When you invest in claims (also known as assignment agreements), you are buying rights to receive loan repayments and interest from the borrower or lending company based on the agreement details. Claims are usually unsupervised by the regulatory authorities.
Notes, on the other hand, are regulated financial instruments that bundle together several loans with similar characteristics from the same lending company entity. Similarly as with claims you are entitled to receive repayments and interest based on the underlying loans within the note.
Some people have expressed concern that notes are similar to CDOs, we have reviewed this in our blog post.