Company: PGYWW
Filing Date: 2025-05-07
Form Type: 10-Q
Source: 0001883085-25-000082
Chunk: 24

Company: Pagaya Technologies Ltd.
Filing Date: 2025-05-07
Form: 10-Q
Item: Part I, Item 1
Chunk 24
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 the three months ended March 31, 2025 and 2024 (in thousands):Three Months Ended March 31, 2025Balance as of December 31, 2024$893 Change in fair value1,099 Balance as of March  31, 2025$1,992 Three Months Ended March 31, 2024Balance as of December 31, 2023$3,242 Change in fair value(1,900)Balance as of March 31, 2024$1,342 Assets and Liabilities Measured at Fair Value on a Recurring Basis (Level 3)Investments in Loans and Securities Available for Sale (Level 3)As of March 31, 2025, 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 unaudited condensed consolidated balance sheets. Changes in the fair value, other than declines in fair value due to credit, are reflected in other comprehensive income (loss) on the unaudited condensed consolidated statements of comprehensive loss. Declines in fair value due to credit are reflected in other expenses, net on the unaudited condensed consolidated statements of income.The following tables summarize the activity related to the fair value of the investments in loans and securities available for sale (Level 3 only) for the three months ended March 31, 2025 and 2024 (in thousands):Three Months Ended March 31,20252024Balance, beginning of period$663,189$626,369Transfer from Level 2— 10,469 Additions66,719 259,876 Cash received(47,310)(23,014)Gain on sale of Investments in loans and securities5,894 — Change in accrued interest on investments3,278 — Change in fair value (OCI)(15,946)(21,727)Credit-related impairment loss, net of recoveries(34,207)(26,852)Balance, end of period$641,617$825,121Significant unobservable inputs used for our Level 3 fair value measurement of the loans and securities and credit losses are the discount rate, loss rate, and 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