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Fair Value (Tables)
 3 Months Ended
Mar. 31, 2022
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 March 31, 2022 and December 31, 2021 ($ in thousands):

Level 1Level 2Level 3
March 31, 2022Carrying valueQuoted prices in active marketsObservable inputs other than Level 1 pricesUnobservable inputs
Recurring financial assets
Investment in debt securities at fair value$327,793 $— $327,793 $— 
Recurring financial liabilities
Put option liability$26,867 $— $— $26,867 

Level 1Level 2Level 3
December 31, 2021Carrying valueQuoted prices in active marketsObservable inputs other than Level 1 pricesUnobservable inputs
Recurring financial assets
Investment in debt securities at fair value$355,178 $— $355,178 $— 
Recurring financial liabilities
Put option liability$23,667 $— $— $23,667 
Schedule of fair value of financial assets and liabilities
The following tables set forth the fair value of financial instruments by level within the fair value hierarchy as of March 31, 2022 and December 31, 2021 ($ in thousands):

Level 1Level 2Level 3
March 31, 2022Carrying valueQuoted prices in active marketsObservable inputs other than Level 1 pricesUnobservable inputs
Financial assets
Mortgage loans held-for-investment, net$1,063,476 $— $— $1,097,961 
Investment in beneficial interests$139,249 $— $— $139,249 
Investment in Manager$1,345 $— $— $12,141 
Investment in AS Ajax E LLC$522 $— $690 $— 
Investment in AS Ajax E II LLC$2,435 $— $2,473 $— 
Investment in GAFS, including warrants$2,509 $— $— $3,320 
Investment in Gaea$25,549 $— $— $27,511 
Investment in Loan pool LLCs$218 $— $— $838 
Financial liabilities
Secured borrowings, net$536,988 $— $517,070 $— 
Borrowings under repurchase transactions$522,574 $— $522,574 $— 
Convertible senior notes, net $103,749 $104,549 $— $— 

Level 1Level 2Level 3
December 31, 2021Carrying valueQuoted prices in active marketsObservable inputs other than Level 1 pricesUnobservable inputs
Financial assets
Mortgage loans held-for-investment, net$1,080,434 $— $— $1,174,660 
Mortgage loans held-for-sale, net$29,572 $— $— $32,857 
Investment in beneficial interests$139,588 $— $— $139,588 
Investment in Manager$1,502 $— $— $12,346 
Investment in AS Ajax E LLC$569 $— $721 $— 
Investment in AS Ajax E II LLC$2,550 $— $2,824 $— 
Investment in GAFS, including warrants$2,602 $— $— $3,320 
Investment in Gaea$19,571 $— $— $21,170 
Investment in Loan pool LLCs$226 $— $— $853 
Financial liabilities
Secured borrowings, net$575,563 $— $580,166 $— 
Borrowings under repurchase agreement$546,054 $— $546,054 $— 
Convertible senior notes, net$102,845 $108,816 $— $— 
Fair value of non-financial assets by level The following tables set forth the fair value of non-financial assets by level within the fair value hierarchy as of March 31, 2022 and December 31, 2021 ($ in thousands):
Level 1Level 2Level 3
March 31, 2022Carrying valueThree months ended fair value adjustment recognized in the consolidated statements of incomeQuoted prices in active marketsObservable inputs other than Level 1 pricesUnobservable inputs
Non-financial assets   
Property held-for-sale$6,586 $(169)$— $— $6,586 
 Level 1Level 2Level 3
December 31, 2021Carrying valueFair value adjustment recognized in the consolidated statements of incomeQuoted prices in active marketsObservable inputs other than Level 1 pricesUnobservable inputs
Non-financial assets    
Property held-for-sale$6,063 $(293)$— $— $6,063