XML 83 R29.htm IDEA: XBRL DOCUMENT v3.20.1
Debt (Tables)
3 Months Ended
Mar. 31, 2020
Debt Disclosure [Abstract]  
Schedule of details of repurchase agreement The following table sets forth the details of the Company’s repurchase transactions and facilities ($ in thousands):
March 31, 2020
Maturity DateOrigination dateMaximum
Borrowing
Capacity
Amount
Outstanding
Amount of
Collateral
Percentage of Collateral CoverageInterest Rate
April 2, 2020January 3, 2020$1,758  $1,758  $2,388  136 %2.96 %
April 2, 2020January 3, 20201,684  1,684  2,287  136 %2.96 %
April 13, 2020March 12, 202037,201  37,201  49,877  134 %2.46 %
April 13, 2020March 12, 20203,236  3,236  4,655  144 %2.56 %
April 22, 2020March 24, 202035,381  35,381  51,679  146 %5.00 %
April 27, 2020January 28, 20205,749  5,749  7,464  130 %3.00 %
April 27, 2020March 27, 20204,811  4,811  10,024  208 %3.71 %
April 27, 2020March 27, 20204,108  4,108  7,101  173 %3.71 %
April 27, 2020January 28, 20202,522  2,522  3,381  134 %2.80 %
April 27, 2020March 27, 20202,153  2,153  10,938  508 %3.86 %
June 3, 2020March 3, 202020,987  20,987  27,814  133 %3.11 %
June 3, 2020March 3, 202011,181  11,181  14,682  131 %3.11 %
June 3, 2020March 3, 202010,019  10,019  13,192  132 %3.11 %
June 3, 2020December 6, 20196,097  6,097  7,565  124 %3.64 %
June 3, 2020March 3, 20205,161  5,161  6,616  128 %3.11 %
June 3, 2020December 6, 20194,704  4,704  5,755  122 %3.64 %
June 3, 2020March 3, 20203,827  3,827  4,907  128 %3.11 %
June 3, 2020December 6, 20193,053  3,053  3,959  130 %3.64 %
June 3, 2020December 6, 20192,332  2,332  3,360  144 %3.79 %
June 3, 2020March 3, 20201,848  1,848  2,640  143 %3.21 %
June 3, 2020December 6, 20191,132  1,132  1,607  142 %3.79 %
June 19, 2020March 20, 202014,599  14,599  19,893  136 %6.22 %
June 19, 2020December 19, 201913,447  13,447  17,077  127 %3.55 %
June 19, 2020March 20, 20209,571  9,571  13,043  136 %6.22 %
June 19, 2020March 20, 20204,691  4,691  6,089  130 %6.22 %
June 19, 2020March 20, 20202,665  2,665  4,050  152 %6.72 %
June 19, 2020December 19, 20191,155  1,155  1,687  146 %3.70 %
June 26, 2020March 26, 202020,906  20,906  31,930  153 %9.23 %
June 30, 2020January 3, 20208,328  8,328  3,656  44 %3.56 %
June 30, 2020January 3, 20206,099  6,099  9,038  148 %3.56 %
June 30, 2020December 30, 20195,286  5,286  6,850  130 %3.57 %
June 30, 2020January 3, 20205,116  5,116  6,721  131 %3.56 %
June 30, 2020December 30, 20193,324  3,324  4,667  140 %3.72 %
July 10, 2020January 13, 20209,020  9,020  13,016  144 %3.67 %
July 31, 2020February 3, 20207,763  7,763  9,702  125 %3.56 %
July 31, 2020February 3, 20207,151  7,151  9,537  133 %3.56 %
July 10, 2020July 15, 2016250,000  30,141  44,217  147 %3.38 %
September 24, 2020September 25, 2019400,000  112,885  164,103  145 %3.11 %
Totals$938,065  $431,091  $607,167  141 %3.86 %
December 31, 2019
Maturity DateOrigination dateMaximum
Borrowing
Capacity
Amount
Outstanding
Amount of
Collateral
Percentage of Collateral CoverageInterest Rate
January 3, 2020November 26, 2019$8,411  $8,411  $11,098  132 %3.45 %
January 3, 2020November 26, 20196,093  6,093  9,038  148 %3.45 %
January 3, 2020November 26, 20195,175  5,175  6,855  132 %3.45 %
January 3, 2020December 2, 201911,966  11,966  15,742  132 %3.45 %
January 3, 2020December 2, 201910,648  10,648  14,058  132 %3.45 %
January 3, 2020December 2, 20195,485  5,485  7,050  129 %3.45 %
January 3, 2020December 2, 20194,096  4,096  5,261  128 %3.45 %
January 3, 2020December 2, 20191,644  1,644  2,388  145 %3.55 %
January 3, 2020December 2, 20191,576  1,576  2,287  145 %3.55 %
January 10, 2020December 11, 201921,088  21,088  28,284  134 %3.47 %
January 10, 2020December 11, 20191,808  1,808  2,640  146 %3.57 %
January 13, 2020July 11, 20198,956  8,956  13,016  145 %4.16 %
January 21, 2020December 20, 201915,718  15,718  20,623  131 %3.41 %
January 21, 2020December 20, 201910,305  10,305  13,521  131 %3.41 %
January 21, 2020December 20, 20195,840  5,840  7,324  125 %3.41 %
January 21, 2020December 20, 20192,784  2,784  4,050  145 %3.51 %
January 28, 2020October 30, 20195,318  5,318  7,464  140 %3.19 %
January 28, 2020October 30, 20192,520  2,520  3,381  134 %2.99 %
February 3, 2020August 1, 20197,568  7,568  9,702  128 %4.19 %
February 3, 2020August 1, 20196,664  6,664  9,537  143 %4.19 %
February 24, 2020November 26, 201941,412  41,412  54,828  132 %2.92 %
March 25, 2020September 25, 20197,075  7,075  10,024  142 %3.96 %
March 25, 2020September 25, 20195,851  5,851  7,423  127 %3.81 %
March 26, 2020September 26, 201927,075  27,075  34,591  128 %3.81 %
March 27, 2020September 27, 20192,915  2,915  3,709  127 %3.79 %
June 3, 2020December 6, 20196,097  6,097  7,891  129 %3.64 %
June 3, 2020December 6, 20194,704  4,704  6,106  130 %3.64 %
June 3, 2020December 6, 20193,053  3,053  4,035  132 %3.64 %
June 3, 2020December 6, 20192,332  2,332  3,360  144 %3.79 %
June 3, 2020December 6, 20191,132  1,132  1,607  142 %3.79 %
June 19, 2020December 19, 201913,447  13,447  18,076  134 %3.55 %
June 19, 2020December 19, 20191,155  1,155  1,687  146 %3.70 %
June 30, 2020December 30, 20195,286  5,286  7,044  133 %3.57 %
June 30, 2020December 30, 20193,324  3,324  4,667  140 %3.72 %
July 10, 2020July 15, 2016250,000  28,931  57,397  198 %4.28 %
September 24, 2020September 25, 2019400,000  116,662  164,403  141 %4.24 %
Totals$918,521  $414,114  $580,167  140 %3.77 %
Schedule of amount outstanding on repurchase transactions and carrying value collateral The amount outstanding on the Company’s repurchase facilities and the carrying value of the Company’s loans pledged as collateral are presented as gross amounts in the Company’s consolidated balance sheets at March 31, 2020 and December 31, 2019 in the table below ($ in thousands):
Gross amounts not offset in balance sheet
March 31, 2020December 31, 2019
Gross amount of recognized liabilities $431,091  $414,114  
Gross amount of loans and securities pledged as collateral607,167  580,167  
Other prepaid collateral32,360  4,117  
Net collateral amount$143,716  $161,936  
Schedule of securitization of notes
The following table sets forth the original terms of all notes from our secured borrowings outstanding at March 31, 2020 at their respective cutoff dates:

Issuing Trust/Issue DateInterest Rate Step-up DateSecurityOriginal PrincipalInterest Rate
Ajax Mortgage Loan Trust 2017-B/ December 2017NoneClass A notes due 2056$115.8 million  3.16 %
None
Class M-1 notes due 2056(3)
$9.7 million  3.50 %
None
Class M-2 notes due 2056(3)
$9.5 million  3.50 %
None
Class B-1 notes due 2056(1)
$9.0 million  3.75 %
None
Class B-2 notes due 2056(1)
$7.5 million  3.75 %
Trust certificates(2)
$14.3 million  — %
Deferred issuance costs$(1.8) million — %
Ajax Mortgage Loan Trust 2017-C/ November 2017November 25, 2021Class A notes due 2060$130.2 million  3.75 %
May 25, 2022
Class B-1 notes due 2060(1)
$13.0 million  5.25 %
Trust certificates(2)
$42.8 million  — %
Deferred issuance costs$(1.7) million — %
Ajax Mortgage Loan Trust 2017-D/ December 2017April 25, 2021
Class A notes due 2057(4)
$177.8 million  3.75 %
None
Class B certificates(4)
$44.5 million  — %
Deferred issuance costs$(1.1) million — %
Ajax Mortgage Loan Trust 2018-C/ September 2018October 25, 2021
Class A notes due 2065(5)
$170.5 million  4.36 %
April 25, 2022
Class B notes due 2065(5)
$15.9 million  5.25 %
Trust certificates(5)
$40.9 million  — %
Deferred issuance costs$(2.0) million — %
Ajax Mortgage Loan Trust 2019-D/ July 2019NoneClass A-1 notes due 2065$140.4 million  2.96 %
NoneClass A-2 notes due 2065$6.1 million  3.50 %
NoneClass A-3 notes due 2065$10.1 million  3.50 %
None
Class M-1 notes due 2065(3)
$9.3 million  3.50 %
None
Class B-1 notes due 2065(6)
$7.5 million  3.50 %
None
Class B-2 notes due 2065(6)
$7.1 million  
variable(7)
None
Class B-3 notes due 2065(6)
$12.8 million  
variable(7)
Deferred issuance costs$(2.7) million — %
Ajax Mortgage Loan Trust 2019-F/ November 2019NoneClass A-1 notes due 2059$110.1 million  2.86 %
NoneClass A-2 notes due 2059$12.5 million  3.50 %
NoneClass A-3 notes due 2059$5.1 million  3.50 %
None
Class M-1 notes due 2059(1)
$6.1 million  3.50 %
None
Class B-1 notes due 2059(6)
$11.5 million  3.50 %
None
Class B-2 notes due 2059(6)
$10.4 million  
variable(7)
None
Class B-3 notes due 2059(6)
$15.1 million  
variable(7)
Deferred issuance costs$(1.8) million — %

(1)The Class B notes are subordinate, sequential pay, fixed rate notes with Class B-2 notes subordinate to the Class B-1 notes. The Company has retained the Class B notes.​
(2)The trust certificates issued by the trusts and the beneficial ownership of the trusts are retained by Great Ajax Funding LLC as the depositor. As the holder of the trust certificates, the Company is entitled to receive any remaining amounts in the trusts after the Class A notes, Class M notes, where present, and Class B notes have been paid in full.
(3)The Class M notes are subordinate, sequential pay, fixed rate notes with Class M-2 notes subordinate to the Class M-1 notes. The Company has retained the Class M notes.
(4)Ajax Mortgage Loan Trust ("AJAXM") 2017-D is a joint venture in which a third party owns 50% of the Class A notes and 50% of the Class B certificates. The Company is required to consolidate 2017-D under GAAP and is reflecting 100% of the mortgage loans, in Mortgage loans, net. 50% of the Class A notes, which are held by the third party, are included in Secured borrowings, net. The 50% portion of the Class A notes retained by the Company have been encumbered under a repurchase agreement. 50% of the Class B certificates are recognized as Non-controlling interest.
(5)AJAXM 2018-C is a joint venture in which a third party owns 95% of the Class A notes and 37% of the Class B notes and certificates. The Company is required to consolidate 2018-C under GAAP and is reflecting 100% of the mortgage loans, in Mortgage loans, net. 95% of the Class A notes and 37% of the Class B notes, which are held by the third party, are included in Secured borrowings, net. The 5% portion of the Class A notes retained by the Company have been encumbered under the repurchase agreement. 37% of the Class C certificates are recognized as Non-controlling interest.
(6)The Class B notes are subordinate, 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. The Company has retained the Class B notes.
(7)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.
Schedule of status of mortgage loans The following table sets forth the status of the notes held by others at March 31, 2020 and December 31, 2019, and the securitization cutoff date ($ in thousands):
Balances at March 31, 2020Balances at December 31, 2019Original balances at
securitization cutoff date
Class of NotesCarrying value of mortgagesBond principal balancePercentage of collateral coverageCarrying value of mortgagesBond principal balancePercentage of collateral coverageMortgage UPBBond principal balance
2017-B$120,075  $80,325  149 %$121,909  $84,624  144 %$165,850  $115,846  
2017-C136,177  91,159  149 %137,369  94,126  146 %185,942  130,159  
2017-D140,364  57,434  (1) 244 %148,119  60,934  (1) 243 %203,870  (2) 88,903  
2018-C176,116  140,815  (3) 125 %179,303  146,925  (3) 122 %222,181  (4) 167,910  
2019-D161,705  142,980  113 %165,963  146,383  113 %193,301  156,670  
2019-F153,793  124,403  124 %155,899  126,723  123 %170,876  127,673  
$888,230  $637,116  (5) 139 %$908,562  $659,715  (5) 138 %$1,142,020  $787,161  
(1)The gross amount of senior bonds at March 31, 2020 and December 31, 2019 were $114.9 million and $121.9 million however, only $57.4 million and $60.9 million are reflected in Secured borrowings as the remainder is owned by the Company, respectively.
(2)Includes $26.7 million of cash collateral intended for use in the acquisition of additional mortgage loans.
(3)2018-C contains notes held by the third party institutional investors for senior bonds and class B bonds. The gross amount of the senior and class B bonds at March 31, 2020 were $142.0 million and $15.9 million, however, only $134.9 million and $5.9 million are reflected in Secured borrowings as the remainder is owned by the Company, respectively. The gross amount of the senior and class B bonds at December 31, 2019 were $148.5 million and $15.9 million, however, only $141.0 million and $5.9 million are reflected in Secured borrowings as the remainder is owned by the Company, respectively.
(4)Includes $45.5 million of cash collateral intended for use in the acquisition of additional mortgage loans.
(5)This represents the gross amount of Secured borrowings and excludes the impact of deferred issuance costs of $6.2 million and $7.0 million as of March 31, 2020 and December 31, 2019.