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Fair Value
 9 Months Ended
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 1Level 2Level 3
September 30, 2024Carrying valueQuoted prices in active marketsObservable inputs other than Level 1 pricesUnobservable inputs
Recurring financial assets
Investment in debt securities available-for-sale$166,650 $— $166,650 $— 
     Investment in equity securities at fair value21,918 — 21,918 — 
Level 1Level 2Level 3
December 31, 2023Carrying valueQuoted prices in active marketsObservable inputs other than Level 1 pricesUnobservable 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 1Level 2Level 3
September 30, 2024Carrying valueQuoted prices in active marketsObservable inputs other than Level 1 pricesUnobservable inputs
Financial assets
Mortgage loans held-for-investment, net$403,056 $— $— $366,296 
Mortgage loans held-for-sale, net31,315 — — 31,315 
Investment in debt securities held-to-maturity47,144 — 45,058 — 
Investment in beneficial interests88,996 — — 64,185 
Investment in Former Manager538 — — 538 
Financial liabilities
Secured borrowings, net$266,776 $— $247,601 $— 
Borrowings under repurchase transactions231,464 — 231,464 — 
Notes payable, net107,432 — 110,100 — 

Level 1Level 2Level 3
December 31, 2023Carrying valueQuoted prices in active marketsObservable inputs other than Level 1 pricesUnobservable inputs
Financial assets
Mortgage loans held-for-investment, net$864,551 $— $— $770,419 
Mortgage loans held-for-sale, net55,718 — — 60,444 
Investment in debt securities held-to-maturity59,691 — 59,173 — 
Investment in beneficial interests104,162 — — 81,316 
Investment in Former Manager440 — — 4,527 
Investment in Gaea22,241 — — 21,678 
Investment in other affiliates5,319 — 2,335 674 
Financial liabilities
Secured borrowings, net$411,212 $— $370,882 $— 
Borrowings under repurchase transactions375,745 — 375,745 — 
Convertible senior notes103,516 101,777 — — 
Notes payable, net106,844 — 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.