KBRA Maintains Watch Downgrade Placement on Pagaya AI Debt Trust 2021-3
3 Jun 2024 | New York
KBRA maintains its Watch Downgrade Placement on the Class C notes issued from Pagaya AI Debt Trust 2021-3 (“PAID 2021-3”). The rating was previously placed on Watch Downgrade on March 5, 2024, due to deteriorating credit performance, which prevented overcollateralization (“O/C”) from reaching its target level. To date, the securities have received timely interest payments.
The table below displays the current capital structure and Watch Placement undertaken in this review.
Following the Watch Placement in March 2024, the performance for the March 2024 through May 2024 distribution dates has shown signs of improvement as delinquency and monthly net loss levels have decreased. Current delinquencies have decreased from 10.93% to 10.25% for PAID 2021-3; however, overcollateralization continues to decrease and remains below its target amount. KBRA will continue to monitor transaction and Company performance and seek to resolve the Watch Placement over the next 90 days.
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