KBRA Assigns Preliminary Ratings to Pagaya AI Debt Grantor Trust 2024-8 and Pagaya AI Debt Trust 2024-8
31 Jul 2024 | New York
KBRA assigns preliminary ratings to nine classes of notes issued by Pagaya AI Debt Grantor Trust 2024-8 and Pagaya AI Debt Trust 2024-8 (collectively “PAID 2024-8”), an unsecured consumer loan ABS transaction. PAID 2024-8 has initial hard credit enhancement levels of 72.15% for the Class A Notes to 2.95% for the Class F Notes. Credit enhancement is comprised of overcollateralization, subordination (except for the Class F Notes), a cash reserve account funded at closing, and excess spread.
PAID 2024-8 will issue 10 classes of notes totaling $390.20 million with KBRA rating the Class A through Class F Notes, Class AB, Class ABC and Class ABCD Notes. KBRA did not rate the Certificates or the Class FR Securities. PAID 2024-8 is a fully prefunded transaction where there will be no collateral funded at closing.
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. 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. Pagaya Technologies is currently a publicly traded company listed on the NASDAQ (PGY). This transaction is the 26th 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 static pool data. KBRA considered its operational reviews of Pagaya and each of the Platform Sellers, as well as periodic update calls with the Company and Platform Sellers. KBRA has recently conducted surveillance on each platform’s KBRA-rated securitizations. Operative agreements and legal opinions will be reviewed prior to closing.
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