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Debt
 3 Months Ended
Mar. 31, 2024
Debt Disclosure [Abstract]  
Debt Debt
Repurchase Agreements

The Company has entered into two repurchase facilities whereby the Company, through two wholly-owned Delaware trusts (the “Trusts”) acquires pools of mortgage loans which are then sold by the Trusts, as “Seller” to two separate counterparties, the “buyer” or “buyers.” One facility has a ceiling of $150.0 million and the other $400.0 million at any one time. Upon the time of the initial sale to the buyer, the Trust, with a simultaneous agreement, also agrees to repurchase the pools of mortgage loans from the buyer. Mortgage loans sold under these facilities carry interest calculated based on a spread to one-month SOFR, which is fixed for the term of the borrowing. The purchase price that the Trust realizes upon the initial sale of the mortgage loans to the buyer can vary between 75% and 90% of the asset’s acquisition price, depending upon the facility being utilized and/or the quality of the underlying collateral. The obligations of the Trust to repurchase these mortgage loans at a future date are guaranteed by the Company's Operating Partnership. The difference between the market value of the asset and the amount of the repurchase agreement is generally the amount of equity in the position and is intended to provide the buyer with some protection against fluctuations in the value of the collateral, and/or a failure by the Company to repurchase the asset and repay the borrowing at maturity.

The Company has also entered into four repurchase facilities, as of March 31, 2024, substantially similar to the mortgage loan repurchase facilities, but where the pledged assets are bonds retained from the Company's securitization transactions. These facilities have no effective ceilings. Each repurchase transaction represents its own borrowing. As such, the ceilings associated with these transactions are the amounts currently borrowed at any one time. The Company has effective control over the assets subject to all of these transactions; therefore, the Company’s repurchase transactions are accounted for as financing arrangements.

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

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

March 31, 2024
Maturity DateAmount OutstandingAmount of CollateralInterest Rate
Barclays - bonds(1)
$69,929 $87,789 6.98 %
A BondsApril 3, 202410,596 14,857 6.83 %
April 15, 202421,456 28,138 6.72 %
March 31, 2024
Maturity DateAmount OutstandingAmount of CollateralInterest Rate
May 3, 20246,357 8,162 6.68 %
May 22, 20242,134 3,511 6.97 %
B BondsApril 26, 20243,102 5,151 7.62 %
May 3, 20243,608 5,991 7.70 %
May 22, 20244,312 13,651 7.57 %
June 13, 202416,988 5,796 7.06 %
M BondsMay 3, 2024281 505 7.05 %
May 22, 20241,095 2,027 7.17 %
Nomura - bonds(1)
$95,890 $95,465 6.84 %
A BondsApril 26, 202434,745 45,079 6.94 %
May 15, 20244,898 7,008 6.86 %
June 28, 202416,657 22,547 6.71 %
B BondsApril 26, 20241,031 1,797 7.23 %
May 15, 20243,013 5,197 7.26 %
June 5, 202428,176 110 6.63 %
June 28, 20243,818 6,414 7.26 %
M BondsApril 26, 20242,434 5,200 7.23 %
June 28, 20241,118 2,113 6.86 %
JP Morgan - bonds(1)
$28,042 $43,438 6.74 %
A BondsMay 28, 20249,480 15,674 6.67 %
M BondsApril 3, 202414,625 20,346 6.73 %
July 22, 20243,401 6,534 6.96 %
May 28, 2024536 884 6.89 %
Nomura - loans(2)
October 5, 2024$154,017 $216,540 7.79 %
JP Morgan - loans(3)
July 10, 2024$6,161 $8,561 8.38 %
Totals/weighted averages$354,039 $451,793 (4)7.30 %
(1)Maximum borrowing capacity subject to pledging sufficient collateral is the equivalent of the amount outstanding as of March 31, 2024.
(2)Maximum borrowing capacity subject to pledging sufficient collateral as of March 31, 2024 was $400.0 million.
(3)Maximum borrowing capacity subject to pledging sufficient collateral as of March 31, 2024 was $150.0 million.    
(4)Includes $42.8 million of bonds that are consolidated on the Company's balance sheet for GAAP as of March 31, 2024.

December 31, 2023
Maturity DateAmount OutstandingAmount of CollateralInterest Rate
Barclays - bonds(1)
$70,095 $101,041 7.03 %
A BondsJanuary 3, 202410,850 15,572 6.90 %
January 19, 202421,762 28,503 6.79 %
May 3, 20249,628 12,329 6.87 %
May 22, 20242,134 3,358 6.97 %
B BondsJanuary 26, 20243,027 4,998 7.68 %
March 13, 202413,398 20,121 7.13 %
May 3, 20243,608 6,185 7.70 %
May 22, 20244,312 7,565 7.57 %
M BondsMay 3, 2024281 499 7.05 %
May 22, 20241,095 1,911 7.17 %
Nomura - bonds(1)
$68,623 $98,448 6.98 %
December 31, 2023
Maturity DateAmount OutstandingAmount of CollateralInterest Rate
A BondsJanuary 26, 202435,184 47,149 7.02 %
February 15, 20245,079 7,449 6.93 %
March 28, 202417,019 23,238 6.74 %
B BondsJanuary 26, 20241,024 1,761 7.31 %
February 15, 20243,002 5,149 7.33 %
March 28, 20243,900 6,413 7.30 %
M BondsJanuary 26, 20242,307 5,177 7.30 %
March 28, 20241,108 2,112 6.90 %
JP Morgan - bonds(1)
$33,564 $53,978 6.90 %
A BondsFebruary 28, 20249,632 12,633 6.73 %
B BondsFebruary 28, 20246,598 11,140 7.13 %
M BondsJanuary 4, 202413,541 22,813 6.82 %
January 22, 20243,290 6,497 7.23 %
February 28, 2024503 895 7.03 %
Nomura - loans(2)
October 5, 2024$193,060 $277,632 7.79 %
JP Morgan - loans(3)
July 10, 2024$10,403 $14,656 8.38 %
Totals/weighted averages$375,745 $545,755 (4)7.44 %
(1)Maximum borrowing capacity subject to pledging sufficient collateral is the equivalent of the amount outstanding as of December 31, 2023.
(2)Maximum borrowing capacity subject to pledging sufficient collateral as of December 31, 2023 was $400.0 million.
(3)Maximum borrowing capacity subject to pledging sufficient collateral as of December 31, 2023 was $150.0 million.    
(4)Includes $42.8 million of bonds that are consolidated on the Company's balance sheet for GAAP as of December 31, 2023.

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

Gross amounts not offset in balance sheet
March 31, 2024December 31, 2023
Gross amount of recognized liabilities $354,039 $375,745 
Gross amount of loans and securities pledged as collateral447,282 541,999 
Other prepaid collateral4,511 3,756 
Net collateral amount$97,754 $170,010 

Secured Borrowings

From its inception (January 30, 2014) to March 31, 2024, the Company has completed 18 secured borrowings for its own balance sheet, not including its off-balance sheet joint ventures in which it holds investments in various classes of securities, pursuant to Rule 144A under the Securities Act, five of which were outstanding at March 31, 2024. The secured borrowings are generally structured as debt financings. The loans included in the secured borrowings remain on the Company’s consolidated balance sheet as the Company is the primary beneficiary of the securitization trusts, which are VIEs. The securitization VIEs are structured as pass through entities that receive principal and interest on the underlying mortgages and distribute those payments to the holders of the notes. The Company’s exposure to the obligations of the VIEs is generally limited to its investments in the entities. The notes that are issued by the securitization trusts are secured solely by the
mortgages held by the applicable trusts and not by any of the Company’s other assets. The mortgage loans of the applicable trusts are the only source of repayment and interest on the notes issued by such trusts. The Company does not guarantee any of the obligations of the trusts under the terms of the agreement governing the notes or otherwise.

The Company’s non-rated secured borrowings are generally structured with Class A notes, subordinated notes, and trust certificates, which have rights to the residual interests in the mortgages once the notes are repaid. The Company has retained the subordinated notes and the applicable trust certificates from one non-rated secured borrowing outstanding at March 31, 2024.

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

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

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

Issuing Trust/Issue DateInterest Rate Step-up DateSecurityOriginal PrincipalInterest Rate
Rated
Ajax Mortgage Loan Trust 2019-D/ July 2019July 25, 2027Class A-1 notes due 2065$140.4 million2.96 %
July 25, 2027Class A-2 notes due 2065$6.1 million3.50 %
July 25, 2027Class A-3 notes due 2065$10.1 million3.50 %
July 25, 2027
Class M-1 notes due 2065(1)
$9.3 million3.50 %
None
Class B-1 notes due 2065(2)
$7.5 million3.50 %
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 2019November 25, 2026Class A-1 notes due 2059$110.1 million2.86 %
November 25, 2026Class A-2 notes due 2059$12.5 million3.50 %
November 25, 2026Class A-3 notes due 2059$5.1 million3.50 %
November 25, 2026
Class M-1 notes due 2059(1)
$6.1 million3.50 %
None
Class B-1 notes due 2059(2)
$11.5 million3.50 %
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 2020July 25, 2027Class A-1 notes due 2059$97.2 million1.70 %
July 25, 2027Class A-2 notes due 2059$17.3 million2.86 %
July 25, 2027
Class M-1 notes due 2059(1)
$7.3 million3.70 %
None
Class B-1 notes due 2059(2)
$5.9 million3.70 %
None
Class B-2 notes due 2059(2)
$5.1 million
variable(3)
Issuing Trust/Issue DateInterest Rate Step-up DateSecurityOriginal PrincipalInterest Rate
None
Class B-3 notes due 2059(2)
$23.6 million
variable(3)
Deferred issuance costs$(1.8) million— %
Rated
Ajax Mortgage Loan Trust 2021-A/ January 2021January 25, 2029Class A-1 notes due 2065$146.2 million1.07 %
January 25, 2029Class A-2 notes due 2065$21.1 million2.35 %
January 25, 2029
Class M-1 notes due 2065(1)
$7.8 million3.15 %
None
Class B-1 notes due 2065(2)
$5.0 million3.80 %
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 2021August 25, 2024Class A notes due 2066$215.9 million2.24 %
February 25, 2025
Class B notes due 2066(2)
$20.2 million4.00 %
Deferred issuance costs$(4.3) million— %
(1)The Class M notes are subordinated, sequential pay, fixed rate notes. The Company has retained the Class M notes, with the exception of Ajax Mortgage Loan Trust 2021-A.
(2)The Class B notes are subordinated, sequential pay, with B-2 and B-3 notes having variable interest rates and are subordinate to the Class B-1 notes. The Class B-1 notes are fixed rate notes. The Company has retained the Class B notes.
(3)The interest rate is effectively the rate equal to the spread between the gross average rate of interest the trust collects on its mortgage loan portfolio minus the rate derived from the sum of the servicing fee and other expenses of the trust.

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

Balances at March 31, 2024Balances at December 31, 2023Original balances at
securitization cutoff date
Class of NotesCarrying value of mortgagesBond principal balancePercentage of collateral coverageCarrying value of mortgagesBond principal balancePercentage of collateral coverageMortgage UPBBond principal balance
2019-D$98,324 $66,402 148 %$99,367 $67,739 147 %$193,301 $156,670 
2019-F94,553 56,172 168 %96,870 57,936 167 %170,876 127,673 
2020-B99,221 62,058 160 %100,245 63,574 158 %156,468 114,534 
2021-A125,500 100,435 125 %127,250 102,057 125 %206,506 175,116 
2021-B205,591 117,438 175 %204,883 123,032 167 %287,882 215,912 
$623,189 $402,505 (1)155 %$628,615 $414,338 (1)152 %$1,015,033 $789,905 
(1)This represents the gross amount of Secured borrowings and excludes the impact of deferred issuance costs of $2.8 million and $3.1 million as of March 31, 2024 and December 31, 2023.
Notes

2024 Notes (Convertible Senior Notes)

At both March 31, 2024 and December 31, 2023, the Company's 2024 Notes had carrying values of $103.5 million. The 2024 Notes had an interest rate of 7.25% per annum and were payable quarterly in arrears on January 15, April 15, July 15
and October 15 of each year. The 2024 Notes matured on April 30, 2024 and the Company redeemed the notes in full for an aggregate amount of $103.5 million and 15 days of accrued interest. As of March 31, 2024, the amount by which the if-converted value falls short of the principal value for the entire series is $76.1 million.

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

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

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

Coupon interest on the 2024 Notes is recognized using the accrual method of accounting. Discount and deferred issuance costs are carried on the Company’s consolidated balance sheets as a reduction of the carrying value of the 2024 Notes, and are amortized to interest expense on an effective yield basis through April 30, 2024.

2027 Notes (Unsecured Notes)

In August 2022, the Operating Partnership issued $110.0 million aggregate principal amount of 8.875% 2027 Notes. The 2027 Notes have a five year term and were issued at 99.009% of par value and are fully and unconditionally guaranteed by the Company and are included in the Company's liabilities in its consolidated balance sheet at March 31, 2024. Interest on the 2027 Notes is payable semi-annually on March 1 and September 1, with the first payment due and payable on March 1, 2023. The 2027 Notes will mature on September 1, 2027. Net proceeds from the sale of the 2027 Notes totaled approximately $106.1 million, after deducting the discount, commissions, and offering expenses which will be amortized over the term of the 2027 Notes using the effective interest method. The Company used $90.0 million of the proceeds to repurchase and retire a portion of its outstanding 7.25% Series A and 5.00% Series B Fixed-to-Floating Rate Preferred Stock at a discount, and a proportionate amount of outstanding warrants. The remainder of the proceeds were used for general corporate purposes.

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

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

YearDebt instrumentAs of March 31, 2024
2024$— 
2025$— 
2026$— 
20272027 Notes (Unsecured Notes)$110,000 
2028$—