock and 1,525,529 and 1,757,010 shares, respectively, of our series B preferred stock in a series of repurchase transactions. The series A and series B preferred stock was repurchased for an aggregate of $64.2 million and $88.7 million, respectively, at an average price of $24.32 and $24.37 per share, respectively, representing a discount of approximately 2.7% and 2.5%, respectively, to the face value of $25.00 per share. The repurchase of the preferred stock caused the recognition of $5.7 million and $8.2 million of discount during the three and nine months ended September 30, 2022, respectively. The repurchase is expected to save us approximately $3.9 million annually in preferred dividends. There was no repurchase of preferred stock in either the three or nine months ended September 30, 2021. Also, during three and nine months ended September 30, 2022, we repurchased and retired 3,299,328 and 4,549,328 of our outstanding warrants for $25.8 million and $35.0 million, respectively, resulting in the acceleration of $8.8 million and $12.3 million, respectively of accretion expense, which will result in less accretion expense in future periods.

During the three and nine months ended September 30, 2022, we did not sell any shares of common stock ~~for proceeds, net of issuance costs of $0.1 million~~ under our At the Market program, which we sell, through our agents, shares of common stock with an aggregate offering price of up to $100.0 million. ~~During~~Comparatively, during the three and nine months ended September 30, ~~2020,~~2021, we ~~did not sell any~~sold 9,073 shares of common stock for proceeds, net of issuance costs of $0.1 million under our At the Market program. In accordance with the terms of the agreements, we may offer and sell shares of our common stock at any time and from time to time through the sales agents. Sales of the shares, if any, will be made by means of ordinary brokers’ transactions on the ~~NYSE~~New York Stock Exchange or otherwise at market prices prevailing at the time of the sale.

Financing Activities — Secured Borrowings, 2024 Notes and ~~Convertible Senior~~2027 Notes

Secured Borrowings

From our inception (January 30, 2014) to September 30, ~~2021,~~2022, we have completed 18 secured borrowings, not including borrowings we completed for our non-consolidated joint ventures (See ~~Table 17:~~"Table 18: Investments in joint ~~ventures)~~ventures"), through securitization trusts pursuant to Rule 144A under the Securities Act, five of which were outstanding at September 30, ~~2021.~~2022. The secured borrowings are structured as debt financings and not REMIC sales, and the loans included in the secured borrowings remain on our consolidated balance sheet as we are the primary beneficiary of the secured borrowing trusts, which are VIEs. The secured borrowing VIEs are structured as pass through entities that receive principal and interest on the underlying mortgages and distribute those payments to the holders of the notes. Our exposure to the obligations of the VIEs is generally limited to our investments in the entities. The notes that are issued by the secured borrowing trusts are secured solely by the mortgages held by the applicable trusts and not by any of our other assets. The mortgage loans of the applicable trusts are

the only source of repayment and interest on the notes issued by such trusts. We do not guarantee any of the obligations of the trusts under the terms of the agreement governing the notes or otherwise.

Our non-rated secured borrowings are generally structured with Class A notes, subordinated notes, and trust certificates, which have rights to the residual interests in the mortgages once the notes are repaid. We have retained the subordinate notes and the applicable trust certificates from one non-rated secured borrowing outstanding at September 30, ~~2021.~~2022.

Our rated secured borrowings are generally structured as “REIT TMP” transactions which ~~allow the Company~~allows us to issue multiple classes of securities without using a REMIC structure or being subject to an entity level tax. Our rated secured borrowings generally issue classes of debt from AAA through mezzanine. We generally retain the mezzanine and residual certificates in the transactions. We have retained the applicable mezzanine and residual certificates from the other four rated secured borrowings outstanding at September 30, ~~2021.~~2022. Our rated secured borrowings are designated in the table below.

At March 31, 2021, our 2017-D secured borrowing contained Class A notes and Class B certificates representing the residual interests in the mortgages held within the securitization trusts subsequent to repayment of the Class A debt. We had retained ~~50%~~50.0% of both the Class A notes and Class B certificates from 2017-D; and the assets and liabilities were included on our consolidated balance sheets. During the second quarter of 2021, the majority of the loans in 2017-D were ~~refinanced in Ajax Mortgage Loan Trust~~sold into 2021-C ~~("2021-C").~~and the Class A note was redeemed. Based on the structure of the transaction we do not consolidate 2021-C under U.S. GAAP.

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

The following table sets forth the original terms of all outstanding notes from our secured borrowings outstanding at September 30, ~~2021~~2022 at their respective cutoff dates:

Table 14: Secured Borrowings

Issuing Trust/Issue Date

Interest Rate Step-up Date

Security

Original Principal

Interest Rate

Rated

Ajax Mortgage Loan Trust 2019-D/ July 2019

July 25, 2027

Class A-1 notes due 2065

$140.4 million

2.96

July 25, 2027

Class A-2 notes due 2065

$6.1 million

3.50

July 25, 2027

Class A-3 notes due 2065

$10.1 million

3.50

July 25, 2027

Class M-1 notes due 2065(1)

$9.3 million

3.50

~~Issuing Trust/Issue Date~~

~~Interest Rate Step-up Date~~

~~Security~~

~~Original Principal~~

~~Interest Rate~~

None

Class B-1 notes due 2065(2)

$7.5 million

3.50

None

Class B-2 notes due 2065(2)

$7.1 million

variable(3)

None

Class B-3 notes due 2065(2)

$12.8 million

variable(3)

Deferred issuance costs

$(2.7) million

—

Rated

Ajax Mortgage Loan Trust 2019-F/ November 2019

November 25, 2026

Class A-1 notes due 2059

$110.1 million

2.86

November 25, 2026

Class A-2 notes due 2059

$12.5 million

3.50

November 25, 2026

Class A-3 notes due 2059

$5.1 million

3.50

November 25, 2026

Class M-1 notes due 2059(1)

$6.1 million

3.50

None

Class B-1 notes due 2059(2)

$11.5 million

3.50

None

Class B-2 notes due 2059(2)

$10.4 million

variable(3)

None

Class B-3 notes due 2059(2)

$15.1 million

variable(3)

Deferred issuance costs

$(1.8) million

—

Rated

Ajax Mortgage Loan Trust 2020-B/ August 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

Issuing Trust/Issue Date

Interest Rate Step-up Date

Security

Original Principal

Interest Rate

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

Ajax Mortgage Loan Trust 2021-B/ February 2021

August 25, 2024

Class A notes due 2066

$215.9 million

2.24

February 25, 2025

Class B notes due 2066(2)

$20.2 million

4.00

Deferred issuance costs

$(4.3) million

—

(1)The Class M notes are subordinated, sequential pay, fixed rate notes. We have retained the Class M notes, with the exception of Ajax Mortgage Loan Trust 2021-A.

(2)The Class B notes are subordinated, sequential pay, with B-2 and B-3 notes having variable interest rates and subordinate to the Class B-1 notes. The Class B-1 notes are fixed rate notes. We have retained the Class B notes.

~~Convertible~~2024 Notes (Convertible Senior ~~Notes~~Notes)

~~On April 25,~~During 2017 and 2018, we completed the public offer and sale of ~~$87.5 million~~our 2024 Notes, in ~~aggregate principal amount of our convertible senior notes (the “notes”) due 2024, with follow-on~~three separate offerings ~~of an additional $20.5 million and $15.9 million, respectively, in aggregate principal amount completed on August 18, 2017 and November 19, 2018, respectively,~~ which ~~combined with the notes from our April offering~~ form a single series of fungible securities. At September 30, 2022 and December 31, 2021, the UPB of the debt was $104.5 million and $104.6 million, respectively. The ~~notes~~2024 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~~2024 Notes will mature on April 30, 2024, unless earlier repurchased, converted or redeemed. During certain periods and subject to certain conditions the ~~notes~~2024 Notes will be convertible by their holders into shares of our common stock at a current conversion rate of ~~1.7279~~1.7405 shares of common stock per $25.00 principal amount of the ~~notes,~~2024 Notes, which represents a conversion price of approximately ~~$14.47~~$14.36 per share of common stock. The conversion rate, and thus the conversion price, may be subject to adjustment under certain circumstances. (See "Critical Accounting Policies" above.)

2027 Notes (Unsecured Notes)

During ~~the first and second quarter of 2021, we completed a series of convertible note repurchases for~~August 2022, our Operating Partnership issued $110.0 million aggregate principal ~~amounts~~amount of ~~$2.5 million~~8.875% 2027 Notes. The 2027 Notes were issued at 99.009% of par value and ~~$5.0 million, respectively, for total purchase prices~~are fully and unconditionally guaranteed by the Guarantors. (See "Critical Accounting Policies" above.)

Under the indenture governing the 2027 Notes, a subsidiary guarantor's guarantee will terminate upon: (i) the sale, exchange, disposition or other transfer (including by way of ~~$2.4 million and $5.1 million, respectively. The carrying amounts~~consolidation or merger) of the ~~equity component representing~~subsidiary guarantor or the ~~embedded conversion feature reversed from Additional paid-in capital due to~~sale or disposition of all or substantially all 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 quarter of 2020, we completed a series of convertible note repurchases for aggregate principal amounts of $8.0 million and $2.5 million, respectively, for total purchase prices of $8.2 million and $2.3 million, respectively. The carrying amountsassets of the subsidiary guarantor otherwise permitted by the indenture, (ii) satisfaction of the requirements for legal or covenant defeasance or discharge of the 2027 Notes, or (iii) no default or event of default has occurred and is continuing under the indenture.

The following table presents summarized financial information for the Guarantors and our Operating Partnership, on a combined basis after eliminating (i) intercompany transactions and balances among the guarantor entities and (ii) equity ~~component representing the embedded conversion feature reversed~~in

earnings from, ~~Additional paid-in capital due to the first~~ and ~~third quarter~~any investments in, any subsidiary that is a non-guarantor ($ in thousands):

Table 15: Summary of ~~2020 transactions were $0.1 million~~Issuer and ~~zero, respectively. There were no convertible note repurchases during the second quarter of 2020.~~Guarantor Financial Statements


	September 30, 2022		December 31, 2021
Total assets	$	467,564	$	570,426

Borrowings under repurchase transactions	209,837		274,826
Convertible senior notes and notes payable, net	210,230		102,845
Other liabilities	41,582		42,186
Total liabilities	461,649		419,857

Total equity	5,915		150,569
Total liabilities and equity	$	467,564	$	570,426


	Nine months ended
	September 30, 2022
Total revenue, net	$	19,088

Management fees and loan servicing fees	5,674
Acceleration of put option settlement	12,344
Other expenses	16,229
Consolidated loss attributable to Company	(15,159)
Dividends and recognition of discount on retirement of preferred stock	(13,121)
Net loss attributable to common stockholders	$	(28,280)

Repurchase Transactions

We have two repurchase facilities whereby we, through two wholly owned Delaware trusts (the “Trusts”), acquire pools of mortgage loans, which are then sold by the Trusts, as “Seller” to two separate counterparties, the “buyer” or “buyers.” One facility has a ceiling of $150.0 million and the other $400.0 million at any one time. Upon the time of the initial sale to the buyer, each Trust, with a simultaneous agreement, also agrees to repurchase the pools of mortgage loans from the buyer. Mortgage loans sold under these facilities carry interest calculated based on a spread to one-month ~~LIBOR,~~SOFR, which are fixed for the term of the borrowing. The purchase price that the Trust realizes upon the initial sale of the mortgage loans to the buyer can vary between 70% and 85% of the asset’s acquisition price, depending upon the facility being utilized and/or the quality of the underlying collateral. The obligations of the Trust to repurchase these mortgage loans at a future date are guaranteed by the Operating Partnership. The difference between the market value of the asset and the amount of the repurchase agreement is generally the amount of equity we have in the position and is intended to provide the buyer with some protection against fluctuations in the value of the collateral, and/or a failure by us to repurchase the asset and repay the borrowing at maturity. We also have ~~five~~four repurchase facilities substantially similar to the mortgage loan repurchase facilities where the pledged assets are securities retained from our securitization transactions. These facilities have no effective ceilings. Each repurchase transaction represents its own borrowing. As such, the ceilings associated with these transactions are the amounts currently borrowed at any one time. We have effective control over the assets subject to all of these transactions; therefore, our repurchase transactions are accounted for as financing arrangements.

A summary of our outstanding repurchase transactions at September 30, ~~2021~~2022 and December 31, ~~2020~~2021 is as follows ($ in thousands):

Table ~~15:~~16: Repurchase Transactions by Maturity Date


	September 30, 2022
	Maturity Date	Amount Outstanding		Amount of Collateral			Interest Rate
Barclays - bonds(1)		$	110,312	$	152,652		3.61	%
A Bonds	October 3, 2022	37,657		54,929			3.45	%
	October 7, 2022	7,982		9,497			2.96	%
	October 21, 2022	54,507		71,674			3.73	%
B Bonds	October 3, 2022	3,975		6,338			3.71	%
	October 21, 2022	4,684		7,703			4.30	%
M Bonds	October 7, 2022	311		533			3.52	%
	October 21, 2022	1,196		1,978			3.94	%
Nomura - loans(2)	October 6, 2022	$	224,698	$	294,666		5.10	%
Nomura - bonds(1)		$	38,513	$	57,268		4.57	%
A Bonds	October 12, 2022	4,156		5,572			3.82	%
	November 18, 2022	7,139		10,178			4.16	%
	December 16, 2022	4,026		5,364			4.68	%
	December 23, 2022	12,177		18,457			4.80	%
B Bonds	November 14, 2022	2,937		4,427			4.52	%
	November 23, 2022	3,172		5,179			4.58	%
	December 16, 2022	1,106		1,687			5.08	%
	December 23, 2022	3,800		6,404			5.20	%
Goldman Sachs - bonds(1)		$	3,464	$	4,758		3.95	%
A Bonds	October 14, 2022	3,464		4,758			3.95	%
JP Morgan - bonds(1)		$	74,035	$	106,229		3.88	%
A Bonds	December 6, 2022	5,299		7,235			3.11	%
	December 7, 2022	7,180		9,027			3.95	%
	March 24, 2023	22,131		30,400			5.41	%
B Bonds	November 4, 2022	9,278		14,106			3.99	%
	December 6, 2022	13,149		20,840			3.31	%
M Bonds	October 14, 2022	16,487		23,722			2.44	%
	December 7, 2022	511		899			4.41	%
JP Morgan - loans(3)	July 10, 2023	$	12,234	$	18,185		5.59	%
Totals/weighted averages		$	463,256	$	633,758	(4)	4.51	%

(1)Maximum borrowing capacity is the equivalent of the amount outstanding as of September 30, 2022.

(2)Maximum borrowing capacity as of September 30, 2022 was $400.0 million.

(3)Maximum borrowing capacity as of September 30, 2022 was $150.0 million.

(4)Includes $42.8 million of bonds that are consolidated on our balance sheet for GAAP as of September 30, 2022.


	December 31, 2021
	Maturity Date	Amount Outstanding		Amount of Collateral		Interest Rate
Barclays - bonds(1)		$	126,344	$	162,160	1.09	%
A Bonds	March 8, 2022	7,318		9,710		1.19	%
	March 16, 2022	40,957		55,178		1.21	%

7679

September 30, 2021
Maturity Date Origination Date Maximum Borrowing Capacity Amount Outstanding Amount of Collateral Percentage of Collateral Coverage Interest Rate
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 %


	December 31, 2021
	Maturity Date	Amount Outstanding		Amount of Collateral			Interest Rate
	March 21, 2022	30,850		41,413			1.26	%
	March 22, 2022	36,093		40,091			0.69	%
B Bonds	March 16, 2022	4,258		6,232			1.46	%
	March 21, 2022	2,629		3,758			1.56	%
	March 22, 2022	2,698		3,835			1.49	%
M Bonds	March 22, 2022	1,541		1,943			1.16	%
Nomura - loans(2)	September 22, 2022	$	228,523	$	300,324		2.36	%
Nomura - bonds(1)		$	80,674	$	107,860		1.43	%
A bonds	January 6, 2022	6,567		8,484			1.33	%
	January 12, 2022	4,978		6,554			1.32	%
	January 27, 2022	2,206		3,065			1.30	%
	January 28, 2022	17,623		22,908			1.33	%
	February 18, 2022	9,275		12,323			1.36	%
	March 17, 2022	12,329		16,226			1.42	%
	March 25, 2022	15,443		20,657			1.41	%
B Bonds	February 11, 2022	3,094		4,434			1.75	%
	February 24, 2022	3,538		5,111			1.77	%
	March 17, 2022	1,177		1,686			1.82	%
	March 25, 2022	4,444		6,412			1.81	%
Goldman Sachs - bonds(1)		$	14,659	$	18,672		1.18	%
A Bonds	January 14, 2022	4,992		6,438			1.17	%
	January 20, 2022	9,667		12,234			1.18	%
JP Morgan - bonds(1)		$	82,030	$	108,282		1.29	%
A Bonds	April 1, 2022	28,482		37,753			1.36	%
	June 10, 2022	6,220		7,220			1.29	%
B Bonds	January 13, 2022	2,850		4,052			1.31	%
	February 11, 2022	11,272		16,087			1.36	%
	June 10, 2022	13,992		20,155			1.49	%
M Bonds	April 19, 2022	19,214		23,015			1.02	%
JP Morgan - loans(3)	July 8, 2022	$	13,824	$	20,856		2.60	%
Totals/weighted averages		$	546,054	$	718,154	(4)	1.74	%

(1)Maximum borrowing capacity is the equivalent of the amount outstanding as of December 31, 2021.

(2)Maximum borrowing capacity as of December 31, 2021 was $400.0 million.

(3)Maximum borrowing capacity as of December 31, 2021 was $150.0 million.

(4)Includes $42.8 million of bonds that are consolidated on our balance sheet for GAAP as of December 31, 2021.

7780

December 31, 2020
Maturity Date Origination Date Maximum Borrowing Capacity Amount Outstanding Amount of Collateral Percentage of Collateral Coverage Interest Rate
February 1, 2021 December 1, 2020 3,985 3,985 5,136 129 % 1.88 %
February 1, 2021 December 1, 2020 2,887 2,887 3,790 131 % 1.88 %
February 1, 2021 December 1, 2020 2,332 2,332 3,360 144 % 2.03 %
February 1, 2021 December 1, 2020 1,132 1,132 1,607 142 % 2.03 %
February 12, 2021 November 13, 2020 2,945 2,945 4,428 150 % 2.02 %
March 5, 2021 December 7, 2020 24,946 24,946 33,348 134 % 1.78 %
March 5, 2021 December 7, 2020 24,312 24,312 32,571 134 % 1.78 %
March 17, 2021 December 17, 2020 10,219 10,219 13,172 129 % 1.78 %
March 17, 2021 December 17, 2020 8,381 8,381 10,872 130 % 1.78 %
March 17, 2021 December 17, 2020 3,894 3,894 5,193 133 % 1.78 %
March 17, 2021 December 17, 2020 1,145 1,145 1,687 147 % 1.93 %
March 24, 2021 December 24, 2020 7,016 7,016 10,024 143 % 1.94 %
March 24, 2021 December 24, 2020 5,008 5,008 6,637 133 % 1.79 %
March 24, 2021 December 24, 2020 2,577 2,577 3,367 131 % 1.79 %
April 9, 2021 October 13, 2020 33,084 33,084 43,069 130 % 2.35 %
July 9, 2021 July 10, 2020 250,000 53,256 84,337 158 % 2.64 %
September 23, 2021 September 24, 2020 400,000 101,117 160,068 158 % 2.65 %
Totals/weighted averages $ 916,759 $ 421,132 $ 595,599 141 % 2.29 %

As of September 30, ~~2021,~~2022, we had ~~$399.3~~$463.3 million outstanding under our repurchase transactions compared to ~~$421.1~~$546.1 million as of December 31, ~~2020.~~2021. The maximum month-end balance outstanding during the three months ended September 30, ~~2021~~2022 was ~~$434.3~~$511.3 million, compared to a maximum month-end balance for the three months ended December 31, ~~2020,~~2021, of ~~$422.3~~$563.0 million. The following table presents certain details of our repurchase transactions for the three months ended September 30, ~~2021~~2022 and December 31, ~~2020~~2021 ($ in thousands):

Table ~~16:~~17: Repurchase Balances


		Three months ended					Three months ended
		September 30, 2021		December 31, 2020			September 30, 2022		December 31, 2021
Balance at the end of period	Balance at the end of period	$	399,340	$	421,132	Balance at the end of period	$	463,256	$	546,054
Maximum outstanding balance during the quarter	Maximum outstanding balance during the quarter	$	434,322	$	422,322	Maximum outstanding balance during the quarter	$	511,296	$	562,999
Average balance	Average balance	$	399,380	$	417,973	Average balance	$	486,891	$	436,643

The ~~decrease~~increase in our average balance from ~~$418.0~~$436.6 million for the three months ended December 31, ~~2020~~2021 to our average balance of ~~$399.4~~$486.9 million for the three months ended September 30, ~~2021 was due to the securitization~~2022 as a result of certain assets ~~previously~~being on the repurchase ~~lines.~~line for the entire quarter.

As of September 30, ~~2021~~2022 and December 31, ~~2020,~~2021, we did not have any credit facilities or other outstanding debt obligations other than the repurchase facilities, secured borrowings, put option liability, 2024 Notes and ~~our senior convertible notes.~~2027 Notes.

We are not required by our investment guidelines to maintain any specific debt-to-equity ratio, and we believe that the appropriate leverage for the particular assets we hold depends on the credit quality and risk of those assets, as well as the general availability and terms of stable and reliable financing for those assets.

Dividends

We may declare dividends based on, among other things, our earnings, our financial condition, our working capital needs, new opportunities, and distribution requirements imposed on REITs. The declaration of dividends to our stockholders and the amount of such dividends are at the discretion of our Board of Directors.

On November ~~4, 2021,~~3, 2022, our Board of Directors declared a dividend of ~~$0.24~~$0.27 per share, to be paid on November 29, ~~2021~~2022 to stockholders of record as of November 15, ~~2021.~~2022. Our Management Agreement with our Manager requires the payment of an incentive management fee above the amount of the base management fee if either, (1) for any quarterly incentive fee, the sum of cash dividends on our common stock paid out of our taxable income plus any quarterly increase in book value, all calculated on an annualized basis, exceed 8% of our book value, or (2) for any annual incentive fee, the value of quarterly cash dividends on our common stock plus cash special dividends on our common stock ~~all paid out within the applicable calendar year,~~ paid out of our taxable income, plus the increase in our book value, taken together exceeds of 8% (on an annualized basis) of our stock’s book ~~value.~~value at the end of the year. During the three and nine months ended September 30, ~~2021~~2022, we recorded incentive fees payable to the Manager of zero and$0.3 million, respectively. Comparatively, during the three and nine months ended September 30, ~~2020,~~2021 we recorded no incentive fee payable to the Manager. Our dividend payments are driven by the amount of our taxable income, subject to IRS rules for maintaining our status as a REIT.

Our most recently declared quarterly dividend represents a payment of approximately ~~6.00% on~~7.85% on an annualized basis of our book value of ~~$16.00~~$13.75 per share at September 30, ~~2021.~~2022. If our taxable income increases, ~~to the levels we experienced during 2019,~~ we could exceed the threshold for paying an incentive fee to our Manager, and thereby trigger such payments. See Note 10 — Related ~~party transactions.~~Party Transactions.

Off-Balance Sheet Arrangements

Other than our investments in debt securities and beneficial interests issued by joint ventures, which are summarized below by securitization trust, and our equity method investments discussed elsewhere in this report, we do not have any relationships with unconsolidated entities or financial partnerships, such as entities often referred to as structured finance or special purpose entities, which would have been established for the purpose of facilitating off-balance sheet arrangements or other contractually narrow or limited purposes. Further, we have not guaranteed any obligations of unconsolidated entities nor do we have any commitment or intent to provide funding to any such entities. As such, we are not materially exposed to any market, credit, liquidity or financing risk that could arise if we had engaged in such relationships.

Table ~~17:~~18: Investments in ~~joint ventures~~Joint Ventures

We form joint ventures with third party institutional accredited investors to purchase mortgage loans and other mortgage related assets. The debt securities and beneficial interests we carry on our consolidated balance sheets are issued by securitization trusts formed by these joint ventures, which are VIEs, that we have sponsored but which we do not consolidate since we have determined we are not the primary beneficiary.

A summary of our investments in joint ventures is presented below ($ in thousands):


							Great Ajax Corp. Ownership												Great Ajax Corp. Ownership
Issuing Trust/Issue Date	Issuing Trust/Issue Date	Security	Total Original Outstanding Principal		Coupon		Ownership Percent		Original Stated or Notional Principal Balance Retained		Current Owned Stated or Notional Principal Balance Retained		Issuing Trust/Issue Date	Security	Total Original Outstanding Principal		Coupon		Ownership Percent		Original Stated or Notional Principal Balance Retained		Current Owned Stated or Notional Principal Balance Retained
Ajax Mortgage Loan Trust 2018-A/ April 2018	Ajax Mortgage Loan Trust 2018-A/ April 2018	Class A notes due 2058	$	91,036	3.85	%	—	%	$	—	$	—	Ajax Mortgage Loan Trust 2018-A/ April 2018	Class A notes due 2058	$	91,036	3.85	%	—	%	$	—	$	—
		Trust certificates	$	22,759	—	%	9.36	%	$	2,130	$	128		Trust certificates	$	22,759	—	%	9.36	%	$	2,130	$	98

Ajax Mortgage Loan Trust 2018-B/ June 2018	Ajax Mortgage Loan Trust 2018-B/ June 2018	Class A notes due 2057	$	66,374	3.75	%	—	%	$	—	$	—	Ajax Mortgage Loan Trust 2018-B/ June 2018	Class A notes due 2057	$	66,374	3.75	%	—	%	$	—	$	—
		Trust certificates	$	28,447	—	%	20.00	%	$	5,689	$	2,860		Trust certificates	$	28,447	—	%	20.00	%	$	5,689	$	2,513

Ajax Mortgage Loan Trust 2018-D/ September 2018	Ajax Mortgage Loan Trust 2018-D/ September 2018	Class A notes due 2058	$	80,664	3.75	%	20.00	%	$	16,133	$	11,667	Ajax Mortgage Loan Trust 2018-D/ September 2018	Class A notes due 2058	$	80,664	3.75	%	20.00	%	$	16,133	$	—
		Trust certificates	$	20,166	—	%	20.00	%	$	4,033	$	3,915		Trust certificates	$	20,166	—	%	20.00	%	$	4,033	$	790

Ajax Mortgage Loan Trust 2018-E/ December 2018	Ajax Mortgage Loan Trust 2018-E/ December 2018	Class A notes due 2058	$	86,089	4.38	%	—	%	$	—	$	—	Ajax Mortgage Loan Trust 2018-E/ December 2018	Class A notes due 2058	$	86,089	4.38	%	—	%	$	—	$	—
		Class B notes due 2058	$	8,035	5.25	%	—	%	$	—	$	—		Class B notes due 2058	$	8,035	5.25	%	—	%	$	—	$	—
		Trust certificates	$	20,662	—	%	20.00	%	$	4,132	$	902		Trust certificates	$	20,662	—	%	20.00	%	$	4,132	$	743

Ajax Mortgage Loan Trust 2018-F/ December 2018													Ajax Mortgage Loan Trust 2018-F/ December 2018	Class A notes due 2058	$	180,002	4.38	%	—	%	$	—	$	—
														Class B notes due 2058	$	16,800	5.25	%	—	%	$	—	$	—
														Trust certificates	$	43,201	—	%	20.00	%	$	8,640	$	3,964

Ajax Mortgage Loan Trust 2019-E/ September 2019													Ajax Mortgage Loan Trust 2019-E/ September 2019	Class A notes due 2059	$	181,101	3.00	%	6.55	%	$	11,862	$	4,286
														Class B notes due 2059	$	16,903	4.88	%	20.00	%	$	3,381	$	3,381
														Trust certificates	$	43,464	—	%	20.00	%	$	8,693	$	8,558

Ajax Mortgage Loan Trust 2019-G/ December 2019													Ajax Mortgage Loan Trust 2019-G/ December 2019	Class A notes due 2059	$	141,420	3.00	%	5.86	%	$	8,287	$	5,419
														Class B notes due 2059	$	13,199	4.25	%	20.00	%	$	2,640	$	2,640
														Trust certificates	$	33,941	—	%	20.00	%	$	6,788	$	6,820

7982

Great Ajax Corp. Ownership
Issuing Trust/Issue Date Security Total Original Outstanding Principal Coupon Ownership Percent Original Stated or Notional Principal Balance Retained Current Owned Stated or Notional Principal Balance Retained
Ajax Mortgage Loan Trust 2018-F/ December 2018 Class A notes due 2058 $ 180,002 4.38 % — % $ — $ —
Class B notes due 2058 $ 16,800 5.25 % — % $ — $ —
Trust certificates $ 43,201 — % 20.00 % $ 8,640 $ 3,996
Ajax Mortgage Loan Trust 2018-G/ December 2018 Class A notes due 2057 $ 173,562 4.38 % 25.00 % $ 43,390 $ 21,340
Class B notes due 2057 $ 16,199 5.25 % 25.00 % $ 4,050 $ 4,050
Trust certificates $ 41,655 — % 25.00 % $ 10,414 $ 10,585
Ajax Mortgage Loan Trust 2019-A/ March 2019 Class A notes due 2057 $ 127,801 3.75 % 20.00 % $ 25,560 $ 11,851
Class B notes due 2057 $ 11,928 5.25 % 20.00 % $ 2,386 $ 2,388
Trust certificates $ 30,672 — % 20.00 % $ 6,134 $ 6,137
Ajax Mortgage Loan Trust 2019-B/ March 2019 Class A notes due 2059 $ 163,325 3.75 % 15.00 % $ 24,499 $ 12,436
Class B notes due 2059 $ 15,244 5.25 % 15.00 % $ 2,287 $ 2,287
Trust certificates $ 39,198 — % 15.00 % $ 5,880 $ 5,976
Ajax Mortgage Loan Trust 2019-C/ May 2019 Class A notes due 2058 $ 150,037 3.95 % 5.00 % $ 7,502 $ 5,057
Class B notes due 2058 $ 14,003 5.25 % 34.00 % $ 4,761 $ 4,761
Trust certificates $ 36,009 — % 34.00 % $ 12,243 $ 12,417
Ajax Mortgage Loan Trust 2019-E/ September 2019 Class A notes due 2059 $ 181,101 3.00 % 6.55 % $ 11,862 $ 6,627
Class B notes due 2059 $ 16,903 4.88 % 20.00 % $ 3,381 $ 3,381
Trust certificates $ 43,464 — % 20.00 % $ 8,693 $ 8,558
Ajax Mortgage Loan Trust 2019-G/ December 2019 Class A notes due 2059 $ 141,420 3.00 % 5.86 % $ 8,287 $ 6,572
Class B notes due 2059 $ 13,199 4.25 % 20.00 % $ 2,640 $ 2,640
Trust certificates $ 33,941 — % 20.00 % $ 6,788 $ 6,820
Ajax Mortgage Loan Trust 2019-H/ December 2019 Class A notes due 2059 $ 90,381 3.00 % 20.00 % $ 18,076 $ 9,555
Class B notes due 2059 $ 8,435 4.25 % 20.00 % $ 1,687 $ 1,687
Trust certificates $ 21,692 — % 20.00 % $ 4,338 $ 4,375
Ajax Mortgage Loan Trust 2020-A/ March 2020 Class A notes due 2059 $ 249,384 2.38 % 20.00 % $ 49,877 $ 37,953


							Great Ajax Corp. Ownership
Issuing Trust/Issue Date	Security	Total Original Outstanding Principal		Coupon			Ownership Percent		Original Stated or Notional Principal Balance Retained		Current Owned Stated or Notional Principal Balance Retained

Ajax Mortgage Loan Trust 2019-H/ December 2019	Class A notes due 2059	$	90,381	3.00	%		20.00	%	$	18,076	$	5,364
	Class B notes due 2059	$	8,435	4.25	%		20.00	%	$	1,687	$	1,687
	Trust certificates	$	21,692	—	%		20.00	%	$	4,338	$	4,375

Ajax Mortgage Loan Trust 2020-A/ March 2020	Class A notes due 2059	$	249,384	2.38	%		20.00	%	$	49,877	$	30,401
	Class B notes due 2059	$	23,276	3.50	%		20.00	%	$	4,655	$	4,428
	Trust certificates	$	59,852	—	%		20.00	%	$	11,970	$	11,934

Ajax Mortgage Loan Trust 2020-C/ September 2020	Class A notes due 2060	$	339,365	2.25	%		10.01	%	$	33,970	$	1,407
	Class B notes due 2060	$	21,754	5.00	%		10.01	%	$	2,178	$	2,178
	Trust certificates	$	73,964	—	%		10.01	%	$	7,404	$	7,393

Ajax Mortgage Loan Trust 2020-D/ September 2020	Class A notes due 2060	$	330,721	2.25	%		10.01	%	$	33,105	$	5,414
	Class B notes due 2060	$	30,867	5.00	%		10.01	%	$	3,090	$	3,090
	Trust certificates	$	79,373	—	%		10.01	%	$	7,945	$	7,934

Ajax Mortgage Loan Trust 2021-C/ April 2021	Class A notes due 2061	$	194,673	2.12	%		5.01	%	$	9,753	$	6,454
	Class B notes due 2061	$	18,170	3.72	%		31.90	%	$	5,796	$	5,796
	Trust certificates	$	46,722	—	%		31.90	%	$	14,904	$	14,860

Ajax Mortgage Loan Trust 2021-D/ May 2021	Class A notes due 2060	$	191,468	2.00	%		6.94	%	$	13,288	$	10,008
	Class B notes due 2060	$	25,529	4.00	%		20.00	%	$	5,106	$	5,106
	Trust certificates	$	38,293	—	%		20.00	%	$	7,659	$	7,630

Ajax Mortgage Loan Trust 2021-E/ July 2021(1)	Class A notes due 2060	$	430,760	1.82	%	(2)	10.01	%	$	43,119	$	35,169
	Class M notes due 2060	$	19,415	2.94	%		10.01	%	$	1,943	$	1,943
	Class B-1 and B-2 notes due 2060	$	38,313	3.73	%		10.01	%	$	3,835	$	3,835

8083

Great Ajax Corp. Ownership
Issuing Trust/Issue Date Security Total Original Outstanding Principal Coupon Ownership Percent Original Stated or Notional Principal Balance Retained Current Owned Stated or Notional Principal Balance Retained
Class B notes due 2059 $ 23,276 3.50 % 20.00 % $ 4,655 $ 4,428
Trust certificates $ 59,852 — % 20.00 % $ 11,970 $ 11,934
Ajax Mortgage Loan Trust 2020-C/ September 2020 Class A notes due 2060 $ 339,365 2.25 % 10.01 % $ 33,970 $ 2,848
Class B notes due 2060 $ 21,754 5.00 % 10.01 % $ 2,178 $ 2,178
Trust certificates $ 73,964 — % 10.01 % $ 7,404 $ 7,393
Ajax Mortgage Loan Trust 2020-D/ September 2020 Class A notes due 2060 $ 330,721 2.25 % 10.01 % $ 33,105 $ 7,444
Class B notes due 2060 $ 30,867 5.00 % 10.01 % $ 3,090 $ 3,090
Trust certificates $ 79,373 — % 10.01 % $ 7,945 $ 7,934
Ajax Mortgage Loan Trust 2021-C/ April 2021 Class A notes due 2061 $ 194,673 2.12 % 5.01 % $ 9,753 $ 8,683
Class B notes due 2061 $ 18,170 3.72 % 31.90 % $ 5,796 $ 5,796
Trust certificates $ 46,722 — % 31.90 % $ 14,904 $ 14,860
Ajax Mortgage Loan Trust 2021-D/ May 2021 Class A notes due 2060 $ 191,468 2.00 % 6.94 % $ 13,288 $ 12,635
Class B notes due 2060 $ 25,529 4.00 % 20.00 % $ 5,106 $ 5,106
Trust certificates $ 38,293 — % 20.00 % $ 7,659 $ 7,630
Ajax Mortgage Loan Trust 2021-E/ July 2021(1)
Class A notes due 2060 $ 430,760 1.82 % (3) 10.01 % $ 43,119 $ 41,288
Class M notes due 2060(2)
$ 19,415 2.94 % 10.01 % $ 1,943 $ 1,943
Class B-1 and B-2 notes due 2060 $ 38,313 3.73 % 10.01 % $ 3,835 $ 3,835
Class B-3 notes due 2060 $ 29,253 3.73 % 19.57 % $ 5,725 $ 5,726
Trust certificates $ 518,357 — % 19.57 % $ 101,471 (4) $ 101,086
Ajax Mortgage Loan Trust 2021-F/ June 2021 Class A notes due 2061 $ 476,082 1.88 % 12.60 % $ 59,986 $ 57,815
Class B notes due 2061 $ 49,463 3.75 % 12.60 % $ 6,232 $ 6,232
Trust certificates $ 92,743 — % 12.60 % $ 11,686 $ 11,686
Ajax Mortgage Loan Trust 2021-G/ June 2021 Class A notes due 2061 $ 317,573 1.88 % 7.26 % $ 23,056 $ 21,720
Class B notes due 2061 $ 32,995 3.75 % 20.00 % $ 6,599 $ 6,413


							Great Ajax Corp. Ownership
Issuing Trust/Issue Date	Security	Total Original Outstanding Principal		Coupon			Ownership Percent			Original Stated or Notional Principal Balance Retained			Current Owned Stated or Notional Principal Balance Retained
	Class B-3 notes due 2060	$	29,253	3.73	%		19.57	%		$	5,725		$	5,726
	Trust certificates	$	518,357	—	%		19.57	%		$	101,471	(3)	$	3,073

Ajax Mortgage Loan Trust 2021-F/ June 2021	Class A notes due 2061	$	476,082	1.88	%		12.60	%		$	59,986		$	47,103
	Class B notes due 2061	$	49,463	3.75	%		12.60	%		$	6,232		$	6,232
	Trust certificates	$	92,743	—	%		12.60	%		$	11,686		$	11,670

Ajax Mortgage Loan Trust 2021-G/ June 2021	Class A notes due 2061	$	317,573	1.88	%		7.26	%		$	23,056		$	17,599
	Class B notes due 2061	$	32,995	3.75	%		20.00	%		$	6,599		$	6,413
	Trust certificates	$	61,864	—	%		20.00	%		$	12,373		$	11,630

2021-NPL 1/ November 2021	Class A notes due 2051	$	253,970	2.00	%		16.33	%		$	41,482		$	35,289
	Class B notes due 2051	$	23,088	4.63	%		16.33	%		$	3,771		$	3,771
	Trust Certificates	$	52,773	—	%		16.33	%		$	8,620		$	8,575

Ajax Mortgage Loan Trust 2022-A/ April 2022	Class A notes due 2061	$	154,921	3.47	%	(2)	6.24	%	(4)	$	9,664		$	8,742
	Class M notes due 2061	$	21,762	3.00	%		23.28	%		$	5,066		$	5,066
	Class B notes due 2061	$	25,856	3.00	%		23.28	%		$	6,019		$	—
	Trust Certificates	$	12,928	—	%		23.28	%		$	3,010		$	8,895

Ajax Mortgage Loan Trust 2022-B/ June 2022	Class A notes due 2062	$	169,924	3.47	%	(2)	5.70	%	(4)	$	9,692		$	9,141
	Class M notes due 2062	$	17,776	3.00	%		17.18	%		$	3,054		$	3,054
	Class B notes due 2062	$	22,083	3.00	%		17.18	%		$	3,794		$	—
	Trust Certificates	$	11,042	—	%		17.18	%		$	1,897		$	5,600

(1)Ajax Mortgage Loan Trust 2021-E ~~("2021-E")~~ was formed on July 19, 2021 which was subsequent to completing Ajax Mortgage Loan Trust 2021-F and 2021-G. The trust ~~intends to make~~made an election to be taxed as a REMIC however the residual class was placed with an unrelated third party.

(2)~~2021-E includes Class M notes.~~

~~(3)~~Weighted average of Class A notes.

~~(4)~~(3)The trust certificate has no stated principal balance and is tied to the unpaid balance of the underlying mortgage loans.

(4)Weighted average ownership of Class A notes.

~~Table 18:~~

Contractual Obligations

~~A summary of our~~Our contractual obligations asinclude obligations under repurchase agreements, our 2024 notes, our 2027 notes, accrued interest on the repurchase agreements and notes, and the put obligation on our outstanding warrants.

We use repurchase agreements to finance certain acquisitions of mortgage loans and certain debt securities we retain from our securitizations. At September 30, ~~2021~~2022 and December 31, ~~2020~~2021, our repurchase obligations totaled $463.3 million and $546.1 million, respectively. Our repurchase financing is considered short term in nature as ~~follows ($ in thousands):~~the underlying agreements generally renew within one year. (See “Repurchase Transactions” above.)

September 30, 2021 Payments Due by Period
Total Less than 1 Year 1 – 3 Years 3 – 5 Years More than 5 Years
Convertible senior notes $ 105,850 $ — $ 105,850 $ — $ —
Borrowings under repurchase agreements 399,340 399,340 — — —
Interest on convertible senior notes 21,423 7,674 13,749 — —
Interest on repurchase agreements 3,353 3,353 — — —
Put obligation on outstanding common stock warrants 50,707 — 50,707 — —
Total $ 580,673 $ 410,367 $ 170,306 $ — $ —
Our 2024 Notes had outstanding principal balances of $104.5 million and $104.6 million at September 30, 2022 and December 31, 2021, respectively. The 2024 Notes will mature on April 30, 2024 unless earlier repurchased, converted or redeemed. During certain periods and subject to certain conditions the 2024 Notes will be convertible by their holders into shares of our common stock at a current conversion rate of 1.7405 shares of common stock per $25.00 principal amount of the notes, which represents a conversion price of approximately $14.36 per share of common stock. The conversion rate, and thus the conversion price, may be subject to adjustment under certain circumstances. (See "Critical Accounting Policies" above.)

December 31, 2020 Payments Due by Period
Total Less than 1 Year 1 – 3 Years 3 – 5 Years More than 5 Years
Convertible senior notes $ 113,350 $ — $ — $ 113,350 $ —
Borrowings under repurchase agreements 421,132 421,132 — — —
Interest on convertible senior notes 29,105 8,218 16,436 4,451 —
Interest on repurchase agreements 3,345 3,345 — — —
Put obligation on outstanding common stock warrants 50,707 — — 50,707 —
Total $ 617,639 $ 432,695 $ 16,436 $ 168,508 $ —
Our 2027 Notes had an outstanding principal balance of $110.0 million at September 30, 2022 and zero at December 31, 2021. The 2027 Notes will mature on September 1, 2027. (See "Critical Accounting Policies" above.)

Our accrued interest expense associated with our repurchase obligations at September 30, 2022 and December 31, 2021, was $1.3 million and $0.9 million, respectively. Our interest expense expected to be paid on our 2024 Notes at September 30, 2022 and December 31, 2021, was $13.6 million and $19.3 million, respectively. Our interest expense expected to be paid on our 2027 Notes at September 30, 2022 and December 31, 2021, was $49.0 million and zero, respectively. Interest expense accrued on our repurchase financings is paid upon the maturity of a financing. Unless the repurchase financing is renewed, we are required to repay the borrowing and any accrued interest and we concurrently receive back our pledged collateral from the lender. Interest expense on our 2024 Notes is paid quarterly in arrears on January 15, April 15, July 15 and October 15 of each year. Interest expense on our 2027 Notes is payable semi-annually on March 1 and September 1, with the first payment due and payable on March 1, 2023.

We have two series of five-year warrants outstanding which allow the holders to purchase an aggregate of 1,950,672 shares of our common stock at an exercise price of $10.00 per share. Each series of warrants includes a put option that allows the holder to sell the warrants back to us at a specified put price on or after July 6, 2023. We believe the most economically beneficial result for the holders will be to exercise the put, which we expect to settle for $15.7 million.

Our secured borrowings are not included ~~in the table above~~under our contractual obligations as such borrowings are non-recourse to us and principal and interest are only paid to the extent that cash flows from mortgage loans (in the securitization trust) collateralizing the debt are received. Accordingly, a projection of contractual maturities over the next five years is inapplicable.

Subsequent Events

Since quarter end, we have acquired 20three residential RPLs ~~in two transactions from two different sellers, and one NPL~~ in one transaction from a single seller with aggregate UPB of ~~$2.4 million and $0.4 million, respectively.~~$0.8 million. The purchase price of the RPLs ~~equaled~~ was ~~68.8%~~78.5% of UPB and ~~47.3%~~58.2% of the estimated market value of the underlying collateral of ~~$3.5 million. The purchase price of the NPL was 97.4% of UPB and 84.4% of the estimated market value of the underlying collateral of $0.4~~$1.1 million.

We have agreed to acquire, subject to due diligence, ~~four~~two residential RPLs ~~in four transactions, and three NPLs~~ in two transactions with aggregate UPB of ~~$1.7 million and $0.8 million, respectively.~~$0.6 million. The purchase price of the residential RPLs is ~~96.5%~~84.2% of UPB and ~~70.3%~~58.6% of the estimated market value of the underlying collateral of ~~$2.4~~$0.9 million.

On October 26, 2022, we co-invested with third-party institutional investors to form 2022-RPL1 and acquired 17.5% of the securities and trust certificates from the trust. 2022-RPL1 acquired 1,948 RPLs with aggregate UPB of $293.6 million. The purchase price ~~of the NPLs~~including joint venture expenses is ~~93.9%~~86.7% of UPB and ~~61.8%~~39.0% of the estimated market value of the underlying collateral of ~~$1.2~~$653.1 million.

Based on the structure of the transaction, we will not consolidate 2022-RPL1 under U.S. GAAP.

We have agreed to acquire, subject to due diligence, 2,498 NPLs with aggregate UPB of $350.9 million in one transaction from a single seller. The purchase price is 103.5% of UPB and 49.4% of the estimated market value of the underlying collateral of $734.9 million. These loans are expected to be acquired through a joint venture with third party institutional accredited investors. We expect our ownership percentage to be approximately 16.3%.

On November ~~4, 2021,~~3, 2022, our Board of Directors declared a cash dividend of ~~$0.24~~$0.27 per share to be paid on November 29, ~~2021~~2022 to stockholders of record as of November 15, ~~2021.~~2022.

Item 3. Quantitative and Qualitative Disclosures about Market Risk

The primary components of our market risk are related to real estate risk, interest rate risk, prepayment risk and credit risk. We seek to actively manage these and other risks and to acquire and hold assets at prices that we believe justify bearing those risks, and to maintain capital levels consistent with those risks. The pandemic presents risks and uncertainties that we describe under “Risk Factors” and many of these are outside of our control.

Real Estate Risk

Residential property values are subject to volatility and may be affected adversely by a number of factors, including, but not limited to, national, regional and local economic conditions (which may be adversely affected by industry slowdowns, public health crises and other factors); local real estate conditions (such as an oversupply of housing); construction quality, age and design; demographic factors; and retroactive changes to building or similar codes. Increases in interest rates will result in lower refinancing volume, and home price increases will slow. Decreases in property values ~~could~~may cause us to suffer losses.

Interest Rate Risk

We expect to continue to securitize our whole loan portfolios, primarily as a financing tool, when economically efficient to create long-term, fixed rate, non-recourse financing with moderate leverage, while retaining one or more tranches of the subordinate MBS so created. ~~Interest~~We expect to continue to utilize repurchase lines of credit as an interim financing tool until we have sufficient volume to execute a secured borrowing. Increases in interest rates ~~are highly sensitive to many factors, including governmental monetary~~will increase our cost of funds for new secured borrowings and ~~tax policies, domestic and international economic and political considerations and other factors beyond~~ our ~~control.~~cost of funds on repurchase lines of credit on the repurchase reset date. Changes in interest rates may affect the fair value of the mortgage loans and real estate underlying our portfolios as well as our financing interest rate expense. Additionally, rises in interest rates may result in a lower refinance volume of our portfolio.

~~We believe that a rising interest rate environment could have a positive effect on~~Interest rates are highly sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations and other factors beyond our ~~operations to the extent we own rental real property or seek to sell real property.~~ control.

Rising interest rates could be accompanied by inflation and higher household incomes which generally correlate closely to higher rent levels and property values. It is possible that the value of our real estate assets and our net income could decline in a rising interest rate environment to the extent that our real estate assets are financed with floating rate debt and there is no accompanying increase in loan yield and rental yield or property values.

Prepayment Risk

Prepayment risk is the risk of change, whether an increase or a decrease, in the rate at which principal is returned in respect of the mortgage loans we own as well as the mortgage loans underlying our retained MBS, including both through voluntary prepayments and through liquidations due to defaults and foreclosures. This rate of prepayment is affected by a variety of factors, including the prevailing level of interest rates as well as economic, demographic, tax, social, legal and other factors. Prepayment rates, besides being subject to interest rates and borrower behavior, are also substantially affected by government policy and regulation. Changes in prepayment rates will have varying effects on the different types of assets in our portfolio. We attempt to take these effects into account. We will generally purchase RPLs and NPLs at discounts from UPB and underlying property values. An increase in prepayments would accelerate the repayment of the discount and lead to increased yield on our assets while also causing re-investment risk that we can find additional assets with the same interest and return levels. A decrease in prepayments would likely have the opposite effects. We currently expect the pace of loan prepayments to

slow due to ~~the pandemic.~~rising interest rates.

Credit Risk

We are subject to credit risk in connection with our assets. While we will engage in diligence on assets we will acquire, such due diligence may not reveal all of the risks associated with such assets and may not reveal other weaknesses in such assets, which could lead us to misprice acquisitions. Property values are subject to volatility and may be affected adversely

by a number of factors, including, but not limited to, national, regional and local economic conditions (which may be adversely affected by industry slowdowns, public health crises and other factors), local real estate conditions (such as an oversupply of

housing), changes or continued weakness in specific industry segments, construction quality, age and design, demographic factors and retroactive changes to building or similar codes.

There are many reasons borrowers will fail to pay including but not limited to, in the case of residential mortgage loans, reductions in personal income, job loss and personal events such as divorce or health problems, and in the case of commercial mortgage loans, reduction in market rents and occupancies and poor property management services by borrowers. We will rely on the Servicer to mitigate our risk. Such mitigation efforts may include loan modifications and prompt foreclosure and property liquidation following a default. If a sufficient number of re-performing borrowers default, our results of operations will suffer and we may not be able to pay our own financing costs.

Inflation

Virtually all of our assets and liabilities are interest-rate sensitive in nature. ~~As a result,~~Recent and expected rate increases by the Federal Reserve Bank to mitigate inflation have increased and are expected to continue to increase our cost of funds. Increasing mortgage interest rates and other factors influence our performance far more so than does inflation. Changes in interest rates do not necessarily correlate with inflation rates or changes in inflation rates. Our activities and consolidated balance sheet are measured with reference to historical cost and/or fair market value without considering inflation. It is possible, however, thatmay also have a negative impact on housing prices. Additionally, inflation that ~~is not accompanied by a corresponding~~outpaces wage ~~increase~~increases could drive a decrease in disposable household income and increase the credit risk of certain borrowers.

Item 4. Controls and Procedures

Evaluation of Disclosure Controls and Procedures

We conducted an evaluation of the effectiveness of the design and operation of our disclosure controls and procedures as of the end of the period covered by this report on Form 10-Q. The controls evaluation was conducted under the supervision and with the participation of management, including our Chief Executive Officer and Chief Financial Officer. Disclosure controls and procedures are controls and procedures designed to reasonably assure that information required to be disclosed in our reports filed under the Securities Exchange Act of 1934, as amended (the “Exchange Act”), such as this Report on Form 10-Q, is recorded, processed, summarized and reported within the time periods specified in the SEC’s rules and forms. Disclosure controls and procedures are also designed to reasonably assure that such information is accumulated and communicated to our management, including the Chief Executive Officer and Chief Financial Officer, as appropriate to allow timely decisions regarding required disclosure.

Based on the controls evaluation, our Chief Executive Officer and Chief Financial Officer have concluded that, as of the end of the period covered by this Form 10-Q, our disclosure controls and procedures were effective to provide reasonable assurance that information required to be disclosed in our Exchange Act reports is recorded, processed, summarized and reported within the time periods specified by the SEC, and that material information related to our company and our consolidated subsidiaries is made known to management, including the Chief Executive Officer and Chief Financial Officer, particularly during the period when our periodic reports are being prepared.

Internal Control Over Financial Reporting

There have been no changes in our internal control over financial reporting that occurred during the last fiscal quarter that have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.

8487

PART II. OTHER INFORMATION

Item 1. Legal Proceedings

Neither we nor any of our subsidiaries are party to nor is any of our property the subject of any material pending legal or regulatory proceedings. We and our affiliates may be involved, from time to time, in legal proceedings that arise in the ordinary course of business.

Item 1A. Risk Factors

For information regarding factors that could affect our results of operations, financial condition, and liquidity, see the risk factors discussed under “Risk Factors” in Part I, Item 1A of our Annual Report on Form 10-K for the year ended December 31, ~~2020.~~2021. There have been no material changes from these previously disclosed risk factors.

Item 2. Purchases of Equity Securities by the Issuer and Affiliated Purchasers

On February 28, 2020, our Board of Directors approved a stock repurchase of up to $25.0 million of our common shares. The amount and timing of any repurchases depends on a number of factors, including but not limited to the price and availability of the common shares, trading volume and general circumstances and market conditions.

For the three months ended September 30, 2022, we had no repurchases; however, for the nine months ended September 30, 2022 we repurchased 475,355 shares of our common stock through open market transactions. Comparatively for the three and nine ended September 30, 2021, we did not repurchase any shares of our common stock.

A summary of the repurchase activity is set forth in the table below ($ in thousands, except for per share amounts):


Period	Total Number of Shares Repurchased	Average Price Per Share		Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs	Approximate Dollar Value of Shares that May Yet Be Purchased Under the Plan or Programs
April 1 - June 30, 2022	475,355	$	9.77	525,039	$	19,904

Item 2A. Unregistered Sales of Securities

~~Unregistered Sales of Equity Securities~~

On August ~~9, 2021~~8, 2022 we issued each of our five independent directors ~~805~~1,917 shares of common stock in partial payment of their quarterly director fees for the second quarter of ~~2021.~~2022. These shares were issued in reliance on the exemption from registration set forth in Section 4(a)(2) of the Securities Act.

Item 3. Defaults Upon Senior Securities

None.

Item 4. Mine Safety Disclosures

Not applicable.

Item 5. Other Information

None.

Item 6. Exhibits

The exhibits listed in the accompanying Exhibit Index are filed or furnished as part of this Quarterly Report on Form 10-Q.

8588

EXHIBIT INDEX


Exhibit Number						Exhibit Description
31.1*						Rule 13a-14(a) Certification of Chief Executive Officer of the Company in accordance with Section 302 of the Sarbanes-Oxley Act of 2002.
31.2*						Rule 13a-14(a) Certification of Chief Financial Officer of the Company in accordance with Section 302 of the Sarbanes-Oxley Act of 2002.
32.1*						Section 1350 Certification of Chief Executive Officer of the Company in accordance with Section 906 of the Sarbanes-Oxley Act of 2002.
32.2*						Section 1350 Certification of Chief Financial Officer of the Company in accordance with Section 906 of the Sarbanes-Oxley Act of 2002.
101.INS**						Inline XBRL Instance Document
101.SCH**						Inline XBRL Taxonomy Extension Schema Document
101.CAL**						Inline XBRL Taxonomy Extension Calculation Linkbase Document
101.DEF**						Inline XBRL Taxonomy Definition Linkbase Document
101.LAB**						Inline XBRL Taxonomy Definition Linkbase Document
101.PRE**						Inline XBRL Taxonomy Extension Presentation Linkbase Document
104**						Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101)

* Filed herewith.

** Furnished herewith.

8689

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


		GREAT AJAX CORP.

Date: November ~~5, 2021~~4, 2022	By:	/s/ Lawrence Mendelsohn
		Lawrence Mendelsohn
		Chairman and Chief Executive Officer (Principal Executive Officer)

Date: November ~~5, 2021~~4, 2022	By:	/s/ Mary Doyle
		Mary Doyle
		Chief Financial Officer (Principal Financial and Accounting Officer)

8790


PART I Financial Information

Item 1. Consolidated Interim Financial Statements			1

Cautionary Statement Regarding Forward-Looking Statements			5155

Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations			5256

Item 3. Quantitative and Qualitative Disclosures About Market Risk			8385

Item 4. Controls and Procedures			8487

PART II Other Information

Item 1. Legal Proceedings			8588

Item 1A. Risk Factors			8588

Item 2. Purchases of Equity Securities by the Issuer and Affiliated Purchasers			88

Item 2A. Unregistered Sales of Securities			8588

Item 3. Defaults Upon Senior Securities			8588

Item 4. Mine Safety Disclosure			8588

Item 5. Other Information			8588

Item 6. Exhibits			8588


	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


				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	%


	Three months ended September 30, 2021					Three months ended September 30, 2020
	Income (Numerator)		Shares (Denominator)	Per Share Amount		Income (Numerator)		Shares (Denominator)	Per Share Amount
Basic EPS
Consolidated net income attributable to common stockholders	$	9,313	22,862,429			$	5,280	22,844,192
Allocation of earnings to participating restricted shares	(92)		—			(33)		—
Consolidated net income attributable to unrestricted common stockholders	$	9,221	22,862,429	$	0.40	$	5,247	22,844,192	$	0.23
Effect of dilutive securities(1)
Restricted stock grants and Manager and director fee shares	92		229,291			33		145,424
Interest expense (add back) and assumed conversion of shares from convertible senior notes(2)	2,237		7,315,929			—		—
Diluted EPS
Consolidated net income attributable to common stockholders and dilutive securities	$	11,550	30,407,649	$	0.38	$	5,280	22,989,616	$	0.23


	Nine months ended September 30, 2021					Nine months ended September 30, 2020
	Income (Numerator)		Shares (Denominator)	Per Share Amount		Income (Numerator)		Shares (Denominator)	Per Share Amount
Basic EPS
Consolidated net income attributable to common stockholders	$	26,695	22,835,237			$	11,922	22,575,480
Allocation of earnings to participating restricted shares	(222)		—			(68)		—
Consolidated net income attributable to unrestricted common stockholders	$	26,473	22,835,237	$	1.16	$	11,854	22,575,480	$	0.53
Effect of dilutive securities(1,2)
Interest expense (add back) and assumed conversion of shares from convertible senior notes(3)	6,836		7,451,376			—		—
Diluted EPS
Consolidated net income attributable to common stockholders and dilutive securities	$	33,309	30,286,613	$	1.10	$	11,854	22,575,480	$	0.53


	Three months ended September 30,
	2021		2020(1)
Average mortgage loan portfolio	$	976,829	$	1,097,046
Average carrying value of debt securities	$	387,247	$	259,433
Average carrying value of beneficial interests	$	133,567	$	71,576
Total average asset level debt	$	1,044,125	$	1,038,406


September 30, 2021				December 31, 2020(1,2)
No. of Loans	5,353			No. of Loans	6,031
Total UPB(3)	$	1,071,034		Total UPB(3)	$	1,204,804
Interest-Bearing Balance	$	985,282		Interest-Bearing Balance	$	1,127,499
Deferred Balance(4)	$	85,752		Deferred Balance(4)	$	77,305
Market Value of Collateral(5)	$	1,925,879		Market Value of Collateral(5)	$	1,967,419
Original Purchase Price/Total UPB	82.7		%	Original Purchase Price/Total UPB	82.2		%
Original Purchase Price/Market Value of Collateral	49.2		%	Original Purchase Price/Market Value of Collateral	53.7		%
Weighted Average Coupon	4.31		%	Weighted Average Coupon	4.44		%
Weighted Average LTV(6)	66.6		%	Weighted Average LTV(6)	72.8		%
Weighted Average Remaining Term (months)	296			Weighted Average Remaining Term (months)	297
No. of first liens	5,293			No. of first liens	5,973
No. of second liens	60			No. of second liens	58
No. of Rental Properties	—			No. of Rental Properties	6
Capital Invested in Rental Properties	$	—		Capital Invested in Rental Properties	$	710
RPLs	85.9		%	RPLs	94.4		%
NPLs	11.7		%	NPLs	3.5		%
SBC loans	2.4		%	SBC loans	2.1		%
No. of REO properties held-for-sale	31			No. of REO properties held-for-sale	32
Market Value of Other REO(7)	$	6,971		Market Value of Other REO(7)	$	8,105
Carrying value of debt securities and beneficial interests in trusts	$	476,158		Carrying value of debt securities and beneficial interests in trusts	$	369,330


September 30, 2021	Payments Due by Period
	Total		Less than 1 Year		1 – 3 Years		3 – 5 Years		More than 5 Years
Convertible senior notes	$	105,850	$	—	$	105,850	$	—	$	—
Borrowings under repurchase agreements	399,340		399,340		—		—		—
Interest on convertible senior notes	21,423		7,674		13,749		—		—
Interest on repurchase agreements	3,353		3,353		—		—		—
Put obligation on outstanding common stock warrants	50,707		—		50,707		—		—
Total	$	580,673	$	410,367	$	170,306	$	—	$	—