KBRA Affirms and Upgrades Ratings from Pagaya AI Debt Selection Trust and Pagaya AI Debt Trusts

KBRA affirms ratings on 75 classes of notes and upgrades ratings on 28 classes of notes from 21 Pagaya AI Debt Selection Trust and Pagaya AI Debt Trust (“PAID”) transactions. KBRA’s analysis indicated that existing credit enhancement for the notes is sufficient to support the revised and affirmed ratings. All of the securities with upgraded ratings experienced increased credit enhancement. The data used for this review is as of the April 2025 distribution date (March 2025 collection period). To date, the securities have received timely interest payments.

In performing its rating review, KBRA utilized its Consumer Loan ABS Global Rating Methodology, as well as its Global Structured Finance Counterparty Methodology and ESG Global Rating Methodology. In determining these rating actions, KBRA reviewed the collateral performance to date and projected the remaining loss for the transactions based on current assumptions. The rating actions, along with related deal and tranche performance information, are available in spreadsheet form in the accompanying Pagaya AI Debt Selection Trust Comprehensive Surveillance Dashboard. PAID 2024-9, PAID 2024-PT1, PAID 2024-10, PAID 2024-11, PAID 2024-PT2, PAID 2025-1, PAID 2025-2 and PAID 2025-3 were not included in this review as they are less than six months seasoned.

Pagaya Technologies Ltd., the parent company of the sponsor, is a NASDAQ-listed AI-driven financial technology firm. As of December 31, 2024, Pagaya Technologies reported total revenue and other income of $1.0 billion, $188 million in cash and cash equivalents, and $442 million in total shareholders’ equity. The company continues to maintain forward flow partnerships and warehouse facilities with institutional partners, including a $413 million credit facility with several major banks and recent forward flow agreements totaling up to $3.4 billion.

Pagaya originates loans according to its proprietary Pagaya Risk Tier (PRT) Score methodology, a machine learning-based credit assessment system implemented in 2024. The PRT Score ranks loans on a scale of 1 (lowest risk) to 7 (highest risk) and is used to evaluate and direct loan purchases across multiple originating platforms. All loans selected for inclusion in Pagaya’s ABS transactions must meet specific eligibility criteria and concentration limits based on PRT Score and other borrower and loan characteristics.

Pagaya’s financing vehicles have acquired loans from a broad network of Platform Sellers, including Prosper, LendingClub, Upgrade, Avant, Marlette, SoFi, Rocket Loans, Cross River Bank, and U.S. Bank. Each Platform Seller, an affiliate, or another approved servicer, services its respective loans. The PAID platform includes backup servicing arrangements with Vervent Inc. and Systems & Services Technologies Inc. to mitigate servicing disruption risk.

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For additional information regarding a specific transaction, see the list below to access ratings, reports, and disclosures:

Methodologies