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Debt | 6 Months Ended
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Jun. 30, 2021
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 $250.0 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 the class B bonds and certificates from the Company's secured borrowing 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):
|  |  |  |  |  | June 30, 2021
Maturity Date |  | Origination date |  | Maximum Borrowing Capacity |  | Amount Outstanding |  | Amount of Collateral |  | Percentage of Collateral Coverage |  | Interest Rate
July 6, 2021 |  | April 6, 2021 |  | $ | 7,267 |  |  | $ | 7,267 |  |  | $ | 9,419 |  |  | 130 | % |  | 1.40 | %
July 6, 2021 |  | April 6, 2021 |  | 4,420 |  |  | 4,420 |  |  | 5,531 |  |  | 125 | % |  | 1.40 | %
July 6, 2021 |  | April 6, 2021 |  | 3,336 |  |  | 3,336 |  |  | 4,667 |  |  | 140 | % |  | 1.80 | %
July 9, 2021 |  | July 10, 2020 |  | 250,000 |  |  | 14,688 |  |  | 22,228 |  |  | 151 | % |  | 2.59 | %
July 12, 2021 |  | April 12, 2021 |  | 5,535 |  |  | 5,535 |  |  | 6,938 |  |  | 125 | % |  | 1.39 | %
July 15, 2021 |  | April 15, 2021 |  | 6,135 |  |  | 6,135 |  |  | 7,372 |  |  | 120 | % |  | 1.23 | %
July 20, 2021 |  | April 20, 2021 |  | 11,629 |  |  | 11,629 |  |  | 14,505 |  |  | 125 | % |  | 1.24 | %
July 30, 2021 |  | April 30, 2021 |  | 11,123 |  |  | 11,123 |  |  | 13,635 |  |  | 123 | % |  | 1.39 | %
July 30, 2021 |  | April 30, 2021 |  | 10,997 |  |  | 10,997 |  |  | 13,532 |  |  | 123 | % |  | 1.39 | %
July 30, 2021 |  | April 30, 2021 |  | 2,754 |  |  | 2,754 |  |  | 3,541 |  |  | 129 | % |  | 1.39 | %
July 30, 2021 |  | April 30, 2021 |  | 1,133 |  |  | 1,133 |  |  | 1,607 |  |  | 142 | % |  | 1.79 | %
August 12, 2021 |  | May 12, 2021 |  | 3,108 |  |  | 3,108 |  |  | 4,428 |  |  | 142 | % |  | 1.77 | %
August 24, 2021 |  | May 24, 2021 |  | 28,635 |  |  | 28,635 |  |  | 38,294 |  |  | 134 | % |  | 1.35 | %
August 24, 2021 |  | May 24, 2021 |  | 3,532 |  |  | 3,532 |  |  | 5,106 |  |  | 145 | % |  | 1.75 | %
September 3, 2021 |  | June 4, 2021 |  | 23,554 |  |  | 23,554 |  |  | 30,884 |  |  | 131 | % |  | 1.13 | %
September 3, 2021 |  | June 4, 2021 |  | 23,042 |  |  | 23,042 |  |  | 30,303 |  |  | 132 | % |  | 1.13 | %
September 17, 2021 |  | June 17, 2021 |  | 44,701 |  |  | 44,701 |  |  | 59,986 |  |  | 134 | % |  | 1.13 | %
September 17, 2021 |  | June 17, 2021 |  | 8,236 |  |  | 8,236 |  |  | 10,322 |  |  | 125 | % |  | 1.32 | %
September 17, 2021 |  | June 17, 2021 |  | 7,229 |  |  | 7,229 |  |  | 9,510 |  |  | 132 | % |  | 1.32 | %
September 17, 2021 |  | June 17, 2021 |  | 4,331 |  |  | 4,331 |  |  | 6,232 |  |  | 144 | % |  | 1.38 | %
September 17, 2021 |  | June 17, 2021 |  | 1,176 |  |  | 1,176 |  |  | 1,687 |  |  | 143 | % |  | 1.72 | %
September 23, 2021 |  | September 24, 2020 |  | 400,000 |  |  | 42,153 |  |  | 63,220 |  |  | 150 | % |  | 2.60 | %
September 24, 2021 |  | June 24, 2021 |  | 46,819 |  |  | 46,819 |  |  | 62,815 |  |  | 134 | % |  | 1.33 | %
September 24, 2021 |  | June 24, 2021 |  | 4,535 |  |  | 4,535 |  |  | 6,526 |  |  | 144 | % |  | 1.73 | %
September 24, 2021 |  | June 24, 2021 |  | 2,431 |  |  | 2,431 |  |  | 3,148 |  |  | 129 | % |  | 1.33 | %
October 5, 2021 |  | April 9, 2021 |  | 31,326 |  |  | 31,326 |  |  | 39,811 |  |  | 127 | % |  | 1.41 | %
October 22, 2021 |  | April 26, 2021 |  | 7,899 |  |  | 7,899 |  |  | 9,279 |  |  | 117 | % |  | 1.11 | %
October 22, 2021 |  | April 26, 2021 |  | 6,231 |  |  | 6,231 |  |  | 7,276 |  |  | 117 | % |  | 1.11 | %
October 22, 2021 |  | April 26, 2021 |  | 5,123 |  |  | 5,123 |  |  | 6,063 |  |  | 118 | % |  | 1.11 | %
December 13, 2021 |  | June 15, 2021 |  | 14,148 |  |  | 14,148 |  |  | 20,151 |  |  | 142 | % |  | 1.35 | %
December 13, 2021 |  | June 15, 2021 |  | 7,160 |  |  | 7,160 |  |  | 9,409 |  |  | 131 | % |  | 1.15 | %
Totals/weighted averages |  | $ | 987,545 |  |  | $ | 394,386 |  |  | $ | 527,425 |  |  | 134 | % |  | 1.48 | %
|  |  |  |  |  | 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 | %
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 June 30, 2021 and December 31, 2020, the Company had $5.9 million and $4.7 million, respectively, of cash collateral on deposit with financing counterparties. This cash is included in Prepaid expenses and other assets on its consolidated balance sheets and is not netted against its Borrowings under repurchase agreements. The amount outstanding on the Company’s repurchase facilities and the carrying value of the Company’s loans pledged as collateral are presented as gross amounts in the Company’s consolidated balance sheets at June 30, 2021 and December 31, 2020 in the table below ($ in thousands):
|  | Gross amounts not offset in balance sheet
|  | June 30, 2021 |  | December 31, 2020
Gross amount of recognized liabilities |  | $ | 394,386 |  |  | $ | 421,132 |
Gross amount of loans and securities pledged as collateral |  | 527,425 |  |  | 595,599 |
Other prepaid collateral |  | 5,860 |  |  | 4,653 |
Net collateral amount |  | $ | 138,899 |  |  | $ | 179,120 |
Secured Borrowings From inception (January 30, 2014) to June 30, 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 June 30, 2021. The secured borrowings are structured as debt financings and not sales through a real estate 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 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 June 30, 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 June 30, 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% 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 refinanced in 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% of the Class A notes and 63% of the Class B notes and trust certificates. During the first quarter of 2021 the Company acquired the remaining 37% ownership of the Class B notes and trust certificates and settled the remaining 95% 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 all notes from the Company's secured borrowings outstanding at June 30, 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)
|  | 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 |  | $(4.3) million |  | — | %
(1)The Class M notes are subordinated, sequential pay, fixed rate notes. The Company has retained the Class M notes, with the exception of Ajax Mortgage Loan Trust ("AJAXM") 2021-A. (2)The Class B notes are subordinated, sequential pay, with B-2 and B-3 notes having variable interest rates and subordinate to the Class B-1 notes. The Class B-1 notes are fixed rate notes. The Company has retained the Class B notes. (3)The interest rate is effectively the rate equal to the spread between the gross average rate of interest the trust collects on its mortgage loan portfolio minus the rate derived from the sum of the servicing fee and other expenses of the trust. Servicing for the mortgage loans in the Company’s secured borrowings is provided by the Servicer at servicing fee rates of between 0.65% of outstanding UPB and 1.25% of outstanding UPB at acquisition, and is paid monthly. The determination of RPL or NPL status, which determines the servicing fee rates, is based on the status of the loan at acquisition and does not change regardless of the loan's subsequent performance. The following table sets forth the status of the notes held by others at June 30, 2021 and December 31, 2020, and the securitization cutoff date ($ in thousands):
|  | Balances at June 30, 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 |  | 133,598 |  |  | 109,891 |  |  | 122 | % |  | 148,641 |  |  | 125,008 |  |  | 119 | % |  | 193,301 |  |  | 156,670 |
2019-F |  | 127,059 |  |  | 94,250 |  |  | 135 | % |  | 139,996 |  |  | 108,184 |  |  | 129 | % |  | 170,876 |  |  | 127,673 |
2020-B |  | 127,515 |  |  | 97,540 |  |  | 131 | % |  | 136,360 |  |  | 105,601 |  |  | 129 | % |  | 156,468 |  |  | 114,534 |
2021-A |  | 178,494 |  |  | 160,924 |  |  | 111 | % |  | — |  |  | — |  |  | — | % |  | 206,528 |  |  | 175,116 |
2021-B |  | 254,917 |  |  | 200,801 |  |  | 127 | % |  | — |  |  | — |  |  | — | % |  | 287,895 |  |  | 215,912 |
|  | $ | 821,583 |  |  | $ | 663,406 |  | (5) | 124 | % |  | $ | 842,177 |  |  | $ | 590,761 |  | (5) | 143 | % |  | $ | 1,606,969 |  |  | $ | 1,162,564 |
(1)The gross amount 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 contained notes held by the third party institutional investors for senior bonds and class B bonds. The gross amount of the senior and class B bonds at December 31, 2020 were $132.7 million and $15.9 million, however, only $126.1 million and $5.9 million are reflected in Secured borrowings as the remainder is owned by the Company, respectively. (4)Includes $45.5 million of cash collateral intended for use in the acquisition of additional mortgage loans. (5)This represents the gross amount of Secured borrowings and excludes the impact of deferred issuance costs of $9.5 million and $5.4 million as of June 30, 2021 and December 31, 2020. Convertible Senior Notes At June 30, 2021 and December 31, 2020, the Company had carrying values of $103.4 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 June 30, 2021, the amount by which the if-converted value falls short of the principal value for the entire series is $10.9 million. At June 30, 2021, the outstanding aggregate principal amount of the notes was $105.9 million, and discount and deferred expenses were $2.4 million. 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 three and six months ended June 30, 2021 the Company recognized interest expense on its outstanding convertible notes of $2.2 million and $4.6 million, respectively, which includes $0.4 million and $0.7 million of amortization of discount and deferred expenses, respectively. During the three and six months ended June 30, 2020 the Company recognized interest expense on its outstanding convertible notes of $2.5 million and $4.9 million, respectively, which includes $0.4 million and $0.7 million of amortization of discount and deferred expenses, respectively. The effective interest rates of the notes for the quarters ended June 30, 2021 and June 30, 2020 were 8.99% and 9.09%, respectively. During the first and second quarters of 2021, the Company completed a series of convertible note repurchases for aggregate principal amounts of $2.5 million and $5.0 million, respectively, for total purchase prices of $2.4 million and $5.1 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 quarter of 2021 transactions were both zero. 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. 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. No "sinking fund" will be provided for the notes.

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