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Debt | 6 Months Ended
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Jun. 30, 2016
Debt Disclosure [Abstract] |
Debt | Note 8 — Debt Repurchase agreements On November 25, 2014, the Company entered into a repurchase facility pursuant to which a newly formed Delaware statutory trust, AJX Mortgage Trust I (the “Seller”), which is wholly owned by the Operating Partnership, will acquire, from time to time, pools of mortgage loans that are primarily secured by first liens on one-to-four family residential properties from its affiliates and/or third party sellers. These mortgage loans will generally be sold from time to time by the Operating Partnership as the “guarantor” to the Seller pursuant to the terms of a mortgage loan purchase agreement by and between the guarantor, as seller, and the Seller, as purchaser, in accordance with the terms thereof. Pursuant to a master repurchase agreement (the “2014 MRA”), these mortgage loans, together with the Seller’s 100% ownership interests in its wholly owned subsidiary, a newly formed Delaware limited liability company (“REO I”), and any future REO subsidiaries wholly owned by the Seller and certain other property of the Seller, will be sold by the Seller to Nomura Corporate Funding Americas, LLC, as buyer, from time to time, pursuant to one or more transactions, not exceeding $200 million at any point in time, with a simultaneous agreement by the Seller to repurchase such mortgage loans and other property, as provided in the 2014 MRA. The obligations of the Seller are guaranteed by the operating partnership. Repurchases under this facility carry interest calculated based on a spread to one-month LIBOR and are fixed for the term of the borrowing. The purchase price for each mortgage loan or REO is generally equal to 65% of the acquisition price for such asset or the then current BPO for the asset. The difference between the market value of the asset and the amount of the repurchase agreement is the amount of equity the Company has in the position and is intended to provide the lender some protection against fluctuations of value in the collateral and/or the failure by the Company to repay the borrowing at maturity. The Company has effective control over the assets associated with this agreement and therefore it is accounted for as a financing arrangement. The facility was amended on May 13, 2015 to increase the transaction limit, and on November 24, 2015 to extend the termination date. The facility termination date is November 22, 2016. On July 15, 2016, the Company entered into a repurchase financing arrangement, as Seller, with JPMorgan Chase Bank, N.A., as Buyer, under which it will sell to Buyer the beneficial interests in mortgage loans and will pledge to Buyer the beneficial interests in such assets, with a simultaneous agreement by Buyer to transfer to the Company and the Company to repurchase such assets on a future date. The arrangement terminates on July 12, 2019, is capped at $150 million, and carries interest at LIBOR plus 2.5% and an annual percentage facility fee of 25 basis points on the committed amount. Gregory services these mortgage loans and the REO properties pursuant to the terms of a servicing agreement by and among the Servicer, the Seller, REO I, and any other REO Subsidiary, which servicing agreement has the same fees and expenses terms as the Company’s servicing agreement described under Note 9 — Related party transactions. The operating partnership as guarantor will provide to the buyer a limited guaranty of certain losses incurred by the buyer in connection with certain events and/or the seller’s obligations under the MLPA, following the breach of certain covenants by the seller or an REO subsidiary related to its status as a special purpose entity, the occurrence of certain bad acts by the Seller Parties, the occurrence of certain insolvency events of the seller or an REO subsidiary or other events specified in the Guaranty. As security for its obligations under the Guaranty, the guarantor will pledge the Trust Certificate representing the Guarantor’s 100% beneficial interest in the Seller. Additionally, we have sold subordinate securities from our mortgage securitizations in repurchase transactions. The following table sets forth the details of the repurchase transactions ($ in thousands):
|  |  |  |  |  |  | June 30, 2016 |
Maturity Date |  | Origination date |  | Maximum Borrowing capacity |  |  | Amount outstanding |  |  | Amount of collateral |  |  | Interest rate |
September 9, 2016 |  | March 9, 2016 |  | $ | 15,730 |  |  | $ | 15,730 |  |  | $ | 22,470 |  |  |  | 3.00 | %
September 30, 2016 |  | March 30, 2016 |  |  | 10,658 |  |  |  | 10,658 |  |  |  | 15,226 |  |  |  | 3.01 | %
November 22, 2016 |  | November 24, 2015 |  |  | 200,000 |  |  |  | 66,433 |  |  |  | 109,252 |  |  |  | 4.19 | %
December 23, 2016 |  | June 23, 2016 |  |  | 9,419 |  |  |  | 9,419 |  |  |  | 13,391 |  |  |  | 2.91 | %
Totals |  |  |  | $ | 235,807 |  |  | $ | 102,240 |  |  | $ | 160,339 |  |  |  | 3.77 | %
|  |  |  |  |  |  | December 31, 2015 |
Maturity Date |  | Origination date |  | Maximum Borrowing capacity |  |  | Amount outstanding |  |  | Amount of collateral |  |  | Interest rate |
March 30, 2016 |  | September 30, 2015 |  | $ | 10,838 |  |  | $ | 10,838 |  |  | $ | 15,483 |  |  |  | 2.53 | %
June 23, 2016 |  | December 23, 2015 |  |  | 9,374 |  |  |  | 9,374 |  |  |  | 13,391 |  |  |  | 2.91 | %
November 22, 2016 |  | November 24, 2015 |  |  | 200,000 |  |  |  | 84,321 |  |  |  | 135,736 |  |  |  | 4.17 | %
Totals |  |  |  | $ | 220,212 |  |  | $ | 104,533 |  |  | $ | 164,610 |  |  |  | 3.91 | %
While the guaranty establishes a master netting arrangement, the arrangement does not meet the criteria for offsetting. The amount outstanding on the Company’s repurchase facility and the carrying value of the Company’s loans pledged as collateral are presented as gross amounts in the Company’s balance sheets at June 30, 2016 and December 31, 2015.
|  | Gross amounts not offset in balance sheet |  |  |  |
Balance sheet date |  | Gross amount of recognized liabilities |  |  | Gross amount pledged as collateral |  |  | Net amount |
June 30, 2016 |  | $ | 102,240 |  |  | $ | 160,339 |  |  | $ | 58,099 |
December 31, 2015 |  | $ | 104,533 |  |  | $ | 164,610 |  |  | $ | 60,077 |
Secured borrowings From the commencement of operations to June 30, 2016, the Company has completed six securitizations pursuant to Rule 144A under the Securities Act. The securitizations are structured as debt financings and not REMIC sales, and the loans included in the securitizations remain on the Company’s 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 securitizations are structured with Class A notes, Class B notes, and trust certificates which have rights to the residual interests in the mortgages once the notes are repaid. For each of the Company’s six securitizations through June 30, 2016, the Company has retained the Class B notes and the trust certificate. The Class A notes are senior, sequential pay, fixed rate notes. The Class B notes are subordinate, sequential pay, fixed rate notes with Class B-2 notes subordinate to the Class B-1 notes. If the Class A notes have not been redeemed by the payment date 36 months after issue, or otherwise paid in full by that date, an amount equal to the aggregate interest payment amount that accrued and would otherwise be paid to the Class B-1 and the Class B-2 notes will be paid as principal to the Class A notes on that date and each subsequent payment date until the Class A notes are paid in full. After the Class A notes are paid in full, the Class B-1 and Class B-2 notes will resume receiving their respective interest payment amounts and any interest that accrued but was not paid to the Class B notes while the Class A notes were outstanding. As the holder of the trust certificates, the Company is entitled to receive any remaining amounts in the trusts after the Class A notes and Class B notes have been paid in full. The following table sets forth the original terms of all securitization notes at their respective cutoff dates:
Issuing Trust/Issue Date |  | Security |  | Original Principal |  | Interest Rate |
Ajax Mortgage Loan Trust 2014-A/ October 2014 |  | Class A notes due 2057 |  | $45 million |  |  | 4.00 | %
|  | Class B-1 notes due 2057(1) (3) |  | $8 million |  |  | 5.19 | %
|  | Class B-2 notes due 2057(1) (3) |  | $8 million |  |  | 5.19 | %
|  | Trust certificates(2) |  | $20.4 million |  |  | – |
|  | Deferred issuance costs |  | $(0.9) million |  |  | – |
Ajax Mortgage Loan Trust 2014-B / November 2014 |  | Class A notes due 2054 |  | $41.2 million |  |  | 3.85 | %
|  | Class B-1 notes due 2054(1) (3) |  | $13.7 million |  |  | 5.25 | %
|  | Class B-2 notes due 2054(1) (3) |  | $13.7 million |  |  | 5.25 | %
|  | Trust certificates(2) |  | $22.9 million |  |  | – |
|  | Deferred issuance costs |  | $(0.8) million |  |  | – |
Ajax Mortgage Loan Trust 2015-A / May 2015 |  | Class A notes due 2054 |  | $35.6 million |  |  | 3.88 | %
|  | Class B-1 notes due 2054(1) (3) |  | $8.7 million |  |  | 5.25 | %
|  | Class B-2 notes due 2054(1) (3) |  | $8.7 million |  |  | 5.25 | %
|  | Trust certificates(2) |  | $22.8 million |  |  | – |
|  | Deferred issuance costs |  | $(0.8) million |  |  | – |
Ajax Mortgage Loan Trust 2015-B / July 2015 |  | Class A notes due 2060 |  | $87.2 million |  |  | 3.88 | %
|  | Class B-1 notes due 2060(1) (3) |  | $15.9 million |  |  | 5.25 | %
|  | Class B-2 notes due 2060(1) (3) |  | $7.9 million |  |  | 5.25 | %
|  | Trust certificates(2) |  | $47.5 million |  |  | – |
|  | Deferred issuance costs |  | $(1.5) million |  |  | – |
Ajax Mortgage Loan Trust 2015-C / November 2015 |  | Class A notes due 2057 |  | $82.0 million |  |  | 3.88 | %
|  | Class B-1 notes due 2057(1) (3) |  | $6.5 million |  |  | 5.25 | %
|  | Class B-2 notes due 2057(1) (3) |  | $6.5 million |  |  | 5.25 | %
|  | Trust certificates(2) |  | $35.1 million |  |  | – |
|  | Deferred issuance costs |  | $(2.7) million |  |  | – |
Ajax Mortgage Loan Trust 2016-A/ April 2016 |  | Class A notes due 2064 |  | $101.4 million |  |  | 4.25 | %
|  | Class B-1 notes due 2064(1) |  | $7.9 million |  |  | 5.25 | %
|  | Class B-2 notes due 2064(1) |  | $7.9 million |  |  | 5.25 | %
|  | Trust certificates (2) |  | $41.3 million |  |  | – |
|  | Deferred issuance costs |  | $(2.7) million |  |  | – |
| (1) | The Class B notes are subordinate, sequential pay, fixed rate notes with Class B-2 notes subordinate to the Class B-1 notes. The Company has retained the Class B notes.
| (2) | The trust certificates issued by the trusts and the beneficial ownership of the trusts are retained by Great Ajax Funding LLC as the depositor. As the holder of the trust certificates, the Company is entitled to receive any remaining amounts in the trusts after the Class A notes and Class B notes have been paid in full.
| (3) | These securities are encumbered under a repurchase agreement.
Servicing for the mortgage loans in the Company’s securitizations is provided by the Servicer at a servicing fee rate of 0.65% annually of UPB for loans that are re-performing at acquisition and 1.25% annually of UPB for loans that are non-performing at acquisition, and is paid monthly. The following table sets forth the status of the notes held by others at June 30, 2016, December 31, 2015, and the securitization cutoff date ($ in thousands):
|  | Balances at June 30, 2016 |  |  | Balances at December 31, 2015 |  |  | Original balances at securitization cutoff date |
Class of Notes |  | Carrying value of mortgages |  |  | Bond principal balance |  |  | Carrying value of mortgages |  |  | Bond principal balance |  |  | Mortgage UPB |  |  | Bond Principal Balance |
2014-A |  | $ | 53,606 |  |  | $ | 34,659 |  |  | $ | 55,098 |  |  | $ | 36,463 |  |  | $ | 81,405 |  |  | $ | 45,000 |
2014-B |  |  | 64,696 |  |  |  | 32,919 |  |  |  | 66,292 |  |  |  | 35,646 |  |  |  | 91,535 |  |  |  | 41,191 |
2015-A |  |  | 52,991 |  |  |  | 31,615 |  |  |  | 53,673 |  |  |  | 33,674 |  |  |  | 75,835 |  |  |  | 35,643 |
2015-B |  |  | 110,799 |  |  |  | 81,305 |  |  |  | 115,395 |  |  |  | 84,973 |  |  |  | 158,498 |  |  |  | 87,174 |
2015-C |  |  | 104,015 |  |  |  | 72,783 |  |  |  | 108,238 |  |  |  | 79,824 |  |  |  | 130,130 |  |  |  | 81,982 |
2016-A |  |  | 118,778 |  |  |  | 99,309 |  |  |  | - |  |  |  | - |  |  |  | 158,485 |  |  |  | 101,431 |
|  | $ | 504,885 |  |  | $ | 352,590 |  |  | $ | 398,696 |  |  | $ | 270,580 |  |  | $ | 695,888 |  |  | $ | 392,421 |
The Company’s obligations under its secured borrowings are not fixed, and the payments on these borrowings are predicated upon cash flows received on the underlying mortgage loans. Accordingly, a projection of contractual maturities over the next five years is inapplicable.

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- Definition The entire disclosure for information about short-term and long-term debt arrangements, which includes amounts of borrowings under each line of credit, note payable, commercial paper issue, bonds indenture, debenture issue, own-share lending arrangements and any other contractual agreement to repay funds, and about the underlying arrangements, rationale for a classification as long-term, including repayment terms, interest rates, collateral provided, restrictions on use of assets and activities, whether or not in compliance with debt covenants, and other matters important to users of the financial statements, such as the effects of refinancing and noncompliance with debt covenants. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 505 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=6928386&loc=d3e21475-112644 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 210 -SubTopic 10 -Section S99 -Paragraph 1 -Subparagraph (SX 210.5-02.19,20,22) -URI http://asc.fasb.org/extlink&oid=6877327&loc=d3e13212-122682 + Details
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