INVESTMENTS |
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| Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| INVESTMENTS | INVESTMENTS As of June 30, 2026 and December 31, 2025, our investments in loans and securities portfolio consisted of (i) Investments in Securities Available for Sale (“AFS securities”) under ASC 325-40 held at fair value with credit related changes recorded in earnings and non-credit related changes recorded in other comprehensive income; and (ii) investments in loans and securities held at fair value under the fair value option, with changes in fair value recorded in earnings. Below is a disaggregated presentation of our investments in loans and securities, including fair value adjustments, accrued interest income, and net of the allowance for credit losses, as applicable (in thousands):
(1) $542.1 million and $504.3 million were held by the Company for regulatory risk retention purposes as of June 30, 2026 and December 31, 2025, respectively. Investments in Securities, Available for Sale The Company has determined that it is the primary beneficiary of certain VIEs that were established to purchase its investments in Pagaya sponsored ABS notes and certificates. The portion of these consolidated VIEs that the Company does not own is accounted for as a noncontrolling interest in the consolidated financial statements. Refer to Note 5, “Consolidation and Variable Interest Entities,” for additional information. The amortized cost, gross unrealized gains and losses, and fair value of AFS securities as of June 30, 2026 and December 31, 2025 were as follows (in thousands):
(1) The difference between accumulated other comprehensive income (“AOCI”) and gross unrealized gains and losses represents capitalized transaction costs which have been reclassified to OCI and are amortized to interest income over the average life of the investments. (2) Includes accrued interest receivables of $41.1 million and $25.8 million as of June 30, 2026 and December 31, 2025, respectively. The following tables set forth the fair value and gross unrealized losses on investments in AFS 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):
The following tables set forth the amortized cost and fair value of investments in AFS securities by contractual maturities, as of the date indicated (in thousands):
(1) Based on expected maturity date cash flows. The following table sets forth gross proceeds and related investment gains and losses, as well as the allowance for credit losses of AFS securities, for the periods indicated (in thousands):
The following table sets forth the activity in the allowance for credit losses for investments in AFS securitization certificates, as of the dates indicated (in thousands):
Refer to Note 7, “Fair Value Measurement,” for additional information regarding the allowance for credit losses for investments. Investments in loans and securities, under the fair value option The fair value option may be elected on an instrument-by-instrument basis and is irrevocable unless a new election date occurs. If the fair value option is elected for an instrument, unrealized gains and losses for that instrument should be reported in earnings at each subsequent reporting date. We elected the fair value option to measure certain securities and all loans held by the company, as we believe that fair value best reflects the economic transaction of investing in certain securities and all loans. We determined the fair value of these securities and loans using a discounted cash flow methodology, while also considering market data as it became available. We record the initial fair value measurement and subsequent measurement changes in fair value in the period in which the changes occur within the gains and (losses) on investments in loans and securities in the unaudited condensed consolidated statements of income. We report the changes in fair value within (gains) and losses on investments in loans and securities in the unaudited condensed consolidated statements of cash flow. The following table presents activities of investments in loans and securities for which we elected the fair value option (in thousands):
Refer to Note 7, “Fair Value Measurement,” regarding the discounted cash methodology and the assumptions used for investments in loans and securities for which we elected the fair value option. 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 unaudited condensed consolidated balance sheets as of June 30, 2026 and December 31, 2025 (in thousands):
(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. (3) Income (loss) from these investments is included in investment (loss) income, net in the unaudited condensed consolidated statements of income.
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