UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-K

FOR ANNUAL AND TRANSITION REPORTS PURSUANT TO SECTIONS 13 OR 15(d) OF THE

SECURITIES EXCHANGE ACT OF 1934

(Mark One)

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

For the fiscal year ended December 31, 2021

OR

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

    For the transition period from                  to                 

001-36844

(Commission file number)

GREAT AJAX CORP.

(Exact name of registrant as specified in its charter)

Maryland	47-1271842
State or other jurisdiction of incorporation or organization	(I.R.S. Employer Identification No.)

13190 SW 68th Parkway, Suite 110

Tigard, OR 97223

(Address of principal executive offices and Zip Code)

503-505-5670

Registrant’s telephone number, including area code

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

Title of each class	Trading Symbols	Name of each exchange on which registered
Common stock, par value $0.01 per share	AJX	New York Stock Exchange
7.25% Convertible Senior Notes due 2024	AJXA	New York Stock Exchange

Securities registered pursuant to Section 12(g) of the Act: None

Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act.  Yes☐ No☒

Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act.  Yes☐ No☒

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

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).  Yes☒ No☐

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

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

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

Indicate by check mark whether the registrant has filed a report on and attestation to its management’s assessment of the effectiveness of its internal control over financial reporting under Section 404(b) of the Sarbanes-Oxley Act (15 U.S.C. 7262(b)) by the registered public accounting firm that prepared or issued its audit report. Yes☒ No☐

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

The aggregate market value of the shares of common stock held by non-affiliates of the registrant as of June 30, 2021 (the last business day of the registrant’s most recently completed second fiscal quarter) was approximately $280,575,369 based on the price per share of $12.98, the closing price on June 30, 2021.

As of March 2, 2022, 23,149,282 shares of the registrant’s common stock, par value $0.01 per share, were outstanding.

DOCUMENTS INCORPORATED BY REFERENCE

Portions of the registrant’s Definitive Proxy Statement with respect to its 2022 Annual Meeting of Stockholders are incorporated by reference into this Annual Report on Form 10-K in response to Part III, Items 10, 11, 12, 13 and 14.

TABLE OF CONTENTS

PART I
Cautionary Statement Regarding Forward-Looking Statements		1
Summary Risk Factors		2
Item 1.	Business	3
Item 1A.	Risk Factors	15
Item 1B.	Unresolved Staff Comments	42
Item 2.	Properties	42
Item 3.	Legal Proceedings	42
Item 4.	Mine Safety Disclosures	42
PART II
Item 5.	Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities	43
Item 6.	[Reserved]	45
Item 7.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	45
Item 7A.	Quantitative and Qualitative Disclosures about Market Risk	74
Item 8.	Consolidated Financial Statements and Supplementary Data	75
Item 9.	Changes in and Disagreements with Accountants on Accounting and Financial Disclosure	75
Item 9A.	Controls and Procedures	75
Item 9B.	Other Information	76
Item 9C.	Disclosure Regarding Foreign Jurisdictions that Prevent Inspections	76
PART III
Item 10.	Directors, Executive Officers and Corporate Governance	77
Item 11.	Executive Compensation	77
Item 12.	Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters	77
Item 13.	Certain Relationships and Related Transactions, and Director Independence	77
Item 14.	Principal Accountant Fees and Services	77
PART IV
Item 15.	Exhibits and Consolidated Financial Statement Schedules	77
Item 16.	Form 10-K Summary	80

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

PART I

CAUTIONARY STATEMENT REGARDING FORWARD-LOOKING STATEMENTS

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

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

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

•changes in our business strategy;

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

•general volatility of the capital markets;

•the impact of adverse legislative or regulatory tax changes;

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

•our ability to implement our business strategy;

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

•our ability to compete with our competitors;

•our ability to control our costs;

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

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

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

•our ability to retain our engagement of our Manager;

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

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

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

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

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Summary Risk Factors

The following is a summary of the principal risks that you should carefully consider before investing in shares of our common stock. See the detailed Risk Factors, beginning on page 15 of this document, for a more detailed discussion.

•If COVID-19, one of its variants, or another highly infectious or contagious disease, continues to spread or the response to contain it is unsuccessful, we could experience material adverse effects on our business, financial condition, liquidity, and results of operations.

•A significant portion of the residential mortgage loans that we acquire are, or may become, sub-performing or non-performing loans, which could increase our risk of loss.

•The supply of re-performing, sub-performing and non-performing loans may decline over time as a result of higher credit standards for new loans and/or general economic improvement, and the prices for re-performing, sub-performing and non-performing loans may increase, which could materially and adversely affect us.

•We may be materially and adversely affected by risks affecting borrowers or the single-family rental properties in which our investments may be concentrated at any given time, as well as from unfavorable changes in the related geographic regions.

•Recent changes in consumer mortgage loan regulations may make it more difficult for borrowers to refinance our purchased mortgage loans.

•A significant change in delinquencies for the loans we own could adversely affect our business, financial condition and results of operations.

•Market conditions and other factors may affect our ability to securitize assets, which could increase our financing costs and adversely affect our results of operations and ability to make distributions.

•Prepayment rates can change, adversely affecting the performance of our assets and our ability to reinvest the proceeds thereof.

•The real estate assets and real estate-related assets we invest in are subject to the risks associated with real property.

•An increase in interest rates may cause a decrease in the amount of certain of our target assets that are available for acquisition, which could adversely affect our ability to acquire target assets that satisfy our investment objectives and to generate income and pay dividends.

•The principal and interest payments on our retained mortgage-backed securities (“MBS”) are not guaranteed by any entity and, therefore, are subject to increased risks, including credit risk.

•The Servicer’s operations are heavily regulated at the U.S. federal, state and local levels and its failure to comply with applicable regulations could materially adversely affect our expenses and results of operations, and there is no assurance that we could replace the Servicer with servicers that satisfy our requirements or with whom we could enter into agreements on satisfactory terms.

•The failure of the Servicer to service our assets effectively would materially and adversely affect us.

•We may incur significant costs in restoring our properties, and we may underestimate the costs or amount of time necessary to complete such restorations.

•We may change our investment strategy, investment guidelines and asset allocation without notice or stockholder consent, which may result in riskier investments. In addition, our charter provides that our board of directors may authorize us not to seek to elect to be taxed as a REIT or to revoke or otherwise terminate our REIT election without the approval of our stockholders.

•Our inability to compete effectively in a highly competitive market could adversely affect our ability to implement our business strategy.

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•Our ability to make distributions to our stockholders will depend on our operating results, our financial condition and other factors and we may not be able to make regular cash distributions at a fixed rate or at all under certain circumstances.

•We use leverage in executing our business strategy, which may adversely affect the return on our assets and may reduce cash available for distribution to our stockholders and increase losses when economic conditions are unfavorable.

•Hedging against interest rate changes and other risks may materially adversely affect our business, financial condition and results of operations and our ability to make distributions to our stockholders. We operate in a highly regulated industry and continually changing U.S. federal, state and local laws and regulation could materially adversely affect our business, financial condition and results of operations and our ability to pay dividends to our stockholders.

•We have conflicts of interest with our Manager, the Servicer and Aspen, and certain members of our board of directors, as well as our management team, have, or could have in the future, conflicts of interest due to their respective relationships with these entities, and such conflicts could be resolved in a manner adverse to us.

•Our board of directors has approved a very broad investment policy and guidelines for our Manager and will not review or approve each investment decision. We may change our investment policy and guidelines without stockholder consent, which may materially and adversely affect the market price of our common stock and our ability to make distributions to our stockholders.

•Maintenance of our exclusion from regulation as an investment company under the Investment Company Act imposes significant limitations on our operations.

•Our charter generally does not permit ownership in excess of 9.8% of any class or series of our stock, and attempts to acquire our stock in excess of the stock ownership limit will be ineffective unless an exemption is granted by our board of directors. These provisions may restrict change of control or business combination opportunities in which our stockholders might receive a premium for their shares of common stock.

•Uncertainty about the future of the London Interbank Offered Rate (“LIBOR”) may adversely affect our business and financial results.

•Failure to qualify as a REIT would subject us to U.S. federal, state and local income taxes, which could adversely affect the value of shares of our common stock and would substantially reduce the cash available for distribution to our stockholders.

•The taxable mortgage pool, or (“TMP”), rules may increase the taxes that we, or certain of our stockholders, may incur and may limit the manner in which we effect future securitizations.

•Failure to comply with the tax regulations with respect to GA-TRS LLC ("GA-TRS") and GAJX Real Estate Corp. and any other taxable REIT subsidiary (“TRS”) that we form would jeopardize our REIT status and may result in the application of a 100% excise tax.

•Changes to U.S. federal income tax laws could materially and adversely affect us and our stockholders.

Item 1. Business

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

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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 TRS under the Internal Revenue Code of 1986, as amended (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 real estate owned properties (“REO”) 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 variable interest entities (“VIEs”), and we have determined that we are the primary beneficiary of the VIEs.

In 2018, we formed Gaea Real Estate Corp. (“Gaea”), as a wholly owned subsidiary of the Operating Partnership. 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.

Strategy

We are continuing the opportunistic strategy developed by our Manager’s management team in a REIT structure that we believe provides us access to capital and allows us to compete for more significant investment opportunities in the evolving mortgage markets. This strategy enables us to generate attractive current yields and risk-adjusted total returns for our stockholders. We intend to continue to distribute substantially all of our REIT taxable income to our stockholders in accordance with applicable REIT qualification requirements. Our strategy consists of:

•constructing and owning a portfolio of residential RPLs and SBC loans at discounts to the unpaid principal balance (“UPB”) and significant discounts to underlying property values;

•expanding our acquisitions of RPLs, SBC loans, and limited acquisitions of NPLs through joint ventures;

•constructing concentrations of investments in geographic areas, cities and neighborhoods with certain demographic and economic trends and attributes;

•working, through our Servicer, to (1) support the continued performance of RPLs; (2) convert a portion of our NPLs to performing status; (3) determine the optimal loss mitigation strategy on an asset-by-asset basis; and (4) manage the process and timelines for converting NPLs to REO held-for-sale;

•when economically efficient, securitizing our RPL portfolio to create long-term, fixed rate, non-recourse financing, while retaining one or more tranches of any subordinated securities we may create;

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•opportunistically mitigating our interest rate and prepayment risk, including, potentially, through the use of a variety of hedging instruments; and

•working through joint ventures with third party investors to acquire pools of mortgage loans and other mortgage related assets, which may create value additive opportunities for us, our Manager (an affiliated entity), and our Servicer (an affiliated entity). Depending upon the needs, liquidity and risk profiles of our third party investors, the criteria for asset acquisitions by our joint ventures may differ somewhat from the criteria we would use for asset acquisitions intended exclusively for our own portfolio.

We believe that purchasing RPLs at a discount to UPB and a significant discount to underlying property values, as well as working, through our Servicer, to support continuing or new payments by borrowers, allows us to achieve our targeted returns. However, if actual results differ from our assumptions, particularly if the value of the underlying properties were to decrease significantly, we may not achieve our targeted returns.

We price each loan pool we acquire on a loan-by-loan basis and focus on acquiring loans with the underlying property located in or in close proximity to specific urban centers where we believe that home price appreciation (“HPA”) will outpace the national market. We use proprietary models to predict probabilistic future cash flows for each loan and generate cash flow projections. Factors affecting our cash flow projections include resolution method, resolution timeline, foreclosure costs, rehabilitation costs and eviction costs. Some of the variables used are the specific location of the underlying property, loan-to-value ratio, property age and condition, change and rate of change of borrower credit rating, servicing notes, interest rate, monthly payment amount and neighborhood rents. For loan pool acquisitions, we target a 5% and above return on RPLs, including SBC loans, and a 7% and above return on NPLs, without taking into account or giving effect to any borrowings, which we refer to as an unlevered return. We analyze each RPL for re-default probability, loan-to-value ratio, interest rate and structure of the loan and the likely resolution method in the event the loan stops performing. Each RPL is analyzed through both a performing and non-performing path.

While we expect to purchase loans and real properties nationwide, we target specific urban centers (including densely populated suburbs) where we believe that an increasing number of families and young professionals prefer to live in areas that are in close proximity to employment centers, public transportation and retail and other amenities that are typically more common in such areas, creating liquidity and predictability, which we believe, provides greater potential for HPA. By focusing on urban centers and targeted densely populated suburbs we are able to more efficiently manage our portfolio and scale our Servicer's high-touch loan servicing platform. Our Manager has compiled data that suggests that HPA can vary significantly from neighborhood to neighborhood even within the same city. Our Manager’s proprietary analytics include inputs for economic and demographic data that includes unemployment rates, housing starts, crime rates, education, electoral participation and other variables that we believe closely correlate to property values. These analytics help us determine cities, neighborhoods and properties that we believe will experience HPA.

We seek to build concentrations of loans and real properties in certain markets. These markets include, but are not limited to, Phoenix, Arizona; Los Angeles and San Diego, California; Miami, Ft. Lauderdale, West Palm Beach, Orlando and Tampa, Florida; Atlanta, Georgia; New York and New Jersey metropolitan area; Charlotte, North Carolina; Houston and Dallas, Texas; Portland, Oregon; and Maryland and Virginia near Washington, DC. In addition to its experienced servicing staff, our Servicer has contracted with local experts in areas where it services a significant number of loans that provide local area market intelligence, monitor properties and can manage rehabilitation projects for REO properties. We believe having affiliated local experts and a centralized management team provides us a competitive advantage and leads to more informed decision-making and better execution.

The following provides further detail as to our RPL and SBC loan acquisition strategy:

•We purchase RPLs at a discount from UPB and a significant discount to underlying property value, but the borrower is required to pay interest on the full UPB, leading to a higher current yield. The borrower is also responsible for property taxes, insurance and maintenance, which are all costs that the owner of a REO would otherwise have to pay. In addition, to the extent that the UPB exceeds the home’s or commercial property’s value, the lender will benefit from all price appreciation, net of carrying and liquidation costs, until such time as the price exceeds the UPB plus any arrearages and expenses. While the return to the mortgage loan owner is thus capped, there is also risk mitigation if the REO value decreases, until the value is less than the price the lender paid for the loan.

•If an RPL becomes an NPL, we, through the Servicer, have a number of ways to mitigate our loss. These loss mitigation techniques include working with the borrower to achieve performance, including through modification of the mortgage loan terms as well as short sale, assisted deed-in-lieu of foreclosure, assisted deed-for-lease, foreclosure and other loss mitigation activities.

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•We believe that under most market conditions we are generally able to purchase mortgage loans at lower prices than single-family REO properties because sellers of such loans are able to avoid paying the costs typically associated with sales of real estate, whether single-family residences or smaller commercial properties, such as broker commissions and closing costs of up to 10% of gross proceeds of the sale. We believe this motivates sellers to accept lower prices for the RPLs than they would if selling REO directly.

Our comprehensive loan and property history database and data tracking lead to a deep understanding of our markets. This understanding, coupled with our long-term relationships with loan sellers, we believe allows us to purchase loans at a discount to UPB and a significant discount to current property values. Our database contains foreclosure timelines on an individual county basis and in some instances, also on an individual judge basis. In addition to resolution timeline data, we track data by state, Metropolitan Statistical Area (“MSA”) and zip code regarding crime rates, education, electoral participation and other variables that we believe closely correlate with property values.

Our strategy is adaptable to changing market environments, subject to compliance with the income and other tests, which allows us to continue to qualify and maintain our qualification as a REIT for U.S. federal income tax purposes and to maintain our exclusion from regulation as an investment company under the Investment Company Act. As a result, our acquisition and management decisions depend on prevailing market conditions, and our targeted investments may vary over time in response to market conditions. We may change our strategy and policies without a vote of our stockholders. Moreover, although our independent directors will periodically review our investment guidelines and our portfolio, they generally will not review particular proposed asset acquisitions or asset management decisions. See “— Investment Guidelines.”

Our Portfolio

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

	As of December 31,
Our portfolio at year end:	2021		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 mortgage loans and, through our Servicer, work with our borrowers to improve their payment records.

Investment Process

We value our portfolio on a loan-by-loan and property-by-property basis. Purchase prices generally are at a discount to UPB and a significant discount to current property value, based in part on up to two unaffiliated broker price opinions (“BPOs”) for every property. Employees and agents of our Manager periodically view the exteriors of properties prior to completion of due diligence and the information from such visits is incorporated into final loan pricing negotiations with the sellers.

We estimate our resolution timelines using a combination of proprietary data, modeling and historical trends. Our analysis of the resolution or foreclosure timeline for a mortgage loan is based on its history to date with added time cushion. We have developed a robust database of foreclosure timelines on an individual county basis and, in some instances, on an individual judge basis. We also use statistical models to determine the expected modification success probability and the expected short sale success probabilities. We have an extensive due diligence process to validate data consistency, accuracy and compliance and to perform document and third-party lien reviews on all loan files.

The most important factors in analyzing RPLs are the level and duration of continued re-performance, the potential for HPA, prevailing interest rates, the potential for economic growth and the availability of financing for the borrower. The analysis of all mortgage loan and REO acquisitions is also affected by the supply of existing housing and rate of housing starts

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as higher construction costs, particularly if replacement cost is greater than market price, can slow the rate of starts and new housing inventory and lead to rising rental rates relative to mortgage payments. We evaluate geographic location priorities based on many different factors and data, including, but not limited to, employment rates and the local mismatch between employment rates and housing supply, demographic shifts, cost of new construction, social services, education, crime and voting participation rates.

The following graphic outlines the process the Manager generally uses for assessing RPL and NPL portfolio purchase opportunities:

Investment Guidelines

All of our investment activities are conducted by our Manager on our behalf pursuant to the Third Amended and Restated Management Agreement with the Manager, which expires March 5, 2034 (the “Management Agreement”). Our principal objective is to generate attractive risk-adjusted returns for our stockholders over the long-term through dividends and capital appreciation.

Our board of directors (“Board of Directors”) has adopted an investment policy designed to facilitate the management of our capital and assets and the maintenance of an investment portfolio profile that meets our objectives. The investment policy will help the Board of Directors oversee our efforts to achieve a return on assets consistent with our business objectives and to maintain adequate liquidity to meet any financial covenants and regular cash requirements.

Any purchase of RPLs, SBC loans or real property is analyzed by the portfolio acquisition group. Our Manager may, without a vote of our stockholders, consider any investment consistent with our investment policy. We may also acquire single-family homes, smaller multi-family residential properties, smaller mixed use retail/residential/office properties and smaller commercial properties either upon foreclosure or other settlement of our owned NPLs or in the market and generally sell such property.

Our Manager is authorized to finance our investment positions through repurchase agreements, secured debt and other financing arrangements, provided such agreements are negotiated with counterparties approved by the investment committee. Our Manager believes it is critical to structure any financing facilities to significantly limit the risk to our business from falling collateral values and margin calls. We fund many of our asset acquisitions with non-recourse securitizations in which the underlying collateral is not marked to market and employ repurchase agreements without the obligation to mark to market the

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underlying collateral to the extent available. We may also hedge our interest rate exposure on our financing activities through the use of interest rate swaps, forwards, futures and options, subject to prior approval from the investment committee, though no such hedges are currently in use. We also acquire loans and other real estate assets through joint ventures.

Our Board of Directors has adopted the following additional investment guidelines:

•investments and acquisitions that exceed 15% of our equity from time to time must be approved by the Investment Supervisory Committee of our Board of Directors;

•no investment shall be made that would cause us to fail to qualify as a REIT for U.S. federal income tax purposes;

•no investment shall be made that would cause us to be regulated as an investment company under the Investment Company Act;

•our assets will be invested within our target assets, as described above; and

•until appropriate investments can be identified, we may pay off short-term debt or invest the proceeds of any offering in interest-bearing, short-term investments, including funds that are consistent with qualifying and maintaining our qualification as a REIT.

Our investment policy and guidelines may be changed from time to time by our Board of Directors without the approval of our stockholders.

Broad Investment Policy Risks

Our investment policy is very broad and, therefore, our Manager has great latitude in determining the types of assets that are appropriate investments for us, as well as the individual investment decisions. In the future, our Manager may make investments on our behalf with lower rates of return than those anticipated under current market conditions and/or may make investments with greater risks to achieve those anticipated returns. Our Board of Directors periodically reviews our investment policy and guidelines and our investment portfolio but does not review or approve each proposed investment by our Manager unless it falls outside our previously approved investment policy or constitutes a related party transaction. In conducting periodic reviews, our Board of Directors relies primarily on information provided to it by our Manager. Transactions entered into by our Manager may be costly, difficult or impossible to unwind by the time they are reviewed by our Board of Directors.

In addition, we may change our business strategy and investment policy and targeted asset classes at any time without the consent of our stockholders, and this could result in our making investments that are different in type from, and possibly riskier, than our current investments or the investments currently contemplated. Changes in our investment strategy and investment policy and targeted asset classes may increase our exposure to interest rate risk, counterparty risk, default risk and real estate market fluctuations, which could materially and adversely affect us.

Policies with Respect to Certain Transactions

Other than (i) transactions in which our Servicer is the holder of record because we or our subsidiaries may not hold the necessary license to hold those assets directly, but where we are the beneficial owner of at least 95% of the participation rights in those assets, or (ii) as approved by a majority of the independent members of our Board of Directors, we generally will not purchase portfolio assets from, or sell them to, our directors or officers or to our Manager, Aspen or any of their affiliates or engage in any transaction in which they have a direct or indirect pecuniary interest, including in connection with the securitization of any of our mortgage loan assets (other than our agreements with our Manager, the Servicer and Aspen described in more detail herein) without the consent of the Investment Supervisory Committee of the Board of Directors.

Policies with Respect to Certain Other Activities

We intend to raise additional funds through future offerings of equity or debt securities or the retention of cash flow (subject to REIT distribution requirements) or a combination of these methods. In the event that our Board of Directors determines to raise additional equity capital, it has the authority, without stockholder approval, to issue additional common stock or preferred stock in any manner and on such terms and for such consideration as it deems appropriate, at any time, subject to compliance with applicable regulatory requirements.

In addition, we expect to borrow money to finance or refinance the acquisition of RPLs, SBC loans and REO and for general corporate purposes, and we may borrow to finance the payment of dividends. Our investment policy, the assets in our portfolio, the decision to use leverage and the appropriate level of leverage will be based on our Manager’s assessment of a variety of factors, including our historical and projected financial condition, liquidity and results of operations, financing covenants, the cash flow generation capability of assets, the availability of credit on favorable terms, our outlook for borrowing

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costs relative to the unlevered yields on our assets, our intention to qualify and maintain our qualification as a REIT and exemption from the Investment Company Act, applicable law, and other factors, as our Board of Directors may deem relevant from time to time. Our decision to use leverage is at our Manager’s discretion and is not subject to the approval of our stockholders. We are not restricted by our governing documents in the amount of leverage that we may use.

We may also invest in the securities of other REITs, other entities engaged in real estate activities or securities of other issuers for the purpose of exercising control over such entities or with the intention of realizing short-term or long-term gains. We do not intend that our investments in securities will require us to register as an investment company under the Investment Company Act, and we would intend to divest such securities before any such registration would be required. We do not intend to underwrite securities of other issuers. We finance our assets with what we believe to be a prudent amount of leverage, which will vary from time to time based upon the particular characteristics of our portfolio, availability of financing and market conditions. We have funded and intend to continue to fund our asset acquisitions with non-recourse securitizations 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. Our repurchase agreements include terms ranging from a maximum borrowing base of 85% of market value to 70% of purchase price, not to exceed 65% of property value. See “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations — Liquidity and Capital Resources” for a description of our securitizations, our repurchase financing facility and any other outstanding indebtedness.

In a repurchase agreement, we sell an asset to a counterparty at a discounted value, or the loan amount, and simultaneously agree to repurchase the same asset from such counterparty at a price equal to the loan amount plus interests. Despite being legally structured as sales and subsequent repurchases, repurchase agreements are generally accounted for as debt secured by the underlying assets. During the term of a repurchase agreement, we generally receive the income and other payments distributed with respect to the underlying assets, and pay interest to the counterparty. While the proceeds of our repurchase agreement financings are often used to purchase additional assets subject to the same repurchase agreement, our financing arrangements are not expected to restrict our ability to use proceeds from these arrangements to support our other liquidity needs. Our repurchase agreement arrangements are typically documented under the standard form master repurchase agreement of the Securities Industry and Financial Markets Association, with the ability for both parties to request margin. Given daily market volatility, we and our repurchase agreement counterparties are required to post additional margin collateral to each other from time to time as part of the normal course of our business. Our repurchase agreement financing counterparties generally have the right to determine the value of the underlying collateral for purposes of determining the amount of margin, subject to the terms and conditions of our agreement with the counterparty, including, in certain cases, our right to dispute the counterparty’s valuation determination.

We may utilize other types of borrowings in the future, including, but not limited to, debt financing through bank credit facilities, warehouse lines of credit and structured financing arrangements, among others. We may also seek to raise additional capital through public or private offerings of debt or equity securities, depending upon market conditions. However, there can be no assurance as to how much additional financing capacity such efforts will produce, what form the financing will take or that such efforts will be successful. If we are unable to expand our sources of financing, our business, financial condition, liquidity and results of operations may be materially and adversely affected.

Our use of leverage, especially in order to increase the amount of assets supported by our capital base, may have the effect of increasing losses when these assets underperform. Our charter, bylaws and investment policies require no minimum or maximum leverage and our Investment Supervisory Committee has the discretion, subject to the oversight of our Board of Directors, to change both our overall leverage and the leverage used for individual asset classes. Because our strategy is flexible, dynamic and opportunistic, our overall leverage will vary over time and our Board of Directors believes it is appropriate to apply higher leverage to higher quality assets.

We currently do not hedge the risk associated with the mortgage loans and real estate underlying our portfolios. However, we may undertake risk mitigation activities with respect to our debt financing interest rate obligations. We expect that our debt financing may at times be based on a floating rate of interest calculated on a fixed spread over the relevant index, as determined by the particular financing arrangement. A significantly rising interest rate environment could have an adverse effect on the cost of our financing. To mitigate this risk, we may use derivative financial instruments such as interest rate swaps and interest rate options in an effort to reduce the variability of earnings caused by changes in the interest rates we pay on our debt, subject to our maintaining compliance with the terms of the no-action letter so that we are not treated as a commodity pool operator for purposes of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”). See “— Operating and Regulatory Structure — Commodity Pool Operator Exemption.”

These derivative transactions will be entered into solely for risk management purposes, not for investment purposes. When undertaken, these derivative instruments likely will expose us to certain risks such as price and interest rate fluctuations,

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timing risk, volatility risk, credit risk, counterparty risk and changes in the liquidity of markets. Therefore, although we expect to transact in these derivative instruments purely for risk management, they may not adequately protect us from fluctuations in our financing interest rate obligations. No such derivative instruments are currently in use.

The Management Agreement

We have 19.8% ownership in our Manager. Under the Management Agreement, the Manager implements our business strategy and manages our business and investment activities and day-to-day operations, subject to oversight by our Board of Directors. Among other services, the Manager, directly or through affiliates, provides us with a management team and necessary administrative and support personnel. Additionally, we pay directly for services related to internal audit, a function that reports to the Audit Committee of the Board of Directors. We do not currently have any employees paid directly by us and do not expect to have any other employees that are paid directly by us in the foreseeable future. Each of our executive officers is an employee or officer, or both, of the Manager and/or the Servicer.

Under the Management Agreement, we pay both a base management fee and an incentive fee to the Manager.

The base management fee equals 1.5% of our stockholders’ equity per annum, including equity equivalents such as our convertible senior notes, and is calculated and payable quarterly in arrears. We have the option to pay the management fee between 50% to 100% cash at our discretion, and pay the remainder in shares of our common stock. For purposes of calculating the management fee, our stockholders’ equity means: the sum of (i) the net proceeds from any issuances of common stock or other equity securities we or the Operating Partnership have issued (without double counting) since inception (allocated on a pro rata daily basis for such issuances during the fiscal quarter of any such issuance), and (ii) our and our Operating Partnership’s (without double counting) retained earnings calculated in accordance with accounting principles generally accepted in the United States (“U.S. GAAP”) at the end of the most recently completed fiscal quarter (without taking into account any non-cash equity compensation expense incurred in current or prior periods), less (A) any amount that we or our Operating Partnership pays to repurchase shares of common stock since inception, (B) any unrealized gains and losses and other non-cash items that have affected consolidated stockholders’ equity as reported in our consolidated financial statements prepared in accordance with U.S. GAAP, and (C) one-time events pursuant to changes in U.S. GAAP, and certain non-cash items not otherwise described above, in each case after discussions between the Manager and our independent directors and approval by a majority of our independent directors. As a result, our stockholders’ equity, for purposes of calculating the management fee, could be greater or less than the amount of stockholders’ equity shown on our consolidated financial statements.

In the event we elect to pay the Manager in shares of our common stock, the calculation to determine the number of shares of our common stock to be issued to the Manager is outlined as follows. The initial $1.0 million of the quarterly base management fee is payable 75% in cash and 25% in shares of our common stock. Any amount of the base management fee in excess of $1.0 million is payable in shares of our common stock (at our discretion) until payment is 50% in cash and 50% in shares (the “50/50 split”). Any remaining amount of the quarterly base management fee after the 50/50 split threshold is reached may be payable in equal amounts of cash and shares (at our discretion). The quantity of common stock is determined based on the average of the closing prices of its common stock on the New York Stock Exchange (“NYSE”) on the five business days preceding the record date of the most recent regular quarterly dividend to holders of the common stock. The Manager has agreed to hold any shares of common stock it receives as payment of the base management fee for at least three years from the date such shares of common stock are received.

The Manager is also entitled to an incentive fee, payable quarterly and calculated in arrears, of 20% of the amount by which total dividends on our common stock exceeds 8% of book value. However, no incentive fee may be paid to the Manager with respect to any calendar quarter unless our cumulative core earnings, defined as U.S. GAAP net income or loss less non-cash equity compensation, unrealized gains or losses from mark to market adjustments, one-time adjustments to earnings resulting from changes to U.S. GAAP, and certain other non-cash items, is greater than zero for the most recently completed eight calendar quarters. In the event that the payment of the quarterly base management fee has not reached the 50/50 split, all of the incentive fee is payable in shares of our common stock until the 50/50 split occurs. In the event that the total payment of the quarterly base management fee and the incentive fee has reached the 50/50 split, 20% of the remaining incentive fee is payable in shares of our common stock and 80% of the remaining incentive fee is payable in cash. Our dividend payments are driven by our taxable income. If our taxable income continues at the levels we have recently experienced, we could continue to exceed the threshold for paying an incentive fee to our Manager, and thereby trigger such payment.

We also reimburse the Manager for all third party, out-of-pocket costs it incurs for managing our business, including third party diligence and valuation consultants, legal expenses, auditors and other financial services. The reimbursement obligation is not subject to any dollar limitation. Expenses are generally reimbursed in cash on a monthly basis.

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

Under the Management Agreement, we pay a quarterly base management fee based on our stockholders’ equity, including equity equivalents such as our issuance of convertible senior notes, and may be required to pay a quarterly and annual incentive management fee based on our cash distributions to our stockholders and increases in our book value. Manager fees are expensed in the quarter incurred and the portion payable in common stock is included in stockholders’ equity at quarter end.

The Servicer

We are also a party to the Servicing Agreement (the “Servicing Agreement”), expiring July 8, 2029, with the Servicer. Our Servicer, Gregory, was formed by the members of our Manager’s management team to service “high-touch” assets, which are loans that require substantial and active interaction with the borrower for modification or other resolution. These loans are to less creditworthy borrowers or for properties the value of which has decreased and are more expensive to service because they require more frequent interaction with customers and greater monitoring and oversight. Our Servicer is licensed to service loans in all states where such license is required to conduct its business, and currently has mortgage loan origination staff who are licensed in 14 states. It also holds mortgage lending, debt collection or similar licenses in the states where such licenses are required. Our Servicer is a Freddie Mac authorized servicer, a Home Affordable Modification Program (“HAMP”) registered servicer, a Veterans Administration Servicer and has unsupervised Title II Mortgage authorization from the Federal Housing Administration (“FHA”). We own an 8.0% equity interest in the parent company of our Servicer and warrants to acquire an additional 12.0%, all held through a TRS.

Our Servicer must comply with a wide array of U.S. federal, state and local laws and regulations that regulate, among other things, the manner in which it services our mortgage loans and manages our real property in accordance with the Servicing Agreement, including Consumer Financial Protection Bureau (“CFPB”) mortgage servicing regulations promulgated pursuant to the Dodd-Frank Act. These laws and regulations cover a wide range of topics. The laws and regulations are complex and vary greatly among the states and localities. In addition, these laws and regulations often contain vague standards or requirements, which make compliance efforts challenging. From time to time, the Servicer may become party to certain regulatory inquiries or proceedings, which, even if unrelated to the residential mortgage servicing operation, may result in adverse findings, fines, penalties or other assessments and may affect adversely the Servicer’s reputation.

The Servicer receives an annual servicing fee ranging from 0.65% annually of UPB to 1.25% annually of UPB. The servicing fee is based upon the status of the loan at acquisition. Servicing fees are paid monthly. The fees do not change if an RPL becomes non-performing or vice versa. The total fees we incur for these services depend upon the UPB and type of mortgage loans that the Servicer services pursuant to the terms of the Servicing Agreement. Servicing fees for our real property assets are the greater of (i) the servicing fee applicable to the underlying mortgage loan prior to foreclosure, or (ii) 1.00% annually of the fair market value of the REO as reasonably determined by the Manager or 1.00% annually of the purchase price of any REO we otherwise purchase.

We also reimburse the Servicer for all customary, reasonable and necessary out-of-pocket costs and expenses incurred in the performance of its obligations, including the actual cost of any repairs and renovations to REO properties. The total fees we incur for these services will be dependent upon the property value, previous UPB of the relevant loan, and the number of REO properties.

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

Our Servicer services our mortgage loans, MBS, REO and other real estate assets. Our Servicer is licensed to service loans or is exempt from licensing in all states in which it does business. Our Servicer is also an approved servicer for the FHA

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and the Veterans Administration (“VA”). As of the date of this Annual Report, our Servicer is licensed in every state in which licensing is required for such activities.

Our Servicer employs various loan resolution methodologies with respect to our residential mortgage loans, including loan modification, collateral resolution and collateral disposition. To help us achieve our business objective, the Servicer focuses on (1) supporting the continuing performance of our RPLs; (2) converting a portion of our RPLs and NPLs to performing status; and (3) managing the foreclosure process and timelines with respect to the remainder of those loans.

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 many borrowers will refinance these loans with other lenders at or near the estimated value of the underlying property, potentially generating attractive returns for us. We believe loan re-performance followed by refinancing generates near-term cash flows, provides the highest possible stable 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 newly performing loans. However, based on historical experience, we expect that many of our residential NPLs will enter into foreclosure, ultimately becoming REO that we can sell. If a REO property does not meet our investment criteria, we expect the Servicer to engage in REO liquidation and short sale processes to dispose of the property and generate cash for reinvestment in other acquisitions. We believe that our multifaceted resolution approach generally creates optimal stable returns, as all loans and REO may not be amenable to a single resolution strategy. 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 assets to a TRS, prior to marketing the asset for sale. For more information regarding our resolution methodologies, see “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations — Factors That May Affect Our Operating Results — Resolution Methodologies.”

The Servicer collects and remits mortgage loan payments, responds to borrower inquiries, accounts for principal and interest, holds custodial and escrow funds for payment of property taxes and insurance premiums, counsels or otherwise works with delinquent borrowers, supervises foreclosures and property dispositions and generally administers the loans. In return for these servicing functions, we pay servicing fees to the Servicer equal to specified percentages of the outstanding unpaid principal balance of the loans being serviced. We are entitled to other forms of servicing compensation, rather than the Servicer, such as late payment or modification fees and any prepayment penalties payable by borrowers. Servicing compensation also includes interest income, or the “float,” earned on collections that are deposited in various custodial accounts between their receipt and the scheduled or contractual distribution of the funds to investors. Generally, the Servicer does not advance delinquent monthly payments of interest or principal in respect of mortgage loans but will be obligated to make certain servicing advances.

The Servicer also services the mortgage loans underlying the MBS we create and sell to investors pursuant to customary agreements.

Under the Servicing Agreement, the Servicer also provides property management, lease management and renovation management services associated with the real properties we acquire upon conversion of mortgage loans that we own or that we acquire directly and assists in finding third party financing for such properties.

Competition

In acquiring our assets, we compete with other mortgage and hybrid REITs, hedge funds, specialty finance companies, savings and loan associations, banks, mortgage bankers, insurance companies, mutual funds, investment banking firms, financial institutions, governmental bodies and other entities. Most of our competitors are significantly larger than us, have greater access to capital and other resources and may have other advantages over us. In addition to existing companies, other companies may be organized for similar purposes, including companies focused on purchasing mortgage assets. A proliferation of such companies may increase the competition for equity capital and thereby adversely affect the price of our shares of common stock. In addition, some of our competitors may have higher risk tolerances or different risk assessments, which could allow them to consider a wider variety of assets and establish more relationships than us.

In the face of this competition, we rely on our Manager’s professionals and their industry expertise, which we believe provides us with a competitive advantage and helps us assess risks and determine appropriate pricing for certain potential assets. In addition, we believe that these relationships enable us to compete more effectively for attractive asset acquisition opportunities. However, we may not be able to achieve our business objectives due to the competitive risks that we face.

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Operating and Regulatory Structure

Tax Requirements

We elected to be taxed as a REIT for U.S. federal income tax purposes beginning with our taxable year ended December 31, 2014. Provided that we continue to maintain our qualification as a REIT, we generally will not be subject to U.S. federal income tax on our REIT taxable income that is currently distributed to our stockholders. REITs are subject to a number of organizational and operational requirements, including a requirement that they currently distribute at least 90% of their annual REIT taxable income excluding net capital gains. We cannot assure you that we will be able to continue to comply with such requirements in the future. Failure to qualify as a REIT in any taxable year would cause us to be subject to U.S. federal income tax on our taxable income at regular corporate rates (and any applicable state and local taxes). Even if we qualify for taxation as a REIT, we may be subject to certain U.S. federal, state, local and non-U.S. taxes on our income. For example, for any business that we conduct through a TRS, the income generated by that subsidiary will be subject to U.S. federal, state and local income tax. GAJX Real Estate Corp. is a wholly owned subsidiary of the Operating Partnership formed to own, maintain, improve and sell certain REO purchased by us. GA-TRS is a wholly owned subsidiary of our Operating Partnership that owns our 19.8% equity interest in our Manager and our 8.0% interest in the parent of our Servicer. We have elected to treat both GAJX Real Estate Corp. and GA-TRS as TRSs under the Code.

Investment Company Act Exclusion

We conduct our operations so that neither we nor any of our subsidiaries is required to register as an investment company under the Investment Company Act. Section 3(a)(1)(A) of the Investment Company Act defines an investment company as any issuer that is or holds itself out as being engaged primarily in the business of investing, reinvesting or trading in securities. Section 3(a)(1)(C) of the Investment Company Act defines an investment company as any issuer that is engaged or proposes to engage in the business of investing, reinvesting, owning, holding or trading in securities and owns or proposes to acquire investment securities having a value exceeding 40% of the value of the issuer’s total assets (exclusive of U.S. government securities and cash items) on an unconsolidated basis, which we refer to as the 40% test. Excluded from the term ‘‘investment securities,’’ among other things, are securities issued by majority-owned subsidiaries that are not themselves investment companies and are not relying on the exclusion from the definition of investment company set forth in Section 3(c)(1) or Section 3(c)(7) of the Investment Company Act.

We are organized as a holding company and conduct our businesses primarily through wholly owned subsidiaries of our Operating Partnership. Our Operating Partnership holds certain real estate and real estate-related assets, directly and through subsidiaries. Neither we nor our Operating Partnership nor Great Ajax Funding is an investment company under Section 3(a)(1)(C). In addition, we conduct our operations so that neither we nor our Operating Partnership nor Great Ajax Funding come within the definition of an investment company by ensuring that less than 40% of the value of our total assets on an unconsolidated basis consists of “investment securities.”

We monitor our compliance with the 40% test and the holdings of our subsidiaries to ensure that each of our subsidiaries is in compliance with an applicable exemption or exclusion from registration as an investment company under the Investment Company Act.

Our 19.8% equity interest in our Manager and our 8.0% equity interest in the parent company of our Servicer are owned by GA-TRS, which is a special purpose subsidiary of our Operating Partnership. GA-TRS may rely on Section 3(c)(1) or 3(c)(7) for its Investment Company Act exclusion and, therefore, our interest in such subsidiary would constitute an ‘‘investment security’’ for purposes of determining whether we pass the 40% test. We also may form certain other wholly owned or majority-owned subsidiaries that will invest, subject to our investment guidelines, in other real estate-related assets. These subsidiaries may rely upon the exclusion from the definition of investment company under the Investment Company Act pursuant to Section 3(c)(1) or 3(c)(7) of the Investment Company Act. The securities issued by any wholly owned or majority-owned subsidiary that we may form and that are excluded from the definition of “investment company” based on Section 3(c)(1) or 3(c)(7) of the Investment Company Act, together with any other investment securities we may own, may not have a value in excess of 40% of the value of our total assets on an unconsolidated basis.

In addition, we believe that neither we nor certain of our subsidiaries will be considered investment companies under Section 3(a)(1)(A) of the Investment Company Act because we and they will not engage primarily or hold themselves out as being engaged primarily in the business of investing, reinvesting or trading in securities. Rather, we and such subsidiaries will be primarily engaged in non-investment company businesses related to real estate. Consequently, we and our subsidiaries expect to be able to conduct our operations such that none will be required to register as an investment company under the Investment Company Act.

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Certain of our subsidiaries may also rely upon certain exclusions from the definition of investment company under Section 3(c)(5)(C) of the Investment Company Act. Section 3(c)(5)(C), as interpreted by the staff of the SEC, requires an entity to invest at least 55% of its assets in “mortgages and other liens on and interests in real estate,” which we refer to as “qualifying real estate interests,” and at least 80% of its assets in qualifying real estate interests plus “real estate-related assets.”

On August 31, 2011, the SEC published a concept release entitled “Companies Engaged in the Business of Acquiring Mortgages and Mortgage Related Instruments” (Investment Company Act Rel. No. 29778). This release notes that the SEC is reviewing the Section 3(c)(5)(C) exclusion relied upon by companies similar to us that invest in mortgage loans. There can be no assurance that the laws and regulations governing the Investment Company Act status of companies similar to ours, or the guidance from the SEC or its staff regarding the treatment of assets as qualifying real estate assets or real estate-related assets, will not change in a manner that adversely affects our operations as a result of this review. To the extent that the SEC or its staff provides more specific guidance regarding any of the matters bearing upon our exclusion from the need to register under the Investment Company Act, we may be required to adjust our strategy accordingly. Any additional guidance from the SEC staff could provide additional flexibility to us, or it could further inhibit our ability to pursue the strategies that we have chosen.

The loss of our exemption from regulation pursuant to the Investment Company Act could require us to restructure our operations, sell certain of our assets or abstain from the purchase of certain assets, which could have an adverse effect on our financial condition and results of operations. See “Item 1A. Risk Factors — Risks Related to Our Organizational Structure — Maintenance of our exclusion from registration as an investment company under the Investment Company Act imposes significant limitations on our operations.”

Commodity Pool Operator Exemption

Under the Dodd-Frank Act, any investment fund that trades in swaps may be considered a “commodity pool,” which would cause its operators to be regulated as a “commodity pool operator,” or (“CPO”). We have relied on no-action relief from registration from the Commodity Futures Trading Commission (“CFTC”) and filed our claim with the CFTC to perfect the use of the no-action relief from registration. In order to be exempt from registration as a CPO under the no-action relief, we must, among other non-operation requirements: (1) limit our initial margin and premiums required to establish our swap or futures positions to no more than 5% of the fair market value of our total assets; and (2) limit our net income derived annually from our swaps and futures positions that are not “qualifying hedging transactions” to less than 5% of our gross income. The need to operate within these parameters could limit the use of swaps by us below the level that we would otherwise consider optimal or may lead to the registration of our company or our directors as CPOs. See “Item 1A. Risk Factors — Risks Related to Regulatory and Legislative Actions — We may be unable to operate within the parameters that allow us to be excluded from regulation as a commodity pool operator, which would subject us to additional regulation and compliance requirements, and could materially adversely affect our business and financial condition.”

Environmental Matters

As an owner of real estate, we are subject to various U.S. federal, state and local environmental laws, regulations and ordinances and also could be liable to third parties resulting from environmental contamination or noncompliance with environmental laws at our properties. Environmental laws can impose liability on an owner or operator of real property for the investigation and remediation of contamination at or migrating from such real property, without regard to whether the owner or operator knew of or was responsible for the presence of the contaminants. The costs of any required investigation or cleanup of these substances could be substantial. The liability is generally not limited under such laws and could exceed the property’s value and the aggregate assets of the liable party. The presence of contamination or the failure to remediate contamination at our properties also may expose us to third-party liability for personal injury or property damage or adversely affect our ability to sell, lease or renovate the real estate or to borrow using the real estate as collateral. See also “Item 1A. Risk Factors.”

Employees

Exclusive of certain incentive stock grants, we do not currently have any employees who are paid directly by us, and, excluding incentive stock grants, do not expect to have any employees paid directly by us in the foreseeable future. Each of our executive officers is an employee or officer or both, of our Manager or of the Servicer, and they are paid by our Manager or the Servicer, as applicable. Our Manager and the Servicer share employees with other affiliates of Aspen as necessary to implement our business strategy.

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Available Information

Our web address is www.greatajax.com. Our annual reports on Form 10-K, quarterly reports on Form 10-Q, current reports on Form 8-K, and amendments to those reports filed or furnished pursuant to Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended (the “Exchange Act”) are made available on our website as soon as reasonably practicable after we electronically file such material with, or furnish it to, the U.S. Securities and Exchange Commission (the “SEC”).

The information on our website does not constitute a part of this Annual Report and is not incorporated by reference. Our reference to the URL for our website is intended to be an inactive textual reference only.

Item 1A. Risk Factors

You should carefully consider the risks described below together with the other information included in this Annual Report. Our business, financial condition or results of operations could be adversely affected by any of these risks. If any of these risks occur, the value of our common stock could decline.

Risks Related to Our Business

The outbreak of COVID-19 may adversely affect our business, financial condition, liquidity and results of operations.

The worldwide COVID-19 pandemic has caused significant volatility and disruption in the financial markets both globally and in the United States. If COVID-19, one of its variants, or another highly infectious or contagious disease, continues to spread or the response to contain it is unsuccessful, we could experience material adverse effects on our business, financial condition, liquidity, and results of operations. The extent of such effects will depend on future developments, which are highly uncertain and cannot be predicted, including the geographic spread of the virus, the overall severity of the disease, the duration of the outbreak, the measures that have been or may be taken by various governmental authorities in response to the outbreak (such as quarantines, travel restrictions and mandated forbearance measures on mortgage collections) and the possible further impacts on the global economy. The continued spread of COVID-19 could also negatively impact the availability of key personnel necessary to conduct our business. Additionally, governments have adopted, and we expect will continue to adopt, policies, laws and plans intended to address the COVID-19 pandemic and adverse developments in the credit, financial and mortgage markets. We cannot know if these programs will be effective, sufficient or otherwise may have a positive material and adverse impact on our business.

A significant portion of our mortgage loans may become NPLs, which could increase our risk of loss.

We may acquire mortgage loans where the borrower has failed to make timely payments of principal and/or interest currently or in the past. As part of the mortgage loan portfolios we purchase, we also may acquire performing loans that subsequently become non-performing. Under current market conditions, many of these loans will have current loan-to-value ratios in excess of 100%, meaning the amount owed on the loan exceeds the value of the underlying real estate. Although we expect to purchase loans at significant discounts to UPB and underlying property value, if actual results are different from our assumptions in determining the prices for such loans, particularly if the market value of the underlying property decreases significantly, we may incur significant losses. There are no limits on the percentage of NPLs we may hold. Any loss we incur may be significant and could materially and adversely affect us.

We primarily own higher risk loans, which are more expensive to service than conventional mortgage loans.

A significant percentage of the mortgage loans we own are higher risk loans, meaning that the loans are made to less creditworthy borrowers or for properties the value of which has decreased, including as a result of the COVID-19 pandemic. These loans are more expensive to service because they require more frequent interaction with customers and greater monitoring and oversight. Additionally, in connection with mortgage market reforms and recent and possible future regulatory developments, servicers of higher risk loans may be subject to increased scrutiny by state and U.S. federal regulators or may experience higher compliance costs, which could result in a further increase in servicing costs. Through the Servicing Agreement, the Servicer passes along to us many of the additional third-party expenses incurred by it in servicing these higher risk loans. The greater cost of servicing higher risk loans, which may be further increased through regulatory changes, could adversely affect our business, financial condition and results of operations.

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A change in delinquencies for the loans we own could adversely affect our business, financial condition and results of operations.

A significant percentage of the mortgage loans we own are higher risk loans, which tend to have higher delinquency and default rates than GSE and government agency-insured mortgage loans. These higher risk loans, combined with decreases in property values, have caused increases in loan-to-value ratios, resulting in borrowers having little or negative equity in their property, which may provide an incentive to borrowers to strategically default on their loans. Recent laws delay the initiation or completion of foreclosure proceedings on specified types of residential mortgage loans or otherwise limit the ability of mortgage servicers to take actions that may be essential to preserve the value of the mortgage loans. Any such limitations are likely to cause delayed or reduced collections from mortgagors.

The lack of liquidity of our assets may adversely affect our business, including our ability to sell our assets.

We acquire assets, securities or other instruments that are not liquid or publicly traded, and market conditions could significantly and negatively affect the liquidity of other assets.

In addition, mortgage-related assets generally experience periods of illiquidity, including periods of delinquencies and defaults with respect to residential and commercial mortgage loans. Further, validating third-party pricing for illiquid assets may be more subjective than for liquid assets. Any illiquidity of our assets may make it difficult for us to sell such assets if the need or desire arises. In addition, if we are required to liquidate all or a portion of our portfolio quickly, we may realize significantly less than the value at which we previously recorded our assets. We may also face other restrictions on our ability to liquidate any assets for which we have or could be attributed with material non-public information. If we are unable to sell our assets at favorable prices or at all, it could materially adversely affect our business, financial condition and results of operations and our ability to make distributions to our stockholders. Assets that are illiquid are more difficult to finance, and to the extent that we use leverage to finance assets that become illiquid, we may lose that leverage or have it reduced. Assets tend to become less liquid during times of financial stress, which is often the time that liquidity is most needed. As a result, our ability to sell assets or vary our portfolio in response to changes in economic and other conditions may be limited by liquidity constraints, which could adversely affect our results of operations and financial condition.

The principal and interest payments on our retained MBS are not guaranteed by any entity and, therefore, are subject to increased risks, including credit risk as a result of the COVID-19 pandemic.

We create and retain MBS that are backed by residential mortgage loans that do not conform to the Fannie Mae or Freddie Mac underwriting guidelines. Consequently, the principal and interest on those MBS are not guaranteed by GSEs such as Fannie Mae and Freddie Mac, or securitized through Ginnie Mae. We do not currently expect to acquire third-party non-Agency MBS. Our MBS are and will be subject to many of the risks of the respective underlying mortgage loans. In particular, the market for MBS has been, and is expected to continue to be, significantly and adversely impacted by the COVID-19 pandemic. A residential mortgage loan is typically secured by a single-family residential property and is subject to risks of delinquency and foreclosure and risks of loss. The ability of a borrower to repay a loan secured by a residential property depends upon the income or assets of the borrower. A number of factors, including the impact of the COVID-19 pandemic, a prolonged economic downturn, unemployment, acts of God, terrorism, social unrest and civil disturbances, may impair borrowers’ abilities to repay their mortgage loans. In periods following home price declines, “strategic defaults” (decisions by borrowers to default on their mortgage loans despite having the ability to pay) also may become more prevalent.

In the event of defaults under mortgage loans backing any of our retained MBS, we will bear a risk of loss of principal to the extent of any deficiency between the value of the collateral and the principal and accrued interest of the mortgage loan. Additionally, in the event of the bankruptcy of a mortgage loan borrower, the mortgage loan to such borrower will be deemed to be secured only to the extent of the value of the underlying collateral at the time of bankruptcy (as determined by the bankruptcy court), and the lien securing the mortgage loan will be subject to the avoidance powers of the bankruptcy trustee or debtor-in-possession to the extent the lien is unenforceable under state law. Foreclosure of a mortgage loan can be an expensive and lengthy process which could have a substantial negative effect on our anticipated return on the foreclosed mortgage loan. If borrowers default on the mortgage loans backing our MBS and we are unable to recover any resulting loss through the foreclosure process, our business, financial condition and results of operations and our ability to make distributions to our stockholders could be materially adversely affected.

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Residential mortgage loan modification, refinance, or forbearance programs, future legislative action, and other actions and changes in the general economy may materially and adversely affect the supply of, value of, and returns on RPLs and NPLs.

Our business model depends on the acquisition of a steady supply of RPLs and NPLs, our ability to support continued performance by borrowers, the success of our loan modification and other resolution efforts and to a certain extent, the conversion of a portion of those loans to REO that we can then sell or rent. The number of RPLs and NPLs available for purchase may be reduced by uncertainty in the lending industry and the governmental sector and/or as a result of general economic conditions. Lenders have delayed foreclosure proceedings, offered payment forbearance, renegotiated interest rates, or refinanced loans for borrowers who face foreclosure.

In addition, as a reaction to the COVID-19 outbreak, the U.S. federal government has instituted and may continue to institute programs aimed at assisting at-risk homeowners, or reducing the number of properties going into foreclosure or going into non-performing status. Government sponsored or mandated loss mitigation programs may involve, among other things, the modification of residential mortgage loans to reduce the principal amount of the loans (through forbearance and/or forgiveness) and/or the rate of interest payable on the loans or to extend the payment terms of the loans. For example, section 4022 of the Coronavirus Aid, Relief, and Economic Security Act (the “CARES Act”), requires that for a limited period of time, and upon a request by a borrower with a federally backed mortgage loan who is experiencing a COVID-19-related financial hardship, the servicer of the borrower’s loan must grant the borrower a forbearance for up to 180 days (or longer if the borrower requests an extension). Certain states have imposed or encouraged similar forbearance programs, or may do so in the future. 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. These programs, any other programs that may replace them, future legislative or regulatory actions, including possible amendments to the bankruptcy laws that result in the modification of outstanding residential mortgage loans, as well as changes in the requirements necessary to qualify for refinancing residential mortgage loans, may materially and adversely affect the value of, and the returns on, our portfolio of RPLs and NPLs.

Other governmental actions may affect our business by hindering the pace of foreclosures. Certain jurisdictions suffer from a backlog of foreclosures, due to a combination of volume constraints and legal actions, including those brought by the U.S. Department of Justice (“DOJ”), the U.S. Department of Housing and Urban Development (“HUD”), State Attorneys General, the Office of the Comptroller of the Currency, and the Federal Reserve Board against mortgage servicers alleging wrongful foreclosure practices. Legal claims brought or threatened by the DOJ, HUD, CFPB and State Attorneys General against residential mortgage servicers have produced large settlements. A portion of the funds from these settlements were directed to homeowners seeking to avoid foreclosure through mortgage modifications, and servicers are required to adopt specified measures to reduce mortgage obligations in certain situations. We expect that the settlements will help many homeowners avoid foreclosures that would otherwise have occurred. It is also possible that other residential mortgage servicers will agree to similar settlements. In addition, the U.S. Congress and numerous state legislatures have considered, proposed or adopted legislation to constrain foreclosures, or may do so in the future. These developments will reduce the number of homes in the process of foreclosure and decrease the supply of properties and assets that meet our investment criteria.

The Dodd-Frank Act also created the CFPB, which supervises consumer financial services companies (including bank and non-bank mortgage lenders and mortgage servicers) and enforces U.S. federal consumer protection laws as they apply to banks, credit unions and other financial services companies, including mortgage servicers, and which has issued many regulations regarding mortgage origination and servicing. These regulations provide for special remedies in favor of consumer mortgage borrowers, particularly upon default and foreclosure. It remains uncertain whether any of these measures significantly affect foreclosure volumes. If foreclosure volumes were to decline significantly, we may experience difficulty in finding target assets at attractive prices, which will materially and adversely affect us. Also, the number of families seeking rental housing might be reduced by such legislation, reducing rental housing demand for properties that we may seek to rent in our markets.

The supply of RPLs, NPLs and SBC loans may decline over time as a result of higher credit standards for new loans and the prices for RPLs, NPLs and SBC loans may increase, which could materially and adversely affect us.

As a result of the continuing effects of the economic crisis in 2008, there has been an increased supply of RPLs and NPLs available for sale. However, in response to the economic crisis, the origination of jumbo, subprime, Alt-A and second-lien residential mortgage loans has dramatically declined as lenders have increased their standards of creditworthiness in originating new loans and fewer homeowners may go into NPL status on their residential mortgage loans. Lenders may continue to rely on heightened credit standards, in light of the economic effects of the COVID-19 crisis or other crises. In addition, the prices at which both residential and SBC RPLs can be acquired may increase due to the entry of new participants into the distressed loan marketplace or a smaller supply of RPLs in the marketplace. For these reasons, along with the

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continuing slow rate of general improvement in the economy, the supply of RPLs and NPLs that we may acquire may decline over time, which could materially and adversely affect us.

The SBC loans we expect to acquire will be subject to the ability of the commercial property owner to generate net income from operating the property as well as the increased risks of delinquency and foreclosure.

The ability of a commercial mortgage borrower to repay a SBC loan secured by an income-producing property, such as a multi-family residential and commercial mixed use retail/residential property, typically is dependent primarily upon the successful operation of such property rather than upon the existence of independent income or assets of the borrower. If the net operating income of the property is reduced, the borrower’s ability to repay the SBC loan may be impaired. Net operating income of an income producing property can be affected by, among other things, tenant mix, success of tenant businesses, property management decisions, property location and condition, competition from comparable types of properties, changes in laws that increase operating expense, limit rents that may be charged, or that restrict eviction and replacement of nonpaying tenants, any need to address environmental contamination at the property, the occurrence of any uninsured casualty at the property, changes in national, regional or local economic conditions or specific industry segments, declines in regional or local real estate values, declines in regional or local rental or occupancy rates, increases in interest rates, real estate tax rates and other operating expenses, changes in governmental rules, regulations and fiscal policies, including environmental legislation, acts of God, terrorism, social unrest and civil disturbances. In particular, the number of commercial property delinquencies and foreclosures has, and is expected to continue to, significantly increase as a result of the COVID-19 pandemic. In the event of the bankruptcy of a commercial mortgage loan borrower, the SBC loan to such borrower will be deemed to be secured only to the extent of the value of the underlying collateral at the time of bankruptcy (as determined by the bankruptcy court), and the lien securing the SBC loan will be subject to the avoidance powers of the bankruptcy trustee or debtor-in-possession to the extent the lien is unenforceable under state law. Foreclosure of a SBC loan can be an expensive and lengthy process, which could have a substantial negative effect on our anticipated return on the foreclosed SBC loan.

Our SBC loans in respect of smaller multi-family residential properties or smaller mixed use retail/residential properties may be subject to defaults, foreclosure timeline extension, fraud, commercial price depreciation and unfavorable modification of loan principal amount, interest rate and amortization of principal.

Our SBC loans secured by multi-family or commercial property may be subject to risks of delinquency and foreclosure, and risk of loss that may be greater than similar risks associated with loans made on the security of single-family residential property. The ability of a borrower to repay a loan secured by an income-producing property typically depends primarily upon the successful operation of such property rather than upon the existence of independent income or assets of the borrower. If the net operating income of the property is reduced, the borrower’s ability to repay the loan may be impaired. Net operating income of an income-producing property can be affected by, among other things:

•tenant mix;

•success of tenant businesses;

•property management decisions;

•property location and condition;

•competition from comparable types of properties;

•changes in laws that increase operating expenses or limit rents that may be charged;

•any need to address environmental contamination at the property or the occurrence of any uninsured casualty at the property;

•changes in national, regional or local economic conditions and/or specific industry segments;

•declines in regional or local real estate values;

•declines in regional or local rental or occupancy rates;

•increases in interest rates;

•real estate tax rates and other operating expenses;

•changes in governmental rules, regulations and fiscal policies, including environmental legislation; and

•acts of God, terrorist attacks, social unrest and civil disturbances.

Difficult conditions in the mortgage, residential real estate and smaller commercial real estate markets as well as general market concerns may adversely affect the value of the assets in which we invest and these conditions may persist for the foreseeable future.

Our business is materially affected by conditions in the residential mortgage market, the residential real estate market, the smaller commercial real estate market, the financial markets and the economy in general. Concerns about the residential mortgage market, as well as the COVID-19 pandemic, inflation, energy costs, geopolitical issues, concerns over the

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creditworthiness of governments worldwide and the stability of the global banking system, continuing relatively high unemployment and under-employment and the availability and cost of credit have contributed to increased volatility and diminished expectations for the economy and markets going forward. In particular, the residential mortgage market in the United States has experienced a variety of difficulties and changed economic conditions, including defaults, credit losses and liquidity concerns. The smaller commercial real estate mortgage market also may face increased defaults, losses, or liquidity concerns due to economic conditions or government imposed forbearance programs.

Certain commercial banks, investment banks and insurance companies continue to announce losses from exposure to the residential mortgage market. These factors have affected investor perception of the risk associated with mortgage-backed securities, other real estate-related securities and various other asset classes in which we may invest. As a result, values of certain of our assets and the asset classes in which we intend to invest have experienced volatility. Further deterioration of the mortgage market and investor perception of the risks associated with MBS we may retain as part of our securitizations, as well as other assets that we acquire could materially adversely affect our business, financial condition and results of operations and our ability to make distributions to our stockholders.

We may be materially and adversely affected by risks affecting borrowers or any single-family rental properties in which our investments may be concentrated at any given time, as well as from unfavorable changes in the related geographic regions.

Our assets are not subject to any geographic, diversification or concentration limitations. Accordingly, our investment portfolio may be concentrated by geography, single-family rental property characteristics and/or borrower demographics, increasing the risk of loss to us if the particular concentration in our portfolio is subject to greater risks or undergoing adverse developments. In addition, adverse conditions in the areas where the properties securing or otherwise underlying our investments are located (including business layoffs or downsizing, industry slowdowns, changing demographics and other factors) and local real estate conditions (such as oversupply or reduced demand) may have an adverse effect on the value of our investments. A material decline in the demand for single-family housing or rentals in these or other areas where we own assets may materially and adversely affect us. Lack of diversification can increase the correlation of non-performance and foreclosure risks among our investments. Historically, our mortgage and real estate assets have been concentrated in Florida and the western and southwestern United States.

Changes in the underwriting standards by Freddie Mac, Fannie Mae or FHA could make it more difficult to refinance our purchased mortgage loans.

Stricter underwriting standards by Freddie Mac, Fannie Mae or the FHA could affect our ability to refinance mortgage loans and the terms on which mortgage loans may be refinanced, which may adversely affect our business and results of operations. For example, in 2010, Freddie Mac and Fannie Mae announced tighter underwriting guidelines, particularly for adjustable rate mortgages, (“ARMs”), and hybrid interest-only ARMs (“Hybrid ARMs”). Specifically, Freddie Mac announced that it would no longer purchase interest-only mortgages and Fannie Mae changed its eligibility criteria for purchasing and securitizing ARMs to protect consumers from potentially dramatic payment increases. If Freddie Mac, Fannie Mae, or the FHA were to adopt other restrictive underwriting standards, that could affect our ability to refinance loans and the terms of those loans.

The whole residential mortgage loans and other residential mortgage assets in which we invest are subject to risk of default, among other risks.

The mortgage loans and other mortgage-related assets that we acquire from time to time may be subject to defaults (including re-default for RPLs), foreclosure moratoria or timeline extensions, fraud, residential price depreciation and unfavorable modification of loan principal amount, interest rate and amortization of principal, or government-mandated payment forbearances, among other factors, which could result in losses to us. Residential mortgage loans are secured by single-family residential property and, are subject to risks of delinquency and foreclosure and risks of loss. The payment of the principal and interest on the mortgage loans we acquire would not typically be guaranteed by any sponsored enterprise (“GSE”), such as Fannie Mae and Freddie Mac, or securitized through Ginnie Mae or any other governmental agency. Additionally, by directly acquiring whole mortgage loans, we do not receive the structural credit enhancements that can benefit senior tranches of MBS. A whole mortgage loan is directly exposed to losses resulting from nonpayment or other default. Therefore, the value of the underlying property, the creditworthiness and financial position of the borrower and the priority and enforceability of the lien will significantly affect the value of such mortgage. The ability of a borrower to repay a loan secured by a residential property typically depends upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of nature, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay a mortgage loan. Foreclosure of a mortgage loan can be an expensive and lengthy process, which could have a substantial negative effect on our anticipated return on a foreclosed mortgage loan. In the event of a foreclosure, we may assume direct

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ownership of the underlying real estate. The liquidation proceeds upon sale of such real estate may not be sufficient to recover our cost basis in the loan, and any costs or delays involved in the foreclosure or liquidation process may increase losses.

Whole mortgage loans are also subject to “special hazard” risk such as property damage caused by hazards, such as earthquakes or environmental hazards, not covered by standard property insurance policies. In the event of the bankruptcy of a mortgage loan borrower, the mortgage loan to such borrower will be deemed to be secured only to the extent of the value of the underlying collateral at the time of bankruptcy (as determined by the bankruptcy court), and the lien securing the mortgage loan will be subject to the avoidance powers of the bankruptcy trustee or debtor in possession to the extent the lien is unenforceable under state law. In addition, claims may be assessed against us on account of our position as a mortgage holder or property owner, including assignee liability, responsibility for tax payments, environmental hazards and other liabilities. In some cases, these liabilities may be “recourse liabilities” or may otherwise lead to losses in excess of the purchase price of the related mortgage or property. Although we acquire mortgage loans at significant discounts from their UPB and underlying property value, in the event of any default under a mortgage loan held directly by us, we bear a risk of loss of the principal to the extent of any deficiency between the value of the collateral and the principal and accrued interest of the mortgage loan, which could have a material adverse effect on our cash flow from operations and results of operations. The MBS we retain from our own securitizations evidence interests in, or are secured by, pools of residential mortgage loans. Accordingly, the MBS that we hold is subject to all of the risks of the respective underlying mortgage loans.

For certain residential mortgage loans, the Dodd-Frank Act established, through amendment to the Truth in Lending Act (“TILA”), life-of-loan liability on any holder of a residential mortgage loan that takes action on the loan following default (including foreclosure). This liability is premised upon violation of the ATR Rule, as well as violation of the loan originator compensation rule. Borrower remedies, available by way of recoupment or set-off, include statutory damages and attorneys’ fees.

If we fail to develop, enhance and implement strategies to adapt to changing conditions in the commercial real estate industry and capital markets, our financial condition and results of operations may be materially and adversely affected by our acquisition of SBC loans.

The manner in which we compete and the types of SBC loans we are able to acquire will be affected by changing conditions resulting from sudden changes in the commercial real estate industry, regulatory environment, the role of credit rating agencies or their rating criteria or process, or the U.S. and global economies generally. If we do not effectively respond to these changes, or if our strategies to respond to these changes are not successful, our financial condition and results of operations may be adversely affected. In addition, we can provide no assurances that we will be successful in executing our business strategy in successfully acquiring SBC loans.

If we acquire and subsequently re-sell any whole mortgage loans, we may be required to repurchase such loans or indemnify investors if we breach representations and warranties.

If we acquire and subsequently re-sell any whole mortgage loans, we would generally be required to make customary representations and warranties about such loans to the loan purchaser. Our residential mortgage loan sale agreements and terms of any securitizations into which we sell loans will generally require us to repurchase or substitute loans in the event we breach a representation or warranty given to the loan purchaser. In addition, we may be required to repurchase loans as a result of borrower fraud or in the event of early payment default on a mortgage loan. Repurchased loans are typically worth only a fraction of the original price. Significant repurchase activity could materially adversely affect our business, financial condition and results of operations and our ability to make distributions to our stockholders. Further, depending on the level of repurchase and resale activities, we may determine to conduct any such activities through a taxable REIT subsidiary.

We are subject to counterparty risk and may be unable to seek indemnity or require our counterparties to repurchase mortgage loans if they breach representations and warranties, which could cause us to suffer losses.

When selling mortgage loans, sellers typically make customary representations and warranties about such loans. Our residential mortgage loan purchase agreements may entitle us to seek indemnity or demand repurchase or substitution of the loans in the event our counterparty breaches a representation or warranty given to us. However, there can be no assurance that our mortgage loan purchase agreements will contain appropriate representations and warranties, that we will be able to enforce our contractual right to repurchase or substitution, or that our counterparty will remain solvent or otherwise be able to honor its obligations under its mortgage loan purchase agreements. Our inability to obtain indemnity or require repurchase of a significant number of loans could harm our business, financial condition, liquidity, results of operations and our ability to make distributions to our stockholders.

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Certain investments in portfolios of whole mortgage loans and other mortgage assets may require us to purchase less desirable mortgage assets as part of an otherwise desirable pool of mortgage assets, which could subject us to additional risks relating to the less desirable mortgage assets.

If we acquire portfolios of whole mortgage loans and other mortgage assets, the portfolio may contain some assets that we would not otherwise seek to acquire on their own. These other assets may subject us to additional risks, including impaired performance and reduce the return on our investments.

To the extent that due diligence is conducted on potential assets, such due diligence may not reveal all of the risks associated with such assets and may not reveal other weaknesses in such assets, which could lead to losses.

Before making an investment, we conduct (either directly or using third parties) certain due diligence. There can be no assurance that we will conduct any specific level of due diligence, or that, among other things, our due diligence processes will uncover all relevant facts or that any purchase will be successful, which could result in losses on these assets, which, in turn, could adversely affect our business, financial condition and results of operations and our ability to make distributions to our stockholders.

The failure of a seller of mortgage loans to provide all the necessary documentation to us could adversely affect our ability to leverage our assets or otherwise service the mortgage loans that we will own.

Pursuant to customary provisions in the purchase agreements governing our loan acquisitions, we also generally have the right to cause the sellers to repurchase certain loans if they do not provide proper documentation to evidence ownership or first lien status with respect to such loans within a specified time period. Any delay or inability to obtain such documentation could adversely affect our ability to leverage such loans, and could adversely affect the Servicer’s ability to service those mortgage loans and any such repurchases by the sellers would decrease the size of our portfolio.

Market conditions as a result of the COVID-19 pandemic and other factors may affect our ability to securitize assets, which could increase our financing costs and adversely affect our results of operations and ability to make distributions.

Our ability to obtain permanent non-recourse financing through securitizations is affected by a number of factors, including:

•conditions in the securities markets, generally;

•conditions in the asset-backed securities markets, specifically;

•yields on our portfolio of mortgage loans;

•the credit quality of our portfolio of mortgage loans; and

•our ability to obtain any necessary credit enhancement.

As a result of the COVID-19 pandemic, the asset-backed securitization markets have experienced unprecedented disruptions, and securitization volumes have decreased sharply. These recent conditions in the securitization markets include reduced liquidity, increased risk premiums for issuers, reduced investor demand, financial distress among financial guaranty insurance providers, a general tightening of credit and substantial regulatory uncertainty. If these conditions do not improve, they could increase our cost of funding, and could reduce or even eliminate our access to the securitization market. As a result, these conditions could preclude us from securitizing assets acquired for such purpose.

Our ability to sell mortgage loans into securitizations could also be delayed, limited, or precluded by legislative and regulatory reforms applicable to asset-backed securities and the institutions that sponsor, service, rate, or otherwise participate in, or contribute to, the successful execution of a securitization transaction. Other factors could also limit, delay, or preclude our ability to sell assets into securitizations. Provisions of the Dodd-Frank Act have required significant revisions to the legal and regulatory framework that apply to the asset-backed securities markets and securitizations. For example, Section 15G of the Exchange Act, as modified by the Dodd-Frank Act, generally requires the issuer of asset-backed securities to retain not less than five percent of the credit risk of the assets collateralizing the asset-backed securities. While Section 15G includes an exemption for asset-backed securities that are collateralized exclusively by residential mortgages that qualify as “qualified residential mortgages” (as defined in the accompanying regulations), RPLs of the type that we intend to purchase and securitize generally will not qualify for this exemption. We therefore are required to retain five percent or more of the credit risk associated with the assets we securitize.

In addition to these laws and rules, other U.S. federal or state laws and regulations that could affect our ability to sell assets into securitization programs may be proposed, enacted, or implemented. These laws and regulations could effectively

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preclude us from financing our assets through securitizations or could delay our execution of these types of transactions. Other matters, such as (i) accounting standards applicable to securitization transactions and (ii) capital and leverage requirements applicable to banks and other regulated financial institutions that traditionally purchase and hold asset-backed securities, could also result in less investor demand for securities issued through securitization transactions.

Prepayment rates can change, adversely affecting the performance of our assets and our ability to reinvest the proceeds thereof.

The frequency at which prepayments (including voluntary prepayments by borrowers, loan buyouts and liquidations due to defaults and foreclosures) occur on mortgage loans, including those underlying MBS, is affected by a variety of factors, including the impact of the COVID-19 pandemic, home price appreciation, prevailing level of interest rates as well as economic, demographic, tax, social, legal, and other factors. Generally, borrowers tend to prepay their mortgages when prevailing mortgage rates fall below the interest rates on their mortgage loans. When borrowers prepay their mortgage loans at rates that are faster or slower than expected, it results in prepayments that are faster or slower than expected on the mortgage loans and any related MBS. These faster or slower than expected payments may adversely affect our profitability, although the effects vary because upon prepayment we can receive 100% of the remaining UPB that we had purchased at a significant discount.

We may purchase loans that have a higher interest rate than the prevailing market interest rate. In exchange for this higher interest rate, we may pay a premium to par value to acquire the loan. In accordance with U.S. GAAP, we amortize this premium over the expected term of the security or loan based on our prepayment assumptions or its contractual terms, depending on the type of loan or security purchased. If a loan is prepaid in whole or in part at a faster than its expected rate or contractual term (as applicable), we must expense all or a part of the remaining unamortized portion of the premium that was paid at the time of the purchase, which will adversely affect our profitability.

We also may purchase securities or loans that have a lower interest rate than the prevailing market interest rate. In exchange for this lower interest rate, we may pay a discount to par value to acquire the loan. We accrete this discount over the expected term of the loan based on our prepayment assumptions or its contractual terms, depending on the type of loan or security purchased. If a loan is prepaid at a slower than expected rate, however, we must accrete the remaining portion of the discount at a slower than expected rate. This will extend the expected life of investment portfolio and result in a lower than expected yield on loans purchased at a discount to par.

Prepayment rates generally increase when interest rates fall and decrease when interest rates rise, but changes in prepayment rates are difficult to predict. Prepayments can also occur when borrowers sell the property and use the sale proceeds to prepay the mortgage as part of a physical relocation or when borrowers default on their mortgages and the mortgages are prepaid from the proceeds of a foreclosure sale of the property. The GSE guidelines for repurchasing delinquent loans from MBS trusts and changes in such guidelines also affect prepayment rates. Consequently, prepayment rates also may be affected by conditions in the housing and financial markets, which may result in increased delinquencies on mortgage loans, cost of capital, general economic conditions and the relative interest rates on fixed and adjustable rate loans, which could lead to an acceleration of the payment of the related principal.

The adverse effects of prepayments may affect us in various ways. Particular investments may underperform relative to any hedges that we may have constructed for these assets, resulting in a loss to us. Furthermore, to the extent that faster prepayment rates are due to lower interest rates, the principal payments received from prepayments will tend to be reinvested in lower-yielding assets, which may reduce our income in the long run. Therefore, if actual prepayment rates differ from anticipated prepayment rates, our business, financial condition and results of operations and ability to make distributions to our stockholders could be materially adversely affected.

Slower prepayments may result in lower yields, current period income and cash collections as payments of interest and principal may be collected over a longer time period. While total cash collection may be higher than anticipated over the life of the loan, current period operating results could be adversely impacted.

The real estate assets and real estate-related assets we invest in are subject to the risks associated with real property.

We own real estate directly as well as assets that are secured by real estate. Real estate assets are subject to various risks, including:

•declines in the value of real estate, including as a result of the COVID-19 pandemic;

•acts of nature, including earthquakes, floods and other natural disasters, which may result in uninsured losses;

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•acts of war or terrorism, including the consequences of terrorist attacks, such as those that occurred on September 11, 2001;

•adverse changes in national and local economic and market conditions;

•changes in governmental laws and regulations, fiscal policies and zoning ordinances and the related costs of compliance with laws and regulations, fiscal policies and ordinances;

•costs of remediation and liabilities associated with environmental conditions such as indoor mold; and

•the potential for uninsured or under-insured property losses.

The occurrence of any of the foregoing or similar events may reduce our return from an affected property or asset and, consequently, materially adversely affect our business, financial condition and results of operations and our ability to make distributions to our stockholders.

We are subject to risks of loss from weather conditions, man-made or natural disasters and climate change.

Weather conditions and man-made or natural disasters such as hurricanes, tornadoes, earthquakes, floods, droughts, fires and other environmental conditions can damage properties that we own or that collateralize our loans. If properties collateralizing our mortgage loans incur damages that reduce the value of the collateral to an amount below the UPB of our loan, borrowers may cease making payments to us on those loans, and any foreclosure efforts may recover substantially less value than the amount we are due or no value at all. Because we seek to build concentrations of mortgage loans and real properties in certain markets, we may be particularly vulnerable to the impact of a localized weather condition, man-made or natural disaster or effects of climate change. Any of these events could adversely impact the demand for, and value of, our assets and could also directly impact the value of our assets through damage, destruction or loss, and could thereafter materially impact the availability or cost of insurance to protect against these events. Although we believe the properties collateralizing our mortgage loans and our remaining owned real estate are adequately covered by insurance, we cannot predict if we or our borrowers will be able to obtain appropriate coverage at a reasonable cost in the future, or if we will be able to continue to pass along all of the costs of insurance to our tenants. Any weather conditions, man-made or natural disasters or effects of climate change, whether or not insured, could have a material adverse effect on our financial performance, the market price of our common shares and our ability to pay dividends. In addition, there is a risk that one or more of our property insurers may not be able to fulfill their obligations with respect to claims payments due to deterioration in their financial condition driven by such events.

Investments in second-lien mortgage loans could subject us to increased risk of losses.

We invest in second-lien mortgage loans or create securitizations with MBS backed by such loans. If a borrower defaults on a second lien mortgage loan or on its senior debt (i.e., a first-lien loan in the case of a residential mortgage loan), or in the event of a borrower bankruptcy, such loan will be satisfied only after all senior debt is paid in full. As a result, if we invest in second-lien mortgage loans and the borrower defaults, we may lose all or a significant part of our investment.

The allocation of capital among our mortgage loans may vary, which may adversely affect our financial performance.

In executing our business plan, we regularly consider the allocation of capital between residential mortgage loans, SBC loans and REO. The allocation of capital may vary due to market conditions, the expected relative return on equity of each, the judgment of our Manager, the demand in the marketplace for certain mortgage loans and REO and the availability of specific investment opportunities. We also consider the availability and cost of our likely sources of capital. If we fail to appropriately allocate capital and resources across mortgage loans or fail to optimize our acquisition and capital raising opportunities, our financial performance may be adversely affected.

Our use of models in connection with the valuation of our assets and determination of the timing and amount of cash flows expected to be collected subjects us to potential risks in the event that such models are incorrect, misleading or based on incomplete information.

As part of the risk management process, we use our Manager’s detailed proprietary models to evaluate, depending on the asset class, house price appreciation and depreciation by county, region, prepayment speeds and foreclosure frequency, cost and timing. Models and data are used to value assets or potential assets, assess the timing and amount of cash flows expected to be collected, and may also be used in connection with any hedging of our acquisitions. Many of the models are based on historical trends. These trends may not be indicative of future results. Furthermore, the assumptions underlying the models may prove to be inaccurate, causing the models to also be incorrect. In the event models and data prove to be incorrect, misleading or incomplete, any decisions made in reliance thereon expose us to potential risks. For example, by relying on incorrect models and data, especially valuation or cash flow models, we may be induced to buy certain assets at prices that are too high, to sell

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certain other assets at prices that are too low, overestimate the timing or amount of cash flows expected to be collected, underestimate the timing or amount of cash flows expected to be collected, or to miss favorable opportunities altogether. Similarly, any hedging based on faulty models and data may prove to be unsuccessful.

Valuations of some of our assets will be inherently uncertain, may be based on estimates, may fluctuate over short periods of time and may differ from the values that would have been used if a ready market for these assets existed.

While in some cases our determination of the fair value of our assets will be based on valuations provided by third-party dealers and pricing services, we will value most of our assets using unobservable inputs based upon our judgment, and such valuations may differ from those provided by third-party dealers and pricing services. Valuations of certain assets are often difficult to obtain or unreliable. In general, dealers and pricing services heavily disclaim their valuations. Additionally, dealers may claim to furnish valuations only as an accommodation and without special compensation, and so they may disclaim any and all liability for any direct, incidental or consequential damages arising out of any inaccuracy or incompleteness in valuations, including any act of negligence or breach of any warranty. Depending on the complexity and illiquidity of an asset, valuations of the same asset can vary substantially from one dealer or pricing service to another. The valuation process has been particularly difficult recently because market events have made valuations of certain assets unpredictable, and the disparity of valuations provided by third-party dealers has widened.

Our business, financial condition and results of operations and our ability to make distributions to our stockholders could be materially adversely affected if our fair value measurements of these assets were materially higher than the values that would exist if a ready market existed for these assets.

An increase in interest rates may cause a decrease in the amount of certain of our target assets that are available for acquisition, which could adversely affect our ability to acquire target assets that satisfy our investment objectives and to generate income and pay dividends.

Rising interest rates generally reduce the demand for mortgage loans due to the higher cost of borrowing. A reduction in the volume of mortgage loans originated may affect the amount of target assets available to us for acquisition, which could adversely affect our ability to acquire assets that satisfy our investment objectives. Rising interest rates may also cause our target assets that were issued prior to an interest rate increase to provide yields that are below prevailing market interest rates. If rising interest rates cause us to be unable to acquire a sufficient volume of our target assets with a yield that is above our borrowing cost, our ability to satisfy our investment objectives and to generate income and pay dividends may be materially and adversely affected.

An increase in interest rates may cause a decrease in the ability of our borrowers to refinance their existing mortgages, and may cause additional economic distress for borrowers with mortgages subject to changes in interest rates, causing our cash collections to decrease, and our anticipated resolution timelines to increase.

Rising interest rates may reduce the desirability of refinancing existing mortgages by increasing a borrower’s monthly payments. Rising interest rates may also cause economic distress to borrowers with mortgage terms that subject them to market-based increases in interest rates. Consequently borrowers who might otherwise have refinanced their mortgages may not be able to do so on favorable terms. And borrowers with interest-rate sensitive mortgages may experience payment increases that preclude their ability to makes such payments in a timely manner, if at all. As a result, the duration of our resolution timelines may be extended, with an associated negative impact in our cash collections and/or our earnings.

The Servicer’s operations are heavily regulated at the U.S. federal, state and local levels and its failure to comply with applicable regulations could materially adversely affect our expenses and results of operations, and there is no assurance that we could replace the Servicer with servicers that satisfy our requirements or with whom we could enter into agreements on satisfactory terms.

In January 2018, we acquired a 4.9% equity interest in the parent company of our Servicer which increased to 8.0% in May 2018, and we also own warrants to purchase additional equity interests. The Servicer must comply with a wide array of U.S. federal, state and local laws and regulations that regulate, among other things, the manner in which it services our mortgage loans and manages our real property in accordance with the Servicing Agreement, including CFPB mortgage servicing regulations promulgated pursuant to the Dodd-Frank Act, and temporary payment forbearance requirements and foreclosure moratorium under the CARES Act. These laws and regulations cover a wide range of topics such as licensing; allowable fees and loan terms; permissible servicing and debt collection practices; limitations on forced-placed insurance; special consumer protections in connection with default and foreclosure; and protection of confidential, nonpublic consumer information (privacy). The volume of new or modified laws and regulations has increased in recent years, and states and

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individual cities and counties continue to enact laws that either restrict or impose additional obligations in connection with certain loan origination, acquisition and servicing activities in those cities and counties. The laws and regulations are complex and vary greatly among the states and localities, and in some cases, these laws are in direct conflict with each other or with U.S. federal law. In addition, these laws and regulations often contain vague standards or requirements, which make compliance efforts challenging. Material changes in these rules and regulations could increase our expenses under the Servicing Agreement. From time to time, the Servicer may be party to certain regulatory inquiries and proceedings, which, even if unrelated to the residential mortgage servicing operation, may result in adverse findings, fines, penalties or other assessments and may affect adversely its reputation. The Servicer’s failure to comply with applicable laws and regulations could adversely affect our expenses and results of operations. If we were to determine to change servicers, there is no assurance that we could find servicers that satisfy our requirements or with whom we could enter into agreements on satisfactory terms. The Servicer’s failure to comply with these laws and regulations could also indirectly result in damage to our reputation in the industry and adversely affect our ability to effect our business plan.

The failure of the Servicer to service our assets effectively would materially and adversely affect us.

We rely on the Servicer to service and manage our assets, including managing collections on our whole mortgage loans and the mortgage loans underlying our retained MBS. If the Servicer is not vigilant in encouraging borrowers to make their monthly payments, the borrowers may be far less likely to make these payments, which could result in a higher frequency of default. If the Servicer takes longer than we expect to liquidate non-performing assets, our losses may be higher than originally anticipated. We also rely on the Servicer to provide all of our property management, lease management and renovation management services associated with the real properties we acquire upon conversion of residential mortgage loans that we own or that we acquire directly. The failure of the Servicer to effectively service our mortgage loan assets, including the mortgage loans underlying any MBS we may own, REO and other real estate-related assets could negatively impact the value of our investments and our performance.

We rely on the Servicer for our loss mitigation efforts relating to mortgage loan assets, which loss mitigation efforts may be unsuccessful or not cost-effective.

We depend on a variety of services provided by the Servicer, including, among other things, to collect principal and interest payments on our whole mortgage loans as well as the mortgage loans underlying our retained MBS and to perform loss mitigation services. In addition, legislation and regulation that have been enacted or that may be enacted in order to reduce or prevent foreclosures through, among other things, loan modifications, may reduce the value of mortgage loans. Mortgage servicers may be required or incentivized by the U.S. federal government or other jurisdictions to pursue such loan modifications, as well as forbearance plans and other actions intended to prevent foreclosure, even if such loan modifications and other actions are not in the best interests of the owners of the mortgage loans. In addition to legislation and regulation that establish requirements or create financial incentives for mortgage loan servicers to modify loans and take other actions that are intended to prevent foreclosures, federal legislation has also been adopted that creates a safe harbor from liability to creditors for servicers that undertake loan modifications and other actions that are intended to prevent foreclosures. Finally, recent laws and regulations, including CFPB regulations, delay the initiation or completion of foreclosure proceedings on specified types of residential mortgage loans or otherwise limit the ability of mortgage servicers to take actions that may be essential to preserve the value of the mortgage loans underlying the MBS. Any such limitations are likely to cause delayed or reduced collections from mortgagors and generally increase servicing costs. As a result of these legislative and regulatory actions, the Servicer may not perform in our best interests or up to our expectations, which could materially adversely affect our business, financial condition, results of operations and our ability to make distributions to our stockholders. Furthermore, the lack of government assistance and relief made available to mortgage servicers as a result of the COVID-19 pandemic may materially and adversely impact the Servicer.

Certain mortgage loans our Servicer services are higher risk loans, which are more expensive to service than conventional mortgage loans.

Certain mortgage loans our Servicer services are higher risk loans, meaning that the loans are made to less credit worthy borrowers or for properties the value of which has decreased. These loans are more expensive to service because they require more frequent interaction with customers and greater monitoring and oversight. Additionally, in connection with mortgage market reforms and recent and possible future regulatory developments, servicers of higher risk loans are subject to increased scrutiny by state and federal regulators and experience higher compliance costs, which could result in a further increase in servicing costs. Our Servicer may not be able to pass along any of the additional expenses it incurs in servicing higher risk loans to its servicing clients. The greater cost of servicing higher risk loans, which may be further increased through regulatory changes, consent decrees or enforcement, could adversely affect ours and our Servicer’s business, financial condition and results of operations.

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We may be affected by deficiencies in foreclosure practices of third parties, as well as related delays in the foreclosure process as a result of the COVID-19 pandemic.

As a reaction to the COVID-19 pandemic, the U.S. federal government has instituted and may continue to institute programs aimed at assisting at-risk homeowners, or reducing the number of properties going into foreclosure or going into non-performing status. As a result, there is significant uncertainty regarding the timing and ability of servicers to remove delinquent borrowers from their homes, so that they can liquidate the underlying properties and ultimately pass the liquidation proceeds through to owners of the mortgage loans or related MBS. In addition, given the magnitude of the housing crisis, and in response to the well-publicized failures of many servicers to follow proper foreclosure procedures (such as “robo-signing”), mortgage servicers are being held to much higher foreclosure-related documentation standards than they previously were. However, because many mortgages have been transferred and assigned multiple times (and by means of varying assignment procedures) throughout the origination, warehouse and securitization processes, mortgage servicers may have difficulty furnishing the requisite documentation to initiate or complete foreclosures. This leads to stalled or suspended foreclosure proceedings, and ultimately additional foreclosure-related costs. Foreclosure-related delays also tend to increase ultimate loan loss severities as a result of property deterioration, amplified legal and other costs, and other factors. Many factors delaying foreclosure, such as borrower lawsuits, judicial backlog and scrutiny, and government-mandated foreclosure moratoria as a result of the COVID-19 pandemic, are outside of servicers’ control and have delayed, and will likely continue to delay, foreclosure processing in both judicial states (where foreclosures require court involvement) and non-judicial states. The Servicer’s failure or inability to remove delinquent borrowers from their homes in a timely manner could increase our costs, adversely affect the value of the property and mortgage loans and have a material adverse effect on our results of operations and business.

Changes in applicable laws or noncompliance with applicable law could materially and adversely affect us.

As an owner of real estate, we are required to comply with numerous U.S. federal, state and local laws and regulations, some of which may conflict with one another or be subject to limited judicial or regulatory interpretations. These laws and regulations may include zoning laws, building codes, landlord-tenant laws and other laws generally applicable to business operations. Noncompliance with laws or regulations could expose us to liability.

Lower revenue growth or significant unanticipated expenditures may result from our need to comply with changes in (i) laws imposing remediation requirements and potential liability for environmental conditions existing on properties or the restrictions on discharges or other conditions, (ii) rent control or rent stabilization laws or other residential landlord-tenant laws or (iii) other governmental rules and regulations or enforcement policies affecting the rehabilitation, use and operation of any single-family rental properties we may own, including changes to building codes and fire and life-safety codes.

Our decision whether to rent or sell any REO we acquire upon conversion of NPLs or acquire directly will depend on conditions in the relevant geographic markets, and if our assumptions about rental rates and occupancy levels in our markets are not accurate, our operating results and cash available for distribution could be adversely affected.

We either sell or rent the real property, either single-family residences or smaller commercial properties, that we acquire upon conversion of non-performing mortgage loans or directly. The success of our business model substantially depends on conditions in the applicable sales or rental markets in the relevant geographic markets, including, among other things, occupancy and rent levels. If those assumptions prove to be inaccurate, our operating results and cash available for distribution could be lower than expected, potentially materially.

Rental rates and occupancy levels for single-family residential properties have benefited in recent periods from macroeconomic trends affecting the U.S. economy and residential real estate and mortgage markets in particular, including:

•increases in housing costs which make the traditional concept of home ownership, especially for younger workers, more difficult;

•a tightening of credit that has made it more difficult to finance a home purchase, combined with efforts by consumers generally to reduce their exposure to credit;

•economic and employment conditions that have increased foreclosure rates; and

•a concentration of high-paying employment opportunities in certain large metropolitan areas currently experiencing significant HPA is pricing homes beyond the reach of many buyers, and also forcing reductions in HPA in outlying areas.

The single-family rental market is currently significantly larger than in historical periods. We do not expect the favorable trends in the single-family rental market to continue indefinitely. The strengthening of the U.S. economy and job

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growth, the current availability of low residential mortgage rates and government-sponsored programs promoting home ownership, may contribute to a stabilization or reversal of the current trend that favors renting rather than homeownership. In addition, we expect that as investors increasingly seek to capitalize on opportunities to purchase undervalued housing properties and convert them to productive uses, the supply of single-family rental properties will decrease and the competition for tenants will intensify. To the extent that a significant portion of our business becomes single-family rentals, a softening of the rental property market in our markets could adversely affect our operating results and cash available for distribution, potentially materially.

We may incur significant costs in restoring our properties, and we may underestimate the costs or amount of time necessary to complete restorations.

Before determining whether to rent or sell any of our properties, the Servicer will perform a detailed assessment, including on-site reviews of such properties, to identify the scope of restoration to be completed. Beyond customary repairs, we may undertake improvements designed to optimize overall property appeal and increase the value and rentability of the property when such improvements can be done cost effectively. To the extent properties are occupied, restorations may be postponed until the premises are vacated. We expect that nearly all of our properties will require some level of restoration immediately upon their acquisition or in the future following expiration of a lease or otherwise. We may acquire properties that we plan to restore extensively. In addition, in order to reposition properties in the rental market, we will be required to make ongoing capital improvements and may need to perform significant restorations and repairs from time to time. Consequently, we are exposed to the risks inherent in property restoration, including potential cost overruns, increases in labor and material costs, delays by contractors in completing work, delays in the timing of receiving necessary work permits and certificates of occupancy and poor workmanship. If our assumptions regarding the cost or timing of restorations across our properties prove to be materially inaccurate, we could be materially and adversely affected.

Contingent or unknown liabilities could materially and adversely affect us.

Our acquisition activities are subject to many risks. We may acquire properties that are subject to unknown or contingent liabilities, including liabilities for or with respect to liens attached to properties, unpaid real estate taxes, utilities or other charges for which a prior owner remains liable, clean-up or remediation of environmental conditions or code violations, claims of vendors or other persons dealing with the acquired properties and tax liabilities, among other things. In each case, our acquisition may be without any, or with only limited, recourse with respect to unknown or contingent liabilities or conditions. As a result, if any such liability were to arise relating to our properties, or if any adverse condition exists with respect to our properties that is in excess of our insurance coverage, we might have to pay substantial sums to settle or cure it, which could materially and adversely affect us. The properties we acquire may also be subject to covenants, conditions or restrictions that restrict the use or ownership of such properties, including zoning laws and regulations and prohibitions on leasing or on tenant evictions, or requirements to obtain the approval of home owner associations prior to leasing. We may not discover such restrictions during the acquisition process and such restrictions may adversely affect our ability to operate such properties as we intend.

Poor tenant selection and defaults by our tenants may materially and adversely affect us.

Our success with any REO that we may seek to rent will depend, in large part, upon our Servicer’s ability to attract and retain qualified tenants for our properties, whether residential or commercial. This will depend, in turn, upon our ability to screen applicants, identify good tenants and avoid tenants who may default. We will inevitably make mistakes in our selection of tenants, and we may rent to tenants whose default on our leases or failure to comply with the terms of the lease or other regulations could materially and adversely affect us and the quality and value of our properties. For example, tenants may default on payment of rent, make unreasonable and repeated demands for service or improvements, make unsupported or unjustified complaints to regulatory or political authorities, make use of our properties for illegal purposes, damage or make unauthorized structural changes to our properties that may not be fully covered by security deposits, refuse to leave the property when the lease is terminated, engage in domestic violence or similar disturbances, disturb nearby residents with noise, trash, odors or eyesores, fail to comply with applicable regulations, sub-let to less desirable individuals in violation of our leases or permit unauthorized persons to occupy the property.

In addition, defaulting tenants will often be effectively judgment-proof. The process of evicting a defaulting tenant from a family residence can be adversarial, protracted and costly. Furthermore, some tenants facing eviction may damage or destroy the property. Damage to our properties may significantly delay re-leasing after eviction, necessitate expensive repairs or impair the rental revenue or value of the property. In addition, we will incur turnover costs associated with re-leasing the properties, such as marketing expense and brokerage commissions, and will not collect revenue while the property is vacant. Although we will attempt to work with tenants to prevent such damage or destruction, there can be no assurance that we will be

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successful in all or most cases. Such tenants will not only cause us not to achieve our financial objectives for the properties in which they live, but may subject us to liability, and may damage our reputation with our other tenants and in the communities where we do business.

A significant uninsured property or liability loss could have a material adverse effect on us.

We carry commercial general liability insurance and property insurance with respect to our rental properties on terms we consider commercially reasonable. There are, however, certain types of losses (such as losses arising from acts of war) that are not insured, in full or in part, because they are either uninsurable or the cost of insurance makes it economically impractical. If an uninsured property loss or a property loss in excess of insured limits were to occur, we could lose our capital invested in a single-family rental property or group of rental properties as well as the anticipated future revenues from such single-family rental property or group of properties. If an uninsured liability to a third party were to occur, we would incur the cost of defense and settlement with or court ordered damages to that third party. A significant uninsured property or liability loss could materially and adversely affect us.

We may be required to make determinations of a borrower’s creditworthiness based on incomplete information or information that we cannot verify, which may cause us to purchase or originate loans that we otherwise would not have purchased or originated and, as a result, may negatively impact our business or reputation.

The commercial real estate lending business depends on the creditworthiness of borrowers, which we must judge. In making such judgment, we may depend on information obtained from non-public sources and the borrowers in making acquisition decisions and such information may be difficult to obtain or may be inaccurate. As a result, we may be required to make decisions based on incomplete information or information that is impossible or impracticable to verify. A determination as to the creditworthiness of a prospective borrower is based on a wide range of information including, without limitation, information relating to the form of entity of the prospective borrower, which may indicate whether the borrower can limit the impact that its other activities have on its ability to pay obligations related to the SBC loan.

We may change our investment strategy, investment guidelines and asset allocation without notice or stockholder consent which may result in riskier investments. In addition, our charter provides that our Board of Directors may authorize us to revoke or otherwise terminate our REIT election without the approval of our stockholders.

Our Board of Directors has the authority to change our investment strategy or asset allocation at any time without notice to or consent from our stockholders. To the extent that our investment strategy changes in the future, we may make investments that are different from, and possibly riskier than, the investments described in this Annual Report. A change in our investment or leverage strategy may increase our exposure to interest rate and real estate market fluctuations or require us to sell a portion of our existing investments, which could result in gains or losses and therefore increase our earnings volatility. Decisions to employ additional leverage in executing our investment strategies could increase the risk inherent in our asset acquisition strategy. Furthermore, a change in our asset allocation could result in our allocating assets in a different manner than as described in this Annual Report.

In addition, our charter provides that our Board of Directors may authorize us to revoke or otherwise terminate our REIT election, without the approval of our stockholders, if it determines that it is no longer in our best interests to qualify as a REIT. These changes could adversely affect our financial condition, results of operations, the market value of our common stock, and our ability to make distributions to our stockholders.

Our inability to compete effectively in a highly competitive market could adversely affect our ability to implement our business strategy, which could materially and adversely affect us.

Our profitability depends, in large part, on our ability to acquire targeted assets at favorable prices. We face significant competition when acquiring RPLs and SBC loans and our other targeted assets. Our competitors include other mortgage REITs, financial companies, public and private funds, hedge funds, commercial and investment banks and residential and commercial finance companies. Many of our competitors are substantially larger and have considerably greater access to capital and other resources than we do. Furthermore, new companies with significant amounts of capital have recently been formed or have raised additional capital, and may continue to be formed and raise additional capital in the future, and these companies may have objectives that overlap with ours, which may create competition for assets we wish to acquire. Some competitors may have a lower cost of funds and access to funding sources that are not available to us. In addition, some of our competitors may have higher risk tolerances or different risk assessments, which could allow them to consider a wider variety of assets to acquire and establish more relationships than us. We also may have different operating constraints from those of our competitors including, among others, tax-driven constraints such as those arising from our intention to qualify and maintain our

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qualification as a REIT and restraints imposed on us by our attempt to comply with certain exclusions from the definition of an “investment company” or other exemptions under the Investment Company Act. Furthermore, competition for assets in our targeted asset classes may lead to the price of such assets increasing, may reduce the number of attractive RPL and SBC loan investment opportunities available to us or increase the bargaining power of asset owners seeking to sell, which would increase the prices for these assets. If such events occur, our ability to implement our business strategy could be adversely affected, which could materially and adversely affect us. We cannot assure you that the competitive pressures we face will not have a material adverse effect on our business, financial condition and results of operations.

Our ability to make distributions to our stockholders depends on our operating results, our financial condition and other factors, and we may not be able to make regular cash distributions at a fixed rate or at all under certain circumstances.

We make distributions to our stockholders in amounts such that we distribute substantially all of our taxable income in each year (subject to certain adjustments). This distribution policy enables us to avoid being subject to U.S. federal income tax on our taxable income that we distribute to our stockholders. However, our ability to make distributions depends on our results of operations, which may experience uneven cash flow because we hold RPLs and NPLs, our earnings, applicable law, our financial condition and such other factors as our Board of Directors may deem relevant from time to time. We will declare and make distributions to our stockholders only to the extent approved by our Board of Directors.

We are highly dependent on communications and information systems operated by third parties, and systems failures could significantly disrupt our business and negatively impact our operating results.

Our business is highly dependent on communications and information systems that allow us to monitor, value, buy, sell, finance and hedge our investments. These systems are operated by third parties, including our affiliates, and, as a result, we have limited ability to ensure continued operation. In the event of systems failure or interruption, we will have limited ability to affect the timing and success of systems restoration. Any failure or interruption of our systems could cause delays or other problems in our securities trading activities which could have a material adverse effect on our business, financial condition and results of operations and our ability to pay distributions to our stockholders.

Security breaches and other disruptions could compromise our information and expose us to liability, which would cause our business and reputation to suffer.

In the ordinary course of our business, we, through the Servicer, may acquire and store sensitive data on our network, such as our proprietary business information and personally identifiable information of borrowers obligated on loans and our prospective and current mortgages and tenants. The secure processing and maintenance of this information is critical to our business strategy. Despite our security measures, our information technology and infrastructure may be vulnerable to attacks by hackers or breached due to employee error, malfeasance or other disruptions. Any such breach could compromise our networks and the information stored there could be accessed, publicly disclosed, lost or stolen. Any such access, disclosure or other loss of information could result in legal claims or proceedings, liability under laws that protect the privacy of personal information, regulatory penalties, disruption to our operations and the services we provide to customers or damage our reputation, which could materially and adversely affect us.

The replacement of LIBOR with the Secured Overnight Financing Rate ("SOFR") may adversely affect our business and financial results.

On November 30, 2020, the Federal Reserve announced that LIBOR will be phased out and eventually replaced by June 2023. In the same announcement, banks were instructed to stop writing contracts using LIBOR by the end of 2021 and all contracts using LIBOR should wrap up by June 30, 2023. We expect that SOFR, published by Federal Reserve Bank of New York will replace U.S. Dollar LIBOR as the principal reference rate for U.S. Dollar-denominated floating rate instruments. However, the manner and timing of this shift is currently unknown. SOFR is an overnight rate instead of a term rate, making SOFR an inexact replacement for LIBOR. Market participants are still considering how various types of financial instruments and securitization vehicles should be modified following a discontinuation of LIBOR. It is possible that not all of our assets and liabilities will transition away from LIBOR at the same time, and it is possible that not all of our assets and liabilities will transition to the same alternative reference rate. No assurance can be provided that these uncertainties or their resolution will not adversely affect the use, level, and volatility of SOFR, LIBOR or other interest rates or the value of SOFR-based or LIBOR-based securities, including our mortgage loans. These uncertainties or their resolution also could negatively impact our loan and other asset values, interest income, funding costs, asset-liability management strategies, and other aspects of our business and financial results.

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Risks Related to Leverage and Hedging

We use leverage in executing our business strategy, which may adversely affect the return on our assets and may reduce cash available for distribution to our stockholders and increase losses when economic conditions are unfavorable.

We use leverage to finance our investment operations and to enhance our financial returns and potentially to pay dividends. Sources of leverage may include bank credit facilities, warehouse lines of credit, structured financing arrangements (including securitizations) and repurchase agreements, among others. We may also seek to raise additional capital through public or private offerings of debt or equity securities, depending upon market conditions. We may use repurchase agreements to acquire certain assets, including our internally developed MBS, until we can securitize the assets. Because repurchase agreements are short-term borrowing, typically with 30- to 90-day terms (although some may have terms up to 364 days), they are more subject to volatility in interest rates and lenders willingness to extend such borrowings. We currently do not expect a majority of our borrowings to be repurchase agreements or other short-term borrowings. Through the use of leverage, we may acquire positions with market exposure significantly greater than the amount of capital committed to the transaction. We intend to use leverage for the primary purpose of financing acquisitions for our portfolio and not for the purpose of speculating on changes in interest rates. We do not have a targeted debt-to-equity ratio generally or for specific asset classes. We may, however, be limited or restricted in the amount of leverage we may employ by the terms and provisions of any financing or other agreements that we may enter into in the future, and we may be subject to margin calls as a result of our financing activity. Our ability to achieve our investment and leverage objectives depends on our ability to borrow money in sufficient amounts and on favorable terms and, as necessary, to renew or replace borrowings as they mature.

Leverage magnifies both the gains and the losses of our positions. Leverage increases our returns as long as we earn a greater return on investments purchased with borrowed funds than our cost of borrowing such funds. However, if we use leverage to acquire an asset and the value of the asset decreases, the leverage increases our losses. Even if the asset increases in value, if the asset fails to earn a return that equals or exceeds our cost of borrowing, the leverage decreases our returns.

We may be required to post large amounts of cash as collateral or margin to secure our repurchase commitments. In the event of a sudden, precipitous drop in value of our financed assets, we might not be able to liquidate assets quickly enough to repay our borrowings, further magnifying losses. Even a small decrease in the value of a leveraged asset may require us to post additional margin or cash collateral. This may decrease the cash available to us for distributions to stockholders, which could adversely affect the price of our common stock. In addition, our debt service payments reduce cash flow available for distribution to stockholders. We may not be able to meet our debt service obligations. To the extent that we cannot meet our debt service obligations, we risk the loss of some or all of our assets to sale to satisfy our debt obligations.

To the extent we are compelled to liquidate qualifying real estate assets to repay debts, our compliance with the REIT rules regarding our assets and our sources of income could be negatively affected, which could jeopardize our ability to qualify and maintain our qualification as a REIT. Failing to qualify as a REIT would cause us to be subject to U.S. federal income tax (and any applicable state and local taxes) on all of our income and decrease profitability and cash available for distributions to stockholders.

We may not be able to achieve our optimal leverage or target leverage ratios.

We use leverage as a strategy to increase the return to our investors. However, we may not be able to achieve our desired leverage for any of the following reasons:

•we determine that the leverage would expose us to excessive risk;

•our lenders do not make funding available to us at acceptable rates or on acceptable terms; and

•our lenders require that we provide additional collateral to cover our borrowings which may be the case in volatile markets.

In addition, if we exceed our target leverage ratios, the potential adverse impact on our financial condition and results of operation described above may be amplified.

Non-recourse long-term financing structures such as securitizations expose us to risks that could result in losses to us.

We have used and intend to continue to use securitization and other non-recourse long-term financing for our investments if, and to the extent, available. In such structures, lenders typically have only a claim against the assets included in the securitizations rather than a general claim against the owner-entity. Prior to each such financing, we may seek to finance our investments with relatively short-term facilities until a sufficient portfolio is accumulated. As a result, we would be subject to

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the risk that we would not be able to acquire, during the period that any short-term facilities are available, sufficient eligible assets or securities to maximize the efficiency of a securitization.

We also bear the risk that we may not be able to obtain new short-term facilities or may not be able to renew any short-term facilities after they expire should we need more time to seek and acquire sufficient eligible assets or securities for a securitization. In addition, conditions in the capital markets may make the issuance of any such securitization less attractive to us even when we do have sufficient eligible assets or securities. While we retain and expect to retain the unrated equity component of securitizations and, therefore, still have exposure to any investments included in such securitizations, our inability to enter into such securitizations may increase our overall exposure to risks associated with direct ownership of such investments, including the risk of default. Additionally, the securitization of our portfolio could magnify our exposure to losses because any equity interest we retain in the issuing entity would be subordinate to the notes issued to investors and we would, therefore, absorb all of the losses sustained with respect to a securitized pool of assets before the owners of the notes experience any losses. An inability to securitize our portfolio may adversely affect our performance and our ability to grow our business.

Our inability to refinance any short-term facilities would also increase our risk because borrowings thereunder would likely be recourse to us as an entity. If we are unable to obtain and renew short-term facilities or to consummate securitizations to finance our investments on a long-term basis, we may be required to seek other forms of potentially less attractive financing or to liquidate assets at an inopportune time or price.

Additionally, our secured debt is structured with multiple interest rate step-ups generally beginning after an initial three-year borrowing term. While we fully intend to refinance these borrowings at lower interest rates before the step-up date is reached, we cannot guarantee that we will be able to refinance these borrowings on favorable terms, or at all, potentially exposing us to higher amounts of interest expense.

Our failure to comply with covenants contained in any debt agreement, including as a result of events beyond our control, could result in an event of default that could materially and adversely affect our operating results and our financial condition.

We may enter into debt facilities that will require us to comply with various operational, reporting and other covenants that limit us from engaging in certain types of transactions. If there were an event of default under our debt facilities that was not cured or waived, the holders of the defaulted debt could cause all amounts outstanding with respect to that debt to be immediately due and payable. We cannot assure you that our assets or cash flow would be sufficient to fully repay borrowings under our outstanding debt instruments, either upon maturity or if accelerated, upon an event of default, or that we would be able to refinance or restructure the payments on those debt instruments.

Hedging against interest rate changes and other risks may materially adversely affect our business, financial condition and results of operations and our ability to make distributions to our stockholders.

Subject to qualifying and maintaining our qualification as a REIT and exemption from registration under the Investment Company Act, we may pursue various hedging strategies to seek to reduce our exposure to adverse changes in interest rates. Our hedging activity would vary in scope based on the level and volatility of interest rates, the types of liabilities and assets held and other changing market conditions. Interest rate hedging may fail to protect or could adversely affect us because, among other things:

•interest rate hedging can be expensive, particularly during periods of rising and volatile interest rates;

•available interest rate hedges may not correspond directly with the interest rate risk for which protection is sought;

•the duration of the hedge may not match the duration of the related assets or liabilities being hedged;

•to the extent hedging transactions do not satisfy certain provisions of the Code or are not made through a TRS, the amount of income that a REIT may earn from hedging transactions to offset interest rate losses is limited by the Code provisions governing REITs;

•the value of derivatives used for hedging is adjusted from time to time in accordance with accounting rules to reflect changes in fair value; and downward adjustments, or “mark to market losses,” would reduce our stockholders’ equity;

•the credit quality of the hedging counterparty owing money on the hedge may be downgraded to such an extent that it impairs our ability to sell or assign our side of the hedging transaction; and

•the hedging counterparty owing money in the hedging transaction may default on its obligation to pay.

Our hedging transactions, which would be intended to limit losses, may actually adversely affect our earnings, which could reduce our cash available for distribution to our stockholders.

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Risks Related to Regulatory and Legislative Actions

We operate in a highly regulated industry and continually changing U.S. federal, state and local laws and regulation could materially adversely affect our business, financial condition and results of operations and our ability to pay dividends to our stockholders.

The residential mortgage industry is highly regulated. We and our Manager are required to comply with a wide array of U.S. federal, state and local laws and regulations that regulate, among other things, the manner in which each of us conducts our businesses. These regulations directly impact our business and require constant compliance, monitoring and internal and external audits. A material failure to comply with any of these laws or regulations could subject us and our Manager to lawsuits or governmental actions and damage our reputation, which could materially adversely affect our business, financial condition and results of operations.

U.S. federal, state and local governments frequently propose or enact new laws, regulations and rules related to mortgage loans, including servicing and collection of mortgage loans. Laws, regulations, rules and judicial and administrative decisions relating to mortgage loans include those pertaining to Real Estate Settlement Procedures Act (“RESPA”), equal credit opportunity, fair lending, fair credit reporting, truth in lending, fair debt collection practices, service members protections, compliance with net worth and financial statement delivery requirements, compliance with U.S. federal and state disclosure and licensing requirements, the establishment of maximum interest rates, finance charges and other charges, qualified mortgages, secured transactions, payment processing, escrow, loss mitigation, collection, foreclosure, repossession and claims-handling procedures, and other trade practices and privacy regulations providing for the use and safeguarding of non-public personal financial information of borrowers. Our service providers, including the Servicer and outside foreclosure counsel retained to process foreclosures, must also comply with many of these legal requirements.

In particular, the Dodd-Frank Act resulted in a comprehensive overhaul of the financial services industry in the United States and includes, among other things (i) the creation of a Financial Stability Oversight Council to identify emerging systemic risks posed by financial firms, activities and practices, and to improve cooperation among U.S. federal agencies, (ii) the creation of the CFPB, authorized to promulgate and enforce consumer protection regulations relating to financial products and services, including mortgage lending and servicing, and to exercise supervisory authority over participants in mortgage lending and mortgage servicing, (iii) the establishment of strengthened capital and prudential standards for banks and bank holding companies, (iv) enhanced regulation of financial markets, including the derivatives and securitization markets, and (v) amendments to the TILA, and the RESPA, aimed at improving consumer protections with respect to mortgage originations and mortgage servicing, including disclosures, originator compensation, minimum repayment standards, prepayment considerations, appraisals and loss mitigation and other servicing requirements. Unpredictable events, such as the recent COVID-19 pandemic, may create economic shocks, to which federal, state, and local governments respond with new borrower and tenant rights and protections. Certain federal and state regulators continue to consider proposals to apply regulatory prudential standards to nonbank servicers, which may impact how our service providers, including the Servicer, are regulated. In addition, the current presidential administration may focus supervision and enforcement tools more aggressively on residential mortgage lenders and servicers, which could result in increased regulatory scrutiny and potentially increased penalties assessed for determinations of non-compliance with applicable requirements.

In addition, although we do not intend to acquire MBS in which the underlying mortgage loans are guaranteed or insured by any GSE or U.S. governmental agency, actions taken by or proposed to be taken by, among others, FHFA, the U.S. Treasury, the Federal Reserve Board or other U.S. governmental agencies that are intended to regulate the origination, underwriting guidelines, servicing guidelines, servicing compensation and other aspects of mortgage loans guaranteed by the GSEs or U.S. governmental agencies (known as “Agency RMBS”) can have indirect and sometimes direct effects on our business and business model, results of operations and liquidity. For example, loan originators and servicers, investors and other participants in the mortgage securities markets may use regulatory guidelines intended for Agency RMBS as guidelines or operating procedures in respect of non-Agency RMBS. In addition, changes in underwriting guidelines for Agency RMBS generally affect the supply of similar or complementary non-Agency RMBS.

Our Manager’s or our Servicer’s failure to comply with these laws, regulations and rules may result in reduced payments by borrowers, modification of the original terms of mortgage loans, permanent forgiveness of debt, restrictions on tenant evictions, delays in the foreclosure process, increased servicing advances, litigation, enforcement actions, and repurchase and indemnification obligations.

We expect that legislative and regulatory changes will continue in the foreseeable future, which may increase our operating expenses, either to comply with applicable law, to deal with regulatory examinations or investigations, or to satisfy our lenders and investors that we are in compliance with those laws, regulations and rules that are applicable to our business.

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Any of these new, or changes in, laws, regulations or rules could adversely affect our business, financial condition and results of operations.

Certain jurisdictions require licenses to purchase, hold, enforce or sell residential mortgage loans. In the event that any such licensing requirement is applicable and we are not able to obtain such licenses in a timely manner or at all, our ability to implement our business strategy could be adversely affected, which could materially and adversely affect us.

Certain jurisdictions require a license to purchase, hold, enforce or sell residential mortgage loans. We currently do not hold any such licenses, and there is no assurance that we will be able to obtain them or, if obtained, that we will be able to maintain them. In connection with these licenses we would be required to comply with various information reporting and other regulatory requirements to maintain those licenses, and there is no assurance that we will be able to satisfy those requirements on an ongoing basis. Our failure to obtain or maintain such licenses or our inability to enter into another regulatory-compliant structure, such as establishing a trust with a federally chartered bank as trustee to purchase and hold the residential mortgage loans, could restrict our ability to invest in loans in these jurisdictions if such licensing requirements are applicable. In lieu of obtaining such licenses, we may contribute our acquired RPLs to one or more wholly owned trusts whose trustee is a national bank, which may be exempt from state licensing requirements, or the seller of such loans may continue to hold the loans on our behalf until we obtain the applicable state license. If required, we will form one or more subsidiaries that will apply for necessary state licenses. If these subsidiaries obtain the required licenses, any trust holding loans in the applicable jurisdictions may transfer such loans to such subsidiaries, resulting in these loans being held by a state-licensed entity. There can be no assurance that we will be able to obtain the requisite licenses in a timely manner or at all or in all necessary jurisdictions, or that the use of the trusts will reduce the requirement for licensing, any of which could limit our ability to invest in residential mortgage loans. Our failure to obtain and maintain required licenses may expose us to penalties or other claims and may affect our ability to acquire an adequate and desirable supply of mortgage loans to conduct our securitization program and, as a result, could harm our business.

We could be subject to liability for potential violations of predatory lending laws, which could materially adversely affect our business, financial condition and results of operations and our ability to make distributions to our stockholders.

Residential mortgage loan originators and servicers are required to comply with various U.S. federal, state and local laws and regulations, including anti-predatory lending laws and laws and regulations imposing certain restrictions on requirements on “high cost” loans. Failure of our Manager or service providers to comply with these laws could subject us, as an assignee or purchaser of the related residential mortgage loans, to monetary penalties and could result in impairment in the ability to foreclose such loans or the borrowers rescinding the affected residential mortgage loans. Lawsuits have been brought in various states making claims against assignees or purchasers of high cost loans for violations of state law. Named defendants in these cases have included numerous participants within the secondary mortgage market. If the loans are found to have been originated in violation of predatory or abusive lending laws, we could incur losses, which could materially adversely affect our business, financial condition and results of operations and our ability to make distributions to our stockholders.

Changes to U.S. federal income tax laws could materially and adversely affect us and our stockholders.

The present U.S. federal income tax treatment of REITs and their shareholders may be modified, possibly with retroactive effect, by legislative, judicial or administrative action at any time, which could affect the U.S. federal income tax treatment of an investment in our shares. The U.S. federal income tax rules, including those dealing with REITs, are constantly under review by persons involved in the legislative process, the IRS and the U.S. Treasury Department, which results in statutory changes as well as frequent revisions to regulations and interpretations.

Risks Related to Our Management and Our Relationship with Our Manager, the Servicer and Aspen

We have conflicts of interest with our Manager, the Servicer and Aspen, and certain members of our Board of Directors, as well as our management team, have, or could have in the future, conflicts of interest due to their respective relationships with these entities, and such conflicts could be resolved in a manner adverse to us.

Conflicts between us and our Manager. Our Manager manages our business, investment activities and affairs pursuant to the Management Agreement. This agreement was not negotiated at arm’s length and, accordingly, could contain terms, including the basis of calculation of the amount of the fees payable to our Manager, that are less favorable to us than similar agreements negotiated with unaffiliated third parties. Furthermore, the calculation of our Manager’s incentive fee is based on, among other measures, the dividends declared by our Board of Directors. In evaluating investments and other management strategies, the opportunity to earn incentive compensation may lead our Manager to place undue emphasis on the maximization of dividends at the expense of other criteria, such as preservation of capital, in order to achieve higher incentive compensation.

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Investments with higher yield potential are generally riskier or more speculative. This could result in increased risk to the value of our investment portfolio.

As an externally managed REIT, we are entirely managed by our Manager, which negotiates all our agreements and deals with all our contractual counterparties on our behalf. For example, our Manager acts for us in connection with the Servicing Agreement, including monitoring the performance of our Servicer under the agreement and exercising any available rights or remedies on our behalf. Our Manager and our Servicer are affiliates. Each of our officers is an officer of our Manager or the Servicer.

Conflicts between us and the Servicer. The Servicing Agreement was also not negotiated at arm’s length and could contain terms that are less favorable to us than similar agreements negotiated with unaffiliated third parties. In addition, the Servicer is generally not prohibited from providing similar services to other owners of mortgage loans and real estate assets, including other affiliates of Aspen.

Particular risks associated with our license for the name “Great Ajax.” If the Management Agreement expires or is terminated for any reason, the trademark license agreement pursuant to which we license the mark “Great Ajax” from Aspen will also terminate within 30 days. Upon any such termination, we would be required to cease doing business using the name “Great Ajax” and would have to change our corporate name, both of which could have a material adverse effect upon our business. All goodwill associated with our use of the mark “Great Ajax” is not our asset and such goodwill cannot be transferred by us to a third party. In addition, we need to obtain the consent of Aspen before we are permitted to register the licensed mark in any jurisdiction in the world. Failure to obtain such consent could have a material adverse effect on us, including our ability to expand our business into new jurisdictions.

Our Management team may engage in other activities and may have interests that conflict with ours. Our Manager and members of its management team may engage in any other business or render similar or different services to others including, without limitation, the direct or indirect sponsorship or management of other investment-based accounts or commingled pools of capital, so long as its services to us are not impaired thereby; provided that it may not engage in any such business or provide such services to any other entity that invests in the asset classes in which we intend to invest so long as we have on hand an average of $25.0 million in capital available for investment over the previous two fiscal quarters or our independent directors determine that we have the ability to raise capital at or above our most recent book value. If this occurs, our Manager or members of its management team may devote a disproportionate amount of time and other resources to acquire or manage properties owned by others. In addition, Aspen has agreed, for itself and its subsidiaries, including our Servicer, to similar restrictions on their ability to compete with us. We will seek to manage any potential conflicts through provisions of our agreements with them and through oversight by independent members of our Board of Directors or general dispute resolution methods. However, there can be no assurance that such measures will be effective, that we will be able to resolve all conflicts with our Manager, our Servicer and Aspen or that the resolution of any such conflicts will be no less favorable to us than if we were dealing with unaffiliated third parties.

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, with warrants to purchase an additional equity interest in GAFS. Flexpoint Great Ajax Holdings LLC (“Flexpoint REIT Investor”) an affiliate of an investment fund managed by Flexpoint Ford LLC is one of our larger investors and owns 17.3% of our shares of series A preferred stock as of March 2, 2022. Also, investors consisting of an investment fund for which Wellington Management Company LLP is the investment adviser and one or more other investment advisory clients of Wellington Management Company LLP (collectively, the “Wellington Investors”) owns 17.11% of our outstanding common stock as of March 2, 2022. In addition, Flexpoint REIT Investor and one of the Wellington Investors each own 26.73% of our Manager, and 9.03% of Great Ajax FS LLC (“GAFS”), the parent of the Servicer, with warrants to purchase an additional equity interest in GAFS. Mr. Mendelsohn controls 50% of the manager of Aspen, which owns a 26.73% investment in our Manager and a 73.94% interest in GAFS, and has certain economic and/or management rights with respect to approximately 9.22% of the interests in Aspen. Furthermore, each of our executive officers is an executive officer of our Manager or the Servicer or both and has interests in our relationship with them that may be different from the interests of our stockholders. In particular, these individuals, other than the chief financial officer, have a direct interest in the financial success of our Manager or the Servicer, which may encourage these individuals to support strategies in furtherance of their financial success that adversely affect us. Such ownership creates conflicts of interest when such directors or members of our management team are faced with decisions that involve us and our Manager, our Servicer, Aspen or any of their respective subsidiaries. See “Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters” and “Item 13. Certain Relationships and Related Transactions and Director Independence — Agreements with Anchor Investors.”

Our Board of Directors has approved a very broad investment policy and guidelines for our Manager and will not review or approve each investment decision. We may change our investment policy and guidelines without stockholder consent, which

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may materially and adversely affect the market price of our common stock and our ability to make distributions to our stockholders.

Our Manager is authorized to follow a very broad investment policy and guidelines and, therefore, has great latitude in determining the types of assets that are proper investments for us, as well as the individual investment decisions. In the future, our Manager may make investments with lower rates of return than those anticipated under current market conditions and/or may make investments with greater risks to achieve those anticipated returns. Our Board of Directors will periodically review our investment policy and guidelines and our investment portfolio but will not review or approve each proposed investment by our Manager unless it falls outside the scope of our previously approved investment policy and guidelines or constitutes a related party transaction.

In addition, in conducting periodic reviews, our Board of Directors relies primarily on information provided to it by our Manager. Furthermore, our Manager may use complex strategies. Transactions entered into by our Manager may be costly, difficult or impossible to unwind by the time they are reviewed by our Board of Directors. In addition, we may change our investment policy and guidelines and targeted asset classes at any time without the consent of our stockholders, and this could result in our making investments that are different in type from, and possibly riskier than, our current investments or the investments currently contemplated. Changes in our investment policy and guidelines and targeted asset classes may increase our exposure to interest rate risk, counterparty risk, default risk and real estate market fluctuations, which could materially and adversely affect us.

We depend on our Manager. We may not be able to retain our engagement of our Manager under certain circumstances, which could materially and adversely affect us. Termination of our Manager by us without cause is difficult and costly and our agreements with our Servicer may simultaneously terminate or be terminated, as applicable.

Our success depends upon our relationships with and the performance of our Manager and its key personnel. Key personnel may leave its employment or may become distracted by financial or operational issues in connection with their business and activities unrelated to us and over which we have no control or may fail to perform for any reason. Our Manager may engage in any other business or render similar or different services to others, including, without limitation, the direct or indirect sponsorship or management of other investment-based accounts or commingled pools of capital, so long as its services to us are not impaired thereby; provided that our Manager may not engage in any such business or provide such services to any other entity that invests in the asset classes in which we intend to invest so long as we have on hand an average of $25 million in capital available for investment over the previous two fiscal quarters or our independent directors determine that we have the ability to raise capital at or above our most recent book value. Aspen Capital has agreed for itself and its subsidiaries to similar restrictions. In the event our Manager provides its services to a competitor, it may be difficult for us to secure a suitable replacement to our Manager on favorable terms, or at all or maintain our engagement of our Manager. In the event that the Management Agreement is terminated for any reason or our Manager is unable to retain its key personnel, it may also be difficult for us to secure a suitable replacement to our Manager on favorable terms, or at all. If we terminate the Management Agreement without cause thereafter or our Manager terminates the Management Agreement due to our default in the performance of any material term of the Management Agreement, we will be required to pay a significant termination fee. In addition, the Management Agreement will automatically terminate at the same time as the Servicing Agreement if the Servicing Agreement is terminated for any reason. If the Management Agreement expires or is earlier terminated, we and our Servicer have certain rights to terminate the Servicing Agreement and the trademark license agreement will automatically terminate. The occurrence of any of the above-described events could materially and adversely affect us.

The incentive fee payable to our Manager under the Management Agreement will be payable quarterly based on the dividends declared by our Board of Directors and may cause our Manager to select investments in more risky assets to increase its incentive compensation.

Our Manager will be entitled to receive incentive compensation based upon, among other measures, the dividends declared by our Board of Directors in its discretion. In evaluating investments and other management strategies, the opportunity to earn incentive compensation may lead our Manager to place undue emphasis on the maximization of dividends at the expense of other criteria, such as preservation of capital, in order to achieve higher incentive compensation. Investments with higher yield potential are generally riskier or more speculative. This could result in increased risk to the value of our investment portfolio.

The Servicing Agreement was not negotiated at arm’s length.

Under the Servicing Agreement, the Servicer provides us with critically important services, including, among many others, the servicing of our whole mortgage loans, including the mortgage loans underlying our MBS, loan modification

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services, assisted deed-in-lieu of foreclosure services, assisted deed-for-lease services and other loss mitigation services with respect to our mortgage loans and property management, leasing management and renovation management services with respect to our real property assets and assistance in finding third party financing for such properties. The Servicing Agreement has an initial term of 15 years, expiring July 8, 2029. We may not terminate the Servicing Agreement except for cause or if we terminate the Management Agreement for cause, the Servicer may terminate the Servicing Agreement without cause by providing written notice to us no later than 180 days prior to December 31 of any year, and the Servicing Agreement will terminate effective on the December 31 next following the delivery of such notice. The Servicing Agreement also provides that the Servicer may terminate the agreement within 180 days after receiving notice that the Management Agreement has terminated, without any termination payment by us if the Management Agreement has been terminated for cause. If the Management Agreement has been terminated other than for cause and the Servicer terminates the Servicing Agreement, we will be required to pay a significant termination fee. The Management Agreement will automatically terminate at the same time as the Servicing Agreement if the Servicing Agreement is terminated for any reason. Upon any termination of the Servicing Agreement, it may be difficult for us to secure suitable replacements or we may secure alternative servicers with less effective servicing platforms or at greater expense. In addition, the Servicer has no liability to us for its negligence in performing services for us under the Servicing Agreement, unless that negligence rises to the level of gross negligence or willful misconduct. The material terms of the Servicing Agreement are further described in “Item 1. Business — The Servicer.” The Servicing Agreement was not negotiated at arm’s length; accordingly, it may contain terms that are less favorable to us than agreements negotiated with one or more unaffiliated third parties might contain.

Failure of our Servicer to effectively perform its obligations under the Servicing Agreement could materially and adversely affect us.

We are contractually obligated to service the residential mortgage loans that we acquire and we must operate or provide for the operation of the real estate assets we will own. We do not have any employees, a servicing platform, licenses or technical resources necessary to service our acquired loans. Consequently, we have engaged our Servicer to service our mortgage loans and other real estate assets. If for any reason our Servicer is unable to service these loans or real estate assets at the level and/or the cost that we anticipate, or if we fail to pay our Servicer or otherwise default under the Servicing Agreement, and our Servicer ceases to act as our servicer, alternate service providers may not be readily available on favorable terms, or at all, which could adversely affect our Manager’s performance under the Management Agreement and our business and results of operations. Our Servicer’s failure to perform the services under the Servicing Agreement would have a material adverse effect on us. Currently, we are our Servicer’s largest customer.

Pursuant to the terms of the Servicing Agreement, our Servicer is required to pay taxes, insurance and other charges when the borrower does not have sufficient funds in to pay the amounts themselves or when the loan has converted to REO. Our Servicer generally recovers these amounts from the liquidation proceeds from the underlying loans or REO. In the event our Servicer is unable to fund these borrower or REO charges, we might have to advance the funds to protect our interest in the loan or REO. This advancing in advance of receiving liquidation proceeds could place a strain on our operating capital, our Servicer’s operating capital, and our ability to invest in additional assets.

Our Manager has a contractually defined duty to us rather than a fiduciary duty.

Under the Management Agreement, our Manager has a contractual, as opposed to a fiduciary, relationship with us that limits its obligations to us to those specifically set forth in the Management Agreement. The ability of our Manager and its officers and employees to engage in other business activities may reduce the time it spends managing us. In addition, unlike the relationship we have with our directors, there is no statutory standard of conduct under the Maryland General Corporation Law (the “MGCL”) for officers of a Maryland corporation. Officers of a Maryland corporation, including our officers who are employees of our Manager, are subject to general agency principles including the exercise of reasonable care and skill in the performance of their responsibilities as well as the duties of loyalty, good faith and candid disclosure.

Risks Related to Our Organizational Structure

Maintenance of our exclusion from regulation as an investment company under the Investment Company Act imposes significant limitations on our operations.

We intend to continue to conduct our operations so that neither we nor any of our subsidiaries is required to register as an investment company under the Investment Company Act. We are organized as a holding company and we conduct our business primarily through wholly owned subsidiaries of our Operating Partnership. Neither we nor our Operating Partnership nor Great Ajax Funding is an investment company under Section 3(a)(1)(C). The securities issued by our subsidiaries that are excluded from the definition of “investment company” under Section 3(c)(1) or Section 3(c)(7) of the Investment Company

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Act, together with other investment securities we may own, cannot exceed 40% of the value of all our assets (excluding U.S. government securities and cash) on an unconsolidated basis. This requirement limits the types of businesses in which we may engage and the assets we may hold. Our 19.8% equity interest in our Manager and our 8.0% equity interest in the parent company of our Servicer are held by GA-TRS, which is a special purpose subsidiary of our Operating Partnership, and GA-TRS may rely on Section 3(c)(1) or Section 3(c)(7) for its Investment Company Act exclusion and, therefore, our interest in such subsidiary would constitute an “investment security” for purposes of determining whether we pass the 40% test (see “Item 1. Business — Operating and Regulatory Structure — Investment Company Act Exclusion” for additional information regarding the 40% test).

Certain of our subsidiaries may rely on the exclusion provided by Section 3(c)(5)(C) under the Investment Company Act. Section 3(c)(5)(C) of the Investment Company Act is designed for entities “primarily engaged in the business of purchasing or otherwise acquiring mortgages and other liens on and interests in real estate.” This exclusion generally requires that at least 55% of the entity’s assets on an unconsolidated basis consist of qualifying real estate assets and at least 80% of the entity’s assets consist of qualifying real estate assets or real estate-related assets. These requirements limit the assets those subsidiaries can own and the timing of sales and purchases of those assets.

To classify the assets held by our subsidiaries as qualifying real estate assets or real estate-related assets, we will rely on no-action letters and other guidance published by the SEC staff regarding those kinds of assets, as well as upon our analyses (in consultation with outside counsel) of guidance published with respect to other types of assets. There can be no assurance that the laws and regulations governing the Investment Company Act status of companies similar to ours, or the guidance from the SEC or its staff regarding the treatment of assets as qualifying real estate assets or real estate-related assets, will not change in a manner that adversely affects our operations. In fact, in August 2011, the SEC published a concept release in which it asked for comments on this exclusion from regulation. To the extent that the SEC staff provides more specific guidance regarding any of the matters bearing upon our exemption from the need to register under the Investment Company Act, we may be required to adjust our strategy accordingly. Any additional guidance from the SEC staff could further inhibit our ability to pursue the strategies that we have chosen. Furthermore, although we intend to monitor the assets of our subsidiaries regularly, there can be no assurance that our subsidiaries will be able to maintain their exclusion from registration. Any of the foregoing could require us to adjust our strategy, which could limit our ability to make certain investments or require us to sell assets in a manner, at a price or at a time that we otherwise would not have chosen. This could negatively affect the value of our common stock, the sustainability of our business model and our ability to make distributions.

Registration under the Investment Company Act would require us to comply with a variety of substantive requirements that impose, among other things:

•limitations on capital structure;

•restrictions on specified investments;

•restrictions on leverage or senior securities;

•restrictions on unsecured borrowings;

•prohibitions on transactions with affiliates; and

•compliance with reporting, record keeping, voting, proxy disclosure and other rules and regulations that would significantly increase our operating expenses.

If we were required to register as an investment company but failed to do so, we could be prohibited from engaging in our business, and criminal and civil actions could be brought against us.

Registration with the SEC as an investment company would be costly, would subject us to a host of complex regulations and would divert attention from the conduct of our business, which could materially and adversely affect us. In addition, if we purchase or sell any real estate assets to avoid becoming an investment company under the Investment Company Act, our net asset value, the amount of funds available for investment and our ability to pay distributions to our stockholders could be materially adversely affected.

The ownership limit in our charter may discourage a takeover or business combination that may have benefited our stockholders.

To assist us in qualifying as a REIT, among other purposes, our charter generally limits the beneficial or constructive ownership of our (a) common stock by any person to no more than 9.8% in value or in number of shares, whichever is more restrictive, of the aggregate of the outstanding shares of our common stock and (b) capital stock by any person to no more than 9.8% in value or in number of shares, whichever is more restrictive, of the aggregate of the outstanding shares of our capital stock. We have waived these ownership limits, to a certain extent, for Flexpoint REIT Investor, the Wellington Investors and

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certain other investors. This and other restrictions on ownership and transfer of our shares of stock contained in our charter may discourage a change of control of us and may deter individuals or entities from making tender offers for our common stock on terms that might be financially attractive to you or which may cause a change in our management. In addition to deterring potential transactions that may be favorable to our stockholders, these provisions may also decrease your ability to sell our common stock.

Our stockholders’ ability to control our operations is limited.

Our Board of Directors approves our major strategies, including our strategies regarding investments, financing, growth, debt capitalization, REIT qualification and distributions. Our Board of Directors may amend or revise these and other strategies without a vote of our stockholders. Further, Flexpoint REIT Investor and the Wellington Investors own significant portions of our common stock, will continue to have significant influence over us, and may have conflicts of interest with us or you now or in the future.

Certain provisions of Maryland law could inhibit a change in our control.

Certain provisions of the MGCL may have the effect of inhibiting a third party from making a proposal to acquire us or impeding a change of control under circumstances that otherwise could provide our stockholders with the opportunity to realize a premium over the then-prevailing market price of our common stock, including:

•“business combination” provisions that, subject to limitations, prohibit certain business combinations between us and an “interested stockholder” (defined generally as any person who beneficially owns 10% or more of the voting power of our outstanding voting stock or an affiliate or associate of ours who, at any time within the two-year period immediately prior to the date in question, was the beneficial owner of 10% or more of the voting power of our then-outstanding stock) or an affiliate of an interested stockholder for five years after the most recent date on which the stockholder became an interested stockholder, and thereafter require two supermajority stockholder votes to approve any such combination; and

•“control share” provisions that provide that a holder of our “control shares” (defined as voting shares of stock which, when aggregated with all other shares of stock owned by the acquiror or in respect of which the acquiror is able to exercise or direct the exercise of voting power (except solely by virtue of a revocable proxy), entitle the acquiror to exercise one of three increasing ranges of voting power in electing directors) acquired in a “control share acquisition” (defined as the direct or indirect acquisition of ownership or control of issued and outstanding “control shares,” subject to certain exceptions) generally has no voting rights with respect to the control shares except to the extent approved by our stockholders by the affirmative vote of two-thirds of all the votes entitled to be cast on the matter, excluding all interested shares.

We elected to opt out of these provisions of the MGCL, in the case of the business combination provisions, by resolution of our Board of Directors exempting any business combination between us and any other person (provided that such business combination is first approved by our Board of Directors, including a majority of our directors who are not affiliates or associates of such person), and in the case of the control share provisions, pursuant to a provision in our bylaws. We may not opt back in to either of these provisions without the approval of the holders of a majority of our shares of common stock.

Our authorized but unissued common and preferred stock may prevent a change in control of the company.

Our charter authorizes us to issue additional authorized but unissued common stock and preferred stock without stockholder approval. In addition, our Board of Directors may, without stockholder approval, (i) amend our charter to increase or decrease the aggregate number of our shares of stock or the number of shares of any class or series of stock that we have authority to issue and (ii) classify or reclassify any unissued common stock or preferred stock and set the preferences, rights and other terms of the classified or reclassified shares. As a result, among other things, our board may establish a class or series of common stock or preferred stock that could delay or prevent a transaction or a change in control of the company that might involve a premium price for our common stock or otherwise be in the best interests of our stockholders.

Our rights and the rights of our stockholders to take action against our directors and officers are limited, which could limit your recourse in the event of actions not in your best interest.

Our charter limits the liability of our present and former directors and officers to us and our stockholders for money damages to the maximum extent permitted under Maryland law. Under current Maryland law, our present and former directors and officers will not have any liability to us or our stockholders for money damages other than liability resulting from:

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•actual receipt of an improper benefit or profit in money, property or services; or

•active and deliberate dishonesty by the director or officer that was established by a final judgment and is material to the cause of action.

In addition, our charter authorizes us to indemnify our present and former directors and officers for actions taken by them in those and other capacities to the maximum extent permitted by Maryland law and our bylaws require us to indemnify our present and former directors and officers, to the maximum extent permitted by Maryland law, in the defense of any proceeding to which he or she is made, or threatened to be made, a party by reason of his or her service to us as a director or officer in these and other capacities. In addition, we may be obligated to pay or reimburse the expenses incurred by our present and former directors and officers without requiring a preliminary determination of their ultimate entitlement to indemnification. As a result, we and our stockholders may have more limited rights against our present and former directors and officers than might otherwise exist absent the current provisions in our charter and bylaws or that might exist with other companies, which could limit your recourse in the event of actions not in your best interests.

Our charter contains provisions that make removal of our directors difficult, which could make it difficult for our stockholders to effect changes to our management.

Our charter provides that, except pursuant to a Special Election Meeting (as defined in the charter), subject to the rights of holders of one or more classes or series of preferred stock to elect or remove one or more directors, a director may be removed only for “cause” (as defined in our charter), and even then only by the affirmative vote of at least two-thirds of the votes entitled to be cast generally in the election of directors. At a Special Election Meeting, our Manager, the Servicer, Aspen Yo and our directors and officers shall not vote the shares of common stock they beneficially own in the election or removal of directors. At a Special Election Meeting, a majority of the votes entitled to be cast is required to remove a director. Vacancies may be filled only by a majority of the remaining directors in office, even if less than a quorum, for the full term of the directorship in which the vacancy occurred (other than vacancies among any directors elected by the holder or holders of any class or series of preferred stock, if such right exists). These requirements make it more difficult to change our management by removing and replacing directors and may prevent a change in our control that is in the best interests of our stockholders.

Our charter generally does not permit ownership in excess of 9.8% of our common stock or of our stock of all classes and series based on value or number of shares, and attempts to acquire our stock in excess of the stock ownership limit will be ineffective unless an exemption is granted by our Board of Directors. These provisions may restrict change of control or business combination opportunities in which our stockholders might receive a premium for their shares of common stock.

We elected to be taxed as a REIT for U.S. federal income tax purposes beginning with our taxable year ended December 31, 2014. In order for us to continue to qualify as a REIT, no more than 50% of the value of our outstanding shares of capital stock (after taking into account options to acquire shares of stock) may be owned, directly or constructively, by five or fewer individuals during the last half of any calendar year. “Individuals” for this purpose include natural persons, private foundations, some employee benefit plans and trusts, and some charitable trusts. In order to help us qualify as a REIT, among other purposes, our charter generally limits the beneficial or constructive ownership of our (a) common stock by any person to no more than 9.8% in value or in number of shares, whichever is more restrictive, of the aggregate of the outstanding shares of our common stock or (b) capital stock by any person to no more than 9.8% in value or in number of shares, whichever is more restrictive, of the aggregate of the outstanding shares of our capital stock. Our Board of Directors, in its sole and absolute discretion, may grant an exemption to certain of these prohibitions, subject to certain conditions and receipt by our Board of Directors of certain representations, covenants and undertakings. Our Board of Directors waived such limit in connection with the ownership by Flexpoint REIT Investor, the Wellington Investors and certain other investors. Our Board of Directors may also from time to time increase this ownership limit for one or more persons and may decrease such limit for all other persons. Any decrease in the ownership limit generally applicable to all stockholders will not be effective for any person whose percentage ownership of our stock is in excess of such decreased ownership limit until such time as such person’s percentage ownership of our stock equals or falls below such decreased ownership limit, but any further acquisition of our stock in excess of such decreased ownership limit will be in violation of the decreased ownership limit. Our Board of Directors may not increase the decreased ownership limit (whether for one person or all stockholders) if such increase would allow five or fewer individuals (including certain entities) to beneficially own more than 49.9% in value of our outstanding capital stock.

Our charter’s constructive ownership rules are complex and may cause the outstanding shares of our stock owned by a group of related individuals or entities to be deemed to be constructively owned by one individual or entity. As a result, the acquisition of less than 9.8% of the outstanding shares of any class or series of our stock by an individual or entity could cause that individual or entity to own constructively in excess of 9.8% of the outstanding shares of our common stock or of our stock of all classes and series and thus violate the ownership limits or other restrictions on ownership and transfer of our stock. Any attempt by a stockholder to own or transfer our stock in excess of the ownership limit without the consent of our Board of

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Directors or in a manner that would cause us to be “closely held” under Section 856(h) of the Code (without regard to whether the stock is held during the last half of a taxable year) or would otherwise cause us to fail to qualify as a REIT will result in the stock being automatically transferred to a trustee for a charitable trust or, if the transfer to the charitable trust is not automatically effective to prevent a violation of the stock ownership limit or the restrictions on ownership and transfer of our stock, any such transfer of our shares will be void ab initio. Further, any transfer of our stock that would result in our shares being beneficially owned by fewer than 100 persons will be void ab initio.

These ownership limitations could have the effect of discouraging a takeover or other transaction in which holders of our shares of common stock might receive a premium for their shares of common stock over the then-prevailing market price or which holders might believe to be otherwise in their best interests.

Conflicts of interest could arise in the future as a result of our structure.

Conflicts of interest could arise in the future as a result of the relationships between us and our affiliates, on the one hand, and our Operating Partnership or any partner thereof, on the other. Our directors and officers have duties to our company under applicable Maryland law in connection with their oversight of the management of our company. At the same time, we, through our wholly owned subsidiary, will have fiduciary duties, as a general partner, to our Operating Partnership and to any partners thereof under Delaware law in connection with the management of our Operating Partnership. Our duties as a general partner to our Operating Partnership and any of its affiliates may come into conflict with the duties of our directors and officers. In the event of a conflict between the interests of our stockholders and the interests of the affiliates of our Operating Partnership, we will endeavor in good faith to resolve the conflict in a manner not adverse to either our stockholders or the affiliates; provided, that for so long as we own a controlling interest in our Operating Partnership, any such conflict that we, in our sole and absolute discretion, determine cannot be resolved in a manner not adverse to either our stockholders or the affiliates of our Operating Partnership will be resolved in favor of our stockholders.

Risks Related to Our Common Stock

The market price of our common stock may fluctuate, and you could lose all or part of your investment.

The stock market in general has been, and the market price of our common stock in particular will likely be, subject to fluctuation, whether due to, or irrespective of, our operating results and financial condition. Our financial performance, government regulatory action, tax laws, interest rates and market conditions in general could have a significant impact on the future market price of our common stock. Some of the other factors that could negatively affect our share price or result in fluctuations in our share price include:

•economic and public health impact as a result of the COVID-19 pandemic;

•weakening of the mortgage loan market;

•actual or anticipated variations in our quarterly operating results;

•increases in market interest rates that lead purchasers of our common stock to demand a higher yield;

•changes in our cumulative core earnings or earnings estimates;

•changes in market valuations of similar companies;

•actions or announcements by our competitors;

•actual or perceived conflicts of interest, or the discontinuance of our strategic relationships, with our Manager, the Servicer or Aspen;

•adverse market reaction to any increased indebtedness we incur in the future;

•additions or departures of key personnel;

•actions by stockholders;

•speculation in the press or investment community;

•our ability to maintain the listing of our common stock on a national securities exchange;

•failure to qualify or maintain our qualification as a REIT; and

•failure to maintain our exemption from registration under the Investment Company Act.

The preparation of our consolidated financial statements involves the use of estimates, judgments and assumptions, and our consolidated financial statements may be materially affected if such estimates, judgments and assumptions prove to be inaccurate.

Consolidated financial statements prepared in accordance with U.S. GAAP require the use of estimates, judgments and assumptions that affect the reported amounts. Different estimates, judgments and assumptions reasonably could be used that would have a material effect on the consolidated financial statements, and changes in these estimates, judgments and

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assumptions are likely to occur from period to period in the future. Significant areas of accounting requiring the application of management’s judgment include, but are not limited to, determining the fair value of our assets and the timing and amount of cash flows from our assets. These estimates, judgments and assumptions are inherently uncertain and, if they prove to be wrong, we face the risk that charges to income will be required. Any such charges could significantly harm our business, financial condition, results of operations and the price of our securities. See “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations” for a discussion of the accounting estimates, judgments and assumptions that we believe are the most critical to an understanding of our future plan of operations.

If we fail to establish and maintain an effective system of internal controls, we may not be able to determine accurately our financial results or to prevent fraud.

Effective internal controls are necessary for us to provide reliable financial reports and effectively prevent fraud. We may in the future discover areas of internal control that need further improvement, and we cannot be certain that we will be successful in maintaining adequate control over our financial reporting and financial processes. Furthermore, as we grow our business, our internal controls will become more complex, and we will require significantly more resources to ensure that our internal controls remain effective. If we or our independent auditors discover a material weakness, the disclosure of that fact, even if quickly remedied, could reduce the market value of our common stock. Additionally, the existence of any material weakness or significant deficiency would require management to devote significant time and incur significant expense to remediate any such material weakness or significant deficiency and management may not be able to remediate any such material weakness or significant deficiency in a timely manner, or at all.

We have not established a minimum distribution payment level and we cannot assure you of our ability to pay distributions in the future.

To continue to qualify and maintain our qualification as a REIT and generally not be subject to U.S. federal income and excise tax, we make regular quarterly distributions to holders of our common stock out of legally available funds. Our current policy is to pay quarterly distributions that, on an annual basis, will equal all or substantially all of our net taxable income. We have not, however, established a minimum distribution payment level and our ability to pay distributions may be adversely affected by a number of factors, including the risk factors described in this Annual Report. All distributions are made at the discretion of our Board of Directors and depend on our earnings, our financial condition, any debt covenants, qualification and maintenance of our REIT qualification, restrictions on making distributions under Maryland law and other factors as our Board of Directors may deem relevant from time to time. We may not be able to make distributions in the future and our Board of Directors may change our distribution policy in the future. We believe that a change in any one of the following factors, among others, could adversely affect our results of operations and impair our ability to pay distributions to our stockholders:

•the profitability of the assets we hold, purchase or originate;

•our ability to make profitable acquisitions and originations;

•margin calls or other expenses that reduce our cash flow;

•defaults in our asset portfolio or decreases in the value of our portfolio; and

•the fact that anticipated operating expense levels may not prove accurate, as actual results may vary from estimates.

We cannot assure you that we will achieve results that will allow us to make a specified level of cash distributions or increases in cash distributions in the future. In addition, some of our distributions may include a return of capital.

We may pay distributions from offering proceeds, borrowings or the sale of assets to the extent that distributions exceed earnings or cash flow from our investment activities.

We may pay distributions from offering proceeds, borrowings or the sale of assets to the extent that distributions exceed earnings or cash flow from our investment activities. Because our assets will consist primarily of RPLs that may not receive payments on a regular basis, we may experience uneven cash flow, making it more difficult to maintain the necessary cash to pay distributions. Such distributions would reduce the amount of cash we have available for investing and other purposes and could be dilutive to our financial results. In addition, funding our distributions from our net proceeds may constitute a return of capital to our investors, which would have the effect of reducing each stockholder’s basis in its common stock.

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Future sales of our common stock or other securities convertible into our common stock could cause the market value of our common stock to decline and could result in dilution of your shares.

Sales of substantial amounts of shares of our common stock could cause the market price of our common stock to decrease significantly. We cannot predict the effect, if any, of future sales of our common stock, or the availability of shares of our common stock for future sales, on the value of our common stock. Sales of substantial amounts of shares of our common stock, or the perception that such sales could occur, may adversely affect prevailing market values for our common stock.

Item 1B. Unresolved Staff Comments

None.

Item 2. Properties

Our principal executive offices are shared with our Manager and our Servicer and are located in 13190 SW 68th Parkway, Suite 110 Tigard, OR 97223. The lease for these premises expires on July 31, 2030; we are not responsible for any lease costs.

Item 3. Legal Proceedings

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

Item 4. Mine Safety Disclosures

Not applicable.

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PART II

Item 5. Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities

Our shares of common stock have been listed on the NYSE since February 13, 2015 under the symbol “AJX.”

Holders

As of March 2, 2022, there were 203 common stockholders of record.

Dividends

We elected to be taxed as a REIT for U.S. federal income tax purposes beginning with our taxable year ended December 31, 2014. U.S. federal income tax law requires that a REIT distribute each year an amount equal to at least 90% of its REIT taxable income, determined without regard to the deduction for dividends paid and excluding any net capital gain.

To satisfy the distribution requirement necessary to qualify as a REIT and to avoid paying U.S. federal tax on our income, we make regular quarterly distributions of substantially all of our REIT taxable income to holders of our common stock. Any distribution we make is at the discretion of our Board of Directors and depends upon our earnings and financial condition, qualification and maintenance of REIT status, applicable provisions of the MGCL and such other factors as our Board of Directors deems relevant. For more information regarding risk factors that could materially adversely affect our earnings and financial condition, see “Item 1A. Risk Factors.”

To the extent that cash available for distribution is less than our REIT taxable income, we could be required to sell assets, borrow funds or raise equity capital to make cash distributions or make a portion of the required distribution in the form of a taxable stock distribution or distribution of debt securities. We generally are not required to make distributions with respect to activities conducted through GA-TRS or any other TRS that we may form.

We anticipate that our distributions generally will be taxable as capital gain to our stockholders, although a portion of the distributions may be designated by us as ordinary income or may constitute a return of capital. We furnish annually to each of our stockholders a statement setting forth distributions paid during the preceding year and their characterization as ordinary income, return of capital or capital gains.

Performance Graph

The following graph shows the cumulative total shareholder return at market close on February 13, 2015 (the first day of trading of our common stock) through December 31, 2021 for (1) our common stock ("AJX"), (2) the Russell 2000 and (3) the FTSE NAREIT Mortgage REIT index (“FNMR”). The graph and table show the total return on a hypothetical $100 investment in our common shares and in each index, respectively, on February 13, 2015, the first day on which our shares were listed on the NYSE, including the reinvestment of all dividends. The graph and table below shall not be deemed to be “soliciting material” or to be “filed,” or to be incorporated by reference in future filings with the SEC, or to be subject to the liabilities of Section 18 of the Exchange Act, except to the extent that we specifically incorporate it by reference into a document filed under the Securities Act or the Exchange Act.

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Purchases of Equity Securities by the Issuer and Affiliated Purchasers

On February 28, 2020, our Board of Directors approved a stock buyback 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.

For the years ended December 31, 2021 and December 31, 2020, we repurchased 1,220 and 48,464 shares, respectively, of our common stock through open market transactions. Additionally, for the years ended December 31, 2021 and 2020, we received 38,907 and 25,531 shares, respectively, of our own common stock in settlement of earnings distributions from our investment in our Manager. A summary of the repurchase activity for the years ended December 31, 2021 and December 31, 2020 is set forth in the table below ($ in thousands, except for per share amounts):

Period	Total Number of Shares Repurchased	Average Price Per Share		Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs	Approximate Dollar Value of Shares that May Yet Be Purchased Under the Plan or Programs
January 1 - December 31, 2020	48,464	$	8.98	48,464	$	24,564
January 1 - December 31, 2021	1,220	$	13.49	49,684	$	24,547

Unregistered Sales of Securities

In private placement transactions in 2021 pursuant to Section 4(a)(2) of the Securities Act, we issued our five independent directors an aggregate of 11,550 shares of our common stock on May 10, 2021, August 9, 2021 and November 8, 2021 in payment of part of their quarterly director fees for 2021. Of the five independent directors, four were in their positions during the fourth quarter of 2020 and were issued an aggregate of 4,280 shares of our common stock on March 8, 2021 in payment of part of their quarterly director fees.

In private placement transactions in 2020 pursuant to Section 4(a)(2) of the Securities Act, we issued our four independent directors an aggregate of 12,784 shares of our common stock on May 7, 2020, August 6, 2020 and November 9, 2020 in payment of part of their quarterly director fees for 2020 and 2,600 shares of our common stock on March 5, 2020 in payment of part of their quarterly director fees for the fourth quarter of 2019.

In private placement transactions in 2019 pursuant to Section 4(a)(2) of the Securities Act, we issued 9,470 shares of our common stock to the Manager on May 8, 2019 and November 7, 2019 in payment of the stock-based portion of the incentive fee due for 2019 and we issued 1,549 shares of our common stock to the Manager on February 19, 2019 in payment of the stock-based portion of the incentive fee for the fourth quarter of 2018. We issued 175,211 shares of our common stock to the Manager on May 8, 2019, August 8, 2019 and November 7, 2019 in payment of the stock-based portion of the management

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fee expense due for 2019, and we issued 51,007 shares of our common stock on March 6, 2019 in payment of the stock-based portion of the management fee for the fourth quarter of 2018. We issued our four independent directors an aggregate of 8,348 shares of our common stock May 8, 2019, August 8, 2019 and November 7, 2019 in payment of part of their quarterly director fees for 2019 and we issued 2,424 shares of our common stock on March 6, 2019 in payment of part of their quarterly director fees for the fourth quarter of 2018.

Item 6. [Reserved]

Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations

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.

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Our Portfolio

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

	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 mortgage loans and, through our Servicer, work with our borrowers to improve their payment records.

Market Trends and Outlook

COVID-19

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 COVID-19 forbearance relief inquiries: 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.

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Through the end of the fourth quarter, the recent trends noted below have 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 Operating Results

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

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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.

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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.

Critical 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.

Allowance 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

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underlying estimates and models we use when determining the allowance for credit losses and updates our assumptions to reflect our historical experience and current view of broader 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 experienced deterioration in credit quality, we also acquire loans that have not experienced a deterioration in credit quality and originate SBC loans.

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

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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.

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Recent Accounting Pronouncements

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

Results of Operations

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.

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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 the net present value of expected credit losses(1)	18,223		12,555		(803)
Net interest income after the impact of changes in the 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: consolidated net (loss)/income attributable to the 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

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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.

The interest income detail for the years ended December 31, 2021, 2020 and 2019 is included in the table below ($ in thousands):

Table 2: Interest income detail

	For the year ended December 31,
	2021		2020(1)		2019(1)
Accretable yield 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 the impact of changes in the 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

Our average balance in mortgage loans 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.

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 on 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 grants of restricted stock and shares earned but not issued as of the date indicated	3,470		4,280
Conversion of convertible senior notes into shares of common stock	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 from expected conversion of convertible senior notes	101,511		110,250
Adjustment for equity due to preferred shares	(115,144)		(115,144)
Net adjustment for equity 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 shows loan portfolio acquisitions for the years ended December 31, 2021 and 2020 ($ in thousands):

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 non-consolidated 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 held-for-investment, net		Mortgage loans held-for-sale, net		Mortgage loans held-for-investment, net		Mortgage loans held-for-sale, net
Beginning carrying value	$	1,119,372	$	—	$	1,151,469	$	—
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, 2021, the sale of mortgage loans relates to loans we previously consolidated in 2017-D.

58

Table 10: Portfolio Composition

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

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 of Collateral	47.1		%	Original Purchase Price/Market Value 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 (months)	295			Weighted Average Remaining Term (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 beneficial interests in trusts	$	494,361		Carrying value of debt securities and beneficial interests in trusts	$	369,330
Loans with 12 for 12 payments as an approximate percentage of UPB(8)	72.3		%	Loans with 12 for 12 payments as an approximate percentage of UPB(8)	71.9		%
Loans with 24 for 24 payments as an approximate percentage of UPB(9)	63.9		%	Loans with 24 for 24 payments as an 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 about our mortgage loans by year of origination as of December 31, 2021 and December 31, 2020 ($ in thousands):

Portfolio at 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

Portfolio at 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
State	Count	UPB		% UPB		Collateral Value(1)		% of Collateral Value		State	Count	UPB		% UPB		Collateral Value(1)		% of Collateral 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
State	Count	UPB		% UPB		Collateral Value(1)		% of Collateral Value		State	Count	UPB		% UPB		Collateral Value(1)		% of Collateral 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)As of the reporting date.

Table 13: Debt Securities and Beneficial Interest Acquisitions

The following table shows our debt securities and beneficial interest acquisitions for the 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

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Liquidity and Capital Resources

Source and Uses of Cash

Our primary sources of cash have consisted of proceeds from our securities offerings, our secured borrowings, repurchase agreements, principal and interest payments on our loan portfolio, principal paydowns on securities, and sales of properties held-for-sale. Depending on market conditions, we expect that our primary financing sources will continue to include secured borrowings, repurchase agreements, and securities offerings in addition to transaction or asset specific funding arrangements and credit facilities (including term loans and revolving facilities). We expect that these sources of funds will be sufficient to meet our short-term and long-term liquidity needs. We believe we have access to adequate resources to meet the needs of our existing operations, mandatory capital expenditures, dividend payments, and working capital, to the extent not funded by cash provided by operating activities. However, we expect 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

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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 — Equity Offerings

On February 28, 2020, our Board of Directors approved a stock repurchase of up to $25.0 million of our common shares. The amount and timing of any repurchases 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.

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Financing Activities — Secured Borrowings and Convertible Senior Notes    

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 sets forth the original terms of all outstanding securitization notes at their respective cutoff dates as of December 31, 2021:

Table 14: Secured Borrowings

Issuing Trust/Issue Date	Interest Rate Step-up Date	Security	Original Principal	Interest Rate
Rated
Ajax Mortgage Loan Trust 2019-D/ July 2019	July 25, 2027	Class A-1 notes due 2065	$140.4 million	2.96	%
	July 25, 2027	Class A-2 notes due 2065	$6.1 million	3.50	%
	July 25, 2027	Class A-3 notes due 2065	$10.1 million	3.50	%
	July 25, 2027	Class M-1 notes due 2065(1)	$9.3 million	3.50	%
	None	Class B-1 notes due 2065(2)	$7.5 million	3.50	%
	None	Class B-2 notes due 2065(2)	$7.1 million	variable(3)
	None	Class B-3 notes due 2065(2)	$12.8 million	variable(3)
		Deferred issuance costs	$(2.7) million	—	%
Rated

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Issuing Trust/Issue Date	Interest Rate 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	%
	November 25, 2026	Class M-1 notes due 2059(1)	$6.1 million	3.50	%
	None	Class B-1 notes due 2059(2)	$11.5 million	3.50	%
	None	Class B-2 notes due 2059(2)	$10.4 million	variable(3)
	None	Class B-3 notes due 2059(2)	$15.1 million	variable(3)
		Deferred issuance costs	$(1.8) million	—	%
Rated
Ajax Mortgage Loan Trust 2020-B/ August 2020	July 25, 2027	Class A-1 notes due 2059	$97.2 million	1.70	%
	July 25, 2027	Class A-2 notes due 2059	$17.3 million	2.86	%
	July 25, 2027	Class M-1 notes due 2059(1)	$7.3 million	3.70	%
	None	Class B-1 notes due 2059(2)	$5.9 million	3.70	%
	None	Class B-2 notes due 2059(2)	$5.1 million	variable(3)
	None	Class B-3 notes due 2059(2)	$23.6 million	variable(3)
		Deferred issuance costs	$(1.8) million	—	%
Rated
Ajax Mortgage Loan Trust 2021-A/ January 2021	January 25, 2029	Class A-1 notes due 2065	$146.2 million	1.07	%
	January 25, 2029	Class A-2 notes due 2065	$21.1 million	2.35	%
	January 25, 2029	Class M-1 notes due 2065(1)	$7.8 million	3.15	%
	None	Class B-1 notes due 2065(2)	$5.0 million	3.80	%
	None	Class B-2 notes due 2065(2)	$5.0 million	variable(3)
	None	Class B-3 notes due 2065(2)	$21.5 million	variable(3)
		Deferred issuance costs	$(2.5) million	—	%
Non-rated
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 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.

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 outstanding repurchase transactions at December 31, 2021 and 2020 follows ($ in thousands):

Table 15: Repurchase Transactions by Maturity Date

				December 31, 2021
Maturity Date	Origination Date	Maximum Borrowing Capacity		Amount Outstanding		Amount of Collateral		Percentage of 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	%

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

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				December 31, 2020
Maturity Date	Origination Date	Maximum Borrowing Capacity		Amount Outstanding		Amount of Collateral		Percentage of Collateral Coverage		Interest Rate
February 1, 2021	December 1, 2020	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 from $411.4 million for the year ended December 31, 2020 to our average balance of $369.9 million for the year ended December 31, 2021, as a result of repayments on pledged securities and the securitization of certain assets previously on the repurchase lines.

As of December 31, 2021 and 2020, we did not have any credit facilities or other outstanding debt obligations other than the repurchase facilities, secured borrowings, put option liability and our Senior convertible notes.

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

Dividends

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

On 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

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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
Issuing Trust/Issue Date	Security	Total Original Outstanding Principal		Coupon		Ownership Percent		Original Stated or Notional Principal Balance Retained		Current Owned Stated or Notional Principal Balance Retained
Ajax Mortgage Loan Trust 2018-A/ April 2018	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

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						Great Ajax Corp. Ownership
Issuing Trust/Issue Date	Security	Total Original Outstanding Principal		Coupon		Ownership Percent		Original Stated or Notional Principal Balance Retained		Current Owned Stated or Notional Principal Balance Retained
Ajax Mortgage Loan Trust 2018-F/ December 2018	Class A notes due 2058	$	180,002	4.38	%	—	%	$	—	$	—
	Class B notes due 2058	$	16,800	5.25	%	—	%	$	—	$	—
	Trust certificates	$	43,201	—	%	20.00	%	$	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

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							Great Ajax Corp. Ownership
Issuing Trust/Issue Date	Security	Total Original Outstanding Principal		Coupon			Ownership Percent		Original Stated or Notional Principal Balance Retained			Current Owned Stated or Notional Principal Balance Retained
Ajax Mortgage Loan Trust 2020-D/ September 2020	Class A notes due 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 2021-C/ April 2021	Class A notes due 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 2021-D/ May 2021	Class A notes due 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 2021-E/ July 2021(1)	Class A notes due 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 2021-F/ June 2021	Class A notes due 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 2021-G/ June 2021	Class A notes due 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
2021-NPL 1/ November 2021	Class A notes due 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.

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Contractual Obligations

Our contractual obligations include obligations under repurchase agreements, our convertible senior notes, accrued interest on the repurchase agreements and convertible senior notes and the put obligation on our outstanding warrants.

We use repurchase agreements to finance certain acquisitions of mortgage loans and certain debt securities we retain from our securitizations. At 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 year end, we acquired two residential RPLs with aggregate 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

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371,103 shares and an equal number of warrants. Upon completion of the private placement, our ownership interest 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.

On March 3, 2022, our Board declared a dividend of $0.26 per share, to be paid on March 31, 2022 to stockholders of record as of March 18, 2022.

Item 7A. Quantitative and Qualitative Disclosures about Market Risk

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

Real Estate Risk

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

Interest Rate Risk

We expect to continue to securitize our whole loan portfolios, primarily as a financing tool, when economically efficient to create long-term, fixed rate, non-recourse financing with moderate leverage, while retaining one or more tranches of the subordinate MBS so created. Interest rates are highly sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations and other factors beyond our control. Changes in interest rates may affect the fair value of the mortgage loans and real estate underlying our portfolios as well as our financing interest rate expense. Additionally, rises in interest rates may result in a lower refinance volume of our portfolio.

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

Prepayment Risk

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

slow due to the pandemic.

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Credit Risk

We are subject to credit risk in connection with our assets. While we will engage in diligence on assets we will acquire, such due diligence may not reveal all of the risks associated with such assets and may not reveal other weaknesses in such assets, which could lead us to misprice acquisitions. Property values are subject to volatility and may be affected adversely by a number of factors, including, but not limited to, national, regional and local economic conditions (which may be adversely affected by industry slowdowns, public health crises and other factors), local real estate conditions (such as an oversupply of housing), changes or continued weakness in specific industry segments, construction quality, age and design, demographic factors and retroactive changes to building or similar codes.

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

Item 8. Consolidated Financial Statements and Supplementary Data

The consolidated financial statements required by this item are set forth in Item 15. of this Annual Report and are incorporated herein by reference.

Item 9. Changes in and Disagreements with Accountants on Accounting and Financial Disclosure

None.

Item 9A. Controls and Procedures

Evaluation of Disclosure Controls and Procedures

We conducted an evaluation of the effectiveness of the design and operation of our disclosure controls and procedures (as defined in Exchange Act Rule 13a-15(e)) as of the end of the period covered by this Annual Report on Form 10-K. The evaluation was conducted under the supervision and with the participation of management, including our Chief Executive Officer and Chief Financial Officer. Disclosure controls and procedures are controls and procedures designed to reasonably assure that information required to be disclosed in our reports filed under the Exchange Act, such as this Annual Report on Form 10-K, is recorded, processed, summarized and reported within the time periods specified in the SEC’s rules and forms. Disclosure controls and procedures are also designed to reasonably assure that such information is accumulated and communicated to our management, including the Chief Executive Officer and Chief Financial Officer, as appropriate to allow timely decisions regarding required disclosure.

The evaluation of our disclosure controls and procedures included a review of the controls’ objectives and design, our implementation of the controls and their effect on the information generated for use in this Form 10-K. This type of evaluation will be performed on a quarterly basis so that the conclusions of management, including the Chief Executive Officer and Chief Financial Officer, concerning the effectiveness of the disclosure controls and procedures can be reported in our periodic reports on Form 10-Q and Form 10-K. The overall goals of these various evaluation activities are to monitor our disclosure controls and procedures, and to modify them as necessary. Our intent is to maintain the disclosure controls and procedures as dynamic systems that change as conditions warrant.

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

Management’s Annual Report on Internal Controls Over Financial Reporting

Management of the Company is responsible for establishing and maintaining adequate internal control over financial reporting for the Company. Internal control over financial reporting is defined in Rules 13a-15(f) and 15d-15(f) promulgated

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under the Exchange Act as a process designed by, or under the supervision of, the Company’s principal executive and principal financial officers and effected by the Company’s board of directors, management and other personnel to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with GAAP and includes those policies and procedures that:

•pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of the assets of the Company;

•provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with GAAP, and that receipts and expenditures of the Company are being made only in accordance with authorizations of management and directors of the Company; and

•provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Company’s assets that could have a material effect on the financial statements.

Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Projections of any evaluation of effectiveness to future periods are subject to the risks that controls may become inadequate because of changes in conditions or that the degree of compliance with the policies or procedures may deteriorate.

The Company’s management assessed the effectiveness of the Company’s internal control over financial reporting as of December 31, 2021. In making this assessment, the Company’s management used criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission in Internal Control-Integrated Framework (2013).

Based on its assessment, the Company’s management believes that, as of December 31, 2021, the Company’s internal control over financial reporting was effective based on those criteria.

Report of the Independent Registered Public Accounting Firm

Our internal control over financial reporting at December 31, 2021 has been audited by Moss Adams LLP. Their attestation report on internal control over financial reporting appears in Part IV, Item 15 and expressed an unqualified opinion. Moss Adams LLP has also audited the consolidated financial statements as of and for the year ended December 31, 2021 and their report expressed an unqualified opinion on those consolidated financial statements.

Changes in Internal Control Over Financial Reporting

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

Item 9B. Other Information

None.

Item 9C. Disclosure Regarding Foreign Jurisdictions that Prevent Inspections

Not applicable.

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PART III

Item 10. Directors, Executive Officers and Corporate Governance

The information required by this item is incorporated by reference from the Company’s definitive proxy statement for its 2022 annual stockholders’ meeting.

Item 11. Executive Compensation

The information required by this item is incorporated by reference from the Company’s definitive proxy statement for its 2022 annual stockholders’ meeting.

Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters

The information required by this item is incorporated by reference from the Company’s definitive proxy statement for its 2022 annual stockholders’ meeting.

Item 13. Certain Relationships and Related Transactions, and Director Independence

The information required by this item is incorporated by reference from the Company’s definitive proxy statement for its 2022 annual stockholders’ meeting.

Item 14. Principal Accountant Fees and Services

The information required by this item is incorporated by reference from the Company’s definitive proxy statement for its 2022 annual stockholders’ meeting.

PART IV

Item 15. Exhibits and Consolidated Financial Statement Schedules

(a)(1) Financial Statements.

See the Index to Financial Statements at page F-1 of this report.

(a)(2) Financial Statement Schedule.

Schedule IV — Mortgage Loans on Real Estate.

All other financial statement schedules have been omitted since they are either not required, are not applicable or the required information is shown in the consolidated financial statements or related notes.

(a)(3) Exhibits.

Exhibit Number	Exhibit Description
3.1	Articles of Amendment and Restatement (incorporated by reference to Exhibit 3.1 to the Registration Statement on Form S-11 confidentially submitted to the SEC on September 23, 2014 (File No.:333-00787)).
3.2	Amended and Restated Bylaws (incorporated by reference to Exhibit 3.2 to the Registration Statement on Form S-11 confidentially submitted to the SEC on September 23, 2014 (File No.:333-00787)).
3.3	Articles Supplementary dated as of May 7, 2020 (incorporated by reference to Exhibit 3.1 to the Company's report on Form 8-K filed on May 8, 2020 (File No.:001-36844)).
3.4	Articles of Amendment to Articles Supplementary dated as of May 7, 2020 (incorporated by reference to Exhibit 3.2 to the Company's report on Form 8-K filed on May 8, 2020 (File No.:001-36844)).
4.1	Indenture, dated as of April 19, 2017, by and between the Registrant and Wilmington Savings Fund Society, FSB, as trustee (incorporated by reference to Exhibit 4.1 to the Company's report on Form 8-K filed on April 19, 2017 (File No.:001-36844)).
4.2	First Supplemental Indenture, dated as of April 25, 2017, by and between the Registrant and Wilmington Savings Fund Society, FSB, as trustee (incorporated by reference to Exhibit 4.1 to the Company's report on Form 8-K filed on April 25, 2017 (File No.:001-36844)).
4.3	Form of 7.25% Convertible Senior Note (incorporated by reference to Exhibit 4.2 to the Company's report on Form 8-K filed on April 25, 2017 (File No.:001-36844)).
4.4	Warrants Certificate dated as of May 4, 2020 (incorporated by reference to Exhibit 4.1 to the Company's report on Form 8-K filed on May 8, 2020 (File No.:001-36844)).

77

Exhibit Number	Exhibit Description
4.5	Warrants Certificate dated as of May 4, 2020 (incorporated by reference to Exhibit 4.2 to the Company's report on Form 8-K filed on May 8, 2020 (File No.:001-36844)).
10.1	Agreement of Limited Partnership of Great Ajax Operating Partnership LP (incorporated by reference to Exhibit 10.1 to the Registration Statement on Form S-11 confidentially submitted to the SEC on September 23, 2014 (File No.:333-00787)).
10.2	Amended and Restated Management Agreement dated October 27, 2015; incorporated by reference to Exhibit 10.1 to the Company’s report on Form 8-K filed on November 2, 2015 (File No.:001-36844)).
10.3	Servicing Agreement dated as of July 8, 2014 by and among the Servicer and the registrant and its affiliates Great Ajax Operating Partnership L.P. and Little Ajax II LLC (incorporated by reference to Exhibit 10.3 to the Registration Statement on Form S-11 confidentially submitted to the SEC on September 23, 2014 (File No.:333-00787)).
10.4	Form of Indemnification Agreement between registrant and each of its directors and officer (incorporated by reference to Exhibit 10.4 to the Registration Statement on Form S-11 confidentially submitted to the SEC on September 23, 2014 (File No.:333-00787)).
10.5	Assignment Agreement made as of July 8, 2014, by and between the entities identified on Exhibit A thereto and the registrant with respect to Little Ajax II LLC (incorporated by reference to Exhibit 10.5 to the Registration Statement on Form S-11 confidentially submitted to the SEC on September 23, 2014 (File No.:333-00787)).
10.6	2014 Director Equity Plan (incorporated by reference to Exhibit 10.6 to the Registration Statement on Form S-11 confidentially submitted to the SEC on September 23, 2014 (File No.:333-00787)).
10.7	2016 Equity Incentive Plan (incorporated by reference to Exhibit 10.1 of the Registrant’s Current Report on Form 8-K filed with the Commission on June 7, 2016. (File No.:333-00787)).
10.8	Form of Restricted Stock Award (incorporated by reference to Exhibit 10.7 to the Registration Statement on Form S-11 confidentially submitted to the SEC on September 23, 2014 (File No.:333-00787)).
10.9	Registration Rights Agreement made and entered into as of July 8, 2014, by and among the registrant and FBR Capital Markets & Co., as the initial purchaser/placement agent (“FBR”) for the benefit of FBR and certain purchasers of the registrant’s common stock (incorporated by reference to Exhibit 10.8 to the Registration Statement on Form S-11 confidentially submitted to the SEC on September 23, 2014 (File No.:333-00787)).
10.10	Trademark License Agreement dated as of July 8, 2014 between the registrant and Aspen Yo (incorporated by reference to Exhibit 10.9 to the Registration Statement on Form S-11 confidentially submitted to the SEC on September 23, 2014 (File No.:333-00787)).
10.11	Registration Rights Agreement made and entered into as of December 16 2014, by and among the registrant and certain purchasers of the registrant’s common stock (incorporated by reference to Exhibit 10.10 to the Registration Statement on Form S-11 confidentially submitted to the SEC on December 29, 2014 (File No.:333-00787)).
10.12	Second Amended and Restated Management Agreement, dated March 5, 2019, by and among Great Ajax Corporation, Great Ajax Operating Partnership, LP and Thetis Asset Management LLC (incorporated by reference to Exhibit 10.12 to the Company's report on Form 10-K filed on March 6, 2019 (File No.:001-36844)).
10.13	Description of Capital Stock (incorporated by reference to Exhibit 10.13 to the Company's report on Form 10-K filed on March 4, 2020 (File No.:001-36844)).
10.14	Securities Purchase Agreement dated as of May 4, 2020 (incorporated by reference to Exhibit 10.1 to the Company's report on Form 8-K filed on May 8, 2020 (File No.:001-36844)).
10.15	Registration Rights Agreement by and among Great Ajax Corp. and the Purchasers Named herein dated as of May 4, 2020 (incorporated by reference to Exhibit 10.2 to the Company's report on Form 8-K filed on May 8, 2020 (File No.:001-36844)).
10.16	Warrant Agency Agreement by and between Great Ajax Corp. and American Stock Transfer & Trust Company, LLC dated as of May 4, 2020 (incorporated by reference to Exhibit 10.3 on Form 10-Q filed on August 5, 2020 (File No.:001-36844)).
21.1*	List of subsidiaries.
23.1*	Consent of Moss Adams LLP.
31.1*	Rule 13a-14(a) Certification of Chief Executive Officer of the Company in accordance with Section 302 of the Sarbanes-Oxley Act of 2002.
31.2*	Rule 13a-14(a) Certification of Chief Financial Officer of the Company in accordance with Section 302 of the Sarbanes-Oxley Act of 2002.

78

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

*    Filed herewith.

**    Furnished herewith.

(b) Exhibits.

See Item 15(a)(3) above.

(c) Financial Statement Schedule

Schedule IV — Mortgage Loans on Real Estate.

All other financial statement schedules have been omitted since they are either not required, are not applicable or the required information is shown in the consolidated financial statements or related notes.

79

Item 16. Form 10-K Summary

None.

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized, as of March 4, 2022.

GREAT AJAX CORP.
By:	/s/ Lawrence Mendelsohn
	Lawrence Mendelsohn

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

Signature	Title	Date
/s/ Lawrence Mendelsohn	Chairman and Chief Executive Officer (Principal Executive Officer)	March 4, 2022
Lawrence Mendelsohn
/s/ Mary Doyle	Chief Financial Officer (Principal Financial and Accounting Officer)	March 4, 2022
Mary Doyle
/s/ Steven L. Begleiter	Director	March 4, 2022
Steven L. Begleiter
/s/ John Condas	Director	March 4, 2022
John Condas
/s/ Paul Friedman	Director	March 4, 2022
Paul Friedman
/s/ Mary Haggerty	Director	March 4, 2022
Mary Haggerty
/s/ Jonathan Bradford Handley, Jr.	Director	March 4, 2022
Jonathan Bradford Handley, Jr.
/s/ J. Kirk Ogren, Jr.	Director	March 4, 2022
J. Kirk Ogren, Jr.
/s/ Russell Schaub	President and Director	March 4, 2022
Russell Schaub

80

INDEX TO FINANCIAL STATEMENTS

	Page
Report of Independent Registered Public Accounting Firm (Moss Adams LLP, Portland, OR, PCAOB ID: 659)	F-2
Consolidated Balance Sheets as of December 31, 2021 and 2020	F-6
Consolidated Statements of Income for the years ended December 31, 2021, 2020 and 2019	F-8
Consolidated Statements of Comprehensive Income for the years ended December 31, 2021, 2020 and 2019	F-9
Consolidated Statements of Cash Flows for the years ended December 31, 2021, 2020 and 2019	F-10
Consolidated Statements of Changes in Equity for the years ended December 31, 2021, 2020 and 2019	F-12
Notes to Consolidated Financial Statements	F-15
Schedule IV - Mortgage Loans on Real Estate	F-57

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

F-1

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and the Board of Directors of

Great Ajax Corp.

Opinions on the Financial Statements and Internal Control over Financial Reporting

We have audited the accompanying consolidated balance sheets of Great Ajax Corp. and Subsidiaries (the “Company”) as of December 31, 2021 and 2020, the related consolidated statements of income, comprehensive income, cash flows, and changes in equity for each of the three years in the period ended December 31, 2021, and the related notes and schedule (collectively referred to as the “consolidated financial statements”). We also have audited the Company’s internal control over financial reporting as of December 31, 2021, based on criteria established in Internal Control - Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission (COSO).

In our opinion, the consolidated financial statements referred to above present fairly, in all material respects, the consolidated financial position of the Company as of December 31, 2021 and 2020, and the consolidated results of its operations and its cash flows for each of the three years in the period ended December 31, 2021, in conformity with accounting principles generally accepted in the United States of America. Also in our opinion, the Company maintained, in all material respects, effective internal control over financial reporting as of December 31, 2021, based on criteria established in Internal Control - Integrated Framework (2013) issued by COSO.

Change in Accounting Principle

As discussed in Note 2 to the consolidated financial statements, the Company changed its method of accounting for credit losses on mortgage loans and investments in beneficial interests in 2020 due to the adoption of Accounting Standards Update No. 2016-13, Financial Instruments – Credit Losses.

Basis for Opinions

The Company’s management is responsible for these consolidated financial statements, for maintaining effective internal control over financial reporting, and for its assessment of the effectiveness of internal control over financial reporting, included in the accompanying Management’s Annual Report on Internal Controls over Financial Reporting included in Item 9A. Our responsibility is to express an opinion on the Company’s consolidated financial statements and an opinion on the Company’s internal control over financial reporting based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the consolidated financial statements are free of material misstatement, whether due to error or fraud, and whether effective internal control over financial reporting was maintained in all material respects.

Our audits of the consolidated financial statements included performing procedures to assess the risks of material misstatement of the consolidated financial statements, whether due to error or fraud, and performing procedures to respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the consolidated financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements. Our audit of internal control over financial reporting included obtaining an understanding of internal control over financial reporting, assessing the risk that a material weakness exists, and testing and evaluating the design and operating effectiveness of internal control based on the assessed risk. Our audits also included performing such other procedures as we considered necessary in the circumstances. We believe that our audits provide a reasonable basis for our opinions.

Definition and Limitations of Internal Control Over Financial Reporting

A company’s internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles. A company’s internal control over financial reporting includes those policies and procedures

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

F-2

that (1) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the company; (2) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the company are being made only in accordance with authorizations of management and directors of the company; and (3) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of the company’s assets that could have a material effect on the financial statements.

Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.

Critical Audit Matters

The critical audit matters communicated below are matters arising from the current period audit of the consolidated financial statements that was communicated or required to be communicated to the audit committee and that (1) relate to accounts or disclosures that are material to the consolidated financial statements and (2) involved our especially challenging, subjective, or complex judgments. The communication of critical audit matters does not alter in any way our opinion on the consolidated financial statements, taken as a whole, and we are not, by communicating the critical audit matter below, providing a separate opinion on the critical audit matter or on the accounts or disclosures to which they relate.

Mortgage Loans Held-for-Investment, Net and Interest Income on Loans

As disclosed in Notes 2 and 3 to the consolidated financial statements, the balance of the Company’s mortgage loans held-for-investment, net as of December 31, 2021 was $1,080,434,000. A significant portion of these loans are acquired loans, which have suffered deterioration in credit quality subsequent to origination and therefore are accounted for as purchased credit deteriorated loans ("PCD loans"). Mortgage loans held-for-investment, net, are carried at an amount representing the present value of the Company’s expected future cash flows, net of an allowance for credit losses.

The amount the Company expects to collect over the life of the mortgage loans is based on the Company’s proprietary cash flow model (“model”), updated on a quarterly basis. The model calculates an accretable yield, which is recorded as interest income using the effective interest method. For the year ended December 31, 2021, the interest income recognized on mortgage loans was $66,459,000. An allowance for credit losses on mortgage loans represents the net present value of the difference between the contractual cash flows of the underlying loans and the expected cash flows determined based on the model. As of December 31, 2021, the allowance for credit losses on loans was $7,112,000.

We identified the valuation of mortgage loans held-for-investment, net and the related recognition of interest income as critical audit matters. The model used to calculate the recorded discount on loans, the allowance for credit losses and the accretion of related interest income consists of observable and unobservable inputs. The principal factors affecting the cash flow projections, which is a complex estimate requiring significant judgment by management, include the following material unobservable inputs: resolution method and timeline, foreclosure likelihood, prepayment rates, and value of underlying properties. The significant unobservable inputs make auditing the valuation of mortgage loans held-for-investment and occurrence and accuracy of interest income on mortgage loans complex and involves a high degree of auditor judgment.

The primary procedures we performed to address this critical audit matter included:

•Testing the design, implementation and operating effectiveness of controls relating to the accounting for PCD loans, allowance for credit losses on mortgage loans and accretion of interest income on mortgage loans.

•Evaluating the reasonableness and appropriateness of management’s assumptions and sources of data used in the cash flow projections including resolution methods and timelines, foreclosure likelihood, prepayment rates, and value of underlying properties.

•For a selection of individual loans, recalculating cash flow projections, independently corroborating management’s inputs used in the model, and evaluating the model outputs for reasonableness and accuracy.

•Recalculating the accretable yield recognized on loan pools based on the actual cash collected to date and estimated future cash flows.

•Evaluating the expected interest income recognized on loan pools based on the carrying value of the loans and an expected accretable yield.

•Evaluating the reasonableness of projected cash flows against actual cash collections, and evaluating significant variances, if any, to determine whether the methodology and assumptions utilized are appropriate.

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

F-3

Investments in Beneficial Interests and Interest Income on Beneficial Interests

As disclosed in Notes 2 and 5 to the consolidated financial statements, the Company’s investments in beneficial interests consist of investments in the trust certificates issued by joint ventures which the Company forms with third party investors. The trust certificates are net of residual interest issued by Company sponsored securitization trusts, which are determined to be variable interest entities (“VIE”). Management has determined the Company is not the primary beneficiary of these VIEs and therefore does not consolidate such entities. The Company’s net investments in beneficial interests as of December 31, 2021 was $139,588,000. The same model discussed above in mortgage loans and interest income on loans is utilized to estimate expected cash flows to be collected on the underlying pools of mortgage loans held by the securitization trusts.

As discussed above, the amount the Company expects to collect over the life of the investments in beneficial interests is based on the Company’s model, updated on a quarterly basis. The model calculates an accretable yield which is recorded as interest income using the effective interest method. For the year ended December 31, 2021, the interest income recognized on investments in beneficial interests was $15,540,000. An allowance for credit losses on investments in beneficial interest represents the net present value of the difference between the contractual cash flows of the underlying mortgage loans and the expected cash flows determined based on the model. As of December 31, 2021, the allowance for credit losses on investments in beneficial interests was $615,000.

We identified the valuation of investments in beneficial interests and the related recognition of interest income as critical audit matters. The model used to calculate the recorded investments in beneficial interests, the allowance for credit losses and the related recognition of interest income utilizes observable and unobservable inputs. The principal factors affecting the cash flow projections, which is a complex estimate requiring significant judgment by management, include the following material unobservable inputs: resolution method and timeline, foreclosure likelihood, prepayment rates, and value of underlying properties. The significant unobservable inputs make auditing the valuation of investments in beneficial interests and occurrence and accuracy of the related interest income complex and involves a high degree of auditor judgment.

The primary procedures we performed to address this critical audit matter included:

•Testing the design, implementation and operating effectiveness of controls relating to the accounting for investments in beneficial interests, allowance for credit losses on beneficial interests and related accretion of interest income.

•Evaluating the reasonableness and appropriateness of management’s assumptions and sources of data used in the cash flow projections related to contractual and terminal cash flows used to estimate the value of investments in beneficial interests.

•For a selection of investments in beneficial interests, performing tests to compare historical transaction values against management’s valuation estimates to evaluate the model outputs for reasonableness and accuracy.

•Recalculating the accretable yield recognized on investments in beneficial interests based on the actual cash collected to date and estimated future cash flows.

•Evaluating the expected interest income recognized on investments in beneficial interests based on the carrying value and an expected accretable yield.

•Evaluating the reasonableness of projected cash flows against actual cash collections, and evaluating significant variances, if any, to determine whether the methodology and assumptions utilized are appropriate.

Evaluation of Variable Interest Entities for Consolidation

As disclosed in Notes 2 and 9 to the consolidated financial statements, the Company enters into various types of transactions with special purpose entities, which have primarily consisted of trusts established for the Company’s secured borrowings, investments in debt securities, and beneficial interests. Additionally, the Company may enter into joint ventures with unrelated entities, which generally involves the formation of a special purpose entity. The Company evaluates each transaction and its resulting beneficial interest to determine if the entity formed pursuant to the transaction should be classified as a VIE. If an entity created in a transaction meets the definition of a VIE and the Company determines that it, or a consolidated subsidiary is the primary beneficiary, the Company will include the VIE in its consolidated financial statements. If such an entity is deemed to not be consolidated, the Company records only its investment in the special purpose entity.

We identified the Company’s evaluation of variable interest entities for consolidation as a critical audit matter. The guidance on applying variable interest determination is complex and focuses on identifying the reporting entity with power to make decisions that most significantly impact the economic performance of the entity being evaluated for consolidation and whether the entity with power has the rights to receive benefits that could be significant. Identifying variable interests generally requires a qualitative assessment that focuses on the purpose and design of an entity and auditing managements determination involves significant auditor judgment due to the nature and extent of audit evidence and effort required to address these matters.

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

F-4

The primary procedures we performed to address this critical audit matter included:

•Testing the design, implementation and operating effectiveness of controls relating to management’s evaluation of special purpose entities for purposes of concluding on consolidation requirements.

•Evaluating the reasonableness and appropriateness of management’s evaluation of each VIE and determination of primary beneficiary of the VIE through a decision-making workflow.

•Reading pertinent supporting organizational documents and agreements associated with each VIE to agree key terms with those used in management’s evaluation of each VIE.

•Consulting with our internal specialists on the conclusions reached for each VIE originated during the year.

/s/ Moss Adams LLP

Portland, Oregon

March 4, 2022

We have served as the Company’s auditor since 2014.

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

F-5

GREAT AJAX CORP. AND SUBSIDIARIES

CONSOLIDATED BALANCE SHEETS

($ in thousands except per share data)	December 31, 2021		December 31, 2020
ASSETS
Cash and cash equivalents	$	84,426	$	107,147
Cash held in trust	3,100		188
Mortgage loans held-for-sale, net	29,572		—
Mortgage loans held-for-investment, net(1,2)	1,080,434		1,119,372
Real estate owned properties, net(3)	6,063		8,526
Investments in securities at fair value(4)	355,178		273,834
Investments in beneficial interests(5)	139,588		91,418
Receivable from servicer	20,899		15,755
Investment in affiliates	27,020		28,616
Prepaid expenses and other assets	13,400		8,876
Total assets	$	1,759,680	$	1,653,732
LIABILITIES AND EQUITY
Liabilities:
Secured borrowings, net(1,2,6)	$	575,563	$	585,403
Borrowings under repurchase transactions	546,054		421,132
Convertible senior notes, net(6)	102,845		110,057
Management fee payable	2,279		2,247
Put option liability	23,667		14,205
Accrued expenses and other liabilities	8,799		6,197
Total liabilities	1,259,207		1,139,241
Commitments and contingencies – see Note 8
Equity:
Preferred stock $0.01 par value; 25,000,000 shares authorized
Series A 7.25% Fixed-to-Floating Rate Cumulative Redeemable, $25.00 liquidation preference per share, 2,307,400 shares issued and outstanding at December 31, 2021 and December 31, 2020	51,100		51,100
Series B 5.00% Fixed-to-Floating Rate Cumulative Redeemable, $25.00 liquidation preference per share, 2,892,600 shares issued and outstanding at December 31, 2021 and December 31, 2020	64,044		64,044
Common stock $0.01 par value; 125,000,000 shares authorized, 23,146,775 issued and outstanding at December 31, 2021 and 22,978,339 shares issued and outstanding at December 31, 2020	233		231
Additional paid-in capital	316,162		317,424
Treasury stock	(1,691)		(1,159)
Retained earnings	66,427		53,346
Accumulated other comprehensive income	1,020		375
Equity attributable to stockholders	497,295		485,361
Non-controlling interests(7)	3,178		29,130
Total equity	500,473		514,491
Total liabilities and equity	$	1,759,680	$	1,653,732

(1)Mortgage loans held-for-investment, net include $756.8 million and $842.2 million of loans at December 31, 2021 and December 31, 2020, respectively, transferred to securitization trusts that are variable interest entities (“VIEs”); these loans can only be used to settle obligations of the VIEs. Secured borrowings consist of notes issued by VIEs that can only be settled with the assets and cash flows of the VIEs. The creditors do not have recourse to the primary beneficiary (Great Ajax Corp.). See Note 9 — Debt. Mortgage loans held-for-investment, net include $7.1 million and $13.7 million of allowance for loan losses at December 31, 2021 and December 31, 2020, respectively.

(2)As of December 31, 2021, balances for Mortgage loans held-for-investment, net includes $1.4 million from the 50.0% owned joint ventures. As of December 31, 2020, balances for Mortgage loans held-for-investment, net include $307.1 million and Secured borrowings, net of deferred costs includes

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

F-6

$250.6 million from the 50.0% and 63.0% owned joint ventures, all of which the Company consolidates under U.S. Generally Accepted Accounting Principles ("U.S. GAAP").

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

(4)As of December 31, 2021 and December 31, 2020 Investments in securities at fair value include amortized cost basis of $354.2 million and $273.4 million, respectively, and net unrealized gains of $1.0 million and $0.4 million, respectively.

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

(6)Secured borrowings, net are presented net of deferred issuance costs of $7.3 million and $5.4 million at December 31, 2021 and December 31, 2020, respectively. Convertible senior notes, net are presented net of deferred issuance costs of $1.7 million and $3.3 million at December 31, 2021 and December 31, 2020, respectively.

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

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

F-7

GREAT AJAX CORP. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF INCOME

	Year ended December 31,
($ in thousands except per share data)	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 the net present value of expected credit losses(1)	18,223		12,555		(803)
Net interest income after the impact of changes in the 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: consolidated net (loss)/income attributable to the 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
Basic earnings per common share	$	1.48	$	1.00	$	1.74
Diluted earnings per common share	$	1.41	$	1.00	$	1.59
Weighted average shares – basic	22,852,948		22,641,636		19,710,482
Weighted average shares – diluted	30,262,467		22,641,636		28,173,217

(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.

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

F-8

GREAT AJAX CORP. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME

 

	Year ended December 31,
($ in thousands)	2021		2020		2019
Consolidated net income attributable to common stockholders	$	34,057	$	22,756	$	34,705
Other comprehensive income/(loss):
Net unrealized income/(loss) on investments, net of non-controlling interest	645		(902)		1,852
Income tax expense related to items of other comprehensive income	—		—		—
Comprehensive income	$	34,702	$	21,854	$	36,557

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

F-9

GREAT AJAX CORP. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF CASH FLOWS

	Year ended December 31,
($ in thousands)	2021		2020		2019
CASH FLOWS FROM OPERATING ACTIVITIES
Consolidated net income	$	41,775	$	33,608	$	37,089
Adjustments to reconcile net income to net cash from operating activities
Stock-based management fee and compensation expense	1,312		879		3,604
Non-cash interest income accretion on mortgage loans	(19,451)		(29,040)		(39,113)
Interest and discount accretion on investment in debt securities	(10,963)		(9,852)		(6,655)
Discount accretion on investment in beneficial interests	(15,997)		(11,754)		(6,426)
(Gain)/loss on sale of mortgage loans	(122)		705		(7,123)
Loss on debt extinguishment	1,439		661		429
Gain on sale of real estate owned properties	(893)		(1,011)		(629)
Gain on sale of securities	(201)		(145)		(8)
Depreciation of property	7		29		499
Impairment of real estate owned	293		1,359		2,104
(Decrease)/increase in present value of expected credit losses on loans	(13,668)		(9,345)		803
Credit loss expense on mortgage loans	842		1,071		—
Decrease in net present value of expected credit losses on beneficial interests	(4,555)		(3,210)		—
Credit loss expense on beneficial interests	457		663		—
Amortization of debt discount and prepaid financing costs	6,164		5,176		5,716
Undistributed (income)/loss from investment in affiliates	(699)		155		(1,332)
Fair value adjustment on put option liability	9,462		4,733		—
Other non-cash charges	(3)		—		—
Net change in operating assets and liabilities
Prepaid expenses and other assets	(8,027)		(845)		(2,555)
Receivable from Servicer	(5,144)		1,311		(2,231)
Accrued expenses, management fee payable, and other liabilities	2,648		963		830
Net cash from operating activities	(15,324)		(13,889)		(14,998)
CASH FLOWS FROM INVESTING ACTIVITIES
Purchase of mortgage loans and related balances	(286,219)		(88,965)		(129,186)
Principal paydowns on mortgage loans	218,762		127,505		134,696
Proceeds from sale of mortgage loans	125,975		25,412		212,648
Draws on small balance commercial loans	(20,689)		(56)		(912)
Purchase of securities	(341,788)		(144,682)		(187,825)
Proceeds from paydowns on debt securities	155,187		53,517		42,386
Proceeds from payoff and sale of securities	90,229		38,944		39,635
Purchase of rental property and property held-for-sale	(277)		—		(27,524)
Proceeds from sale of property held-for-sale	6,843		11,100		17,436
Renovations and recovery costs of rental property and property held-for-sale	—		(28)		171
Investment in equity method investee	—		—		(2,502)
Distribution from affiliates	1,778		1,418		1,144
Net cash from investing activities	(50,199)		24,165		100,167
CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from repurchase transactions	560,627		315,364		322,561
Repayments on repurchase transactions	(435,705)		(308,346)		(444,372)
Proceeds from origination of secured borrowings	391,028		114,534		283,914
Repayments on secured borrowings	(393,005)		(183,487)		(241,134)

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

F-10

Payment of prepaid financing costs	(7,726)		(1,876)		(4,559)
Purchase of bonds of non-controlling interest in subsidiaries	(5,887)		—		—
Repurchase of the Company's senior convertible notes	(8,762)		(10,481)		—
Proceeds from issuance of preferred stock and warrants, net of offering costs	—		124,976		—
Sale of common stock, net of offering costs	251		—		34,301
Sale of common stock pursuant to dividend reinvestment plan	241		131		280
Acquisition of non-controlling interest in subsidiary	(11,362)		—		—
Distribution to non-controlling interest	(15,196)		(329)		(789)
Issuance of non-controlling interest in subsidiaries	—		145		144
Repurchase of the Company's common stock	(16)		(436)		—
Dividends paid on common stock and preferred stock	(28,774)		(17,499)		(26,322)
Net cash from financing activities	45,714		32,696		(75,976)
NET CHANGE IN CASH, CASH EQUIVALENTS, AND CASH HELD IN TRUST	(19,809)		42,972		9,193
CASH, CASH EQUIVALENTS AND CASH HELD IN TRUST, beginning of period	107,335		64,363		55,170
CASH, CASH EQUIVALENTS AND CASH HELD IN TRUST, end of period	$	87,526	$	107,335	$	64,363
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION
Cash paid for interest	$	29,521	$	42,301	$	53,324
Cash paid for income taxes	$	57	$	94	$	71
SUPPLEMENTAL DISCLOSURE OF NONCASH INVESTING AND FINANCING ACTIVITIES
Net transfer of loans from mortgage held-for-investment, net to mortgage loans held-for-sale, net	$	159,733	$	—	$	—
Net transfer of loans and loan advances to rental property or property held-for-sale	$	3,511	$	4,903	$	12,104
Non-cash adjustments to basis in mortgage loans	$	3,193	$	32	$	(20)
Issuance of common stock for management fee and compensation expense	$	1,312	$	879	$	3,604
Unrealized gain/(loss) on available for sale securities, net of non-controlling interest and tax	$	645	$	(902)	$	1,852
Treasury stock received through distributions from investment in Manager	$	516	$	253	$	188
Issuance of common stock for dividends	$	—	$	7,097	$	—
Transfer of prepaids to rental property or property held-for-sale	$	—	$	139	$	—
Non-cash transfer of rental property to Gaea	$	—	$	—	$	41,997
Non-cash equity investment in Gaea resulting from deconsolidation	$	—	$	—	$	18,494
Conversion of Operating Partnership Units	$	—	$	—	$	10,816
Non-cash transfer of loans to Gaea	$	—	$	—	$	2,215

The following table provides a reconciliation of cash, cash equivalents, and restricted cash reported within the consolidated balance sheet to the amount shown in the consolidated statements of cash flows as of December 31, 2021 and December 31, 2020 ($ in thousands):

	December 31, 2021		December 31, 2020
Cash and cash equivalents	$	84,426	$	107,147
Restricted cash	3,100		188
Total cash and cash equivalents and restricted cash shown on the consolidated statements of cash flows	$	87,526	$	107,335

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

F-11

GREAT AJAX CORP. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF CHANGES IN EQUITY

	For the years ended December 31, 2019 through December 31, 2021
($ in thousands)	Preferred stock - Series A shares	Preferred stock - Series A amount		Preferred stock - Series B shares	Preferred stock - Series B amount		Common stock shares	Common stock amount		Treasury stock		Additional Paid-in Capital		Retained Earnings		Accumulated other comprehensive (loss)/gain		Total Stockholders’ Equity		Non-controlling Interest		Total Equity
Balance at December 31, 2018	—	$	—	—	$	—	18,909,874	$	189	$	(270)	$	260,427	$	41,063	$	(575)	$	300,834	$	33,445	$	334,279
Net income	—	—		—	—		—	—		—		—		34,705		—		34,705		2,384		37,089
Issuance of non-controlling interest in subsidiaries	—	—		—	—		—	—		—		—		—		—		—		(22)		(22)
Sale of shares	—	—		—	—		2,278,518	23		—		34,278		—		—		34,301		—		34,301
Conversion of Operating Partnership Units	—	—		—	—		624,106	6		—		10,810		—		—		10,816		(10,816)		—
Issuance of shares under dividend reinvestment plan	—	—		—	—		20,107	—		—		280		—		—		280		—		280
Stock-based management fee expense	—	—		—	—		237,237	3		—		2,590		—		—		2,593		—		2,593
Stock-based compensation expense	—	—		—	—		85,272	1		—		1,010		—		—		1,011		—		1,011
Dividends declared ($0.32 per share) and distributions	—	—		—	—		—	—		—		—		(26,322)		—		(26,322)		(789)		(27,111)
Other comprehensive income	—	—		—	—		—	—		—		—		—		1,852		1,852		—		1,852
Treasury stock	—	—		—	—		(12,971)	—		(188)		—		—		—		(188)		—		(188)

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

F-12

	For the years ended December 31, 2019 through December 31, 2021
($ in thousands)	Preferred stock - Series A shares	Preferred stock - Series A amount		Preferred stock - Series B shares	Preferred stock - Series B amount		Common stock shares	Common stock amount		Treasury stock		Additional Paid-in Capital		Retained Earnings		Accumulated other comprehensive (loss)/gain		Total Stockholders’ Equity		Non-controlling Interest		Total Equity
Balance at December 31, 2019	—	$	—	—	$	—	22,142,143	$	222	$	(458)	$	309,395	$	49,446	$	1,277	$	359,882	$	24,202	$	384,084
Net income	—	—		—	—		—	—		—		—		28,496		—		28,496		5,112		33,608
Preferred Stock	2,307,400	51,100		2,892,600	64,044		—	—		—		—		—		—		115,144		—		115,144
Issuance of shares of subsidiary	—	—		—	—		—	—		—		—		—		—		—		145		145
Issuance of shares under dividend reinvestment plan	—	—		—	—		14,502	—		—		131		—		—		131		—		131
Stock-based compensation expense	—	—		—	—		114,467	1		—		878		—		—		879		—		879
Dividends declared ($0.17 and $0.32 per share) and distributions	—	—		—	—		781,222	8		—		7,089		(24,596)		—		(17,499)		(329)		(17,828)
Convertible senior notes repurchase	—	—		—	—		—	—		—		(81)		—		—		(81)		—		(81)
Other comprehensive loss	—	—		—	—		—	—		—		—		—		(902)		(902)		—		(902)
Treasury stock	—	—		—	—		(73,995)	—		(701)		12		—		—		(689)		—		(689)
Balance at December 31, 2020	2,307,400	$	51,100	2,892,600	$	64,044	22,978,339	$	231	$	(1,159)	$	317,424	$	53,346	$	375	$	485,361	$	29,130	$	514,491
Net income	—	—		—	—		—	—		—		—		41,855		—		41,855		(80)		41,775
Sale of shares	—	—		—	—		24,951	—		—		251		—		—		251		—		251
Acquisition of non-controlling interest in subsidiary	—	—		—	—		—	—		—		(3,056)		—		—		(3,056)		(8,306)		(11,362)

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

F-13

	For the years ended December 31, 2019 through December 31, 2021
($ in thousands)	Preferred stock - Series A shares	Preferred stock - Series A amount		Preferred stock - Series B shares	Preferred stock - Series B amount		Common stock shares	Common stock amount		Treasury stock		Additional Paid-in Capital		Retained Earnings		Accumulated other comprehensive (loss)/gain		Total Stockholders’ Equity		Non-controlling Interest		Total Equity
Issuance of shares under dividend reinvestment plan	—	—		—	—		18,750	1		—		240		—		—		241		—		241
Distribution to non-controlling interest	—	—		—	—		—	—		—		—		—		—		—		(17,186)		(17,186)
Stock-based compensation expense	—	—		—	—		164,862	1		—		1,311		—		—		1,312		—		1,312
Dividends declared ($0.10, $0.17, $0.19, $0.21 and $0.24 per share) and distributions	—	—		—	—		—	—		—		—		(28,774)		—		(28,774)		(380)		(29,154)
Convertible senior notes repurchase	—	—		—	—		—	—		—		(8)		—		—		(8)		—		(8)
Other comprehensive income	—	—		—	—		—	—		—		—		—		645		645		—		645
Treasury stock	—	—		—	—		(40,127)	—		(532)		—		—		—		(532)		—		(532)
Balance at December 31, 2021	2,307,400	$	51,100	2,892,600	$	64,044	23,146,775	$	233	$	(1,691)	$	316,162	$	66,427	$	1,020	$	497,295	$	3,178	$	500,473

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

F-14

GREAT AJAX CORP. AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

December 31, 2021

Note 1 — Organization and Basis of Presentation

Great Ajax Corp., a Maryland corporation (the “Company”), is an externally managed real estate company formed on January 30, 2014, and capitalized on March 28, 2014, by its then sole stockholder, Aspen Yo (“Aspen”), a company affiliated with Aspen Capital, the trade name for the Aspen group of companies. The Company facilitates capital raising activities and operates as a mortgage real estate investment trust (“REIT”). The Company primarily targets acquisitions of re-performing loans (“RPLs”), which are residential mortgage loans on which at least five of the seven most recent payments have been made, or the most recent payment has been made and accepted pursuant to an agreement, or the full dollar amount to cover at least five payments has been paid in the last seven months. The Company may also acquire or originate small balance commercial loans (“SBC loans”). The SBC loans that the Company opportunistically targets generally have a principal balance of up to $5.0 million and are secured by multi-family residential and commercial mixed use retail/residential properties on which at least five of the seven most recent payments have been made, or the most recent payment has been made and accepted pursuant to an agreement, or the full dollar amount to cover at least five payments has been paid in the last seven months. Additionally, the Company invests in single-family and smaller commercial properties directly either through a foreclosure event of a loan in its mortgage portfolio or, less frequently, through a direct acquisition. The Company may also target investments in non-performing loans (“NPLs”). NPLs are loans on which the most recent three payments have not been made. The Company may acquire NPLs from time to time, either directly or with joint venture partners. The Company’s manager is Thetis Asset Management LLC (the “Manager” or “Thetis”), an affiliated company. The Company owns 19.8% of the Manager and 8.0% of Great Ajax FS LLC ("GAFS" or "The Parent of the Servicer") which owns substantially all of the interest in Gregory Funding LLC ("Gregory" or the "Servicer"), the Company's loan and real property servicer that is also an affiliated company. The Company has elected to be taxed as a REIT under the Internal Revenue Code of 1986, as amended (the “Code”).

The Company conducts substantially all of its business through its operating partnership, Great Ajax Operating Partnership L.P., a Delaware limited partnership (the “Operating Partnership”), and its subsidiaries. The Company, through a wholly owned subsidiary, is the sole general partner of the Operating Partnership. GA-TRS LLC ("GA-TRS") is a wholly owned subsidiary of the Operating Partnership that owns the equity interest in the Manager and the Parent of the Servicer. The Company elected to treat GA-TRS as a taxable REIT subsidiary (“TRS”) under the Code. Great Ajax Funding LLC is a wholly owned subsidiary of the Operating Partnership formed to act as the depositor of mortgage loans into securitization trusts and to hold the subordinated securities issued by such trusts and any additional trusts the Company may form for additional secured borrowings. The Company generally securitizes its mortgage loans through securitization trusts and retains subordinated securities from the secured borrowings. These trusts are considered to be variable interest entities ("VIEs"), and the Company has determined that it is the primary beneficiary of many of these VIEs. AJX Mortgage Trust I and AJX Mortgage Trust II are wholly owned subsidiaries of the Operating Partnership formed to hold mortgage loans used as collateral for financings under the Company’s repurchase agreements. In addition, the Company, through its Operating Partnership, holds real estate owned properties (“REO”) acquired upon the foreclosure or other settlement of its owned NPLs, as well as through outright purchases. GAJX Real Estate Corp. is a wholly owned subsidiary of the Operating Partnership formed to own, maintain, improve and sell REO properties purchased by the Company. The Company has elected to treat GAJX Real Estate Corp. as a TRS under the Code.

The Operating Partnership, through interests in certain entities, as of December 31, 2021 and December 31, 2020, held 99.9% of Great Ajax II REIT Inc., which owns Great Ajax II Depositor LLC, which was formed to act as the depositor of mortgage loans into securitization trusts and to hold the subordinated securities issued by such trusts. The Company has securitized mortgage loans through a securitization trust and retained subordinated securities from the secured borrowings. This trust is considered to be a VIE, and the Company has determined that it is the primary beneficiary of this VIE.

In 2018, the Company formed Gaea Real Estate Corp. ("Gaea"), a wholly owned subsidiary of the Operating Partnership to hold investments in multi-family, mixed use commercial real estate. The Company elected to treat Gaea Real Estate Corp. as a TRS under the Code in 2018 and elected to treat Gaea as a REIT under the Code in 2019 and thereafter. Also during 2018, the Company formed Gaea Real Estate Operating Partnership, a wholly owned subsidiary of Gaea, to hold investments in commercial real estate assets. The Company 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,

the Company formed DG Brooklyn Holdings, LLC also as a subsidiary of Gaea Real Estate Operating Partnership, to hold investments in multi-family properties.

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

F-15

On November 22, 2019, Gaea completed a private capital raise transaction through which it raised $66.3 million from the issuance of 4,419,641 shares of common stock to third parties to allow Gaea to continue to advance its investment strategy. The purchase price per share was $15.00. Upon completion of the private placement, the Company retained ownership of approximately 23.2% of Gaea with third party investors owning the remaining approximately 76.8%. At December 31, 2021 the Company owned approximately 22.8% of Gaea with the dilution since the capital raise driven by Gaea's equity issuances. From the date of the capital raise forward, the Company accounts for its investment in Gaea under the equity method.

Basis of Presentation and Use of Estimates

The consolidated financial statements have been prepared in accordance with accounting principles generally accepted in the United States ("U.S. GAAP"), as contained within the Accounting Standards Codification (“ASC”) of the Financial Accounting Standards Board (“FASB”) and the rules and regulations of the SEC, as applied to financial statements.

The Company consolidates the results and balances of three subsidiaries with non-controlling ownership interests held by third parties. AS Ajax E II LLC ("AS Ajax E II") holds a 5.0% interest in a Delaware trust that owns residential mortgage loans and residential real estate assets; AS Ajax E II is 53.1% owned by the Company. Ajax Mortgage Loan Trust 2017-D ("2017-D") is a securitization trust that holds mortgage loans, REO property and secured borrowings; 2017-D is 50.0% owned by the Company. Great Ajax II REIT Inc. which wholly owns Great Ajax II Depositor LLC which acts as the depositor of mortgage loans into securitization trusts and holds subordinated securities issued by such trusts and is 99.9% owned by the Company as of December 31, 2021 and December 31, 2020. The Company recognizes non-controlling interests in its consolidated financial statements for the amounts of the investments and income due to the third party investors for its consolidated subsidiaries.

During the second quarter of 2021, the majority of loans held by 2017-D were sold into Ajax Mortgage Loan Trust 2021-C ("2021-C"), a related party joint venture with third party institutional investors. The Company held a 50.0% ownership of the remaining loans held by 2017-D at December 31, 2021.

During the first quarter of 2021, the Company acquired the remaining ownership of Ajax Mortgage Loan Trust 2018-C ("2018-C"), a subsidiary that previously had non-controlling ownership interest held by third parties and was 63.0% owned by the Company as of December 31, 2020 and consolidated in the Company's consolidated financial statements. At December 31, 2021 there was no non-controlling ownership interest in 2018-C held by third parties.

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

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

Note 2 — Summary of Significant Accounting Policies

Mortgage Loans

Purchased Credit Deteriorated Loans ("PCD Loans")

As of their acquisition date, the loans acquired by the Company have generally suffered some credit deterioration subsequent to origination. As a result, the Company’s recognition of interest income for PCD loans is based upon it having a reasonable expectation of the amount and timing of the cash flows expected to be collected. When the timing and amount of cash flows expected to be collected are reasonably estimable, the Company uses expected cash flows to apply the effective interest method of income recognition. The Company adopted ASU 2016-13, Financial Instruments - Credit Losses, otherwise known as CECL using the prospective transition approach for PCD assets on January 1, 2020. At the time, $10.2 million of loan discount was reclassified to the allowance for expected credit losses with no net impact on the amortized cost basis of the portfolio.

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

F-16

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

The Company’s accounting for PCD loans gives rise to an accretable yield and an allowance for expected credit losses. Upon the acquisition of PCD loans the Company records the acquisition as three separate elements for (i) the amount of purchase discount which the Company expects to recover through eventual repayment by the borrower, (ii) an allowance for future expected credit loss and (iii) the UPB of the loan. The purchase price discount which the Company expects at the time of acquisition to collect over the life of the loans is the accretable yield. Cash flows expected at acquisition include all cash flows directly related to the acquired loan, including those expected from the underlying collateral. The Company recognizes the accretable yield as interest income on a prospective level yield basis over the life of the pool. The Company’s expectation of the amount of undiscounted cash flows to be collected is evaluated at the end of each calendar quarter. The net present value of changes in expected cash flows, whether caused by timing or loan performance, is reported in the period in which it arises and is reflected as an increase or decrease in the provision for expected credit losses to the extent a provision for expected credit losses is recorded against the pool of mortgage loans. If no provision for expected credit losses is recorded against the pool of assets, the increase in expected future cash flows is recognized prospectively as an increase in yield.

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

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

Non-PCD Loans

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

The Company accounts for its non-PCD loans by estimating any allowance for expected credit losses for its non-PCD loans based on 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. For individual loans, a troubled debt restructuring is a formal restructuring of a loan where, for economic or legal reasons related to the borrower’s financial difficulties, a concession that would not otherwise be considered is granted to the borrower. The concession may be granted in various forms, including providing a below-market interest rate, a reduction in the loan balance or accrued interest, an extension of the maturity date, or a combination of these. An individual loan that has had a troubled debt restructuring is considered to be impaired and is subject to the relevant accounting for impaired loans.

Investments in Securities at Fair Value

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

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

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

Investments in Beneficial Interests

The Company’s Investments in Beneficial Interests consist of investments in the trust certificates issued by joint ventures which the Company forms with third party institutional accredited investors. The trust certificates represent the residual interest of any special purpose entity formed to facilitate certain investments. The Company adopted CECL with respect to its Investment in beneficial interests on January 1, 2020. The methodology is similar to that described in "Mortgage Loans" except that the Company only recognizes its ratable share of gain, loss, income or expense and each beneficial interest is accounted for independently.

Real Estate

The Company acquires real estate properties directly through purchases, when it forecloses on the borrower and takes title to the underlying property, or the borrower surrenders the deed in lieu of foreclosure. Property is recorded at cost if purchased, or at the present value of future cash flows if obtained through foreclosure by the Company. Property that the Company expects to actively market for sale is classified as held-for-sale. Property held-for-sale is carried at the lower of its acquisition basis or net realizable value (fair market value less expected selling costs, and any additional costs necessary to prepare the property for sale). Fair market value is determined based on broker price opinions (“BPOs”), appraisals, or other market indicators of fair value including list price or contract price, if listed or under contract for sale at the balance sheet date. Net unrealized losses due to changes in market value are recognized through a valuation allowance by charges to income through real estate operating expenses. No depreciation or amortization expense is recognized on properties held-for-sale. Holding costs are generally incurred by the Servicer and are subtracted from the Servicer’s remittance of sale proceeds upon ultimate disposition of properties held-for-sale.

Rental property is property not held-for-sale. Depreciation is provided for using the straight-line method over the estimated useful lives of the assets of up to 27.5 years. The Company performs an impairment analysis for rental property using estimated cash flows if events or changes in circumstances indicate that the carrying value may be impaired.

Preferred Stock

During the quarter ended June 30, 2020, the Company issued an aggregate of $125.0 million, net of offering costs, of preferred stock in two series and warrants to institutional accredited investors in a series of private placements. The Company issued 2,307,400 shares of 7.25% Series A Fixed-to-Floating Rate Preferred Stock and 2,892,600 shares of 5.00% Series B Fixed-to-Floating Rate Preferred Stock, each at a purchase price per share of $25.00. The shares have a liquidation preference of $25.00 per share.

Put Option Liability

As part of the Company’s capital raise transactions during the quarter ended June 30, 2020, the Company issued two series of five-year warrants to purchase an aggregate of 6,500,000 shares of the Company's common stock at an exercise price of $10.00 per share. Each series of warrants includes a put option that allows the holder to sell the warrants to the Company at a specified put price on or after July 6, 2023. U.S. GAAP requires the Company to account for the outstanding warrants as if the put option will be exercised by the holders. The warrants were recorded as a liability in the Company's consolidated balance sheet as a put option liability with an original basis of $9.5 million. The Company is accreting the amount of the liability under the effective interest method to its expected future put value of $50.7 million and marks the obligation to market through earnings at each balance sheet date. The Company determines the fair value using a discounted cash flow method.

Secured Borrowings

The Company, through securitization trusts which are VIEs, issues callable debt secured by its mortgage loans in the ordinary course of business. The secured borrowings facilitated by the trusts are structured as debt financings, and the mortgage

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

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loans used as collateral remain on the Company’s consolidated balance sheet as the Company is the primary beneficiary of the securitization trusts. These secured borrowing VIEs are structured as pass through entities that receive principal and interest on the underlying mortgages and distribute those payments to the holders of the notes. The Company’s exposure to the obligations of the VIEs is generally limited to its investments in the entities; the creditors do not have recourse to the primary beneficiary. Coupon interest expense on the debt is recognized using the accrual method of accounting. Deferred issuance costs, including original issue discount and debt issuance costs, are carried on the Company’s consolidated balance sheets as a deduction from Secured borrowings, and are amortized to interest expense on an effective yield basis based on the underlying cash flow of the mortgage loans serving as collateral. The Company assumes the debt will be called at the specified call date for purposes of amortizing discount and issuance costs because the Company believes it will have the intent and ability to call the debt on the call date. Changes in the actual or projected underlying cash flows are reflected in the timing and amount of deferred issuance cost amortization. See Note 8 — Commitments and Contingencies.

Repurchase Facilities

The Company enters into repurchase financing facilities under which it nominally sells assets to a counterparty and simultaneously enters into an agreement to repurchase the sold assets at a price equal to the sold amount plus an interest factor. Despite being legally structured as sales and subsequent repurchases, repurchase transactions are generally accounted for as debt secured by the underlying assets. At the maturity of a repurchase financing, unless the repurchase financing is renewed, the Company is required to repay the borrowing including any accrued interest and concurrently receives back its pledged collateral from the lender. The repurchase financings are treated as collateralized financing transactions; pledged assets are recorded as assets in the Company’s consolidated balance sheets, and the debt is recognized at the contractual amount. Interest is recorded at the contractual amount on an accrual basis. Costs associated with the set-up of a repurchasing contract are recorded as deferred issuance cost at inception and amortized over the contractual life of the agreement. Any draw fees associated with individual transactions and any facility fees assessed on the amounts outstanding are recorded as expense when incurred.

Convertible Senior Notes

During 2017 and 2018, the Company completed the public offer and sale of $123.9 million in aggregate principal amount of its 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 the Company’s 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, is subject to adjustment under certain circumstances.

Coupon interest on the notes is recognized using the accrual method of accounting. Discount and deferred issuance costs are carried on the Company’s consolidated balance sheets as a deduction from the notes, and are amortized to interest expense on an effective yield basis through April 30, 2023, the date at which the notes can be converted. The Company assumes the debt will be converted at the specified conversion date for purposes of amortizing issuance costs because the Company believes such conversion will be in the economic interest of the holders. A cumulative discount at issuance of $3.2 million, representing the fair value of the embedded conversion feature, was recorded to stockholder equity. No sinking fund has been established for redemption of the principal.

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

Management Fee and Expense Reimbursement

The Company is a party to the Third Amended and Restated Management Agreement with the Manager (the "Management Agreement") by and between the Company and the Manager, dated as of May 1, 2020, expiring on March 5,

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

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

Under the Management Agreement, the Company pays a quarterly base management fee based on its stockholders’ equity, including equity equivalents such as the Company's issuance of convertible senior notes, and may be required to pay a quarterly incentive management fee based on its cash distributions to its stockholders, and has the option to pay up to 100% of the base and incentive fees in cash rather than in half cash and half shares of its common stock. Management fees are expensed in the quarter incurred and the portion payable in common stock (if any) is included in stockholders’ equity at quarter end. See Note 10 — Related party transactions.

Servicing Fees

The Company is also a party to a Servicing Agreement (the "Servicing Agreement"), expiring July 8, 2029, with the Servicer. Under the Servicing Agreement by and between the Company and the Servicer, the Servicer receives an annual servicing fee ranging from 0.65% annually of the unpaid principal balance (“UPB”) to 1.25% annually of UPB for loans that are non-performing at acquisition. Servicing fees are paid monthly. The total fees incurred by the Company for these services depend upon the UPB and type of mortgage loans that the Servicer services pursuant to the terms of the Servicing Agreement. The fees do not change if an RPL becomes non-performing or vice versa. Servicing fees for the Company’s real property assets are the greater of (i) the servicing fee applicable to the underlying mortgage loan prior to foreclosure, or (ii) 1.00% annually of the fair market value of the REO as reasonably determined by the Manager or 1.00% annually of the purchase price of any REO otherwise purchased by the Company. The Servicer is reimbursed for all customary, reasonable and necessary out-of-pocket costs and expenses incurred in the performance of its obligations, including the actual cost of any repairs and renovations undertaken on the Company’s behalf. The total fees incurred by the Company for these services will be dependent upon the UPB and the type of mortgage loans that the Servicer services, property values, previous UPB of the relevant loan, and the number of REO properties. The Servicing Agreement will automatically renew for successive one-year terms, subject to prior written notice of non-renewal. In certain cases, the Company may be obligated to pay a termination fee. The Management Agreement will automatically terminate at the same time as the Servicing Agreement if the Servicing Agreement is terminated for any reason. See Note 10 — Related party transactions.

Stock-based Payments

At least a portion of the management fee is payable in cash, and a portion of the management fee may be payable (at the Company's discretion) in shares of the Company’s common stock, which are issued to the Manager in a private placement and are restricted securities under the Securities Act of 1933, as amended (the “Securities Act”). The number of shares issued to the Manager (if any) are determined based on the average of the closing prices of the Company's common stock on the New York Stock Exchange ("NYSE") on the five business days preceding the record date of the most recent regular quarterly dividend to holders of the common stock. Any management fees paid in common stock are recognized as an expense in the quarter incurred and recorded in stockholders' equity at quarter end. The shares vest immediately upon issuance. The Manager has agreed to hold any shares of common stock received by it as payment of the base management fee for at least three years from the date such shares of common stock are received.

Under the Company’s 2014 Director Equity Plan (the “Director Plan”), the Company may make stock-based awards to its directors. The Director Plan is designed to promote the Company’s interests by attracting and retaining qualified and experienced individuals for service as non-employee directors. The Director Plan is administered by the Company’s Board of Directors. The total number of shares of common stock or other stock-based awards, including grants of long-term incentive plan units (“LTIP Units”) from the Operating Partnership, available for issuance under the Director Plan is 60,000 shares. The Company issued to each of its independent directors restricted stock awards of 2,000 shares of its common stock upon joining the Board of Directors. The Company may also periodically issue additional restricted stock awards to its independent directors under the Director Plan. In addition, each of the Company’s independent directors receives an annual fee of $100,000, payable quarterly, 40% in shares of the Company’s common stock and 60% in cash. Stock-based expense for the directors’ annual fee is expensed as earned, in equal quarterly amounts during the year, and recorded in stockholders' equity at quarter end.

On June 7, 2016, the Company’s stockholders approved the 2016 Equity Incentive Plan (the “2016 Plan”) to attract and retain non-employee directors, executive officers, key employees and service providers, including officers and employees

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

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of the Company’s affiliates. The 2016 Plan authorized the issuance of up to 5% of the Company’s outstanding shares from time to time on a fully diluted basis (assuming, if applicable, the conversion of all warrants and convertible senior notes into shares of common stock). Grants of restricted stock under the 2016 Plan use grant date fair value of the stock as the basis for measuring the cost of the grant. Forfeitures of granted shares are accounted for in the period in which they occur. The shares granted in 2021 vest over four years, with one-fourth of the shares vesting on each of the first, second, third and fourth anniversaries of the grant date. The shares granted prior to 2021 vest over three years, with one-third of the shares vesting on each of the first, second and third anniversaries of the grant date. The shares may not be sold until the third or fourth anniversary of the grant date, as determined by the contract.

Directors’ Fees

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

Variable Interest Entities

In the normal course of business, the Company enters into various types of transactions with special purpose entities, which have primarily consisted of trusts established for the Company’s secured borrowings (see “Secured Borrowings” above and Note 9 to the consolidated financial statements). Additionally, from time to time, the Company may enter into joint ventures with unrelated entities, which also generally involves the formation of a special purpose entity. The Company evaluates each transaction and its resulting beneficial interest to determine if the entity formed pursuant to the transaction should be classified as a VIE. If an entity created in a transaction meets the definition of a VIE and the Company determines that it or a consolidated subsidiary is the primary beneficiary, the Company will include the entity in its consolidated financial statements.

Cash and Cash Equivalents

Highly liquid investments with an original maturity of three months or less when purchased are considered cash equivalents. The Company generally maintains cash and cash equivalents at insured banking institutions with minimum assets of $1 billion. Certain account balances exceed Federal Deposit Insurance Corporation (“FDIC”) insurance coverage and, as a result, there is a concentration of credit risk related to amounts on deposit in excess of FDIC insurance coverage.

Cash Held in Trust

Cash held in trust consists of restricted cash balances either legally due to lenders or held in trust for the benefit of the Company's secured borrowers, and is segregated from the Company’s other cash deposits. Cash held in trust is not available to the Company for any purposes other than the settlement of existing obligations.

Earnings per Share

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

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

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

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

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dilutive securities would be excluded from the diluted loss per share calculation, as their effect on loss per share would be anti-dilutive. The Company uses the treasury stock method of accounting for its outstanding warrants. Under the treasury stock method, the exercise of the warrants is assumed at the beginning of the period, and shares of common stock are assumed to have been issued. The proceeds from the exercise are assumed to be used by the Company to repurchase treasury stock, thereby reducing the assumed dilution from the warrant exercise. In applying the treasury stock method, all dilutive potential common shares, regardless of whether they are exercisable, are treated as if they had been exercised.

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

Fair Value of Financial Instruments

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

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

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

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

The degree of judgment utilized in measuring fair value generally correlates to the level of pricing observability. Assets and liabilities with readily available actively quoted prices or for which fair value can be measured from actively quoted prices generally will have a higher degree of pricing observability and a lesser degree of judgment utilized in measuring fair value. Conversely, assets and liabilities rarely traded or not quoted will generally have little or no pricing observability and a higher degree of judgment utilized in measuring fair value. Pricing observability is impacted by a number of factors, including the type of asset or liability, whether it is new to the market and not yet established, and the characteristics specific to the transaction.

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

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

The Company's investments in beneficial interests are trust certificates representing the residual investment in securitization trusts the Company forms with joint venture partners. The trust certificates represent the residual investment in the trust. The Company relies on its Manager's proprietary pricing model to estimate the underlying cash flows expected to be collected on its investments in beneficial interests.

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

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

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

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

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

F-22

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

The fair value of secured borrowings is estimated using estimates provided by the Company's financing counterparties, which are compared for reasonableness to the Manager’s proprietary pricing model which estimates expected cash flows of the underlying mortgage loans collateralizing the debt. The Company is able to call the bonds issued in its secured borrowings at par value plus accrued interest pursuant to the terms of the offering document. The Company carries its secured borrowings net of deferred issuance cost. Accordingly, the difference between fair value and carrying value is largely driven by the deferred issuance costs.

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

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

The Company’s convertible senior notes are traded on the NYSE under the ticker symbol "AJXA"; the debt’s fair value is determined from the closing price on the balance sheet date. The Convertible debt may be redeemable at par plus accrued interest beginning on April 30, 2022 subject to satisfying the conversion price trigger. The Company carries its Convertible debt net of deferred issuance cost. Accordingly, the difference between fair value and carrying value is partially driven by the deferred issuance costs.

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

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

Income Taxes

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

The Company’s consolidated financial statements include the operations of GA-TRS and GAJX Real Estate Corp. and other TRS entities, which are subject to U.S. federal, state and local income taxes on their taxable income. Income from these entities and any other TRS that the Company forms in the future will be subject to U.S. federal and state income taxes. Deferred tax assets and liabilities are recognized for the future tax consequences or benefits attributable to differences between the carrying amounts of existing assets and liabilities and their respective tax bases. Deferred tax assets and liabilities are measured using enacted rates expected to apply to taxable income in the years in which management expects those temporary differences to be recovered or settled. The effect on deferred taxes of a change in tax rates is recognized in income in the period in which the change occurs. Subject to the Company’s judgment, it reduces a deferred tax asset by a valuation allowance if it is “more-likely-than-not” that some or all of the deferred tax asset will not be realized. Tax laws are complex and subject to different interpretations by the taxpayer and respective governmental taxing authorities. Significant judgment is required in evaluating tax positions, and the Company recognizes tax benefits only if it is more likely than not that a tax position will be sustained upon examination by the appropriate taxing authority.

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

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The Company’s tax returns remain subject to examination and consequently, the taxability of the distributions and other tax positions taken by the Company may be subject to change. Distributions to stockholders generally will be primarily taxable as long-term capital gain, although a portion of such distributions may be designated as ordinary income or qualified dividend income, or may constitute a return of capital. The Company furnishes annually to each stockholder a statement setting forth distributions paid during the preceding year and their U.S. federal income tax treatment.

Segment Information

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

Reclassifications

The Company combined its Property held-for-sale, net and Rental property, net lines with balances of $7.8 million and $0.7 million, respectively, in its December 31, 2020 consolidated balance sheet into a single line, Real estate owned properties, net, to conform to the current period presentation. There was no effect on the Company's reported earnings or cash flows for the periods presented. The Company reclassified its put option liability of $14.2 million at December 31, 2020, from Accrued expenses and other liabilities in its consolidated balance sheets to a separate line, Put option liability, to conform to the current period presentation. There was no effect on the Company's reported earnings or cash flows for the periods presented. The Company also reclassified its loans and beneficial interest credit loss expenses of $1.1 million and $0.7 million, respectively, for the year ended December 31, 2020, from Net decrease in the net present value of expected credit losses to Interest income on its consolidated statement of income to align the presentation with the method the Company uses to evaluate these results. The Company reclassified its loss from loan settlement of $0.7 million for the year ended December 31, 2020 and income from loan settlement of $7.1 million for the year ended December 31, 2019 from Loss/income on sale of mortgage loans to Other income on its consolidated statements of income to align the presentation with the method the Company uses to evaluate these results. The Company reclassified its loan transaction expense of $0.2 million and $0.3 million for the years ended December 31, 2020 and 2019, respectively, from Loan transaction expense to Other expense on its consolidated statements of income to align the presentation with the method the Company uses to evaluate these results. The Company also reclassified its fair value adjustment on put option of $4.7 million for the year ended December 31, 2020 from Other expense to Fair value adjustment on put option on its consolidated statement of income to align the presentation with the method the Company uses to evaluate these results.

Recently Adopted Accounting Standards

In June 2016, the FASB issued ASU 2016-13, Financial Instruments - Credit Losses. The main objective of this guidance is to provide financial statement users with more decision-useful information about the expected credit losses on financial instruments and other commitments to extend credit held by a reporting entity. To achieve this, the amendments in this guidance replace the incurred loss impairment methodology in current U.S. GAAP with a methodology that reflects expected credit losses and requires consideration of a broader range of reasonable and supportable information to inform credit loss estimates. Specifically, the amendments in this guidance require a financial asset (or a group of financial assets) measured at amortized cost basis to be presented at the net amount expected to be collected. The measurement of expected credit losses is based on relevant information about past events, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the reported amount. An entity must use judgment in determining the relevant information and estimation methods that are appropriate in its circumstances. In May 2019, the FASB issued ASU 2019-04, Codification Improvements to Topic 326, Financial Instruments-Credit Losses, Topic 815, Derivatives and Hedging, and Topic 825, Financial Instruments. The amendments to Topic 326 and other Topics in this Update include items related to the amendments in Update 2016-13 discussed at the June 2018 and November 2018 Credit Losses Transition Resource Group meetings. The amendments clarify or address stakeholders’ specific issues about certain aspects of the amendments in Update 2016-13. This guidance is effective for interim and annual reporting periods that are applicable to the original ASU’s affected by the codification improvements. Also in May 2019, the FASB issued ASU 2019-05, Financial Instruments - Credit Losses - Targeted Transition Relief to allow financial statement preparers who had elected the fair value option for newly acquired financial assets to irrevocably elect the fair value option, applied on an instrument-by-instrument basis for eligible instruments, upon adoption of ASU 2016-13 for assets previously measured at amortized cost basis. In November 2019, the FASB issued ASU 2019-11, Codification Improvements to Topic 326, Financial Instruments - Credit Losses to clarify or address stakeholders’ specific issues about certain aspects of the amendments in Update 2016-13. In February 2020, the FASB issued ASU 2020-02, Financial Instruments - Credit Losses (Topic 326) and Leases (Topic 842) to amend SEC paragraphs pursuant to SEC Staff Accounting Bulletin No. 119 and to update the SEC section on the effective date related to ASU 2016-02. The guidance in ASU 2016-13, ASU 2019-04, ASU 2019-05, ASU 2019-11 and ASU 2020-02 became effective for the Company

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

F-24

for all periods beginning after December 15, 2019. The Company adopted ASU 2016-13 and all related amendments on January 1, 2020.

For the Company’s mortgage loan portfolio, the initial adoption resulted in a reclassification between loan discount and allowance for purchased credit impaired loans of $10.2 million. This adjustment had no effect on the Company’s balance sheet presentation, or on consolidated equity. The Company does not consider this transition adjustment to be material to its financial position or previously reported statements. During subsequent periods this allowance for credit losses will be adjusted either upward or downward for expected changes in future credit losses based on expected cash flows. These changes to the reserve will be recognized in the Company's current period income. Historically, only reductions in expected cash flows were recognized in the current period earnings, while increases in expected cash flows were recognized prospectively over the remaining expected lives of the loan pools. The Company’s investments in beneficial interests are also deemed to be credit impaired under ASC 2016-13 and follow guidance comparable to that for impaired loans. Similarly, upon adoption, a reclassification from discount to allowance for credit impaired loss of $1.7 million was recorded, with no net impact on the Company’s balance sheet or on consolidated equity. As with the adjustment noted above for the Company's loan portfolio, this adjustment had no effect on the Company’s balance sheet presentation, or on consolidated equity. The Company does not consider this transition adjustment to be material to its financial position or previously reported statements. In subsequent periods, changes to the reserve for beneficial interests will be recognized in the Company’s current period income. Under ASU 2016-13, credit losses for available-for-sale debt securities are measured in a manner similar to current GAAP. However, the amendments in this ASU require that credit losses be recorded through an allowance for credit losses, which will cause subsequent reversals in credit loss estimates to be recognized in current income. In addition, the allowance for available-for-sale debt securities is limited to the extent that the fair value is less than the amortized cost.

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

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

Recently Issued Accounting Standards

In August 2020, the FASB issued ASU 2020-06, Debt – Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging – Contracts in an Entity’s Own Equity (Subtopic 815-40). The amendments in this update simplify the accounting for convertible instruments by removing certain accounting models that require separation of convertible instruments into debt and equity components with conversion features that are not required to be accounted for as derivatives or that do not result in substantial premiums. Consequently a convertible instrument will be accounted for as a single liability measured as its amortized cost and convertible preferred stock will be accounted for as a single instrument recorded at historical cost as long as no other features require bifurcation or recognition as derivatives. This guidance is effective for interim and annual reporting periods beginning after December 15, 2021, with early adoption permitted. The Company is adopting 2020-06 using the modified retrospective method as of the beginning of its calendar year 2022 and does not anticipate a material effect on its consolidated assets or liabilities, consolidated net income or equity or cash flows on the date of adoption.

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

F-25

Note 3 — Mortgage Loans

The following table presents information regarding the carrying value for the Mortgage loan categories of RPL, NPL and SBC as of December 31, 2021 and 2020 ($ in thousands):

	December 31, 2021				December 31, 2020
Loan portfolio basis by asset type	Mortgage loans held-for-investment		Mortgage loans held-for-sale		Mortgage loans held-for-investment		Mortgage loans held-for-sale
Residential RPLs	$	941,565	$	29,572	$	1,057,454	$	—
Residential NPLs	119,520		—		38,724		—
SBC loans	19,349		—		23,194		—
Total	$	1,080,434	$	29,572	$	1,119,372	$	—

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

The categorization of RPLs, NPLs and SBC loans is determined at the time of acquisition. The carrying value of RPLs, NPLs and SBC loans reflects the original investment amount, plus accretion of interest income and credit and non-credit discount, less principal and interest cash flows received. The carrying values at December 31, 2021 and December 31, 2020 for the Company's loans in the table above are presented net of a cumulative allowance for expected credit losses of $7.1 million and $13.7 million, respectively, reflected in the appropriate lines in the table by loan type. For the year ended December 31, 2021 and 2020 the Company recognized $13.7 million and $9.3 million, respectively, of revenue due to a net decrease in expected credit losses resulting from increases in the present value of the expected cash flows. For the year ended December 31, 2019, the Company recognized $0.8 million of losses, due to a net increase in expected credit losses resulting from decreases in the present value of the expected cash flows. For the years ended December 31, 2021, 2020 and 2019, the Company accreted $79.9 million, $86.1 million and $97.1 million, respectively, net of the impact of changes in expected credit losses into interest income with respect to its RPL, NPL and SBC loans.

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

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

During the years ended December 31, 2021 and 2020, the Company purchased 1,006 and 304 RPLs with UPB of $191.3 million and $61.7 million, respectively. During the years ended December 31, 2021 and 2020, 387 and 65 NPLs were purchased with UPB of $94.8 million and $16.0 million, respectively. During the years ended December 31, 2021 and 2020, the Company acquired 16 and 14 SBC loans with UPB of $8.9 million and $20.3 million, respectively.

Included in the Company's loan acquisitions for 2021 are 772 RPLs, NPLs and SBC loans with a carrying value of $152.9 million from Ajax Mortgage Loan Trust 2019-C ("2019-C"), a joint venture trust previously formed by the Company in which it had held a 34.0% interest in the class B securities and trust certificate. The remaining 66.0% of 2019-C was acquired from the Company's joint venture partner in exchange for cash consideration for the outstanding equity certificate and subordinate notes and the assumption of the obligation to repay the senior note outstanding. Subsequent to the acquisition, the

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

F-26

senior and subordinate notes were retired in December 2021. The Company previously recorded its investment in 2019-C as Investment in debt securities and Investment in beneficial interests because it was not the primary beneficiary of the trust. Subsequent to acquiring the outstanding equity certificate, the Company became the sole owner of the trust and now reflects the underlying mortgage loans on its consolidated balance sheet.

During the year ended December 31, 2021 the Company sold 760 loans from 2017-D with a carrying value of $129.2 million and UPB of $133.8 million through a sponsored joint venture between the Company and a third party accredited institutional investor resulting in the removal of the related loans from the consolidated balance sheet. The Company retained various classes of securities from the joint venture. Comparatively, during the year ended December 31, 2020 the Company sold 26 loans with a carrying value of $26.1 million and UPB of $26.2 million and collateral values of $44.2 million to Gaea, a related party. See Note 10 — Related Party Transactions.

The Company adopted CECL using the prospective transition approach for PCD assets on January 1, 2020. At the time, $10.2 million of loan discount was reclassified to the allowance for expected credit losses with no net impact on the amortized cost basis of the portfolio. The Company views its mortgage loan portfolio based on a combination of loan performance and legal ownership for loans held by certain consolidated trusts, and used seven and six pools at December 31, 2021 and December 31, 2020, respectively, to aggregate its portfolio of PCD loans, and two pools and one pool for its non-PCD loans at December 31, 2021 and December 31, 2020, respectively.

At December 31, 2021, the Company aggregated its PCD loans in seven loan pools. Pool Great Ajax REIT II contains loans in the Company’s rated securitization transactions. Great Ajax REIT II is a separate taxpayer from Great Ajax Corp. Accordingly, the Company maintains separate books and records for each entity. At inception, loans in the Company’s rated securitization transactions have all made at least 12 of the last 12 payments and meet the pay string and loan to value requirements to obtain a AAA rating on the senior bond. Pool California contains all loans from California that are not included in Great Ajax REIT II. The Company's California loans generally outperform those of other states in that the Company rarely takes back an REO property because it receives foreclosure bids that exceeds its investment in the mortgage loan. 7f7 and better contains all loans that have made at least seven on time payments, either sequentially or in bulk. The Company's analytics have demonstrated that a borrower that makes seven of the last seven payments is substantially less likely to default than a borrower that has not made at least seven of the last seven payments. Pool 6f6 and below contains loans that have not made seven of the last seven payments and, accordingly, have a much lower survival rate assumption in expected cash flows. Pool 2021-B is an on-balance-sheet secured borrowing consisting primarily of loans previously owned by 2018-C that were not eligible to be securitized in a rated transaction. Pool 2019-C was formed by acquiring the trust's outstanding equity certificate from an unaffiliated third party holder and recognizing the loans on the Company's balance sheet. The Company expects to securitize the majority of the loans acquired from 2019-C in early 2022. The Company established the Ajax N pool to hold a small pool of loans which were designated as held-for-sale as of December 31, 2021.

At December 31, 2020, the Company aggregated its PCD loans in six loan pools. Separate pools were utilized for loans that had been securitized in rated secured borrowings during 2019 and 2020 ("Great Ajax II REIT") and for loans that are consolidated under U.S. GAAP but where the Company did not own 100% of the loan pool ("2017-D" and "2018-C") to facilitate the complete and accurate calculation of income attributable to the non-controlling interest. The remaining PCD loans were pooled between the California pool, and the 7f7 and better and the 6f6 and below pools based on their payment history as discussed above.

The portfolio of non-PCD loans at December 31, 2021 is divided between two loan pools, the non-PCD pool and the 18-1 LLC pool. The 18-1 LLC loans were previously pooled under non-PCD and determined during the fourth quarter of 2021 to be separated based on its similar risk characteristics because the loans can be put back to the seller once they are 60 days delinquent. Since the criteria for pooling loans includes a combination of both performance and legal ownership by subsidiary trust, these factors are not always mutually exclusive.

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

F-27

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

	December 31, 2021
Mortgage loans held-for-investment, net	2021		2020		2019		2018		2017		2016		2009-2015		2006-2008		2005 and prior		Total
Great Ajax II REIT	$	—	$	764	$	181	$	698	$	328	$	1,730	$	46,041	$	339,759	$	125,095	$	514,596
2021-B	—		—		589		—		2,353		443		28,541		159,318		50,948		242,192
2019-C	—		—		—		—		265		—		9,020		96,995		39,801		146,081
California	—		—		1,268		1,248		—		—		1,681		6,431		1,373		12,001
7f7 and better	471		—		2,019		1,541		440		—		3,847		17,032		6,891		32,241
6f6 and below	—		1,351		1,783		1,470		209		368		9,885		70,163		28,774		114,003
18-1 LLC	—		—		605		176		284		429		819		33		10		2,356
Non-PCD	3,771		8,831		3,855		—		507		—		—		—		—		16,964
Total	$	4,242	$	10,946	$	10,300	$	5,133	$	4,386	$	2,970	$	99,834	$	689,731	$	252,892	$	1,080,434

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

	December 31, 2020
Mortgage loans held-for-investment, net	2020		2019		2018		2017		2016		2009-2015		2006-2008		2005 and prior		Total
Great Ajax II REIT	$	—	$	—	$	257	$	488	$	1,991	$	41,746	$	280,606	$	99,909	$	424,997
2018-C	—		—		—		—		—		14,100		119,343		39,778		173,221
2017-D	—		—		—		121		—		6,826		94,711		32,238		133,896
California	2,221		952		1,484		362		—		5,292		60,393		18,084		88,788
7f7 and better	—		911		434		—		2,125		17,520		88,414		32,831		142,235
6f6 and below	872		1,397		2,054		336		305		13,409		78,202		30,239		126,814
Non-PCD	21,387		4,738		64		2,493		99		611		20		9		29,421
Total	$	24,480	$	7,998	$	4,293	$	3,800	$	4,520	$	99,504	$	721,689	$	253,088	$	1,119,372

The following table presents a reconciliation between the purchase price and par value for the Company's loan acquisitions and originations for the years ended December 31, 2021 and 2020 ($ in thousands):

	For the year ended December 31, 2021				For the year ended December 31, 2020
	PCD Loans		Non PCD Loans		PCD Loans		Non PCD Loans
Par	$	291,338	$	3,611	$	70,811	$	27,191
Discount	(1,059)		(8)		(6,457)		(701)
Allowance	(7,663)		—		(1,879)		—
Purchase Price	$	282,616	$	3,603	$	62,475	$	26,490

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

F-28

The Company performs an analysis of its expectation of the amount of undiscounted cash flows to be collected from its mortgage loan pools at the end of each calendar quarter. Under CECL, the Company adjusts its allowance for expected credit losses when there are changes in its expectation of future cash flows. An increase to the allowance for expected credit losses will occur when there is a reduction in the Company's expected future cash flows. Reduction to the allowance, or recovery, may occur if there is an increase in expected future cash flows that were previously subject to an allowance for expected credit loss. A decrease in the allowance for expected credit losses is generally facilitated by reclassifying amounts to non-credit discount from the allowance and then recording the recovery. During the year ended December 31, 2021, the Company recorded a $0.3 million reclassification from non-credit discount to the allowance for expected credit losses. This was followed by a $13.7 million reduction of the allowance for expected credit losses, respectively, due to increases in the net present value of expected cash flows. During the year ended December 31, 2021, the Company also recorded a $7.7 million increase in the allowance for expected credit losses due to new acquisitions. Comparatively, during the year ended December 31, 2020, the Company recorded a $8.0 million reclassification from non-credit discount to the allowance for expected credit losses. This was followed by a $9.3 million reduction of the allowance for expected credit losses due to increases in the net present value of expected cash flows. During the year ended December 31, 2020, the Company also recorded a $1.9 million increase in the allowance for expected credit losses due to new acquisitions. Comparatively, during the year ended December 31, 2019, the Company recorded a $7 thousand reclassification to non-credit discount from the allowance for expected credit losses. This was followed by a $0.8 million increase of the allowance for expected credit losses due to the decreases in the present value of expected cash flows. During the year ended December 31, 2019, the Company had no allowance for expected credit losses for new acquisitions. An analysis of the balance in the allowance for expected credit losses account follows ($ in thousands):

	For the year ended December 31,
	2021		2020		2019
Allowance for loan credit losses, beginning of period	$	(13,712)	$	(1,960)	$	(1,164)
Beginning period adjustment for CECL	—		(10,156)		—
Reclassification (from)/to non-credit discount (to)/from the allowance for changes in payment expectations	(304)		(7,991)		7
Increase in allowance for expected credit losses for loan acquisitions	(7,663)		(1,879)		—
Credit loss expense on mortgage loans	(842)		(1,071)		—
Reversal of/(increase in) allowance for expected credit losses due to increases/(decreases) in the net present value of expected cash flows	13,668		9,345		(803)
Reversal of allowance upon reclass of pool 2017-D to mortgage loans held-for-sale, net	1,741		—		—
Allowance for loan credit losses, end of period	$	(7,112)	$	(13,712)	$	(1,960)

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

	As of December 31, 2021
Mortgage loans held-for-investment, net	Current		30		60		90		Foreclosure		Total
Great Ajax II REIT	$	398,200	$	52,782	$	19,530	$	41,931	$	2,153	$	514,596
2021-B	61,066		24,428		24,807		113,459		18,432		242,192
2019-C	78,238		13,920		11,738		35,727		6,458		146,081
California	3,938		661		—		5,132		2,270		12,001
7f7 and better	13,087		4,192		1,718		13,068		176		32,241
6f6 and below	15,169		4,408		2,064		62,456		29,906		114,003
18-1 LLC	2,123		67		111		55		—		2,356
Non-PCD	16,457		—		—		—		507		16,964
Total	$	588,278	$	100,458	$	59,968	$	271,828	$	59,902	$	1,080,434

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

F-29

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

	As of December 31, 2020
Mortgage loans held-for-investment, net	Current		30		60		90		Foreclosure		Total
Great Ajax II REIT	$	311,941	$	48,266	$	19,559	$	43,364	$	1,867	$	424,997
2018-C	70,034		20,541		15,300		57,538		9,808		173,221
2017-D	58,198		24,906		12,437		36,106		2,249		133,896
California	42,214		7,660		5,519		29,343		4,052		88,788
7f7 and better	72,613		14,003		12,447		41,383		1,789		142,235
6f6 and below	13,976		10,773		7,157		68,677		26,231		126,814
Non-PCD	22,562		6,099		56		704		—		29,421
Total	$	591,538	$	132,248	$	72,475	$	277,115	$	45,996	$	1,119,372

Note 4 — Real Estate Assets, Net

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

Property Held-for-Sale and Rental Property

As of December 31, 2021 and 2020, the Company’s net investments in real estate properties were $6.1 million and $8.5 million, respectively, which include balances relating to properties held-for-sale of $6.1 million and $7.8 million, respectively, and no rental properties at December 31, 2021 and $0.7 million in rental properties at December 31, 2020. REO property is considered held-for-sale if the REO is expected to be actively marketed for sale. Also, included in the properties held-for-sale balance for the periods as of December 31, 2021 and 2020, was $0.7 million and $0.3 million, respectively, for properties undergoing renovation or which are otherwise in the process of being brought to market. As of December 31, 2021 and 2020, the Company had a total of 31 and 38 real estate owned properties, respectively, which included 31 and 32 held-for-sale properties, respectively, and no rental properties at December 31, 2021 and six rental properties at December 31, 2020. For the year ended December 31, 2021, additions to REO held-for-sale were acquired through foreclosure or deed in lieu of foreclosure, and reclassified out of the mortgage loan portfolio or were transfers from rental property. Also, in 2021, three REO held-for-sale were acquired through direct purchase as a result of the Company's acquisition of 2019-C, which was previously a non-consolidated joint venture. For the year ended December 31, 2020, all of the additions to REO held-for-sale were acquired through foreclosure or deed in lieu of foreclosure, and reclassified out of the mortgage loan portfolio or were transfers from rental property.

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

F-30

The following table presents the activity in the Company’s carrying value of property held-for-sale and rental property for the years ended December 31, 2021 and 2020 ($ in thousands):

	For the year ended December 31,
	2021			2020
Property Held-for-Sale and Rental Property	Count	Amount		Count	Amount
Balance at beginning of period	38	$	8,526	68	$	15,071
Net transfers from mortgage loans and prepaids	23	3,511		20	4,903
Purchases	3	277		—	—
Adjustments to record at lower of cost or fair value	—	(293)		—	(1,359)
Depreciation on rental properties	—	(7)		—	(29)
Disposals	(33)	(5,951)		(50)	(10,089)
Other	—	—		—	29
Balance at end of period	31	$	6,063	38	$	8,526

Dispositions

During the years ended December 31, 2021 and 2020 the Company sold 33 and 50 REO properties realizing net gains of approximately $0.9 million and $1.0 million, respectively. These amounts are included in Other income on the Company's consolidated statements of income. The Company recorded lower of cost or net realizable value adjustments in Real estate operating expense for the years ended December 31, 2021 and 2020 of $0.3 million and $1.4 million, respectively.

Note 5 — Investments

The Company holds investments in various debt securities and beneficial interests which are the net residual interest of the Company’s investments in securitization trusts holding pools of mortgage loans. The Company's debt securities and beneficial interests are issued by securitization trusts, which are VIEs, that the Company has either sponsored or contributed assets to, but which the Company does not consolidate since it has determined it is not the primary beneficiary. See Note 10 — Related party transactions. The Company marks its debt securities to fair value using prices provided by financing counterparties, and believes any unrealized losses to be temporary. Risks inherent in the Company's debt securities portfolio, affecting both the valuation of its securities as well as the portfolio's interest income include the risk of default, delays and inconsistency in the frequency and amount of payments, risks affecting borrowers such as man-made or natural disasters, or the COVID-19 pandemic, and damage to or delay in realizing the value of the underlying collateral. The Company monitors the credit quality of the mortgage loans underlying its debt securities on an ongoing basis, principally by considering loan payment activity or delinquency status. In addition, the Company assesses the expected cash flows from the mortgage loans, the fair value of the underlying collateral and other factors, and evaluates whether and when it becomes probable that all amounts contractually due will not be collected. The following table presents information regarding the Company's investments in debt securities and investments in beneficial interests ($ in thousands):

	As of December 31, 2021
	Basis(1)		Gross unrealized gains		Gross unrealized losses		Carrying value
Debt securities	$	354,158	$	1,822	$	(802)	$	355,178
Beneficial interests in securitization trusts	139,588		—		—		139,588
Total investments at fair value	$	493,746	$	1,822	$	(802)	$	494,766

(1)Basis amount is net of any realized amortized costs, principal paydowns and interest receivable on securities of $0.3 million.

	As of December 31, 2020
	Basis(1)		Gross unrealized gains		Gross unrealized losses		Carrying value
Debt securities	$	273,459	$	1,152	$	(777)	$	273,834
Beneficial interests in securitization trusts	91,418		—		—		91,418
Total investments at fair value	$	364,877	$	1,152	$	(777)	$	365,252

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

F-31

(1)Basis amount is net of amortized costs, principal paydowns and interest receivable on securities of $0.2 million.

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

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

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

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

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

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

(5)On January 25, 2022 the step-up date for this security was extended from January 2022 to April 2022. See Note 16 — Subsequent events.

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

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

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

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

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

As of December 31, 2021, the Company recorded $1.8 million gross unrealized gains and a gross unrealized loss of $0.8 million in fair valuation adjustments in accumulated other comprehensive income on the consolidated balance sheet on total investments with a fair value of $355.2 million, which includes $0.3 million in interest receivable. As of December 31, 2020, the Company recorded $1.2 million of gross unrealized gains and a gross unrealized loss of $0.8 million in fair valuation adjustments in accumulated other comprehensive income on the consolidated balance sheet on total investments with a fair value of $273.8 million, which includes $0.2 million in interest receivable.

During 2021 and 2020, the Company acquired $342.9 million and $144.7 million, respectively, in aggregate of debt securities and beneficial interests issued by joint ventures between the Company and third party institutional accredited investors. The joint ventures issued senior notes and beneficial interests. In certain transactions, the joint ventures also issued subordinated notes. Of the $342.9 million, the Company acquired $254.2 million in senior notes, $35.6 million in subordinate notes and $53.1 million in beneficial interests issued by joint ventures. Comparatively, of the $144.7 million, the Company

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

F-32

acquired $115.6 million in senior notes, $9.8 million in subordinate notes and $19.3 million in beneficial interests issued by joint ventures. At December 31, 2021, the investments in debt securities and beneficial interests were carried on the Company's consolidated balance sheet at $355.2 million and $139.6 million, respectively. At December 31, 2020, the investments in debt securities and beneficial interests were carried on the Company's consolidated balance sheet at $273.8 million and $91.4 million, respectively. As of December 31, 2021 and December 31, 2020, the Company owned no securities that were past due.

The following table presents a reconciliation between the purchase price and par value for the Company's beneficial interests acquisitions for the year ended December 31, 2021 ($ in thousands):

	For the year ended December 31,
	2021		2020
Par	$	60,282	$	27,319
Discount	(4,953)		(5,233)
Allowance	(2,211)		(2,779)
Purchase Price	$	53,118	$	19,307

The Company generally recognizes increases and decreases in the net present value of expected cash flows in earnings in the period they occur. An expense is recorded to increase the allowance for expected credit losses when there is a reduction in the Company’s expected future cash flows compared to contractual amounts due. Income is recognized if there is an increase in expected future cash flows to the extent an allowance has been recorded against the beneficial interest. If there is no allowance for expected credit losses recorded against a beneficial interest, any increase in expected cash flows is recognized prospectively as a change in yield. A decrease in the allowance for expected credit losses is generally facilitated by reclassifying amounts to non-credit discount from the allowance and then recording the reduction to the allowance through the income statement. Management assesses the credit quality of the portfolio and the adequacy of loss reserves on a quarterly basis, or more frequently as necessary. During 2021 and 2020, the Company recorded reversals of the allowance for expected credit losses for beneficial interests of $4.6 million and $3.2 million, respectively. An analysis of the balance in the allowance for expected credit losses for beneficial interests account follows ($ in thousands):

	For the year ended December 31,
	2021		2020		2019
Allowance for beneficial interests credit losses, beginning balance	$	(4,453)	$	—	$	—
Beginning period adjustment for CECL	—		(1,668)		—
Reclassification to/(from) non-credit discount from/(to) the allowance for changes in payment expectations	1,951		(2,553)		—
Increase in allowance for credit losses for acquisitions	(2,211)		(2,779)		—
Credit loss expense on beneficial interests	(457)		(663)		—
Reversal of allowance for expected credit losses due to increases in the net present value of expected cash flows	4,555		3,210		—
Allowance for beneficial interests credit losses, end balance	$	(615)	$	(4,453)	$	—

Note 6 — Fair Value

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

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

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

F-33

			Level 1		Level 2		Level 3
December 31, 2020	Carrying value		Quoted prices in active markets		Observable inputs other than Level 1 prices		Unobservable inputs
Recurring financial assets
Investments in debt securities at fair value	$	273,834	$	—	$	273,834	$	—
Recurring financial liabilities
Put option liability	$	14,205	$	—	$	—	$	14,205

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

			Level 1		Level 2		Level 3
December 31, 2021	Carrying value		Quoted prices in active markets		Observable inputs other than Level 1 prices		Unobservable inputs
Financial assets
Mortgage loans held-for-investment, net	$	1,080,434	$	—	$	—	$	1,174,660
Mortgage loans held-for-sale, net	$	29,572	$	—	$	—	$	32,857
Investment in beneficial interests	$	139,588	$	—	$	—	$	139,588
Investment in Manager	$	1,502	$	—	$	—	$	12,346
Investment in AS Ajax E LLC	$	569	$	—	$	721	$	—
Investment in AS Ajax E II LLC	$	2,550	$	—	$	2,824	$	—
Investment in GAFS, including warrants	$	2,602	$	—	$	—	$	3,320
Investment in Gaea	$	19,571	$	—	$	—	$	21,170
Investment in Loan pool LLCs	$	226	$	—	$	—	$	853
Financial liabilities
Secured borrowings, net	$	575,563	$	—	$	580,166	$	—
Borrowings under repurchase transactions	$	546,054	$	—	$	546,054	$	—
Convertible senior notes, net	$	102,845	$	108,816	$	—	$	—

			Level 1		Level 2		Level 3
December 31, 2020	Carrying value		Quoted prices in active markets		Observable inputs other than Level 1 prices		Unobservable inputs
Financial assets
Mortgage loans held-for-investment, net	$	1,119,372	$	—	$	—	$	1,232,081
Investment in beneficial interests	$	91,418	$	—	$	—	$	91,418
Investment in Manager	$	1,366	$	—	$	—	$	11,709
Investment in AS Ajax E LLC	$	776	$	—	$	934	$	—
Investment in AS Ajax E II LLC	$	3,381	$	—	$	3,484	$	—
Investment in GAFS, including warrants	$	2,711	$	—	$	—	$	3,320
Investment in Gaea	$	20,001	$	—	$	—	$	19,150
Investment in Loan pool LLCs	$	381	$	—	$	—	$	701
Financial liabilities
Secured borrowings, net	$	585,403	$	—	$	586,419	$	—
Borrowings under repurchase transactions	$	421,132	$	—	$	421,132	$	—
Convertible senior notes, net	$	110,057	$	110,675	$	—	$	—

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

F-34

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

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

The Company's investments in beneficial interests are trust certificates representing the residual investment in securitization trusts the Company forms with joint venture partners. The Company relies on its Manager's proprietary pricing model to estimate the underlying cash flows expected to be collected on its investments in beneficial interests.

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

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

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

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

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

The fair value of secured borrowings is estimated using estimates provided by the Company's financing counterparties, which are compared for reasonableness to the Manager’s proprietary pricing model which estimates expected cash flows of the underlying mortgage loans collateralizing the debt. The Company is able to call the bonds issued in its secured borrowings at par value plus accrued interest pursuant to the terms of the offering document. The Company carries its secured borrowings net of deferred issuance cost. Accordingly, the difference between fair value and carrying value is largely driven by the deferred issuance costs.

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

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

The Company’s convertible senior notes are traded on the NYSE; the debt’s fair value is determined from the NYSE closing price on the balance sheet date. The notes will mature on April 30, 2024, unless earlier repurchased, converted or redeemed. The Company carries its Convertible debt net of deferred issuance cost. Accordingly, the difference between fair value and carrying value is partially driven by the deferred issuance costs.

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

Non-financial assets

Property held-for-sale is carried at the lower of its acquisition cost ("cost") or net realizable value. Net realizable value is determined based on appraisals, BPOs, or other market indicators of fair value less expected liquidation costs. The lower of cost or net realizable value for the Company’s REO Property is stated as it's carrying value. The following tables set forth the fair value of non-financial assets by level within the fair value hierarchy as of December 31, 2021 and 2020 ($ in thousands): 

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

F-35

					Level 1		Level 2		Level 3
December 31, 2021	Carrying Value		Fair value adjustment recognized in the consolidated statements of income		Quoted prices in active markets		Observable inputs other than Level 1 prices		Unobservable inputs
Non-financial assets
Property held-for-sale	$	6,063	$	(293)	$	—	$	—	$	6,063

					Level 1		Level 2		Level 3
December 31, 2020	Carrying Value		Fair value adjustment recognized in the consolidated statements of income		Quoted prices in active markets		Observable inputs other than Level 1 prices		Unobservable inputs
Non-financial assets
Property held-for-sale	$	7,807	$	(1,359)	$	—	$	—	$	7,807

Note 7 — Affiliates

Unconsolidated Affiliates

On November 22, 2019, Gaea completed a private capital raise transaction in which it raised $66.3 million from the issuance of 4,419,641 shares of its common stock to third parties to allow it to continue to advance its investment strategy. Upon completion of the capital raise, the Company retained ownership of approximately 23.2% of Gaea with third party investors owning the remaining approximately 76.8%. The Company recognized no gain or loss on the transaction as Gaea's fair value at the date of the deconsolidation did not represent a material change from the fair values of its recently acquired assets and liabilities due to the limited lapse of time since their acquisitions. At December 31, 2021 the Company owned approximately 22.8% of Gaea with third party investors owning the remaining approximately 77.2%. The additional dilution since the date of the capital raise is driven by Gaea's equity issuances. The Company accounts for its ownership interest in Gaea using the equity method.

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

During 2018, the Company acquired an 8.0% ownership interest in GAFS. The acquisition was completed in two transactions. On January 26, 2018, the Company in an initial closing acquired a 4.9% interest in GAFS and three warrants, each exercisable for a 2.45% interest in GAFS upon payment of additional consideration, in exchange for consideration of $1.1 million of cash and 45,938 shares of the Company’s common stock with a value of approximately $0.6 million. On May 29, 2018 the additional closing was completed wherein the Company acquired an additional 3.1% interest in GAFS and three warrants, each exercisable for a 1.55% interest in GAFS, in exchange for consideration of $0.7 million of cash and 29,063 shares of the Company's common stock with a value of approximately $0.4 million. The Company accounts for its investment in GAFS using the equity method.

On March 14, 2016, the Company formed AS Ajax E LLC to hold an equity interest in a Delaware trust formed to own residential mortgage loans and residential real estate assets. AS Ajax E LLC owns a 5% equity interest in Ajax E Master Trust which holds a portfolio of RPLs. At the time of the original investment, the Company held a 24.2% interest in AS Ajax E LLC. In October 2016, additional capital contributions were made by third parties, and the Company’s ownership interest in AS Ajax E LLC was reduced to a lower percentage of the total. As of December 31, 2021 and 2020, the Company’s ownership interest in AS Ajax E LLC was approximately 16.5%. The Company accounts for its ownership interest using the equity method.

Upon the closing of the Company’s original private placement in July 2014, the Company received a 19.8% equity interest in the Manager, a privately held company for which there is no public market for its securities. The Company accounts for its ownership interest in the Manager using the equity method.

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

F-36

The table below shows the net income, assets and liabilities for the Company’s unconsolidated affiliates at 100%, and at the Company’s share ($ in thousands):

Net income/(loss), assets and liabilities of unconsolidated affiliates at 100%

	For the year ended December 31,
Net income/(loss) at 100%	2021		2020		2019
Thetis Asset Management LLC	$	3,297	$	(693)	$	4,685
Gaea Real Estate Corp.	$	222	$	720	$	(20)
AS Ajax E LLC	$	198	$	209	$	299
Loan pool LLCs	$	(126)	$	(133)	$	(9)
Great Ajax FS LLC	$	(1,363)	$	(3,901)	$	2,233

	December 31, 2021				December 31, 2020
Assets and Liabilities at 100%	Assets		Liabilities		Assets		Liabilities
Thetis Asset Management LLC	$	9,498	$	1,904	$	9,531	$	2,122
Gaea Real Estate Corp.	$	105,667	$	24,305	$	94,639	$	11,886
AS Ajax E LLC	$	3,545	$	2	$	4,808	$	2
Loan pool LLCs	$	2,242	$	4,060	$	2,423	$	3,961
Great Ajax FS LLC	$	66,355	$	47,293	$	56,532	$	36,101

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

	For the year ended December 31,
Net income/(loss) at the Company's share	2021		2020		2019
Thetis Asset Management LLC	$	653	$	(137)	$	928
Gaea Real Estate Corp.	$	51	$	165	$	(5)
AS Ajax E LLC	$	33	$	34	$	49
Loan pool LLCs	$	(51)	$	(54)	$	(4)
Great Ajax FS LLC	$	(109)	$	(312)	$	179

	December 31, 2021				December 31, 2020
Assets and Liabilities at the Company's share	Assets		Liabilities		Assets		Liabilities
Thetis Asset Management LLC	$	1,881	$	377	$	1,887	$	420
Gaea Real Estate Corp.	$	24,092	$	5,542	$	21,729	$	2,729
AS Ajax E LLC	$	583	$	—	$	791	$	—
Loan pool LLCs	$	900	$	1,635	$	973	$	1,595
Great Ajax FS LLC	$	5,308	$	3,783	$	4,523	$	2,888

Consolidated Affiliates

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

The Company also consolidates the activities and balances of its controlled affiliates, which include AS Ajax E II LLC, which was established to hold an equity interest in a Delaware trust formed to own residential mortgage loans and residential real estate assets. As of December 31, 2021, AS Ajax E II LLC was 53.1% owned by the Company, with the remainder held by third-parties. 2017-D is a securitization trust formed to hold mortgage loans, REO property and secured borrowings. During the second quarter of 2021, the majority of loans held by 2017-D were sold into 2021-C, a related party joint venture with third party institutional investors. At December 31, 2021, the Company held a 50.0% ownership in the

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

F-37

remaining loans held by 2017-D. Great Ajax II REIT owns Great Ajax II Depositor LLC which acts as the depositor of mortgage loans into securitization trusts and holds subordinated securities issued by such trusts. Great Ajax II REIT was 99.9% owned by the Company as of December 31, 2021 and 2020.

During the first quarter of 2021, the Company acquired the remaining ownership of 2018-C, a subsidiary that previously had non-controlling ownership interest held by third parties and was 63.0% owned by the Company as of December 31, 2020. As of December 31, 2021, 2018-C was 100.0% owned by the Company and the previous non-controlling interest had been reduced to zero.

Note 8 — Commitments and Contingencies

The Company regularly enters into agreements to acquire additional mortgage loans and mortgage-related assets, subject to continuing diligence on such assets and other customary closing conditions. There can be no assurance that the Company will acquire any or all of the mortgage loans identified in any acquisition agreement as of the date of these consolidated financial statements, and it is possible that the terms of such acquisitions may change.

At December 31, 2021, the Company had commitments to purchase, subject to due diligence, 52 RPLs and NPLs secured by single-family residences with aggregated UPB of $9.3 million. The Company will only acquire loans that meet the acquisition criteria for its own portfolios, or those of its third party institutional accredited co-investors. See Note 16 — Subsequent Events, for remaining open acquisitions as of the filing date.

During the quarter ended June 30, 2020, the Company issued an aggregate of $125.0 million, net of offering costs, of preferred stock in two series and warrants to institutional accredited investors in a series of private placements. The Company issued 2,307,400 shares of 7.25% Series A Fixed-to-Floating Rate Preferred Stock and 2,892,600 shares of 5.00% Series B Fixed-to-Floating Rate Preferred Stock, each at a purchase price per share of $25.00 and two series of five-year warrants to purchase an aggregate of 6,500,000 shares of the Company's common stock at an exercise price of $10.00 per share. Each series of warrants includes a put option that allows the holder to sell the warrants to the Company at a specified put price on or after July 6, 2023. U.S. GAAP requires the Company to account for the outstanding warrants as if the put option will be exercised by the holders. Accordingly, the Company has recognized a liability on its consolidated balance sheet within accrued expenses and other liabilities at December 31, 2021 for the present value of the put liability of $23.7 million. The Company is accreting the amount of the liability under the effective interest method to its expected future put value of $50.7 million and marks the obligation to market through earnings. The expense is recognized in the Fair value adjustment on put option liability line of the Company's consolidated statements of income. The following table sets forth the details of the Company's put option liability ($ in thousands):

	For the year ended December 31,
	2021		2020		2019
Beginning balance	$	14,205	$	—	$	—
Initial recognition of put option liability	—		9,472		—
Fair value adjustments during the period	9,462		4,733		—
Ending balance	$	23,667	$	14,205	$	—

The full extent of the impact of the COVID-19 pandemic on the global economy generally, and the Company's business in particular, continues to be uncertain. As of December 31, 2021, no contingencies have been recorded on the Company's consolidated balance sheet as a result of the COVID-19 pandemic, however as the global pandemic continues, it may have long-term adverse impacts on the Company's financial condition, results of operations, and cash flows.

Litigation, Claims and Assessments

From time to time, the Company may be involved in various claims and legal actions arising in the ordinary course of business. As of December 31, 2021, the Company was not a party to, and its properties were not subject to, any pending or threatened legal proceedings that individually or in the aggregate, are expected to have a material impact on its financial condition, results of operations or cash flows.

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

F-38

Note 9 — Debt

Repurchase Agreements

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

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

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

				December 31, 2021
Maturity Date	Origination Date	Maximum Borrowing Capacity		Amount Outstanding		Amount of Collateral		Percentage of 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	%
March 8, 2022	December 8, 2021	5,363		5,363		6,970		130	%	1.19	%

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

F-39

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

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

F-40

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

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

	Gross amounts not offset in balance sheet
	December 31, 2021		December 31, 2020
Gross amount of recognized liabilities	$	546,054	$	421,132
Gross amount of loans and securities pledged as collateral	711,252		595,599
Other prepaid collateral	6,902		4,653
Net collateral amount	$	172,100	$	179,120

Secured Borrowings

From its inception (January 30, 2014) to December 31, 2021, the Company has completed 18 secured borrowings for its own balance sheet, not including its off-balance sheet joint ventures in which it holds investments in various classes of securities, pursuant to Rule 144A under the Securities Act, five of which were outstanding at December 31, 2021. The secured borrowings are structured as debt financings and not sales through a real estate mortgage investment conduit (“REMIC”), and the loans included in the secured borrowings remain on the Company’s consolidated balance sheet as the Company is the primary beneficiary of the securitization trusts, which are VIEs. The securitization VIEs are structured as pass through entities that receive principal and interest on the underlying mortgages and distribute those payments to the holders of the notes. The Company’s exposure to the obligations of the VIEs is generally limited to its investments in the entities. The notes that are issued by the securitization trusts are secured solely by the mortgages held by the applicable trusts and not by any of the Company’s other assets. The mortgage loans of the applicable trusts are the only source of repayment and interest on the notes

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

F-41

issued by such trusts. The Company does not guarantee any of the obligations of the trusts under the terms of the agreement governing the notes or otherwise.

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

The Company’s rated secured borrowings are generally structured as “REIT TMP” transactions which allow the Company to issue multiple classes of securities without using a REMIC structure or being subject to an entity level tax. The Company’s rated secured borrowings generally issue classes of debt from AAA through mezzanine. The Company generally retains the mezzanine and residual certificates in the transactions. The Company has retained the applicable mezzanine and residual certificates from the other four rated secured borrowings at December 31, 2021. The Company’s rated secured borrowings are designated in the table below.

At March 31, 2021, the Company's 2017-D secured borrowing contained Class A notes and Class B certificates representing the residual interests in the mortgages held within the securitization trusts subsequent to repayment of the Class A notes. The Company had retained 50.0% of both the Class A notes and Class B certificates from 2017-D; and the assets and liabilities were consolidated on the Company's consolidated balance sheets. During the second quarter of 2021, the majority of the loans in 2017-D were sold into 2021-C. Based on the structure of the transaction the Company does not consolidate 2021-C under U.S. GAAP.

The Company's 2018-C secured borrowing was structured with Class A notes, Class B notes and trust certificates representing the residual interest in the mortgages held within the securitization trusts subsequent to repayment of the Class A debt. The Company had retained 5.0% of the Class A notes and 63.0% of the Class B notes and trust certificates. During the first quarter of 2021 the Company 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 Company's secured borrowings carry no provision for a step-up in interest rate on any of the Class B notes, except for 2021-B.

The following table sets forth the original terms of notes from the Company's secured borrowings outstanding at December 31, 2021 at their respective cutoff dates:

Issuing Trust/Issue Date	Interest Rate Step-up Date	Security	Original Principal	Interest Rate
Rated
Ajax Mortgage Loan Trust 2019-D/ July 2019	July 25, 2027	Class A-1 notes due 2065	$140.4 million	2.96	%
	July 25, 2027	Class A-2 notes due 2065	$6.1 million	3.50	%
	July 25, 2027	Class A-3 notes due 2065	$10.1 million	3.50	%
	July 25, 2027	Class M-1 notes due 2065(1)	$9.3 million	3.50	%
	None	Class B-1 notes due 2065(2)	$7.5 million	3.50	%
	None	Class B-2 notes due 2065(2)	$7.1 million	variable(3)
	None	Class B-3 notes due 2065(2)	$12.8 million	variable(3)
		Deferred issuance costs	$(2.7) million	—	%
Rated
Ajax Mortgage Loan Trust 2019-F/ November 2019	November 25, 2026	Class A-1 notes due 2059	$110.1 million	2.86	%
	November 25, 2026	Class A-2 notes due 2059	$12.5 million	3.50	%
	November 25, 2026	Class A-3 notes due 2059	$5.1 million	3.50	%
	November 25, 2026	Class M-1 notes due 2059(1)	$6.1 million	3.50	%
	None	Class B-1 notes due 2059(2)	$11.5 million	3.50	%
	None	Class B-2 notes due 2059(2)	$10.4 million	variable(3)

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

F-42

Issuing Trust/Issue Date	Interest Rate Step-up Date	Security	Original Principal	Interest Rate
	None	Class B-3 notes due 2059(2)	$15.1 million	variable(3)
		Deferred issuance costs	$(1.8) million	—	%
Rated
Ajax Mortgage Loan Trust 2020-B/ August 2020	July 25, 2027	Class A-1 notes due 2059	$97.2 million	1.70	%
	July 25, 2027	Class A-2 notes due 2059	$17.3 million	2.86	%
	July 25, 2027	Class M-1 notes due 2059(1)	$7.3 million	3.70	%
	None	Class B-1 notes due 2059(2)	$5.9 million	3.70	%
	None	Class B-2 notes due 2059(2)	$5.1 million	variable(3)
	None	Class B-3 notes due 2059(2)	$23.6 million	variable(3)
		Deferred issuance costs	$(1.8) million	—	%
Rated
Ajax Mortgage Loan Trust 2021-A/ January 2021	January 25, 2029	Class A-1 notes due 2065	$146.2 million	1.07	%
	January 25, 2029	Class A-2 notes due 2065	$21.1 million	2.35	%
	January 25, 2029	Class M-1 notes due 2065(1)	$7.8 million	3.15	%
	None	Class B-1 notes due 2065(2)	$5.0 million	3.80	%
	None	Class B-2 notes due 2065(2)	$5.0 million	variable(3)
	None	Class B-3 notes due 2065(2)	$21.5 million	variable(3)
		Deferred issuance costs	$(2.5) million	—	%
Non-rated
Ajax Mortgage Loan Trust 2021-B/ February 2021	August 25, 2024	Class A notes due 2066	$215.9 million	2.24	%
	February 25, 2025	Class B notes due 2066(2)	$20.2 million	4.00	%
		Deferred issuance costs	$(4.3) million	—	%

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

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

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

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

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

F-43

	Balances at December 31, 2021							Balances at December 31, 2020							Original balances at securitization cutoff date
Class of Notes	Carrying value of mortgages		Bond principal balance			Percentage of collateral coverage		Carrying value of mortgages		Bond principal balance			Percentage of collateral coverage		Mortgage UPB			Bond principal balance
2017-B	$	—	$	—		—	%	$	110,062	$	68,729		160	%	$	165,850		$	115,846
2017-D	—		—			—	%	133,897		51,256		(1)	261	%	203,870		(2)	88,903
2018-C	—		—			—	%	173,221		131,983		(3)	131	%	222,181		(4)	167,910
2019-D	118,075		92,778			127	%	148,641		125,008			119	%	193,301			156,670
2019-F	115,571		81,026			143	%	139,996		108,184			129	%	170,876			127,673
2020-B	119,184		86,011			139	%	136,360		105,601			129	%	156,468			114,534
2021-A	161,766		141,435			114	%	—		—			—	%	206,506			175,116
2021-B	242,191		181,657			133	%	—		—			—	%	287,882			215,912
	$	756,787	$	582,907	(5)	130	%	$	842,177	$	590,761	(5)	143	%	$	1,606,934		$	1,162,564

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

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

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

(4)Includes $45.5 million of cash collateral intended for use in the acquisition of additional mortgage loans.

(5)This represents the gross amount of Secured borrowings and excludes the impact of deferred issuance costs of $7.3 million and $5.4 million as of December 31, 2021 and December 31, 2020, respectively.

Convertible Senior Notes

At December 31, 2021 and December 31, 2020, the Company had carrying values of $102.8 million and $110.1 million, respectively, for its convertible senior notes. The notes bear interest at a rate of 7.25% per annum, payable quarterly in arrears on January 15, April 15, July 15 and October 15 of each year. The notes will mature on April 30, 2024, unless earlier repurchased, converted or redeemed. During certain periods and subject to certain conditions the notes will be convertible by their holders into shares of the Company's common stock at a conversion rate of 1.7279 shares of common stock per $25.00 principal amount of the notes, which represents a conversion price of approximately $14.47 per share of common stock. The conversion rate, and thus the conversion price, may be subject to adjustment under certain circumstances. As of December 31, 2021, the amount by which the if-converted value falls short of the principal value for the entire series is $9.5 million.

At December 31, 2021, the outstanding aggregate principal amount of the notes was $104.6 million, and discount and deferred expenses were $1.7 million. During the year ended December 31, 2021, the Company recognized interest expense on its outstanding convertible notes of $9.1 million, which includes $1.3 million of amortization of discount and deferred expenses. Comparatively at December 31, 2020, the outstanding aggregate principal amount of the notes was $113.4 million, and discount and deferred expenses were $3.3 million. During the year ended December 31, 2020, the Company recognized interest expense on its outstanding convertible notes of $9.7 million, which includes $1.4 million of amortization of discount and deferred expenses. The effective interest rates of the notes for the years ended December 31, 2021 and December 31, 2020 were 8.46% and 8.56%, respectively.

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

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

F-44

Coupon interest on the notes is recognized using the accrual method of accounting. Discount and deferred issuance costs are carried on the Company’s consolidated balance sheets as a deduction from the notes, and are amortized to interest expense on an effective yield basis through April 30, 2023, the date at which the notes can be converted. The Company assumes the debt will be converted at the specified conversion date for purposes of amortizing issuance costs because the Company believes such conversion will be in the economic interest of the holders. No sinking fund has been established for redemption of the principal.

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

The Company may not redeem the notes prior to April 30, 2022, and may redeem for cash all or any portion of the notes, at its option, on or after April 30, 2022 if the last reported sale price of its common stock has been at least 130% of the conversion price then in effect for at least 20 trading days (whether or not consecutive) during any 30 consecutive trading day period ending on, and including, the trading day immediately preceding the date on which the Company provides notice of redemption at a redemption price equal to 100% of the principal amount of the notes to be redeemed, plus accrued and unpaid interest to, but excluding, the redemption date.

Note 10 — Related Party Transactions

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

			For the year ended December 31, 2021
Transaction	Consolidated Statement of Income location	Counterparty	Amount
Earnings from securities and beneficial interests in trusts	Net interest income after the impact of changes in the net present value of expected credit losses	Various non-consolidated joint ventures	$	31,058
Management fee	Related party expense – management fee	Manager	$	9,116
Loan servicing fees	Related party expense – loan servicing fees	Servicer	$	7,433
Income from equity investment	Income/(loss) from investment in affiliates	Manager	$	653
Affiliate loan interest income	Interest income	Gaea	$	248
Gain on sale of securities	Other income	Various non-consolidated joint ventures	$	201
Gain on sale of mortgage loans	Other income	2021-C	$	122
Income from equity investment	Income/(loss) from investment in affiliates	Gaea	$	51
Affiliate loan interest income	Interest income	Servicer	$	37
Income from equity investment	Income/(loss) from investment in affiliates	AS Ajax E LLC	$	33
Loss from equity investment	Income/(loss) from investment in affiliates	Loan pool LLCs	$	(51)
Loss from equity investment	Income/(loss) from investment in affiliates	Great Ajax FS	$	(109)

			For the year ended December 31, 2020
Transaction	Consolidated Statement of Income location	Counterparty	Amount
Earnings from securities and beneficial interests in trusts	Net interest income after the impact of changes in the net present value of expected credit losses	Various non-consolidated joint ventures	$	24,153
Management fee	Related party expense – management fee	Manager	$	8,456

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

F-45

			For the year ended December 31, 2020
Transaction	Consolidated Statement of Income location	Counterparty	Amount
Loan servicing fees	Related party expense – loan servicing fees	Servicer	$	7,678
Income from equity investment	Income/(loss) from investment in affiliates	Gaea	$	165
Gain on sale of securities	Other income	Various non-consolidated joint ventures	$	145
Income from equity investment	Income/(loss) from investment in affiliates	AS Ajax E LLC	$	34
Loss from equity investment	Income/(loss) from investment in affiliates	Loan pool LLCs	$	(54)
Loss from equity investment	Income/(loss) from investment in affiliates	Manager	$	(137)
Loss from equity investment	Income/(loss) from investment in affiliates	Great Ajax FS	$	(312)
Loss on sale of mortgage loans	(Loss)/income on sale of mortgage loans	Gaea	$	(705)

			For the year ended December 31, 2019
Transaction	Consolidated Statement of Income location	Counterparty	Amount
Earnings from securities and beneficial interests in trusts	Net interest income after the impact of changes in the net present value of expected credit losses	Various non-consolidated joint ventures	$	13,081
Loan servicing fees	Related party expense – loan servicing fees	Servicer	$	9,133
Management fee	Related party expense – management fee	Manager	$	7,356
Gain on sale of mortgage loans	Other income	2019-C	$	7,014
Income from equity investment	Income/(loss) from investment in affiliates	Manager	$	928
Income from equity investment	Income/(loss) from investment in affiliates	Great Ajax FS	$	179
Income from equity investment	Income/(loss) from investment in affiliates	AS Ajax E LLC	$	49
Gain on sale of securities	Other income	Various non-consolidated joint ventures	$	8
Loss from equity investment	Income/(loss) from investment in affiliates	Loan pool LLCs	$	(4)
Loss from equity investment	Income/(loss) from investment in affiliates	Gaea	$	(5)

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

			As of December 31, 2021
Transaction	Consolidated Balance Sheet location	Counterparty	Amount
Purchase of mortgage loans	Mortgage loans held-for-investment, net	2019-C	$	152,883
Investment in beneficial interests	Investments in beneficial interests	Various non-consolidated joint ventures	$	139,588
Receivables from Servicer	Receivable from servicer	Servicer	$	20,899
Advances to Servicer	Prepaid expenses and other assets	Servicer	$	3,509

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

F-46

			As of December 31, 2021
Transaction	Consolidated Balance Sheet location	Counterparty	Amount
Management fee payable	Management fee payable	Manager	$	2,279
Expense reimbursement receivable	Prepaid expenses and other assets	Various non-consolidated joint ventures	$	1,211
Expense reimbursements	Accrued expenses and other liabilities	Servicer	$	78
Affiliate loan receivable interest	Prepaid expenses and other assets	Gaea	21
Expense reimbursement receivable	Prepaid expenses and other assets	Servicer	$	12

			As of December 31, 2020
Transaction	Consolidated Balance Sheet location	Counterparty	Amount
Investment in beneficial interests	Investments in beneficial interests	Various non-consolidated joint ventures	$	91,418
Receivables from Servicer	Receivable from servicer	Servicer	$	15,755
Affiliate loan receivable	Mortgage loans held-for-investment, net	Gaea	$	11,000
Management fee payable	Management fee payable	Manager	$	2,247
Affiliate loan purchase	Mortgage loans held-for-investment, net	Servicer	$	1,838
Expense reimbursement receivable	Prepaid expenses and other assets	Various non-consolidated joint ventures	$	876
Expense reimbursements	Accrued expenses and other liabilities	Servicer	$	44
Expense reimbursements receivable	Prepaid expenses and other assets	Manager	$	18

On December 9, 2021, the Company became a party to a promissory note with the Servicer under which the Servicer can borrow up to $3.5 million on a revolving line of credit from the Company. Interest on the arrangement accrues at 7.2% annually. At December 31, 2021, the amount outstanding on the note was $3.5 million.

During the fourth quarter of 2021, the Company acquired 772 RPLs, NPLs and SBC loans with a carrying value of $152.9 million from 2019-C, a joint venture trust previously formed by the Company in which it had held a 34.0% interest in the class B securities and trust certificate. The remaining 66.0% of 2019-C was acquired from the Company's joint venture partner in exchange for cash consideration for the outstanding equity certificate and subordinate notes and the assumption of the obligation to repay the senior note outstanding. Subsequent to the acquisition, the senior and subordinate notes were retired in December 2021. The Company previously recorded its investment in 2019-C as Investment in debt securities and Investment in beneficial interests because it was not the primary beneficiary of the trust. Subsequent to acquiring the outstanding equity certificate, the Company became the sole owner of the trust and now reflects the underlying mortgage loans on its consolidated balance sheet.

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

During the year ended December 31, 2020, the Company purchased 15 RPLs from GAFS, a related party, for $1.8 million with UPB of $2.1 million and collateral value of $3.7 million. The loans are included in Mortgage loans held-for-investment, net on the Company's consolidated balance sheets.

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

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During the year ended December 31, 2021, the Company sold 760 loans from 2017-D with a carrying value of $129.2 million and UPB of $133.8 million to a joint venture formed between the Company and a third party accredited institutional investor, and retained various classes of securities from the joint venture. Comparatively, during the year ended December 31, 2020, the Company sold 26 SBC mortgage loans a carrying value of $26.1 million and UPB of $26.2 million to Gaea, a related party.

During 2021 and 2020, the Company acquired $342.9 million and $144.7 million, respectively, in aggregate of debt securities and beneficial interests issued by joint ventures between the Company and third party institutional accredited investors. The joint ventures issued senior notes and beneficial interests. In certain transactions, the joint ventures also issued subordinated notes. Of the $342.9 million, the Company acquired $254.2 million in senior notes, $35.6 million in subordinate notes and $53.1 million in beneficial interests issued by joint ventures. Comparatively, of the $144.7 million, the Company acquired $115.6 million in senior notes, $9.8 million in subordinate notes and $19.3 million in beneficial interests issued by joint ventures. At December 31, 2021, the investments in debt securities and beneficial interests were carried on the Company's consolidated balance sheet at $355.2 million and $139.6 million, respectively. At December 31, 2020, the investments in debt securities and beneficial interests were carried on the Company's consolidated balance sheet at $273.8 million and $91.4 million, respectively. As of December 31, 2021 and December 31, 2020, the Company owned no securities that were past due.

In June 2019, the Company entered into an arrangement with the Servicer as the borrower and the Company as the lender to advance funds secured by real property to facilitate the sale of REO properties from certain of the Company's joint ventures. Such funds are repaid no later than the liquidation of the real estate. The maximum amount available to the Servicer is $12.0 million. At both December 31, 2021 and December 31, 2020, the Company had zero advances outstanding to the Servicer. Interest on the arrangement accrues at 7.2% annually.

On November 22, 2019, Gaea completed a private capital raise transaction in which it raised $66.3 million from the issuance of 4,419,641 shares of its common stock to third parties to allow it to continue to advance its investment strategy. Upon completion of the capital raise, the Company retained ownership of approximately 23.2% of Gaea with third party investors owning the remaining approximately 76.8%. The Company recognized no gain or loss on the transaction as Gaea's fair value at the date of the deconsolidation did not represent a material change from the fair values of its recently acquired assets and liabilities due to the limited lapse of time since their acquisitions. At December 31, 2021 the Company owned approximately 22.8% of Gaea with third party investors owning the remaining approximately 77.2%. The Company accounts for its ownership interest in Gaea using the equity method.

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

On March 14, 2016, the Company formed AS Ajax E LLC to hold an equity interest in a Delaware trust formed to own residential mortgage loans and residential real estate assets. AS Ajax E LLC owns a 5.0% equity interest in Ajax E Master Trust which holds a portfolio of RPLs. At the time of the original investment, the Company held a 24.2% interest in AS Ajax E LLC. In October 2016, additional capital contributions were made by third parties, and the Company’s ownership interest in AS Ajax E LLC was reduced to a lower percentage of the total. As of December 31, 2021 and December 31, 2020, the Company’s interest in AS Ajax E LLC was approximately 16.5%. The Company accounts for its investment using the equity method.

Management Agreement

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

Under the Management Agreement, the Company pays both a base management fee and an incentive fee to the Manager. The base management fee equals 1.5% of the Company's stockholders’ equity, including equity equivalents such as the Company's issuance of convertible senior notes, per annum and calculated and payable quarterly in arrears. The Company has the option to pay its management fee with between 50% to 100% cash at its discretion, and pay the remainder in shares of its common stock.

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

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In the event the Company elects to pay its Manager in shares of its common stock, the calculation to determine the number of shares of the Company's common stock to be issued to the Manager is outlined below. The initial $1.0 million of the quarterly base management fee will be payable at least 75% in cash and up to 25% in shares of the Company’s common stock (allocated at the Company's discretion). Any amount of the base management fee in excess of $1.0 million may be payable in shares of the Company’s common stock (at the Company's discretion) until payment is at least 50% in cash and up to 50% in shares (the “50/50 split”). Any remaining amount of the quarterly base management fee after the 50/50 split threshold is reached may be payable in equal amounts of cash and shares (at the Company's discretion). The base management fee currently exceeds the 50/50 split threshold. The Manager has agreed to hold any shares of common stock received by it as payment of the base management fee for at least three years from the date such shares of common stock are received.

The Manager is also entitled to an incentive fee, payable quarterly and calculated in arrears, which contains both a quarterly and annual component. A quarterly incentive fee is payable to the Manager if the sum of the Company’s dividends on its common stock and its increase in book value, all relative to the applicable quarter and calculated per-share on an annualized basis, exceed 8%. The Manager will also be entitled to an annual incentive fee if the sum of the Company’s quarterly cash dividends on its common stock and special cash dividends on its common stock within the applicable calendar year exceed 8% of the Company’s book value per share as of the end of the calendar year. However, no incentive fee will be payable to the Manager with respect to any calendar quarter unless the Company’s cumulative core earnings, defined as U.S. GAAP net income or loss less non-cash equity compensation, unrealized gains or losses from mark to market adjustments, one-time adjustments to earnings resulting from changes to U.S. GAAP, and certain other non-cash items, is greater than zero for the most recently completed eight calendar quarters. In the event that the payment of the quarterly base management fee has not reached the 50/50 split, up to 100% of the incentive fee will be payable in shares of the Company’s common stock, at the Company's discretion, until the 50/50 split occurs. In the event that the total payment of the quarterly base management fee and the incentive fee has reached the 50/50 split, up to 20% of the remaining incentive fee is payable in shares of the Company’s common stock at the Company's discretion and the remaining incentive fee is payable in cash. During the years ended December 31, 2021 and 2020, the Company did not record an incentive fee payable to the Manager. Comparatively, during the year ended December 31, 2019 the Company recorded an expense of $0.7 million for an incentive fee payable to the Manager.

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

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

Servicing Agreement

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

Servicing fees range from 0.65% to 1.25% annually UPB at acquisition (or the fair market value or purchase price of REO), and are paid monthly. The servicing fee is based upon the status of the loan at acquisition. A change in status from RPL to NPL does not cause a change in the servicing fee rate.

Servicing fees for the Company’s real property assets that are not held in joint ventures are the greater of (i) the servicing fee applicable to the underlying mortgage loan prior to foreclosure, or (ii) 1.00% annually of the fair market value of the REO as reasonably determined by the Manager or 1.00% annually of the purchase price of any REO otherwise purchased by the Company.

The Servicer is reimbursed for all customary, reasonable and necessary out-of-pocket costs and expenses incurred in the performance of its obligations, including the actual cost of any repairs and renovations undertaken on the Company’s

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

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behalf. The total fees incurred by the Company for these services will be dependent upon the UPB and the type of mortgage loans that the Servicer services, property values, previous UPB of the relevant loan, and the number of REO properties.

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

Trademark Licenses

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

Note 11 — Stock-based Payments and Director Fees

Pursuant to the terms of the Management Agreement, the Company may pay a portion of the base fee to the Manager in shares of its common stock with the number of shares determined based on the average of the closing prices of its common stock on the NYSE on the five business days preceding the record date of the most recent regular quarterly dividend to holders of the common stock. The Company recognized a base management fee to the Manager for the years ended December 31, 2021 and December 31, 2020 of $9.1 million and $8.4 million, respectively, of which zero was settled in shares of its common stock. Comparatively, for the year ended December 31, 2019 the Company recognized a base management fee of $6.7 million, of which $2.5 million was settled in 175,211 shares of its common stock. For the year ended December 31, 2019 the Company also recognized an incentive fee of $0.7 million, of which $0.1 million was settled in 9,470 shares of its common stock. The shares issued to the Manager are restricted securities subject to transfer restrictions, and were issued in private placement transactions. See Note 10 — Related party transactions.

In addition, each of the Company's independent directors received an annual fee retainer of $100,000, payable quarterly, 40% of which is payable in shares of the Company's common stock using the same valuation method as defined for the stock portion of the management fee payable to the Manager. This excludes additional compensation for committee chairs which is paid in cash.

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

Stock-based Management Fees and Director Fees

	For the year ended December 31,
	2021			2020			2019
	Number of shares	Amount of expense recognized(1)		Number of shares	Amount of expense recognized(1)		Number of shares	Amount of expense recognized(1)
Independent director fees	15,020	$	200	17,064	$	152	10,948	$	158
Management fees	—	—		—	—		184,681	2,600
Total	15,020	$	200	17,064	$	152	195,629	$	2,758

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

Restricted Stock

The Company periodically grants shares of its common stock to employees of its Manager and Servicer. The shares granted in 2021 vest over four years, with one-fourth of the shares vesting on each of the first, second, third and fourth anniversaries of the grant date. The shares granted prior to 2021 vest over three years, with one-third of the shares vesting on each of the first, second and third anniversaries of the grant date. The shares may not be sold until the third or fourth

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

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anniversary of the grant date, as determined by the contract. Grants of restricted stock use grant date fair value of the stock as the basis for measuring the cost of the grant.

Each independent member of the Company's Board of Directors is issued a restricted stock award of 2,000 shares of the Company’s common stock upon joining the Board. Additionally, the Company may issue grants of its shares of common stock from time to time to its directors.

Under the Company’s 2014 Director Equity Plan and 2016 Equity Incentive Plan the Company made grants of restricted stock to its Directors and to employees of its Manager and Servicer as set forth the table below:

	Employee and Service Provider Grants			Director Grants
	Shares	Weighted Average Grant Date Fair Value		Shares	Weighted Average Grant Date Fair Value
December 31, 2018 outstanding unvested share grants	110,389	$	13.59	6,000	$	13.48
Shares vested	(70,555)	13.60		(6,000)	13.48
Shares forfeited	(4,500)	13.58		—	—
Shares granted	79,000	13.94		—	—
December 31, 2019 outstanding unvested share grants	114,334	$	13.83	—	$	—
Shares vested	(50,334)	13.86		—	—
Shares forfeited	(9,667)	12.06		—	—
Shares granted	108,750	9.55		—	—
December 31, 2020 outstanding unvested share grants	163,083	$	11.07	—	$	—
Shares vested	(65,750)	11.72		(10,000)	12.53
Shares forfeited	(21,668)	11.41		—	—
Shares granted	152,700	12.79		18,000	12.53
December 31, 2021 outstanding unvested share grants	228,365	$	12.05	8,000	$	12.53

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

	For the year ended December 31,
	2021		2020		2019
Restricted stock grants	$	900	$	728	$	839
Director grants	192		—		13
Total expenses for plan grants	$	1,092	$	728	$	852

Note 12 — Income Taxes

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

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

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

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For the year ended December 31, 2021, the Company’s consolidated taxable income was $35.4 million; and provision for income taxes was $0.2 million. For the year ended December 31, 2020, the Company’s consolidated taxable income was $12.4 million; and income tax benefit was $0.1 million. For the year ended December 31, 2019, the Company’s taxable income was $23.3 million; and provision for income taxes was $0.1 million. The Company recognized no deferred income tax assets or liabilities on its consolidated balance sheets at December 31, 2021 or 2020. The Company also recorded no interest or penalties for the years ended December 31, 2021, 2020 and 2019.

Note 13 — Earnings per Share

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

	For the year ended December 31, 2021
	Income (Numerator)		Shares (Denominator)	Per Share Amount
Basic EPS
Consolidated net income attributable to common stockholders	$	34,057	22,852,948
Allocation of earnings to participating restricted shares	(304)		—
Consolidated net income attributable to unrestricted common stockholders	$	33,753	22,852,948	$	1.48
Effect of dilutive securities(1)(2)
Interest expense (add back) and assumed conversion of shares from convertible senior notes	9,065		7,409,519
Diluted EPS
Consolidated net income attributable to common stockholders and dilutive securities	$	42,818	30,262,467	$	1.41

(1)The Company's outstanding warrants for an additional 6,500,000 shares of common stock and effect of the put option share settlement would have an anti-dilutive effect on diluted earnings per share for the year ended December 31, 2021, and have not been included in the calculation.

(2)The effect of restricted stock grants and manager and director fee shares on the Company's diluted EPS calculation for the year ended December 31, 2021 would have been anti-dilutive and have been removed from the calculation.

	For the year ended December 31, 2020
	Income (Numerator)		Shares (Denominator)	Per Share Amount
Basic EPS
Consolidated net income attributable to common stockholders	$	22,756	22,641,636
Allocation of earnings to participating restricted shares	(140)		—
Consolidated net income attributable to unrestricted common stockholders	$	22,616	22,641,636	$	1.00
Effect of dilutive securities(1)(2)
Diluted EPS
Consolidated net income attributable to common stockholders and dilutive securities	$	22,616	22,641,636	$	1.00

(1)The Company's outstanding warrants for an additional 6,500,000 shares of common stock and effect of the put option share settlement would have an anti-dilutive effect on diluted earnings per share for the year ended December 31, 2021, and have not been included in the calculation.

(2)The effect of restricted stock grants and manager and director fee shares and interest expense and assumed conversion of shares from convertible notes on the Company's diluted EPS calculation for the year ended December 31, 2020 would have been anti-dilutive and have been removed from the calculation.

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

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	For the year ended December 31, 2019
	Income (Numerator)		Shares (Denominator)	Per Share Amount
Basic EPS
Consolidated net income attributable to common stockholders	$	34,705	19,710,482
Allocation of earnings to participating restricted shares	(336)		—
Consolidated net income attributable to unrestricted common stockholders	$	34,369	19,710,482	$	1.74
Effect of dilutive securities(1)
Operating Partnership units	346		241,093
Interest expense (add back) and assumed conversion of shares from convertible senior notes	10,200		8,221,642
Diluted EPS
Consolidated net income attributable to common stockholders and dilutive securities	$	44,915	28,173,217	$	1.59

(1)The effect of the restricted stock grants and Manager and director fee shares on the Company's Diluted EPS calculation for 2019 would have been anti-dilutive, accordingly the effect of these securities have been removed from the Diluted EPS calculation for the year ended December 31, 2019.

Note 14 — Equity

Common Stock

As of December 31, 2021 and 2020, the Company had 23,146,775 and 22,978,339 shares, respectively, of $0.01 par value common stock outstanding with 125,000,000 shares authorized at each year end.

Preferred Stock

During the quarter ended June 30, 2020, the Company issued an aggregate of $130.0 million of preferred stock in two series and warrants to institutional accredited investors in a series of private placements. The Company issued 2,307,400 shares of 7.25% Series A Fixed-to-Floating Rate Preferred Stock and 2,892,600 shares of 5.00% Series B Fixed-to-Floating Rate Preferred Stock, each at a purchase price per share of $25.00 and two series of five-year warrants to purchase an aggregate of 6,500,000 shares of the Company's common stock at an exercise price of $10.00 per share. Each series of warrants includes a put option that allows the holder to sell the warrants to the Company at a specified put price on or after July 6, 2023. The Company expects to use the net proceeds from the private placement to acquire mortgage loans and mortgage-related assets consistent with the Company's investment strategy.

The Company had 2,307,400 shares of Series A preferred stock and 2,892,600 shares of Series B preferred stock outstanding at December 31, 2021 and 2020. There were 25,000,000 shares, cumulative for all series, authorized as of both December 31, 2021 and 2020.

Treasury Stock and Stock Repurchase Plan

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

Dividend Reinvestment Plan

The Company sponsors a dividend reinvestment plan through which stockholders may purchase additional shares of the Company’s common stock by reinvesting some or all of the cash dividends received on shares of the Company’s common

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

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stock. During the years ended December 31, 2021 and 2020, 18,750 and 14,502 shares, respectively, were issued under the plan for total proceeds of approximately $0.2 million and $0.1 million, respectively.

At the Market Offering

The Company has entered into an equity distribution agreement under which it may sell shares of its common stock with an aggregate offering price of up to $100.0 million from time to time in any method permitted by law deemed to be an “at the market” offering as defined in Rule 415 under the Securities Act of 1933, as amended, or the Securities Act. During the year ended December 31, 2021, 24,951 shares of common stock were sold under the at the market program for total net proceeds of approximately $0.3 million. During the year ended December 31, 2020, no shares were sold under the at the market program. The Company intends to use the net proceeds to acquire mortgage loans and mortgage-related assets consistent with its investment strategy.

Accumulated Other Comprehensive Income

The Company recognizes unrealized gains or losses on its investment in debt securities as components of other comprehensive income. Total accumulated other comprehensive gain on the Company’s balance sheet at December 31, 2021, 2020 and 2019 was as follows ($ in thousands):

	For the year ended December 31,
Investment in securities:	2021		2020		2019
Unrealized gains	$	1,822	$	1,152	$	1,643
Unrealized losses	(802)		(777)		(366)
Accumulated other comprehensive income	$	1,020	$	375	$	1,277

Non-controlling Interest

At December 31, 2021 and December 31, 2020, the Company had non-controlling interests attributable to ownership interests by the following three and four legal entities, respectively.

AS Ajax E II LLC was formed by the Company during 2017 to purchase and hold an investment in a Delaware trust which holds single family residential real estate loans, SBC loans and other real estate assets. AS Ajax E II LLC is 46.9% held by third parties. As of December 31, 2021 and December 31, 2020, the Company had retained 53.1% of AS Ajax E II LLC and consolidates the assets, liabilities, revenues and expenses of the entity.

2017-D, a securitization trust, was formed by the Company during 2017. It is 50.0% held by an accredited institutional investor. During the second quarter of 2021, the majority of the loans in 2017-D were sold into 2021-C, with 22 loans remaining in 2017-D substantially reducing the non-controlling interest. As of December 31, 2021 and December 31, 2020, the Company had retained 50.0% of 2017-D and consolidates the assets, liabilities, revenues and expenses of the trust.

Great Ajax II REIT was formed by the Company during 2019 to own Great Ajax II Depositor LLC, which acts as the depositor of mortgage loans into securitization trusts and holds subordinated securities issued by such trusts. As of December 31, 2021 and December 31, 2020, Great Ajax II REIT was 0.1% held by third parties and the Company had retained 99.9% of Great Ajax II REIT and consolidates the assets, liabilities, revenues and expenses of the entity.

Securitization trust 2018-C was formed by the Company during 2018 and was 37.0% held by an accredited institutional investor. The non-controlling 37.0% ownership was purchased by the Company during the first quarter of 2021, and the non-controlling interest was derecognized from the Company's balance sheet. As of December 31, 2021 the Company owned 100.0% of 2018-C. Comparatively, as of December 31, 2020 the Company owned 63.0% of 2018-C and consolidated the assets, liabilities, revenues and expenses of the trust.

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

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

	For the year ended December 31,
	2021		2020		2019
Decrease from redemption of 2018-C	$	(8,306)	$	—	$	—
Decrease from the distribution resulting from the sale of substantially all of 2017-D	(17,186)		—		—
Decrease from redemption of OP units by third party investor(1)	—		—		(10,816)
Decrease due to deconsolidation of Gaea	—		—		(22)
Change in non-controlling interest	$	(25,492)	$	—	$	(10,838)

(1)During the second quarter of 2019, 624,106 partnership units in the Company's Operating Partnership previously held by an unaffiliated holder were exchanged for shares of the Company's common stock.

Note 15 — Quarterly Financial Information (unaudited):

The following table sets forth the Company's quarterly financial information ($ in thousands):

For the year ended December 31, 2021	First quarter		Second quarter		Third quarter		Fourth quarter
Total revenue, net	$	19,766	$	19,794	$	18,991	$	19,397
Income before provision for income taxes	$	10,676	$	11,237	$	10,786	$	9,310
Consolidated net income attributable to common stockholders	$	7,004	$	10,378	$	9,313	$	7,362
Basic earnings common share	$	0.30	$	0.45	$	0.40	$	0.32
Diluted earnings per common share	$	0.30	$	0.42	$	0.38	$	0.32

For the year ended December 31, 2020	First quarter		Second quarter		Third quarter		Fourth quarter
Total revenue, net	$	8,037	$	16,327	$	16,742	$	22,505
Income before provision for income taxes	$	1,177	$	8,938	$	8,876	$	14,492
Consolidated net income attributable to common stockholders	$	400	$	6,242	$	5,280	$	10,834
Basic earnings common share	$	0.02	$	0.27	$	0.23	$	0.47
Diluted earnings per common share	$	0.02	$	0.27	$	0.23	$	0.41

Note 16 — Subsequent Events

Since year end, the Company acquired two residential RPLs with aggregate 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.

The Company has 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 the Company holds an interest, completed a private capital raise through which Gaea 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. Great Ajax Corp. acquired 371,103 shares and an equal number of warrants. Upon completion of the private placement, the Company's ownership interest in Gaea was approximately 22.2%.

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

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On January 25, 2022, the Company 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 the Company's independent directors from $100,000 to $140,000, 50% of which is payable in shares of the Company's 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 the Manager as part of its base management fee.

On March 3, 2022, the Board declared a dividend of $0.26 per share, to be paid on March 31, 2022 to stockholders of record as of March 18, 2022.

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

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Schedule IV

Mortgage loans on real estate

December 31, 2021

($ in thousands)

Description (face value of loan)	Loan count	Interest rate	Maturity	Carrying amount of mortgages(1)		Principal amount subject to delinquent principal and interest		Amount of balloon payments at maturity
$0 – 49,999	630	0.00% - 18.00%	07/15/2015 – 06/01/2061	$	18,438	$	7,590	$	615
$50,000 – 99,999	1,213	0.00% - 12.99%	07/20/2017 – 07/01/2061	90,450		40,821		1,958
$100,000 – 149,999	1,179	0.00% - 13.34%	12/01/2017 – 08/01/2065	141,133		67,745		2,135
$150,000 – 199,999	802	0.00% - 14.13%	02/15/2019 – 08/01/2065	133,444		63,080		1,845
$200,000 – 249,999	569	0.00% - 9.65%	09/01/2019 – 07/01/2064	122,094		64,396		2,843
$250,000+	1,548	0.00% - 10.13%	05/01/2019 – 05/01/2066	604,447		287,626		29,817
Total	5,941			$	1,110,006	$	531,258	$	39,213

(1)The aggregate cost for federal income tax purposes is $1.0 billion as of December 31, 2021.

The following table sets forth the activity in our mortgage loans ($ in thousands):

	January 1, 2021 through December 31, 2021
	Mortgage loans held-for-investment, net		Mortgage loans held-for-sale, net
Beginning carrying value	$	1,119,372	$	—
Mortgage loans acquired	286,219		—
Draws on SBC loans	20,689		—
Accretion recognized	65,953		460
Payments received on loans, net	(264,713)		(1,851)
Net reclassifications to mortgage loans held-for-sale, net	(159,733)		159,733
Reclassifications to REO	(3,511)		—
Sale of mortgage loans(1)	—		(128,770)
Decrease in net present value of expected credit losses on mortgage loans	13,668		—
Other	2,490		—
Ending carrying value	$	1,080,434	$	29,572

(1)The sale of mortgage loans relates to loans previously consolidated by the Company in 2017-D.

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

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