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Fair Value | 9 Months Ended
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Sep. 30, 2024
Fair Value Disclosures [Abstract] |
Fair Value | Fair Value Recurring financial assets and liabilities measured and carried at fair value by level within the fair value hierarchy as of September 30, 2024 and December 31, 2023 ($ in thousands):
|  |  |  | Level 1 |  | Level 2 |  | Level 3
September 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 |  | $ | 166,650 |  |  | $ | — |  |  | $ | 166,650 |  |  | $ | — |
Investment in equity securities at fair value |  | 21,918 |  |  | — |  |  | 21,918 |  |  | — |
|  |  |  | 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 September 30, 2024 and December 31, 2023 ($ in thousands):
|  |  |  | Level 1 |  | Level 2 |  | Level 3
September 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 |  | $ | 403,056 |  |  | $ | — |  |  | $ | — |  |  | $ | 366,296 |
Mortgage loans held-for-sale, net |  | 31,315 |  |  | — |  |  | — |  |  | 31,315 |
Investment in debt securities held-to-maturity |  | 47,144 |  |  | — |  |  | 45,058 |  |  | — |
Investment in beneficial interests |  | 88,996 |  |  | — |  |  | — |  |  | 64,185 |
Investment in Former Manager |  | 538 |  |  | — |  |  | — |  |  | 538 |
Financial liabilities |  |  |  |  |  |  |  |
Secured borrowings, net |  | $ | 266,776 |  |  | $ | — |  |  | $ | 247,601 |  |  | $ | — |
Borrowings under repurchase transactions |  | 231,464 |  |  | — |  |  | 231,464 |  |  | — |
Notes payable, net |  | 107,432 |  |  | — |  |  | 110,100 |  |  | — |
|  |  |  | 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 Gaea |  | 22,241 |  |  | — |  |  | — |  |  | 21,678 |
Investment in other affiliates |  | 5,319 |  |  | — |  |  | 2,335 |  |  | 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 |  |  | — |
The fair value of mortgage loans is estimated using values from its New Manager. The Company relies on the Manager’s proprietary pricing model, as well as vendor pricing, to estimate the underlying cash flows expected to be collected on the loans. The Company’s mortgage loans are secured by real estate. Risks inherent in the Company’s mortgage loan portfolio, affecting both the valuation of its mortgage loans as well as the portfolio’s interest income include the risk of default, delays and inconsistency in the frequency and amount of payments, risks affecting borrowers such as man-made or natural disasters, or a pandemic and damage to or delay in realizing the value of the underlying collateral. Additionally, slower than expected prepayments can result in lower yields as the Company’s mortgage loans were acquired at discounts. The Company monitors the credit quality of the mortgage loans in its portfolio on an ongoing basis, principally by considering loan payment activity or delinquency status. In addition, the Company assesses the expected cash flows from the mortgage loans, the fair value of the underlying collateral and other factors and evaluates whether and when it becomes probable that all amounts contractually due will not be collected. The fair value of investments in debt securities AFS, and HTM are determined using estimates provided by the Company’s third-party pricing vendors which are then reviewed to ensure the resulting yield is comparable to market yields for similar securities. The fair value of investments in beneficial interests is determined using prices provided by the Company’s third party pricing vendors which are then reviewed to ensure the resulting yield is comparable to market yields for similar securities. The Company values its investment in affiliates based on publicly available information, where available, or the expected cash flows to be received. The Company disposed of its investment in the parent of its Former Servicer, GAFS, in the second quarter of 2024 and received liquidating distributions from its investments in AS Ajax E LLC. The Company owned two Loan Pool LLCs were special purposes entities that held RPLs where the Company owned a minority interest. The Company terminated its investment in the Loan Pool LLCs during the quarter ended September 30, 2024. The Company expects to receive a liquidating distribution in the Former Manager in the fourth quarter of 2024 or the first quarter of 2025. The Company’s investment in Gaea is reported as an investment in equity securities AFS in the Company’s consolidated balance sheet. The fair value of Gaea is estimated using an implied capitalization rate applied to the value of the underlying properties. For properties under contract or listed for sale, the contract or listing price is used, respectively. The fair value of secured borrowings is estimated using prices provided by the Company’s third-party pricing vendors, which are then reviewed to ensure the resulting yield is comparable to market yields for similar securities. The Company issued warrants in connection with the issuance of its preferred stock offerings in fiscal year 2020. The warrants were exercisable at $10.0 share or the warrants could be put back to the Company at an accreted value and settled in shares of the Company’s common stock or in cash (the “2020 Warrants”). Historically, the fair value of the Company’s 2020 Warrants liability was adjusted to approximate market value through earnings. The warrant liability was a fixed amount that may have been settled in cash or shares of the Company’s common stock at the option of the Company. Fair value was determined using the discounted cash flow method using a rate to accrete the initial basis, adjusted for subsequent repurchases, to the future warrant liability over the 39-month term. The balance of any outstanding 2020 Warrants liability was settled for shares of the Company’s common stock in February 2024. The Company’s borrowings under repurchase agreements are short-term in nature, and the New Manager believes it can renew the current borrowing arrangements on similar terms in the future. Accordingly, the carrying value of these borrowings approximates fair value. The Company’s convertible senior notes due in 2024 (the “2024 Notes”) were publicly traded on the NYSE under the ticker symbol “AJXA”; the 2024 Notes’ fair value was determined from the closing price on the balance sheet date. The 2024 Notes were redeemed in full on April 30, 2024. The Operating Partnership issued 110.0 million aggregate principal amount of 8.875% senior unsecured notes due September 2027 in August 2022 (the “2027 Notes). The 2027 Notes payable fair value is determined using estimates provided by third-party valuation services using observed transactions for similar financing arrangements. The 2027 Notes will mature on September 1, 2027, unless earlier repurchased or redeemed.

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- 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. + References Reference 1: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 107 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-107 Reference 2: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 100 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-100 Reference 3: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (c)(3) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 4: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2E -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2E Reference 6: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (h) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 7: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 8: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (e) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 9: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 10: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (h) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 11: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (g) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 12: http://www.xbrl.org/2003/role/disclosureRef -Topic 940 -SubTopic 820 -Name Accounting Standards Codification -Section 50 -Paragraph 1 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147478119/940-820-50-1 + Details
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