Company: PGYWW
Filing Date: 2025-11-10
Form Type: 10-Q
Source: 0001883085-25-000195
Chunk: 161

Company: Pagaya Technologies Ltd.
Filing Date: 2025-11-10
Form: 10-Q
Item: Part I, Item 8
Chunk 161
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 Measurements and Disclosures” (“ASC 820”), defines fair value, establishes a framework for measuring fair value under generally accepted accounting principles, and requires certain disclosures about fair value measurements. In general, fair values of financial instruments are based upon quoted market prices, when available. If such quoted market prices are not available, fair value is based upon discounted cash flow model that use, as inputs, observable market-based parameters to the greatest extent possible. The Company determines the fair value of its financial instruments and conducts an ongoing assessment of the techniques used to ensure their appropriateness, consistent application and the reasonableness of the assumptions.  In determining the fair value of 

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each investment security, the Company reviews performance characteristics of the underlying loan pool including origination vintage, borrower credit quality, macroeconomic environment, etc.  The Company determines the fair value for each investment security by then estimating significant assumptions including discount rate, cumulative net loss rate and prepayment rate which are reviewed and approved by management.The Company also engages a third-party valuation service provider to estimate a range of fair values for all significant investment securities.  The Company reviews and validates that each of its significant assumptions are within the range of the independent third-party service provider, including: discount rate, cumulative net loss rate, prepayment rate, etc. Finally, the Company reviews and validates that the fair value used for financial reporting is within the range of fair value estimates by the third-party service provider for the same significant investment securities.Financial Assets and Liabilities Recorded at Fair ValueThe following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis as of September 30, 2025 and December 31, 2024, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value (in thousands):September 30, 2025Level 1Level 2Level 3TotalAssets:Investments in loans and securities (Notes)$— $135,272 $209,491 $344,763 Investments in loans and securities (Certificates)— — 541,363 541,363 Liabilities:Warrant liability$7,379 $— $— $7,379Other liabilities (1)— — 8,715 8,715 December 31, 2024Level 1Level 2Level 3TotalAssets:Investments in loans and securities (Notes) (2)$— $115,220 $125