Fair Value

6 Months Ended

Jun. 30, 2024

For a discussion on the Company's fair value policy see Note 2 — Summary of Significant Accounting Policies.

Recurring financial assets and liabilities measured and carried at fair value by level within the fair value hierarchy as of June 30, 2024 and December 31, 2023 ($ in thousands):


			Level 1		Level 2		Level 3
June 30, 2024	Carrying value		Quoted prices in active markets		Observable inputs other than Level 1 prices		Unobservable inputs
Recurring financial assets
Investment in debt securities available-for-sale	$	140,614	$	—	$	140,614	$	—
Recurring financial liabilities
Warrant liability	$	—	$	—	$	—	$	—


			Level 1		Level 2		Level 3
December 31, 2023	Carrying value		Quoted prices in active markets		Observable inputs other than Level 1 prices		Unobservable inputs
Recurring financial assets
Investment in debt securities available-for-sale	$	131,558	$	—	$	131,558	$	—
Recurring financial liabilities
Warrant liability	$	16,644	$	—	$	—	$	16,644

The following tables set forth the fair value of financial instruments by level within the fair value hierarchy as of June 30, 2024 and December 31, 2023 ($ in thousands):


			Level 1		Level 2		Level 3
June 30, 2024	Carrying value		Quoted prices in active markets		Observable inputs other than Level 1 prices		Unobservable inputs
Financial assets
Mortgage loans held-for-investment, net	$	413,916	$	—	$	—	$	367,023
Mortgage loans held-for-sale, net	$	108,868	$	—	$	—	$	108,868
Investment in debt securities held-to-maturity	$	48,050	$	—	$	46,593	$	—
Investment in beneficial interests	$	88,269	$	—	$	—	$	71,557
Investment in Former Manager	$	2,786	$	—	$	—	$	2,319
Investment in AS Ajax E LLC	$	—	$	—	$	—	$	—
Investment in Gaea	$	21,805	$	—	$	—	$	22,376
Investment in Loan pool LLCs	$	180	$	—	$	—	$	62
Financial liabilities
Secured borrowings, net	$	276,458	$	—	$	244,385	$	—
Borrowings under repurchase transactions	$	246,497	$	—	$	246,497	$	—
Notes payable, net	$	107,216	$	—	$	105,822	$	—


			Level 1		Level 2		Level 3
December 31, 2023	Carrying value		Quoted prices in active markets		Observable inputs other than Level 1 prices		Unobservable inputs
Financial assets
Mortgage loans held-for-investment, net	$	864,551	$	—	$	—	$	770,419
Mortgage loans held-for-sale, net	$	55,718	$	—	$	—	$	60,444
Investment in debt securities held-to-maturity	$	59,691	$	—	$	59,173	$	—
Investment in beneficial interests	$	104,162	$	—	$	—	$	81,316
Investment in Former Manager	$	440	$	—	$	—	$	4,527
Investment in AS Ajax E LLC	$	407	$	—	$	471	$	—
Investment in Ajax E Master Trust	$	2,100	$	—	$	1,864	$	—
Investment in GAFS, including warrants	$	2,618	$	—	$	—	$	—
Investment in Gaea	$	22,241	$	—	$	—	$	21,678
Investment in Loan pool LLCs	$	194	$	—	$	—	$	674
Financial liabilities
Secured borrowings, net	$	411,212	$	—	$	370,882	$	—
Borrowings under repurchase transactions	$	375,745	$	—	$	375,745	$	—
Convertible senior notes	$	103,516	$	101,777	$	—	$	—
Notes payable, net	$	106,844	$	—	$	103,697	$	—

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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+ Details