In this quarterly report on Form 10-Q ("report"), unless the context indicates
otherwise, references to "Great Ajax," "we," "the company," "our" and "us" refer
to the activities of and the assets and liabilities of the business and
operations of Great Ajax Corp.; "operating partnership" refers to Great Ajax
Operating Partnership L.P., a Delaware limited partnership; "our Manager" refers
to Thetis Asset Management LLC, a Delaware limited liability company; "Aspen
Capital" refers to the Aspen Capital group of companies; "Aspen" and "Aspen Yo"
refers to Aspen Yo LLC, an Oregon limited liability company that is part of
Aspen Capital; and "the Servicer" and "Gregory" refer to Gregory Funding LLC, an
Oregon limited liability company and our affiliate, and an indirect subsidiary
of Aspen Yo.

Our Management's Discussion and Analysis of Financial Condition and Results of
Operations should be read in conjunction with the unaudited interim consolidated
financial statements and related notes included in Item 1. Consolidated interim
financial statements of this report and in Item 8. Financial statements and
supplementary data in our most recent Annual Report on Form 10-K, as well as the
section entitled "Risk Factors" in Part II, Item 1A. of this report, as well as
other cautionary statements and risks described elsewhere in this report and our
most recent Annual Report on Form 10-K.

Overview

Great Ajax Corp. is a Maryland corporation that is organized and operated in a
manner intended to allow us to qualify as a REIT. We primarily target
acquisitions of (i) RPLs, which are residential mortgage loans on which at least
five of the seven most recent payments have been made, or the most recent
payment has been made and accepted pursuant to an agreement, or the full dollar
amount, to cover at least five payments has been paid in the last seven months
and (ii) NPLs, which are residential mortgage loans on which the most recent
three payments have not been made. We may acquire RPLs and NPLs either directly
or in joint ventures with institutional accredited investors. The joint ventures
are structured as securitization trusts, of which we acquire debt securities and
beneficial interests. We may also acquire or originate SBC loans. The SBC loans
that we target through acquisitions generally have a principal balance of up to
$5.0 million and are secured by multi-family residential and commercial mixed
use retail/residential properties on which at least five of the seven most
recent payments have been made, or the most recent payment has been made and
accepted pursuant to an agreement, or the full dollar amount to cover at least
five payments has been paid in the last seven months. Additionally, we invest in
single-family and smaller commercial properties directly either through a
foreclosure event of a loan in our mortgage portfolio, or, less frequently,
through a direct acquisition. We own a 19.8% equity interest in our Manager and
an 8.0% equity interest in the parent company of our Servicer through GA-TRS, a
wholly owned subsidiary of the Operating Partnership. We have elected to treat
GA-TRS as a taxable REIT subsidiary under the Code. Our mortgage loans and real
properties are serviced by the Servicer, also an affiliated company.

In 2014, we formed Great Ajax Funding LLC, a wholly owned subsidiary of the
Operating Partnership, to act as the depositor of mortgage loans into
securitization trusts and to hold the subordinated securities issued by such
trusts and any additional trusts we may form for additional secured borrowings.
AJX Mortgage Trust I and AJX Mortgage Trust II are wholly owned subsidiaries of
the Operating Partnership formed to hold mortgage loans used as collateral for
financings under our repurchase agreements. On February 1, 2015, we formed GAJX
Real Estate Corp., as a wholly owned subsidiary of the Operating Partnership, to
own, maintain, improve and sell certain REOs purchased by us. We have elected to
treat GAJX Real Estate Corp. as a TRS under the Code.

Our Operating Partnership, through interests in certain entities as of
September 30, 2022, owns 99.9% of Great Ajax II REIT Inc. which owns Great Ajax
II Depositor LLC which then acts as the depositor of mortgage loans into
securitization trusts and holds subordinated securities issued by such trusts.
Similarly, as of September 30, 2022, the Operating Partnership wholly owned
Great Ajax III Depositor LLC, which was formed to act as the depositor into Ajax
Mortgage Loan Trust 2021-E ("2021-E"), which is a real estate mortgage
investment conduit ("REMIC"). We have securitized mortgage loans through these
securitization trusts and retained subordinated securities from the secured
borrowings. These trusts are considered to be variable interest entities
("VIEs"), and we have determined that we are the primary beneficiary of the
VIEs.

In 2018, we formed Gaea Real Estate Corp. ("Gaea"), as a wholly-owned subsidiary
of the Operating Partnership that invests in multifamily properties with a focus
on property appreciation and triple net lease veterinary clinics. We elected to
treat Gaea as a TRS under the Code for 2018 and elected to treat Gaea as a REIT
under the Code in 2019 and thereafter. Also during 2018, we formed Gaea Real
Estate Operating Partnership LP, a wholly-owned subsidiary of Gaea, to hold
investments in commercial real estate assets, and Gaea Real Estate Operating
LLC, to act as its general partner. We also formed Gaea Veterinary Holdings LLC,
BFLD Holdings LLC, Gaea Commercial Properties LLC, Gaea Commercial Finance LLC
and Gaea RE Holdings LLC as subsidiaries of Gaea Real Estate Operating
Partnership. In 2019, we formed DG Brooklyn Holdings LLC, also a subsidiary of
Gaea Real Estate Operating Partnership LP, to hold investments in multi-family
properties.
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On November 22, 2019, Gaea completed a private capital raise transaction through
which it raised $66.3 million from the issuance of its common stock to third
parties to allow Gaea to continue to advance its investment strategy.
Additionally, in January 2022, Gaea completed a second private capital raise in
which it raised approximately $30.0 million from the issuance of its common
stock and warrants. At September 30, 2022 we owned approximately 22.1% of Gaea.
We account for our investment in Gaea under the equity method.

We elected to be taxed as a REIT for U.S. federal income tax purposes beginning
with our taxable year ended December 31, 2014. Our qualification as a REIT
depends upon our ability to meet, on a continuing basis, various complex
requirements under the Code relating to, among other things, the sources of our
gross income, the composition and values of our assets, our distribution levels
and the diversity of ownership of our capital stock. We believe that we are
organized in conformity with the requirements for qualification as a REIT under
the Code, and that our current intended manner of operation enables us to meet
the requirements for taxation as a REIT for U.S. federal income tax purposes.

Our Portfolio

The following table outlines the carrying value of our portfolio of mortgage loan assets and single-family and smaller commercial properties as of September 30, 2022 and December 31, 2021 ($ in millions):



                                              September 30, 2022      December 31, 2021
Residential RPLs                             $            887.4      $            971.1
Residential NPLs                                          107.3                   119.5
SBC loans                                                  11.7                    19.3
Real estate owned properties, net                           6.1

6.1


Investments in securities at fair value                   257.8

355.2


Investment in beneficial interests                        127.7

139.6


Total mortgage related assets                $          1,398.0      $

1,610.8

We closely monitor the status of our mortgage loans and, through our Servicer, work with our borrowers to improve their payment records.

Market Trends and Outlook



In September and November, 2022 the U.S. Federal Reserve (the "Fed") raised its
benchmark federal-funds rate by three quarters of a percentage point. This
follows rate increases in March, May, June and July for a year to date increase
of 3.75 points. The Fed indicated it would likely continue raising the
federal-funds rate as long as inflation remained above its 2.00% target and
would continue reducing its holdings of Treasury securities and agency debt and
agency mortgage-backed securities. According to Freddie Mac, the 30-year fixed
rate mortgage rate increased to an average of 6.92% for the week of October 13,
2022.(1)

Ongoing disruption in the credit markets could result in margin calls from our
financing counterparties and additional mark downs on our Investments in debt
securities, beneficial interests and mortgage loans.

Through the end of the third quarter, the recent trends noted below have continued, including:



•rising interest rates have increased our borrowing costs;
•increasing mortgage interest rates and higher home prices, are slowing home
purchases and refinancing activity resulting in lower prepayments of our loan
and securities portfolios;
•rising home prices are triggering significant prepayments by borrowers selling
their homes to downsize or relocate to lower cost markets;
•borrowers that purchased or refinanced in 2020 and 2021 have record low
interest rates and will be unlikely to trade up in the current interest rate
environment;
•the flight to the suburbs during the COVID pandemic has increased the demand
for single-family and multi-family residential rental properties; and
•the Dodd-Frank risk retention rules for asset backed securities have reduced
the universe of participants in the securitization markets.
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The combination of these factors has also resulted in a significant number of
families that cannot qualify to obtain new residential mortgage loans. We
believe the U.S. federal regulations addressing "qualified mortgages" based on,
among other factors such as employment status, debt-to-income level, impaired
credit history or lack of savings, limit mortgage loan availability from
traditional mortgage lenders. In addition, we believe that many homeowners
displaced by foreclosure or who either cannot afford to own or cannot be
approved for a mortgage will prefer to live in single-family rental properties
with similar characteristics and amenities to owned homes as well as smaller
multi-family residential properties. In certain demographic areas, new
households are being formed at a rate that exceeds the new homes being added to
the market, which we believe favors future demand for non-federally guaranteed
mortgage financing for single-family and smaller multi-family rental properties.
For all these reasons, we believe that demand for single-family and smaller
multi-family rental properties will continue to increase in the near term and
remain at heightened levels for the foreseeable future.

We believe that investments in residential RPLs and NPLs with positive equity
provide an optimal investment value. As a result, we are currently focused on
acquiring pools of RPLs and NPLs, at attractive prices. Through our Servicer, we
work with our borrowers to improve their payment records. Once there is a period
of continued performance, we expect that borrowers will typically refinance
these loans at or near the estimated value of the underlying property.

We also believe there are significant attractive investment opportunities in the
SBC loan and property markets and originate as well as purchase these loans,
particularly in urban areas where there is a sustainable trend of young adults
desiring to live near where they work. We focus on densely populated urban areas
where we expect positive economic change based on certain demographic, economic
and social statistical data. The primary lenders for smaller multi-family and
mixed retail/residential properties are community banks and not regional and
national banks and large institutional lenders. We believe the primary lenders
and loan purchasers are less interested in these assets because they typically
require significant commercial and residential mortgage credit and underwriting
expertise, special servicing capability and active property management. It is
also more difficult to create the large pools of these loans that primary banks,
lenders and portfolio acquirers typically desire. We continually monitor
opportunities to increase our holdings of these SBC loans and properties.

We also believe that banks and other mortgage lenders have strengthened their
capital bases and are more aggressively foreclosing on delinquent borrowers or
selling these loans to dispose of their inventory. Additionally, many NPL buyers
are now interested in reducing their investment duration and are selling RPLs.

(1)Freddie Mac Primary Mortgage Market Survey, U.S. weekly averages as of October 13, 2022.

Factors That May Affect Our Operating Results



Acquisitions. Our operating results depend heavily on sourcing residential RPLs
and SBC loans and, when attractive opportunities are identified, NPLs. We
believe that there is generally a large supply of RPLs available to us for
acquisition and we believe the available supply provides for a steady
acquisition pipeline of assets since large institutions are active sellers in
the market. However, we expect that our residential mortgage loan portfolio may
grow at an uneven pace, as opportunities to acquire distressed residential
mortgage loans may be irregularly timed and may involve large portfolios of
loans, and the timing and extent of our success in acquiring such loans cannot
be predicted. In addition, for any given portfolio of loans that we agree to
acquire, we typically acquire fewer loans than originally expected, as certain
loans may be resolved prior to the closing date or may fail to meet our
diligence standards. The number of loans not acquired typically constitutes a
small portion of a particular portfolio. In any case where we do not acquire the
full portfolio, we make appropriate adjustments to the applicable purchase
price.

Financing. Our ability to grow our business by acquiring residential RPLs and
SBC loans depends on the availability of adequate financing, including
additional equity financing, debt financing or both in order to meet our
objectives. We intend to leverage our investments with debt, the level of which
may vary based upon the particular characteristics of our portfolio and on
market conditions. We have funded and intend to continue to fund our asset
acquisitions with non-recourse secured borrowings in which the underlying
collateral is not marked to market and employ repurchase agreements without the
obligation to mark to market the underlying collateral to the extent available.
We securitize our whole loan portfolios, primarily as a financing tool, when
economically efficient to create long-term, fixed rate, non-recourse financing
with moderate leverage, while retaining one or more tranches of the subordinate
MBS so created. The secured borrowings are structured as debt financings and not
REMIC sales. We completed the securitization transactions pursuant to Rule 144A
under the Securities Act of 1933, as amended (the "Securities Act"), in which we
issued notes primarily secured by seasoned, performing and non-performing
mortgage loans primarily secured by first liens on one-to-four family
residential properties. Currently there is substantial uncertainty in the
securitization markets which could limit our access to financing.
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To qualify as a REIT under the Code, we generally will need to distribute at
least 90% of our taxable income each year (subject to certain adjustments) to
our stockholders. This distribution requirement limits our ability to retain
earnings and thereby replenish or increase capital to support our activities.

Resolution Methodologies. We, through the Servicer, or our affiliates, employ
various loan resolution methodologies with respect to our residential mortgage
loans, including loan modification, collateral resolution and collateral
disposition. The manner in which an NPL is resolved will affect the amount and
timing of revenue we will receive. Our preferred resolution methodology is
typically to cause the RPLs to continue to perform and NPLs to perform through
loan modification. Following a period of continued performance, we expect that
borrowers will typically refinance these loans at or near the estimated value of
the underlying property. We believe modification followed by refinancing
generates near-term cash flows, provides the highest possible economic outcome
for us and is a socially responsible business strategy because it keeps more
families in their homes. In certain circumstances, we may also consider selling
these modified loans. Through historical experience, we expect that many of our
NPLs will enter into foreclosure or similar proceedings, ultimately becoming REO
that we can sell. We expect the timelines for these different processes to vary
significantly. The exact nature of resolution will depend on a number of factors
that are beyond our control, including borrower willingness, property value,
availability of refinancing, interest rates, conditions in the financial
markets, regulatory environment and other factors. To avoid the 100% prohibited
transaction tax on the sale of dealer property by a REIT, we may dispose of
assets that may be treated as held "primarily for sale to customers in the
ordinary course of a trade or business" by contributing or selling the asset to
a TRS prior to marketing the asset for sale. The state of the real estate market
and home prices will determine proceeds from any sale of real estate.

Conversion to Rental Property. From time to time we may retain an REO property
as a rental property. We do not expect to retain a material number of single
family residential properties for use as rentals.

Expenses. Our expenses primarily consist of the fees and expenses payable by us
under the Management Agreement and the Servicing Agreement. Additionally, our
Manager incurs direct, out-of-pocket costs related to managing our business,
which are contractually reimbursable by us. Loan transaction expense is the cost
of performing due diligence on pools of mortgage loans under consideration for
purchase. Professional fees are primarily for legal, accounting and tax
services. Real estate operating expense consists of the ownership and operating
costs of our REO properties, and includes any charges for impairments to the
carrying value of these assets, which may be significant. Those expenses may
increase due to extended eviction timelines caused by the pandemic. Interest
expense, which is subtracted from our Interest income to arrive at Net interest
income, consists of the costs to borrow money.

Changes in Home Prices. As discussed above, generally, rising home prices are
expected to positively affect our results, particularly as this should result in
greater levels of re-performance of mortgage loans, faster refinancing of those
mortgage loans, more re-capture of principal on greater than 100% LTV
(loan-to-value) mortgage loans and increased recovery of the principal of the
mortgage loans upon sale of any REO. Conversely, declining real estate prices
are expected to negatively affect our results, particularly if the home prices
should decline below our purchase price for the loans and especially if
borrowers determine that it is better to strategically default as their equity
in their homes decline. We typically concentrate our investments in specific
urban geographic locations in which we expect stable or better property markets.
However, when we analyze loan and property acquisitions we do not take home
price appreciation ("HPA") into account except for rural properties for which we
model negative HPA related to our expectation of worse than expected property
condition. While we initially expected the COVID-19 outbreak to have a material
downward effect on home prices, we are generally seeing increases in HPA in our
target markets. A significant decline in HPA could have an adverse impact on our
operating results.

Changes in Market Interest Rates. With respect to our business operations,
increases in existing interest rates, in general, may over time cause: (1) the
value of our mortgage loan and MBS portfolio to decline; (2) coupons on our ARM
and hybrid ARM mortgage loans and MBS to reset, although on a delayed basis, to
higher interest rates; (3) prepayments on our mortgage loans and MBS portfolio
to slow, thereby slowing the amortization of our purchase premiums and the
accretion of our purchase discounts; (4) the interest expense associated with
our borrowings to increase; and (5) to the extent we enter into interest rate
swap agreements as part of our hedging strategy, the value of these agreements
to increase. Conversely, decreases in interest rates, in general, may over time
cause: (a) prepayments on our mortgage loan and MBS portfolio to increase,
thereby accelerating the accretion of our purchase discounts; (b) the value of
our mortgage loan and MBS portfolio to increase; (c) coupons on our ARM and
hybrid ARM mortgage loans and MBS to reset, although on a delayed basis, to
lower interest rates; (d) the interest expense associated with our borrowings to
decrease; and (e) to the extent we enter into interest rate swap agreements as
part of our hedging strategy, the value of these agreements to decrease.

Market Conditions. As the Fed continues its current trend toward monetary
tightening, mortgage markets are undergoing a great deal of uncertainty with
regard to both interest rates and origination volume. We believe that in spite
of the
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continuing uncertain market environment for mortgage-related assets current
market conditions offer potentially attractive investment opportunities for us,
even in the face of a riskier and more volatile market environment. We expect
that market conditions will continue to impact our operating results and will
cause us to adjust our investment and financing strategies over time as new
opportunities emerge and risk profiles of our business change.

COVID-19 Pandemic. While lock downs and restrictions from the pandemic have
ended, the effects of the pandemic on inflation and resulting increase in
interest rates have contributed to a substantial dislocation in the credit
markets. A return to any COVID-19 pandemic restriction could also negatively
impact our business if the reactions of federal, state and local governments
caused additional disruption in the capital markets and in housing.

Critical Accounting Policies and Estimates



Various elements of our accounting policies, by their nature, are inherently
subject to estimation techniques, and other subjective assessments. In
particular, we have identified six policies that, due to the judgment and
estimates inherent in those policies, are critical to understanding our
consolidated financial statements. These policies relate to (i) the allowance
for credit losses, (ii) accounting for Interest income on our mortgage loan
portfolio; (iii) accounting for Investments at fair value; (iv) accounting for
investments in Beneficial Interests; (v) accounting for Interest expense on our
secured borrowings, repurchase facilities, 2024 Notes and 2027 Notes; and (vi)
fair values. We believe that the judgment and estimates used in the preparation
of our consolidated financial statements are appropriate given the factual
circumstances at the time. However, given the sensitivity of our consolidated
financial statements to these critical accounting policies, the use of other
judgments or estimates could result in material differences in our results of
operations or financial condition. For further information, see below for our
additional critical accounting policies on convertible senior notes and notes
payable and our Form 10-K for our calendar year ended December 31, 2021, for our
previous policies that have not changed.

Critical Accounting Policies

Convertible Senior Notes



During 2017 and 2018, we completed the public offer and sale of our convertible
senior notes due 2024 (the "2024 Notes"). At September 30, 2022 and December 31,
2021, the UPB of the debt was $104.5 million and $104.6 million, respectively.
The 2024 Notes bear interest at a rate of 7.25% per annum, payable quarterly in
arrears on January 15, April 15, July 15 and October 15 of each year. The 2024
Notes will mature on April 30, 2024, unless earlier repurchased, converted or
redeemed. During certain periods and subject to certain conditions the 2024
Notes will be convertible by their holders into shares of our common stock at a
current conversion rate of 1.7405 shares of common stock per $25.00 principal
amount of the 2024 Notes, which represents a conversion price of approximately
$14.36 per share of common stock. The conversion rate, and thus the conversion
price, are subject to adjustment under certain circumstances.

Coupon interest on the 2024 Notes is recognized using the accrual method of
accounting. Discount and deferred issuance costs are carried on our consolidated
balance sheets as a reduction of the carrying value of the 2024 Notes, and are
amortized to interest expense on an effective yield basis through April 30,
2023, the date at which the 2024 Notes can be converted. We assume the debt will
be converted at the specified conversion date for purposes of amortizing
issuance costs because we believe such conversion will be in the economic
interest of the holders. No sinking fund has been established for redemption of
the principal.

During the three months ended March 31, 2022, we adopted ASU 2020-06, Debt -
Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and
Hedging - Contracts in an Entity's Own Equity (Subtopic 815-40) by recording a
reduction in our additional paid-in capital account of $0.7 million and a
corresponding increase in the carrying value of our Convertible senior notes of
$0.7 million, representing the carrying value of the conversion feature
associated with the 2024 Notes.

Notes Payable



During August 2022, our Operating Partnership issued $110.0 million aggregate
principal amount of 8.875% senior unsecured notes due September 2027 (the "2027
Notes"). The 2027 Notes have a five-year term and were issued at 99.009% of par
value and are fully and unconditionally guaranteed by us and two of our
subsidiaries: Great Ajax Operating LLC (the "GP Guarantor") and Great Ajax II
Operating Partnership L.P. (the "Subsidiary Guarantor," and together with us and
the GP Guarantor, "Guarantors"). Interest on the 2027 Notes is payable
semi-annually on March 1 and September 1, with the first payment due and payable
on March 1, 2023. The 2027 Notes will mature on September 1, 2027. Net proceeds
from the sale of the 2027 Notes totaled approximately $106.1 million, after
deducting the discount, commissions, and offering expenses which
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will be amortized over the term of the unsecured 2027 Notes using the effective interest method.

Recent Accounting Pronouncements

Refer to the notes to our interim financial statements for a description of relevant recent accounting pronouncements.

Results of Operations

Quarter Overview

Key items for the three months ended September 30, 2022 include:



•Interest income of $20.0 million; net interest income of $8.7 million
•Net loss attributable to common stockholders of $(16.2) million
•Earnings per share ("EPS") per basic common share of $(0.71)
•Operating income of $3.1 million
•Operating income per basic common share of $0.14
•Taxable income of $0.26 per share attributable to common stockholders after
payment of dividends on our preferred stock
•Book value per common share of $13.75 at September 30, 2022
•Repurchased and retired $66.0 million face amount of our preferred stock and
associated warrants
•Issued $110.0 million aggregate principal amount of 8.875% senior unsecured
notes due 2027
•Collected total cash of $57.8 million, from loan payments, sales of REO and
collections from investments in debt securities and beneficial interests
•Held $72.9 million of cash and cash equivalents at September 30, 2022; average
daily cash balance for the quarter was $62.3 million
•As of September 30, 2022, approximately 79.6% of portfolio based on acquisition
UPB made at least 12 out of the last 12 payments

We generated a consolidated net loss attributable to common stockholders under
U.S. Generally Accepted Accounting Principles ("U.S. GAAP" or "GAAP") for the
three months ended September 30, 2022 of $(16.2) million or $(0.71) per common
share after preferred dividends, and Operating income, of $3.1 million or $0.14
per common share. Operating income is a non-GAAP financial measure which adjusts
GAAP earnings by removing unrealized gains and losses as well as certain other
non-core income and expenses and preferred dividends. We consider Operating
income a useful measure for comparing the results of our ongoing operations over
multiple quarters. Comparatively, our GAAP consolidated net income attributable
to common stockholders for the three months ended September 30, 2021 was $9.3
million, or $0.40 per common share, and Operating income was $9.4 million, or
$0.41 per common share.

During the three months ended September 30, 2022, we repurchased and retired
1,113,932 shares of our series A preferred stock, 1,525,529 shares of our series
B preferred stock and 3,299,328 warrants for our common stock in a series of
repurchase transactions. The series A and series B preferred stock was
repurchased for an aggregate of $64.2 million at an average price of $24.32 per
share, representing a discount of approximately 2.7% to the face value of $25.00
per share. The warrants were repurchased for an aggregate of $25.8 million which
is equal to the expected future put value obligation of $20.00 per warrant. The
repurchase of the preferred stock caused the recognition of $5.7 million of GAAP
preferred stock discount, and the repurchase of the warrants accelerated future
GAAP accretion expense on the warrant's put option of $8.8 million. The
repurchase of the preferred stock is expected to save us approximately $3.9
million annually in preferred dividends while the repurchase of the warrants
will reduce future put option accretion expense by $8.0 million annually.

At September 30, 2022, our book value decreased to $13.75 per common share from
$15.92 at December 31, 2021, driven by the effect of mark to market adjustments
of $23.4 million on our investments in debt securities, dividends on our common
stock of $18.2 million and the year-to-date net loss attributable to common
stockholders of $21.8 million, partially offset by the repurchase of 475,355
shares of our common stock during the second quarter at an average price of
$9.77 per share and the removal of our convertible senior notes from the
calculation due to their antidilutive effect on our earnings per share.

During the three months ended March 31, 2022, we invested an additional $6.1
million in Gaea to increase our total investment to $25.5 million, or 22.2% of
total shares outstanding. In addition to common stock, we received 371,103
warrants to purchase additional shares at $16.41 per share for a two year period
following the date that the common stock commences trading on a trading market.
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Table 1: Results of Operations



                                             Three months ended September 30,        Nine months ended September 30,
($ in thousands)                                 2022                2021               2022                2021
INCOME
Interest income                              $   20,021          $  23,054          $   64,133          $   70,137
Interest expense                                (11,369)            (8,609)            (29,150)            (27,743)
Net interest income                               8,652             14,445              34,983              42,394
Net decrease in the net present value of
expected credit losses(1)                         1,935              3,678               6,874              13,927
Net interest income after the impact of
changes in the net present value of expected
credit losses                                    10,587             18,123              41,857              56,321
(Loss)/income from investments in affiliates       (451)                90                (869)                610
Other income/(loss)                                 386                778              (6,727)              1,620
Total revenue, net                               10,522             18,991              34,261              58,551
EXPENSE
Related party expense - loan servicing fees       1,952              1,743               6,049               5,275
Related party expense - management fee            1,948              2,292               6,604               6,835
Professional fees                                   667                526               1,431               1,929
Real estate operating expenses                      (16)               (76)                136                 197
Fair value adjustment on put option
liability                                         2,917              2,493               9,712               6,638
Other expense                                     1,377              1,227               4,299               3,906
Total expense                                     8,845              8,205              28,231              24,780
Acceleration of put option settlement             8,813                  -              12,344                   -
Loss on debt extinguishment                           -                  -                   -               1,072
(Loss)/income before provision for income
taxes                                            (7,136)            10,786              (6,314)             32,699
Provision for income taxes                        2,367                102               2,339                 203
Consolidated net (loss)/income                   (9,503)            10,684              (8,653)             32,496
Less: consolidated net (loss)/income
attributable to the non-controlling interest        (42)              (578)                 70                 (47)
Consolidated net (loss)/income attributable
to Company                                       (9,461)            11,262              (8,723)             32,543
Less: dividends on preferred stock                1,053              1,949               4,927               5,848
Less: discount on retirement of preferred
stock                                             5,735                  -               8,194                   -
Consolidated net (loss)/income attributable
to common stockholders                       $  (16,249)         $   9,313          $  (21,844)         $   26,695
Basic (loss)/earnings per common share       $    (0.71)         $    0.40          $    (0.95)         $     1.16
Diluted (loss)/earnings per common share     $    (0.71)         $    0.38          $    (0.95)         $     1.10




(1)Net decrease in the net present value of expected credit losses represents
the net decrease to the allowance resulting from changes in actual and expected
cash flows during both the three and nine months ended September 30, 2022 and
2021. It represents the net increase of the present value of the expected cash
flows in excess of contractual cash flows offset by any incremental provision
expense on the Mortgage loan pools and Beneficial interests. The decrease is
calculated at the pool level for Mortgage loans and at the security level for
Beneficial interests. To the extent a pool or Beneficial interest has an
associated allowance, the decrease in expected credit losses is recorded in the
period in which the change occurs, otherwise it is recognized prospectively as
an increase in yield.

                                       62

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