Second Quarter Highlights

• Interest income of $23.0 million; net interest income of $14.2 million
• Net income attributable to common stockholders of $10.4 million
• Basic earnings per common share (“EPS”) of $0.45
• Book value per common share of $15.86 at June 30, 2021
• Taxable income of $0.34 per common share
• Formed four joint ventures that acquired $1.4 billion in unpaid principal balance ("UPB") of mortgage loans with collateral values of $2.4 billion and retained $232.9 million of varying classes of related securities issued by the joint ventures to end the quarter with $558.1 million of investments in debt securities and beneficial interests
• Purchased $4.8 million re-performing mortgage loans ("RPLs"), with UPB of $5.2 million at 60.7% of property value to end the quarter with $955.6 million in net mortgage loans
• Collected total cash of $78.9 million from loan payments, sales of real estate owned ("REO") and collections from investments in debt securities and beneficial interests
• Held $88.1 million of cash and cash equivalents at June 30, 2021; average daily cash balance for the quarter was $113.0 million
• At June 30, 2021, approximately 74.2% of portfolio based on UPB made at least 12 out of the last 12 payments

Great Ajax Corp. (NYSE: AJX), a Maryland corporation that is a real estate investment trust, today announces its results of operations for the quarter ended June 30, 2021. We focus primarily on acquiring, investing in and managing a portfolio of RPLs secured by single-family residences and commercial properties and, to a lesser extent, NPLs. In addition to our continued focus on residential RPLs, we also originate and acquire small balance commercial loans ("SBCs") secured by multi-family retail/residential and mixed use properties.

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Our consolidated net income attributable to our common stockholders was $10.4 million for the quarter ended June 30, 2021, compared to $7.0 million for the March 31, 2021 quarter. The increase in net income for the second quarter of 2021 compared to the first quarter of 2021 is primarily attributable to a decrease in interest expense as we continue to refinance borrowings at lower rates offset by lower interest income on loans as we invested primarily in joint venture debt securities during the quarter which are recorded net of servicing fee.

Our net interest income for the quarter ended June 30, 2021 was $14.2 million, an increase of $0.5 million over the prior quarter on lower interest expense on our secured borrowings and repurchase facilities. We also recorded $4.7 million in earnings from the increase in the net present value of our cash flows on our mortgage loans and beneficial interests. Under the current expected credit losses accounting standard, (“CECL”), increases and decreases in the net present value of expected cash flows are recorded in earnings in the period such changes occur. This compares to the first quarter of 2021 where we recorded $5.5 million in earnings from the increase in the net present value of our cash flows on our mortgage loans and beneficial interests. We continue to experience significant prepayment of our loan and securities portfolios.

Our interest expense for the quarter ended June 30, 2021 decreased $1.5 million compared to the prior quarter due to a 25 basis point decrease in our overall cost of funds as we have continued to refinance our secured borrowings at lower rates and have experienced similar declines on our bond repurchase lines of credit. Included in interest expense for the quarter is approximately $0.1 million of duplicate interest expense related to the refinancing of 2017-D from the call date of April 7, 2021 to the senior bond payoff date of April 25, 2021.

We ended the quarter with a book value of $15.86 per common share, compared to a book value per common share of $16.18 for the quarter ended March 31, 2021. The decrease in book value is due to the dilutive impact of our convertible debt at June 30, 2021. Our convertible senior notes become dilutive at EPS levels above approximately $0.30 per share from the effect of the add back of interest expense. Our basic EPS for the quarter ended March 31, 2021 was $0.30 per share. As a result, the convertible debt was anti-dilutive. Conversely for the quarter ended June 30, 2021, our basic EPS is $0.45 per share and the convertible debt is dilutive.

During the quarter we purchased $4.8 million of RPLs with UPB of $5.2 million at 60.7% of property value. These loans were acquired and included on our consolidated balance sheet for a weighted average of 40 days of the quarter. We ended the quarter with $955.6 million of mortgage loans with an aggregate UPB of $1.0 billion.

During the quarter ended June 30, 2021 we co-invested with three third party institutional investors to form four joint ventures, and retained an aggregate $232.9 million of varying classes of related securities and beneficial interests, to end the quarter with $558.1 million of combined investments in securities and beneficial interests. We acquired 5.01% of the class A securities and 31.9% of the class B securities and trust certificates of Ajax Mortgage Loan Trust 2021-C ("2021-C") for a net investment of $27.6 million, 20.0% of each class of the securities of Ajax Mortgage Loan Trust 2021-D ("2021-D") for a net investment of $49.2 million, 12.6% of each class of the securities of Ajax Mortgage Loan Trust 2021-F ("2021-F") for a net investment of $75.9 million, and 20.0% of each class of Ajax Mortgage Loan Trust 2021-G ("2021-G") for a net investment of $80.2 million, which was on our consolidated balance sheet for an average of 21 days during the quarter.

We recorded $0.1 million in impairments on our REO held-for-sale portfolio in real estate operating expense for the quarter ended June 30, 2021. We continue to liquidate our REO properties held-for-sale at a faster rate than we acquire properties, with 11 properties sold in the second quarter while five were added to REO held-for-sale through foreclosures. Limited housing inventory has accelerated our REO liquidation timelines while we are continuing to experience some delays in foreclosure proceedings relating to the COVID-19 pandemic.

We collected $78.9 million of cash during the second quarter as a result of loan payments, loan payoffs, sales of REO, payoff of securities and cash collections on our securities portfolio to end the quarter with $88.1 million in cash and cash equivalents. Cash collections of $63.4 million were derived from our mortgage loan and REO portfolios as a result of loan payments, loan payoffs, and sales of REO during the quarter, and $15.5 million were derived from interest and principal payments on investments in debt securities and beneficial interests.

During the quarter ended June 30, 2021, we completed two repurchases of our convertible senior notes for an aggregate principal amount of $5.0 million of our senior convertible notes for a total purchase price of $5.1 million.

2021-C was formed on April 7, 2021 and acquired 1,290 RPLs and NPLs with UPB of $259.6 million and an aggregate property value of $483.1 million. We formed 2021-C by re-securitizing the majority of the remaining mortgage loans in 2017-D, Ajax Mortgage Loan Trust 2018-A ("2018-A") and Ajax Mortgage Loan Trust 2018-B ("2018-B"). We contributed 760 loans from 2017-D with UPB of $133.8 million and property value of $256.8 million. 2018-A contributed 378 loans with UPB of $85.7 million and property value of $163.9 million and 2018-B contributed 152 loans with UPB of $40.1 million and property value of $62.4 million. The senior securities represent 75% of the UPB of the underlying mortgage loans and carry a 2.115% coupon. Based on the structure of the transaction we do not consolidate 2021-C under U.S. GAAP.

2021-D was formed on May 24, 2021 and acquired 853 RPLs and NPLs with UPB of $255.3 million and an aggregate property value of $436.7 million. Ajax Mortgage Loan Trust 2018-F contributed 745 loans with UPB of $179.2 million and property value of $312.8 million. The remainder were acquired from an unaffiliated third party. The senior securities represent 75% of the UPB of the underlying mortgage loans and carry a 2.000% coupon. We retained a 20.0% interest in varying classes of securities. Based on the structure of the transaction we do not consolidate 2021-D under U.S. GAAP.

2021-F was formed on June 17, 2021 and acquired 3,808 RPLs and NPLs with UPB of $618.3 million and an aggregate property value of $1.1 billion. All loans were acquired from an unaffiliated third party. The senior securities represent 77% of the UPB of the underlying mortgage loans and carry a 1.875% coupon. We retained a 12.6% interest in the varying classes of securities. Based on the structure of the transaction we do not consolidate 2021-F under U.S. GAAP.

2021-G was formed on June 24, 2021 and initially acquired 802 RPLs and NPLs with UPB of $229.5 million and an aggregate property value of $372.0 million. Ajax Mortgage Loan Trust 2018-E contributed 450 loans with UPB of $96.3 million and property value of $178.0 million. The remainder were acquired from an unaffiliated third party. The joint venture was prefunded with $174.7 million of a securitized pre-funding account for additional loan purchases of which 1,010 NPLs with UPB of $170.5 million closed in July for a purchase price of $167.0 million. The senior securities represent 77% of the UPB of the underlying mortgage loans and carry a 1.875% coupon. We retained a 20.0% interest in varying classes of securities. Based on the structure of the transaction we do not consolidate 2021-G under U.S. GAAP.

The following table provides an overview of our portfolio at June 30, 2021 ($ in thousands):

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Subsequent Events

Since quarter end, we have acquired 1,016 residential NPLs with aggregate UPB of $173.0 million in two transactions from two different sellers. The purchase price equaled 97.9% of UPB and 54.2% of the estimated market value of the underlying collateral of $312.1 million. Some of these loans were acquired into the joint venture formed in June 2021 with proceeds from the established prefunding account.

We have agreed to acquire, subject to due diligence, 31 residential RPLs in six transactions, and 412 NPLs in six transactions, with aggregate UPB of $4.7 million and $103.3 million, respectively. The purchase price of the residential RPLs equals 80.9% of UPB and 55.1% of the estimated market value of the underlying collateral of $6.9 million. The purchase price of the NPLs equals 97.1% of UPB and 64.4% of the estimated market value of the underlying collateral of $155.8 million.

On July 19, 2021, we co-invested with third-party institutional investors to form Ajax Mortgage Loan Trust 2021-E ("2021-E") and retained $53.1 million of varying classes of related rated securities and equity. We acquired 10.01% of the class A securities, class B securities and class M securities from the trust, which acquired 3,142 RPLs and NPLs with UPB of $517.7 million and an aggregate property value of $968.6 million. The AAA through A rated securities represent 83% of the UPB of the underlying mortgage loans and carry a weighted average coupon of 1.82%. Based on the structure of the transaction we will not consolidate 2021-E under U.S. GAAP. The assets included in the 2021-E securitization came from loan sales associated with our Ajax Mortgage Loan Trust 2020-C ("2020-C") and 2020-D ("2020-D") securitizations, all of which were joint ventures with third party institutional accredited investors.

On August 5, 2021, our Board of Directors declared a cash dividend of $0.21 per share to be paid on August 31, 2021 to stockholders of record as of August 16, 2021.

Conference Call

Great Ajax Corp. will host a conference call at 5:00 p.m. EDT on Thursday, August 5, 2021 to review our financial results for the quarter. A live Webcast of the conference call will be accessible from the Investor Relations section of our website www.greatajax.com. An archive of the Webcast will be available for 90 days.

About Great Ajax Corp.

Great Ajax Corp. is a Maryland corporation that is a real estate investment trust, that focuses primarily on acquiring, investing in and managing RPLs secured by single-family residences and commercial properties and, to a lesser extent, NPLs. We also originate and acquire loans secured by multi-family residential and smaller commercial mixed use retail/residential properties and acquire multi-family retail/residential and mixed use and commercial properties. We are externally managed by Thetis Asset Management LLC. Our mortgage loans and other real estate assets are serviced by Gregory Funding LLC, an affiliated entity. We have elected to be taxed as a real estate investment trust under the Internal Revenue Code.

Forward-Looking Statements

This press release contains certain forward-looking statements. Words such as “believes,” “intends,” “expects,” “projects,” “anticipates,” and “future” or similar expressions are intended to identify forward-looking statements. These forward-looking statements are subject to the inherent uncertainties in predicting future results and conditions, many of which are beyond the control of Great Ajax, including, without limitation, risks relating to the impact of the COVID-19 outbreak and the risk factors and other matters set forth in our Annual Report on Form 10-K for the period ended December 31, 2020 filed with the Securities and Exchange Commission (the “SEC”) on March 5, 2021 and, when filed with the SEC, our Quarterly Report on Form 10-Q for the period ended June 30, 2021. The COVID-19 outbreak has caused significant volatility and disruption in the financial markets both globally and in the United States. If the COVID-19 outbreak continues to spread or the response to contain it is unsuccessful, Great Ajax could experience material adverse effects on its business, financial condition, liquidity and results of operations. Great Ajax undertakes no obligation to publicly update or revise any forward-looking statements, whether as a result of new information, future events or otherwise, except as may be required by law.

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Appendix A - Earnings per share

The following table sets forth the components of basic and diluted EPS ($ in thousands, except per share):

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