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Mortgage Loans (Tables) | 6 Months Ended
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Jun. 30, 2021
Mortgage Loans [Abstract] |
Schedule of loan portfolio basis by asset type | 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 |
Schedule of loan basis by year of origination | 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 |
Schedule of loan acquisition reconciliation between purchase price and par value | 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 |
Allowance for credit losses on mortgage loans | 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) |
Schedule of carrying value of mortgage loans and related UPB by delinquency status | 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 |

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