Company: PGYWW
Filing Date: 2025-03-12
Form Type: 10-K
Source: 0001883085-25-000050
Chunk: 62

Company: Pagaya Technologies Ltd.
Filing Date: 2025-03-12
Form: 10-K
Item: Item 16
Chunk 62
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 Value on a Recurring Basis (Level 3)Investments in Loans and Securities Available for Sale (Level 3)As of December 31, 2024, the Company held investments in loans and securities classified as available for sale. These assets are measured at fair value using a discounted cash flow model, and presented within investments in loans and securities on the consolidated balance sheets. Changes in the fair value, other than declines in fair value due to credit, are reflected in other 

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comprehensive income (loss) on the consolidated statements of comprehensive loss. Declines in fair value due to credit are reflected in other expenses, net on the consolidated statements of operations.The following tables summarize the activity related to the fair value of the investments in loans and securities available for sale for the year ended December 31, 2024 and 2023 (in thousands):Balance as of December 31, 2022$— Transfer from held-to-maturity to available for sale at fair value339,040 Additions555,704 Cash received(106,216)In-kind distributions(14,232)Change in fair value(13,418)Credit-related impairment loss(134,510)Balance as of December 31, 2023$626,368 Transfer from Level 210,469 Additions617,300 Cash received(184,546)Gain on sale of Investments in loans and securities 7,920 Change in fair value(13,858)Credit-related impairment loss(414,014)Balance as of December 31, 2024$649,639 Significant unobservable inputs used for our Level 3 fair value measurement of the loans and securities and credit losses are the discount rate, net loss rate, prepayment rate and consideration of any optional redemption features in our investment securities. Significant increases or decreases in any of the inputs in isolation could result in a significantly lower or higher fair value measurement. The following tables present quantitative information about the significant unobservable inputs used for our Level 3 fair value measurement of the loans and securities as of December 31, 2024 and 2023: December 31, 2024December 31, 2023Unobservable InputMinimumMaximumWeighted AverageMinimumMaximumWeighted AverageDiscount rate5.0 %15.0 %15.0 %8.0 %15.0 %15.0 %Loss rate5.8 %34.1