Press Release|ABS

KBRA Maintains Watch Downgrade Placement on Pagaya AI Debt Trust 2021-3

3 Jun 2024   |   New York

Contacts

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.

To access rating and relevant documents, click here.

Related Publications

Methodologies

Disclosures

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: 1004588

CONNECT WITH KBRA
805 Third Avenue
29th Floor
New York, NY 10022
+1 (212) 702-0707
Contact Us

© 2010-2024 Kroll Bond Rating Agency, LLC. All Rights Reserved. Kroll Bond Rating Agency, LLC is not affiliated with Kroll Inc., Kroll Associates Inc., KrollOnTrack Inc., or their affiliated businesses.