# EDGAR Filing Document

**Accession Number:** 0001614806
**File Stem:** 0001628280-23-006048
**Filing Date:** 2023-3
**Character Count:** 61147
**Document Hash:** 30b0e7c509a8858d824617593ee77b15
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001628280-23-006048.hdr.sgml**: 20230302

**ACCESSION NUMBER**: 0001628280-23-006048

**CONFORMED SUBMISSION TYPE**: 8-K

**PUBLIC DOCUMENT COUNT**: 35

**CONFORMED PERIOD OF REPORT**: 20230302

**ITEM INFORMATION**: Results of Operations and Financial Condition

**ITEM INFORMATION**: Regulation FD Disclosure

**ITEM INFORMATION**: Financial Statements and Exhibits

**FILED AS OF DATE**: 20230302

**DATE AS OF CHANGE**: 20230302

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Great Ajax Corp.
- **CENTRAL INDEX KEY:** 0001614806
- **STANDARD INDUSTRIAL CLASSIFICATION:** REAL ESTATE INVESTMENT TRUSTS [6798]
- **IRS NUMBER:** 465211780
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** 8-K
- **SEC ACT:** 1934 Act
- **SEC FILE NUMBER:** 001-36844
- **FILM NUMBER:** 23699057

**BUSINESS ADDRESS:**
- **STREET 1:** 13190 SW 68TH PARKWAY
- **STREET 2:** SUITE 110
- **CITY:** TIGARD
- **STATE:** OR
- **ZIP:** 97223
- **BUSINESS PHONE:** 503-505-5670

**MAIL ADDRESS:**
- **STREET 1:** 13190 SW 68TH PARKWAY
- **STREET 2:** SUITE 110
- **CITY:** TIGARD
- **STATE:** OR
- **ZIP:** 97223

?xml version="1.0" ? ajx-20230302

**UNITED STATES**

**SECURITIES AND EXCHANGE COMMISSION**

**WASHINGTON, D.C. 20549**

**FORM 8-K**

**CURRENT REPORT PURSUANT**

**TO SECTION 13 OR 15(d) OF THE**

**SECURITIES EXCHANGE ACT OF 1934**

Date of Report (Date of earliest event reported): March 2, 2023

**GREAT AJAX CORP.**

(Exact name of registrant as specified in charter)

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| | | |
|:---|:---|:---|
| **Maryland** | **001-36844** | **46-5211870** |
| (State or other jurisdiction of incorporation) | (Commission File Number) | (IRS Employer Identification No.) |

---

**13190 SW 68th Parkway**

**Suite 110**

**Tigard, OR 97223**

(Address of principal executive offices)

Registrant's telephone number, including area code:

**503-505-5670**

**Securities registered pursuant to Section 12(b) of the Act:**

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| | | |
|:---|:---|:---|
| **Title of each class** | **Trading Symbols** | **Name of each exchange on which registered** |
| Common stock, par value $0.01 per share | AJX | New York Stock Exchange |
| 7.25% Convertible Senior Notes due 2024 | AJXA | New York Stock Exchange |

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Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions (see General Instruction A.2. below):

☐ Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)

☐ Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)

☐ Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))

☐ Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))

Indicate by check mark whether the registrant is an emerging growth company as defined in Rule 405 of the Securities Act of 1933 (17 CFR §230.405) or Rule 12b-2 of the Securities Exchange Act of 1934 (17 CFR §240.12b-2).

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Emerging growth company ☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ◻

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| | |
|:---|:---|
| **Item 2.02.** | **Results of Operations and Financial Condition** |

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On March 2, 2023, Great Ajax Corp., a Maryland corporation (the "Company"), issued a press release regarding its financial results for the fourth quarter and year ended December 31, 2022 (the "Press Release"). A copy of the Press Release is attached hereto as Exhibit 99.1 and is available on the Company's website.

The information provided in Item 2.02 of this report, including Exhibit 99.1, shall be deemed to be "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, as amended.

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| | |
|:---|:---|
| **Item 7.01.** | **Regulation FD Disclosure** |

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On March 2, 2023, the Company will hold an investor conference call and webcast to discuss financial results for the fourth quarter and year ended December 31, 2022, including the Press Release and other matters relating to the Company.

The Company has also made available on its website presentation materials containing certain additional information relating to the Company and its financial results for the fourth quarter and year ended December 31, 2022 (the "Presentation Materials"). The Presentation Materials are furnished herewith as Exhibit 99.2, and are incorporated by reference in this Item 7.01. All information in Exhibit 99.2 is presented as of the particular date or dates referenced therein, and the Company does not undertake any obligation to, and disclaims any duty to, update any of the information provided.

The information provided in Item 7.01 of this report, including Exhibit 99.2, shall not be deemed "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, as amended, nor shall the information or Exhibit 99.2 be deemed incorporated by reference in any filings under the Securities Act of 1933, as amended.

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| | |
|:---|:---|
| **Item 9.01.** | **Financial Statements and Exhibits** |

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| | |
|:---|:---|
| **Exhibit** | **Description** |
| 99.1 | Press Release dated March 2, 2023 |
| 99.2 | March 2023 Presentation Materials |
| 104 | Cover Page Interactive Data File - the cover page XBRL tags are embedded within the Inline XBRL document |

---

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**EXHIBIT INDEX**

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| | |
|:---|:---|
| **Exhibit** | **Description** |
| 99.1 | <u>[Press Release dated March 2, 2023](exhibit991-123122.htm)</u> |
| 99.2 | <u>[March 2023 Presentation Materials](exhibit992-20230302.htm)</u> |
| 104 | Cover Page Interactive Data File - the cover page XBRL tags are embedded within the Inline XBRL document |

---

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**SIGNATURES**

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

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| | |
|:---|:---|
| **GREAT AJAX CORP.** | **GREAT AJAX CORP.** |
| By: | /s/ Mary Doyle |
| Name: | Mary Doyle |
| Title: | Chief Financial Officer |

---

Dated: March 2, 2023

## Exhibit 99.1

**Exhibit 99.1**![logoa15a.jpg](logoa15a.jpg)

**GREAT AJAX CORP. ANNOUNCES RESULTS FOR THE QUARTER**

**AND YEAR ENDED DECEMBER 31, 2022**

**Fourth Quarter Highlights**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Interest income of $18.4 million; net interest income of $4.0 million

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Net loss attributable to common stockholders of $(6.8) million

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Earnings per share ("EPS") per basic common share of $(0.30)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Operating loss of $(1.3) million

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Operating income per basic common share of $(0.05)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Taxable income of $0.21 per share attributable to common stockholders after payment of dividends on our preferred stock

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Book value per common share of $13.00 at December 31, 2022

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Formed one joint venture that acquired $293.6 million in unpaid principal balance ("UPB") of mortgage loans with collateral values of $653.1 million and retained $44.6 million of varying classes of related securities issued by the joint venture to end the quarter with $391.6 million of investments in debt securities and beneficial interests

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Collected total cash of $44.1 million from loan payments, sales of real estate owned ("REO") properties and collections from investments in debt securities and beneficial interests

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Held $47.8 million of cash and cash equivalents at December 31, 2022; average daily cash balance for the quarter was $47.2 million

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• As of December 31, 2022, approximately 79.6% of our portfolio (based on UPB at the time of acquisition) made at least 12 out of the last 12 payments

New York, NY—March 2, 2023 —Great Ajax Corp. (NYSE: AJX), a Maryland corporation that is a real estate investment trust ("REIT"), announces its results of operations for the quarter and year ended December 31, 2022. We focus primarily on acquiring, investing in and managing a portfolio of re-performing mortgage loans ("RPLs") and non-performing loans ("NPLs") secured by single-family residences and commercial properties. In addition to our continued focus on RPLs and NPLs, we also originate and acquire small-balance commercial loans ("SBC loans") secured by multi-family retail/residential and mixed use properties.

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**Selected Financial Results *(Unaudited)***

*($ in thousands except per share amounts)*

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **For the three months ended** | **For the three months ended** | **For the three months ended** | **For the three months ended** | **For the three months ended** |
| | **December 31, 2022** | **September 30, 2022** | **June 30, 2022** | **March 31, 2022** | **December 31, 2021** |
| Loan interest income<sup>(1)</sup> | $13520 | $14864 | $15402 | $16186 | $16718 |
| Earnings from debt securities and beneficial interests<sup>(2)</sup> | $4562 | $4613 | $5303 | $6866 | $6448 |
| Other interest income | $367 | $544 | $195 | $160 | $80 |
| Interest expense | $(14482) | $(11369) | $(9175) | $(8606) | $(8999) |
| Net interest income | $3967 | $8652 | $11725 | $14606 | $14247 |
| Net decrease in the net present value of expected credit losses<sup>(3)</sup> | $1152 | $1935 | $961 | $3978 | $4296 |
| Other (loss)/income, loss from equity method investments and loss on joint venture refinancing on beneficial interests | $(3744) | $(65) | $(3918) | $(3613) | $854 |
| Total revenue, net<sup>(14)</sup> | $1375 | $10522 | $8768 | $14971 | $19397 |
| Consolidated net (loss)/income<sup>(1)</sup> | $(6283) | $(9503) | $(4781) | $5631 | $9279 |
| Net (loss)/income per basic share | $(0.30) | $(0.71) | $(0.40) | $0.15 | $0.32 |
| Average equity<sup>(15)</sup> | $343112 | $399610 | $466847 | $489303 | $500760 |
| Average total assets<sup>(1)</sup> | $1509738 | $1559584 | $1645915 | $1722610 | $1696144 |
| Average daily cash balance | $47196 | $62334 | $60609 | $73636 | $79294 |
| Average carrying value of RPLs<sup>(1)</sup> | $883254 | $897947 | $909382 | $946164 | $924171 |
| Average carrying value of NPLs<sup>(1)</sup> | $99160 | $100827 | $114775 | $117670 | $116272 |
| Average carrying value of SBC loans | $14275 | $15546 | $16704 | $19923 | $25989 |
| Average carrying value of debt securities and beneficial interests | $427471 | $435849 | $487484 | $491231 | $487110 |
| Average asset backed debt balance<sup>(1)</sup> | $933695 | $987394 | $1046985 | $1099142 | $1089104 |

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____________________________________________________________

(1)Reflects the impact of consolidating the assets, liabilities and non-controlling interests of Ajax Mortgage Loan Trust 2017-D, which is 50% owned by third-party institutional investors.

(2)Interest income on investment in debt securities and beneficial interests issued by our joint ventures is net of servicing fees.

(3)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 the quarter. 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.

(4)Total revenue includes net interest income, income from equity method investments and other income.

(5)Average equity includes the effect of an aggregate of $34.6 million of preferred stock for the three months ended December 31, 2022 and September 30, 2022, $93.0 million for the three months ended June 30, 2022 and $115.1 million for the three months ended March 31, 2022 and December 31, 2021.

For the quarter ended December 31, 2022, we had a GAAP consolidated net loss attributable to common stockholders of $(6.8) million or $(0.30) per common share after preferred dividends. Operating loss, a non-GAAP financial measure which adjusts GAAP earnings by removing gains and losses as well as certain other non-core income and expenses and preferred dividends, was $(1.3) million or $(0.05) per common share. We consider Operating loss/income to provide a useful measure for comparing the results of our ongoing operations over multiple quarters. For a reconciliation of Operating loss/income to consolidated net loss/income available to common stockholders, please refer to Appendix B.

Our net interest income for the quarter ended December 31, 2022 excluding any adjustment for expected credit losses was $4.0 million, a decrease of $4.7 million over the prior quarter. Gross interest income decreased $1.6 million as a result of a lower average balance of our mortgage loan portfolio during the quarter and lower yields on our beneficial interests as more loans are performing better than initially expected, which extends duration, and as higher interest rates are expected to reduce prepayments from refinancing. Our interest expense for the quarter ended December 31, 2022 increased $3.1 million compared to the prior quarter primarily as a result of rate increases on our floating rate repurchase financing facilities and interest expense on our unsecured debt issued in late August 2022. The increased interest expense on our unsecured debt was partially offset by

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lower dividends and accretion on our preferred stock and related warrants due to the partial repurchase during the second and third quarters of 2022.

We generally acquire loans at a discount and record an allowance for expected credit losses at acquisition. We update the allowance quarterly based on actual cash flow results and changing cash flow expectations in accordance with the current expected credit losses accounting standard, otherwise known as CECL. During the quarter ended December 31, 2022, we recorded income of $1.2 million due to the decrease in the net present value of expected future credit losses partially driven by the better than expected performance of our mortgage loan portfolio during the quarter compared to $1.9 million of income recorded for the third quarter.

Other income declined for the quarter ended December 31, 2022, primarily due to a $3.8 million loss on the sale of a portion of a Class A senior bond in one of our joint ventures. A cumulative $2.9 million of this loss was already reflected in our book value calculation through Accumulated other comprehensive income/loss at September 30, 2022. This cumulative loss was reclassified to loss on sale of securities and an additional $0.9 million loss was recognized on the sale date.

We recorded a loss from our investments in affiliates of $0.3 million for the quarter ended December 31, 2022 compared to a loss of $0.5 million for the quarter ended September 30, 2022. The loss is partially due to the flow through impact of mark to market losses on shares of our stock held by our Manager and our Servicer. We account for our investments in our Manager and our Servicer using the equity method of accounting.

Our GAAP expenses decreased on a quarter over quarter basis by $1.4 million primarily due to a $1.5 million decrease in amortization of our put option liability on our remaining outstanding warrants. Additionally the partial repurchase of our preferred stock during the second and third quarters of 2022 contributed to a decrease in our management fee expense by $0.2 million due to the resulting decline in the average balance of our equity.

We recorded $0.3 million in impairment on our REO held-for-sale portfolio in other expense for the quarter ended December 31, 2022. We sold seven properties in the fourth quarter and recorded a gain of $0.1 million in other income. Nine properties were added to REO held-for-sale through foreclosures.

We ended the quarter with a GAAP book value of $13.00 per common share, compared to a book value per common share of $13.75 for the quarter ended September 30, 2022. The decrease in book value is driven primarily by our GAAP loss for the quarter, dividends paid and a mark to market loss on our investments in debt securities recorded through other comprehensive income.

Our taxable income for the quarter ended December 31, 2022 was $0.21 per share of net income available to common stockholders, compared to $0.26 per share of taxable net income available to common stockholders for the quarter ended September 30, 2022. Additionally, we recorded income tax expense of $0.2 million comprised primarily of state and local income taxes.

On October 26, 2022, we co-invested with third-party institutional investors to form 2022-RPL1 and acquired 17.5% of the securities and trust certificates from the trust. 2022-RPL1 acquired 1,948 RPLs with aggregate UPB of $293.6 million. The purchase price including joint venture expenses is 86.7% of UPB and 39.0% of the estimated market value of the underlying collateral of $653.1 million. Based on the structure of the transaction, we will not consolidate 2022-RPL1 in accordance with GAAP.

We collected $44.1 million of cash during the fourth quarter as a result of loan payments, loan payoffs, sales of REO, and cash collections on our securities portfolio to end the quarter with $47.8 million in cash and cash equivalents.

We purchased five RPLs with UPB of $0.9 million at 51.7% of property value and 79.9% of UPB. These loans were acquired and included on our consolidated balance sheet for a weighted average of 42 days of the quarter.

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The following table provides an overview of our portfolio at December 31, 2022 *($ in thousands):* 

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| | | | |
|:---|:---|:---|:---|
| No. of loans | 5331 | Weighted average coupon | 4.38% |
| Total UPB<sup>(1)</sup> | $1027511 | Weighted average LTV<sup>(5)</sup> | 56.4% |
| Interest-bearing balance | $939115 | Weighted average remaining term (months) | 293 |
| Deferred balance<sup>(2)</sup> | $88396 | No. of first liens | 5282 |
| Market value of collateral<sup>(3)</sup> | $2186776 | No. of second liens | 49 |
| Current purchase price/total UPB | 81.7% | No. of REO held-for-sale | 39 |
| Current purchase price/market value of collateral | 42.2% | Market value of REO held-for-sale<sup>(6)</sup> | $7437 |
| RPLs | 88.3% | Carrying value of debt securities and beneficial interests in trusts | $417262 |
| NPLs | 10.6% | Loans with 12 for 12 payments as an approximate percentage of acquisition UPB<sup>(7)</sup> | 79.6% |
| SBC loans<sup>(4)</sup> | 1.1% | Loans with 24 for 24 payments as an approximate percentage of acquisition UPB<sup>(8)</sup> | 69.8% |

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____________________________________________________________

(1)Our loan portfolio consists of fixed rate (61.2% of UPB), ARM (6.8% of UPB) and Hybrid ARM (32.0% of UPB) mortgage loans.

(2)Amounts that have been deferred in connection with a loan modification on which interest does not accrue. These amounts generally become payable at maturity.

(3)As of the reporting date.

(4)SBC loans includes both purchased and originated loans.

(5)UPB as of December 31, 2022 divided by market value of collateral and weighted by the UPB of the loan.

(6)Market value of other REO is the estimated expected gross proceeds from the sale of the REO less estimated costs to sell, including repayment of servicer advances.

(7)Loans that have made at least 12 of the last 12 payments, or for which the full dollar amount to cover at least 12 payments has been made in the last 12 months.

(8)Loans that have made at least 24 of the last 24 payments, or for which the full dollar amount to cover at least 24 payments has been made in the last 24 months.

**Subsequent Events**

Since quarter end, we have acquired three residential RPLs in three transactions with aggregate UPB of $0.8 million. The purchase price of the RPLs were 72.9% of UPB and 62.3% of the estimated market value of the underlying collateral of $1.0 million.

We have agreed to acquire, subject to due diligence, one residential RPL in one transaction with aggregate UPB of $0.4 million. The purchase price of the residential RPL is 81.1% of UPB and 56.5% of the estimated market value of the underlying collateral of $0.6 million.

On January 31, 2023, we acquired an additional equity interest in Great Ajax FS LLC, the parent of our Servicer. Through our subsidiary, GA-TRS LLC, we now have an ownership of 9.59% in the parent of our Servicer.

On February 2, 2023, we sold an unrated Class A senior bond in one of our joint ventures and recognized a loss of $3.0 million. A cumulative $2.2 million of this loss was already reflected in our book value calculation through Accumulated other comprehensive loss/income at December 31, 2022. This cumulative loss was reclassified to loss on sale of securities and an additional $0.8 million loss was recognized on the sale date.

On February 23, 2023, with an accredited institutional investor we refinanced our 2019-E, -G and -H joint ventures into Ajax Mortgage Loan Trust 2023-A ("2023-A") and retained $16.1 million of varying classes of agency rated securities and equity. We retained 5.01% of the AAA rated securities and 20.00% of the AA through B rated securities and trust certificates from the trust. 2023-A acquired 1,085 RPLs and NPLs with UPB of $205.1 million and an aggregate property value of $497.4 million. The AAA through A rated securities represent 79.8% of the UPB of the underlying mortgage loans and carry a weighted average coupon of 3.46%. Based on the structure of the transactions, we do not consolidate 2023-A in accordance with GAAP.

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On February 21, 2023, our Board of Directors approved the First Amendment to the Third Amended and Restated Management Agreement with the Manager, which has an effective date of March 1, 2023 and states that the stockholders' equity used to calculate the base management fee include our unsecured debt securities to the extent the proceeds were used to repurchase our preferred stock.

On March 2, 2023, our Board of Directors declared a cash dividend of $0.25 per share to be paid on March 31, 2023 to stockholders of record as of March 17, 2023.

**Conference Call**

Great Ajax Corp. will host a conference call at 5:00 p.m. EST on Thursday, March 2, 2023 to review our financial results for the quarter. A live Webcast of the conference call will be accessible from the Quarterly Reports 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 REIT, that focuses primarily on acquiring, investing in and managing RPLs and NPLs secured by single-family residences and commercial properties. In addition to our continued focus on RPLs and NPLs, we also originate and acquire SBC loans secured by multi-family retail/residential and mixed use properties. We are externally managed by Thetis Asset Management LLC, an affiliated entity. 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 REIT 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 our control, including, without limitation and the risk factors and other matters set forth in our Annual Report on Form 10-K for the period ended December 31, 2022 when filed with the SEC. The COVID-19 outbreak has caused significant volatility and disruption in the financial markets both globally and in the United States. While lockdowns and restrictions have largely ended in the United States, a spike in COVID-19 cases and return to restrictions could cause material adverse effects on our business, financial condition, prospects, liquidity and results of operations. We undertake 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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| | |
|:---|:---|
| CONTACT: | Lawrence Mendelsohn |
| | Chief Executive Officer |
| | Or |
| | Mary Doyle |
| | Chief Financial Officer |
| | Mary.Doyle@aspencapital.com |
| | 503-444-4224 |

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**GREAT AJAX CORP. AND SUBSIDIARIES**

**CONSOLIDATED STATEMENTS OF INCOME**

**(Dollars in thousands except per share amounts)** 

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| | | | | |
|:---|:---|:---|:---|:---|
| | **Three months ended** | **Three months ended** | **Three months ended** | **Three months ended** |
| | **December 31, 2022** | **September 30, 2022** | **June 30, 2022** | **March 31, 2022** |
| | (unaudited) | (unaudited) | (unaudited) | (unaudited) |
| **<u>INCOME:</u>** |  |  |  |  |
| Interest income | $18449 | $20021 | $20900 | $23212 |
| Interest expense | (14482) | (11369) | (9175) | (8606) |
| &nbsp;&nbsp;&nbsp;&nbsp;Net interest income | 3967 | 8652 | 11725 | 14606 |
| Net decrease in the net present value of expected credit losses<sup>(1)</sup> | 1152 | 1935 | 961 | 3978 |
| Net interest income after the impact of changes in the net present value of expected credit losses | 5119 | 10587 | 12686 | 18584 |
| Loss from equity method investments | (349) | (451) | (355) | (63) |
| Loss on joint venture refinancing on beneficial interests<sup>(2)</sup> |  |  | (2142) | (3973) |
| Other (loss)/income | (3395) | 386 | (1421) | 423 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total revenue, net | 1375 | 10522 | 8768 | 14971 |
| **<u>EXPENSE:</u>** |  |  |  |  |
| Related party expense - loan servicing fees | 1911 | 1952 | 2006 | 2091 |
| Related party expense - management fee | 1722 | 1948 | 2363 | 2293 |
| Professional fees | 621 | 667 | 419 | 345 |
| Fair value adjustment on put option liability | 1431 | 2917 | 3595 | 3200 |
| Other expense<sup>(3)</sup> | 1741 | 1358 | 1376 | 1437 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total expense | 7426 | 8842 | 9759 | 9366 |
| Acceleration of put option settlement |  | 8813 | 3531 |  |
| Loss on debt extinguishment |  |  |  |  |
| (Loss)/income before provision for income taxes | (6051) | (7133) | (4522) | 5605 |
| Provision for income taxes (benefit) | 232 | 2370 | 259 | (26) |
| Consolidated net (loss)/income | (6283) | (9503) | (4781) | 5631 |
| Less: consolidated net income/(loss) attributable to non-controlling interests | 5 | (42) | 16 | 96 |
| Consolidated net (loss)/income attributable to the Company | (6288) | (9461) | (4797) | 5535 |
| Less: dividends on preferred stock | 547 | 1053 | 1925 | 1949 |
| Less: discount on retirement of preferred stock |  | 5735 | 2459 |  |
| Consolidated net (loss)/income attributable to common stockholders | (6835) | $(16249) | $(9181) | $3586 |
| Basic (loss)/earnings per common share | $(0.30) | $(0.71) | $(0.40) | $0.15 |
| Diluted (loss)/earnings per common share | $(0.30) | $(0.71) | $(0.40) | $0.15 |
| Weighted average shares – basic | 22778652 | 22538891 | 22754553 | 22922316 |
| Weighted average shares – diluted | 22778652 | 22833465 | 22754553 | 22922316 |

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____________________________________________________________

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(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 the quarters ended December 31, 2022, September 30, 2022, June 30, 2022 and March 31, 2022. 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.

(2)The quarters ended June 30, 2022 and March 31, 2022 have been restated to conform with the new consolidated statements of income presentation that includes a reclass of Loss on joint venture refinancing on beneficial interests from Other (loss)/income, which are non-cash transactions.

(3)The quarters ended September 30, 2022, June 30, 2022 and March 31, 2022 have been restated to conform with the new consolidated statements of income presentation that includes a reclass of Real estate operating expenses to Other expense.

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**GREAT AJAX CORP. AND SUBSIDIARIES**

**CONSOLIDATED BALANCE SHEETS**

**(Dollars in thousands except per share amounts)**

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| | | |
|:---|:---|:---|
| | **December 31, 2022** | **December 31, 2021** |
| <u>ASSETS</u> |  |  |
| Cash and cash equivalents | $47845 | $84426 |
| Mortgage loans held-for-sale, net |  | 29572 |
| Mortgage loans held-for-investment, net<sup>(12)</sup> | 989084 | 1080434 |
| Real estate owned properties, net<sup>(3)</sup> | 6333 | 6063 |
| Investments in securities at fair value<sup>(4)</sup> | 257062 | 355178 |
| Investments in beneficial interests<sup>(5)</sup> | 134552 | 139588 |
| Receivable from servicer | 7450 | 20899 |
| Investment in affiliates | 30185 | 27020 |
| Prepaid expenses and other assets | 11915 | 16500 |
| &nbsp;&nbsp;Total assets | $1484426 | $1759680 |
| <u>LIABILITIES AND EQUITY</u> |  |  |
| *Liabilities:* |  |  |
| Secured borrowings, net<sup>(126)</sup> | $467205 | $575563 |
| Borrowings under repurchase transactions | 445855 | 546054 |
| Convertible senior notes, net<sup>(6)</sup> | 104256 | 102845 |
| Notes payable, net<sup>(6)</sup> | 106046 |  |
| Management fee payable | 1720 | 2279 |
| Put option liability | 12153 | 23667 |
| Accrued expenses and other liabilities | 9726 | 8799 |
| &nbsp;&nbsp;Total liabilities | 1146961 | 1259207 |
| *Equity:* |  |  |
| Preferred stock $0.01 par value; 25,000,000 shares authorized |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Series A 7.25% Fixed-to-Floating Rate Cumulative Redeemable, $25.00 liquidation preference per share, 424,949 shares issued and outstanding at December 31, 2022 and 2,307,400 shares issued and outstanding at December 31, 2021 | 9411 | 51100 |
| &nbsp;&nbsp;&nbsp;&nbsp;Series B 5.00% Fixed-to-Floating Rate Cumulative Redeemable, $25.00 liquidation preference per share, 1,135,590 shares issued and outstanding at December 31, 2022 and 2,892,600 shares issued and outstanding at December 31, 2021 | 25143 | 64044 |
| Common stock $0.01 par value; 125,000,000 shares authorized, 23,130,956 shares issued and outstanding at December 31, 2022 and 23,146,775 shares issued and outstanding at December 31, 2021 | 241 | 233 |
| Additional paid-in capital | 322439 | 316162 |
| Treasury stock | (9532) | (1691) |
| Retained earnings | 13275 | 66427 |
| &nbsp;&nbsp;Accumulated other comprehensive (loss)/income | (25649) | 1020 |
| &nbsp;&nbsp;Equity attributable to stockholders | 335328 | 497295 |
| Non-controlling interests<sup>(7)</sup> | 2137 | 3178 |
| &nbsp;&nbsp;Total equity | 337465 | 500473 |
| &nbsp;&nbsp;Total liabilities and equity | $1484426 | $1759680 |

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____________________________________________________________

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(1)Mortgage loans held-for-investment, net include $675.8 million and $756.8 million of loans at December 31, 2022 and December 31, 2021, respectively, transferred to securitization trusts that are variable interest entities ("VIEs"); these loans can only be used to settle obligations of the VIEs. Secured borrowings consist of notes issued by VIEs that can only be settled with the assets and cash flows of the VIEs. The creditors do not have recourse to the primary beneficiary (Great Ajax Corp.). Mortgage loans held-for-investment, net include $6.1 million and $7.1 million of allowance for expected credit losses at December 31, 2022 and December 31, 2021, respectively.

(2)As of December 31, 2022 and December 31, 2021, balances for Mortgage loans held-for-investment, net include $0.9 million and $1.4 million, respectively, from a 50.0% owned joint venture, which we consolidate under U.S. GAAP. The creditors do not have recourse to the primary beneficiary (Great Ajax Corp.).

(3)Real estate owned properties, net, are presented net of valuation allowances of $0.7 million and $0.5 million at December 31, 2022 and December 31, 2021, respectively.

(4)As of December 31, 2022, Investments in securities at fair value include an amortized cost basis of $282.7 million and a net unrealized loss of $25.6 million. As of December 31, 2021, Investments in securities at fair value include an amortized costs basis of $354.2 million and net unrealized gains of $1.0 million.

(5)Investments in beneficial interests includes allowance for expected credit losses of zero and $0.6 million at December 31, 2022 and December 31, 2021, respectively.

(6)Secured borrowings, net are presented net of deferred issuance costs of $4.7 million at December 31, 2022 and $7.3 million at December 31, 2021. Convertible senior notes, net are presented net of deferred issuance costs of $0.3 million and $1.7 million at December 31, 2022 and December 31, 2021, respectively. Notes payable, net are presented net of deferred issuance costs and discount of $4.0 million at December 31, 2022 and zero at December 31, 2021.

(7)As of December 31, 2022 non-controlling interests includes $1.0 million from a 50.0% owned joint venture, $1.1 million from a 53.1% owned subsidiary and $0.1 million from a 99.9% owned subsidiary. As of December 31, 2021 non-controlling interests includes $1.8 million from a 50.0% owned joint venture, $1.3 million from a 53.1% owned subsidiary and $0.1 million from a 99.9% owned subsidiary which we consolidate under U.S. GAAP.

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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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| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Three months ended** | **Three months ended** | **Three months ended** | **Three months ended** | **Three months ended** | **Three months ended** | **Three months ended** | **Three months ended** | **Three months ended** | **Three months ended** | **Three months ended** | **Three months ended** |
| | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **September 30, 2022** | **September 30, 2022** | **September 30, 2022** | **June 30, 2022** | **June 30, 2022** | **June 30, 2022** | **March 31, 2022** | **March 31, 2022** | **March 31, 2022** |
| | **Income<br>(Numerator)** | **Shares<br>(Denominator)** | **Per Share<br>Amount** | **Income<br>(Numerator)** | **Shares<br>(Denominator)** | **Per Share<br>Amount** | **Income<br>(Numerator)** | **Shares<br>(Denominator)** | **Per Share<br>Amount** | **Income<br>(Numerator)** | **Shares<br>(Denominator)** | **Per Share<br>Amount** |
| | (unaudited) | (unaudited) | (unaudited) | (unaudited) | (unaudited) | (unaudited) | (unaudited) | (unaudited) | (unaudited) | (unaudited) | (unaudited) | (unaudited) |
| **Basic EPS** |  |  |  |  |  |  |  |  |  |  |  |  |
| Consolidated net (loss)/income attributable to common stockholders | $(6835) | 22778652 |  | $(16249) | 22538891 |  | $(9181) | 22754553 |  | $3586 | 22922316 |  |
| Allocation of loss/(earnings) to participating restricted shares | 97 |  |  | 210 |  |  | 103 |  |  | (43) |  |  |
| Consolidated net (loss)/income attributable to unrestricted common stockholders | $(6738) | 22778652 | $(0.30) | $(16039) | 22538891 | $(0.71) | $(9078) | 22754553 | $(0.40) | $3543 | 22922316 | $0.15 |
| **Effect of dilutive securities**<sup>(1)</sup> |  |  |  |  |  |  |  |  |  |  |  |  |
| Restricted stock grants and manager and director fee shares<sup>(2)</sup> |  |  |  | (210) | 294574 |  |  |  |  |  |  |  |
| Amortization of put option<sup>(3)</sup> |  |  |  |  |  |  |  |  |  |  |  |  |
| **Diluted EPS** |  |  |  |  |  |  |  |  |  |  |  |  |
| Consolidated net (loss)/income attributable to common stockholders and dilutive securities | $(6738) | 22778652 | $(0.30) | $(16249) | 22833465 | $(0.71) | $(9078) | 22754553 | $(0.40) | $3543 | 22922316 | $0.15 |

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____________________________________________________________

(1)Our outstanding warrants and the effect of the interest expense and assumed conversion of shares from convertible notes would have an anti-dilutive effect on diluted earnings per share for all periods shown and have not been included in the calculation.

(2)The effect of restricted stock grants and manager and director fee shares on our diluted EPS calculation for the three months ended December 31, 2022, June 30, 2022 and March 31, 2022 would have been anti-dilutive and have been removed from the calculation.

(3)The effect of the amortization of put options on our diluted EPS calculation for the three months ended December 31, 2022, September 30, 2022, June 30, 2022 and March 31, 2022 would have been anti-dilutive and have been removed from the calculation.

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**Appendix B - Reconciliation of Operating (loss)/income to Consolidated net (loss)/income available to common stockholders**

**(Dollars in thousands except per share amounts)**

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| | | | | |
|:---|:---|:---|:---|:---|
| | **Three months ended** | **Three months ended** | **Three months ended** | **Three months ended** |
| | **December 31, 2022** | **September 30, 2022** | **June 30, 2022** | **March 31, 2022** |
| | (unaudited) | (unaudited) | (unaudited) | (unaudited) |
| **<u>INCOME:</u>** |  |  |  |  |
| Interest income | $18449 | $20021 | $20900 | $23212 |
| Interest expense | (14482) | (11369) | (9175) | (8606) |
| &nbsp;&nbsp;&nbsp;&nbsp;Net interest income | 3967 | 8652 | 11725 | 14606 |
| Other income | 479 | 1259 | 502 | 423 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total revenue, net | 4446 | 9911 | 12227 | 15029 |
| **<u>EXPENSE:</u>** |  |  |  |  |
| Related party expense - loan servicing fees | 1911 | 1952 | 2006 | 2091 |
| Related party expense - management fees | 1722 | 1948 | 2363 | 2293 |
| Professional fees | 621 | 667 | 419 | 345 |
| Other expense | 1443 | 1380 | 1445 | 1268 |
| &nbsp;&nbsp; Total expense | 5697 | 5947 | 6233 | 5997 |
| Consolidated operating (loss)/income | $(1251) | $3964 | $5994 | $9032 |
| Basic operating (loss)/income per common share | $(0.05) | $0.17 | $0.26 | $0.39 |
| Diluted operating (loss)/income per common share | $(0.05) | $0.17 | $0.26 | $0.36 |
| **Reconciliation to GAAP net (loss)/income** |  |  |  |  |
| Consolidated operating (loss)/income | $(1251) | $3964 | $5994 | $9032 |
| Mark to market loss on joint venture refinancing<sup>(1)</sup> |  |  | (2142) | (3973) |
| Realized loss on sale of securities<sup>(2)</sup> | (3836) | (860) | (79) |  |
| Net decrease in the net present value of expected credit losses<sup>(3)</sup> | 1152 | 1935 | 961 | 3978 |
| Fair value adjustment on put option liability | (1431) | (2917) | (3595) | (3200) |
| Acceleration of put option settlement |  | (8813) | (3531) |  |
| Other adjustments | (685) | (442) | (2130) | (232) |
| (Loss)/income before provision for income taxes | (6051) | (7133) | (4522) | 5605 |
| &nbsp;&nbsp;&nbsp;&nbsp;Provision for income taxes (benefit) | 232 | 2370 | 259 | (26) |
| &nbsp;&nbsp;&nbsp;&nbsp;Consolidated net (income)/loss attributable to non-controlling interest | (5) | 42 | (16) | (96) |
| Consolidated net (loss)/income attributable to the Company | (6288) | (9461) | (4797) | 5535 |
| &nbsp;&nbsp;&nbsp;&nbsp;Dividends on preferred stock | (547) | (1053) | (1925) | (1949) |
| &nbsp;&nbsp;&nbsp;&nbsp;Discount on retirement of preferred stock |  | (5735) | (2459) |  |
| Consolidated net (loss)/income attributable to common stockholders | $(6835) | $(16249) | $(9181) | $3586 |
| Basic (loss)/earnings per common share | $(0.30) | $(0.71) | $(0.40) | $0.15 |
| Diluted (loss)/earnings per common share | $(0.30) | $(0.71) | $(0.40) | $0.15 |

---

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____________________________________________________________

(1)The quarter ended June 30, 2022 includes a reclass of mark to market loss on loans to other adjustments.

(2)The quarters ended September 30, 2022 and June 30, 2022 have been restated to conform with the new operating income statement presentation that includes the realized loss on sale of securities.

(3)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 the quarters ended December 31, 2022, September 30, 2022, June 30, 2022 and March 31, 2022. 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.

## Exhibit 99.2

![](exhibit992-20230302001.jpg)

Fourth Quarter and Year-End 2022 Investor Presentation March 2, 2023

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![](exhibit992-20230302002.jpg)

Safe Harbor Disclosure 2  We make forward-looking statements in this presentation that are subject to risks and uncertainties. These forward-looking statements include information about possible or assumed future results of our business, financial condition, liquidity, results of operations, cash flow and plans and objectives. When we use the words "believe," "expect," "anticipate," "estimate," "plan," "continue," "intend," "should," "may" or similar expressions, we intend to identify forward-looking statements.  Statements regarding the following subjects, among others, may be forward-looking: market trends in our industry, interest rates, real estate values, the debt financing markets or the general economy or the demand for and availability of residential and small-balance commercial real estate loans; our business and investment strategy; our projected operating results; actions and initiatives of the U.S. government and changes to U.S. government policies and the execution and impact of these actions, initiatives and policies; the state of the U.S. economy generally or in specific geographic regions; economic trends and economic recoveries; our ability to obtain and maintain financing arrangements; changes in the value of our mortgage portfolio; changes to our portfolio of properties; impact of and changes in governmental regulations, tax law and rates, accounting guidance and similar matters; our ability to satisfy the real estate investment trust qualification requirements for U.S. federal income tax purposes; availability of qualified personnel; estimates relating to our ability to make distributions to our stockholders in the future; general volatility of the capital markets and the market price of our shares of common stock; and the degree and nature of our competition.  The forward-looking statements included in this presentation are based on our current beliefs, assumptions and expectations of our future performance. Forward-looking statements are not predictions of future events. Our beliefs, assumptions and expectations can change as a result of many possible events or factors, not all of which are currently known to us or reasonably expected to occur at this time. If a change in our beliefs, assumptions or expectations occurs, our business, financial condition, liquidity and results of operations may vary materially from the forward-looking statements included in this presentation. Forward-looking statements are subject to risks and uncertainties, including, among other things, those resulting from the pandemic caused by Covid-19 or one its variants and those described under Item 1A of our Annual Report on Form 10-K for the year ended December 31, 2022, which can be accessed through the link to our Securities and Exchange Commission ("SEC") filings on our website (www.greatajax.com) or at the SEC's website (www.sec.gov). Other risks, uncertainties and factors that could cause actual results to differ materially from the forward-looking statements included in this presentation may be described from time to time in reports we file with the SEC. Any forward-looking statement speaks only as of the date on which it is made. New risks and uncertainties arise over time, and it is not possible for us to predict those events or how they may affect us. Except as required by law, we are not obligated to, and do not intend to, update or revise any forward-looking statements, whether as a result of new information, future events or otherwise. Unless stated otherwise, financial information included in this presentation is as of December 31, 2022. Past performance is neither indicative nor a guarantee of future results.

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![](exhibit992-20230302003.jpg)

Business Overview 3  Leverage longstanding relationships to acquire mortgage loans through privately negotiated transactions from a diverse group of customers and in joint venture investments with institutional investors – Acquisitions made in 375 transactions since inception. Three transactions closed in Q4 2022  Use our manager's proprietary analytics to price each mortgage pool on an asset-by-asset basis – We own 19.8% of our manager – Adjust individual loan bid price to accumulate clusters of loans in attractive demographic metropolitan areas  Our affiliated servicer services the loans asset-by-asset and borrower-by-borrower – As of January 31, 2023, we own 9.6% and hold warrants to purchase up to an additional 12% of our affiliated servicer – Analytics and processes of our manager and servicer enable us to broaden our reach through joint ventures with third-party institutional investors  We use modest mark to market leverage to fund our investments in debt securities and primarily non mark to market leverage to fund our mortgage portfolio  As of December 31, 2022, we own a 22.0% equity interest in Gaea Real Estate Corp. ("GAEA"), an equity REIT that invests in multifamily properties with a focus on property appreciation and triple net lease vet clinics

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![](exhibit992-20230302004.jpg)

Highlights – Quarter Ended December 31, 2022 4  Interest income of $18.4 million; net interest income of $4.0 million  Net loss attributable to common stockholders of $(6.8) million  Earnings per share ("EPS") per basic common share of $(0.30)  Operating loss of $(1.3) million  Operating income per basic common share of $(0.05) 1  Taxable income of $0.21 per share attributable to common stockholders after payment of dividends on our preferred stock  Book value per common share of $13.00 at December 31, 2022  Formed one joint venture that acquired $293.6 million in unpaid principal balance ("UPB") of mortgage loans with collateral value of $653.1 million and retained $44.6 million of varying classes of related securities issued by the joint venture to end the quarter with $391.6 million of investments in debt securities and beneficial interests  Collected total cash of $44.1 million from loan payments, sales of real estate owned ("REO") properties and collections from investments in debt securities and beneficial interests  Held $47.8 million of cash and cash equivalents at December 31, 2022; average daily cash balance for the quarter was $47.2 million  As of December 31, 2022, approximately 79.6% of our portfolio (based on UPB at the time of acquisition) made at least 12 out of the last 12 payments 1 Operating income, a non-GAAP financial measure which adjusts GAAP earnings by removing gains and losses as well as certain other non-core income and expenses and preferred dividends. We consider Operating income to provide a useful measure for comparing the results of our ongoing operations over multiple quarters.

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![](exhibit992-20230302005.jpg)

Loan Portfolio Overview – as of December 31, 2022 5 $1,027.5 MM RPL1,3,5: $915.0 MM NPL2,5 : $112.5 MM $2,194.2 MM RPL1,5: $1,972.4 MM NPL2,5: $214.4 MM REO & Rental4: $7.4 MM 1 Re-performing loans ("RPL") 2 Non-performing loans ("NPL") 3 Includes $1.0 million UPB in joint ventures with third party institutional accredited investors that are required to be consolidated for GAAP 4 REO and rental property value is presented at estimated property fair value less expected liquidation costs 5 RPL and NPL statuses remain constant based on initial purchase status 89% 11% Unpaid Principal Balance RPL NPL 89.9% 9.8% 0.3% Property Value RPL NPL REO

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![](exhibit992-20230302006.jpg)

Loan Portfolio Growth 6  RPL UPB includes $15.2 million of SBC loans, which are performing loans  RPL status stays constant based on initial purchase status $1,230 $1,158 $1,036 $915 $1,733 $1,894 $1,983 $1,972 $1,076 $1,019 $916 $823 0 500 1,000 1,500 2,000 2,500 12/31/2019 12/31/2020 12/31/2021 12/31/2022 M ill io ns Re-performing Loans UPB Property Value Price

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![](exhibit992-20230302007.jpg)

Loan Portfolio Growth 7  NPL status stays constant based on initial purchase status $38 $47 $130 $113 $50 $73 $211 $214 $28 $37 $117 $101 0 50 100 150 200 250 12/31/2019 12/31/2020 12/31/2021 12/31/2022 M ill io ns Non-performing Loans UPB Property Value Price

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![](exhibit992-20230302008.jpg)

Portfolio Concentrated in Attractive Markets 8 Clusters of loans in attractive, densely populated markets Stable liquidity and home prices Approximately 78% of the portfolio in our target markets Target States Target Markets Los Angeles San Diego Dallas Portland Phoenix Washington DC Metro Area Atlanta Orlando Tampa Miami, Ft. Lauderdale, W. Palm Beach New York / New Jersey Metro Area REIT, Servicer & Manager Headquarters Property Management Business Management Houston Charlotte

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![](exhibit992-20230302009.jpg)

Portfolio Migration 9  24 for 24: Loans that have made at least 24 of the last 24 payments, or for which the full dollar amount to cover at least 24 payments has been made in the last 24 months  12 for 12: Loans that have made at least 12 of the last 12 payments, or for which the full dollar amount to cover at least 12 payments has been made in the last 12 months  7 for 7: Loans that have made at least 7 of the last 7 payments, or for which the full dollar amount to cover at least 7 payments has been made in the last 7 months  NPL: <1 full payment in the last three months

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![](exhibit992-20230302010.jpg)

Subsequent Events 10 1 While these acquisitions are expected to close, there can be no assurance that these acquisitions will close or that the terms thereof may not change.  Acquisitions Under Contract1  RPL  UPB: $$422.0k  Collateral Value: $$605.6k  Price/UPB: 81.1%  Price/Collateral Value: 56.5%  1 loan in 1 transaction  Acquisitions Closed since 12/31/2022  RPL  UPB: $828.3k  Collateral Value: $968.3k  Price/UPB: 72.9%  Price/Collateral Value: 62.3%  3 loans in 3 transactions  On January 31, 2023, we increased our equity interest in Great Ajax FS LLC, the parent of our Servicer, from 8.0% to 9.6%  On February 2, 2023, we sold an unrated Class A senior bond in one of our joint ventures and recognized a loss of $3.0 million. A cumulative $2.2 million of this loss was already reflected in our book value calculation through Accumulated other comprehensive loss/income at December 31, 2022. This cumulative loss was reclassified to loss on sale of securities and an additional $0.8 million loss was recognized on the sale date  On February 23, 2023, with an accredited institutional investor we refinanced our 2019-E, -G and -H joint ventures into Ajax Mortgage Loan Trust 2023-A ("2023-A") and retained $16.1 million of varying classes of agency rated securities and equity. We retained 5.01% of the AAA rated securities and 20.00% of the AA through B rated securities and trust certificates from the trust. 2023-A acquired 1,085 RPLs and NPLs with UPB of $205.1 million and an aggregate property value of $497.4 million. The AAA through A rated securities represent 79.8% of the UPB of the underlying mortgage loans and carry a weighted average coupon of 3.46%. Based on the structure of the transactions, we do not consolidate 2023-A in accordance with GAAP  On February 21, 2023, our Board of Directors approved the First Amendment to the Third Amended and Restated Management Agreement with the Manager, which has an effective date of March 1, 2023 and states that the stockholders' equity used to calculate the base management fee include our unsecured debt securities to the extent the proceeds were used to repurchase our preferred stock  A dividend of $0.25 per share, to be paid on March 31, 2023 to common stockholders of record as of March 17, 2023

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![](exhibit992-20230302011.jpg)

Financial Metrics 11 1Includes the impact of the credit loss expense 2Interest income on debt securities is net of servicing fee 3Includes the impact of the net decrease in the net present value of expected credit losses on mortgage loans and beneficial interests 4Excludes the impact of convertible and unsecured debt

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![](exhibit992-20230302012.jpg)

Securities and Loan Repurchase Agreement Funding 12 1As of December 31, 2022 and September 30, 2022 balances contain no bonds from consolidated joint ventures 2Securities retained from our wholly owned secured borrowings and eliminated in our consolidated balance sheet 3All debt securities repurchase agreement funding is mark to market

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![](exhibit992-20230302013.jpg)

Consolidated Statements of Income 13

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![](exhibit992-20230302014.jpg)

Consolidated Statements of Income Footnotes 14 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 the quarters ended December 31, 2022, September 30, 2022, June 30, 2022 and March 31, 2022. 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. 2. The quarters ended June 30, 2022 and March 31, 2022 have been restated to conform with the new consolidated statements of income presentation that includes a reclass of Loss on joint venture refinancing on beneficial interests from Other (loss)/income, which are non-cash transactions. 3. The quarters ended September 30, 2022, June 30, 2022 and March 31, 2022 have been restated to conform with the new consolidated statements of income presentation that includes a reclass of Real estate operating expenses to Other expense.

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![](exhibit992-20230302015.jpg)

Consolidated Balance Sheets 15

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![](exhibit992-20230302016.jpg)

Consolidated Balance Sheets Footnotes 16 1. Mortgage loans held-for-investment, net include $675.8 million and $756.8 million of loans at December 31, 2022 and December 31, 2021, respectively, transferred to securitization trusts that are variable interest entities ("VIEs"); these loans can only be used to settle obligations of the VIEs. Secured borrowings consist of notes issued by VIEs that can only be settled with the assets and cash flows of the VIEs. The creditors do not have recourse to the primary beneficiary (Great Ajax Corp.). Mortgage loans held-for-investment, net include $6.1 million and $7.1 million of allowance for expected credit losses at December 31, 2022 and December 31, 2021, respectively. 2. As of December 31, 2022 and December 31, 2021, balances for Mortgage loans held-for-investment, net include $0.9 million and $1.4 million, respectively, from a 50.0% owned joint venture, which we consolidate under U.S. Generally Accepted Accounting Principles ("U.S. GAAP"). 3. Real estate owned properties, net, are presented net of valuation allowances of $0.7 million and $0.5 million at December 31, 2022 and December 31, 2021, respectively. 4. As of December 31, 2022, Investments in securities at fair value include amortized cost basis of $282.7 million and a net unrealized loss of $25.6 million. As of December 31, 2021, Investments in securities at fair value include amortized cost basis of $354.2 million and net unrealized gains $1.0 million. 5. Investments in beneficial interests includes allowance for expected credit losses of zero and $0.6 million at December 31, 2022 and December 31, 2021, respectively. 6. Secured borrowings, net are presented net of deferred issuance costs of $4.7 million at December 31, 2022 and $7.3 million at December 31, 2021. Convertible senior notes, net are presented net of deferred issuance costs of $0.3 million and $1.7 million at December 31, 2022 and December 31, 2021, respectively. Notes payable, net are presented net of deferred issuance costs and discount of $4.0 million at December 31, 2022 and zero at December 31, 2021. 7. $25.00 liquidation preference per share, 424,949 shares issued and outstanding at December 31, 2022 and 2,307,400 shares issued and outstanding and December 31, 2021. 8. $25.00 liquidation preference per share, 1,135,590 shares issued and outstanding at December 31, 2022 and 2,892,600 shares issued and outstanding and December 31, 2021. 9. 125,000,000 shares authorized, 23,130,956 shares issued and outstanding at December 31, 2022 and 23,146,775 shares issued and outstanding at December 31, 2021. 10. As of December 31, 2022 non-controlling interests includes $1.0 million from a 50.0% owned joint venture, $1.1 million from a 53.1% owned subsidiary and $0.1 million from a 99.9% owned subsidiary. As of December 31, 2021 non-controlling interests includes $1.8 million from a 50.0% owned joint venture, $1.3 million from a 53.1% owned subsidiary and $0.1 million from a 99.9% owned subsidiary which we consolidate under U.S. GAAP.

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![](exhibit992-20230302017.jpg)

Consolidated Operating Income 17

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![](exhibit992-20230302018.jpg)

Consolidated Operating Income Footnotes 18 1. The quarter ended June 30, 2022 includes a reclass of mark to market loss on loans to other adjustments. 2. The quarters ended September 30, 2022 and June 30, 2022 have been restated to conform with the new operating income statement presentation that includes the realized loss on sale of securities. 3. 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 the quarters ended December 31, 2022, September 30, 2022, June 30, 2022 and March 31, 2022. 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.

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![](exhibit992-20230302019.jpg)

Book Value Per Share 19

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