INVESTMENTS IN LOANS AND SECURITIES

9 Months Ended

Sep. 30, 2024

Investments, Debt and Equity Securities [Abstract]

INVESTMENTS IN LOANS AND SECURITIES

INVESTMENTS IN LOANS AND SECURITIES

The amortized cost, gross unrealized gains and losses, allowance for credit losses, and fair value of investments in loans and securities as of September 30, 2024 and December 31, 2023 were as follows (in thousands). As provided in Note 6, a portion of these investments in loans and securities are consolidated as a result of the Company’s determination that it is the primary beneficiary of certain VIEs.

	As of September 30, 2024
Investments in loans and securities, available for sale(1):	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Allowance for Credit Losses		Fair Value
Securitization notes	$	278,376	$	514	$	(675)	$	—	$	278,215
Securitization certificates	971,470		13,314		(93,548)		(251,125)		640,111
Other loans and receivables	6,865		—		—		(1,809)		5,056
Total	$	1,256,711	$	13,828	$	(94,223)	$	(252,934)	$	923,382

(1) Excludes accrued interest receivable of $13.4 million included in Fees and other receivables.

	As of December 31, 2023
Investments in loans and securities, available for sale(1):	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Allowance for Credit Losses		Fair Value
Securitization notes	$	91,654	$	629	$	(1,858)	$	—	$	90,425
Securitization certificates	715,646		18,684		(11,578)		(98,679)		624,073
Other loans and receivables	4,574		—		—		(2,279)		2,295
Total	$	811,874	$	19,313	$	(13,436)	$	(100,958)	$	716,793

(1) Excludes accrued interest receivable of $12.5 million included in Fees and other receivables.

The following tables set forth the fair value and gross unrealized losses on investments in loans and securities without an allowance for credit losses aggregated by investment category and length of time that individual securities had been in a continuous unrealized loss position, as of the dates indicated (in thousands):

	As of September 30, 2024
	Less than or equal to 1 year				Greater than 1 year				Total
Investments in loans and securities, available for sale:	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Securitization notes	$	68	$	(1)	$	28,418	$	(674)	$	28,486	$	(675)
Securitization certificates	18,507		(4,929)		—		—		18,507		(4,929)
Other loans and receivables	—		—		—		—		—		—
Total	$	18,575	$	(4,930)	$	28,418	$	(674)	$	46,993	$	(5,604)

	As of December 31, 2023
	Less than or equal to 1 year				Greater than 1 year				Total
Investments in loans and securities, available for sale:	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Securitization notes	$	59,925	$	(1,858)	$	—	$	—	$	59,925	$	(1,858)
Securitization certificates	15,799		(1,988)		—		—		15,799		(1,988)
Other loans and receivables	—		—		—		—		—		—
Total	$	75,724	$	(3,846)	$	—	$	—	$	75,724	$	(3,846)

The following table sets forth the amortized cost and fair value of investments in loans and securities by contractual maturities, as of the date indicated (in thousands):

	As of September 30, 2024
	Within 1 year				Greater than 1 year, less than or equal to 5 years				Total
Investments in loans and securities, available for sale:	Amortized Cost		Fair Value		Amortized Cost		Fair Value		Amortized Cost		Fair Value
Securitization notes	$	10,549	$	10,489	$	267,827	$	267,726	$	278,376	$	278,215
Securitization certificates	762		762		970,708		639,349		971,470		640,111
Other loans and receivables	—		—		6,865		5,056		6,865		5,056
Total (1)	$	11,311	$	11,251	$	1,245,400	$	912,131	$	1,256,711	$	923,382

	As of December 31, 2023
	Within 1 year				Greater than 1 year, less than or equal to 5 years				Total
Investments in loans and securities, available for sale:	Amortized Cost		Fair Value		Amortized Cost		Fair Value		Amortized Cost		Fair Value
Securitization notes	$	2,405	$	2,387	$	89,249	$	88,038	$	91,654	$	90,425
Securitization certificates	103		103		715,543		623,970		715,646		624,073
Other loans and receivables	—		—		4,574		2,295		4,574		2,295
Total (1)	$	2,508	$	2,490	$	809,366	$	714,303	$	811,874	$	716,793

(1) Based on expected maturity date cash flows.

The following table sets forth gross proceeds and related investment gains (losses), as well as losses on write-downs and the allowance for credit losses of securities, for the periods indicated (in thousands):

	Three Months Ended September 30,				Nine Months Ended September 30,
	2024		2023		2024		2023
Investments in loans and securities, available for sale:
Proceeds from sales/maturities/prepayments	$	23,083	$	42,741	$	89,905	$	134,101
Write-offs charged against the allowance	$	4,810	$	37,758	$	7,109	$	38,636
Additions to allowance for credit losses	$	(79,171)	$	(37,314)	$	(159,085)	$	(115,640)

The following tables set forth the activity in the allowance for credit losses for investments in loans and securities, as of the dates indicated (in thousands):

	Three Months Ended September 30, 2024
	Securitization notes		Securitization certificates		Other Loans and Receivables		Total
Balance, beginning of period	$	—	$	(174,077)	$	(4,053)	$	(178,130)
Additions to allowance for credit losses not previously recorded	—		(21,118)		—		(21,118)
Additions (reductions) on securities with previous allowance	—		(55,930)		(2,123)		(58,053)
Write-offs charged against the allowance	—		—		4,810		4,810
Recoveries of amounts previously written off	—		—		(443)		(443)
Balance, end of period	$	—	$	(251,125)	$	(1,809)	$	(252,934)

	Nine Months Ended September 30, 2024
	Securitization notes		Securitization certificates		Other Loans and Receivables		Total
Balance, beginning of period	$	—	$	(98,679)	$	(2,279)	$	(100,958)
Additions to allowance for credit losses not previously recorded	—		(112,263)		—		(112,263)
Additions to allowance for credit losses arising from purchases	—		—		(3,246)		(3,246)
Additions (reductions) on securities with previous allowance	—		(40,183)		(3,393)		(43,576)
Write-offs charged against the allowance	—		—		7,109		7,109
Recoveries of amounts previously written off	—		—		—		—
Balance, end of period	$	—	$	(251,125)	$	(1,809)	$	(252,934)

	Three Months Ended September 30, 2023
	Securitization notes		Securitization certificates		Other Loans and Receivables		Total
Balance, beginning of period	$	—	$	(74,288)	$	(3,160)	$	(77,448)
Additions to allowance for credit losses not previously recorded	—		(36,999)		(315)		(37,314)
Write-offs charged against the allowance	—		36,821		937		37,758
Balance, end of period	$	—	$	(74,466)	$	(2,538)	$	(77,004)

	Nine Months Ended September 30, 2023
	Securitization notes		Securitization certificates		Other Loans and Receivables		Total
Balance, beginning of period	$	—	$	—	$	—	$	—
Additions to allowance for credit losses not previously recorded	—		(111,287)		(4,353)		(115,640)
Write-offs charged against the allowance	—		36,821		1,815		38,636
Balance, end of period	$	—	$	(74,466)	$	(2,538)	$	(77,004)

Equity Method and Other Investments

The following investments, including those accounted for under the equity method, are included within Equity method and other investments in the consolidated balance sheets as of September 30, 2024 and December 31, 2023 (in thousands):

	Carrying Value
	September 30, 2024		December 31, 2023
Investments in Pagaya SmartResi F1 Fund, LP (1)	$	16,381	$	17,357
Other (2)	9,397		9,026
Total	$	25,778	$	26,383

(1) The Company owns approximately 5.4% and is the general partner of Pagaya Smartresi F1 Fund LP.

(2) Represents the Company’s proprietary investments. Income from these investments is included in Investment income in the consolidated statements of operations.