GREAT AJAX CORP. Management’s Discussion and Analysis of Financial Condition and Results of Operations (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 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.
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 may also target investments in NPLs either directly or with
joint venture partners. NPLs are loans on which the most recent three payments
have not been made. We own a 19.8% equity interest in our Manager and an 8.0%
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
December 31, 2021, 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.
We have securitized mortgage loans through these securitization trusts and
retained subordinated securities from the secured borrowings. These trusts are
considered to be VIEs, and we have determined that we are the primary
beneficiary the VIEs.

In 2018, we formed Gaea as a wholly owned subsidiary of the Operating
Partnership. We elected to treat Gaea as a TRS under the Code for 2018, and we
elected to treat Gaea as a REIT under the Code in 2019 and thereafter. Also
during 2018, we formed Gaea Real Estate Operating Partnership LP, a wholly owned
subsidiary of Gaea, to hold investments in commercial real estate assets. We
also formed BFLD Holdings LLC, Gaea Commercial Properties LLC, Gaea Commercial
Finance LLC and Gaea RE LLC as subsidiaries of Gaea Real Estate Operating
Partnership. In 2019, 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 in
which it raised $66.3 million from the issuance of 4,419,641 shares of its
common stock to third parties to allow Gaea to continue to advance its
investment strategy. We retained a 23.2% ownership interest in Gaea following
the transaction. At December 31, 2021 we own approximately 22.8% of Gaea with
the dilution driven by Gaea's equity issuances.

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.

                                       45
--------------------------------------------------------------------------------

Our portfolio

The following table shows the book value of our portfolio of mortgages and smaller single-family and commercial property assets at
December 31, 2021 and December 31, 2020 (in millions of dollars):

                                              December 31, 2021       December 31, 2020
Residential RPLs                             $            971.1      $          1,057.5
Residential NPLs                                          119.5                    38.7
SBC loans                                                  19.3                    23.2
Real estate owned properties, net                           6.1             

8.5

Investments in securities at fair value                   355.2             

273.8

Investment in beneficial interests                        139.6             

91.4

Total mortgage related assets                $          1,610.8      $      

1,493.1

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

Market trends and outlook

COVID-19[female[feminine

The COVID-19 pandemic that began during the first quarter of 2020 created a
global public-health crisis that resulted in widespread volatility and
deteriorations in household, business, and economic market conditions, including
in the United States, where we conduct all of our business. During 2020 many
governmental and nongovernmental authorities directed their actions toward
curtailing household and business activity in order to contain or mitigate the
impact of the COVID-19 pandemic and deployed fiscal- and monetary-policy
measures in order to seek to partially mitigate the adverse effects. These
programs have had varying degrees of success and the extent of the long term
impact on the mortgage market remains unknown.

The COVID-19 pandemic began to meaningfully impact our operations in late March
2020 and any continuing disruption was reflected in our results of operations
for the year ended December 31, 2021. The pandemic has continued to
significantly and adversely impact certain areas of the United States. As a
result, our forecast of macroeconomic conditions and expected lifetime credit
losses on our mortgage loan and beneficial interest portfolios is subject to
meaningful uncertainty and volatility. While the majority of our borrowers
continued to make scheduled payments and we continued to receive payments in
full, at the beginning of the pandemic we acted swiftly to support our borrowers
with a mortgage forbearance program. Borrowers who requested COVID-19 related
hardship assistance were asked to complete a standardized hardship
questionnaire, including documentation to support the COVID-19 related hardship
claim. The materials were reviewed, along with the borrower's monthly payment
status, to determine if the borrower was eligible for a three-month forbearance
plan. If the borrower was not eligible, they were encouraged to apply for loss
mitigation. In the event the COVID-19 related hardship continued at the end of
the forbearance period, it was extended for an additional period. At the end of
the forbearance plan, the borrower was either required to repay the deferred
amounts in a lump sum or was provided a repayment plan. Notwithstanding the
foregoing, to the extent special rules applied to a mortgagor because of the
jurisdiction or type of mortgage loan, the Servicer complied with those rules.
Our Servicer has extensive experience dealing with delinquent borrowers and was
well positioned to react on our behalf to any increase in mortgage
delinquencies. Although requests for COVID-19 related hardship assistance have
largely diminished, any assistance that may be provided on an ongoing basis is
consistent with the foregoing. The following list shows the COVID-19 related
forbearance activity in our mortgage loan portfolio as of February 28, 2022:

• Current number of requests for COVID-19 forbearance relief: 1,237 • Total number of COVID-19 forbearance relief granted: 391

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

                                       46
--------------------------------------------------------------------------------

Through the end of the fourth quarter, the recent trends shown below continued, including:

•historically low interest rates and elevated operating costs resulting from new
regulatory requirements continue to drive sales of residential mortgage assets
by banks and other mortgage lenders;
•higher prices, low inventory, tighter lending standards and increased down
payment requirements are pricing first time homeowners out of the market
•the flight to the suburbs during COVID has increased the demand for
single-family and multi-family residential rental properties;
•rising home prices are increasing homeowner equity and reducing the incidence
of strategic default;
•rising prices have resulted in millions of homeowners being in the money to
refinance;
•the Dodd-Frank risk retention rules for asset backed securities have reduced
the universe of participants in the securitization markets; and
•historically low interest rates have increased prices for residential mortgage
loans as investors search for yield in the market.

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

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

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

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

Factors That May Affect Our Results of Operations

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

                                       47
--------------------------------------------------------------------------------

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

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

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

Conversion to Rental Property. From time to time we may retain an REO property
as a rental property and may acquire rental properties through direct purchases
at attractive prices. We do not expect to retain a material number of single
family residential properties for use as rentals.

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

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

                                       48
--------------------------------------------------------------------------------

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

Market Conditions. Due to the dramatic repricing of real estate assets that
occurred during the 2008 financial crisis and the continuing uncertainty
regarding the direction and strength of the real estate markets including as a
result of the COVID-19 pandemic, we believe a void in the debt and equity
capital available for investing in real estate exists as many financial
institutions, insurance companies, finance companies and fund managers have
determined to reduce or discontinue investment in debt or equity related to real
estate. We believe the dislocations in the residential real estate market have
resulted or will result in an "over-correction" in the repricing of real estate
assets, creating a potential opportunity for us to capitalize on these market
dislocations and capital void to the extent we are able to obtain financing for
additional purchases.

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

COVID-19 Pandemic. The pandemic has also impacted, and is likely to continue to
impact, directly or indirectly, many of the other factors discussed above, as
well as other aspects of our business. New developments continue to emerge and
it is not possible for us to predict with certainty which factors will impact
our business. In addition, we cannot assess the impact of each factor on our
business or the extent to which any factor, or combination of factors, may cause
actual results to differ materially from those contained in any forward-looking
statements. In particular, it is difficult to fully assess the impact of the
pandemic at this time due to, among other things, uncertainty regarding the
severity and duration of the outbreak domestically and internationally and the
effectiveness of federal, state and local government efforts to contain the
spread of COVID-19 and its variants, the effects of those efforts on our
business, the indirect impact on the U.S. economy and economic activity and the
impact on the mortgage markets and capital markets.

Significant Accounting Policies and Estimates

(See also note 2 to the consolidated financial statements for a discussion of our significant accounting policies)

Critical accounting estimates

The preparation of financial statements in accordance with GAAP requires us to
make a number of judgments and assumptions that affect estimates of the reported
amounts within our consolidated financial statements. Critical accounting
estimates are important to the presentation of our financial condition and
results of operations and require management to make difficult, complex, or
subjective judgments and estimates, often regarding matters that are inherently
uncertain. Actual results could differ from our estimates, and the use of
different judgments and assumptions related to these estimates could have a
material impact on our consolidated financial statements. For additional
information about our critical accounting estimates and significant accounting
policies, see the notes accompanying our consolidated financial statements.

Provision for credit losses

The allowance for credit losses represents management's estimate of expected
credit losses over the contractual term of the mortgage loans and applies to all
of our loans classified as held for investment on our consolidated balance
sheets. Determining the appropriateness of the allowance for credit losses is a
complex process that is subject to estimates and assumptions requiring
significant management judgment about matters that involve a high degree of
subjectivity. This process involves the use of models that requires management
to make judgments about matters that are difficult to predict, the most
significant of which are the probability of default and the severity of expected
credit losses. Management regularly evaluates the
                                       49
--------------------------------------------------------------------------------

the underlying estimates and models we use to determine the allowance for credit losses and updates our assumptions to reflect our historical experience and our current view of general market conditions.

To the extent actual loan performance differs from management's expectations,
our allowance for credit losses could increase or decrease. While no single
factor determines the level of our allowance for credit losses, expected
borrower performance and underlying property value are two key drivers that
factor into our scenario based cash flow projections. Our historical data has
demonstrated the number of payments made by a borrower, either in succession or
as an aggregate, to be a significant factor in predicting repayment.
Additionally, we include an estimate of underlying property value. Accordingly,
if our delinquency estimate is overstated and our valuation estimates are
overstated, there could be a negative impact on our allowance for credit losses.

Based on our review of the key inputs and our methodology used, we believe our
current allowance for credit losses is properly stated at December 31, 2021 and
December 31, 2020.

Critical Accounting Policies

Mortgage Loans

We adopted ASU 2016-13, Financial Instruments - Credit Losses, otherwise known
as CECL using the prospective transition approach for PCD assets on January 1,
2020. At the time, $10.2 million of loan discount was reclassified to the
allowance for expected credit losses with no net impact on the amortized cost
basis of the portfolio.

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

Acquired loans may be aggregated and accounted for as a pool of loans if the
loans have common risk characteristics. A pool is accounted for as a single
asset with a single composite interest rate and an aggregate expectation of cash
flows. We may adjust our loan pools as the underlying risk factors change over
time. We have aggregated our mortgage loan portfolio into loan pools based on
similar risk factors. Excluded from the aggregate pools are loans that pay in
full subsequent to the acquisition closing date but prior to pooling. Any gain
or loss on these loans is recognized as interest income in the period the loan
pays in full.

Non-PCD Loans – While we generally acquire loans that have deteriorated in credit quality, we also acquire loans that have not experienced credit quality deterioration and issue SBC loans.

We account for our non-PCD loans by estimating any allowance for expected credit
losses for our 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.

Impaired loans are carried at the present value of expected future cash flows
discounted at the loan's effective interest rate, the loan's market price, or
the fair value of the collateral if the loan is collateral dependent.

Investments in securities at fair value

Our Investments in Securities at Fair Value consist of investments in senior and
subordinated notes issued by joint ventures, which we form with third party
institutional accredited investors. We recognize income on the debt securities
using the effective interest method. Additionally, the notes are classified as
available-for-sale and are carried at fair value with changes in fair value
reflected in our consolidated statements of comprehensive income. We mark our
investments to fair value using prices received from our financing
counterparties and believe any unrealized losses on our debt securities are
expected to be temporary. Any other-than-temporary losses, which represent the
excess of the amortized cost basis over the present value of expected future
cash flows, are recognized in the period identified in our consolidated
statements of income. Risks inherent in our debt securities portfolio, affecting
both the valuation of the securities as well as the portfolio's interest income
include the risk of default, delays and inconsistency in the frequency and
amount of payments, risks affecting borrowers such as man-made or natural
disasters, or the pandemic, and damage to or delay in realizing the value of the
underlying collateral. We monitor the credit quality of the mortgage loans
underlying our debt securities on an ongoing basis, principally by considering
loan payment
                                       50
--------------------------------------------------------------------------------

activity or delinquency status. In addition, we assess the expected cash flows
from the mortgage loans, the fair value of the underlying collateral and other
factors, and evaluate whether and when it becomes probable that all amounts
contractually due will not be collected.

Investments in beneficial interests

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

Debt

Secured Borrowings - Through securitization trusts which are VIEs, we issue
callable debt secured by our mortgage loans in the ordinary course of
business. The secured borrowings facilitated by the trusts are structured as
debt financings, and the mortgage loans used as collateral remain on our
consolidated balance sheet as we are the primary beneficiary of the
securitization trusts. These secured borrowing VIEs are structured as pass
through entities that receive principal and interest on the underlying mortgages
and distribute those payments to the holders of the notes. Our exposure to the
obligations of the VIEs is generally limited to our investments in the entities;
the creditors do not have recourse to the primary beneficiary. Coupon interest
expense on the debt is recognized using the accrual method of accounting.
Deferred issuance costs, including original issue discount and debt issuance
costs, are carried on our 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. We assume the debt will be called at the specified call date for
purposes of amortizing discount and issuance costs because we believe 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.

Repurchase Facilities - We enter into repurchase financing facilities under
which we nominally sell assets to a counterparty and simultaneously enter 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, we are required to repay
the borrowing including any accrued interest and concurrently receive back our
pledged collateral from the lender. The repurchase financings are treated as
collateralized financing transactions; pledged assets are recorded as assets in
our consolidated balance sheets, and debt is recognized at the contractual
amount. Interest is recorded at the contractual amount on an accrual basis.
Costs associated with the set-up of a repurchasing contract are recorded as
deferred expense at inception 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.

Fair Value

Fair Value of Financial Instruments - 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.

                                       51
--------------------------------------------------------------------------------

Recent accounting pronouncements

See the accompanying notes to our consolidated financial statements for a description of relevant recent accounting pronouncements.

Operating results

For the year ended December 31, 2021, we had net income attributable to common
stockholders of $34.1 million, or $1.48 per share for basic and $1.41 per share
for diluted common shares. For the year ended December 31, 2020, we had net
income attributable to common stockholders of $22.8 million or $1.00 per share
for basic and diluted common shares. For the year ended December 31, 2019, we
had net income attributable to common stockholders of $34.7 million, or $1.74
per share for basic and $1.59 for diluted common shares. Key items for the year
ended December 31, 2021 include:

•Interest income of $93.4 million; net interest income of $56.6 million
•Net income attributable to common stockholders of $34.1 million
•Basic earnings per share of $1.48 per share
•Book value per share of $15.92 at December 31, 2021
•Taxable income of $1.55 per share
•Formed six joint ventures that acquired $2.4 billion in UPB of mortgage loans
with collateral values of $4.4 billion and retained $342.9 million of varying
classes of securities. Of the $2.4 billion, $1.3 billion of UPB relates to newly
acquired joint ventures while $1.1 billion relates to joint ventures that were
re-securitized
•Purchased $185.7 million of RPLs, with UPB of $191.3 million and 54.8% of
property value, $91.5 million of NPLs, with UPB of $94.8 million and 63.6% of
property value, and $9.0 million of SBC loans, with UPB of $8.9 million and
40.5% of property value, to end the year with $1.1 billion in net mortgage loans
•Collected total cash of $318.5 million, from loan payments, sales of REO and
collections from investments in debt securities and beneficial interests
•Held $84.4 million of cash and cash equivalents at December 31, 2021; average
daily cash balance was $99.1 million
•At December 31, 2021, 72.3% of our portfolio based on UPB had made at least the
last 12 out of 12 payments

Our consolidated net income attributable to common stockholders increased
$11.3 million for the year ended December 31, 2021 compared to the year ended
December 31, 2020. The increase was primarily driven by a $12.0 million decrease
in our interest expense and a net decrease in the net present value of expected
credit losses of $5.7 million. Our net interest income increased $7.0 million
for the year ended December 31, 2021 compared to the year ended December 31,
2020 primarily due to the same interest expense decrease of $12.0 million
partially offset by a lower average balance and lower average yields of our
mortgage loan portfolio. Comparatively, consolidated net income attributable to
common stockholders decreased $11.9 million for the year ended December 31, 2020
compared to the year ended December 31, 2019. The decrease was primarily due to
lower other income as we sold 26 mortgage loans with a carrying value of
$26.1 million and UPB of $26.2 million for a loss of $0.7 million during the
year ended 2020 compared to 965 mortgage loans sold with a carrying value of
$178.8 million and UPB of $202.1 million for a gain of $7.1 million during the
year ended 2019. This was partially offset by a net decrease in the net present
value of expected credit losses of $12.6 million during the year ended 2020
compared to a net increase in the net present value of expected credit losses of
$0.8 million in 2019. Our net interest income decreased $3.4 million for the
year ended December 31, 2020 compared to the year ended December 31, 2019
primarily due to a lower average balance of our mortgage loan portfolio offset
by an increase in the average balance of our debt securities and beneficial
interests.

Our book value increased to $15.92 per common share from $15.59 at December 31,
2021 and December 31, 2020, respectively, an increase of $0.33. The increase is
driven by our buyout of our joint venture partner's interest in Ajax Mortgage
Loan Trust 2018-C ("2018-C") in the first quarter of 2021 and the sale of the
loans from Ajax Mortgage Loan Trust 2017-D ("2017-D"), both of which reduced our
non-controlling interest. Net book value also increased due to the repurchase of
$8.8 million of our convertible senior notes and an increase in common equity
resulting from net fair value adjustments of $0.6 million on our portfolio of
debt securities recorded to Other comprehensive income since December 31, 2020.

We recorded income from our investment in affiliates of $0.7 million for the
year ended December 31, 2021, a loss of $0.2 million for the year ended 2020 and
income of $1.3 million for the year ended 2019. The primary driver of the change
year over year is the flow-through impact of the mark to market on shares of our
stock held by our Manager and our Servicer. We account for our investments in
our Manager and our Servicer using the equity method of accounting.

                                       52
--------------------------------------------------------------------------------

We recorded $0.3 million in impairments on our REO held-for-sale portfolio in
real estate operating expense for the year ended December 31, 2021 compared to
$1.4 million for the year ended 2020 and $2.1 million for the year ended 2019.
Impairments during the year were driven primarily by the costs of holding the
properties. We continue to liquidate our REO properties held-for-sale at a
faster rate than we acquire properties, with 33 properties sold during the year
ended December 31, 2021 while 26 were added to REO held-for-sale through
foreclosures and direct purchase. During the year ended December 31, 2020 we
sold 50 REO properties while adding 20 through foreclosures.

Table 1: Results of operations

                                                                     For the year ended December 31,
($ in thousands)                                              2021                    2020                 2019
INCOME
Interest income                                       $     93,383               $    98,336          $   112,416
Interest expense                                           (36,742)                  (48,692)             (59,325)
Net interest income                                         56,641                    49,644               53,091

Net decrease/(increase) in net present value of expected credit losses(1)

                                   18,223                    12,555                 (803)

Net interest income after impact of changes in net present value of expected credit losses

             74,864                    62,199               52,288
Income/(loss) from investment in affiliates                    699                      (155)               1,332
Other income                                                 2,385                     1,567               11,299
Total revenue, net                                          77,948                    63,611               64,919
EXPENSE
Related party expense - loan servicing fees                  7,433                     7,678                9,133
Related party expense - management fee                       9,116                     8,456                7,356
Professional fees                                            2,940                     2,834                2,550
Real estate operating expenses                                 328                     1,482                3,685
Fair value adjustment on put option                          9,462                     4,733                    -
Other expense                                                5,221                     4,284                4,553
Total expense                                               34,500                    29,467               27,277
Loss on debt extinguishment                                  1,439                       661                  429
Income before provision for income taxes                    42,009                    33,483               37,213
Provision for income taxes (benefit)                           234                      (125)                 124
Consolidated net income                                     41,775                    33,608               37,089

Less: (net loss)/consolidated net income attributable to non-controlling interest

                                   (80)                    5,112                2,384
Consolidated net income attributable to Company             41,855                    28,496               34,705
Less: dividends on preferred stock                           7,798                     5,740                    -
Consolidated net income attributable to common
stockholders                                          $     34,057               $    22,756          $    34,705




(1)Net decrease in the net present value of expected credit losses represents
the net decrease to the allowance resulting from changes in actual and expected
cash flows during the years ended December 31, 2021, December 31, 2020, and
December 31, 2019. It represents the net increase of the present value of the
expected cash flows in excess of contractual cash flows offset by any
incremental provision expense on the Mortgage loan pools and Beneficial
interests. The decrease is calculated at the pool level for Mortgage loans and
at the security level for Beneficial interests. To the extent a pool or
Beneficial interest has an associated allowance, the decrease in expected credit
losses is recorded in the period in which the change occurs, otherwise it is
recognized prospectively as an increase in yield.

interest income

Our primary source of income is accretion earned on our mortgage loan portfolio
offset by the interest expense incurred to fund and hold portfolio acquisitions.
Net interest income after recording the impact of the net present value of
decreases in expected credit losses increased to $74.9 million for the year
ended December 31, 2021 from $62.2 million for the year ended December 31, 2020
and $52.3 million for the year ended December 31, 2019 primarily as a result of
a net $18.2 million impact of the net decrease in the net present value of
expected credit losses for the year ended December 31, 2021 compared to a
$12.6 million decrease for the year ended December 31, 2020 and a net increase
in the net present value of
                                       53
--------------------------------------------------------------------------------

expected credit losses of $0.8 million for the year ended December 31, 2019. Of
the $18.2 million for the year ended December 31, 2021, $13.7 million relates to
our mortgage loan portfolio and $4.6 million to our investments in beneficial
interests. Comparatively, of the $12.6 million for the year ended December 31,
2020, $9.4 million relates to our mortgage loan portfolio and $3.2 million to
our investments in beneficial interests. Of the $0.8 million for the year ended
December 31, 2019, all $0.8 million relates to our mortgage loan portfolio. To
date, the COVID-19 pandemic has not had a significant negative impact on our
expected cash flows due to the low interest rate environment and rising home
prices.

Our gross interest income before the effect of the net present value of
decreases in expected credit losses decreased by $5.0 million to $93.4 million
in the year ended December 31, 2021 from $98.3 million in the year ended 2020
primarily due to a lower average balance and lower average yields of our
mortgage loan portfolio. This was offset by a decrease of $12.0 million in
interest expense to $36.7 million in the year ended December 31, 2021 from
$48.7 million in the year ended December 31, 2020 primarily due to decreases in
the average interest rates applicable to our borrowings. Similarly, our gross
interest income decreased by $14.1 million to $98.3 million in the year ended
December 31, 2020 from $112.4 million in the year ended December 31, 2019
primarily due to a decrease in average yield. This was offset by a decrease in
interest expense of $10.6 million to $48.7 million in the year ended
December 31, 2020 from $59.3 million in the year ended December 31, 2019
similarly due to a decrease in the average interest rates applicable to our
borrowings.

During the year ended December 31, 2021, we collected $318.5 million in cash
payments and proceeds on our mortgage loans, securities and REO held-for-sale
compared to $240.3 million in the year ended 2020 and $253.6 million in the year
ended 2019. These amounts exclude any cash proceeds from sales of debt
securities. The increase in cash collections in 2021 compared to 2020 is due to
a higher volume of payoffs on mortgage loans as borrowers continued to refinance
or sell the underlying property, while conversely the decrease in cash
collections in 2020 compared to 2019 was driven by lower volumes of loan
payoffs, partially offset by higher cash collections on securities.

Details of interest income for the years ended December 31, 20212020 and 2019 is included in the table below (in thousands of dollars):

Table 2: Detail of interest income

                                                                    For the 

year ended the 31st of December,

                                                             2021                 2020(1)              2019(1)

Accreditable return recognized on RPL, NPL and SBC loans $66,459

    $    76,769          $    97,942
Accretable yield recognized on beneficial interests         15,540                  11,091                6,426
Interest income on debt securities                          10,963                   9,852                6,655
Bank interest income                                           261                     346                1,031
Other interest income                                          160                     278                  362
Interest income                                       $     93,383             $    98,336          $   112,416
Net decrease/(increase) in the present value of
expected credit losses(2)                                   18,223                  12,555                 (803)

Interest income after impact of changes in net present value of expected credit losses

           $    111,606             $   110,891          $   111,613




(1)Includes reclass of loan and beneficial interest credit losses from net
decrease in the present value of expected credit losses to accretable yield
recognized on RPL, NPL and SBC loans and accretable yield recognized on
beneficial interests, respectively.
(2)Net decrease in the net present value of expected credit losses represents
the net decrease to the allowance resulting from changes in actual and expected
cash flows during the years ended December 31, 2021, 2020 and 2019. It
represents the net increase of the present value of the expected cash flows in
excess of contractual cash flows offset by any incremental provision expense on
the Mortgage loan pools and Beneficial interests. The decrease is calculated at
the pool level for Mortgage loans and at the security level for Beneficial
interests. To the extent a pool or Beneficial interest has an associated
allowance, the decrease in expected credit losses is recorded in the period in
which the change occurs, otherwise it is recognized prospectively as an increase
in yield.

The decrease in the accretable yield recognized on RPL, NPL and SBC loans is
driven by decreases in the average yield and average balance of our mortgage
loan portfolio. The average balance of our portfolio declined primarily as a
result of significantly higher levels of prepayments on our mortgage loans and
from the timing of loan acquisitions and sales during the year. The average
carrying balances of our mortgage loan portfolio, debt securities, beneficial
interests and debt outstanding for the years ended December 31, 2021 and 2020
are included in the table below ($ in thousands):

                                       54
--------------------------------------------------------------------------------
Table 3: Average Balances
                                                                 For the year ended December 31,
                                                                    2021                    2020
Mortgage loan portfolio                                     $       1,028,528          $ 1,103,472
Average carrying value of debt securities                   $         325,543          $   261,320
Average carrying value of beneficial interests              $         118,303          $    71,195
Total average asset backed debt                             $       

1,053,572 $1,043,445

The average balance of our mortgages decreased primarily due to significantly higher levels of prepayments on our mortgages and the timing of loan acquisitions and sales during the year.

Other income

Other income increased for the year ended December 31, 2021 as compared to the
year ended 2020 primarily due to increases in late fee income and a gain on sale
of mortgage loans in 2021 versus a loss in 2020. Other income decreased for the
year ended December 31, 2020 as compared to the year ended 2019 primarily as a
result of a gain on sale of mortgage loans in 2019 versus a loss in 2020,
decreased rental income in 2020 from the impact on our rental portfolio of our
Gaea capital raise in November 2019 and lower income from the federal
government's HAMP program as more loans reached the five-year threshold beyond
which no additional fees are earned. This was partially offset by a larger gain
on sales of property held-for-sale and gain on sale of securities in 2020
compared to 2019. A breakdown of Other income is provided in the table below ($
in thousands):

Table 4: Other Income
                                                         For the year ended December 31,
                                                         2021               2020          2019
Late fee income                                 $     1,046               $   700      $    779
Net gain on sale of Property held-for-sale              893                 1,011           610
Gain on sale of securities                              201                   145             8
Gain/(loss) on sale of mortgage loans                   122                  (705)        7,123
HAMP fees                                               119                   370           836
Rental Income                                            36                    42         1,943
Other (loss)/income                                     (32)                    4             -
Total Other Income                              $     2,385               $ 1,567      $ 11,299



Expenses

Total expenses for the year ended December 31, 2021 increased from the year
ended 2020 primarily as a result of our put option expense on our outstanding
common stock warrants. Similarly, the increase from 2019 to 2020 was a result of
expense on the put option as well as an increase in management fees driven by an
increase in our capital base as a result of our private placements of preferred
stock and warrants completed during the second quarter of 2020. Our professional
fees were higher in 2021 than 2020 and in 2020 from 2019 primarily from
increases in fees for tax consulting and legal services. For the year ended
December 31, 2021 as compared to the year ended 2020 and 2019 these increases
were partially offset by lower loan servicing fees as a result of the lower
average carrying balance of our mortgage loan portfolio due to increased
investments in our joint ventures. Real estate operating expense decreased in
2021 by $1.2 million over 2020, due to lower impairment on our REO held-for-sale
properties. Comparatively, real estate operating expense decreased by $2.2
million from 2019 to 2020 due to the carve out of Gaea and the related
commercial property portfolio in November 2019. A breakdown of our expenses is
provided in the table below ($ in thousands):

                                       55
--------------------------------------------------------------------------------
Table 5: Expenses
                                                                 For the year ended December 31,
                                                         2021                  2020                 2019

Fair value adjustment of put option liability $9,462 $

     4,733          $         -
Related party expense - management fee                     9,116                8,456                7,356
Related party expense - loan servicing fees                7,433                7,678                9,133
Other expense                                              5,221                4,284                4,553
Professional fees                                          2,940                2,834                2,550
Real estate operating expense                                328                1,482                3,685
Total expenses                                      $     34,500          $    29,467          $    27,277



Other Expense

Other expense for the year ended December 31, 2021 increased from the year ended
2020 primarily due to employee and service provider grants, and directors' fees
and grants, offset by lower travel expense and borrowing related expense. Other
expense for the year ended 2020 decreased from 2019 primarily due to a recovery
of loan transaction expense and lower employee and service provider grant
expense, partially offset by increases primarily in insurance and borrowing
related expenses and other miscellaneous expenses. A breakdown of other expense
is provided in the table below ($ in thousands):

Table 6: Other Expense
                                                         For the year ended December 31,
                                                         2021                2020         2019
Insurance                                       $       964                $   835      $   695
Employee and service provider share grants              900                    728          839
Directors' fees and grants                              746                    427          423
Borrowing related expenses                              727                    802          554
Other expense                                           433                    355          266
Taxes and regulatory expense                            427                    481          478
Software licenses and amortization                      407                    302          227
Travel, meals, entertainment                            193                    265          293
Internal audit services                                 180                    144          197
Lien release non due diligence                          167                    156          253
Loan transaction expense                                 77                   (211)         328
Total other expense                             $     5,221                $ 4,284      $ 4,553


Equity and net book value per share

Our net book value per share was $15.92 and $15.59 at December 31, 2021 and
2020, respectively, an increase of $0.33. The increase in book value was
primarily driven by our buyout of our joint venture partner's interest in 2018-C
in the first quarter of 2021 and the sale of mortgage loans from 2017-D, both of
which reduced non-controlling interest. Net book value also increased due to the
repurchase of $8.8 million of our convertible senior notes and an increase in
common equity resulting from net fair value adjustments of $0.6 million on our
portfolio of debt securities recorded to Other comprehensive income since
December 31, 2020. We believe our calculation is representative of our book
value on a per share basis, and our Manager believes book value per share is a
valuable metric for evaluating our business. The net book value per share is
calculated by taking equity at the balance sheet date (i) less preferred stock
and non-controlling interest, (ii) adjusted for any addition for potential
conversion of our convertible senior notes, divided by outstanding shares at the
balance sheet date adjusted to include (i) unvested restricted stock earned but
unissued and (ii) any share equivalents for our convertible senior notes or our
put option liability as determined by the dilution requirements for our EPS
calculation. A breakdown of our book value per share is set forth in the table
below ($ in thousands except per share amounts):

                                       56
--------------------------------------------------------------------------------

Table 7: Book value per common share

                                                                        As of December 31,
                                                                    2021                   2020
Outstanding shares                                               23,146,775             22,978,339

Adjustments for: Unvested awards of restricted stock and vested but unissued stock as of the date indicated

                                       3,470                  4,280

Conversion of Convertible Senior Notes into Common Shares

                                                             7,228,910              7,834,299
Settlement of put option in shares(1)                                     -                      -
Total adjusted shares outstanding                                30,379,155             30,816,918

Equity at period end                                          $     500,473 

$514,491
Net increase in equity related to the expected conversion of senior convertible bonds

                                            101,511                110,250
Adjustment for equity due to preferred shares                      (115,144)              (115,144)

Net equity adjustment due to non-controlling interests (3,178)

               (29,130)
Adjusted equity                                               $     483,662          $     480,467
Book value per share                                          $       15.92          $       15.59




(1)The settlement of the put option in shares is not included in the book value
calculation as of December 31, 2021 or 2020 as it has an anti-dilutive effect on
our earnings per share calculation.

Mortgage loan portfolio

For the years ended December 31, 2021 and 2020, we purchased $185.7 million and
$55.1 million of RPLs with UPB of $191.3 million and $61.7 million,
respectively, at 54.8% and 59.4% of the underlying property value, respectively,
including loans acquired from Ajax Mortgage Loan Trust 2019-C ("2019-C") in
December 2021, wherein we acquired the outstanding equity certificate of 2019-C,
resulting in recognition of the underlying loans on our consolidated balance
sheet. For the years ended December 31, 2021 and 2020 we purchased $91.5 million
and $14.1 million of NPLs with UPB of $94.8 million and $16.0 million,
respectively, at 63.6% and 50.7% of the underlying property value, respectively.
For the years ended December 31, 2021 and December 31, 2020, we purchased $9.0
million and $19.8 million of SBC loans with UPB of $8.9 million and $20.3
million, respectively, at 40.5% and 52.8% of the underlying property value,
respectively. We ended the period with $1.1 billion of mortgage loans with an
aggregate UPB of $1.2 billion as of December 31, 2021 and $1.1 billion of
mortgage loans with an aggregate UPB of $1.2 billion as of December 31, 2020.

                                       57
--------------------------------------------------------------------------------

The following table presents loan portfolio acquisitions for the years ended
December 31, 2021 and 2020 (in thousands of dollars):

Table 8: Loan Portfolio Acquisitions

                                      For the year ended December 31,
                                    2021(1)                          2020
RPLs
Count                                    1,006                         304
UPB                           $        191,250                    $ 61,704
Purchase price                $        185,654                    $ 55,090
Purchase price % of UPB                   97.1   %                    89.3  %
NPLs
Count                                      387                          65
UPB                           $         94,781                    $ 16,022
Purchase price                $         91,521                    $ 14,075
Purchase price % of UPB                   96.6   %                    87.8  %
SBC loans
Count                                       16                          14
UPB                           $          8,917                    $ 20,276
Purchase price                $          9,044                    $ 19,800
Purchase price % of UPB                  101.4   %                    97.7  %



(1)During the fourth quarter of 2021, we acquired the remaining trust certificates of our unconsolidated joint venture, 2019-C, resulting in the addition of 772 loans to our loan portfolio. Our 34.0% investment was previously reflected in our investment in debt securities and beneficial interests.

During the year ended December 31, 2021, 1,502 mortgage loans, representing
25.4% of our ending UPB, were liquidated. Comparatively, during the year ended
2020, 538 mortgage loans, representing 11.1% of our ending UPB, were liquidated.
Our loan portfolio activity for the years ended December 31, 2021 and 2020 are
presented below ($ in thousands):

Table 9: Loan portfolio activity

                                                                                         For the year ended December 31,
                                                                         2021                                                        2020
                                                      Mortgage loans                Mortgage loans                 Mortgage loans               Mortgage loans
                                                 held-for-investment, net         held-for-sale, net          held-for-investment, net        held-for-sale, net
Beginning carrying value                        $             1,119,372          $                -          $             1,151,469          $              -
Mortgage loans acquired                                         286,219                           -                           88,965                         -
Draws on SBC loans                                               20,689                           -                               56                         -
Accretion recognized                                             65,953                         460                           76,058                         -
Payments received on loans, net                                (264,713)                     (1,851)                        (175,678)                   

Net reclassifications to mortgage loans
held-for-sale, net                                             (159,733)                    159,733                                -                         -
Reclassifications to REO                                         (3,511)                          -                           (4,764)                        -
Sale of mortgage loans(1)                                             -                    (128,770)                         (26,111)                        -
Decrease in net present value of expected
credit losses on mortgage loans                                  13,668                           -                            9,345                         -
Other                                                             2,490                           -                               32                         -
Ending carrying value                           $             1,080,434          $           29,572          $             1,119,372          $              -



(1)As of December 31, 2021the sale of mortgage loans relates to loans that we previously consolidated in 2017-D.

                                       58
--------------------------------------------------------------------------------

Table 10: Composition of the portfolio

From December 31, 2021 and December 31, 2020our portfolios consisted of the following (in thousands of dollars):

                  December 31, 2021                                        December 31, 2020(1,2)
No. of Loans                                 5,941          No. of Loans                                 6,031
Total UPB(3)                           $ 1,165,841          Total UPB(3)                           $ 1,204,804
Interest-Bearing Balance               $ 1,069,407          Interest-Bearing Balance               $ 1,127,499
Deferred Balance(4)                    $    96,434          Deferred Balance(4)                    $    77,305

Market value of collateral(5) $2,193,143 Market value of collateral(5) $1,967,419
Original Purchase Price/Total UPB

             82.0  %       Original Purchase Price/Total UPB             82.2  %
Original Purchase Price/Market Value                        Original Purchase Price/Market Value
of Collateral                                 47.1  %       of Collateral                                 53.7  %
Weighted Average Coupon                       4.33  %       Weighted Average Coupon                       4.44  %
Weighted Average LTV(6)                       63.7  %       Weighted Average LTV(6)                       72.8  %
Weighted Average Remaining Term                             Weighted Average Remaining Term
(months)                                       295          (months)                                       297
No. of first liens                           5,883          No. of first liens                           5,973
No. of second liens                             58          No. of second liens                             58
RPLs                                          87.5  %       RPLs                                          94.4  %
NPLs                                          10.8  %       NPLs                                           3.5  %
SBC loans                                      1.7  %       SBC loans                                      2.1  %
No. of REO properties held-for-sale             31          No. of REO properties held-for-sale             38
Market Value of other REO(7)           $     6,611          Market Value of other REO(7)           $     8,105
Carrying value of debt securities and                       Carrying value of debt securities and
beneficial interests in trusts         $   494,361          beneficial interests in trusts         $   369,330
Loans with 12 for 12 payments as an                         Loans with 12 for 12 payments as an
approximate percentage of UPB(8)              72.3  %       approximate percentage of UPB(8)              71.9  %
Loans with 24 for 24 payments as an                         Loans with 24 for 24 payments as an
approximate percentage of UPB(9)              63.9  %       approximate percentage of UPB(9)              65.1  %




(1)Includes the impact of 1,003 mortgage loans with a purchase price of $177.3
million, UPB of $194.3 million and collateral value of $295.3 million acquired
in the fourth quarter of 2017 through a 50.0% owned joint venture which we
consolidate.
(2)Includes the impact of 256 mortgage loans with a purchase price of
$47.4 million, UPB of $52.8 million and collateral value of $68.1 million
acquired in the third quarter of 2018 through a 63.0% owned joint venture which
we consolidate.
(3)At December 31, 2021 and 2020, our loan portfolio consists of fixed rate
(60.6% of UPB), ARM (7.5% of UPB) and Hybrid ARM (31.9% of UPB); and fixed rate
(53.5% of UPB), ARM (8.9% of UPB) and Hybrid ARM (37.6% 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 December 31, 2021 and 2020, 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, 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.

                                       59
--------------------------------------------------------------------------------

Table 11: Portfolio characteristics

The following tables present certain characteristics of our mortgage loans by year of issue at December 31, 2021 and December 31, 2020 (in thousands of dollars):

Wallet to December 31, 2021

                                                                          Years of Origination
Mortgages held-for-investment                           After 2008           2006 - 2008          2005 and prior
Number of loans                                               638                 3,258                   1,868
Unpaid principal balance                              $   144,418          $    727,856          $      261,101
Percent of mortgage loan portfolio by year of
origination                                                  12.7  %               64.2  %                 23.1  %
Loan Attributes:
Weighted average loan age (months)                          105.0                 178.8                   217.9
Weighted average loan-to-value                               60.6  %               67.1  %                 54.2  %
Delinquency Performance:
Current                                                      55.4  %               55.3  %                 52.6  %
30 days delinquent                                            7.4  %                9.6  %                  9.2  %
60 days delinquent                                            4.5  %                5.1  %                  7.0  %
90+ days delinquent                                          27.2  %               23.7  %                 27.1  %
Foreclosure                                                   5.5  %                6.3  %                  4.1  %



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



                                       60
--------------------------------------------------------------------------------

Wallet to December 31, 2020

                                                                          Years of Origination
Mortgages held-for-investment                           After 2008           2006 - 2008          2005 and prior
Number of loans                                               639                 3,471                   1,921
Unpaid principal balance                              $   156,250          $    780,956          $      267,598
Percent of mortgage loan portfolio by year of
origination                                                  13.0  %               64.8  %                 22.2  %
Loan Attributes:
Weighted average loan age (months)                           91.0                 166.7                   205.8
Weighted average loan-to-value                               69.4  %               77.0  %                 62.6  %
Delinquency Performance:
Current                                                      53.0  %               51.9  %                 53.3  %
30 days delinquent                                           13.6  %               11.4  %                 10.9  %
60 days delinquent                                            3.8  %                6.7  %                  6.8  %
90+ days delinquent                                          25.3  %               25.1  %                 25.4  %
Foreclosure                                                   4.3  %                4.9  %                  3.6  %



Table 12: Loans by State

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

                               December 31, 2021                                                                  December 31, 2020
                                                                       % of                                                                               % of
                                                    Collateral      Collateral                                                         Collateral      Collateral
 State       Count          UPB         % UPB        Value(1)         Value         State       Count          UPB         % UPB        Value(1)         Value
CA           774        $ 254,732       21.8  %    $  542,547           24.7  %    CA           947        $ 329,725       27.4  %    $  589,225           30.0  %
FL           998          197,755       17.0  %       350,213           16.0  %    FL           655          108,293        9.0  %       174,849            8.9  %
NY           370          115,297       10.0  %       209,610            9.6  %    NY           329          103,475        8.6  %       177,524            9.0  %
NJ           311           72,179        6.3  %       109,171            5.0  %    NJ           287           65,764        5.5  %        89,389            4.5  %
MD           240           57,412        4.9  %        88,757            4.0  %    MD           248           60,082        5.0  %        77,693            4.0  %
VA           186           39,780        3.4  %        66,701            3.0  %    GA           352           45,817        3.8  %        71,586            3.7  %
TX           372           37,838        3.2  %        88,631            4.0  %    VA           205           43,563        3.6  %        63,132            3.2  %
IL           218           37,505        3.2  %        54,622            2.5  %    TX           410           42,432        3.5  %        81,810            4.2  %
GA           301           36,733        3.2  %        73,635            3.4  %    IL           227           41,410        3.5  %        54,379            2.8  %
MA           163           34,322        2.9  %        68,812            3.1  %    MA           177           35,454        2.9  %        61,220            3.1  %
NC           227           32,371        2.8  %        67,322            3.1  %    NC           240           33,146        2.8  %        52,217            2.7  %
AZ           119           23,270        2.0  %        47,579            2.2  %    AZ           150           29,765        2.5  %        47,835            2.4  %
PA           193           21,302        1.8  %        35,222            1.6  %    OR            70           24,303        2.0  %        46,279            2.4  %
WA            91           20,578        1.8  %        46,555            2.1  %    WA           104           23,874        2.0  %        43,784            2.2  %
SC           127           14,381        1.2  %        25,379            1.2  %    PA           185           21,294        1.8  %        31,248            1.6  %
NV            75           13,992        1.2  %        29,298            1.3  %    NV            97           18,614        1.5  %        30,344            1.5  %
CT            75           12,980        1.1  %        20,634            0.9  %    SC           129           14,206        1.2  %        22,213            1.1  %
OR            63           12,275        1.1  %        26,938            1.2  %    CT            77           13,529        1.1  %        18,115            0.9  %
OH           106           12,109        1.0  %        19,242            0.9  %    MI            97           13,103        1.1  %        19,832            1.0  %
TN           108           10,884        0.9  %        23,233            1.0  %    OH           110           12,929        1.1  %        17,843            0.9  %
IN            99            9,414        0.8  %        16,833            0.8  %    TN           115           12,721        1.1  %        22,690            1.2  %
MI            80            9,331        0.8  %        18,099            0.8  %    CO            54           10,450        0.9  %        22,665            1.2  %
CO            43            8,127        0.7  %        21,188            1.0  %    MO            75            9,383        0.8  %        12,545            0.6  %
MO            61            6,957        0.6  %        11,624            0.5  %    IN            98            9,180        0.8  %        14,476            0.7  %
LA            71            6,885        0.6  %        11,573            0.5  %    MN            49            9,121        0.8  %        13,242            0.7  %
UT            39            6,156        0.5  %        16,978            0.8  %    LA            76            7,631        0.6  %        11,910            0.6  %
MN            35            5,881        0.5  %        10,205            0.5  %    UT            44            6,895        0.6  %        14,932            0.8  %
WI            44            5,771        0.5  %         8,829            0.4  %    DE            34            6,509        0.5  %         7,999            0.4  %
AL            49            5,613        0.5  %         7,872            0.4  %    HI            16            6,456        0.5  %         9,305            0.5  %
DE            30            5,416        0.5  %         7,779            0.4  %    DC            17            5,131        0.4  %         8,138            0.4  %
DC            16            5,039        0.4  %         9,182            0.4  %    WI            37            4,696        0.4  %         6,385            0.3  %


                                       61
--------------------------------------------------------------------------------
                                  December 31, 2021                                                                        December 31, 2020
                                                                             % of                                                                                     % of
                                                         Collateral       Collateral                                                              Collateral       Collateral
 State        Count            UPB           % UPB        Value(1)          Value         State        Count            UPB           % UPB        Value(1)          Value
HI              11              3,941         0.3  %          7,058            0.3  %    NM              30              4,450         0.4  %          6,207            0.3  %
NM              24              3,784         0.3  %          6,143            0.3  %    KY              36              4,158         0.3  %          6,032            0.3  %
KY              29              3,504         0.3  %          5,777            0.3  %    AL              44              3,670         0.3  %          4,891            0.2  %
RI              15              3,236         0.3  %          5,203            0.2  %    NH              18              3,223         0.3  %          5,087            0.3  %
NH              16              3,006         0.3  %          5,450            0.2  %    RI              14              3,084         0.3  %          4,481            0.2  %
OK              22              2,104         0.2  %          3,768            0.2  %    OK              27              2,511         0.2  %          3,827            0.2  %
MS              25              2,025         0.2  %          3,327            0.2  %    MS              26              2,149         0.2  %          3,168            0.2  %
KS              22              1,593         0.1  %          3,713            0.2  %    IA              18              1,736         0.1  %          2,267            0.1  %
ID              11              1,569         0.1  %          3,995            0.2  %    ID              12              1,496         0.1  %          2,971            0.2  %
ME               9              1,296         0.1  %          2,118            0.1  %    AR              20              1,447         0.1  %          2,016            0.1  %
WV              13              1,283         0.1  %          2,095            0.1  %    KS              19              1,379         0.1  %          2,897            0.1  %
IA              14              1,137         0.1  %          1,837            0.1  %    ME              10              1,372         0.1  %          1,801            0.1  %
MT               6              1,003         0.1  %          1,966            0.1  %    WV              17              1,258         0.1  %          1,830            0.1  %
PR               6                884         0.1  %            929              -  %    MT               6                803         0.1  %          1,336            0.1  %
AR              15                863         0.1  %          1,592            0.1  %    SD               4                537           -  %            872              -  %
SD               5                713         0.1  %          1,524            0.1  %    NE               4                528           -  %            603              -  %
VT               3                520           -  %            493              -  %    PR               5                518           -  %            592              -  %
NE               5                408           -  %            886              -  %    VT               2                452           -  %            518              -  %
ND               3                388           -  %            580              -  %    WY               3                438           -  %            356              -  %
WY               2                244           -  %            257              -  %    ND               3                395           -  %            472              -  %
AK               1                 55           -  %            169              -  %    AK               2                249           -  %            391              -  %
             5,941        $ 1,165,841       100.0  %    $ 2,193,143          100.0  %                 6,031        $ 1,204,804       100.0  %    $ 1,967,419          100.0  %



(1)At the closing date.

Table 13: Debt securities and acquisitions of beneficial interests

The following table shows our debt securities and beneficial interest
acquisitions for the years ended December 31, 2021 and 2020 ($ in thousands):

                                     For the year ended December 31,
                                     2021                           2020
Class A securities
UPB                           $       255,451                   $ 116,952
Purchase price                $       254,210                   $ 115,558
Purchase price % of UPB                  99.5   %                    98.8  %
Class M securities
UPB                           $         1,943                   $       -
Purchase price                $         1,943                   $       -
Purchase price % of UPB                 100.0   %                       -  %
Class B securities
UPB                           $        36,993                   $   9,923
Purchase price                $        33,663                   $   9,817
Purchase price % of UPB                  91.0   %                    98.9  %
Beneficial interests
Purchase price                $        53,118                   $  19,307



                                       62
--------------------------------------------------------------------------------

Cash and capital resources

Source and uses of cash

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

As of December 31, 2021 and December 31, 2020, substantially all of our invested
capital was in RPLs, NPLs, SBC loans, property held-for-sale, debt securities
and beneficial interests. We also held approximately $84.4 million of cash and
cash equivalents, a decrease of $22.7 million from our balance of $107.1 million
at December 31, 2020, which was an increase of $42.8 million from our balance of
$64.3 million at December 31, 2019. Our average daily cash balance during 2021
was $99.1 million, a decrease from our average daily cash balance of $110.5
million during the year ended December 31, 2020 and an increase from our average
daily balance of $57.6 million at December 31, 2019.

Our collections of principal and interest payments on mortgages and securities,
payoffs and proceeds and on the sale of our property held-for-sale were $318.5
million, $240.3 million and $253.6 million for the years ended December 31,
2021, 2020 and 2019, respectively.

Our operating cash outflows, including the effect of restricted cash, for the
year ended December 31, 2021, 2020 and 2019 were $15.3 million, $13.9 million
and $15.0 million, respectively. Our primary operating cash inflow is cash
interest payments on our mortgage loan pools, which was $47.3 million, $48.1
million and $57.0 million, respectively, for the years ended December 31, 2021,
2020 and 2019, respectively. Non-cash interest income accretion was $19.5
million, $29.0 million and $39.1 million for the years ended December 31, 2021,
2020 and 2019, respectively. Interest income on beneficial interests was $16.0
million, $11.8 million and $6.4 million during the years ended December 31,
2021, 2020 and 2019, respectively. Interest income on debt securities was $11.0
million, $9.9 million and $6.7 million during the years ended December 31, 2021,
2020 and 2019, respectively. During the year ended December 31, 2021 we
recognized a gain of $0.1 million for the 760 loans sold from 2017-D with a
carrying value of $129.2 million and UPB of $133.8 million to a joint venture
formed between us and a third party accredited institutional investor, and
retained various classes of securities from the joint venture. During the year
ended December 31, 2020, we recognized a loss of $0.7 million from the sale of
26 mortgage loans to Gaea, an affiliated entity. During the year ended
December 31, 2019 we recognized a gain of $7.1 million from the sale of 965
mortgage loans to a related party joint venture, 2019-C.

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

For the year ended December 31, 2021, our investing cash outflows of $50.2
million were driven primarily by the purchases of debt securities and beneficial
interests of $341.8 million and acquisitions of mortgage loans of $286.2
million. This was offset by proceeds from principal payments on and payoffs of
our mortgage loan portfolio of $218.8 million, principal payments on and payoffs
of our debt securities and beneficial interests of $155.2 million, the sale of
$90.2 million of debt securities held as investments and the proceeds from the
sale of loans from our 2017-D mortgage loan trust of $126.0 million. For the
year ended December 31, 2020 our investing cash inflows of $24.2 million were
driven primarily by the proceeds from principal payments on and payoffs of our
mortgage loan portfolio of $127.5 million, principal payments on and payoffs of
our debt securities and beneficial interests of $53.5 million, the sale of $38.9
million of debt securities held as investments and the sale of our mortgage
loans to Gaea in the amount of $25.4 million. This was offset by purchases of
debt securities and
                                       63
--------------------------------------------------------------------------------

beneficial interests of $144.7 million and acquisitions of mortgage loans of
$89.0 million. For the year ended December 31, 2019 our investing cash inflows
of $100.2 million were driven primarily by the proceeds from the sale of
mortgage loans of $212.6 million to 2019-C, principal payments on and payoffs of
our mortgage loan portfolio of $134.7 million, principal payments on and payoffs
of our debt securities and beneficial interests of $42.4 million, and the sale
of $39.6 million of debt securities held as investments. This was offset by
purchases of debt securities and beneficial interests of $187.8 million and
acquisitions of mortgage loans of $129.2 million.

Our financing cash flows are driven primarily by funding used to acquire
mortgage loan pools. We fund our mortgage loan pool acquisitions primarily
through secured borrowings, repurchase agreements and the proceeds from our
convertible debt and equity offerings. For the year ended December 31, 2021, we
had net financing cash inflows of $45.7 million due to the borrowings through
repurchase transactions of $560.6 million and secured debt of $391.0 million,
offset by repayments of $435.7 million on repurchase transactions and pay downs
of existing debt obligations of $393.0 million on secured debt. We purchased the
remaining 37% ownership of the Class B notes and trust certificates of 2018-C
for a total of $17.2 million. We had net financing cash inflows for the year
ended 2020 of $32.7 million due to the issuance of our preferred stock and
warrants, net of any offering costs for $125.0 million in a series of private
placements to institutional accredited investors. Financing cash flows were also
impacted by additional borrowings through repurchase transactions of $315.4
million and secured debt of $114.5 million, offset by repayments of $308.3
million on repurchase transactions and pay downs of existing debt obligations of
$183.5 million on secured debt. We had net financing cash outflows for the year
ended 2019 of $76.0 million due to repayments on repurchase transactions of
$444.4 million and secured debt of $241.1 million, offset by additional
borrowings through repurchase transactions of $322.6 million, on secured debt of
$283.9 million and proceeds of $34.3 million from the sale of our common stock
under our At the Market program (see Financing Activities - Equity offerings
below). For the years ended December 31, 2021, 2020 and 2019 we paid $29.2
million, $17.8 million and $27.1 million, respectively, in cash dividends and
distributions.

Financing activities – Securities issues

On February 28, 2020, our Board of Directors approved a stock repurchase of up
to $25.0 million of our common shares. The amount and timing of any repurchases
will depend 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 December 31, 2021 we held 147,370 shares of treasury
stock consisting of 97,686 shares received through distributions of our shares
previously held by our Manager and 49,684 shares acquired through open market
purchases, of which 1,220 shares were acquired in the fourth quarter of 2021
under our approved stock buyback plan. As of December 31, 2020 we held 107,243
shares of treasury stock consisting of 58,779 shares received through
distributions of our shares previously held by our Manager and 48,464 shares
acquired through open market purchases in the fourth quarter of 2020 under our
approved stock buyback plan.

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

During the year ended December 31, 2021, we sold 24,951 shares of common stock
for proceeds, net of issuance costs of $0.3 million under our At the Market
program, which we sell, through our agents, shares of common stock with an
aggregate offering price of up to $100.0 million. During the year ended
December 31, 2020, we did not sell any shares of common stock under our At the
Market program. During the year ended December 31, 2019, we sold 2,278,518
shares of common stock for proceeds, net of issuance costs of $34.3 million
under our At the Market program. In accordance with the terms of the agreements,
we may offer and sell shares of our common stock at any time and from time to
time through the sales agents. Sales of the shares, if any, will be made by
means of ordinary brokers' transactions on the NYSE or otherwise at market
prices prevailing at the time of the sale.

                                       64
--------------------------------------------------------------------------------

Financing Activities – Secured Borrowings and Senior Convertible Bonds

From our inception (January 30, 2014) to December 31, 2021, we have completed 18
secured borrowings, not including borrowings we completed for our
non-consolidated joint ventures (See Table 17: Investments in joint ventures),
through securitization trusts pursuant to Rule 144A under the Securities Act,
five of which were outstanding at December 31, 2021. The secured borrowings are
structured as debt financings and not REMIC sales, and the loans included in the
secured borrowings remain on our consolidated balance sheet as we are the
primary beneficiary of the secured borrowing trusts, which are VIEs. The secured
borrowing VIEs are structured as pass through entities that receive principal
and interest on the underlying mortgages and distribute those payments to the
holders of the notes. Our exposure to the obligations of the VIEs is generally
limited to our investments in the entities. The notes that are issued by the
secured borrowing trusts are secured solely by the mortgages held by the
applicable trusts and not by any of our other assets. The mortgage loans of the
applicable trusts are the only source of repayment and interest on the notes
issued by such trusts. We do not guarantee any of the obligations of the trusts
under the terms of the agreement governing the notes or otherwise.

Our non-rated secured borrowings are generally structured with Class A notes,
subordinated notes, and trust certificates, which have rights to the residual
interests in the mortgages once the notes are repaid. We have retained the
subordinate notes and the applicable trust certificates from one non-rated
secured borrowing outstanding at December 31, 2021.

Our rated secured borrowings are generally structured as "REIT TMP" transactions
which allow 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 December 31, 2021. Our rated secured
borrowings are designated in the table below.

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

Our 2018-C secured borrowing was structured with Class A notes, Class B notes
and trust certificates representing the residual interest in the mortgages held
within the securitization trusts subsequent to repayment of the Class A debt. We
had retained 5.0% of the Class A notes and 63.0% of the Class B notes and trust
certificates. During the first quarter of 2021 we acquired the remaining 37.0%
ownership of the Class B notes and trust certificates and settled the remaining
95.0% of the outstanding Class A notes.

The following table shows the initial terms of all securitization notes outstanding at their respective deadlines as of December 31, 2021:

Table 14: Secured borrowings

                                       Interest Rate
   Issuing Trust/Issue Date             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  %
                                                              Class M-1 notes due
                                     July 25, 2027            2065(1)                         $9.3 million                               3.50  %
                                                              Class B-1 notes due
                                     None                     2065(2)                         $7.5 million                               3.50  %
                                                              Class B-2 notes due
                                     None                     2065(2)                         $7.1 million                           variable(3)
                                                              Class B-3 notes due
                                     None                     2065(2)                         $12.8 million                          variable(3)
                                                              Deferred issuance costs         $(2.7) million                                -  %

                                                                     Rated


                                       65
--------------------------------------------------------------------------------

                                       Interest Rate
   Issuing Trust/Issue Date             Step-up Date                  Security                  Original Principal             Interest Rate
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  %
                                                              Class M-1 notes due
                                     November 25, 2026        2059(1)                         $6.1 million                               3.50  %
                                                              Class B-1 notes due
                                     None                     2059(2)                         $11.5 million                              3.50  %
                                                              Class B-2 notes due
                                     None                     2059(2)                         $10.4 million                          variable(3)
                                                              Class B-3 notes due
                                     None                     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  %
                                                              Class M-1 notes due
                                     July 25, 2027            2059(1)                         $7.3 million                               3.70  %
                                                              Class B-1 notes due
                                     None                     2059(2)                         $5.9 million                               3.70  %
                                                              Class B-2 notes due
                                     None                     2059(2)                         $5.1 million                           variable(3)
                                                              Class B-3 notes due
                                     None                     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  %
                                                              Class M-1 notes due
                                     January 25, 2029         2065(1)                         $7.8 million                               3.15  %
                                                              Class B-1 notes due
                                     None                     2065(2)                         $5.0 million                               3.80  %
                                                              Class B-2 notes due
                                     None                     2065(2)                         $5.0 million                           variable(3)
                                                              Class B-3 notes due
                                     None                     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.
(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.

Convertible Senior Notes

During 2017 and 2018, we completed the public offer and sale of $123.9 million
in aggregate principal amount of our convertible senior notes (the "notes") due
2024, in three separate offerings which form a single series of fungible
securities. The notes bear interest at a rate of 7.25% per annum, payable
quarterly in arrears on January 15, April 15, July 15 and October 15 of each
year. The notes will mature on April 30, 2024, unless earlier repurchased,
converted or redeemed. During certain periods and subject to certain conditions
the notes will be convertible by their holders into shares of our common stock
at a current conversion rate of 1.7279 shares of common stock per $25.00
principal amount of the notes, which represents a conversion
                                       66
--------------------------------------------------------------------------------

price around $14.47 per ordinary share. The conversion rate, and therefore the conversion price, may be subject to adjustments in certain circumstances.

During the first, second and fourth quarters of 2021, we completed a series of
convertible note repurchases for aggregate principal amounts of $2.5 million,
$5.0 million and $1.3 million, respectively, for total purchase prices of $2.4
million, $5.1 million and $1.3 million, respectively. The carrying amounts of
the equity component representing the embedded conversion feature reversed from
Additional paid-in capital due to the first and second quarters of 2021 were
both zero and for the fourth quarter of 2021 was $8 thousand. There were no
convertible note repurchases during the third quarter of 2021. During the first
and third quarters of 2020, we completed a series of convertible note
repurchases for aggregate principal amounts of $8.0 million and $2.5 million,
respectively, for total purchase prices of $8.2 million and $2.3 million,
respectively. The carrying amounts of the equity component representing the
embedded conversion feature reversed from Additional paid-in capital due to the
first and third quarter of 2020 transactions were $0.1 million and zero,
respectively. There were no convertible note repurchases during the second and
fourth quarters of 2020.

Repurchase Transactions

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

A summary of our pending buyout transactions at December 31, 2021 and 2020 follows (in thousands of dollars):

Table 15: Buyback transactions by maturity date

                                                                                                                               December 31, 2021
                                                                    Maximum
                                                                   Borrowing                                          Amount of             Percentage of
      Maturity Date                 Origination Date               Capacity             Amount Outstanding           Collateral          Collateral Coverage           Interest Rate
January 6, 2022                 October 6, 2021                 $      6,567          $             6,567          $      8,450                       129  %                      1.33  %
January 12, 2022                October 12, 2021                       4,978                        4,978                 6,304                       127  %                      1.32  %
January 13, 2022                December 15, 2021                      2,850                        2,850                 4,050                       142  %                      1.31  %
January 14, 2022                October 15, 2021                       4,992                        4,992                 5,808                       116  %                      1.17  %
January 20, 2022                October 20, 2021                       9,667                        9,667                11,550                       119  %                      1.18  %
January 27, 2022                December 27, 2021                      2,206                        2,206                 2,824                       128  %                      1.30  %
January 28, 2022                October 29, 2021                       9,115                        9,115                11,244                       123  %                      1.33  %
January 28, 2022                October 29, 2021                       8,508                        8,508                10,538                       124  %                      1.33  %
February 11, 2022               November 12, 2021                      3,094                        3,094                 4,428                       143  %                      1.75  %
February 11, 2022               November 16, 2021                      4,060                        4,060                 5,796                       143  %                      1.36  %
February 11, 2022               November 16, 2021                      2,166                        2,166                 3,090                       143  %                      1.36  %
February 11, 2022               November 16, 2021                      1,850                        1,850                 2,640                       143  %                      1.36  %
February 11, 2022               November 16, 2021                      1,670                        1,670                 2,287                       137  %                      1.36  %
February 11, 2022               November 16, 2021                      1,526                        1,526                 2,178                       143  %                      1.36  %
February 18, 2022               November 19, 2021                      9,275                        9,275                11,954                       129  %                      1.36  %
February 24, 2022               November 24, 2021                      3,538                        3,538                 5,106                       144  %                      1.77  %


                                       67
--------------------------------------------------------------------------------
                                                                                                                          December 31, 2021
                                                                   Maximum
                                                                  Borrowing              Amount              Amount of             Percentage of
      Maturity Date                 Origination Date               Capacity            Outstanding           Collateral         Collateral Coverage           Interest Rate
March 8, 2022                   December 8, 2021                      5,363                 5,363                6,970                       130  %                      1.19  %
March 8, 2022                   December 8, 2021                      1,955                 1,955                2,496                       128  %                      1.19  %
March 16, 2022                  December 16, 2021                    40,956                40,956               54,424                       133  %                      1.21  %
March 16, 2022                  December 16, 2021                     4,258                 4,258                6,232                       146  %                      1.46  %
March 17, 2022                  December 17, 2021                     6,425                 6,425                8,093                       126  %                      1.42  %
March 17, 2022                  December 17, 2021                     5,904                 5,904                7,573                       128  %                      1.42  %
March 17, 2022                  December 17, 2021                     1,177                 1,177                1,687                       143  %                      1.82  %
March 21, 2022                  December 20, 2021                    30,850                30,850               41,473                       134  %                      1.26  %
March 21, 2022                  December 20, 2021                     2,629                 2,629                3,770                       143  %                      1.56  %
March 22, 2022                  December 22, 2021                    33,201                33,201               35,956                       108  %                      0.66  %
March 22, 2022                  December 22, 2021                     2,892                 2,892                3,421                       118  %                      0.96  %
March 22, 2022                  December 22, 2021                     1,541                 1,541                1,943                       126  %                      1.16  %
March 22, 2022                  December 22, 2021                     1,369                 1,369                2,047                       150  %                      1.56  %
March 22, 2022                  December 22, 2021                     1,330                 1,330                1,788                       134  %                      1.41  %
March 25, 2022                  December 27, 2021                    15,443                15,443               20,367                       132  %                      1.41  %
March 25, 2022                  December 27, 2021                     4,444                 4,444                6,413                       144  %                      1.81  %
April 1, 2022                   October 5, 2021                      28,482                28,482               36,200                       127  %                      1.36  %
April 19, 2022                  October 22, 2021                      7,909                 7,909                9,279                       117  %                      1.02  %
April 19, 2022                  October 22, 2021                      6,215                 6,215                7,276                       117  %                      1.02  %
April 19, 2022                  October 22, 2021                      5,090                 5,090                6,063                       119  %                      1.02  %
June 10, 2022                   December 13, 2021                    13,992                13,992               20,151                       144  %                      1.49  %
June 10, 2022                   December 13, 2021                     6,220                 6,220                8,203                       132  %                      1.29  %
July 8, 2022                    July 9, 2021                        150,000                13,824               20,856                       151  %                      2.60  %
September 22, 2022              September 23, 2021                  400,000               228,523              300,324                       131  %                      2.36  %
Totals/weighted averages                                        $   853,707          $    546,054          $   711,252                       130  %                      1.74  %



                                                                                                                          December 31, 2020
                                                                  Maximum
                                                                 Borrowing               Amount               Amount of             Percentage of
     Maturity Date                 Origination Date               Capacity            Outstanding            Collateral          Collateral Coverage           Interest Rate
January 6, 2021                October 9, 2020                 $    35,635          $      35,635          $     46,120                       129  %                      2.33  %
January 6, 2021                September 28, 2020                    7,697                  7,697                10,075                       131  %                      2.33  %
January 6, 2021                September 28, 2020                    6,311                  6,311                 9,038                       143  %                      2.48  %
January 6, 2021                September 28, 2020                    4,755                  4,755                 6,114                       129  %                      2.33  %
January 6, 2021                September 28, 2020                    4,666                  4,666                 6,044                       130  %                      2.33  %
January 6, 2021                September 28, 2020                    3,213                  3,213                 4,667                       145  %                      2.48  %
January 11, 2021               September 29, 2020                    5,879                  5,879                 7,575                       129  %                      2.32  %
January 14, 2021               October 29, 2020                      6,991                  6,991                 8,738                       125  %                      2.35  %
January 20, 2021               October 20, 2020                     13,263                 13,263                16,582                       125  %                      2.22  %
January 29, 2021               October 30, 2020                      7,762                  7,762                 9,702                       125  %                      2.21  %
January 29, 2021               October 30, 2020                      7,153                  7,153                 9,537                       133  %                      2.21  %
February 1, 2021               December 1, 2020                     12,258                 12,258                16,052                       131  %                      1.88  %
February 1, 2021               December 1, 2020                     12,015                 12,015                15,794                       131  %                      1.88  %
February 1, 2021               December 1, 2020                      5,298                  5,298                 6,895                       130  %                      1.88  %
February 1, 2021               December 1, 2020                      3,985                  3,985                 5,136                       129  %                      1.88  %
February 1, 2021               December 1, 2020                      2,887                  2,887                 3,790                       131  %                      1.88  %
February 1, 2021               December 1, 2020                      2,332                  2,332                 3,360                       144  %                      2.03  %


                                       68
--------------------------------------------------------------------------------
                                                                                                                           December 31, 2020
                                                                    Maximum
                                                                   Borrowing              Amount              Amount of             Percentage of
      Maturity Date                  Origination Date               Capacity            Outstanding           Collateral         Collateral Coverage           Interest Rate
February 1, 2021                 December 1, 2020                      1,132                 1,132                1,607                       142  %                      2.03  %
February 12, 2021                November 13, 2020                     2,945                 2,945                4,428                       150  %                      2.02  %
March 5, 2021                    December 7, 2020                     24,946                24,946               33,348                       134  %                      1.78  %
March 5, 2021                    December 7, 2020                     24,312                24,312               32,571                       134  %                      1.78  %
March 17, 2021                   December 17, 2020                    10,219                10,219               13,172                       129  %                      1.78  %
March 17, 2021                   December 17, 2020                     8,381                 8,381               10,872                       130  %                      1.78  %
March 17, 2021                   December 17, 2020                     3,894                 3,894                5,193                       133  %                      1.78  %
March 17, 2021                   December 17, 2020                     1,145                 1,145                1,687                       147  %                      1.93  %
March 24, 2021                   December 24, 2020                     7,016                 7,016               10,024                       143  %                      1.94  %
March 24, 2021                   December 24, 2020                     5,008                 5,008                6,637                       133  %                      1.79  %
March 24, 2021                   December 24, 2020                     2,577                 2,577                3,367                       131  %                      1.79  %
April 9, 2021                    October 13, 2020                     33,084                33,084               43,069                       130  %                      2.35  %
July 9, 2021                     July 10, 2020                       250,000                53,256               84,337                       158  %                      2.64  %
September 23, 2021               September 24, 2020                  400,000               101,117              160,068                       158  %                      2.65  %
Totals/weighted averages                                         $   916,759          $    421,132          $   595,599                       141  %                      2.29  %



As of December 31, 2021, we had $546.1 million outstanding under our repurchase
transactions compared to $421.1 million as of December 31, 2020. The maximum
month-end balance outstanding during the year ended December 31, 2021 was $563.0
million, compared to a maximum month-end balance for the year ended 2020 of
$467.3 million. The following table presents certain details of our repurchase
transactions for the years ended December 31, 2021 and 2020 ($ in thousands):

Table 16: Repurchase Balances
                                                                    For the year ended December 31,
                                                                       2021                    2020
Balance at the end of year                                      $        546,054          $   421,132
Maximum month-end balance outstanding during the year           $        562,999          $   467,344
Average balance                                                 $        369,858          $   411,420


The decrease in our average balance of $411.4 million for the year ended
December 31, 2020 to our average balance of $369.9 million for the year ended
December 31, 2021due to the repayment of pledged securities and the securitization of certain assets previously on the repurchase lines.

From December 31, 2021 and 2020, we had no outstanding credit facilities or other indebtedness other than repurchase facilities, secured borrowings, put option liabilities and our convertible senior notes.

Our investment guidelines do not require us to maintain a specific leverage ratio, and we believe that 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 stable and reliable financing conditions for these assets.

Dividends

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

On December 30, 2021, our Board of Directors declared a special cash dividend of
$0.10 per share of our common stock due to our 2021 taxable income, which was
paid on January 25, 2022 to our common stockholders of record as of January 10,
2022.

On March 3, 2022, our Board of Directors declared a dividend of $0.26 per share,
to be paid on March 31, 2022 to stockholders of record as of March 18, 2022. Our
Management Agreement with our Manager requires the payment of an
                                       69
--------------------------------------------------------------------------------

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, 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, plus distributions on our externally-held
operating partnership units all paid out within the applicable calendar year,
paid out of our taxable income, exceeds 8% (on an annualized basis) of our
stock's book value. For the years ended December 31, 2021 and 2020 we recorded
no expense for an incentive fee payable to the Manager. Comparatively, for the
year ended December 31, 2019 we recorded an expense of $0.7 million for an
incentive fee payable to the Manager. Our dividend payments are driven by the
amount of our taxable income, subject to IRS rules for maintaining our status as
a REIT.

Our most recently declared quarterly dividend represents a payment of
approximately 6.53% on an annualized basis of an adjusted book value of $15.92
per share at December 31, 2021. If our taxable income increases we could exceed
the threshold for paying an incentive fee to our Manager, and thereby trigger
such payment. See Note 10 - Related party transactions.

Off-balance sheet arrangements

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

Table 17: 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 either sponsored or contributed assets to, but which we do not consolidate
since we have determined we are not the primary beneficiary.

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

                                                                                                                                   Great Ajax Corp. Ownership
                                                                                                                                                                    Current
                                                                                                                                                                  Owned Stated
                                                                                                                                          Original Stated         or Notional
                                                                       Total Original                                                       or Notional            Principal
                                                                        Outstanding                                  Ownership           Principal 

Balance Balance

 Issuing Trust/Issue Date                  Security                      Principal               Coupon               Percent                Retained               Retained
Ajax Mortgage Loan Trust
2018-A/ April 2018               Class A notes due 2058              $        91,036               3.85  %                    -  %       $            -           $       -
                                 Trust certificates                  $        22,759                  -  %                 9.36  %       $        2,130           $      98

Ajax Mortgage Loan Trust
2018-B/ June 2018                Class A notes due 2057              $        66,374               3.75  %                    -  %       $            -           $       -
                                 Trust certificates                  $        28,447                  -  %                20.00  %       $        5,689           $   2,683

Ajax Mortgage Loan Trust
2018-D/ September 2018           Class A notes due 2058              $        80,664               3.75  %                20.00  %       $       16,133           $  11,274
                                 Trust certificates                  $        20,166                  -  %                20.00  %       $        4,033           $   3,915

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


                                       70
--------------------------------------------------------------------------------
                                                                                                                                  Great Ajax Corp. Ownership
                                                                                                                                                                   Current
                                                                                                                                                                 Owned Stated
                                                                                                                                         Original Stated         or Notional
                                                                      Total Original                                                       or Notional            Principal
                                                                        Outstanding                                 Ownership           Principal Balance          Balance
 Issuing Trust/Issue Date                  Security                      Principal              Coupon               Percent                Retained               Retained

Ajax Mortgage Loan Trust
2018-F/ December 2018            Class A notes due 2058              $      180,002               4.38  %                    -  %       $            -           $       -
                                 Class B notes due 2058              $       16,800               5.25  %                    -  %       $            -           $       -
                                 Trust certificates                  $       43,201                  -  %                20.00  %       $        6,480           $   3,995

Ajax Mortgage Loan Trust
2018-G/ December 2018            Class A notes due 2057              $      173,562               4.38  %                25.00  %       $       43,390           $  19,123
                                 Class B notes due 2057              $       16,199               5.25  %                25.00  %       $        4,050           $   4,050
                                 Trust certificates                  $       41,655                  -  %                25.00  %       $       10,414           $  10,585

Ajax Mortgage Loan Trust
2019-A/ March 2019               Class A notes due 2057              $      127,801               3.75  %                20.00  %       $       25,560           $  10,538
                                 Class B notes due 2057              $       11,928               5.25  %                20.00  %       $        2,386           $   2,388
                                 Trust certificates                  $       30,672                  -  %                20.00  %       $        6,134           $   6,137

Ajax Mortgage Loan Trust
2019-B/ March 2019               Class A notes due 2059              $      163,325               3.75  %                15.00  %       $       24,499           $  11,244
                                 Class B notes due 2059              $       15,244               5.25  %                15.00  %       $        2,287           $   2,287
                                 Trust certificates                  $       39,198                  -  %                15.00  %       $        5,880           $   5,976

Ajax Mortgage Loan Trust
2019-E/ September 2019           Class A notes due 2059              $      181,101               3.00  %                 6.55  %       $       11,862           $   5,808
                                 Class B notes due 2059              $       16,903               4.88  %                20.00  %       $        3,381           $   3,381
                                 Trust certificates                  $       43,464                  -  %                20.00  %       $        8,693           $   8,558

Ajax Mortgage Loan Trust
2019-G/ December 2019            Class A notes due 2059              $      141,420               3.00  %                 5.86  %       $        8,287           $   6,304
                                 Class B notes due 2059              $       13,199               4.25  %                20.00  %       $        2,640           $   2,640
                                 Trust certificates                  $       33,941                  -  %                20.00  %       $        6,788           $   6,820

Ajax Mortgage Loan Trust
2019-H/ December 2019            Class A notes due 2059              $       90,381               3.00  %                20.00  %       $       18,076           $   8,093
                                 Class B notes due 2059              $        8,435               4.25  %                20.00  %       $        1,687           $   1,687
                                 Trust certificates                  $       21,692                  -  %                20.00  %       $        4,338           $   4,375

Ajax Mortgage Loan Trust
2020-A/ March 2020               Class A notes due 2059              $      249,384               2.38  %                20.00  %       $       49,877           $  36,200
                                 Class B notes due 2059              $       23,276               3.50  %                20.00  %       $        4,655           $   4,428
                                 Trust certificates                  $       59,852                  -  %                20.00  %       $       11,970           $  11,934

Ajax Mortgage Loan Trust
2020-C/ September 2020           Class A notes due 2060              $      339,365               2.25  %                10.01  %       $       33,970           $   2,496
                                 Class B notes due 2060              $       21,754               5.00  %                10.01  %       $        2,178           $   2,178
                                 Trust certificates                  $       73,964                  -  %                10.01  %       $        7,404           $   7,393


                                       71
--------------------------------------------------------------------------------
                                                                                                                          Great Ajax Corp. Ownership
                                                                                                                                                           Current
                                                                                                                                                         Owned Stated
                                                                                                                                 Original Stated         or Notional
                                                              Total Original                                                       or Notional            Principal
                                                                Outstanding                                 Ownership           Principal Balance          Balance
 Issuing Trust/Issue Date              Security                  Principal              Coupon               Percent                Retained               Retained

Ajax Mortgage Loan Trust         Class A notes due
2020-D/ September 2020           2060                        $      330,721               2.25  %                10.01  %       $       33,105           $   6,970
                                 Class B notes due
                                 2060                        $       30,867               5.00  %                10.01  %       $        3,090           $   3,090
                                 Trust certificates          $       79,373                  -  %                10.01  %       $        7,945           $   7,934

Ajax Mortgage Loan Trust         Class A notes due
2021-C/ April 2021               2061                        $      194,673               2.12  %                 5.01  %       $        9,753           $   8,204
                                 Class B notes due
                                 2061                        $       18,170               3.72  %                31.90  %       $        5,796           $   5,796
                                 Trust certificates          $       46,722                  -  %                31.90  %       $       14,904           $  14,860

Ajax Mortgage Loan Trust         Class A notes due
2021-D/ May 2021                 2060                        $      191,468               2.00  %                 6.94  %       $       13,288           $  11,954
                                 Class B notes due
                                 2060                        $       25,529               4.00  %                20.00  %       $        5,106           $   5,106
                                 Trust certificates          $       38,293                  -  %                20.00  %       $        7,659           $   7,630

Ajax Mortgage Loan Trust         Class A notes due
2021-E/ July 2021(1)             2060                        $      430,760               1.82  % (3)            10.01  %       $       43,119           $  39,377
                                 Class M notes due
                                 2060(2)                     $       19,415               2.94  %                10.01  %       $        1,943           $   1,943
                                 Class B-1 and B-2
                                 notes due 2060              $       38,313               3.73  %                10.01  %       $        3,835           $   3,835
                                 Class B-3 notes due
                                 2060                        $       29,253               3.73  %                19.57  %       $        5,725           $   5,726
                                 Trust certificates          $      518,357                  -  %                19.57  %       $      101,471    (4)    $   4,334

Ajax Mortgage Loan Trust         Class A notes due
2021-F/ June 2021                2061                        $      476,082               1.88  %                12.60  %       $       59,986           $  54,424
                                 Class B notes due
                                 2061                        $       49,463               3.75  %                12.60  %       $        6,232           $   6,232
                                 Trust certificates          $       92,743                  -  %                12.60  %       $       11,686           $  11,670

Ajax Mortgage Loan Trust         Class A notes due
2021-G/ June 2021                2061                        $      317,573               1.88  %                 7.26  %       $       23,056           $  20,367
                                 Class B notes due
                                 2061                        $       32,995               3.75  %                20.00  %       $        6,599           $   6,413
                                 Trust certificates          $       61,864                  -  %                20.00  %       $       12,373           $  11,838

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




(1)Ajax Mortgage Loan Trust 2021-E ("2021-E") was formed on July 19, 2021 which
was subsequent to completing Ajax Mortgage Loan Trust 2021-F and 2021-G. The
trust intends to make an election to be taxed as a REMIC however the residual
class was placed with an unrelated third party.
(2)2021-E includes Class M notes.
(3)Weighted average of Class A notes.
(4)The trust certificate has no stated principal balance and is tied to the
unpaid balances of the underlying mortgage loans.

                                       72
--------------------------------------------------------------------------------

Contractual obligations

Our contractual obligations include obligations under repurchase agreements, our convertible senior notes, accrued interest on repurchase agreements and convertible senior notes and the obligation to sell 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 December 31,
2021, and December 31, 2020, our repurchase obligations totaled $546.1 million
and $421.1 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 convertible senior notes had outstanding principal balances of $104.6
million and $113.4 million at December 31, 2021 and December 31, 2020,
respectively. The notes will mature on April 30, 2024 unless earlier
repurchased, converted or redeemed. During certain periods and subject to
certain conditions the notes will be convertible by their holders into shares of
our common stock at a current conversion rate of 1.7279 shares of common stock
per $25.00 principal amount of the notes, which represents a conversion price of
approximately $14.47 per share of common stock. The conversion rate, and thus
the conversion price, may be subject to adjustment under certain circumstances.
(See "Convertible Senior Notes" above.)

Our accrued interest expense associated with our repurchase obligations at
December 31, 2021 and December 31, 2020, was $4.9 million and $3.3 million,
respectively, and the accrued interest on our convertible senior notes at
December 31, 2021 and December 31, 2020, was $19.3 million and $29.1 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
convertible senior notes is paid quarterly in arrears on January 15, April 15,
July 15 and October 15 of each year.

We have two series of five-year warrants outstanding which allow the holders to
purchase an aggregate of 6,500,000 shares of our common stock at an exercise
price of $10.00 per share. Each series of warrants includes a put option that
allows the holder to sell the warrants back to us at a specified put price on or
after July 06, 2023. We believe the most economically beneficial result for the
holders will be to exercise the put, which we expect to settle for $50.7
million.

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.

Inflation

Virtually all of our assets and liabilities are interest-rate sensitive in
nature. As a result, interest rates and other factors influence our performance
far more so than does inflation. Changes in interest rates do not necessarily
correlate with inflation rates or changes in inflation rates. Our activities and
consolidated balance sheet are measured with reference to historical cost and/or
fair market value without considering inflation. It is possible, however, that
inflation that is not accompanied by a corresponding wage increase could drive a
decrease in disposable household income and increase the credit risk of certain
borrowers.

Subsequent Events

Since the end of the year, we have acquired two residential RPLs with a total UPB of
$0.4 million in two transactions from two sellers. The RPLs were acquired at 89.0% of UPB and 57.9% of the estimated market value of the underlying collateral of $0.5 million.

We have also agreed to acquire, subject to due diligence, 23 residential RPLs
and 39 NPLs with aggregate UPB of $5.6 million and $7.4 million, respectively,
in five transactions and three transactions, respectively, from five sellers and
three sellers, respectively. The purchase price of the residential RPLs equals
98.3% of UPB and 39.7% of the estimated market value of the underlying
collateral value of $13.8 million. The purchase price of the NPLs equals 99.2%
of UPB and 49.9% of the estimated market value of the underlying collateral of
$14.7 million.

In January 2022, Gaea, an affiliated company in which we hold an interest,
completed a private capital raise through which it raised $30.0 million from the
issuance of 1,828,153 shares of common stock and warrants. The purchase price
per combined share and warrant was $16.41. Each warrant is exercisable for a
single share of common stock at an exercise price of $16.41 for 24 months
beginning on the date on which the shares of common stock are tradable on an
exchange. We acquired
                                       73
--------------------------------------------------------------------------------

371,103 shares and an equal number of warrants. At the closing of the private placement, our ownership in Gaea was approximately 22.2%.

On January 25, 2022, we the entered into an agreement to extend the interest
rate step-up dates for Ajax Mortgage Loan Trust 2018-D and Ajax Mortgage Loan
Trust 2018-G, both of which are joint ventures, from January 2022 to April 2022.

On February 22, 2022, the Board authorized an increase in the annual
compensation of our independent directors from $100,000 to $140,000, 50% of
which is payable in shares of our common stock and 50% in cash, and committee
heads will receive an increase of $5,000 payable in cash. The increases are
effective as of January 1, 2022. The value of the common stock is determined in
the same manner as the value of the common stock to be paid to our Manager as
part of its base management fee.

At March 3, 2022our board declared a dividend of $0.26 per share, to pay the March 31, 2022 to shareholders registered in March 18, 2022.

© Edgar Online, source Previews

About Mike Crayton

Check Also

7 On Your Side: The Best Money Moves to Deal With Rising Mortgage Rates

This week, 30-year fixed mortgage rates rose more than half a point to 5.78%, the …