Rithm Property Trust 10Q 2024 Q1 Quarterly report

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 March 31, 2024

☐ 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 May 1, 2024, 36,982,966 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)	March 31, 2024		December 31, 2023
ASSETS	(Unaudited)
Cash and cash equivalents	$	100,054	$	52,834
Mortgage loans held-for-sale, net(1)	368,288		55,718
Mortgage loans held-for-investment, net(1,2)	438,698		864,551
Real estate owned properties, net(3)	5,191		3,785
Investments in securities available-for-sale(4)	125,126		131,558
Investments in securities held-to-maturity(5)	54,085		59,691
Investments in beneficial interests(6)	88,577		104,162
Receivable from servicer	4,240		7,307
Investments in affiliates	28,300		28,000
Prepaid expenses and other assets	31,896		28,685
Total assets	$	1,244,455	$	1,336,291
LIABILITIES AND EQUITY
Liabilities:
Secured borrowings, net(1,7)	$	399,699	$	411,212
Borrowings under repurchase transactions	354,039		375,745
Convertible senior notes(7)	103,516		103,516
Notes payable, net(7)	107,059		106,844
Management fee payable	1,951		1,998
Warrant liability	2,054		16,644
Accrued expenses and other liabilities	19,901		9,437
Total liabilities	988,219		1,025,396
Commitments and contingencies – see Note 8
Equity:
Preferred stock $0.01 par value, 25,000,000 shares authorized
Series A 7.25% Fixed-to-Floating Rate Cumulative Redeemable, $25.00 liquidation preference per share, 135,930 shares issued and zero outstanding at March 31, 2024 and 424,949 shares issued and outstanding at December 31, 2023(8)	—		9,411
Series B 5.00% Fixed-to-Floating Rate Cumulative Redeemable, $25.00 liquidation preference per share, 363,245 shares issued and zero outstanding at March 31, 2024 and 1,135,590 shares issued and outstanding at December 31, 2023(8)	—		25,143
Common stock $0.01 par value; 125,000,000 shares authorized, 36,992,019 shares issued and outstanding at March 31, 2024 and 27,460,161 shares issued and outstanding at December 31, 2023	380		285
Additional paid-in capital	408,732		352,060
Treasury stock	(9,557)		(9,557)
Retained deficit	(132,400)		(54,382)
Accumulated other comprehensive loss	(12,858)		(14,027)
Equity attributable to stockholders	254,297		308,933
Non-controlling interests(9)	1,939		1,962
Total equity	256,236		310,895
Total liabilities and equity	$	1,244,455	$	1,336,291

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

(1)Mortgage loans held-for-sale, net and mortgage loans held-for-investment, net include $623.2 million and $628.6 million of loans at March 31, 2024 and December 31, 2023, respectively, transferred to securitization trusts that are variable interest entities (“VIEs”); these loans can only be used to settle obligations of the VIEs. Secured 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 $0.4 million and $3.4 million of allowance for expected credit losses at March 31, 2024 and December 31, 2023, respectively.

(2)As of March 31, 2024 and December 31, 2023, balances for Mortgage loans held-for-investment, net include $0.2 million and $0.6 million, respectively, from a 50.0% owned joint venture, which the Company consolidates under U.S. Generally Accepted Accounting Principles ("U.S. GAAP" or "GAAP").

(3)Real estate owned properties, net, are presented net of valuation allowances of $1.6 million and $1.2 million at March 31, 2024 and December 31, 2023, respectively.

(4)Investments in securities available-for-sale (“AFS”) are presented at fair value. As of March 31, 2024, Investments in securities AFS include an amortized cost basis of $132.8 million and a net unrealized loss of $7.7 million. As of December 31, 2023, Investments in securities AFS include an amortized cost basis of $139.6 million and net unrealized loss of $8.0 million.

(5)On January 1, 2023, the Company transferred certain of its investments in securities to held-to-maturity ("HTM") due to European risk retention regulations. As of March 31, 2024, Investments in securities HTM includes an allowance for expected credit losses of zero and remaining discount of $5.2 million related to the unamortized unrealized loss in Accumulated other comprehensive income ("AOCI"). As of December 31, 2023, Investments in securities HTM includes an allowance for expected credit losses of zero and remaining discount of $6.0 million related to the unamortized unrealized loss in AOCI.

(6)Investments in beneficial interests includes allowance for expected credit losses of $9.1 million and $6.9 million at March 31, 2024 and December 31, 2023, respectively.

(7)Secured borrowings, net are presented net of deferred issuance costs of $2.8 million at March 31, 2024 and $3.1 million at December 31, 2023. Convertible senior notes are presented net of deferred issuance costs of zero at both March 31, 2024 and December 31, 2023. Notes payable, net are presented net of deferred issuance costs and discount of $2.9 million at March 31, 2024 and $3.2 million at December 31, 2023.

(8)The preferred shares issued but not outstanding are the preferred shares that were not redeemed with common stock and are pending approval by a vote of the Company's shareholders. The obligation to redeem these shares is currently recorded as $12.6 million in Accrued expenses and other liabilities on the Company's consolidated balance sheets at March 31, 2024.

(9)As of March 31, 2024, non-controlling interests includes $0.8 million from a 50.0% owned joint venture, $1.0 million from a 53.1% owned subsidiary and $0.1 million from a 99.9% owned subsidiary which the Company consolidates. As of December 31, 2023, non-controlling interests includes $0.8 million from a 50.0% owned joint venture, $1.0 million from a 53.1% owned subsidiary and $0.1 million from a 99.9% owned subsidiary which the Company consolidates.

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

GREAT AJAX CORP. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF OPERATIONS

(Unaudited)


	Three months ended
($ in thousands except per share data)	March 31, 2024		March 31, 2023
INCOME
Interest income	$	15,738	$	18,456
Interest expense	(14,106)		(14,925)
Net interest income	1,632		3,531
Net (increase)/decrease in the net present value of expected credit losses	(4,230)		621
Net interest (loss)/income after the impact of changes in the net present value of expected credit losses	(2,598)		4,152
Income/(loss) from investments in affiliates	521		(98)
Loss on joint venture refinancing on beneficial interests	—		(995)
Mark to market loss on mortgage loans held-for-sale, net	(47,307)		—
Other income/(loss)	3		(2,519)
Total (loss)/revenue, net	(49,381)		540
EXPENSE
Related party expense – loan servicing fees	1,734		1,860
Related party expense – management fee	17,459		1,828
Professional fees	705		934
Fair value adjustment on put option liability and warrants	1,353		1,622
Other expense	2,445		1,614
Total expense	23,696		7,858
Gain on debt extinguishment	—		(47)
Loss before provision for income taxes	(73,077)		(7,271)
Provision for income taxes	915		93
Consolidated net loss	(73,992)		(7,364)
Less: consolidated net (loss)/income attributable to the non-controlling interest	(14)		30
Consolidated net loss attributable to the Company	(73,978)		(7,394)
Less: dividends on preferred stock	341		547
Consolidated net loss attributable to common stockholders	$	(74,319)	$	(7,941)
Basic loss per common share	$	(2.41)	$	(0.34)
Diluted loss per common share	$	(2.41)	$	(0.34)
Weighted average shares – basic	30,700,278		22,920,943
Weighted average shares – diluted	30,893,391		22,920,943

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

GREAT AJAX CORP. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF COMPREHENSIVE LOSS

(Unaudited)


	Three months ended
($ in thousands)	March 31, 2024		March 31, 2023
Consolidated net loss attributable to common stockholders	$	(74,319)	$	(7,941)
Other comprehensive loss:
Unrealized gain on available-for-sale securities	374		3,853
Amortization of unrealized loss on debt securities available-for-sale transferred to held-to-maturity	795		2,033
Income tax expense related to items of other comprehensive income	—		—
Comprehensive loss	$	(73,150)	$	(2,055)

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

GREAT AJAX CORP. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF CASH FLOWS

(Unaudited)


	Three months ended
($ in thousands)	March 31, 2024		March 31, 2023
CASH FLOWS FROM OPERATING ACTIVITIES
Consolidated net loss	$	(73,992)	$	(7,364)
Adjustments to reconcile net income to net cash from operating activities
Stock-based management termination fee and compensation expense	15,777		600
Mark to market on mortgage loans held-for-sale, net	47,307		—
Discount accretion on mortgage loans	(1,925)		(1,713)
Interest and discount accretion on investment in debt securities	(2,220)		(2,464)
Discount accretion on investment in beneficial interests	(736)		(2,057)
Loss on sale of mortgage loans	438		—
Gain on debt extinguishment	—		(47)
Gain on sale of real estate owned properties	(8)		(91)
Loss on sale of securities	—		2,974
Impairment of real estate owned	396		111
Credit loss expense on mortgage loans and beneficial interests	43		44
Net increase/(decrease) in the net present value of expected credit losses	4,230		(621)
Loss on loans and joint venture refinancing on beneficial interests	—		995
Amortization of debt discount and prepaid financing costs	1,278		845
Undistributed (income)/loss from investment in affiliates	(521)		98
Fair value adjustment on put option liability and warrants	1,353		1,622
Net change in operating assets and liabilities
Prepaid expenses and other assets	(1,220)		(6,405)
Receivable from servicer	3,738		(2,172)
Accrued expenses, management fee payable, and other liabilities	(2,164)		(1,160)
Net cash from operating activities	(8,226)		(16,805)
CASH FLOWS FROM INVESTING ACTIVITIES
Purchase of mortgage loans and related balances	—		(604)
Principal paydowns on mortgage loans	13,489		21,482
Proceeds from sale of mortgage loans	50,132		—
Proceeds from refinancing and sale of securities available-for-sale and beneficial interests	—		29,413
Purchase of securities available-for-sale and beneficial interests	—		(16,335)
Principal and interest collection on debt securities available-for-sale and beneficial interests	21,801		17,721
Principal and interest collection on debt securities held-to-maturity	6,828		11,251
Proceeds from sale of property held-for-sale	222		1,052
Investment in equity method investments	—		(726)
Distribution from affiliates	221		252
Net cash from investing activities	92,693		63,506
CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from repurchase transactions	33,235		13,376
Repayments on repurchase transactions	(54,941)		(40,578)
Repayments on secured borrowings	(11,833)		(12,963)

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


Repurchase of the Company's senior convertible notes	—		(952)
Sale of common stock, net of offering costs	—		2,427
Distribution to non-controlling interests	(9)		(34)
Dividends paid on common stock and preferred stock	(3,699)		(6,425)
Net cash from financing activities	(37,247)		(45,149)
NET CHANGE IN CASH AND CASH EQUIVALENTS	47,220		1,552
CASH AND CASH EQUIVALENTS, beginning of period	52,834		47,845
CASH AND CASH EQUIVALENTS, end of period	$	100,054	$	49,397
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION
Cash paid for interest	$	13,636	$	14,894
Cash paid for income taxes	$	2	$	215
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	$	411,814	$	—
Conversion of 2020 warrants for common shares	$	18,677	$	—
Common stock settled for management fee and compensation expense	$	15,777	$	600
Shares payable for preferred stock redemption	$	12,599	$	—
Issuance of 2024 warrants	$	2,734	$	—
Net transfer of loans to/(from) property held-for-sale	$	2,015	$	(169)
Amortization of unrealized loss on debt securities transferred to held-to-maturity	$	795	$	2,033
Other non-cash loan charges	$	671	$	—
Unrealized gain on available-for-sale securities	$	374	$	3,853
Transfer of debt securities from investments in securities available-for-sale to investments in securities held-to-maturity	$	—	$	83,022

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/(deficit)		Accumulated other comprehensive loss		Total stockholders' equity		Non-controlling interest		Total equity
Balance at three months ended March 31, 2023
Balance at December 31, 2022	424,949	$	9,411	1,135,590	$	25,143	23,130,956	$	241	$	(9,532)	$	322,439	$	13,275	$	(25,649)	$	335,328	$	2,137	$	337,465
Net loss	—	—		—	—		—	—		—		—		(7,394)		—		(7,394)		30		(7,364)
Sale of shares	—	—		—	—		345,578	4		—		2,423		—		—		2,427		—		2,427
Stock-based compensation expense	—	—		—	—		32,912	—		—		600		—		—		600		—		600
Dividends declared ($0.25 per share) and distributions	—	—		—	—		—	—		—		—		(6,425)		—		(6,425)		(34)		(6,459)
Amortization of unrealized loss on debt securities available-for-sale transferred to held-to-maturity	—	—		—	—		—	—		—		—		—		2,033		2,033		—		2,033
Other comprehensive income	—	—		—	—		—	—		—		—		—		3,853		3,853		—		3,853
Balance at March 31, 2023	424,949	$	9,411	1,135,590	$	25,143	23,509,446	$	245	$	(9,532)	$	325,462	$	(544)	$	(19,763)	$	330,422	$	2,133	$	332,555

Balance at three months ended March 31, 2024
Balance at December 31, 2023	424,949	$	9,411	1,135,590	$	25,143	27,460,161	$	285	$	(9,557)	$	352,060	$	(54,382)	$	(14,027)	$	308,933	$	1,962	$	310,895
Net loss	—	—		—	—		—	—		—		—		(73,978)		—		(73,978)		(14)		(73,992)

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/(deficit)		Accumulated other comprehensive loss		Total stockholders' equity		Non-controlling interest		Total equity
Exchange of preferred shares and warrants	(424,949)	(9,411)		(1,135,590)	(25,143)		9,464,524	95		—		40,895		(341)		—		6,095		—		6,095
Stock-based management termination fee expense	—	—		—	—		—	—		—		15,506		—		—		15,506		—		15,506
Stock-based compensation expense	—	—		—	—		67,334	—		—		271		—		—		271		—		271
Dividends declared ($0.10 per share) and distributions	—	—		—	—		—	—		—		—		(3,699)		—		(3,699)		(9)		(3,708)
Amortization of unrealized loss on debt securities available-for-sale transferred to held-to-maturity	—	—		—	—		—	—		—		—		—		795		795		—		795
Other comprehensive income	—	—		—	—		—	—		—		—		—		374		374		—		374
Balance at March 31, 2024	—	$	—	—	$	—	36,992,019	$	380	$	(9,557)	$	408,732	$	(132,400)	$	(12,858)	$	254,297	$	1,939	$	256,236

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

GREAT AJAX CORP. AND SUBSIDIARIES

NOTES TO CONSOLIDATED INTERIM FINANCIAL STATEMENTS

March 31, 2024

(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 of (i) re-performing loans (“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 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 acquire or originate small balance commercial loans (“SBC loans”). The SBC loans that the Company opportunistically targets 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. 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’s manager is Thetis Asset Management LLC (the “Manager” or “Thetis”), an affiliated company. The Company currently owns 19.8% of the Manager and 9.7% 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”).

On February 26, 2024, the Company entered into a $70.0 million term loan (the "Credit Agreement") with NIC RMBS LLC (“NIC RMBS”), an affiliate of Rithm Capital Corp. (together with its subsidiaries, "Rithm"). For a full description of the Credit Agreement’s terms, conditions and covenants, see the section titled “The Transaction — Credit Agreement” in the Company’s Definitive Proxy Statement filed with the Securities and Exchange Commission on April 10, 2024. The term loan is accompanied by the Company’s agreement to issue a certain number of warrants to Rithm or one of its affiliates to purchase Company common stock, which warrants are detachable. See Note 8 — Commitments and Contingencies. Additionally, subject to receipt of approval of a majority of the Company’s stockholders and the satisfaction of certain other closing conditions, Rithm or one of its affiliates has agreed to purchase $14.0 million of the Company's common stock at a price of $4.87 per share (which represents the trailing five-day average closing price of the Company's common stock on the NYSE as of the date of the Securities Purchase Agreement, entered into on February 26, 2024 by the Company, the Operating Partnership (as defined herein), the Manager and Rithm (the “Securities Purchase Agreement”)). In connection with the foregoing transaction and subject to receipt of approval of a majority of the Company's stockholders, the Company has agreed to enter into a new management agreement with RCM GA Manager LLC, a Rithm affiliate (“RCM GA”), which would become the Company's new external manager and terminate its existing management contract with the Manager in exchange for approximately $15.5 million of the Company’s common stock to be issued to the Manager.

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 is a wholly-owned 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 (“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 accompanying notes are an integral part of the consolidated interim financial statements.

The Operating Partnership, through interests in certain entities, as of March 31, 2024, held 99.9% of Great Ajax II REIT Inc., which owns Great Ajax II Depositor LLC, which was formed to act as the depositor of mortgage loans into securitization trusts and to hold the subordinated securities issued by such trusts. Similarly, as of March 31, 2024, 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"). The Company has securitized mortgage loans through these securitization trusts and retained subordinated securities from the secured borrowings. These trusts are considered to be VIEs, and the Company has determined that it is the primary beneficiary of the VIEs.

In 2018, the Company formed Gaea Real Estate Corp. ("Gaea") to invest in multifamily properties with a focus on property appreciation and triple net lease veterinary clinics. The Company elected to treat Gaea as a TRS under the 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 subsidiary of Gaea, to hold investments in commercial real estate 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. In 2019, the Company 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 transaction through which it raised $66.3 million from the issuance of its common stock to third parties to allow Gaea to continue to advance its investment strategy. Additionally, in January 2022, Gaea completed a second private capital raise in which it raised approximately $30.0 million from the issuance of its common stock and warrants. Also, during the year ended December 31, 2023, GA-TRS received an additional 20,991 shares of Gaea common stock for $0.3 million due to the termination of Gaea's management agreement, which increased the Company's ownership. At March 31, 2024, the Company owned approximately 22.2% of Gaea's total shares outstanding. The Company accounts for its 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 year ended December 31, 2023, included in the Company's Annual Report on Form 10-K filed with the Securities and Exchange Commission (the "SEC") on February 28, 2024.

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, 2024. 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 three 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 at both March 31, 2024 and December 31, 2023. 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. 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 is 99.9% owned by the Company as of March 31, 2024 and December 31, 2023. 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.

As of March 31, 2024 and December 31, 2023, 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 REMIC.

During January 2023, the Company contributed an additional $0.7 million equity interest in GAFS. As of both March 31, 2024 and December 31, 2023, the Company's ownership of GAFS was 9.7%.

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

The Company’s 19.8% ownership of the Manager and 9.7% 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.

Note 2 — Summary of Significant Accounting Policies

Mortgage Loans

Purchased Credit Deteriorated Loans ("PCD loans")

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

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 risks 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 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. Expected cash flows from acquired loans include all cash flows directly related to the 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. Additionally, slower than expected prepayments can result in lower yields as the Company's mortgage loans were acquired at discounts.

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, from time to time, it may acquire loans that have not experienced a deterioration in credit quality or originate SBC loans.

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

The Company accounts for its non-PCD loans by estimating any allowance for expected credit losses for its non-PCD loans based on 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. Non-performing collateral dependent loans are carried at net realizable value of collateral.

Mortgage Loans Held-for-sale

From time to time the Company will identify specific loans that it will sell. When the loans are identified and a plan to sell the loans are in place, the Company will reclassify the loans from Mortgage Loans held-for-investment, net to Mortgage loans held-for-sale, net. When a loan is designated as held-for-sale, it is held at the lower of amortized cost or fair value with any mark to market adjustment recorded on the Company's consolidated statements of operations.

Investments in Securities

The Company’s Investments in Securities Available-for-Sale ("AFS") and Investments in Securities Held-to-Maturity ("HTM") consist of investments in senior and subordinated notes issued by joint ventures which the Company forms with third party institutional accredited investors. Investments in debt securities for which the Company does not have the positive intent and ability to hold to maturity are classified as AFS. Investments in debt securities for which the Company has the positive intent, ability, or is required to hold to maturity are classified as HTM.

The Company recognizes income on the AFS debt securities using the effective interest method. Historically, the notes have been classified as AFS and are carried at fair value with changes in fair value reflected in the Company's consolidated statements of comprehensive loss. 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 operations.

On January 1, 2023, the Company transferred a carrying value of $83.0 million of investment securities from AFS to HTM due to sale restrictions pursuant to Article 6(1) of Regulation (EU) 2017/2402 of the European Parliament and of the Council (as amended, the “EU Securitization Regulation” and, together with applicable regulatory and implementing technical standards in relation thereto, the “EU Securitization Rules”). Pursuant to the terms of these debt securities, the Company must hold at least 5.01% of the nominal value of each class of securities offered or sold to investors (the EU Retained Interest) subject to the EU Securitization Rules. Under the EU Securitization Rules, the Company is prohibited from selling, transferring or otherwise surrendering all or part of the EU Retained Interest until all such classes are paid in full or redeemed.

Transfers of securities from AFS to HTM are non-cash transactions and are recorded at fair value. Unrealized gains or losses recorded to accumulated other comprehensive loss for the transferred securities continue to be reported in accumulated other comprehensive loss and are amortized into interest income on a level-yield basis over the remaining life of the securities. This amortization will offset the effect on interest income of the amortization of the discount resulting from the transfer recorded at fair value.

The Company accounts for its investments in securities HTM under CECL and carries them at amortized cost. Interest income is recognized using the effective interest method and is based upon the Company having a reasonable expectation of the amount and timing of the cash flows expected to be collected. The Company’s expectation of the amount of undiscounted cash flows to be collected, and the corresponding need for an allowance for credit loss, is evaluated at the end of each calendar quarter and takes into consideration past events, current conditions, and supportable forecasts about the future. The net present value of changes in expected cash flows as compared to contractual amounts due, whether caused by timing or investment performance, is reported in the period in which it arises and is reflected as an increase or decrease in the allowance for credit loss to the extent an allowance for credit loss is recorded against the investments. If no allowance for credit loss is recorded against the investment, the increase in expected future cash flows is recognized prospectively as an increase in yield.

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

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

whether and when it becomes probable that all amounts contractually due will not be collected. Additionally, slower prepayments can result in lower yields on the Company's debt securities acquired at a discount.

Investments in Beneficial Interests

The Company’s Investments in Beneficial Interests consist of the residual investment in the securitization trusts which the Company forms with third party institutional accredited investors. The Company accounts for its Investments in Beneficial Interests under CECL, which it adopted using the prospective transition approach. Each beneficial interest is accounted for individually, and the Company recognizes its ratable share of gain, loss, income or expense based on its percentage ownership interest.

The Company's Investments in Beneficial Interests are carried at amortized cost. Upon acquisition, the investments are recorded as three separate elements: (i) the amount of purchase discount which the Company expects to recover through eventual repayment of the investment, (ii) an allowance for future expected credit loss and (iii) the par value of the investment. The purchase discount which the Company expects to recover through eventual repayment of the investment gives rise to an accretable yield. The Company recognizes this accretable yield as interest income on a prospective level yield basis over the life of the investment. The Company’s recognition of interest income 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 these expected cash flows to apply the effective interest method of income recognition.

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 investment performance, is reported in the period in which it arises and is reflected as an increase or decrease in the allowance for expected credit losses to the extent a provision for expected credit losses is recorded against the investment. If no provision for expected credit losses is recorded against the investment, the increase in expected future cash flows is recognized prospectively as an increase in yield.

Risks inherent in the Company's beneficial interest portfolio 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. Additionally, lower than expected prepayments could reduce the Company's yields on its beneficial interest portfolio. The Company monitors the credit quality of the mortgage loans underlying its beneficial interests 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.

Real Estate

The Company generally acquires real estate properties through one of three instances, either directly through purchases, when it forecloses on 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.

Preferred Stock

During the year ended December 31, 2020, the Company issued an aggregate of $125.0 million, net of offering costs, of preferred stock in two series and warrants to institutional accredited investors in a series of private placements. The Company issued 2,307,400 shares of 7.25% Series A Fixed-to-Floating Rate Preferred Stock and 2,892,600 shares of 5.00% Series B Fixed-to-Floating Rate Preferred Stock. The shares had a liquidation preference of $25.00 per share.

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

During the year ended December 31, 2022, the Company completed a series of preferred share repurchases. The Company repurchased and retired 1,882,451 shares of its 7.25% Series A Fixed-to-Floating Rate Preferred Stock and 1,757,010 shares of its 5.00% Series B Fixed-to-Floating Rate Preferred Stock.

During the three months ended March 31, 2024, the Company exchanged the remaining 424,949 shares of its outstanding 7.25% Series A Fixed-to-Floating Rate Preferred Stock and 1,135,590 shares of its outstanding 5.00% Series B Fixed-to-Floating Rate Preferred Stock and the associated warrants for newly issued shares of its common stock. Of the 12,046,218 shares, 9,464,524 shares of its common stock were issued during the three months ended March 31, 2024 and the remaining 2,581,694 shares of its common stock will only be issued following the approval of a majority of the Company's stockholders during its 2024 annual and special meeting of stockholders. The Company recorded a $12.6 million liability to account for the shares payable to the preferred holders.

Warrants

As part of the Company’s capital raise transactions during the 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.

The warrants included 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 warrants as if the put option will be exercised by the holders. The warrants were recorded as a liability on the Company's consolidated balance sheets with an original basis of $9.5 million. Because the warrants have been substantially out of the money since issuance, the Company assumed the put option would be exercised and accreted the liability to the initial redemption value. During the year ended December 31, 2022, the Company repurchased and retired a portion of its warrants. The remaining warrants continued to accrete to their redemption value in July 2023. During the three months ended March 31, 2024, the Company entered into exchange agreements with the current holders of the remaining outstanding warrants, pursuant to which the Company acquired all of the remaining outstanding warrants.

As part of the Rithm transaction, the Company agreed to issue to Rithm or one of its affiliates five-year warrants to purchase a maximum of $35.0 million shares of the Company’s common stock at $5.36 per share. The maximum amount of shares for which the warrants may be exercised will equal the greater of 50% of (i) the amount the Company draws on the Credit Agreement and (ii) $35.0 million. Based on maximum available draw, the Company expects it will issue $17.5 million shares. The Company recorded the warrants at fair value on the transaction date with an offset to deferred issuance costs. The warrants will be accounted for as a liability at fair value with any changes in fair value recorded in earnings. The deferred issuance costs will be amortized over the draw period as an expense. The draw period is 125 days.

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

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

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.

Convertible Senior Notes

During 2017 and 2018, the Company completed the public offer and sale of its convertible senior notes due 2024 (the "2024 Notes"). At both March 31, 2024 and December 31, 2023, the UPB of the debt was $103.5 million. The 2024 Notes had an interest at a rate of 7.25% per annum and were payable quarterly in arrears on January 15, April 15, July 15 and October 15 of each year. The 2024 Notes matured on April 30, 2024 and the Company redeemed the notes in full for an aggregate amount of $103.5 million and 15 days of accrued interest.

Coupon interest on the 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 reduction of the carrying value of the 2024 Notes, and are amortized to interest expense on an effective yield basis through April 30, 2024.

On January 1, 2022, the Company adopted ASU 2020-06, Debt – Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging – Contracts in an Entity’s Own Equity (Subtopic 815-40) by recording a reduction in its additional paid-in capital account of $0.7 million and a corresponding increase in the carrying value of its Convertible senior notes of $0.7 million, representing the carrying value of the conversion feature associated with the notes.

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 March 31, 2024 and December 31, 2023. 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 was used for general corporate purposes. At both March 31, 2024 and December 31, 2023, 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 April 28, 2020, as amended on March 1, 2023, 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' equity, including equity equivalents such as the Company's issuance of convertible senior notes. Also, under the First Amendment to the Third Amended and Restated Management Agreement with the Manager, which has an effective date of March 1, 2023, the Company's quarterly base management fee will include, in its computation of equity managed, its unsecured debt securities to the extent the proceeds were used to repurchase the Company's preferred stock.

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

The Company 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 or in shares of the Company's common stock. Management fees are expensed in the quarter incurred and the portion payable in common stock, if any, is accrued at quarter end. See Note 10 — Related Party Transactions.

On February 26, 2024, the Company issued a termination notice to the Manager, in connection with the Rithm transaction, and agreed to pay the Manager the termination fee pursuant to the Management Agreement primarily in shares of common stock.

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 UPB of loans that are re-performing at acquisition to 1.25% annually of UPB of loans that are non-performing at acquisition. Servicing fees are paid monthly. The total fees incurred by the Company for these services 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 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.

Stock-based Payments and Directors’ Fees

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) 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 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 35,000 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. 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 accrued at quarter end.

Each of the Company’s independent directors receives an annual retainer of $140,000, payable quarterly, 50% of which is payable in shares of the Company's common stock and 50% in cash. However, the Company has the option to pay the annual retainer with up to 100% in cash at its discretion. The committee chairpersons also receive annual fees for their services. The chairpersons of the Compensation and Corporate Governance committees each received an annual retainer of $15,000, payable quarterly, 100% in cash. The chairperson of the Audit committee received an annual fee of $20,000, payable quarterly, 100% in cash. During the second quarter of 2023, the Board approved the appointment of the lead director and an additional payment to the lead director of $20,000 per year, payable quarterly, 100% in cash was approved by the Compensation

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

committee. Also, during the second quarter of 2023, due to conflicts of interests by certain Board members, the Board established a special committee, comprised solely of independent directors (the "Special Committee") to evaluate and review the merger agreement with Ellington Financial (the "Merger Agreement"), the Merger and the other transactions contemplated by the Merger Agreement, as well as other strategic opportunities. The directors on the Special Committee received a one-time cash payment of $20,000, except for the lead director who received a one-time cash payment of $30,000 and a one-time stock payment of $15,000, paid in the shares of the Company's common stock. The expense related to directors’ fees is accrued, and the portion payable in common stock is accrued in the period in which it is incurred.

Under 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 conversion of any outstanding warrants and convertible senior notes 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. Share grants vest over the relevant service periods. The grant shares may not be sold by the recipient until the end of the service period, even if certain of the shares were subject to a ratable vesting and were fully vested before completion of the service period.

In connection with the Rithm transaction, on March 25, 2024, the Company’s Board of Directors approved an amendment to the 2016 Plan that would permit the issuance of equity or equity-based incentive awards to RCM GA, which may in turn issue incentives to the directors, managers, officers, employees of, or advisors or consultants to, RCM GA or its affiliates. The Amendment is subject to the approval of a majority of the Company’s stockholders during its 2024 annual and special meeting of stockholders.

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 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.

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

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

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.

•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 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 values from 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 the loans as a comparison to the estimates received from financing counterparties.

The fair value of investments in debt securities AFS and HTM are determined using estimates provided by 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 fair value of investments in beneficial interests represent the residual investment in securitization trusts the Company forms with joint venture partners. 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. Also, the Company uses estimates provided by its financing counterparties, which are compared for reasonableness.

The fair value of the Company's ownership interest in the Manager has historically been valued by applying an earnings multiple to base fee revenue, however, beginning the quarter ending September 30, 2023, the Company valued the Manager in an amount equal to the termination payment required to terminate the Manager plus the fair value of the Manager's assets.

The fair value of the Company's ownership interests in AS Ajax E LLC and Ajax E Master Trust are valued using estimates provided by financing counterparties and other publicly available information.

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

The fair value of the Company's ownership interest in GAFS, including warrants, was historically determined by applying an earnings multiple to expected earnings. At March 31, 2024, the Company is carrying its investment in GAFS as zero as it is required to divest of its investment prior to the Rithm transaction effective date.

The fair value of the Company's ownership interest in Gaea is estimated using an implied capitalization rate applied to the value of the underlying properties and the Manager's propriety pricing model for 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 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 documents. The Company carries its secured borrowings net of deferred issuance cost. Accordingly, the difference between fair value and carrying value is partially driven by the deferred issuance costs.

The fair value of the Company's 2020 warrant liability is adjusted to approximate market value through earnings. The warrant liability 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, adjusted for subsequent repurchases, to the future warrant liability over the 39-month term. The fair value of the Company's warrant liability is measured quarterly and the accreted liability has approximated fair value.

The fair value of the Company's Rithm warrants was determined using a Black Scholes model to establish the initial fair value. The Rithm warrants are recorded as a liability marked to fair value through earnings using the Black Scholes approach.

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

The Company’s 2024 Notes are publicly traded on the NYSE under the ticker symbol "AJXA"; the debt’s fair value was determined from the closing price on the balance sheet date. The Company carried its 2024 Notes net of deferred issuance cost. Accordingly, the difference between fair value and carrying value was 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 fair value of property held-for-sale is 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, 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 accompanying notes are an integral part of the consolidated interim financial statements.

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.

Estimates

The preparation of consolidated financial statements in conformity with U.S. GAAP requires the Company to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting periods. The Company considers significant estimates to include expected cash flows from its holdings of mortgage loans and beneficial interests in trusts, and their resolution methods and timelines, including foreclosure costs, eviction costs and property rehabilitation costs. Other significant estimates are fair value measurements, and the net realizable value of REO properties held-for-sale.

Reclassifications

The Company made no reclassifications that have impacted its consolidated financial statements.

Segment Information

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

Note 3 — Mortgage Loans

The following table presents information regarding the carrying value for the Company's RPLs, NPLs and SBC loans as of March 31, 2024 and December 31, 2023 ($ in thousands):


	March 31, 2024				December 31, 2023
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	$	427,486	$	313,937	$	787,700	$	34,359
Residential NPLs	5,813		54,048		71,075		20,894
SBC loans	5,399		303		5,776		465
Total	$	438,698	$	368,288	$	864,551	$	55,718

Included on the Company’s consolidated balance sheets as of March 31, 2024 and December 31, 2023 are approximately $438.7 million and $864.6 million, respectively, of RPLs, NPLs, and SBC loans that are held-for-investment and approximately $368.3 million and $55.7 million, respectively, of RPLs, NPLs and SBC loans held-for-sale. During the year ended December 31, 2023, the Company began marketing a pool of loans for sale. As a result of this activity, the Company reclassified these loans from Mortgage loans held-for-investment, net to Mortgage loans held-for-sale, net. The Company marked the loans to lower of cost or market by $8.6 million during the year ended December 31, 2023, using the prices in the sale agreement. During the three months ended March 31, 2024, the Company transferred an additional 2,109 loans from Mortgage loans held-for-investment, net to Mortgage loans held-for-sale, net and marked the loans to lower of cost or market by $47.3 million.

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

The categorization of RPLs, NPLs and SBC loans is determined at acquisition. The carrying value of RPLs, NPLs and SBC loans reflects the original investment amount, plus accretion of interest income as well as credit and non-credit discount, less principal and interest cash flows received. The carrying values at March 31, 2024 and December 31, 2023, for the Company's loans that are held-for-investment in the table above, are presented net of a cumulative allowance for expected credit losses of $0.4 million and $3.4 million, respectively, reflected in the appropriate lines in the table by loan type. For the three months ended March 31, 2024, the Company recognized $1.1 million of expense due to a net increase in expected credit losses resulting from decreases in the present value of the expected cash flows and $0.6 million of revenue due to a net decrease in expected credit losses resulting from increases in the present value of the expected cash flows for the three months ended March 31, 2023. Also, for the three months ended March 31, 2024 and 2023, the Company recognized accretable yield of $11.8 million and $13.3 million, respectively, with respect to its RPL, NPL and SBC loans.

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

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

During the three months ended March 31, 2024, the Company purchased no RPLs. Comparatively, during the three months ended March 31, 2023, the Company purchased three RPLs with UPB of $0.8 million. During both the three months ended March 31, 2024 and 2023, the Company purchased no NPLs. The Company purchased no SBC loans during both the three months ended March 31, 2024 and 2023. During the three months ended March 31, 2024, the Company sold 235 mortgage loans held-for-sale with a carrying value and UPB of $58.9 million to a third party resulting in the removal of the related loans from the consolidated balance sheet. The Company recognized a $0.4 million loss related to the sale. Comparatively, during the three months ended March 31, 2023, the Company sold no mortgage loans.

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

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

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

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

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

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

The following table presents information regarding the year of origination of the Company's mortgage loan portfolio by basis ($ in thousands):


	March 31, 2024
Mortgage loans held-for-investment, net	2024		2023		2022		2021		2020		2019		2009-2018		2006-2008		2005 and prior		Total
GAOP - 7f7 >50	$	—	$	—	$	—	$	—	$	—	$	—	$	3,456	$	4,430	$	1,739	$	9,625
GAOP - 7f7 <50	—		—		109		—		—		—		—		870		217		1,196
GAOP - 6f6 and below	—		—		410		—		—		—		1,519		5,561		267		7,757
Great Ajax II REIT - 7f7 >50	—		—		—		—		728		758		35,156		240,791		83,366		360,799
Great Ajax II REIT - 7f7 <50	—		—		—		—		—		71		2,665		22,312		6,472		31,520
Great Ajax II REIT - 6f6 and below	—		—		—		—		—		—		5,070		16,791		5,940		27,801
Total	$	—	$	—	$	519	$	—	$	728	$	829	$	47,866	$	290,755	$	98,001	$	438,698


	December 31, 2023
Mortgage loans held-for-investment, net	2023		2022		2021		2020		2019		2018		2009-2017		2006-2008		2005 and prior		Total
GAOP - 7f7 >50	$	—	$	2,473	$	2,597	$	1,370	$	6,598	$	658	$	30,891	$	190,106	$	79,110	$	313,803
GAOP - 7f7 <50	—		546		137		—		215		—		2,356		27,368		6,530		37,152
GAOP - 6f6 and below	—		591		1,415		—		737		1,134		13,343		55,452		14,642		87,314
Great Ajax II REIT - 7f7 >50	—		—		—		730		764		795		34,864		243,034		84,634		364,821
Great Ajax II REIT - 7f7 <50	—		—		—		—		71		14		2,658		22,360		6,508		31,611
Great Ajax II REIT - 6f6 and below	—		—		—		—		—		—		5,326		17,772		6,752		29,850
Total	$	—	$	3,610	$	4,149	$	2,100	$	8,385	$	2,601	$	89,438	$	556,092	$	198,176	$	864,551

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

The following table presents a reconciliation between the purchase price and par value for the Company's loan acquisitions and originations for the three months ended March 31, 2024 and 2023 ($ in thousands):


	Three months ended March 31,
	2024		2023
Par	$	—	$	828
Discount	—		(191)
Increase in allowance	—		(33)
Purchase Price	$	—	$	604

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


	Three months ended March 31,
	2024		2023
Allowance for expected credit losses, beginning of period	$	(3,426)	$	(6,107)
Reclassification to non-credit discount from the allowance for changes in payment timing expectations	310		1,225
Increase in allowance for expected credit losses for loan acquisitions during the period	—		(33)
Credit loss expense on mortgage loans	(43)		(44)
(Increase in)/reversal of allowance for expected credit losses due to (decreases)/increases in the net present value of expected cash flows	(1,112)		621
Reversal of allowance upon reclass of mortgage loans held-for-sale, net	3,868		—
Allowance for expected credit losses, end of period	$	(403)	$	(4,338)

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

The following table sets forth the carrying value of the Company’s mortgage loans by delinquency status as of March 31, 2024 and December 31, 2023 ($ in thousands):


	March 31, 2024
Mortgage loans held-for-investment, net	Current		30		60		90		Foreclosure		Total
GAOP - 7f7 >50	$	6,232	$	2,535	$	16	$	842	$	—	$	9,625
GAOP - 7f7 <50	756		45		114		281		—		1,196
GAOP - 6f6 and below	1,186		410		—		2,293		3,868		7,757
Great Ajax II REIT - 7f7 >50	303,408		29,605		11,775		15,606		405		360,799
Great Ajax II REIT - 7f7 <50	25,629		2,726		1,252		1,913		—		31,520
Great Ajax II REIT - 6f6 and below	5,446		1,869		4,375		9,941		6,170		27,801
Total	$	342,657	$	37,190	$	17,532	$	30,876	$	10,443	$	438,698


	March 31, 2024
Mortgage loans held-for-sale, net	Current		30		60		90		Foreclosure		Total
Held-for-sale	$	194,244	$	46,815	$	37,453	$	70,193	$	19,583	$	368,288
Total	$	194,244	$	46,815	$	37,453	$	70,193	$	19,583	$	368,288


	December 31, 2023
Mortgage loans held-for-investment, net	Current		30		60		90		Foreclosure		Total
GAOP - 7f7 >50	$	199,229	$	49,868	$	283	$	63,498	$	925	$	313,803
GAOP - 7f7 <50	20,514		7,516		78		9,044		—		37,152
GAOP - 6f6 and below	8,565		6,906		421		45,058		26,364		87,314
Great Ajax II REIT - 7f7 >50	300,506		36,277		801		26,600		637		364,821
Great Ajax II REIT - 7f7 <50	25,592		3,846		42		2,131		—		31,611
Great Ajax II REIT - 6f6 and below	4,374		2,144		—		14,788		8,544		29,850
Total	$	558,780	$	106,557	$	1,625	$	161,119	$	36,470	$	864,551


	December 31, 2023
Mortgage loans held-for-sale, net	Current		30		60		90		Foreclosure		Total
Held-for-sale	$	1,284	$	592	$	—	$	26,243	$	27,599	$	55,718
Total	$	1,284	$	592	$	—	$	26,243	$	27,599	$	55,718

Note 4 — Real Estate Assets, Net

The Company acquires real estate assets either through direct purchases of properties or through conversions of mortgage loans in its portfolio 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.

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

Property Held-for-Sale

As of March 31, 2024 and December 31, 2023, the Company’s net investments in real estate owned properties was $5.2 million and $3.8 million, respectively, 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. Also, included in the properties held-for-sale balance for the periods as of March 31, 2024 and December 31, 2023, was zero and $0.2 million, respectively, for properties undergoing renovation or which are otherwise in the process of being brought to market. As of March 31, 2024 and December 31, 2023, the Company had a total of 24 and 20 real estate owned properties, respectively. For the three months ended March 31, 2024 and 2023, 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.

The following table presents the activity in the Company’s carrying value of property held-for-sale for the three months ended March 31, 2024 and 2023 ($ in thousands):


	Three months ended March 31,
	2024			2023
Property Held-for-Sale	Count	Amount		Count	Amount
Balance at beginning of period	20	$	3,785	39	$	6,333
Net transfers from/(to) mortgage loans	6	2,015		(2)	(169)
Adjustments to record at lower of cost or fair value	—	(396)		—	(111)
Disposals	(2)	(213)		(5)	(961)
Balance at end of period	24	$	5,191	32	$	5,092

Dispositions

During the three months ended March 31, 2024 and 2023, the Company sold two and five REO properties, respectively, realizing net gains of approximately $8 thousand and $0.1 million, respectively. These amounts are included in Other income on the Company's consolidated statements of operations. During the three months ended March 31, 2024 and 2023, the Company recorded an expense of lower of cost or net realizable value adjustments in real estate operating expense of $0.4 million and $0.1 million, respectively. These amounts are included in Other expense on the Company's consolidated statements of operations.

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. Beneficial interests may be trust certificates and/or subordinated notes depending on the structure of the securitization. The Company's debt securities and beneficial interests are issued by securitization trusts, which are VIEs that the Company does not consolidate since it has determined it is not the primary beneficiary. See Note 10 — Related Party Transactions. The Company designated its debt securities as AFS or HTM based on the intent and ability to hold each security to maturity. The Company carries its AFS debt securities at fair value using prices provided by financing counterparties and believes any unrealized losses to be temporary. The Company carries its investments in securities HTM at amortized cost, net of any required allowance for credit losses. The Company carries its investments in beneficial interests at amortized cost.

As described in Note 2 — Summary of Significant Accounting Policies, on January 1, 2023, the Company transferred $83.0 million of investment securities from AFS to HTM due to sale restrictions pursuant to Article 6(1) of Regulation (EU) 2017/2402 of the European Parliament and of the Council (as amended, the "EU Securitization Regulation" and, together with applicable regulatory and implementing technical standards in relation thereto, the "EU Securitization Rules"). Pursuant to the terms of these debt securities, the Company must hold at least 5.01% of the nominal value of each class of securities offered or sold to investors (the "EU Retained Interest") subject to the EU Securitization Rules. Under the EU Securitization Rules, the Company is prohibited from selling, transferring or otherwise surrendering all or part of the EU Retained Interest until all such classes are paid in full or redeemed.

Transfers of securities from AFS to HTM are non-cash transactions and are recorded at fair value. On the date of transfer, accumulated other comprehensive income included unrealized losses of $10.9 million, which continues to be reported in accumulated other comprehensive loss and is amortized into interest income on a level-yield basis over the remaining life of the securities. This amortization will offset the effect on interest income of the amortization of the discount resulting from the

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

transfer recorded at fair value. During the three months ended March 31, 2024 and 2023, the Company recorded amortization of $0.8 million and $2.0 million, respectively, of unrealized losses in accumulated other comprehensive loss and of unamortized discount related to transfers of securities from AFS to HTM.

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 and damage to or delay in realizing the value of the underlying collateral. Additionally, slower prepayments can result in lower yields on the Company's debt securities acquired at a discount and on its beneficial interest. 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 March 31, 2024
	Basis(1)		Gross unrealized gains		Gross unrealized losses		Fair value
Debt securities available-for-sale, at fair value	$	132,791	$	1,144	$	(8,809)	$	125,126
Debt securities held-to-maturity at amortized cost, net of allowance for credit losses of zero	54,085		374		(998)		53,461
Investment in beneficial interests at amortized cost, net of allowance for credit losses of $9,082	88,577		5,148		(26,286)		67,439
Total investments	$	275,453	$	6,666	$	(36,093)	$	246,026

(1)Basis amount is net of amortized discount, principal paydowns and interest receivable on securities AFS and HTM of $80 thousand and $19 thousand, respectively.


	As of December 31, 2023
	Basis(1)		Gross unrealized gains		Gross unrealized losses		Fair value
Debt securities available-for-sale, at fair value	$	139,596	$	637	$	(8,675)	$	131,558
Debt securities held-to-maturity at amortized cost, net of allowance for credit losses of zero	59,691		111		(629)		59,173
Investment in beneficial interests at amortized cost, net of allowance for credit losses of $6,880	104,162		3,631		(26,477)		81,316
Total investments	$	303,449	$	4,379	$	(35,781)	$	272,047

(1)Basis amount is net of amortized discount, principal paydowns and interest receivable on securities AFS and HTM of $87 thousand and $24 thousand, respectively.

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

The following table presents a breakdown of the Company's gross unrealized losses on its investments in debt securities AFS ($ in thousands):


	As of March 31, 2024
	Step-up date(s)(1)	Basis(2)		Gross unrealized losses		Fair value
Debt securities due November 2051(4)	March 2025	$	3,765	$	(110)	$	3,655
Debt securities due March 2060(4)	February 2025	5,676		(718)		4,958
Debt securities due December 2060(4)	July 2029	21,146		(4,762)		16,384
Debt securities due January 2061(4)	September 2024	4,886		(521)		4,365
Debt securities due June 2061(5)	January 2025/February 2025	12,842		(1,058)		11,784
Debt securities due October 2061(4)	April 2029	11,701		(686)		11,015
Debt securities due March 2062(4)	May 2029	10,127		(835)		9,292
Debt securities due July 2062(3)	February 2030	12,576		(119)		12,457
Total		$	82,719	$	(8,809)	$	73,910

(1)Step-up date is the date at which the coupon interest rate on the security increases. The Company intends for 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 security has been in an unrealized loss position for 12 months or longer.

(5)This line is comprised of two securities that are both due June 2061. One security with a balance of $0.1 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 $0.9 million has been in a loss position for 12 months or longer and has a step-up date in February 2025.


	As of December 31, 2023
	Step-up date(s)(1)	Basis(2)		Gross unrealized losses		Fair value
Debt securities due February 2028(4)	February 2026	$	4,717	$	(6)	$	4,711
Debt securities due November 2051(4)	March 2025	3,764		(215)		3,549
Debt securities due March 2060(4)	February 2025	5,805		(678)		5,127
Debt securities due December 2060(4)	July 2029	21,411		(4,242)		17,169
Debt securities due January 2061(4)	September 2024	4,886		(478)		4,408
Debt securities due June 2061(5)	January 2025/February 2025	12,992		(1,243)		11,749
Debt securities due October 2061(4)	April 2029	11,815		(842)		10,973
Debt securities due March 2062(4)	May 2029	10,315		(793)		9,522
Debt securities due July 2062(3)	February 2030	12,668		(41)		12,627
Debt securities due October 2062(3)	October 2026	17,174		(137)		17,037
Total		$	105,547	$	(8,675)	$	96,872

(1)Step-up date is the date at which the coupon interest rate on the security increases. The Company intends for 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 security has been in an unrealized loss position for 12 months or longer.

(5)This line is comprised of two securities that are both due June 2061. One security with a balance of $0.3 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 $0.9 million has been in a loss position for 12 months or longer and has a step-up date in February 2025.

As of March 31, 2024, the Company had a gross unrealized loss of $8.8 million and $1.1 million gross unrealized gains in fair valuation adjustments in accumulated other comprehensive loss on the consolidated balance sheet on total investments AFS with a fair value of $125.1 million, which includes $80 thousand in interest receivable. As of December 31, 2023, the Company had a gross unrealized loss of $8.7 million and $0.6 million gross unrealized gains in fair valuation

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

adjustments in accumulated other comprehensive loss on the consolidated balance sheet on total investments AFS with a fair value of $131.6 million, which includes $87 thousand in interest receivable.

During the three months ended March 31, 2023, the Company re-securitized, with an institutional accredited investor, Ajax Mortgage Loan Trust 2019-E, 2019-G and 2019-H ("2019-E, -G and -H") joint ventures into Ajax Mortgage Loan Trust 2023-A ("2023-A") and retained 8.6% or $16.1 million of varying classes of agency rated securities and equity. 2023-A acquired 1,085 RPLs and NPLs with UPB of $205.1 million and an aggregate property value of $497.4 million. The AAA through A rated securities represent 79.8% of the UPB of the underlying mortgage loans and carry a weighted average coupon of 3.46%. All of the debt securities retained from 2023-A are classified as AFS. Although the Company continues to own a proportionate interest in the underlying loans, the transaction is treated as a redemption of the bonds and beneficial interests in the original trusts and the Company recorded a $1.0 million loss on the transaction.

At March 31, 2024, the investments in debt securities AFS, investments in debt securities HTM and beneficial interests were carried on the Company's consolidated balance sheet at $125.1 million, $54.1 million and $88.6 million, respectively. At December 31, 2023, the investments in debt securities AFS, investments in debt securities HTM and beneficial interests were carried on the Company's consolidated balance sheet at $131.6 million, $59.7 million and $104.2 million, respectively.

During the three months ended March 31, 2024, the Company sold no senior notes. Comparatively, during the three months ended March 31, 2023, the Company sold senior notes issued by certain joint ventures and recognized a loss of $3.0 million, which was recorded net to accumulated other comprehensive loss. As of March 31, 2024 and December 31, 2023, the Company had no securities that were past due.

The following table presents a reconciliation between the purchase price and par value for the Company's beneficial interests acquisitions for the three months ended March 31, 2024 and 2023 ($ in thousands):


	Three months ended March 31,
	2024		2023
Par	$	—	$	2,051
Premium	—		963
Purchase Price	$	—	$	3,014

The Company generally recognizes accretable yield and increases and decreases in the net present value of expected cash flows in earnings in the period they occur. For the three months ended March 31, 2024 and 2023, the Company recognized accretable yield of $0.7 million and $2.1 million, respectively, on its beneficial interest. For the three months ended March 31, 2024 and 2023, the Company recognized accretable yield of $0.4 million and $0.6 million, respectively, on its investments in securities HTM. An expense 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 is recognized if there is an increase in expected future cash flows to the extent an allowance has been recorded against the beneficial interest or investments in securities HTM. If there is no allowance for expected credit losses recorded against a beneficial interest or investments in securities HTM, 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 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 months ended March 31, 2024 and 2023, the Company had no activity and balance related to the allowance for expected credit losses for investments in securities HTM.

During the three months ended March 31, 2024, the Company recorded a $0.9 million reclassification to non-credit discount from the allowance for changes in payment expectations and a $3.1 million increase in the allowance for expected credit losses due to decreases in the net present value of expected cash flows. The decrease was primarily attributable to lower expected loan prices at redemption due to the expectation that the Federal Reserve will not reduce interest rates during 2024. Comparatively, during three months ended March 31, 2023, the Company had no activity related to the balance in the allowance for expected credit losses for beneficial interests.

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

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


	Three months ended March 31,
	2024		2023
Allowance for expected credit losses, beginning balance	$	(6,880)	$	—
Reclassification to non-credit discount from the allowance for changes in payment expectations	916		—
Increase in allowance for expected credit losses due to decreases in the net present value of expected cash flows	(3,118)		—
Allowance for expected credit losses, ending balance	$	(9,082)	$	—

Note 6 — Fair Value

For a discussion on the Company's fair value policy see Note 2 — Summary of Significant Accounting Policies.

Recurring financial assets and liabilities measured and carried at fair value by level within the fair value hierarchy as of March 31, 2024 and December 31, 2023 ($ in thousands):


			Level 1		Level 2		Level 3
March 31, 2024	Carrying value		Quoted prices in active markets		Observable inputs other than Level 1 prices		Unobservable inputs
Recurring financial assets
Investment in debt securities available-for-sale	$	125,126	$	—	$	125,126	$	—
Recurring financial liabilities
Warrant liability	$	2,054	$	—	$	—	$	2,054


			Level 1		Level 2		Level 3
December 31, 2023	Carrying value		Quoted prices in active markets		Observable inputs other than Level 1 prices		Unobservable inputs
Recurring financial assets
Investment in debt securities available-for-sale	$	131,558	$	—	$	131,558	$	—
Recurring financial liabilities
Warrant liability	$	16,644	$	—	$	—	$	16,644

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

The following tables set forth the fair value of financial instruments by level within the fair value hierarchy as of March 31, 2024 and December 31, 2023 ($ in thousands):


			Level 1		Level 2		Level 3
March 31, 2024	Carrying value		Quoted prices in active markets		Observable inputs other than Level 1 prices		Unobservable inputs
Financial assets
Mortgage loans held-for-investment, net	$	438,698	$	—	$	—	$	394,813
Mortgage loans held-for-sale, net	$	368,288	$	—	$	—	$	368,290
Investment in debt securities held-to-maturity	$	54,085	$	—	$	53,461	$	—
Investment in beneficial interests	$	88,577	$	—	$	—	$	67,439
Investment in Manager	$	3,553	$	—	$	—	$	2,686
Investment in AS Ajax E LLC	$	390	$	—	$	448	$	—
Investment in Ajax E Master Trust	$	2,105	$	—	$	1,829	$	—
Investment in Gaea	$	22,065	$	—	$	—	$	21,355
Investment in Loan pool LLCs	$	187	$	—	$	—	$	674
Financial liabilities
Secured borrowings, net	$	399,699	$	—	$	361,589	$	—
Borrowings under repurchase transactions	$	354,039	$	—	$	354,039	$	—
Convertible senior notes	$	103,516	$	103,143	$	—	$	—
Notes payable, net	$	107,059	$	—	$	109,406	$	—


			Level 1		Level 2		Level 3
December 31, 2023	Carrying value		Quoted prices in active markets		Observable inputs other than Level 1 prices		Unobservable inputs
Financial assets
Mortgage loans held-for-investment, net	$	864,551	$	—	$	—	$	770,419
Mortgage loans held-for-sale, net	$	55,718	$	—	$	—	$	60,444
Investment in debt securities held-to-maturity	$	59,691	$	—	$	59,173	$	—
Investment in beneficial interests	$	104,162	$	—	$	—	$	81,316
Investment in Manager	$	440	$	—	$	—	$	4,527
Investment in AS Ajax E LLC	$	407	$	—	$	471	$	—
Investment in Ajax E Master Trust	$	2,100	$	—	$	1,864	$	—
Investment in GAFS, including warrants	$	2,618	$	—	$	—	$	—
Investment in Gaea	$	22,241	$	—	$	—	$	21,678
Investment in Loan pool LLCs	$	194	$	—	$	—	$	674
Financial liabilities
Secured borrowings, net	$	411,212	$	—	$	370,882	$	—
Borrowings under repurchase transactions	$	375,745	$	—	$	375,745	$	—
Convertible senior notes	$	103,516	$	101,777	$	—	$	—
Notes payable, net	$	106,844	$	—	$	103,697	$	—

Non-financial assets

The fair value of property held-for-sale is determined using the lower of its acquisition cost ("cost") or net realizable value. Net realizable value is determined based on BPOs, appraisals, or other market indicators of fair value less expected liquidation costs. The lower of cost or net realizable value for the Company’s REO Property is stated as its carrying value. The

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

following tables set forth the fair value of non-financial assets by level within the fair value hierarchy as of March 31, 2024 and December 31, 2023 ($ in thousands):


					Level 1		Level 2		Level 3
March 31, 2024	Carrying value		Three 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
Property held-for-sale	$	5,191	$	(396)	$	—	$	—	$	5,191


					Level 1		Level 2		Level 3
December 31, 2023	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
Property held-for-sale	$	3,785	$	(1,096)	$	—	$	—	$	3,785

Note 7 — Affiliates

Unconsolidated Affiliates

At both March 31, 2024 and December 31, 2023, and for the three months ended March 31, 2024 and 2023, the Company had ownership interests in five affiliated entities accounted for under the equity method of accounting.

At both March 31, 2024 and December 31, 2023, the Company’s ownership interest in the Manager, a privately held company for which there is no public market for its securities, was approximately 19.8%. The Company accounts for its ownership interest in the Manager using the equity method.

At both March 31, 2024 and December 31, 2023, the Company's ownership interest was approximately 9.7% in GAFS. The Company accounts for its investment in GAFS using the equity method.

At both March 31, 2024 and December 31, 2023, the Company owned approximately 22.2% of Gaea. The Company accounts for its ownership interest in Gaea using the equity method.

At both March 31, 2024 and December 31, 2023, the Company’s ownership interest in AS Ajax E LLC, a Delaware trust formed to own residential mortgage loans and residential real estate assets, was approximately 16.5%. AS Ajax E LLC owns a 5.0% equity interest in Ajax E Master Trust which holds a portfolio of RPLs. The Company accounts for its ownership interest using the equity method.

At both March 31, 2024 and December 31, 2023, the Company’s ownership interest was approximately 40.0% in one loan pool LLC managed by the Servicer, 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.

The table below shows the net income/(loss), 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 March 31,
Net income/(loss) at 100%	2024		2023
Thetis Asset Management LLC	$	15,722	$	11
AS Ajax E LLC	$	63	$	66
Loan pool LLCs	$	(16)	$	(24)
Gaea Real Estate Corp.	$	(113)	$	(1,105)
Great Ajax FS LLC	$	(269)	$	(763)


	March 31, 2024				December 31, 2023
Assets and liabilities at 100%	Assets		Liabilities		Assets		Liabilities
Thetis Asset Management LLC	$	19,268	$	520	$	4,643	$	1,305
AS Ajax E LLC	$	2,445	$	1	$	2,553	$	39
Loan pool LLCs	$	1,200	$	248	$	1,200	$	232
Gaea Real Estate Corp.	$	163,000	$	69,839	$	167,591	$	73,499
Great Ajax FS LLC	$	65,171	$	54,185	$	71,477	$	59,949

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


	Three months ended March 31,
Net income/(loss) at the Company's share	2024		2023
Thetis Asset Management LLC	$	3,113	$	2
AS Ajax E LLC	$	10	$	11
Loan pool LLCs	$	(7)	$	(10)
Gaea Real Estate Corp.	$	(1)	$	(243)
Great Ajax FS LLC	$	(26)	$	(67)


	March 31, 2024				December 31, 2023
Assets and liabilities at the Company's share	Assets		Liabilities		Assets		Liabilities
Thetis Asset Management LLC	$	3,815	$	103	$	919	$	258
AS Ajax E LLC	$	403	$	—	$	420	$	6
Loan pool LLCs	$	480	$	99	$	480	$	93
Gaea Real Estate Corp.	$	36,251	$	15,532	$	37,272	$	16,346
Great Ajax FS LLC	$	6,249	$	5,196	$	6,854	$	5,748

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, which was established to hold an equity interest in a Delaware trust formed to own residential mortgage loans and residential real estate assets. At both March 31, 2024 and December 31, 2023, AS Ajax E II 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. At both March 31, 2024 and December 31, 2023, 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

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

into securitization trusts and holds subordinated securities issued by such trusts. At both March 31, 2024 and December 31, 2023, Great Ajax II REIT was 99.9% owned by the Company. Similarly, as of March 31, 2024 and December 31, 2023, the Operating Partnership wholly-owned Great Ajax III Depositor LLC, which was formed to act as the 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 March 31, 2024, the Company had no commitments to acquire additional mortgage loans.

During the 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 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, 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 had a liquidation preference of $25.00 per share. Each series of warrants included a put option that allowed 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.

During the year ended December 31, 2022, the Company repurchased and retired 1,882,451 shares of its series A preferred stock and 1,757,010 shares of its series B preferred stock in a series of repurchase transactions. The series A and series B preferred stock were repurchased for an aggregate of $88.7 million at an average price of $24.37 per share, representing a discount of approximately 2.5% to the face value of $25.00 per share. The repurchase of the preferred stock caused the recognition of $8.2 million of preferred stock discount during the year ended December 31, 2022. There were no repurchases of preferred stock during the three months ended March 31, 2024 and 2023. Also during the year ended December 31, 2022, the Company repurchased and retired 4,549,328 of the outstanding warrants for $35.0 million. No warrants were repurchased during the three months ended March 31, 2024 and 2023.

On February 26, 2024, the Company entered into a $70.0 million term loan with NIC RMBS, an affiliate of Rithm. The term loan is accompanied by the Company’s agreement to issue a certain number of warrants to Rithm or one of its affiliates to purchase Company common stock, which warrants will be detachable. The Company recorded the fair value of the warrants issued to Rithm under the Credit Agreement. The fair value of $2.7 million was recorded in Accrued expenses and other liabilities with an offset to deferred issuance costs in Prepaid expenses and other assets. As of March 31, 2024, the Company recorded a mark to market gain of $0.7 million on the warrants and $0.7 million of amortization on the deferred issuance costs. As of March 31, 2024, the warrants had a carrying value of $2.1 million. Additionally, subject to receipt of approval of a majority of the Company’s stockholders and the satisfaction of certain other closing conditions, Rithm or one of its affiliates has agreed to purchase $14.0 million of the Company's common stock at a price of $4.87 per share (which represents the trailing five-day average closing price of the Common Stock on the NYSE as of the date of the Securities Purchase Agreement), the proceeds of which would be used to pay down the amount outstanding under the term loan. In connection with the foregoing transaction and subject to receipt of approval of a majority of the Company's stockholders, the Company has agreed to terminate its existing management contract with the Manager in exchange for approximately $15.5 million of the Company's common stock and enter into a new management agreement with RCM GA Manager, LLC, a Rithm affiliate, which would become the Company's new external manager. In connection therewith, the Company delivered a termination notice to the Manager on February 26, 2024.

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


	Three months ended March 31,
	2024		2023
Beginning balance	$	16,644	$	12,153
Issuance of 2024 warrants	2,734		—
Fair value adjustment of 2020 warrants	2,033		—
Fair value adjustment of 2024 warrants	(680)		1,622
Redemption of 2020 warrants	(18,677)		—
Ending balance	$	2,054	$	13,775

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 March 31, 2024, 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 two repurchase facilities whereby the Company, through two wholly-owned Delaware trusts (the “Trusts”) acquires pools of mortgage loans which are then sold by the Trusts, as “Seller” to two separate counterparties, the “buyer” or “buyers.” One facility has a ceiling of $150.0 million and the other $400.0 million at any one time. Upon the time of the initial sale to the buyer, the Trust, with a simultaneous agreement, also agrees to repurchase the pools of mortgage loans from the buyer. Mortgage loans sold under these facilities carry interest calculated based on a spread to one-month 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 75% and 90% 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 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 four repurchase facilities, as of March 31, 2024, substantially similar to the mortgage loan repurchase facilities, but where the pledged assets are bonds retained from the Company's securitization transactions. These facilities have no effective ceilings. Each repurchase transaction represents its own borrowing. As such, the ceilings associated with these transactions are the amounts currently borrowed at any one time. The Company has effective control over the assets subject to all of these transactions; therefore, the Company’s repurchase transactions are accounted for as financing arrangements.

The Servicer services these mortgage loans pursuant to the terms of a Servicing Agreement by and between the Servicer and each buyer. Each Servicing Agreement has the same fees and expenses terms as the Company’s Servicing Agreement described under Note 10 — Related Party Transactions. The Operating Partnership, as guarantor, will provide to the buyers a limited guaranty of certain losses incurred by the buyers in connection with certain events and/or the Seller’s obligations under the mortgage loan purchase agreement, following the breach of certain covenants by the Seller, the occurrence of certain bad acts by the Seller, the occurrence of certain insolvency events of the Seller or other events specified in the Guaranty. As security for its obligations under the Guaranty, the guarantor will pledge the trust certificate representing the Guarantor’s 100% beneficial interest in the Seller.

The following table sets forth the details of the Company’s repurchase transactions and facilities ($ in thousands):


	March 31, 2024
	Maturity Date	Amount Outstanding		Amount of Collateral		Interest Rate
Barclays - bonds(1)		$	69,929	$	87,789	6.98	%
A Bonds	April 3, 2024	10,596		14,857		6.83	%
	April 15, 2024	21,456		28,138		6.72	%

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


	March 31, 2024
	Maturity Date	Amount Outstanding		Amount of Collateral			Interest Rate
	May 3, 2024	6,357		8,162			6.68	%
	May 22, 2024	2,134		3,511			6.97	%
B Bonds	April 26, 2024	3,102		5,151			7.62	%
	May 3, 2024	3,608		5,991			7.70	%
	May 22, 2024	4,312		13,651			7.57	%
	June 13, 2024	16,988		5,796			7.06	%
M Bonds	May 3, 2024	281		505			7.05	%
	May 22, 2024	1,095		2,027			7.17	%
Nomura - bonds(1)		$	95,890	$	95,465		6.84	%
A Bonds	April 26, 2024	34,745		45,079			6.94	%
	May 15, 2024	4,898		7,008			6.86	%
	June 28, 2024	16,657		22,547			6.71	%
B Bonds	April 26, 2024	1,031		1,797			7.23	%
	May 15, 2024	3,013		5,197			7.26	%
	June 5, 2024	28,176		110			6.63	%
	June 28, 2024	3,818		6,414			7.26	%
M Bonds	April 26, 2024	2,434		5,200			7.23	%
	June 28, 2024	1,118		2,113			6.86	%
JP Morgan - bonds(1)		$	28,042	$	43,438		6.74	%
A Bonds	May 28, 2024	9,480		15,674			6.67	%
M Bonds	April 3, 2024	14,625		20,346			6.73	%
	July 22, 2024	3,401		6,534			6.96	%
	May 28, 2024	536		884			6.89	%
Nomura - loans(2)	October 5, 2024	$	154,017	$	216,540		7.79	%
JP Morgan - loans(3)	July 10, 2024	$	6,161	$	8,561		8.38	%
Totals/weighted averages		$	354,039	$	451,793	(4)	7.30	%

(1)Maximum borrowing capacity subject to pledging sufficient collateral is the equivalent of the amount outstanding as of March 31, 2024.

(2)Maximum borrowing capacity subject to pledging sufficient collateral as of March 31, 2024 was $400.0 million.

(3)Maximum borrowing capacity subject to pledging sufficient collateral as of March 31, 2024 was $150.0 million.

(4)Includes $42.8 million of bonds that are consolidated on the Company's balance sheet for GAAP as of March 31, 2024.


	December 31, 2023
	Maturity Date	Amount Outstanding		Amount of Collateral		Interest Rate
Barclays - bonds(1)		$	70,095	$	101,041	7.03	%
A Bonds	January 3, 2024	10,850		15,572		6.90	%
	January 19, 2024	21,762		28,503		6.79	%
	May 3, 2024	9,628		12,329		6.87	%
	May 22, 2024	2,134		3,358		6.97	%
B Bonds	January 26, 2024	3,027		4,998		7.68	%
	March 13, 2024	13,398		20,121		7.13	%
	May 3, 2024	3,608		6,185		7.70	%
	May 22, 2024	4,312		7,565		7.57	%
M Bonds	May 3, 2024	281		499		7.05	%
	May 22, 2024	1,095		1,911		7.17	%
Nomura - bonds(1)		$	68,623	$	98,448	6.98	%

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


	December 31, 2023
	Maturity Date	Amount Outstanding		Amount of Collateral			Interest Rate
A Bonds	January 26, 2024	35,184		47,149			7.02	%
	February 15, 2024	5,079		7,449			6.93	%
	March 28, 2024	17,019		23,238			6.74	%
B Bonds	January 26, 2024	1,024		1,761			7.31	%
	February 15, 2024	3,002		5,149			7.33	%
	March 28, 2024	3,900		6,413			7.30	%
M Bonds	January 26, 2024	2,307		5,177			7.30	%
	March 28, 2024	1,108		2,112			6.90	%
JP Morgan - bonds(1)		$	33,564	$	53,978		6.90	%
A Bonds	February 28, 2024	9,632		12,633			6.73	%
B Bonds	February 28, 2024	6,598		11,140			7.13	%
M Bonds	January 4, 2024	13,541		22,813			6.82	%
	January 22, 2024	3,290		6,497			7.23	%
	February 28, 2024	503		895			7.03	%
Nomura - loans(2)	October 5, 2024	$	193,060	$	277,632		7.79	%
JP Morgan - loans(3)	July 10, 2024	$	10,403	$	14,656		8.38	%
Totals/weighted averages		$	375,745	$	545,755	(4)	7.44	%

(1)Maximum borrowing capacity subject to pledging sufficient collateral is the equivalent of the amount outstanding as of December 31, 2023.

(2)Maximum borrowing capacity subject to pledging sufficient collateral as of December 31, 2023 was $400.0 million.

(3)Maximum borrowing capacity subject to pledging sufficient collateral as of December 31, 2023 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, 2023.

The Guaranty establishes a master netting arrangement; however, the arrangement does not meet the criteria for offsetting within the Company’s consolidated balance sheets. A master netting arrangement derives from contractual agreements entered into by two parties to multiple contracts that provides for the net settlement of all contracts covered by the agreements in the event of default under any one contract. As of March 31, 2024 and December 31, 2023, the Company had $4.5 million and $3.8 million, respectively, of cash collateral on deposit with financing counterparties. This cash is included in Prepaid expenses and other assets on its consolidated balance sheets and is not netted against its Borrowings under repurchase agreements. The amount outstanding on the Company’s repurchase facilities and the carrying value of the Company’s loans pledged as collateral are presented as gross amounts in the Company’s consolidated balance sheets at March 31, 2024 and December 31, 2023 in the table below ($ in thousands):


	Gross amounts not offset in balance sheet
	March 31, 2024		December 31, 2023
Gross amount of recognized liabilities	$	354,039	$	375,745
Gross amount of loans and securities pledged as collateral	447,282		541,999
Other prepaid collateral	4,511		3,756
Net collateral amount	$	97,754	$	170,010

Secured Borrowings

From its inception (January 30, 2014) to March 31, 2024, the Company has completed 18 secured borrowings for its own balance sheet, not including its off-balance sheet joint ventures in which it holds investments in various classes of securities, pursuant to Rule 144A under the Securities Act, five of which were outstanding at March 31, 2024. The secured borrowings are generally structured as debt 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

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

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 subordinated notes and the applicable trust certificates from one non-rated secured borrowing outstanding at March 31, 2024.

The Company’s rated secured borrowings are generally structured as “REIT TMP” transactions which allow the Company to issue multiple classes of securities without using a REMIC structure or being subject to an entity level tax. The Company’s rated secured borrowings generally issue classes of debt from AAA through mezzanine. The Company generally retains the mezzanine and residual certificates in the transactions. The Company has retained the applicable mezzanine and residual certificates from the other four rated secured borrowings outstanding at March 31, 2024. The Company’s rated secured borrowings are designated in the table below.

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

The following table sets forth the original terms of notes from the Company's secured borrowings outstanding at March 31, 2024 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

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)

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-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. The Company has retained the Class M notes, with the exception of Ajax Mortgage Loan Trust 2021-A.

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

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

Servicing for the mortgage loans in the Company’s secured borrowings is provided by the Servicer at servicing fee rates between 0.65% of outstanding UPB and 1.25% of outstanding UPB at acquisition, and is paid monthly. The determination of RPL or NPL status, which determines the servicing fee rates, is based on the status of the loan at acquisition and does not change regardless of the loan's subsequent performance. The following table sets forth the status of the notes held by others at March 31, 2024 and December 31, 2023, and the securitization cutoff date ($ in thousands):


	Balances at March 31, 2024							Balances at December 31, 2023							Original balances at securitization cutoff date
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
2019-D	$	98,324	$	66,402		148	%	$	99,367	$	67,739		147	%	$	193,301	$	156,670
2019-F	94,553		56,172			168	%	96,870		57,936			167	%	170,876		127,673
2020-B	99,221		62,058			160	%	100,245		63,574			158	%	156,468		114,534
2021-A	125,500		100,435			125	%	127,250		102,057			125	%	206,506		175,116
2021-B	205,591		117,438			175	%	204,883		123,032			167	%	287,882		215,912
	$	623,189	$	402,505	(1)	155	%	$	628,615	$	414,338	(1)	152	%	$	1,015,033	$	789,905

(1)This represents the gross amount of Secured borrowings and excludes the impact of deferred issuance costs of $2.8 million and $3.1 million as of March 31, 2024 and December 31, 2023.

Notes

2024 Notes (Convertible Senior Notes)

At both March 31, 2024 and December 31, 2023, the Company's 2024 Notes had carrying values of $103.5 million. The 2024 Notes had an interest rate of 7.25% per annum and were payable quarterly in arrears on January 15, April 15, July 15

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

and October 15 of each year. The 2024 Notes matured on April 30, 2024 and the Company redeemed the notes in full for an aggregate amount of $103.5 million and 15 days of accrued interest. As of March 31, 2024, the amount by which the if-converted value falls short of the principal value for the entire series is $76.1 million.

At March 31, 2024, the outstanding aggregate principal amount of the 2024 Notes was $103.5 million, and discount and deferred expenses were zero. At December 31, 2023, the outstanding aggregate principal amount of the 2024 Notes was $103.5 million, and discount and deferred expenses were zero. During the three months ended March 31, 2024 and 2023, the Company recognized interest expense on its outstanding 2024 Notes of $1.9 million and $2.1 million, respectively, which includes zero and $0.2 million of amortization of discount and deferred expenses, respectively. The effective interest rates of the 2024 Notes for the three months ended March 31, 2024 and 2023 were 7.25% and 8.01%, respectively.

There were no 2024 Notes repurchases during the first quarter of 2024. During the first quarter of 2023, the Company completed a repurchase of $1.0 million aggregate principal of its 2024 Notes for a total purchase price of $1.0 million.

On January 1, 2022, the Company adopted ASU 2020-06, Debt – Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging – Contracts in an Entity’s Own Equity (Subtopic 815-40) by recording a reduction in its additional paid-in capital account of $0.7 million and a corresponding increase in the carrying value of its 2024 Notes of $0.7 million, representing the carrying value of the conversion feature associated with the 2024 Notes.

2027 Notes (Unsecured Notes)

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 March 31, 2024. 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 were used for general corporate purposes.

At March 31, 2024, the outstanding aggregate principal amount of the 2027 Notes was $110.0 million, and discount and deferred expenses in aggregate were $2.9 million. At December 31, 2023, the outstanding aggregate principal amount of the 2027 Notes was $110.0 million, and discount and deferred expenses in aggregate were $3.2 million. During the three months ended March 31, 2024 and 2023, the Company recognized interest expense on the 2027 Notes of $2.7 million and $2.6 million, respectively, which includes $0.2 million of amortization of discount and deferred expenses during both the three months ended March 31, 2024 and 2023. The effective interest rate for the 2027 Notes for the three months ended March 31, 2024 and 2023 were 9.94% and 9.89%, respectively.

The following table summarizes the Company's long term maturities ($ in thousands):


Year	Debt instrument	As of March 31, 2024
2024		$	—
2025		$	—
2026		$	—
2027	2027 Notes (Unsecured Notes)	$	110,000
2028		$	—

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

Note 10 — Related Party Transactions

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


			Three months ended March 31,
Transaction	Consolidated Statement of Operations location	Counterparty	2024		2023
Management fee (including management termination fee)	Related party expense – management fee	Manager	$	17,459	$	1,828
Income from equity investment	Income/(loss) from investments in affiliates	Manager	$	3,113	$	2
Interest income on securities and beneficial interest and net decrease in the net present value of expected credit losses on beneficial interests	Net interest (loss)/income after the impact of changes in the net present value of expected credit losses	Various non-consolidated joint ventures	$	2,357	$	4,570
Loan servicing fees	Related party expense – loan servicing fees	Servicer	$	1,734	$	1,860
Affiliate loan interest income	Interest income	Servicer	$	253	$	65
Affiliate loan interest income	Interest income	Gaea	$	92	$	—
Income from equity investment	Income/(loss) from investments in affiliates	AS Ajax E LLC	$	10	$	11
Loss from joint venture re-securitization on beneficial interests	Loss on joint venture refinancing on beneficial interests	2019-H	$	—	$	(995)
Loss from equity investment	Income/(loss) from investments in affiliates	Gaea	$	(1)	$	(243)
Loss from equity investment	Income/(loss) from investments in affiliates	Loan pool LLCs	$	(7)	$	(10)
Loss from equity investment	Income/(loss) from investments in affiliates	Servicer	$	(26)	$	(67)

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

Transaction

Consolidated Balance Sheet location

Counterparty

As of March 31, 2024

Investment in beneficial interests

Investments in beneficial interests

Various non-consolidated joint ventures

88,577

Affiliate loan receivable and interest

Prepaid expenses and other assets

Servicer

12,663

Receivables from Servicer

Receivable from servicer

Servicer

4,240

Affiliate loan receivable and interest

Prepaid expenses and other assets

Gaea

4,030

Management fee payable

Manager

1,951

Servicing fee payable

Accrued expenses and other liabilities

Servicer

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

Transaction

Consolidated Balance Sheet location

Counterparty

As of December 31, 2023

Investment in beneficial interests

Investments in beneficial interests

Various non-consolidated joint ventures

104,162

Affiliate loan receivable and interest

Prepaid expenses and other assets

Servicer

12,591

Affiliate loan receivable and interest

Prepaid expenses and other assets

Gaea

7,545

Receivables from Servicer

Receivable from servicer

Servicer

7,307

Management fee payable

Manager

1,998

Servicing fee payable

Accrued expenses and other liabilities

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 March 31, 2024, the investments in debt securities AFS, investments in debt securities HTM and beneficial interests were carried on the Company's consolidated balance sheet at $125.1 million, $54.1 million and $88.6 million, respectively. As of December 31, 2023, the investments in debt securities AFS, investments in debt securities HTM and beneficial interests were carried on the Company's consolidated balance sheet at $131.6 million, $59.7 million and $104.2 million, respectively.

During February 2023, the Company purchased one residential RPL from the Servicer for $0.2 million with UPB of $0.2 million and collateral value of $0.4 million. The loans are included in Mortgage loans held-for-investment, net on the Company's consolidated balance sheets.

During January 2023, the Company contributed an additional $0.7 million equity interest in GAFS. As of both March 31, 2024 and December 31, 2023, the Company's ownership of GAFS was 9.7%. The Company accounts for its investment using the equity method.

During the first quarter of 2023, the Company re-securitized 2019-E, -G and -H into 2023-A. The re-securitization resulted in a loss of $1.0 million on its beneficial interests in 2019-H. Although the Company retained a proportionate 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 interests in 2023-A and the loss recorded represents the mark to market adjustment on the sale of the underlying loans to 2023-A.

During November 2023, the Company renewed a promissory note with the Servicer under which the Servicer can borrow up to $12.0 million, secured by real property owned by a subsidiary of securitization trusts. Interest on the arrangement accrues at SOFR plus 300 basis points annually. At March 31, 2024 and December 31, 2023, the amount outstanding on the note and interest was $10.9 million and $9.3 million, respectively.

Also during November 2023, the Company renewed a promissory note with the Servicer under which the Servicer can borrow up to $3.5 million secured by equity in servicing advances owned by the Servicer, which are first in priority for reimbursement from loan payments. Interest on the arrangement accrues at SOFR plus 300 basis points. The note was originally executed on December 9, 2021 and was secured by securities held by the Servicer. At March 31, 2024 and December 31, 2023, the amount outstanding on the note and interest was $1.8 million and $3.3 million, respectively.

During November 2019 and January 2022, Gaea completed two private capital raises and has raised a total of $96.3 million and issued 6,247,794 shares of its common stock and warrants to third parties to advance its investment strategy. The Company has a total investment of $25.5 million in Gaea and has received 1,704,436 shares of common stock and 371,103 warrants. At both March 31, 2024 and December 31, 2023, the Company owned approximately 22.2% of Gaea with third party investors owning the remaining 77.8%. 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 three loan pool LLCs managed by the Servicer for $1.0 million, which hold investments in RPLs and NPLs. During the year

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

ended December 31, 2020, one of the loan pool LLCs sold its remaining loans. Also, during the year ended December 31, 2022, another loan pool LLCs sold its remaining loans to the Company for a purchase price of $0.3 million and UPB of $0.4 million. At both March 31, 2024 and December 31, 2023, the Company’s ownership interest was approximately 40.0% in one loan pool LLC managed by the Servicer. The Company accounts for its 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 both March 31, 2024 and December 31, 2023, the Company’s ownership interest in AS Ajax E LLC was approximately 16.5%. The Company accounts for its investment using the equity method.

Management Agreement

Currently, the Company is a party to the Third Amended and Restated Management Agreement with the Manager, as amended, which expires on March 5, 2034. Under the Management Agreement, the Manager implements the Company’s business strategy and manages the Company’s business and investment activities and day-to-day operations, subject to oversight by the Company’s Board of Directors. Among other services, the Manager, directly or through affiliates, provides the Company with a management team and necessary administrative and support personnel. The Company does not currently have any employees that it pays directly and does not expect to have any employees that it pays directly in the foreseeable future. Each of the Company’s executive officers is an employee or officer, or both, of the Manager or the Servicer.

Under the Management Agreement, the Company pays both a base management fee and an incentive fee to the Manager. The base management fee equals 1.5% of the Company's stockholders’ equity, including equity equivalents such as the Company's issuance of convertible senior notes, per annum and calculated and payable quarterly in arrears. Also, under the First Amendment to the Third Amended and Restated Management Agreement with the Manager, which has an effective date of March 1, 2023, the Company's quarterly base management fee will include, in its computation of equity managed, its unsecured debt securities to the extent the proceeds were used to repurchase the Company's preferred stock.

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 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 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 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 eight calendar quarters. In the event that the payment of the quarterly base management fee has not reached the 50/50 split, all of the incentive fee is payable in shares of the Company’s common stock at its discretion and any 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, 20% of the remaining incentive fee is payable in shares of the Company's common stock and 80% of the remaining incentive fee is payable in cash. Notwithstanding the foregoing, the Company may elect to pay the incentive fee entirely in cash at its discretion. During the three months ended March 31, 2024 and 2023, 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 accompanying notes are an integral part of the consolidated interim financial statements.

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 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 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 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 fee to the Manager for the three months ended March 31, 2024 and 2023 of $2.0 million and $1.8 million, respectively, of which zero was settled in shares of its common stock. During the three months ended March 31, 2024 and 2023, the Company recorded no incentive fee.

Additionally, each of the Company’s independent directors received an annual retainer of $140,000, payable quarterly, 50% of which is payable in shares of the Company's common stock and 50% in cash. However, the Company has the option to

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

pay the annual retainer with up to 100% in cash at its discretion, and pay the remainder in shares of its common stock. During the three months ended March 31, 2024, the Company's lead director of the special committee received an additional one-time payment of $15,000, paid as a lump sum, 100% of which was paid in shares of the Company's common stock.

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 March 31,
	2024			2023
	Number of shares	Amount of expense recognized		Number of shares	Amount of expense recognized
Independent director fees	3,080	$	15	13,020	$	88
Totals	3,080	$	15	13,020	$	88

Restricted Stock

The Company periodically grants shares of its common stock to employees of its Manager and Servicer. The Company granted 66,421 shares of its common stock in the three months ended March 31, 2024, which have vesting periods of up to one year. Comparatively, the Company granted 3,000 shares of its common stock to employees of its Manager and Servicer in the three months ended March 31, 2023, which have vesting periods of four 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 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.

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 in the table below:


	Employee and Service Provider Grants				Director Grants
	Shares		Weighted Average Grant Date Fair Value		Shares		Weighted Average Grant Date Fair Value
Three months ended March 31, 2023
December 31, 2022 outstanding unvested share grants	310,262		$	10.98	—		$	—
Shares vested	(30,515)		11.56		—		—
Shares forfeited	(5,668)		10.30		—		—
Shares granted	3,000		7.34		25,000		7.15
March 31, 2023 outstanding unvested share grants	277,079	(1)	$	10.88	25,000	(2)	$	7.15

(1)Weighted average remaining life of unvested shares for employee and service provider grants at March 31, 2023 is 2.2 years.

(2)Weighted average remaining life of unvested shares for director grants at March 31, 2023 is 1.9 years.

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


	Employee and Service Provider Grants				Director Grants
	Shares		Weighted Average Grant Date Fair Value		Shares		Weighted Average Grant Date Fair Value
Three months ended March 31, 2024
December 31, 2023 outstanding unvested share grants	159,142		$	10.33	25,000		$	7.15
Shares vested	(5,625)		10.91		—		—
Shares forfeited	(2,167)		7.89		—		—
Shares granted	66,421		3.59		—		—
March 31, 2024 outstanding unvested share grants	217,771	(1)	$	8.29	25,000	(2)	$	7.15

(1)Weighted average remaining life of unvested shares for employee and service provider grants at March 31, 2024 is 1.3 years.

(2)Weighted average remaining life of unvested shares for director grants at March 31, 2024 is 0.9 years.

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


	Three months ended March 31,
	2024		2023
Restricted stock grants	$	253	$	517
Director grants	22		7
Total expenses for plan grants	$	275	$	524

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 two 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 months ended March 31, 2024, the Company had consolidated taxable loss of $20.4 million and income tax expense of $0.9 million. For the three months ended March 31, 2023, the Company had consolidated taxable income of $1.8 million and income tax expense of $0.1 million. As of both March 31, 2024 and 2023, the Company recognized a deferred tax asset of $0.5 million. The income tax expense for the three months ended March 31, 2024 is primarily related to the flow through income from the Manager.

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 March 31, 2024					Three months ended March 31, 2023
	Income (Numerator)		Shares (Denominator)	Per Share Amount		Income (Numerator)		Shares (Denominator)	Per Share Amount
Basic EPS
Consolidated net loss attributable to common stockholders	$	(74,319)	30,700,278			$	(7,941)	22,920,943
Allocation of loss to participating restricted shares	465		—			111		—
Consolidated net loss attributable to unrestricted common stockholders	$	(73,854)	30,700,278	$	(2.41)	$	(7,830)	22,920,943	$	(0.34)
Effect of dilutive securities(1,2)
Restricted stock grants and Manager and director fee shares(3)	(465)		193,113			—		—
Diluted EPS
Consolidated net loss attributable to common stockholders and dilutive securities	$	(74,319)	30,893,391	$	(2.41)	$	(7,830)	22,920,943	$	(0.34)

(1)The Company's warrants, which were partially outstanding for the three months ended March 31, 2024 and outstanding for the entire three months ended March 31, 2023, for an additional 1,950,672 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 March 31, 2024 and 2023 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 March 31, 2024 and 2023 would have been anti-dilutive and have been removed from the calculation.

(3)The effect of restricted stock grants and manager and director fee shares on the Company's diluted EPS calculation for the three months ended March 31, 2023 would have been anti-dilutive and have been removed from the calculation.

Note 14 — Equity

Common Stock

As of March 31, 2024 and December 31, 2023, the Company had 36,992,019 and 27,460,161 shares, respectively, of $0.01 par value common stock outstanding with 125,000,000 shares authorized at each period end.

Preferred Stock

The Company issued shares of preferred stock which were issued to institutional accredited investors in a series of private 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. The shares had a liquidation preference of $25.00 per share.

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

At March 31, 2024 and December 31, 2023, the Company had zero and 424,949 shares of Series A preferred stock and zero and 1,135,590 shares of Series B preferred stock outstanding, respectively. There were 25,000,000 shares, cumulative for all series, authorized as of both March 31, 2024 and December 31, 2023.

Treasury Stock and Stock Repurchase Plan

On February 28, 2020, the Company's Board of Directors approved a stock buyback of up to $25.0 million of its 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.

As of both March 31, 2024 and December 31, 2023, the Company held 1,035,785 shares of treasury stock consisting of 148,834 shares received through distributions of the Company's shares previously held by its Manager, 361,912 shares received through its Servicer and 525,039 shares acquired through open market 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. The Company issued no shares under the plan during the three months ended March 31, 2024 and 2023.

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 the three months ended March 31, 2024, no shares were sold under the At the Market program. Comparatively, during the three months ended March 31, 2023, 345,578 shares were sold under the At the Market program for total net proceeds of approximately $2.4 million. The Company deployed its net proceeds to acquire mortgage loans and mortgage-related assets consistent with its investment strategy.

Accumulated Other Comprehensive Loss

The Company recognizes unrealized gains or losses on its investment in debt securities AFS as components of other comprehensive loss. Additionally, other comprehensive loss includes unrealized gains or losses associated with the transfer of the Company's investment in debt securities from AFS to HTM. These amounts are subsequently amortized from other comprehensive loss into earnings over the same period as the related unamortized discount. Total accumulated other comprehensive loss on the Company’s balance sheet at March 31, 2024 and December 31, 2023 was as follows ($ in thousands):


Investments in securities:	March 31, 2024		December 31, 2023
Unrealized gains on debt securities available-for-sale	$	1,144	$	637
Unrealized losses on debt securities available-for-sale	(8,809)		(8,675)
Unrealized losses on debt securities available-for-sale transferred to held-to-maturity	(5,193)		(5,989)
Accumulated other comprehensive loss	$	(12,858)	$	(14,027)

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

Non-controlling Interest

At both March 31, 2024 and December 31, 2023, the Company had non-controlling interests attributable to ownership interests for three legal entities.

At both March 31, 2024 and December 31, 2023, the Company's ownership interest is approximately 53.1% of AS Ajax E II and it consolidates the assets, liabilities, revenues and expenses of the entity.

At both March 31, 2024 and December 31, 2023, 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 March 31, 2024 and December 31, 2023, 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.

Note 15 — Subsequent Events

On May 3, 2024, the Company’s Board of Directors declared a cash dividend of $0.06 per share to be paid on May 30, 2024 to stockholders of record as of May 15, 2024.

On April 30, 2024, the Company repaid its 2024 Convertible Notes at maturity, for an aggregate amount of $103.5 million, and 15 days of accrued interest.

During April 2024, the Company called the Senior notes and the Class B bond on its 2021-B. The Company sold its underlying loans with a total UPB of $92.2 million and moved the majority of the remaining loans to its repurchase line of credit. The estimated $10.1 million loss realized on the loans was accrued at March 31, 2024. The Company received net cash proceeds on the redemption in the amount of $6.5 million and are under contract, subject to due diligence, to sell the majority of the remaining loans in 2021-B and from its repurchase lines of credit in May 2024. The loans have a total UPB of $180.6 million and the Company expects to generate $47.1 million in cash after repayment of any associated debt. The estimated $21.8 million expected loss on these loans sales was accrued at March 31, 2024.

Also, during April 2024, the Company sold loans from its repurchase lines of credit with a total UPB of $124.8 million. The Company received net cash proceeds from these loan sales in the amount of $20.1 million after repaying the associated debt. The estimated $13.6 million loss realized on the loan sales was accrued at March 31, 2024.

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 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. We intend these forward-looking statements to be covered by the safe harbor provisions for forward-looking statements in the federal securities laws, established by the Private Securities Litigation Reform Act of 1995. 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. The outcome of the events described in these forward-looking statements is subject to risks, uncertainties and other factors including but not limited to:

•our ability to satisfy the closing conditions and consummate the transactions we entered into with Rithm and its affiliates on the agreed upon terms or at all;

•our ability to obtain financing on favorable terms or at all in the event the transactions with Rithm and its affiliates are not consummated in a timely manner or at all;

•the impact of our termination of the Manager in the event we are unable to enter into a management agreement with RCM GA Manager LLC, an affiliate of Rithm (“RCM GA”), in a timely manner or at all;

•the significant losses we have incurred to date from our holdings of non-performing loans (“NPLs”), re-performing loans (“RPLs”) and small balance commercial mortgage loans (“SBC loans”);

•the expectation that we will continue to incur increasing and significant consolidated net losses from our mortgage holdings;

•the declining financial condition of the Servicer and its ability to continue to perform its obligations under the Servicing Agreement;

•difficulties in consummating sales of our NPLs, RPLs and SBC loans at attractive prices and on a prompt timeline or at all and adverse market developments negatively impacting the value of, and the returns expected from, such assets;

•the impact of changes in interest rates and the market value of the collateral underlying our RPL and NPL portfolios or of our other real estate assets;

•changes to our business strategy, including as a result of or following the consummation of the transactions we have entered into with Rithm and its affiliates or in the event that the transactions we have entered into with Rithm and its affiliates are not consummated;

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

•our share price has been and may continue to be volatile;

•the broader impacts of increasing interest rates, inflation, and potential for a global economic recession;

•general volatility of the capital markets;

•the impact of adverse legislative or regulatory tax changes;

•our ability to control our costs;

•our failure to comply with the covenants under our borrowing arrangements;

•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 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 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. 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 own a 19.8% equity interest in our Manager and an 9.7% equity interest in the parent company of our Servicer through GA-TRS, a wholly-owned subsidiary of the Operating 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 March 31, 2024, owns 99.9% of Great Ajax II REIT Inc. which owns Great Ajax II Depositor LLC which then acts as the depositor of mortgage loans into securitization trusts and holds subordinated securities issued by such trusts. Similarly, as of March 31, 2024, 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 subsidiary of the Operating 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 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 subsidiary of Gaea, to hold investments in commercial real estate 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 transaction through which it raised $66.3 million from the issuance of its common stock to third parties to allow Gaea to continue to advance its investment strategy. Additionally, in January 2022, Gaea completed a second private capital raise in which it raised approximately $30.0 million from the issuance of its common stock and warrants. Also, during the year ended December 31, 2023, GA-TRS received an additional 20,991 shares of Gaea common stock due to the termination of Gaea's management agreement, which increased our ownership. At March 31, 2024, we owned approximately 22.2% of total shares outstanding. 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.

Strategic Transaction

On February 26, 2024, we entered into a $70.0 million term loan with NIC RMBS, an affiliate of Rithm. The term loan is accompanied by the issuance of a certain number of warrants to Rithm Capital Corp. (together with its subsidiaries, "Rithm") or one of its affiliates to purchase our common stock, which warrants will be detachable. Additionally, subject to receipt of approval of a majority of our stockholders and the satisfaction of certain other closing conditions, Rithm or one of its affiliates has agreed to purchase $14.0 million of our common stock at a price of $4.87 per share (which represents the trailing five-day average closing price of the common stock on the NYSE as of the date of the Securities Purchase Agreement), the proceeds of which would be used to pay down the amount outstanding under the term loan. In connection with the foregoing transaction and subject to receipt of approval of a majority of our stockholders, we have agreed to terminate our existing management contract with the Manager in exchange for approximately $15.5 million of our common stock and enter into a new management agreement with RCM GA Manager LLC, a Rithm affiliate, which would become our new external manager. In connection therewith, we delivered a termination notice to the Manager on February 26, 2024.

We believe the consummation of this strategic transaction will have a number of strategic benefits as our stockholders will have an opportunity to benefit from a shift in our strategic direction. We will seek to capitalize on commercial real estate investment opportunities and will be managed by an affiliate of Rithm, which has an experienced team with a well-recognized track record of success in real estate investments.

Following the consummation of the strategic transaction, we expect to pursue a flexible real estate investment strategy. Our target assets are currently expected to be in the commercial real estate sector, including commercial real estate, as well as preferred equity or debt instruments secured by mortgages on these types of properties, small balance commercial loans, mezzanine loans secured by pledges of equity interests in entities that own these types of properties or other forms of subordinated debt in connection with these types of properties, as well as commercial mortgage servicing rights and operating businesses in the sector. The post-closing Company does not currently anticipate investing in residential mortgage loans, RPLs or NPLs. Given the change in focus of our business, we intend to, over time, reposition much of our existing portfolio. We believe commercial real estate offers an attractive investment opportunity given market dynamics that are creating significant refinancing challenges and funding gaps.

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 March 31, 2024 and December 31, 2023 ($ in millions):


	March 31, 2024		December 31, 2023
Residential RPLs	$	741.4	$	822.1
Residential NPLs	59.9		92.0
SBC loans	5.7		6.2
Real estate owned properties, net	5.2		3.8
Investments in securities available-for-sale	125.1		131.6
Investments in securities held-to-maturity	54.1		59.7
Investments in beneficial interests	88.6		104.2
Total mortgage related assets	$	1,080.0	$	1,219.6

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

We have incurred substantial operating losses as a result. We expect to continue to incur significant and increasing operating losses for the foreseeable future given current market conditions for our mortgage asset holdings. In particular, higher interest rates have had, and are expected to continue to have, significant negative effects on our loan assets. The interrelationships between various rates and interest rate volatility have had, and are expected to continue to have, negative effects on our earnings because it has extended duration. This has resulted in, and is expected to continue to result in, significant decreases in the fair market value of performing loans. It also may impact adversely our ability to securitize, re-securitize or sell our assets on attractive terms.

Through the end of the first quarter, the recent trends noted below have continued, including:

•higher interest rates have continuing to increase our borrowing costs;

•higher 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 and higher mortgage rates have triggered significant NPL borrower re-performance extending duration;

•borrowers that purchased or refinanced in 2020 and 2021 have record low interest rates and will be unlikely to trade up in the current interest rate environment leading to lower inventory for first time buyers and a smaller population of move up buyers; and

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

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 be stable in the near term and for the foreseeable future.

Rising mortgage rates have reduced the supply of residential mortgage loans and stronger payment performance has reduced the supply of NPLs.

There has been significant disruption in the commercial real estate loan market as a result of the pandemic and rising interest rates. 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 market developments relating to SBC loans and properties.

We also believe that banks that have deposit outflows due to rising interest rates and significant commercial real estate loan exposure will begin to sell certain SBC loans to dispose of their inventory.

Factors That May Affect Our Operating Results

Acquisitions. In light of current market conditions and certain financial challenges, including the significant losses we have incurred to date and limited sources of financing, we do not expect to be in a position to make new acquisitions of residential mortgage assets in the near future.

Financing. 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 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 has limited our access to financing.

Distributions. 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.

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. 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, and includes any charges for impairments to the carrying value of these assets, which may be significant. Interest expense, which is subtracted from our Interest income to arrive at Net interest income, consists of the costs to borrow money.

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 further 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) impact adversely our ability to securitize, re-securitize or sell our assets on attractive terms; (4) reduce the ability or desire of borrowers to refinance their loans; (5) mortgage related assets may become more illiquid during periods of interest rate volatility; (6) difficulties refinancing our securitizations and increases in the costs of our repurchase facility financings; (7) increase our financing costs as we seek to renew or replace borrowing facilities; and (8) 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. Mortgage markets are undergoing a great deal of disruption and uncertainty with regard to both interest rates and origination volume. We expect that market conditions will continue to significantly and adversely impact our operating results and will cause us to adjust our investment and financing strategies over time.

Management Transition. We currently rely on Thetis as our manager, and on Gregory, as our servicer. Thetis provides the employees necessary in order to manage our assets, as well as to address our corporate and financial reporting obligations, among other things. In connection with our transaction with Rithm, we anticipate that Thetis will be replaced by an affiliate of Rithm as our manager, subject to obtaining approval from a majority of our stockholders and the satisfaction of certain other closing conditions. Additionally, Gregory expects in the near future to enter into a transaction to assign its servicing rights and

obligations to a third-party servicer, subject to receipt of necessary consents. During the transition period, we may need to enter into transition services arrangements in order to ensure continuity. In addition, as a result of our announced strategic transaction, among other reasons, we have experienced some loss of personnel. We may incur expenses and transaction costs associated with the management transition to Rithm and the transfer of Gregory’s servicing contracts to a third-party servicer. If we or our existing manager cannot retain certain key personnel during the transition period, or the new manager does not make available additional employees to assist, it may give rise to potential risks for us, including the risk of a significant deficiency or material weakness in internal control over financial reporting.

Critical Accounting Policies and Estimates

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 in securities available-for-sale ("AFS") and Investments in securities held-to-maturity ("HTM"); (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, please refer to the Critical Accounting Policies and Estimates in our Form 10-K for our calendar year ended December 31, 2023, as there have been no changes to these policies.

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

Key items for the three months ended March 31, 2024 include:

•Interest income of $15.7 million; net interest income of $1.6 million

•Net loss attributable to common stockholders of $(74.3) million

•Operating loss of $(4.8) million or $(0.16) per common share

•Earnings per share ("EPS") per basic common share was a loss of $(2.41) of which $(0.50) per basic common share relates to the accrual of the manager termination fee

•Taxable loss of $(0.67) per share attributable to common stockholders after payment of dividends on our preferred stock

•Book value per common share of $6.87 at March 31, 2024

•Collected total cash of $80.9 million from loan payments, sales of loans, sales of REO and collections from investments in debt securities and beneficial interests

•As of March 31, 2024, held $100.1 million of cash and cash equivalents; average daily cash balance for the quarter was $65.3 million

•As of March 31, 2024, approximately 84.4% of our portfolio (based on UPB at the time of acquisition) made at least 12 out of the last 12 payments

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 March 31, 2024 of $(74.3) million or $(2.41) per common share after preferred dividends, and Operating loss of $(4.8) million or $(0.16) per common share. Operating income is a non-GAAP financial measure which adjusts GAAP earnings by removing 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 loss attributable to common stockholders for the three months ended March 31, 2023 was $(7.9) million or $(0.34) per common share, and Operating income was $(2.1) million, or $(0.09) per common share.

At March 31, 2024, our book value decreased to $6.87 per common share from $9.99 at December 31, 2023, driven by the year to date net loss attributable to common stockholders of $74.3 million and dividends on our common stock of

$3.4 million, partially offset by the exchange of our preferred shares for common stock of $22.0 million and exchange of our warrants for common shares of $18.7 million, the amortization of $0.8 million of unrealized losses on our investments in debt securities AFS transferred to HTM, and the recovery of mark to market losses of $0.4 million on our investments in debt securities AFS.

Table 1: Results of Operations


	Three months ended March 31,
($ in thousands)	2024		2023
INCOME
Interest income	$	15,738	$	18,456
Interest expense	(14,106)		(14,925)
Net interest income	1,632		3,531
Net (increase)/decrease in the net present value of expected credit losses	(4,230)		621
Net interest (loss)/income after the impact of changes in the net present value of expected credit losses	(2,598)		4,152
Income/(loss) from investments in affiliates	521		(98)
Loss on joint venture refinancing on beneficial interests	—		(995)
Mark to market loss on mortgage loans held-for-sale, net	(47,307)		—
Other income/(loss)	3		(2,519)
Total (loss)/revenue, net	(49,381)		540
EXPENSE
Related party expense – loan servicing fees	1,734		1,860
Related party expense – management fee	17,459		1,828
Professional fees	705		934
Fair value adjustment on put option liability and warrants	1,353		1,622
Other expense	2,445		1,614
Total expense	23,696		7,858
Gain on debt extinguishment	—		(47)
Loss before provision for income taxes	(73,077)		(7,271)
Provision for income taxes	915		93
Consolidated net loss	(73,992)		(7,364)
Less: consolidated net (loss)/income attributable to the non-controlling interest	(14)		30
Consolidated net loss attributable to the Company	(73,978)		(7,394)
Less: dividends on preferred stock	341		547
Consolidated net loss attributable to common stockholders	$	(74,319)	$	(7,941)
Basic loss per common share	$	(2.41)	$	(0.34)
Diluted loss per common share	$	(2.41)	$	(0.34)


	Three months ended March 31,
($ in thousands)	2024		2023
Reconciliation of consolidated net loss attributable to common stockholders to consolidated operating loss
Consolidated net loss attributable to common stockholders	$	(74,319)	$	(7,941)
Dividends on preferred stock	(341)		(547)
Consolidated net loss attributable to the Company	(73,978)		(7,394)
Provision for income taxes	(915)		(93)
Consolidated net loss/(income) attributable to the non-controlling interest	14		(30)
Loss before provision for income taxes	(73,077)		(7,271)
Loss on joint venture refinancing on beneficial interests	—		(995)
Realized loss on sale of securities	—		(2,974)
Net (increase)/decrease in the net present value of expected credit losses	(4,230)		621
Management termination fee	(15,506)		—
Fair value adjustment on put option liability and warrants	(1,353)		(1,622)
Mark to market on mortgage loans held-for-sale, net	(47,307)		—
Other adjustments	125		(162)
Consolidated operating loss	$	(4,806)	$	(2,139)
Basic operating loss per common share	$	(0.16)	$	(0.09)
Diluted operating loss per common share	$	(0.16)	$	(0.09)

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. Our gross interest income excluding the impact of credit losses decreased to $15.7 million for the three months ended March 31, 2024 from $18.5 million for the three months ended March 31, 2023 primarily due to lower average balances of our mortgage loan, debt security and beneficial interest portfolios. This was partially offset by a $0.3 million increase in our bank interest income.

Interest expense for the three months ended March 31, 2024 decreased to $14.1 million from $14.9 million for the three months ended March 31, 2023 due to decreases in the average balances and interest rates on our borrowings on repurchase lines of credit.

Net interest income after recording the impact of the net present value of increases/decreases in expected credit losses decreased to $2.6 million for the three months ended March 31, 2024 from $4.2 million for the three months ended March 31, 2023 primarily as a result of lower interest income and the net impact of a net $4.2 million increase in the net present value of expected credit losses for our mortgage loan and beneficial interest portfolio for the three months ended March 31, 2024 compared to a $0.6 million decrease for the three months ended March 31, 2023. Of the $4.2 million for the three months ended March 31, 2024, $1.1 million relates to our mortgage loan portfolio and $3.1 million relates to our investments in beneficial interests. Comparatively, of the $0.6 million for the three months ended March 31, 2023, the total $0.6 million relates to our mortgage loan portfolio.

During the three months ended March 31, 2024, we collected $80.9 million in cash payments and proceeds on our mortgage loans, securities and REO held-for-sale compared to $43.6 million for the three months ended March 31, 2023 as rising interest rates have reduced refinancing as a primary driver of prepayments.

The interest income detail for the three months ended March 31, 2024 and 2023 are included in the table below ($ in thousands):

Table 2: Interest Income Detail


	Three months ended March 31,
	2024		2023
Accretable yield recognized on RPL, NPL and SBC loans	$	11,823	$	13,281
Interest income on debt securities	2,220		2,486
Bank interest income	863		515
Accretable yield recognized on beneficial interests	736		2,083
Other interest income	96		91
Interest income	$	15,738	$	18,456
Net (increase)/decrease in the net present value of expected credit losses	(4,230)		621
Interest income after the impact of changes in the net present value of expected credit losses	$	11,508	$	19,077

The average carrying balance of our mortgage loan portfolio decreased for the three months ended March 31, 2024 versus the comparative period in 2023 primarily due to continued prepayments of our mortgage loan portfolio and fewer acquisitions. The average carrying balances of our debt securities, beneficial interests and debt outstanding decreased for the three months ended March 31, 2024 versus the comparative period in 2023 as paydowns and 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 March 31,
	2024		2023
Average mortgage loan portfolio	$	898,343	$	980,671
Average carrying value of debt securities	$	215,748	$	266,899
Average carrying value of beneficial interests	$	103,305	$	134,341
Total average asset backed debt	$	779,768	$	897,279

Income/Loss from Equity Method Investments

We recorded income from our investments in our Manager and Servicer of $3.1 million for the three months ended March 31, 2024. Comparatively, for the three months ended March 31, 2023, we recorded losses from our investments in our Manager and Servicer of $0.1 million. We account for our investments in our Manager and our Servicer using the equity method of accounting. We recorded income of $25 thousand in our other equity method investments for the three months ended March 31, 2024. Comparatively, for the three months ended March 31, 2023, we recorded a loss from our other equity method investments of $34 thousand.

During the three months ended March 31, 2023, we contributed an additional $0.7 million equity interest in Great Ajax FS LLC ("GAFS") to increase our total ownership of GAFS to 9.7%. During the three months ended March 31, 2024, we reduced the basis of GAFS to zero and recorded a write off of $2.6 million.

During the year ended December 31, 2023, GA-TRS received an additional 20,991 shares of Gaea common stock due to the termination of Gaea's management agreement, which increased our ownership. At March 31, 2024, we owned approximately 22.2% of Gaea.

Loss on Joint Venture Refinancing on Beneficial Interests

During the three months ended March 31, 2023, we recorded a $1.0 million loss on joint venture refinancing on beneficial interests due to other than temporary impairment. The $1.0 million relates to the re-securitization of Ajax Mortgage Loan Trusts 2019-E, 2019-G and 2019-H ("2019-E, -G, -H") into Ajax Mortgage Loan Trust 2023-A ("2023-A"). Although we retained a proportionate investment in the securities issued by the new joint ventures, the beneficial interests are accounted for as distinct legal securities and the loss recorded represents the mark to market adjustment on the sale of the underlying loans by

the old joint ventures to the new joint ventures. Comparatively, no losses were recorded on joint venture refinancing on beneficial interests during the three months ended March 31, 2024.

Other Income/Loss

Other income/loss increased for the three months ended March 31, 2024 by $2.5 million from the three months ended March 31, 2023 primarily due to a loss on sale of securities during the three months ended March 31, 2023. A breakdown of Other income/loss is provided in the table below ($ in thousands):

Table 4: Other Income/(Loss)


	Three months ended March 31,
	2024		2023
Other income	$	433	$	364
Net gain on sale of property held-for-sale	8		91
Loss on sale of securities	—		(2,974)
Loss on sale of mortgage loans	(438)		—
Total Other income/(loss)	$	3	$	(2,519)

Expenses

Total expenses increased for the three months ended March 31, 2024 over the comparable period in 2023 as a result of the management fee termination of $15.5 million and put option expense on our outstanding common stock warrants issued with our preferred shares, which were all exchanged for common stock during the three months ended March 31, 2024. These were partially offset by a decrease in professional fees. A breakdown of expenses is provided in the table below ($ in thousands):

Table 5: Expenses


	Three months ended March 31,
	2024		2023
Related party expense – management fee	$	17,459	$	1,828
Other expense	2,445		1,614
Related party expense – loan servicing fees	1,734		1,860
Fair value adjustment on put option liability and warrants	1,353		1,622
Professional fees	705		934
Total expense	$	23,696	$	7,858

Other Expense

Other expense increased for the three months ended March 31, 2024 over the comparable periods in 2023 primarily due to the amortization on deferred issuance costs for the warrants and an increase in real estate operating expense as a result of higher impairment on our REO. A breakdown of Other expense is provided in the table below ($ in thousands):

Table 6: Other Expense


	Three months ended March 31,
	2024		2023
Amortization on deferred issuance costs for warrants	$	743	$	—
Real estate operating expense	396		111
Employee and service provider share grants	253		517
Insurance	244		262
Directors' fees and grants	217		183
Borrowing related expenses	162		130
Software licenses and amortization	119		106
Taxes and regulatory expense	116		72
Travel, meals, entertainment	109		127
Other expense	48		55
Internal audit services	38		51
Total Other expense	$	2,445	$	1,614

Redemption of Put Option Liability and Preferred Stock

During the three months ended March 31, 2024, we exchanged the remaining 424,949 shares of our outstanding 7.25% Series A Fixed-to-Floating Rate Preferred Stock and 1,135,590 shares of our outstanding 5.00% Series B Fixed-to-Floating Rate Preferred Stock and the associated warrants for newly issued shares of our common stock. Of the 12,046,218 shares, 9,464,524 shares of our common stock were issued during the three months ended March 31, 2024 and the remaining 2,581,694 shares of our common stock will only be issued following the approval of a majority of our stockholders during our 2024 annual and special meeting of stockholders. We recorded a $12.6 million liability to account for the shares payable to the preferred holders. There was no repurchase of preferred stock during the three months ended March 31, 2023.

Gain on Debt Extinguishment

During the three months ended March 31, 2024, there was no gain on debt extinguishment. Comparatively, during the three months ended March 31, 2023, we recorded a $47 thousand gain related to the repurchase of $1.0 million aggregate principal of our 2024 Notes.

Equity and Net Book Value per Share

Our net book value per common share was $6.87 and $9.99 at March 31, 2024 and December 31, 2023, respectively. The decrease in book value was primarily due to the quarter to date net loss attributable to common stockholders of $74.3 million and the dividends on our common stock of $3.4 million, partially offset by the exchange of our preferred shares for common stock of $22.0 million and exchange of our warrants for common shares of $18.7 million, the amortization of $0.8 million of unrealized losses on our investments in debt securities AFS transferred to HTM, and the recovery of mark to market losses of $0.4 million on our investments in debt securities AFS. We believe our calculation is representative of our book value on a per share basis, and our Manager believes book value per share is a valuable metric for evaluating our business. The net book value per share is calculated by taking equity at the balance sheet date (i) less preferred stock and non-controlling interest, (ii) adjusted for any addition for potential conversion of our 2024 Notes, divided by outstanding shares at the balance sheet date adjusted to include (i) unvested restricted stock earned but unissued and (ii) any share equivalents for our 2024 Notes or our warrant liability as determined by the dilution requirements for our EPS calculation. A breakdown of our book value per share is set forth in the table below ($ in thousands except per share amounts):

Table 7: Book Value per Common Share


	March 31, 2024		December 31, 2023
Outstanding shares	36,992,019		27,460,161
Adjustments for(1,2):
Settlement of put option in shares(3)	—		—
Total adjusted shares outstanding	36,992,019		27,460,161

Equity at period end(1)	$	256,236	$	310,895
Adjustment for equity due to preferred shares	—		(34,554)
Net adjustment for equity due to non-controlling interests	(1,939)		(1,962)
Adjusted equity	$	254,297	$	274,379
Book value per share	$	6.87	$	9.99

(1)The conversion of convertible senior notes is not included in the book value calculation as of March 31, 2024 or December 31, 2023 as it has an anti-dilutive effect on our earnings per share calculation.

(2)There were no unvested grants of restricted stock and shares earned but not issued as of March 31, 2024 or December 31, 2023 as the independent director fees will be settled 100% in cash.

(3)The settlement of the put option in shares is not included in the book value calculation as of March 31, 2024 or December 31, 2023 as it has an anti-dilutive effect on our earnings per share calculation.

Mortgage Loan Portfolio

For the three months ended March 31, 2024, we purchased no RPLs. Comparatively, for the three months ended March 31, 2023, we purchased $0.6 million of RPLs with UPB of $0.8 million at 58.8% of property value and 72.9% of UPB. For both the three months ended March 31, 2024 and 2023, we purchased no NPLs. For both the three months ended March 31, 2024 and 2023, we purchased no SBC loans. We ended the period with $0.8 billion of mortgage loans with an aggregate UPB of $0.9 billion as of March 31, 2024 and $1.0 billion for both our net mortgage loans and aggregate UPB as of March 31, 2023.

The following table shows loan portfolio acquisitions for the three months ended March 31, 2024, and 2023 ($ in thousands):

Table 8: Loan Portfolio Acquisitions


	Three months ended March 31,
	2024			2023
RPLs
Count	—			3
UPB	$	—		$	828
Purchase price	$	—		$	604
Purchase price % of UPB	—		%	72.9		%

During the three months ended March 31, 2024, 62 mortgage loans, representing 0.9% of our ending UPB, were liquidated. Comparatively, during the three months ended March 31, 2023, 96 mortgage loans, representing 1.5% of our ending UPB, were liquidated. Our loan portfolio activity for the three months ended March 31, 2024 and 2023 is presented below ($ in thousands):

Table 9: Loan Portfolio Activity


	Three months ended March 31,
	2024				2023
	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	$	864,551	$	55,718	$	989,084	$	—
Mortgage loans acquired	—		—		604		—
Accretion recognized	11,823		—		13,281		—
Payments received on loans, net	(22,849)		(583)		(33,094)		—
Net reclassifications (to)/from mortgage loans held-for-sale, net	(411,814)		411,814		—		—
Mark to market on loans held-for-sale	—		(47,307)		—		—
Reclassifications to REO	(1,670)		(345)		169		—
Sale of mortgage loans	—		(50,570)		—		—
(Increase)/decrease in net present value of expected credit losses on mortgage loans and lower of cost or market adjustment	(1,112)		—		621		—
Other	(231)		(439)		—		—
Ending carrying value	$	438,698	$	368,288	$	970,665	$	—

Table 10: Portfolio Composition

As of March 31, 2024 and December 31, 2023, our portfolios consisted of the following ($ in thousands):


March 31, 2024(1)				December 31, 2023(2)
No. of Loans	4,720			No. of Loans	5,023
Total UPB(3)	$	882,050		Total UPB(3)	$	957,175
Interest-Bearing Balance	$	805,459		Interest-Bearing Balance	$	875,209
Deferred Balance(4)	$	76,591		Deferred Balance(4)	$	81,966
Market Value of Collateral(5)	$	2,028,883		Market Value of Collateral(5)	$	2,115,857
Current Purchase Price/Total UPB	81.4		%	Current Purchase Price/Total UPB	81.6		%
Current Purchase Price/Market Value of Collateral	40.2		%	Current Purchase Price/Market Value of Collateral	41.5		%
Weighted Average Coupon	4.54		%	Weighted Average Coupon	4.51		%
Weighted Average LTV(6)	52.2		%	Weighted Average LTV(6)	54.2		%
Weighted Average Remaining Term (months)	284			Weighted Average Remaining Term (months)	288
No. of first liens	4,677			No. of first liens	4,979
No. of second liens	43			No. of second liens	44
RPLs	91.9		%	RPLs	89.3		%
NPLs	7.4		%	NPLs	10.0		%
SBC loans	0.7		%	SBC loans	0.7		%
No. of REO properties held-for-sale	24			No. of REO properties held-for-sale	20
Market Value of REO(7)	$	5,778		Market Value of REO(7)	$	4,592
Carrying value of debt securities and beneficial interests in trusts	$	284,535		Carrying value of debt securities and beneficial interests in trusts	$	310,330
Loans with 12 for 12 payments as an approximate percentage of acquisition UPB(8)	84.4		%	Loans with 12 for 12 payments as an approximate percentage of acquisition UPB(8)	80.4		%
Loans with 24 for 24 payments as an approximate percentage of acquisition UPB(9)	81.2		%	Loans with 24 for 24 payments as an approximate percentage of acquisition UPB(9)	76.9		%

(1)Includes 2,109 loans that were classified from Mortgage loans held-for investment, net to Mortgage loans held-for-sale, net with a total UPB of $421.6 million and a carrying value of $411.8 million.

(2)Includes 262 loans that were classified from Mortgage loans held-for investment, net to Mortgage loans held-for-sale, net with a total UPB of $64.2 million and a carrying value of $64.3 million.

(3)At March 31, 2024 and December 31, 2023, our loan portfolio consists of fixed rate (59.7% of UPB), ARM (6.0% of UPB) and Hybrid ARM (34.3% of UPB); and fixed rate (60.0% of UPB), ARM (6.4% of UPB) and Hybrid ARM (33.6% of UPB), respectively.

(4)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)As of the reporting date.

(6)UPB as of March 31, 2024 and December 31, 2023, divided by market value of collateral and weighted by the UPB of the loan.

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

(8)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)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 March 31, 2024 and December 31, 2023, respectively ($ in thousands):

Portfolio at March 31, 2024


	Years of Origination
	After 2008			2006 – 2008			2005 and prior
Number of loans	533			2,663			1,524
UPB	$	111,446		$	569,807		$	200,797
Percent of mortgage loan portfolio by year of origination	12.6		%	64.6		%	22.8		%
Loan Attributes:
Weighted average loan age (months)	134.1			206.2			245.0
Weighted average loan-to-value	52.4		%	55.0		%	44.1		%
Delinquency Performance:
Current	63.4		%	66.4		%	65.9		%
30 days delinquent	8.6		%	10.7		%	11.1		%
60 days delinquent	6.9		%	7.2		%	6.6		%
90+ days delinquent	14.3		%	12.2		%	13.7		%
Foreclosure	6.8		%	3.5		%	2.7		%

Portfolio at December 31, 2023


	Years of Origination(1)
	After 2008			2006 – 2008			2005 and prior
Number of loans	578			2,827			1,618
UPB	$	123,340		$	616,185		$	217,650
Percent of mortgage loan portfolio by year of origination	12.9		%	64.4		%	22.7		%
Loan Attributes:
Weighted average loan age (months)	129.5			203.1			242.2
Weighted average loan-to-value	54.5		%	57.0		%	46.1		%
Delinquency Performance:
Current	59.0		%	60.9		%	61.5		%
30 days delinquent	9.4		%	12.0		%	11.8		%
60 days delinquent	—		%	—		%	0.5		%
90+ days delinquent	21.6		%	20.1		%	20.5		%
Foreclosure	10.0		%	7.0		%	5.7		%

(1)Includes 262 loans that were classified from Mortgage loans held-for investment, net to Mortgage loans held-for-sale, net with a total UPB of $64.2 million and a carrying value of $64.3 million.

Table 12: Loans by State

The following table identifies our mortgage loans for our top 10 states by number of loans, loan value, collateral value and percentages thereof at March 31, 2024 and December 31, 2023 ($ in thousands):


March 31, 2024										December 31, 2023
State	Count	UPB		% UPB		Collateral Value(1)		% of Collateral Value		State	Count	UPB		% UPB		Collateral Value(1)		% of Collateral Value
CA	658	$	207,767	23.6	%	$	503,037	24.8	%	CA	678	$	216,124	22.6	%	$	508,854	24.0	%
FL	708	137,724		15.6	%	336,790		16.6	%	FL	792	159,018		16.6	%	366,829		17.3	%
NY	295	87,242		9.9	%	185,299		9.1	%	NY	344	101,946		10.7	%	209,509		9.9	%
NJ	258	55,482		6.3	%	111,518		5.5	%	NJ	274	60,837		6.4	%	115,635		5.5	%
MD	185	44,128		5.0	%	76,177		3.8	%	MD	198	47,391		5.0	%	79,587		3.8	%
VA	165	34,370		3.9	%	68,359		3.4	%	VA	171	35,359		3.7	%	68,100		3.2	%
GA	259	30,009		3.4	%	77,805		3.8	%	TX	318	31,445		3.3	%	85,808		4.1	%
TX	302	28,228		3.2	%	81,729		4.0	%	GA	264	30,719		3.2	%	77,210		3.6	%
IL	175	27,825		3.2	%	47,850		2.4	%	IL	182	29,826		3.1	%	48,824		2.3	%
MA	126	24,824		2.8	%	60,616		3.0	%	MA	136	27,266		2.8	%	64,592		3.1	%
Other	1,589	204,451		23.1	%	479,703		23.6	%	Other	1,666	217,244		22.6	%	490,909		23.2	%
	4,720	$	882,050	100.0	%	$	2,028,883	100.0	%		5,023	$	957,175	100.0	%	$	2,115,857	100.0	%

(1)As of the reporting date.

Table 13: Debt Securities and Trust Certificate Acquisitions

The following table shows our debt securities and trust certificate acquisitions for the three months ended March 31, 2024 and 2023 ($ in thousands):


	Three months ended March 31,
	2024			2023
Class A securities
UPB	$	—		$	9,648
Purchase price(1)	$	—		$	8,753
Purchase price % of UPB	—		%	90.7		%
Class M securities
UPB	$	—		$	2,112
Purchase price(1)	$	—		$	1,565
Purchase price % of UPB	—		%	74.1		%
Class B securities
UPB	$	—		$	4,101
Purchase price(1)	$	—		$	2,818
Purchase price % of UPB	—		%	68.7		%
Trust certificates
Purchase price(1)	$	—		$	3,014

(1)The securities were received in exchange for our investments in Ajax Mortgage Loan Trust 2019-E, 2019-G and 2019-H for the three months ended March 31, 2023.

Liquidity and Capital Resources

Source and Uses of Cash

During the three month ended March 31, 2024, our primary sources of cash have consisted of proceeds from loan sales. Historically, our primary sources of cash have also included 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 also may have difficulty accessing the capital markets on favorable terms or at all. Additionally, market events, including inflation and the related Federal Reserve bank actions, may still 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 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 AFS, investments held-to-maturity and investments in beneficial interests, which are included on our consolidated balance sheet.

As of March 31, 2024 and December 31, 2023, substantially all of our invested capital was in RPLs, NPLs, SBC loans, debt securities, and beneficial interests. We also held approximately $100.1 million of cash and cash equivalents, an increase of $47.3 million from our balance of $52.8 million at December 31, 2023. Our average daily cash balance during the quarter was $65.3 million, an increase of $10.1 million from our average daily cash balance of $55.2 million during the three months ended December 31, 2023.

Three Month Operating, Investing and Financing Cash Flows

Our operating cash outflows for the three months ended March 31, 2024 were $8.2 million. Our operating cash outflows for the three months ended March 31, 2023 were $16.8 million. Our primary operating cash inflow is cash interest payments on our mortgage loan pools of $9.9 million and $11.6 million for the three months ended March 31, 2024 and 2023, respectively. Non-cash interest income accretion on our mortgage loans was $1.9 million and $1.7 million for the three months ended March 31, 2024 and 2023, respectively. Interest income on beneficial interests was $0.7 million and $2.1 million during the three months ended March 31, 2024 and 2023, respectively. Interest income on debt securities was $2.2 million and $2.5 million during the three months ended March 31, 2024 and 2023, 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.

For the three months ended March 31, 2024, our investing cash inflows of $92.7 million were driven by the sales of our mortgage loans of $50.1 million, principal and interest collections on our securities of $28.6 million, principal payments and payoffs of our mortgage loan portfolio of $13.5 million. For the three months ended March 31, 2023, our investing cash inflows of $63.5 million were driven by proceeds from refinancing and sale of our debt securities of $29.4 million, principal and interest collections on our securities of $29.0 million and principal payments on and payoffs of our mortgage loan portfolio of $21.5 million, partially offset by the purchase of securities of $16.3 million, the contribution of an additional $0.7 million equity interest in our GAFS affiliate and acquisitions of our mortgage loans of $0.6 million.

Our financing cash flows are driven primarily by funding used to acquire mortgage loan pools and debt securities. We fund our mortgage loan pools primarily through secured borrowings and repurchase agreements and we fund our debt securities primarily through repurchase agreements. For the three months ended March 31, 2024, we had net financing cash outflows of $37.2 million primarily driven by repayments of $54.9 million on repurchase transactions, pay downs of existing debt obligations of $11.8 million on secured borrowings, partially offset by additional borrowing through repurchase transactions of $33.2 million. For the three months ended March 31, 2023, we had net financing cash outflows of $45.1 million primarily driven by repayments of $40.6 million on repurchase transactions and pay downs of existing debt obligations of $13.0 million on secured borrowings, partially offset by additional borrowing through repurchase transactions of $13.4 million. For the three

months ended March 31, 2024 and 2023, we paid $3.7 million and $6.5 million, respectively, in combined dividends and distributions.

Financing Activities — Equity 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 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 March 31, 2024, we held 1,035,785 shares of treasury stock consisting of 148,834 shares received through distributions of our shares previously held by our Manager, 361,912 shares received through our Servicer and 525,039 shares acquired through open market purchases. As of March 31, 2023, we held 1,031,609 shares of treasury stock consisting of 144,658 shares received through distributions of our shares previously held by our Manager and 525,039 shares acquired through open market purchases.

During the year ended December 31, 2022, we repurchased and retired 1,882,451 shares of our series A preferred stock and 1,757,010 shares of our series B preferred stock in a series of repurchase transactions. The series A and series B preferred stock were repurchased for an aggregate of $88.7 million at an average price of $24.37 per share, representing discounts of approximately 2.5% to the face value of $25.00 per share. The repurchase of the preferred stock caused the recognition of $8.2 million of preferred stock discount during the year ended December 31, 2022. There was no repurchase of preferred stock in either the three months ended March 31, 2024 and 2023. Also, during the year ended December 31, 2022, we repurchased and retired 4,549,328 of our outstanding warrants for $35.0 million, resulting in the acceleration of $12.3 million of accretion expense, which resulted in less accretion expense in future periods. There was no repurchase of warrants during the three months ended March 31, 2024.

During the three months ended March 31, 2024, we exchanged the remaining 424,949 shares of our outstanding 7.25% Series A Fixed-to-Floating Rate Preferred Stock and 1,135,590 shares of our outstanding 5.00% Series B Fixed-to-Floating Rate Preferred Stock and the associated warrants for newly issued shares of our common stock. Of the 12,046,218 shares, 9,464,524 shares of our common stock were issued during the three months ended March 31, 2024 and the remaining 2,581,694 shares of our common stock will only be issued following the approval of a majority of our stockholders during our 2024 annual and special meeting of stockholders. We recorded a $12.6 million liability to account for the shares payable to the preferred holders. No preferred stock or warrants were exchanged during the three months ended March 31, 2023.

During the three months ended March 31, 2024, we did not sell any shares of common stock under our At the Market program. Comparatively, during the three months ended March 31, 2023, we sold 345,578 shares of common stock for proceeds, net of issuance costs of $2.4 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. 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 New York Stock Exchange or otherwise at market prices prevailing at the time of the sale.

Financing Activities — Secured Borrowings, 2024 Notes and 2027 Notes

Secured Borrowings

From our inception (January 30, 2014) to March 31, 2024, we have completed 18 secured borrowings, not including borrowings we completed for our non-consolidated joint ventures (See "Table 18: Investments in Joint Ventures"), through securitization trusts pursuant to Rule 144A under the Securities Act, five of which were outstanding at March 31, 2024. The secured borrowings are generally structured as debt financings. The loans included in the secured borrowings remain on our consolidated balance sheet as we are 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. Our exposure to the obligations of the VIEs is generally limited to our 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 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 subordinated notes and the applicable trust certificates from one non-rated secured borrowing outstanding at March 31, 2024.

Our rated secured borrowings are generally structured as “REIT TMP” transactions which 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 March 31, 2024. Our rated secured borrowings are designated in the table below.

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

The following table sets forth the original terms of all outstanding notes from our secured borrowings outstanding at March 31, 2024 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

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

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

Issuing Trust/Issue Date

Interest Rate Step-up Date

Security

Original Principal

Interest Rate

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.

2024 Notes (Convertible Senior Notes)

During 2017 and 2018, we completed the public offer and sale of our 2024 Notes, in three separate offerings which form a single series of fungible securities. At both March 31, 2024 and December 31, 2023, the UPB of the debt was $103.5 million. The 2024 Notes had an interest rate of 7.25% per annum and were payable quarterly in arrears on January 15, April 15, July 15 and October 15 of each year. The 2024 Notes matured on April 30, 2024. We redeemed the notes in full on April 30, 2024 for an aggregate amount of $103.5 million and 15 days of accrued interest.

2027 Notes (Unsecured Notes)

During August 2022, our Operating Partnership issued $110.0 million aggregate principal amount of 8.875% 2027 Notes. The 2027 Notes were issued at 99.009% of par value and are fully and unconditionally guaranteed by the Guarantors.

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 consolidation) of the subsidiary guarantor or the sale or disposition of all or substantially all the assets 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 in earnings from, and any investments in, any subsidiary that is a non-guarantor ($ in thousands):

Table 15: Summary of Issuer and Guarantor Financial Statements


	March 31, 2024		December 31, 2023
Total assets	$	382,660	$	382,962

Borrowings under repurchase transactions	151,061		158,741
Convertible senior notes and notes payable, net	210,575		210,360
Other liabilities	42,060		44,931
Total liabilities	403,696		414,032

Total equity (deficit)	(21,036)		(31,070)
Total liabilities and equity	$	382,660	$	382,962


	Three months ended
	March 31, 2024
Total loss on revenue, net	$	(6,744)

Management fees and loan servicing fees	17,163
Other expenses	4,065
Consolidated loss attributable to the Company	(27,972)
Less: dividends on preferred stock	341
Consolidated net loss attributable to common stockholders	$	(28,313)

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 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 75% and 90% 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 four repurchase facilities, as of March 31, 2024, substantially similar to the mortgage loan repurchase facilities where the pledged assets are bonds 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 March 31, 2024 and December 31, 2023 is as follows ($ in thousands):

Table 16: Repurchase Transactions by Maturity Date


	March 31, 2024
	Maturity Date	Amount Outstanding		Amount of Collateral			Interest Rate
Barclays - bonds(1)		$	69,929	$	87,789		6.98	%
A Bonds	April 3, 2024	10,596		14,857			6.83	%
	April 15, 2024	21,456		28,138			6.72	%
	May 3, 2024	6,357		8,162			6.68	%
	May 22, 2024	2,134		3,511			6.97	%
B Bonds	April 26, 2024	3,102		5,151			7.62	%
	May 3, 2024	3,608		5,991			7.70	%
	May 22, 2024	4,312		13,651			7.57	%
	June 13, 2024	16,988		5,796			7.06	%
M Bonds	May 3, 2024	281		505			7.05	%
	May 22, 2024	1,095		2,027			7.17	%
Nomura - bonds(1)		$	95,890	$	95,465		6.84	%
A Bonds	April 26, 2024	34,745		45,079			6.94	%
	May 15, 2024	4,898		7,008			6.86	%
	June 28, 2024	16,657		22,547			6.71	%
B Bonds	April 26, 2024	1,031		1,797			7.23	%
	May 15, 2024	3,013		5,197			7.26	%
	June 5, 2024	28,176		110			6.63	%
	June 28, 2024	3,818		6,414			7.26	%
M Bonds	April 26, 2024	2,434		5,200			7.23	%
	June 28, 2024	1,118		2,113			6.86	%
JP Morgan - bonds(1)		$	28,042	$	43,438		6.74	%
A Bonds	May 28, 2024	9,480		15,674			6.67	%
M Bonds	April 3, 2024	14,625		20,346			6.73	%
	July 22, 2024	3,401		6,534			6.96	%
	May 28, 2024	536		884			6.89	%
Nomura - loans(2)	October 5, 2024	$	154,017	$	216,540		7.79	%
JP Morgan - loans(3)	July 10, 2024	$	6,161	$	8,561		8.38	%
Totals/weighted averages		$	354,039	$	451,793	(4)	7.30	%

(1)Maximum borrowing capacity subject to pledging sufficient collateral is the equivalent of the amount outstanding as of March 31, 2024.

(2)Maximum borrowing capacity subject to pledging sufficient collateral as of March 31, 2024 was $400.0 million.

(3)Maximum borrowing capacity subject to pledging sufficient collateral as of March 31, 2024 was $150.0 million.

(4)Includes $42.8 million of bonds that are consolidated on our balance sheet for GAAP as of March 31, 2024.


	December 31, 2023
	Maturity Date	Amount Outstanding		Amount of Collateral			Interest Rate
Barclays - bonds(1)		$	70,095	$	101,041		7.03	%
A Bonds	January 3, 2024	10,850		15,572			6.90	%
	January 19, 2024	21,762		28,503			6.79	%
	May 3, 2024	9,628		12,329			6.87	%
	May 22, 2024	2,134		3,358			6.97	%
B Bonds	January 26, 2024	3,027		4,998			7.68	%
	March 13, 2024	13,398		20,121			7.13	%
	May 3, 2024	3,608		6,185			7.70	%
	May 22, 2024	4,312		7,565			7.57	%
M Bonds	May 3, 2024	281		499			7.05	%
	May 22, 2024	1,095		1,911			7.17	%
Nomura - bonds(1)		$	68,623	$	98,448		6.98	%
A Bonds	January 26, 2024	35,184		47,149			7.02	%
	February 15, 2024	5,079		7,449			6.93	%
	March 28, 2024	17,019		23,238			6.74	%
B Bonds	January 26, 2024	1,024		1,761			7.31	%
	February 15, 2024	3,002		5,149			7.33	%
	March 28, 2024	3,900		6,413			7.30	%
M Bonds	January 26, 2024	2,307		5,177			7.30	%
	March 28, 2024	1,108		2,112			6.90	%
JP Morgan - bonds(1)		$	33,564	$	53,978		6.90	%
A Bonds	February 28, 2024	9,632		12,633			6.73	%
B Bonds	February 28, 2024	6,598		11,140			7.13	%
M Bonds	January 4, 2024	13,541		22,813			6.82	%
	January 22, 2024	3,290		6,497			7.23	%
	February 28, 2024	503		895			7.03	%
Nomura - loans(2)	October 5, 2024	$	193,060	$	277,632		7.79	%
JP Morgan - loans(3)	July 10, 2024	$	10,403	$	14,656		8.38	%
Totals/weighted averages		$	375,745	$	545,755	(4)	7.44	%

(1)Maximum borrowing capacity subject to pledging sufficient collateral is the equivalent of the amount outstanding as of December 31, 2023.

(2)Maximum borrowing capacity subject to pledging sufficient collateral as of December 31, 2023 was $400.0 million.

(3)Maximum borrowing capacity subject to pledging sufficient collateral as of December 31, 2023 was $150.0 million.

(4)Includes $42.8 million of bonds that are consolidated on our balance sheet for GAAP as of December 31, 2023.

As of March 31, 2024, we had $354.0 million outstanding under our repurchase transactions compared to $375.7 million as of December 31, 2023. The maximum month-end balance outstanding during the three months ended March 31, 2024 was $401.6 million, compared to a maximum month-end balance for the three months ended December 31, 2023, of $392.0 million. The following table presents certain details of our repurchase transactions for the three months ended March 31, 2024 and December 31, 2023 ($ in thousands):

Table 17: Repurchase Balances


	Three months ended
	March 31, 2024		December 31, 2023
Balance at the end of period	$	354,039	$	375,745
Maximum outstanding balance during the quarter	$	401,590	$	392,024
Average balance	$	370,676	$	378,426

The decrease in our average balance from $378.4 million for the three months ended December 31, 2023 to our average balance of $370.7 million for the three months ended March 31, 2024 is a result of paydowns and asset sales.

As of March 31, 2024 and December 31, 2023, we did not have any credit facilities or other outstanding debt obligations other than the repurchase facilities, secured borrowings, warrant liability, 2024 Notes and 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. We do, however, have debt covenants related to our various borrowing arrangements that have minimum liquidity and tangible net worth requirements as well as maximum leverage ratio requirements. Generally, we are required to maintain minimum levels of liquidity (in Cash and cash equivalents) and tangible net worth of $30.0 million and $240.0 million, respectively. Similarly, our leverage ratio cannot exceed 3.5 times equity, excluding our secured borrowings.

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 May 3, 2024, our Board of Directors declared a dividend of $0.06 per share, to be paid on May 30, 2024 to stockholders of record as of May 15, 2024. Our dividend payments are driven by the amount of our taxable income, subject to IRS rules for maintaining our status as a REIT. 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 paid out of our taxable income, plus the increase in our book value, taken together exceeds 8% (on an annualized basis) of our stock’s book value at the end of the year. During both the three months ended March 31, 2024 and 2023, we recorded no incentive fee payable to the Manager.

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 18: Investments in 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.

On January 1, 2023, we transferred $83.0 million of investment securities from AFS to HTM due to sale restrictions pursuant to Article 6(1) of Regulation (EU) 2017/2402 of the European Parliament and of the Council (as amended, the “EU Securitization Regulation” and, together with applicable regulatory and implementing technical standards in relation thereto, the “EU Securitization Rules”). Pursuant to the terms of these debt securities, we must hold at least 5.01% of the nominal value of each class of securities offered or sold to investors (the "EU Retained Interest") subject to the EU Securitization Rules. Under the EU Securitization Rules, we are prohibited from selling, transferring or otherwise surrendering all or part of the EU Retained Interest until all such classes are paid in full or redeemed. The EU risk retention component of our investments in securities is classified as HTM on our consolidated balance sheets.

A summary of our investments in debt securities AFS and HTM issued by joint ventures is presented below ($ in thousands):


							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 2021-C/ April 2021	Class A notes due 2061	$	194,673	2.12	%		5.01	%	$	9,753	$	4,656	(4)
	Class B notes due 2061	$	18,170	3.72	%		31.90	%	$	5,796	$	5,796	(4)

Ajax Mortgage Loan Trust 2021-D/ May 2021	Class A notes due 2060	$	191,468	2.00	%		6.94	%	$	13,288	$	6,690	(4)
	Class B notes due 2060	$	25,529	4.00	%		20.00	%	$	5,106	$	5,106	(4)

Ajax Mortgage Loan Trust 2021-E/ July 2021(1)	Class A notes due 2060	$	430,760	1.82	%	(2)	10.01	%	$	43,119	$	31,134	(4)
	Class M notes due 2060	$	19,415	2.94	%		10.01	%	$	1,943	$	1,943	(4)
	Class B-1 and B-2 notes due 2060	$	38,313	3.73	%		10.01	%	$	3,835	$	3,835	(4)
	Class B-3 notes due 2060	$	29,253	3.73	%		19.57	%	$	5,725	$	5,725	(4)

Ajax Mortgage Loan Trust 2021-F/ June 2021	Class A notes due 2061	$	476,082	1.88	%		5.01	%	$	23,852	$	14,618	(4)
	Class B notes due 2061	$	49,463	3.75	%		12.60	%	$	6,232	$	6,232	(4)

Ajax Mortgage Loan Trust 2021-G/ June 2021	Class A notes due 2061	$	317,573	1.88	%		7.26	%	$	23,056	$	13,878	(4)
	Class B notes due 2061	$	32,995	3.75	%		20.00	%	$	6,599	$	6,413	(4)


							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

2021-NPL 1/ November 2021	Class B notes due 2051	$	23,088	4.63	%		16.33	%		$	3,771	$	3,771

Ajax Mortgage Loan Trust 2022-A/ April 2022	Class A notes due 2061	$	154,921	3.47	%	(2)	6.24	%	(3)	$	9,664	$	7,612
	Class M notes due 2061	$	21,762	3.00	%		23.28	%		$	5,066	$	5,066

Ajax Mortgage Loan Trust 2022-B/ June 2022	Class A notes due 2062	$	169,924	3.47	%	(2)	5.70	%	(3)	$	9,692	$	7,742
	Class M notes due 2062	$	17,776	3.00	%		17.18	%		$	3,054	$	3,054

2022-RPL 1/ October 2022	Class B notes due 2028	$	29,364	4.25	%		17.50	%		$	5,139	$	5,139

Ajax Mortgage Loan Trust 2023-A/ February 2023	Class A notes due 2062	$	163,741	3.46	%	(2)	5.89	%	(3)	$	9,644	$	8,661
	Class M notes due 2062	$	10,561	2.50	%		20.00	%		$	2,112	$	2,112
	Class B notes due 2062	$	20,506	2.50	%		20.00	%		$	4,101	$	4,101

Ajax Mortgage Loan Trust 2023-B/ July 2023	Class A notes due 2062	$	91,312	4.25	%		20.00	%		$	18,262	$	15,626
	Class B notes due 2062	$	8,522	4.25	%		20.00	%		$	1,704	$	1,704

Ajax Mortgage Loan Trust 2023-C/ July 2023	Class A notes due 2063	$	147,386	3.45	%	(2)	20.00	%	(3)	$	29,477	$	27,475
	Class M notes due 2063	$	25,650	2.50	%		20.00	%		$	5,130	$	5,130

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

(2)Weighted average of Class A notes.

(3)Weighted average ownership of Class A notes.

(4)Total principal includes 5.01% EU risk retention component classified as investments in securities HTM on our consolidated balance sheets.

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


			Great Ajax Corp. Ownership
Issuing Trust/Issue Date	Total Original Outstanding Principal		Ownership Percent		Original Stated or Notional Principal Balance Retained			Current Owned Stated or Notional Principal Balance Retained
Ajax Mortgage Loan Trust 2018-B/ June 2018	$	28,447	20.00	%	$	5,689		$	2,122

Ajax Mortgage Loan Trust 2018-F/ December 2018	$	43,201	20.00	%	$	8,640		$	3,641

Ajax Mortgage Loan Trust 2019-E/ September 2019	$	43,464	20.00	%	$	8,693		$	2,295

Ajax Mortgage Loan Trust 2020-A/ March 2020	$	59,852	20.00	%	$	11,970		$	5,291

Ajax Mortgage Loan Trust 2020-C/ September 2020	$	73,964	10.01	%	$	7,404		$	1,124

Ajax Mortgage Loan Trust 2020-D/ September 2020	$	79,373	10.01	%	$	7,945		$	1,692

Ajax Mortgage Loan Trust 2021-C/ April 2021	$	46,722	31.90	%	$	14,904		$	14,860

Ajax Mortgage Loan Trust 2021-D/ May 2021	$	38,293	20.00	%	$	7,659		$	7,630

Ajax Mortgage Loan Trust 2021-E/ July 2021(1)	$	518,357	19.57	%	$	101,471	(2)	$	918

Ajax Mortgage Loan Trust 2021-F/ June 2021	$	92,743	12.60	%	$	11,686		$	11,670

Ajax Mortgage Loan Trust 2021-G/ June 2021	$	61,864	20.00	%	$	12,373		$	11,630

2021-NPL 1/ November 2021	$	52,773	16.33	%	$	8,620		$	8,575

Ajax Mortgage Loan Trust 2022-A/ April 2022(3)	$	38,784	23.28	%	$	9,029		$	8,490

Ajax Mortgage Loan Trust 2022-B/ June 2022(4)	$	33,125	17.18	%	$	5,691		$	5,301

2022-RPL 1/ October 2022	$	55,326	17.50	%	$	9,682		$	9,293

Ajax Mortgage Loan Trust 2023-A/ February 2023	$	10,254	20.00	%	$	2,051		$	1,938

Ajax Mortgage Loan Trust 2023-B/ July 2023	$	29,274	20.00	%	$	5,855		$	5,259

Ajax Mortgage Loan Trust 2023-C/ July 2023	$	30,537	20.00	%	$	6,107		$	5,967

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

(3)Includes the addition of Class B notes classified as beneficial interests on our consolidated balance sheets. Total original outstanding principal and principal balance retained of the Class B notes is $25.9 million and $6.0 million, respectively.

(4)Includes the addition of Class B notes classified as Beneficial Interests on our consolidated balance sheets. Total original outstanding principal and principal balance retained of the Class B notes is $22.1 million and $3.8 million, respectively.

Contractual Obligations

Our contractual obligations include 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 March 31, 2024 and December 31, 2023, our repurchase obligations totaled $354.0 million and $375.7 million, respectively. Our repurchase financing is considered short term in nature as the underlying agreements generally renew within one year. (See “Repurchase Transactions” above.)

Our 2024 Notes had outstanding principal balances of $103.5 million at both March 31, 2024 and December 31, 2023. On April 30, 2024, we repaid our 2024 Notes at maturity, for an aggregate amount of $103.5 million, and 15 days of accrued interest.

Our 2027 Notes had an outstanding principal balance of $110.0 million at both March 31, 2024 and December 31, 2023. The 2027 Notes will mature on September 1, 2027.

Our accrued interest expense associated with our repurchase obligations at March 31, 2024 and December 31, 2023, was $2.4 million and $2.3 million, respectively. Our interest expense expected to be paid on our 2024 Notes at March 31, 2024 and December 31, 2023, was $2.2 million and $4.1 million, respectively. Our interest expense expected to be paid on our 2027 Notes at March 31, 2024 and December 31, 2023, was $34.2 million and $39.1 million, 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.

Our secured borrowings are not included 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

Our board declared a cash dividend of $0.06 per share to be paid on May 30, 2024 to stockholders of record as of May 15, 2024.

On April 30, 2024, we repaid our 2024 Convertible Notes at maturity, for an aggregate amount of $103.5 million, and 15 days of accrued interest.

During April 2024, we called the Senior notes and the Class B bond in our Ajax Mortgage Loan Trust 2021-B ("2021-B"). We sold underlying loans with a total UPB of $92.2 million and moved the majority of the remaining loans to our repurchase line of credit. The estimated $10.1 million loss realized on the loans was accrued at March 31, 2024. We received net cash proceeds on the redemption in the amount of $6.5 million and are under contract, subject to due diligence, to sell the majority of the remaining loans in 2021-B and from our repurchase lines of credit in May 2024. The loans have a total UPB of $180.6 million and we expect to generate $47.1 million in cash after repayment of any associated debt. The estimated $21.8 million expected loss on these loans sales was accrued at March 31, 2024.

Also, during April 2024, we sold loans from our repurchase lines of credit with a total UPB of $124.8 million. We received net cash proceeds from these loan sales in the amount of $20.1 million after repaying the associated debt. The estimated $13.6 million loss realized on the loan sales was accrued at March 31, 2024.

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 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. 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 will increase our cost of funds for new secured borrowings and our 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.

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 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 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. 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 may also have a negative impact on housing prices. Additionally, inflation that outpaces wage 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.

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

You should carefully consider the risks described below in addition to the risks previously disclosed in our annual report and other filings, the information included under the caption "Cautionary Statement Regarding Forward-Looking Statements" and the other information included in this quarterly report. Our business, financial condition or results of operations could be adversely affected by any of these risks. If any of these risks occur, the value of our common stock could decline.

We expect to continue to incur increasing and significant consolidated net losses from our mortgage asset holdings.

For the quarter ended March 31, 2024, we incurred a net loss attributable to common stockholders of $74.3 million compared to a net loss attributable to common stockholders of $7.9 million for the quarter ended March 31, 2023. We expect to continue to incur significant and increasing operating losses for the foreseeable future given the current market conditions for our mortgage asset holdings. In particular, higher interest rates have had, and are expected to continue to have, significant negative effects on our loan assets. The interrelationships between various rates and interest rate volatility have had, and are expected to continue to have, negative effects on our earnings because it has extended duration. This has resulted in, and is expected to continue to result in, significant decreases in the fair market value of performing loans. Mortgage related assets may become more illiquid during periods of interest rate volatility. As a result, we also may encounter difficulties refinancing our securitizations and it increases the costs of our repurchase facility financings. Higher interest rates also generally increase our financing costs as we seek to renew or replace borrowing facilities.

Our share price has been and may continue to be volatile.

The market price of our shares has been extremely volatile. From January 1, 2024 through April 25, 2024, the trading price of our common stock has been as low as $3.37 per share and as high as $5.89 per share. The market price variation of our shares may not necessarily bear any relationship to our book value, asset values, operating results, financial condition or any other established criteria of value, and may not be indicative of the market price for our shares in the future. The trading price of our shares may remain volatile and it may be difficult to sell shares at a stable price as a result.

Item 2. Unregistered Sales of Equity Securities

On March 13, 2024, we issued the lead director of our special committee 3,080 shares of common stock in partial payment of their director fees for the fourth quarter of 2023 and first quarter of 2024. 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

During the three months ended March 31, 2024, none of the Company’s directors or executive officers adopted or terminated any contract, instruction or written plan for the purchase or sale of Company securities that was intended to satisfy the affirmative defense conditions of Rule 10b5-1(c) or any non-Rule 10b5-1 trading arrangement, as each term is defined in Item 408 of Regulation S-K.

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.

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.

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: May 3, 2024	By:	/s/ Lawrence Mendelsohn
		Lawrence Mendelsohn
		Chairman and Chief Executive Officer (Principal Executive Officer)

Date: May 3, 2024	By:	/s/ Mary Doyle
		Mary Doyle
		Chief Financial Officer (Principal Financial and Accounting Officer)

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Rithm Property Trust (RPT) 10-Q2024 Q1 Quarterly report

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