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Fair Value (Tables) | 6 Months Ended
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Jun. 30, 2021
Fair Value Disclosures [Abstract] |
Schedule of fair value, assets and liabilities measured on recurring basis | Recurring financial assets and liabilities measured and carried at fair value by level within the fair value hierarchy as of June 30, 2021 and December 31, 2020 ($ in thousands):
|  |  |  | Level 1 |  | Level 2 |  | Level 3
June 30, 2021 |  | Carrying Value |  | Quoted prices in active markets |  | Observable inputs other than Level 1 prices |  | Unobservable inputs
Recurring financial assets |  |  |  |  |  |  |  |
Investment in debt securities at fair value |  | $ | 424,632 |  |  | $ | — |  |  | $ | 424,632 |  |  | $ | — |
Recurring financial liabilities |  |  |  |  |  |  |  |
Put option liability |  | $ | 18,350 |  |  | $ | — |  |  | $ | — |  |  | $ | 18,350 |
|  |  |  | Level 1 |  | Level 2 |  | Level 3
December 31, 2020 |  | Carrying Value |  | Quoted prices in active markets |  | Observable inputs other than Level 1 prices |  | Unobservable inputs
Recurring financial assets |  |  |  |  |  |  |  |
Investment in debt securities at fair value |  | $ | 273,834 |  |  | $ | — |  |  | $ | 273,834 |  |  | $ | — |
Recurring financial liabilities |  |  |  |  |  |  |  |
Put option liability |  | $ | 14,205 |  |  | $ | — |  |  | $ | — |  |  | $ | 14,205 |
Schedule of fair value of financial assets and liabilities | The following tables set forth the fair value of financial instruments by level within the fair value hierarchy as of June 30, 2021 and December 31, 2020 ($ in thousands):
|  |  |  | Level 1 |  | Level 2 |  | Level 3
June 30, 2021 |  | Carrying value |  | Quoted prices in active markets |  | Observable inputs other than Level 1 prices |  | Unobservable inputs
Financial assets |  |  |  |  |  |  |  |
Mortgage loans, net |  | $ | 955,628 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,043,197 |
Investments in beneficial interests |  | $ | 133,484 |  |  | $ | — |  |  | $ | — |  |  | $ | 133,484 |
Investment in Manager |  | $ | 1,571 |  |  | $ | — |  |  | $ | — |  |  | $ | 11,794 |
Investment in AS Ajax E LLC |  | $ | 683 |  |  | $ | — |  |  | $ | 825 |  |  | $ | — |
Investment in AS Ajax E II LLC |  | $ | 2,840 |  |  | $ | — |  |  | $ | 3,012 |  |  | $ | — |
Investment in GAFS, including warrants |  | $ | 2,656 |  |  | $ | — |  |  | $ | — |  |  | $ | 3,320 |
Investment in Gaea |  | $ | 19,818 |  |  | $ | — |  |  | $ | — |  |  | $ | 19,991 |
Investment in Loan pool LLCs |  | $ | 361 |  |  | $ | — |  |  | $ | — |  |  | $ | 724 |
Financial liabilities |  |  |  |  |  |  |  |
Secured borrowings, net |  | $ | 653,948 |  |  | $ | — |  |  | $ | 667,565 |  |  | $ | — |
Borrowings under repurchase transactions |  | $ | 394,386 |  |  | $ | — |  |  | $ | 394,386 |  |  | $ | — |
Convertible senior notes, net |  | $ | 103,427 |  |  | $ | 111,693 |  |  | $ | — |  |  | $ | — |
|  |  |  | Level 1 |  | Level 2 |  | Level 3
December 31, 2020 |  | Carrying value |  | Quoted prices in active markets |  | Observable inputs other than Level 1 prices |  | Unobservable inputs
Financial assets |  |  |  |  |  |  |  |
Mortgage loans, net |  | $ | 1,119,372 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,232,081 |
Investment in beneficial interests |  | $ | 91,418 |  |  | $ | — |  |  | $ | — |  |  | $ | 91,418 |
Investment in Manager |  | $ | 1,366 |  |  | $ | — |  |  | $ | — |  |  | $ | 11,709 |
Investment in AS Ajax E LLC |  | $ | 776 |  |  | $ | — |  |  | $ | 934 |  |  | $ | — |
Investment in AS Ajax E II LLC |  | $ | 3,381 |  |  | $ | — |  |  | $ | 3,484 |  |  | $ | — |
Investment in GAFS, including warrants |  | $ | 2,711 |  |  | $ | — |  |  | $ | — |  |  | $ | 3,320 |
Investment in Gaea |  | $ | 20,001 |  |  | $ | — |  |  | $ | — |  |  | $ | 19,150 |
Investment in Loan pool LLCs |  | $ | 381 |  |  | $ | — |  |  | $ | — |  |  | $ | 701 |
Financial liabilities |  |  |  |  |  |  |  |
Secured borrowings, net |  | $ | 585,403 |  |  | $ | — |  |  | $ | 586,419 |  |  | $ | — |
Borrowings under repurchase agreement |  | $ | 421,132 |  |  | $ | — |  |  | $ | 421,132 |  |  | $ | — |
Convertible senior notes, net |  | $ | 110,057 |  |  | $ | 110,675 |  |  | $ | — |  |  | $ | — |
Fair value of non-financial assets by level | The following tables set forth the fair value of non-financial assets by level within the fair value hierarchy as of June 30, 2021 and December 31, 2020 ($ in thousands):
|  |  |  |  |  | Level 1 |  | Level 2 |  | Level 3
June 30, 2021 |  | Carrying value |  | Six months ended fair value adjustment recognized in the consolidated statements of income |  | Quoted prices in active markets |  | Observable inputs other than Level 1 prices |  | Unobservable inputs
Non-financial assets |  |  |  |  |  |  |  |  |  |
Property held-for-sale |  | $ | 4,409 |  |  | $ | (248) |  |  | $ | — |  |  | $ | — |  |  | $ | 4,409 |
|  |  |  |  |  | Level 1 |  | Level 2 |  | Level 3
December 31, 2020 |  | Carrying value |  | Fair value adjustment recognized in the consolidated statements of income |  | Quoted prices in active markets |  | Observable inputs other than Level 1 prices |  | Unobservable inputs
Non-financial assets |  |  |  |  |  |  |  |  |  |
Property held-for-sale |  | $ | 7,807 |  |  | $ | (1,359) |  |  | $ | — |  |  | $ | — |  |  | $ | 7,807 |

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- Definition Tabular disclosure of assets measured at fair value measured on a recurring or nonrecurring basis. Includes, but is not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 11 -URI http://asc.fasb.org/extlink&oid=123594938&loc=d3e13467-108611 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 + Details
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