XML 42 R31.htm IDEA: XBRL DOCUMENT
v3.21.2

Debt (Tables) | 6 Months Ended
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Jun. 30, 2021
Debt Disclosure [Abstract] |
Schedule of details of repurchase agreement | The following table sets forth the details of the Company’s repurchase transactions and facilities ($ in thousands):
|  |  |  |  |  | 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 | %
Schedule of amount outstanding on repurchase transactions and carrying value collateral | The amount outstanding on the Company’s repurchase facilities and the carrying value of the Company’s loans pledged as collateral are presented as gross amounts in the Company’s consolidated balance sheets at 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 |
Schedule of securitization of notes | 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 |  | $(4.3) million |  | — | %
(1)The Class M notes are subordinated, sequential pay, fixed rate notes. The Company has retained the Class M notes, with the exception of Ajax Mortgage Loan Trust ("AJAXM") 2021-A. (2)The Class B notes are subordinated, sequential pay, with B-2 and B-3 notes having variable interest rates and subordinate to the Class B-1 notes. The Class B-1 notes are fixed rate notes. The Company has retained the Class B notes. (3)The interest rate is effectively the rate equal to the spread between the gross average rate of interest the trust collects on its mortgage loan portfolio minus the rate derived from the sum of the servicing fee and other expenses of the trust.
Schedule of status of mortgage loans | The following table sets forth the status of the notes held by others at June 30, 2021 and December 31, 2020, and the securitization cutoff date ($ 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.

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- Definition Tabular disclosure of financial instruments held by the entity for its own account for trading or investment purposes that are carried at fair value and pledged to counterparties as collateral for financing transactions. Description may include equity, fixed income, debt or other securities. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 30 -Section 45 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=66007379&loc=d3e113888-111728 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 30 -Section 50 -Paragraph 1A -URI http://asc.fasb.org/extlink&oid=109249958&loc=SL6224234-111729 + Details
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- Definition The entire disclosure for repurchase agreements. + References No definition available. + Details
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