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Mortgage Loans | 9 Months Ended
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Sep. 30, 2024
Mortgage Loans [Abstract] |
Mortgage Loans | Mortgage Loans Included on the Company’s consolidated balance sheets as of September 30, 2024 and December 31, 2023, are approximately $403.1 million and $864.6 million, respectively, of mortgage loans held-for-investment. Also included on the Company’s consolidated balance sheets as of September 30, 2024 and December 31, 2023, are approximately $31.3 million and $55.7 million of mortgage loans held-for-sale. The activity in the Company’s mortgage loan portfolio is included in the tables below ($ in thousands):
|  | Three months ended September 30,
|  | 2024 |  | 2023
|  | Mortgage loans held-for-investment, net |  | Mortgage loans held-for-sale, net |  | Mortgage loans held-for-investment, net |  | Mortgage loans held-for-sale, net
Beginning carrying value |  | $ | 413,916 |  |  | $ | 108,868 |  |  | $ | 961,277 |  |  | $ | — |
Mortgage loans acquired |  | — |  |  | — |  |  | 313 |  |  | — |
Accretion recognized |  | 6,288 |  |  | — |  |  | 12,696 |  |  | — |
Payments received on loans, net |  | (16,175) |  |  | (1,500) |  |  | (33,537) |  |  | — |
Mark to market on loans held-for-sale |  | — |  |  | (1,712) |  |  | — |  |  | — |
Reclassifications to REO |  | — |  |  | — |  |  | (1,339) |  |  | — |
Sale of mortgage loans |  | — |  |  | (74,341) |  |  | — |  |  | — |
Net change in the allowance for credit losses |  | — |  |  | — |  |  | (330) |  |  | — |
Other |  | (973) |  |  | — |  |  | — |  |  | — |
Ending carrying value |  | $ | 403,056 |  |  | $ | 31,315 |  |  | $ | 939,080 |  |  | $ | — |
|  | Nine months ended September 30,
|  | 2024 |  | 2023
|  | Mortgage loans held-for-investment, net |  | Mortgage loans held-for-sale, net |  | Mortgage loans held-for-investment, net |  | Mortgage loans held-for-sale, net
Beginning carrying value |  | $ | 864,551 |  |  | $ | 55,718 |  |  | $ | 989,084 |  |  | $ | — |
Mortgage loans acquired |  | — |  |  | — |  |  | 14,401 |  |  | — |
Accretion recognized |  | 26,338 |  |  | — |  |  | 38,906 |  |  | — |
Payments received on loans, net |  | (55,792) |  |  | (7,550) |  |  | (105,120) |  |  | — |
Net reclassifications (to)/from mortgage loans held-for-sale, net |  | (428,029) |  |  | 428,029 |  |  | — |  |  | — |
Mark to market on loans held-for-sale |  | — |  |  | (55,507) |  |  | — |  |  | — |
Reclassifications to REO |  | (1,696) |  |  | (345) |  |  | (1,348) |  |  | — |
Sale of mortgage loans |  | — |  |  | (388,590) |  |  | — |  |  | — |
Net change in the allowance for credit losses |  | (1,112) |  |  | — |  |  | 3,157 |  |  | — |
Other |  | (1,204) |  |  | (440) |  |  | — |  |  | — |
Ending carrying value |  | $ | 403,056 |  |  | $ | 31,315 |  |  | $ | 939,080 |  |  | $ | — |
Effective June 30, 2024, all loans held at the Operating Partnership are designated as held-for-sale and accordingly no longer subject to ASU 2016-13, Financial Instruments - Credit Losses (known as “CECL”). Conversely, all loans held at Great Ajax REIT II continue to be held-for-investment and remain subject to CECL. Beginning with the quarter ended September 30, 2024, and in connection with the change in the Company’s strategy, the Company determined a legal entity approach was appropriate with the remaining loans held-for-investment based on the relatively homogeneous characteristics of the loans in each entity. Accordingly, the Company uses the following five pools: 1.Ajax Mortgage Trust 2019-D (“2019-D”) 2.Ajax Mortgage Trust 2019-F (“2019-F”) 3.Ajax Mortgage Trust 2020-B (“2020-B”) 4.Ajax Mortgage Trust 2021-A (2021-A”) 5.18-1 LLC The following table presents information regarding the year of origination of the Company’s mortgage loan portfolio by basis ($ in thousands). The table for the period ending December 31, 2023 reflects the Company’s previous CECL pools:
| September 30, 2024
Mortgage loans held-for-investment, net | 2024 |  | 2023 |  | 2022 |  | 2021 |  | 2020 |  | 2019 |  | 2009-2018 |  | 2006-2008 |  | 2005 and prior |  | Total
2019-D | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 7,641 |  |  | 65,694 |  |  | 19,480 |  |  | 92,815 |
2019-F | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 11,771 |  |  | 60,263 |  |  | 18,350 |  |  | 90,384 |
2020-B | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 11,099 |  |  | 59,241 |  |  | 25,968 |  |  | 96,308 |
2021-A | — |  |  | — |  |  | — |  |  | — |  |  | 716 |  |  | 167 |  |  | 9,090 |  |  | 83,015 |  |  | 28,101 |  |  | 121,089 |
18-1 LLC | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 648 |  |  | 1,804 |  |  | — |  |  | 8 |  |  | 2,460 |
Total | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 716 |  |  | $ | 815 |  |  | $ | 41,405 |  |  | $ | 268,213 |  |  | $ | 91,907 |  |  | $ | 403,056 |
| December 31, 2023
Mortgage loans held-for-investment, net | 2023 |  | 2022 |  | 2021 |  | 2020 |  | 2019 |  | 2018 |  | 2009-2017 |  | 2006-2008 |  | 2005 and prior |  | Total
GAOP - 7f7 >50 | $ | — |  |  | $ | 2,473 |  |  | $ | 2,597 |  |  | $ | 1,370 |  |  | $ | 6,598 |  |  | $ | 658 |  |  | $ | 30,891 |  |  | $ | 190,106 |  |  | $ | 79,110 |  |  | $ | 313,803 |
GAOP - 7f7 <50 | — |  |  | 546 |  |  | 137 |  |  | — |  |  | 215 |  |  | — |  |  | 2,356 |  |  | 27,368 |  |  | 6,530 |  |  | 37,152 |
GAOP - 6f6 and below | — |  |  | 591 |  |  | 1,415 |  |  | — |  |  | 737 |  |  | 1,134 |  |  | 13,343 |  |  | 55,452 |  |  | 14,642 |  |  | 87,314 |
Great Ajax II REIT - 7f7 >50 | — |  |  | — |  |  | — |  |  | 730 |  |  | 764 |  |  | 795 |  |  | 34,864 |  |  | 243,034 |  |  | 84,634 |  |  | 364,821 |
Great Ajax II REIT - 7f7 <50 | — |  |  | — |  |  | — |  |  | — |  |  | 71 |  |  | 14 |  |  | 2,658 |  |  | 22,360 |  |  | 6,508 |  |  | 31,611 |
Great Ajax II REIT - 6f6 and below | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 5,326 |  |  | 17,772 |  |  | 6,752 |  |  | 29,850 |
Total | $ | — |  |  | $ | 3,610 |  |  | $ | 4,149 |  |  | $ | 2,100 |  |  | $ | 8,385 |  |  | $ | 2,601 |  |  | $ | 89,438 |  |  | $ | 556,092 |  |  | $ | 198,176 |  |  | $ | 864,551 |
The following table presents a reconciliation between the purchase price and par value for the Company’s loan acquisitions for the three and nine months ended September 30, 2024 and 2023 ($ in thousands):
|  | Three months ended September 30, |  | Nine months ended September 30,
|  | 2024 |  | 2023 |  | 2024 |  | 2023
Par |  | $ | — |  |  | $ | 360 |  |  | $ | — |  |  | $ | 17,500 |
Discount |  | — |  |  | (199) |  |  | — |  |  | (2,999) |
Increase in allowance |  | — |  |  | 152 |  |  | — |  |  | (100) |
Purchase Price |  | $ | — |  |  | $ | 313 |  |  | $ | — |  |  | $ | 14,401 |
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. 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. Projected cash flows are determined by factoring prepayment and expected losses based on delinquency status, the value of the underlying collateral, borrower age, weighted average coupon and length of a positive pay history. Under CECL, the Company adjusts its allowance for expected credit losses when there are changes in its expectation of future cash flows as compared to the amounts expected to be contractually received. An increase to the allowance for expected credit losses will occur when there is a reduction in the Company’s expected future cash flows as compared to its contractual amounts due. Reduction to the allowance, or recovery, may occur if there is an increase in expected future cash flows that were previously subject to an allowance for expected credit loss. An analysis of the balance in the allowance for expected credit losses on loans account follows ($ in thousands):
|  | Three months ended September 30, |  | Nine months ended September 30,
|  | 2024 |  | 2023 |  | 2024 |  | 2023
Allowance for expected credit losses, beginning of period |  | $ | — |  |  | $ | (5,985) |  |  | $ | (3,426) |  |  | $ | (6,107) |
Reclassification to/(from) non-credit discount from/(to) the allowance for changes in payment timing expectations |  | — |  |  | (1,207) |  |  | 310 |  |  | (4,206) |
Increase in allowance for expected credit losses for loan acquisitions during the period |  | — |  |  | 152 |  |  | — |  |  | (100) |
Credit loss expense on mortgage loans |  | — |  |  | (76) |  |  | (53) |  |  | (190) |
Net change in the allowance for credit losses |  | — |  |  | (330) |  |  | (1,112) |  |  | 3,157 |
Reversal of allowance upon reclass of mortgage loans held-for-sale, net |  | — |  |  | — |  |  | 4,281 |  |  | — |
Allowance for expected credit losses, end of period |  | $ | — |  |  | $ | (7,446) |  |  | $ | — |  |  | $ | (7,446) |
The following table sets forth the carrying value of the Company’s mortgage loans by delinquency status as of September 30, 2024 and December 31, 2023 ($ in thousands). Each column indicates the number of days the borrower is past due on their mortgage payment or whether the Company has initiated foreclosure proceedings. A status of “Current” indicates the borrower is not delinquent. The table for the period ending December 31, 2023, reflects the Company’s previous CECL pools:
|  | September 30, 2024
Mortgage loans held-for-investment, net |  | Current |  | 30 |  | 60 |  | 90 |  | Foreclosure |  | Total
2019-D |  | $ | 83,487 |  |  | $ | 5,215 |  |  | $ | 188 |  |  | $ | 2,884 |  |  | $ | 1,041 |  |  | $ | 92,815 |
2019-F |  | 70,417 |  |  | 8,619 |  |  | 85 |  |  | 8,610 |  |  | 2,653 |  |  | 90,384 |
2020-B |  | 71,086 |  |  | 12,377 |  |  | 683 |  |  | 9,839 |  |  | 2,323 |  |  | 96,308 |
2021-A |  | 101,683 |  |  | 9,289 |  |  | 396 |  |  | 7,838 |  |  | 1,883 |  |  | 121,089 |
18-1 LLC |  | 2,101 |  |  | 42 |  |  | — |  |  | 317 |  |  | — |  |  | 2,460 |
Total |  | $ | 328,774 |  |  | $ | 35,542 |  |  | $ | 1,352 |  |  | $ | 29,488 |  |  | $ | 7,900 |  |  | $ | 403,056 |
|  | September 30, 2024
Mortgage loans held-for-sale, net |  | Current |  | 30 |  | 60 |  | 90 |  | Foreclosure |  | Total
Held-for-sale |  | $ | 13,972 |  |  | $ | 4,635 |  |  | $ | 5 |  |  | $ | 8,914 |  |  | $ | 3,789 |  |  | $ | 31,315 |
Total |  | $ | 13,972 |  |  | $ | 4,635 |  |  | $ | 5 |  |  | $ | 8,914 |  |  | $ | 3,789 |  |  | $ | 31,315 |
|  | December 31, 2023
Mortgage loans held-for-investment, net |  | Current |  | 30 |  | 60 |  | 90 |  | Foreclosure |  | Total
GAOP - 7f7 >50 |  | $ | 199,229 |  |  | $ | 49,868 |  |  | $ | 283 |  |  | $ | 63,498 |  |  | $ | 925 |  |  | $ | 313,803 |
GAOP - 7f7 <50 |  | 20,514 |  |  | 7,516 |  |  | 78 |  |  | 9,044 |  |  | — |  |  | 37,152 |
GAOP - 6f6 and below |  | 8,565 |  |  | 6,906 |  |  | 421 |  |  | 45,058 |  |  | 26,364 |  |  | 87,314 |
Great Ajax II REIT - 7f7 >50 |  | 300,506 |  |  | 36,277 |  |  | 801 |  |  | 26,600 |  |  | 637 |  |  | 364,821 |
Great Ajax II REIT - 7f7 <50 |  | 25,592 |  |  | 3,846 |  |  | 42 |  |  | 2,131 |  |  | — |  |  | 31,611 |
Great Ajax II REIT - 6f6 and below |  | 4,374 |  |  | 2,144 |  |  | — |  |  | 14,788 |  |  | 8,544 |  |  | 29,850 |
Total |  | $ | 558,780 |  |  | $ | 106,557 |  |  | $ | 1,625 |  |  | $ | 161,119 |  |  | $ | 36,470 |  |  | $ | 864,551 |
|  | December 31, 2023
Mortgage loans held-for-sale, net |  | Current |  | 30 |  | 60 |  | 90 |  | Foreclosure |  | Total
Held-for-sale |  | $ | 1,284 |  |  | $ | 592 |  |  | $ | — |  |  | $ | 26,243 |  |  | $ | 27,599 |  |  | $ | 55,718 |
Total |  | $ | 1,284 |  |  | $ | 592 |  |  | $ | — |  |  | $ | 26,243 |  |  | $ | 27,599 |  |  | $ | 55,718 |

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