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Investments
 3 Months Ended
Mar. 31, 2022
Investments, Debt and Equity Securities [Abstract]  
Investments Investments The Company holds investments in various debt securities and beneficial interests which are the net residual interest of the Company’s investments in securitization trusts holding pools of mortgage loans. The Company's debt securities and beneficial interests are issued by securitization trusts, which are VIEs, that the Company has either sponsored or contributed assets to, but which the Company does not consolidate since it has determined it is not the primary beneficiary. See Note 10 — Related party transactions. The Company marks its debt securities to fair value using prices provided by financing counterparties, and believes any unrealized losses to be temporary. Risks inherent in the Company's debt securities portfolio, affecting both the valuation of its securities 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 the COVID-19 pandemic, and damage to or delay in realizing the value of the underlying collateral. The Company monitors the credit quality of the mortgage loans underlying its debt securities 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 following table presents information regarding the Company's investments in debt securities and investments in beneficial interests ($ in thousands):
As of March 31, 2022
Basis(1)
Gross unrealized gainsGross unrealized lossesCarrying value
Debt securities$336,551 $215 $(8,973)$327,793 
Beneficial interests in securitization trusts139,249 — — 139,249 
Total investments at fair value$475,800 $215 $(8,973)$467,042 
(1)Basis amount is net of amortized discount, principal paydowns and interest receivable on securities of $0.2 million.

As of December 31, 2021
Basis(1)
Gross unrealized gainsGross unrealized lossesCarrying value
Debt securities$354,158 $1,822 $(802)$355,178 
Beneficial interests in securitization trusts139,588 — — 139,588 
Total investments at fair value$493,746 $1,822 $(802)$494,766 
(1)Basis amount is net of amortized discount, allowance for expected credit losses on beneficial interests, principal paydowns and interest receivable on securities of $0.3 million.

The following table presents a breakdown of the Company's gross unrealized losses ($ in thousands):

As of March 31, 2022
Step-up date(1)
Basis(2)
Gross unrealized lossesCarrying value
Debt securities due November 2051(3)
March 2025$42,628 $(781)$41,847 
Debt securities due June 2057(3)
April 202221,360 (5)21,355 
Debt securities due August 2057(3)
July 202211,731 (33)11,698 
Debt securities due January 2059(3)
July 202212,559 (9)12,550 
Debt securities due September 2059(4)
February 2023/April 202317,305 (401)16,904 
Debt securities due November 2059(3)
April 20238,818 (29)8,789 
Debt securities due December 2059(3)
July 202338,627 (1,284)37,343 
Debt securities due March 2060(3)
February 202516,168 (714)15,454 
Debt securities due June 2060(3)
March 20249,198 (34)9,164 
Debt securities due December 2060(3)
July 202946,576 (882)45,694 
Debt securities due January 2061(3)
September 202413,375 (525)12,850 
Debt securities due June 2061(5)
January 2025/February 202583,388 (4,276)79,112 
Total$321,733 $(8,973)$312,760 
(1)Step-up date is the date at which the coupon interest rate on the security increases. The Company expects the security to be called before the step-up date.
(2)Basis amount is net of any realized amortized costs and principal paydowns.
(3)This security has been in an unrealized loss position for less than 12 months.
(4)This line is comprised of two securities that are both due September 2059. One security with a balance of $0.2 million has been in a loss position for less than 12 months and has a step-up date in February 2023, and the other security of $0.2 million has been in a loss position for less than 12 months and has a step-up date in April 2023.
(5)This line is comprised of two securities that are both due June 2061. One security with a balance of $3.3 million has been in an unrealized loss position for less than 12 months and has a step-up date in January 2025, and the other security of $1.0 million has been in a loss position for less than 12 months and has a step-up date in February 2025.
As of December 31, 2021
Step-up date(1)
Basis(2)
Gross unrealized lossesCarrying value
Debt securities due November 2051(3)
March 2025$44,902 $(12)$44,890 
Debt securities due June 2057(3)
April 2022(5)
23,165 (3)23,162 
Debt securities due September 2059(3)
February 20239,173 (24)9,149 
Debt securities due December 2059(3)
July 202340,502 (87)40,415 
Debt securities due March 2060(3)
February 202516,977 (91)16,886 
Debt securities due January 2061(3)
September 202414,000 (140)13,860 
Debt securities due June 2061(4)
January 2025/February 202586,909 (445)86,464 
Total$235,628 $(802)$234,826 
(1)Step-up date is the date at which the coupon interest rate on the security increases. The Company expects the security to be called before the step-up date.
(2)Basis amount is net of any realized amortized costs and principal paydowns.
(3)This security has been in an unrealized loss position for less than 12 months.
(4)This line is comprised of two securities that are both due June 2061. One security with a balance of $0.4 million has been in an unrealized loss position for less than 12 months and has a step-up date in January 2025, and the other security of $0.1 million been in a loss position for less than 12 months and has a step-up date in February 2025.
(5)On January 25, 2022 the step-up date for this security was extended from January 2022 to April 2022.

As of March 31, 2022, the Company recorded $0.2 million of gross unrealized gains and a gross unrealized loss of $9.0 million in fair valuation adjustments in accumulated other comprehensive income on the consolidated balance sheet on total investments with a fair value of $327.8 million, which includes $0.2 million in interest receivable. As of December 31, 2021, the Company recorded $1.8 million of gross unrealized gains and a gross unrealized loss of $0.8 million in fair valuation adjustments in accumulated other comprehensive income on the consolidated balance sheet on total investments with a fair value of $355.2 million, which includes $0.3 million in interest receivable.

During the three months ended March 31, 2022 and 2021, the Company acquired no debt securities and beneficial interests. As of March 31, 2022, the investments in debt securities and beneficial interests were carried on the Company's consolidated balance sheet at $327.8 million and $139.2 million, respectively. At December 31, 2021, the investments in debt securities and beneficial interests were carried on the Company's consolidated balance sheet at $355.2 million and $139.6 million, respectively. As of March 31, 2022 and December 31, 2021, the Company had no securities that were past due.

The Company recorded a $4.0 million impairment on its beneficial interests in Ajax Mortgage Loan Trust 2018-D and 2018-G ("2018-D and -G") in other loss/income on its consolidated statements of income. The two trusts were redeemed in the second quarter of 2022 and the underlying mortgage loans were re-securitized in Ajax Mortgage Loan Trust 2022-A ("2022-A"). See Note 15 — Subsequent events. Although the Company continues to own approximately the same interest in the underlying mortgage loans and related cash flows, the beneficial interests are accounted for as distinct legal securities and were settled through the receipt of a combination of the beneficial interest in 2022-A and cash received from the sale of the underlying loans in 2022-A. The decline in loan prices driven by disruption in the markets since year end resulted in lower than expected current cash proceeds at redemption. As a result, the Company recognized an impairment loss in other loss/income for the three ended March 31, 2022.

The Company generally recognizes increases and decreases in the net present value of expected cash flows in earnings in the period they occur. An expense is recorded to increase the allowance for expected credit losses when there is a reduction in the Company’s expected future cash flows compared to contractual amounts due. Income is recognized if there is an increase in expected future cash flows to the extent an allowance has been recorded against the beneficial interest. If there is no allowance for expected credit losses recorded against a beneficial interest, any increase in expected cash flows is recognized prospectively as a change in yield. A decrease in the allowance for expected credit losses is generally facilitated by reclassifying amounts to non-credit discount from the allowance and then recording the reduction to the allowance through the income statement. Management assesses the credit quality of the portfolio and the adequacy of loss reserves on a quarterly basis, or more frequently as necessary. During the three months ended March 31, 2022, the Company recorded a $0.3 million reclassification to non-credit discount from the allowance for changes in payment expectations and a $0.4 million increase of the allowance for expected credit losses due to the decreases in the net present value of expected cash flows. Comparatively, during the three months ended March 31, 2021, the Company recorded a $1.0 million reclassification from non-credit discount to the allowance for changes in payment expectations and a $15 thousand reversal of the allowance for expected credit losses
for beneficial interests. An analysis of the balance in the allowance for expected credit losses for beneficial interests account follows ($ in thousands):

Three months ended March 31,
20222021
Allowance for expected credit losses, beginning balance$(615)$(4,453)
Reclassification to/(from) non-credit discount from/(to) the allowance for changes in payment expectations311 (953)
Credit loss expense on beneficial interests(50)(139)
Reversal of allowance for expected credit losses due to increases in the net present value of expected cash flows354 15 
Allowance for expected credit losses, ending balance$— $(5,530)