KBRA Assigns Preliminary Ratings to Pagaya AI Debt Grantor Trust 2024-5 and Pagaya AI Debt Trust 2024-5
May 02 2024 - 1:49PM
Business Wire
KBRA assigns preliminary ratings to seven classes of notes
issued by Pagaya AI Debt Grantor Trust 2024-5 and Pagaya AI Debt
Trust 2024-5 (collectively “PAID 2024-5”), a consumer loan ABS
transaction. PAID 2024-5 has initial credit enhancement levels of
63.43% for the Class A Notes to 6.69% for the Class E Notes. Credit
enhancement is comprised of overcollateralization, subordination of
junior note classes, a cash reserve account funded at closing, and
excess spread.
PAID 2024-5 will issue nine classes of notes totaling $396.0
million with KBRA rating the Class A through Class E Notes and
Class AB and Class ABC Notes. KBRA will not be rating the Class F
Notes, the Certificates, and the Class EFR Securities. PAID 2024-5
is a fully prefunded transaction where there is no collateral
funded at closing and the notes are initially supported by amounts
deposited in the prefunding account.
Pagaya Structured Products LLC, the sponsor and administrator,
is a 100% owned subsidiary of Pagaya US Holding Company LLC
(formerly known as Pagaya Investments US LLC), which is a 100%
owned subsidiary of Pagaya Technologies Ltd. (“Pagaya
Technologies”), an Israeli corporation listed on the NASDAQ (PGY).
Pagaya Technologies is a financial technology company in the
lending marketplace that uses machine learning, big data analytics,
and AI-driven credit and analysis technology. This transaction is
the 22nd publicly rated securitization sponsored by Pagaya
Structured Products LLC (collectively with its affiliates, “Pagaya”
or the “Company”).
KBRA applied its Consumer Loan ABS Global Rating Methodology, as
well as its Global Structured Finance Counterparty Methodology and
ESG Global Rating Methodology as part of its analysis of the
transaction’s proposed capital structure and Pagaya’s historical
gross loss data. KBRA has previously rated securitizations
sponsored by each of the respective Platform Sellers except for
U.S. Bank. Operative agreements and legal opinions will be reviewed
prior to closing.
To access rating and relevant documents, click here.
Click here to view the report.
Methodologies
- ABS: Consumer Loan ABS Global Rating Methodology
- Structured Finance: Global Structured Finance Counterparty
Methodology
- ESG Global Rating Methodology
Disclosures
Further information on key credit considerations, sensitivity
analyses that consider what factors can affect these credit ratings
and how they could lead to an upgrade or a downgrade, and ESG
factors (where they are a key driver behind the change to the
credit rating or rating outlook) can be found in the full rating
report referenced above.
A description of all substantially material sources that were
used to prepare the credit rating and information on the
methodology(ies) (inclusive of any material models and sensitivity
analyses of the relevant key rating assumptions, as applicable)
used in determining the credit rating is available in the
Information Disclosure Form(s) located here.
Information on the meaning of each rating category can be
located here.
Further disclosures relating to this rating action are available
in the Information Disclosure Form(s) referenced above. Additional
information regarding KBRA policies, methodologies, rating scales
and disclosures are available at www.kbra.com.
About KBRA
Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit
rating agency registered with the U.S. Securities and Exchange
Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is
registered as a CRA with the European Securities and Markets
Authority. Kroll Bond Rating Agency UK Limited is registered as a
CRA with the UK Financial Conduct Authority. In addition, KBRA is
designated as a designated rating organization by the Ontario
Securities Commission for issuers of asset-backed securities to
file a short form prospectus or shelf prospectus. KBRA is also
recognized by the National Association of Insurance Commissioners
as a Credit Rating Provider.
Doc ID: 1004165
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Analytical
Brendan Buckley, Senior Analyst (Lead Analyst) +1 646-731-1318
brendan.buckley@kbra.com
Juhi Paranjape, Senior Analyst +1 646-731-1340
juhi.paranjape@kbra.com
Melvin Zhou, Managing Director +1 646-731-2412
melvin.zhou@kbra.com
Hollie Reddington, Senior Director (Rating Committee Chair) +1
646-731-3375 hollie.reddington@kbra.com
Business Development
Arielle Smelkinson, Senior Director +1 646-731-2369
arielle.smelkinson@kbra.com