Company: PGYWW
Filing Date: 2025-03-12
Form Type: 10-K
Source: 0001883085-25-000050
Chunk: 70

Company: Pagaya Technologies Ltd.
Filing Date: 2025-03-12
Form: 10-K
Item: Item 16
Chunk 70
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 options during the year ended December 31, 2023. The weighted-average grant date fair value of employee options granted for the year ended December 31, 2022 was $81.0. The aggregate intrinsic value of options exercised was 

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approximately $1.7 million, $10.9 million and $19.2 million for the year ended December 31, 2024, 2023 and 2022, respectively. The total fair value of share options vested for the year ended December 31, 2024, 2023 and 2022, was $57.2 million, $62.4 million and $36.0 million, respectively.Share-based compensation expense is based on the grant-date fair value on a straight-line basis for graded awards with only service conditions, which is generally the option vesting term of four years. The fair value of each option on the date of grant is determined using the Black Scholes-Merton (BSM) option pricing model using the single-option award approach with the assumptions set forth in the table below. Fair Value of Ordinary Shares—Prior to the Company’s public listing, the absence of an active market for the Company’s ordinary shares required the Company’s board of directors to determine the fair value of its ordinary shares for purposes of granting share options. The Company obtained contemporaneous third-party valuations to assist the board of directors in determining the fair value of the Company’s ordinary share. After the IPO, the fair value of each ordinary share was based on the closing price of the Company’s publicly traded ordinary shares as reported on the date of the grant.Expected Volatility—Expected volatility of share options was calculated based on the Company’s volatility as well as the implied volatilities from market comparisons of certain publicly traded companies and other factors.Risk-Free Interest Rate—The risk-free interest rate is determined using a U.S. Treasury zero-coupon bonds for the period that coincides with the expected term set forth. Expected Term— The expected term of share options represents the weighted average period the share options are expected to be outstanding. For option grants that are considered to be “plain vanilla”, the Company has opted to use the simplified method for estimating the expected term as provided by the Securities and Exchange Commission. The simplified method calculates the expected term as the average time-to-vesting and the contractual life of the options. Expected Dividend Yield—The dividend yield is based on the Company’s historical and future expectation of dividends payouts.