XML 22 R11.htm IDEA: XBRL DOCUMENT
v3.21.2

Mortgage Loans | 6 Months Ended
--- | ---
Jun. 30, 2021
Mortgage Loans [Abstract] |
Mortgage Loans | Mortgage Loans The following table presents information regarding the carrying value for the Company's RPLs, NPLs and SBC loans as of June 30, 2021 and December 31, 2020 ($ in thousands):
Loan portfolio basis by asset type |  | June 30, 2021 |  | December 31, 2020
Residential RPLs |  | $ | 897,516 |  |  | $ | 1,057,454 |
Residential NPLs |  | 36,820 |  |  | 38,724 |
SBC loans |  | 21,292 |  |  | 23,194 |
Total |  | $ | 955,628 |  |  | $ | 1,119,372 |
Included on the Company’s consolidated balance sheets as of June 30, 2021 and December 31, 2020 are approximately $955.6 million and $1.1 billion, respectively, of RPLs, NPLs, and SBCs. The categorization of RPLs, NPLs and SBCs is determined at acquisition. The carrying value of RPLs, NPLs and SBCs 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 June 30, 2021 and December 31, 2020 for the Company's loans in the table above are presented net of a cumulative allowance for loan credit losses of $9.8 million and $13.7 million, respectively, reflected in the appropriate lines in the table by loan type. For the three and six months ended June 30, 2021, the Company recognized a $2.7 million and $8.2 million, respectively, of accelerated revenue during the three and six month periods due to an increase in the present value of the expected cash flows. For the three and six months ended June 30, 2020, the Company recognized $1.8 million and $(0.1) million, respectively, of income and expense, respectively. For the three and six months ended June 30, 2021, the Company accreted $18.4 million and $41.6 million, respectively, net of credit impairments and recoveries into interest income with respect to its RPL, NPL and SBC loans. For the three and six months ended June 30, 2020, the Company accreted $20.2 million and $39.8 million, respectively, net of credit impairments and recoveries 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, and incorporate any prepayment assumptions utilized in the expected cash flows. 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, 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 three and six months ended June 30, 2021, the Company purchased 38 and 237 RPLs with UPB of $5.2 million and $41.2 million, respectively. The Company had no loan acquisitions during the three months ended June 30, 2020, however, during the six months ended June 30, 2020 the Company purchased 26 RPLs with UPB of $2.0 million. The Company had no NPL acquisitions during the three months ended June 30, 2021; however, during the six months ended June 30, 2021, the Company purchased three NPLs with UPB of $0.7 million. During the three months ended June 30, 2020 no NPLs were purchased, however, during the six months ended June 30, 2020 one NPL was purchased with UPB of $0.2 million. The Company had no SBC acquisitions during the three months ended June 30, 2021; however, during the six months ended June 30, 2021, the Company acquired one SBC loan with UPB of $3.6 million. No SBC loans were acquired during the three and six months ended June 30, 2020. During the three and six months ended June 30, 2021, the Company resecuritized 760 loans from 2017-D with a carrying value of $129.2 million and UPB of $133.8 million through a sale to a sponsored joint venture between the Company and a third party accredited institutional investor. The Company retained various classes of securities from the joint venture. Comparatively, during the three months ended June 30, 2020 the Company sold no mortgage loans; however, during the six months ended June 30, 2020, the Company sold 26 loans with a carrying value of $26.1 million and UPB of $26.2 million and collateral value 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 credit losses with no net impact on the amortized cost basis of the portfolio. The Company views its mortgage loan portfolio based on loan performance, or legal ownership for loans held by certain consolidated trusts, and used four and six pools at June 30, 2021 and December 31, 2020, respectively, to aggregate its portfolio of PCD loans, and one pool for its non-PCD loans as of both June 30, 2021 and December 31, 2020. Among the PCD loans, separate pools exist for loans that have been securitized in rated secured borrowings during 2019, 2020 and 2021 ("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). During the quarter ending March 31, 2021 the Company acquired the non-controlling interest in securitization trust 2018-C previously held by its joint venture partner. As a result of the acquisition, the non-controlling interest was eliminated and the loans in securitization trust 2018-C were reclassified into new pools based on their payment status as of the acquisition date of the non-controlling interest. Subsequent to the acquisition date, a significant portion of the loans from 2018-C were added to the Great Ajax II REIT pool as these loans became the collateral for a secured borrowing at that entity. As of March 31, 2021 the loans pooled under 2017-D were designated as held-for-sale. During the second quarter of 2021, 760 loans from 2017-D were resecuritized into a new joint venture, leaving 22 loans in the trust. The remaining loans were reclassified into new pools based on their payment status as of the sale date. A significant portion of the remaining loans from 2017-D were added to the 7f7 and better pool, and the remaining loans were added to the 4f4-6f6 and below pool. 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 following table presents information regarding the year of origination of the Company's mortgage loan portfolio by basis as of June 30, 2021 and December 31, 2020 ($ in thousands):
| June 30, 2021
| 2021 |  | 2020 |  | 2019 |  | 2018 |  | 2017 |  | 2016 |  | 2009-2015 |  | 2006-2008 |  | 2005 and prior |  | Total
Great Ajax II REIT | $ | — |  |  | $ | 755 |  |  | $ | 180 |  |  | $ | 707 |  |  | $ | 488 |  |  | $ | 2,010 |  |  | $ | 50,595 |  |  | $ | 374,493 |  |  | $ | 137,438 |  |  | $ | 566,666 |
California | — |  |  | 1,714 |  |  | — |  |  | 635 |  |  | 368 |  |  | — |  |  | 4,408 |  |  | 45,819 |  |  | 11,527 |  |  | 64,471 |
7f7 and better | — |  |  | — |  |  | 1,080 |  |  | 107 |  |  | 427 |  |  | 451 |  |  | 16,202 |  |  | 90,714 |  |  | 35,537 |  |  | 144,518 |
4f4-6f6 and below | — |  |  | 110 |  |  | 1,733 |  |  | 2,060 |  |  | 195 |  |  | 146 |  |  | 23,445 |  |  | 89,161 |  |  | 34,687 |  |  | 151,537 |
Non-PCD | 10,678 |  |  | 9,633 |  |  | 4,566 |  |  | 76 |  |  | 2,591 |  |  | 122 |  |  | 735 |  |  | 23 |  |  | 12 |  |  | 28,436 |
Total | $ | 10,678 |  |  | $ | 12,212 |  |  | $ | 7,559 |  |  | $ | 3,585 |  |  | $ | 4,069 |  |  | $ | 2,729 |  |  | $ | 95,385 |  |  | $ | 600,210 |  |  | $ | 219,201 |  |  | $ | 955,628 |
| December 31, 2020
| 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 |
4f4-6f6 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 three and six months ended June 30, 2021 and 2020 ($ in thousands):
|  | Three months ended June 30, |  | Six months ended June 30,
|  | 2021 |  | 2020 |  | 2021 |  | 2020
|  | PCD Loans |  | Non-PCD Loans |  | PCD Loans |  | Non-PCD Loans |  | PCD Loans |  | Non-PCD Loans |  | PCD Loans |  | Non-PCD Loans
Par |  | $ | 5,157 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 41,853 |  |  | $ | 3,611 |  |  | $ | 227 |  |  | $ | 1,952 |
Discount |  | (390) |  |  | — |  |  | — |  |  | — |  |  | (3,319) |  |  | (8) |  |  | (37) |  |  | (747) |
Allowance |  | 6 |  |  | — |  |  | — |  |  | — |  |  | (1,727) |  |  | — |  |  | (4) |  |  | — |
Purchase Price |  | $ | 4,773 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 36,807 |  |  | $ | 3,603 |  |  | $ | 186 |  |  | $ | 1,205 |
The Company performs an analysis of its expectation of the amount of undiscounted cash flows expected to be collected from its mortgage loan pools at the end of each calendar quarter. Under CECL, the Company adjusts its allowance for loan credit losses when there are changes in its expectation of future cash flows. An increase to the allowance for 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 a provision for loss. A decrease in the allowance is generally facilitated by reclassifying amounts from non-credit discount to the allowance and then recording the recovery. During the three and six months ended June 30, 2021 the Company recorded a $5.5 million and $3.8 million reclassification, respectively, from non-credit discount to the allowance for losses followed by a $2.7 million and $8.2 million reduction of the allowance for losses, respectively, due to increases in the net present value of expected cash flows and a $0.0 million and $0.0 million reclassification, respectively, from non-credit discount to the allowance to reflect the impact of dissolving pool 2018-C during the first quarter of 2021 and resecuritizing the majority of pool 2017-D through the set-up of a new joint venture during the second quarter of 2021 and moving any remaining loans to other pools. During the three and six months ended June 30, 2021 the Company also recorded a $6 thousand decrease and $1.7 million increase, respectively, in the allowance due to new acquisitions. Comparatively, during the three months ended June 30, 2020 the Company recorded no change in the allowance due to new acquisitions, however, during the six months ended June 30, 2020 the Company recorded a $4 thousand increase in the allowance due to new acquisitions. During the three and six months ended June 30, 2021, the Company recorded no reclassifications from non-credit discount to the allowance for losses. Comparatively, during the three and six months ended June 30, 2020, the Company recorded a reclassification from non-credit discount to the allowance for losses in the amount of $0.2 million and $1.7 million, respectively, and an incremental provision expense of $1.8 million and $0.1 million, respectively. An analysis of the balance in the allowance for loan losses account follows ($ in thousands):
|  | Three months ended June 30, |  | Six months ended June 30,
|  | 2021 |  | 2020 |  | 2021 |  | 2020
Allowance for loan credit losses, beginning of period |  | $ | (17,890) |  |  | $ | (16,136) |  |  | $ | (13,712) |  |  | $ | (1,960) |
Beginning period adjustment for CECL adoption |  | — |  |  | — |  |  | — |  |  | (10,156) |
Reclassification from non-credit discount to the allowance for changes in payment expectations |  | 5,450 |  |  | — |  |  | (3,782) |  |  | — |
Decrease/(increase) in allowance for loan credit losses for loan acquisitions |  | 6 |  |  | — |  |  | (1,727) |  |  | (4) |
Credit loss expense on mortgage loans |  | (139) |  |  | (274) |  |  | (593) |  |  | (503) |
Reclassification from non-credit discount to the allowance for losses for increases in the net present value of expected cash flows |  | — |  |  | 161 |  |  | — |  |  | (1,733) |
Reversal of/(increase in) provision for credit losses due to increases/(decreases) in the net present value of expected cash flows |  | 2,740 |  |  | 1,799 |  |  | 8,240 |  |  | (94) |
Reversal of allowance for reclass of pool 2017-D to mortgage loans held-for-sale, net |  | — |  |  | — |  |  | 1,741 |  |  | — |
Allowance for loan credit losses, end of period |  | $ | (9,833) |  |  | $ | (14,450) |  |  | $ | (9,833) |  |  | $ | (14,450) |
The following table sets forth the carrying value of the Company’s mortgage loans by delinquency status as of June 30, 2021 and December 31, 2020 ($ in thousands):
|  | June 30, 2021
|  | Current |  | 30 |  | 60 |  | 90 |  | Foreclosure |  | Total
Great Ajax II REIT |  | $ | 505,442 |  |  | $ | 19,500 |  |  | $ | 8,650 |  |  | $ | 31,676 |  |  | $ | 1,398 |  |  | $ | 566,666 |
California |  | 22,095 |  |  | 5,956 |  |  | 5,280 |  |  | 25,756 |  |  | 5,384 |  |  | 64,471 |
7f7 and better |  | 66,973 |  |  | 22,767 |  |  | 12,810 |  |  | 39,698 |  |  | 2,270 |  |  | 144,518 |
4f4-6f6 and below |  | 22,274 |  |  | 4,634 |  |  | 6,844 |  |  | 81,621 |  |  | 36,164 |  |  | 151,537 |
Non-PCD |  | 27,687 |  |  | 65 |  |  | — |  |  | 47 |  |  | 637 |  |  | 28,436 |
Total |  | $ | 644,471 |  |  | $ | 52,922 |  |  | $ | 33,584 |  |  | $ | 178,798 |  |  | $ | 45,853 |  |  | $ | 955,628 |
|  | December 31, 2020
|  | 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 |
4f4-6f6 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 |

X
- Definition Mortgage Loans + References No definition available. + Details
Name: | ajx_MortgageLoansAbstract
Namespace Prefix: | ajx_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition Represents entire disclosure of mortgage loans. + References No definition available. + Details
Name: | ajx_MortgageLoansTextBlock
Namespace Prefix: | ajx_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration