Great Ajax : Second Quarter 2023 Earnings Conference Call - Presentation

Second Quarter Investor Presentation

August 3, 2023

Safe Harbor Disclosure

• 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 June 30, 2023. Past performance is neither indicative nor a guarantee of future results.

2

Business Overview

• 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 381 transactions since inception. Three transactions closed in Q2 2023
• 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
• • 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 June 30, 2023, 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

3

Highlights - Quarter Ended June 30, 2023

• Interest income of $18.3 million; net interest income of $3.3 million
• Net loss attributable to common stockholders of $(12.0) million
• Operating loss of $(2.5) million
• Earnings per share ("EPS") per basic common share was a loss of $(0.51)
• Operating loss per basic common share of $(0.11)1
• Taxable loss of $(0.02) per share attributable to common stockholders after payment of dividends on our preferred stock
• Book value per common share of $11.86 at June 30, 2023
• Collected total cash of $49.5 million from loan payments, sales of real estate owned ("REO") properties and collections from investments in debt securities and beneficial interests
• Held $40.3 million of cash and cash equivalents at June 30, 2023; average daily cash balance for the quarter was $43.6 million
• As of June 30, 2023, approximately 82.1% of our portfolio (based on UPB at the time of acquisition) made at least 12 out of the last 12 payments
• On June 30, 2023, we entered into a Merger Agreement with Ellington Financial Inc. (NYSE: EFC) ("EFC"), pursuant to which, subject to the terms and conditions therein, we will be merged with and into a subsidiary of EFC

1 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. We consider Operating loss to provide a useful measure for comparing the results of our ongoing operations over multiple quarters.

4

Loan Portfolio Overview - as of June 30, 2023

Unpaid Principal Balance		Property Value
	0.2%
11%	9.6%
		RPL				RPL
					NPL
		NPL
		90.2%		REO
89%
$997.2 MM		$2,132.2 MM
RPL1,3,5: $891.7 MM		RPL1,5:	$	1,924.1 MM
NPL2,5 : $105.5 MM		NPL2,5:	$	203.8 MM
		REO & Rental4:	$	4.3 MM

1. Re‐performing loans ("RPL")
2. Non‐performing loans ("NPL")

3	Includes $0.9 million UPB in joint ventures with third party institutional accredited investors that are required to be consolidated for GAAP	5
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