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Debt (Tables)
 6 Months Ended
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 DateOrigination dateMaximum Borrowing CapacityAmount OutstandingAmount of CollateralPercentage of Collateral CoverageInterest Rate
July 6, 2021April 6, 2021$7,267 $7,267 $9,419 130 %1.40 %
July 6, 2021April 6, 20214,420 4,420 5,531 125 %1.40 %
July 6, 2021April 6, 20213,336 3,336 4,667 140 %1.80 %
July 9, 2021July 10, 2020250,000 14,688 22,228 151 %2.59 %
July 12, 2021April 12, 20215,535 5,535 6,938 125 %1.39 %
July 15, 2021April 15, 20216,135 6,135 7,372 120 %1.23 %
July 20, 2021April 20, 202111,629 11,629 14,505 125 %1.24 %
July 30, 2021April 30, 202111,123 11,123 13,635 123 %1.39 %
July 30, 2021April 30, 202110,997 10,997 13,532 123 %1.39 %
July 30, 2021April 30, 20212,754 2,754 3,541 129 %1.39 %
July 30, 2021April 30, 20211,133 1,133 1,607 142 %1.79 %
August 12, 2021May 12, 20213,108 3,108 4,428 142 %1.77 %
August 24, 2021May 24, 202128,635 28,635 38,294 134 %1.35 %
August 24, 2021May 24, 20213,532 3,532 5,106 145 %1.75 %
September 3, 2021June 4, 202123,554 23,554 30,884 131 %1.13 %
September 3, 2021June 4, 202123,042 23,042 30,303 132 %1.13 %
September 17, 2021June 17, 202144,701 44,701 59,986 134 %1.13 %
September 17, 2021June 17, 20218,236 8,236 10,322 125 %1.32 %
September 17, 2021June 17, 20217,229 7,229 9,510 132 %1.32 %
September 17, 2021June 17, 20214,331 4,331 6,232 144 %1.38 %
September 17, 2021June 17, 20211,176 1,176 1,687 143 %1.72 %
September 23, 2021September 24, 2020400,000 42,153 63,220 150 %2.60 %
September 24, 2021June 24, 202146,819 46,819 62,815 134 %1.33 %
September 24, 2021June 24, 20214,535 4,535 6,526 144 %1.73 %
September 24, 2021June 24, 20212,431 2,431 3,148 129 %1.33 %
October 5, 2021April 9, 202131,326 31,326 39,811 127 %1.41 %
October 22, 2021April 26, 20217,899 7,899 9,279 117 %1.11 %
October 22, 2021April 26, 20216,231 6,231 7,276 117 %1.11 %
October 22, 2021April 26, 20215,123 5,123 6,063 118 %1.11 %
December 13, 2021June 15, 202114,148 14,148 20,151 142 %1.35 %
December 13, 2021June 15, 20217,160 7,160 9,409 131 %1.15 %
Totals/weighted averages$987,545 $394,386 $527,425 134 %1.48 %

December 31, 2020
Maturity DateOrigination dateMaximum Borrowing CapacityAmount OutstandingAmount of CollateralPercentage of Collateral CoverageInterest Rate
January 6, 2021October 9, 2020$35,635 $35,635 $46,120 129 %2.33 %
January 6, 2021September 28, 20207,697 7,697 10,075 131 %2.33 %
January 6, 2021September 28, 20206,311 6,311 9,038 143 %2.48 %
January 6, 2021September 28, 20204,755 4,755 6,114 129 %2.33 %
January 6, 2021September 28, 20204,666 4,666 6,044 130 %2.33 %
January 6, 2021September 28, 20203,213 3,213 4,667 145 %2.48 %
January 11, 2021September 29, 20205,879 5,879 7,575 129 %2.32 %
January 14, 2021October 29, 20206,991 6,991 8,738 125 %2.35 %
January 20, 2021October 20, 202013,263 13,263 16,582 125 %2.22 %
January 29, 2021October 30, 20207,762 7,762 9,702 125 %2.21 %
January 29, 2021October 30, 20207,153 7,153 9,537 133 %2.21 %
February 1, 2021December 1, 202012,258 12,258 16,052 131 %1.88 %
February 1, 2021December 1, 202012,015 12,015 15,794 131 %1.88 %
February 1, 2021December 1, 20205,298 5,298 6,895 130 %1.88 %
February 1, 2021December 1, 20203,985 3,985 5,136 129 %1.88 %
February 1, 2021December 1, 20202,887 2,887 3,790 131 %1.88 %
February 1, 2021December 1, 20202,332 2,332 3,360 144 %2.03 %
February 1, 2021December 1, 20201,132 1,132 1,607 142 %2.03 %
February 12, 2021November 13, 20202,945 2,945 4,428 150 %2.02 %
March 5, 2021December 7, 202024,946 24,946 33,348 134 %1.78 %
March 5, 2021December 7, 202024,312 24,312 32,571 134 %1.78 %
March 17, 2021December 17, 202010,219 10,219 13,172 129 %1.78 %
March 17, 2021December 17, 20208,381 8,381 10,872 130 %1.78 %
March 17, 2021December 17, 20203,894 3,894 5,193 133 %1.78 %
March 17, 2021December 17, 20201,145 1,145 1,687 147 %1.93 %
March 24, 2021December 24, 20207,016 7,016 10,024 143 %1.94 %
March 24, 2021December 24, 20205,008 5,008 6,637 133 %1.79 %
March 24, 2021December 24, 20202,577 2,577 3,367 131 %1.79 %
April 9, 2021October 13, 202033,084 33,084 43,069 130 %2.35 %
July 9, 2021July 10, 2020250,000 53,256 84,337 158 %2.64 %
September 23, 2021September 24, 2020400,000 101,117 160,068 158 %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, 2021December 31, 2020
Gross amount of recognized liabilities $394,386 $421,132 
Gross amount of loans and securities pledged as collateral527,425 595,599 
Other prepaid collateral5,860 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 DateInterest Rate Step-up DateSecurityOriginal PrincipalInterest Rate
Rated
Ajax Mortgage Loan Trust 2019-D/ July 2019July 25, 2027Class A-1 notes due 2065$140.4 million2.96 %
July 25, 2027Class A-2 notes due 2065$6.1 million3.50 %
July 25, 2027Class A-3 notes due 2065$10.1 million3.50 %
July 25, 2027
Class M-1 notes due 2065(1)
$9.3 million3.50 %
None
Class B-1 notes due 2065(2)
$7.5 million3.50 %
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 2019November 25, 2026Class A-1 notes due 2059$110.1 million2.86 %
November 25, 2026Class A-2 notes due 2059$12.5 million3.50 %
November 25, 2026Class A-3 notes due 2059$5.1 million3.50 %
November 25, 2026
Class M-1 notes due 2059(1)
$6.1 million3.50 %
None
Class B-1 notes due 2059(2)
$11.5 million3.50 %
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 2020July 25, 2027Class A-1 notes due 2059$97.2 million1.70 %
July 25, 2027Class A-2 notes due 2059$17.3 million2.86 %
July 25, 2027
Class M-1 notes due 2059(1)
$7.3 million3.70 %
None
Class B-1 notes due 2059(2)
$5.9 million3.70 %
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 2021January 25, 2029Class A-1 notes due 2065$146.2 million1.07 %
January 25, 2029Class A-2 notes due 2065$21.1 million2.35 %
January 25, 2029
Class M-1 notes due 2065(1)
$7.8 million3.15 %
None
Class B-1 notes due 2065(2)
$5.0 million3.80 %
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 2021August 25, 2024Class A notes due 2066$215.9 million2.24 %
February 25, 2025
Class B notes due 2066(2)
$20.2 million4.00 %
Deferred issuance costs$(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, 2021Balances at December 31, 2020Original balances at
securitization cutoff date
Class of NotesCarrying value of mortgagesBond principal balancePercentage of collateral coverageCarrying value of mortgagesBond principal balancePercentage of collateral coverageMortgage UPBBond 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-D133,598 109,891 122 %148,641 125,008 119 %193,301 156,670 
2019-F127,059 94,250 135 %139,996 108,184 129 %170,876 127,673 
2020-B127,515 97,540 131 %136,360 105,601 129 %156,468 114,534 
2021-A178,494 160,924 111 %— — — %206,528 175,116 
2021-B254,917 200,801 127 %— — — %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.