KBRA Assigns Preliminary Ratings to Research-Driven Pagaya Motor Asset Trust 2024-2 and Research-Driven Pagaya Motor Trust 2024-2
18 Jun 2024 | New York
KBRA assigns preliminary ratings to three classes of notes issued by Research-Driven Pagaya Motor Asset Trust 2024-2 and Research-Driven Pagaya Motor Trust 2024-2 (collectively “RPM 2024-2”), an auto loan ABS transaction. RPM 2024-2 has initial credit enhancement levels of 26.40% for the Class A notes to 2.45% for the Class C notes. Credit enhancement is comprised of overcollateralization, subordination of junior note classes (except for the Class C notes), a cash reserve account funded at closing, and excess spread.
RPM 2024-2 will issue three classes of notes totaling $196.0 million. The proceeds from the sale of the notes and collections will be used to fund: (i) the prefunding account; (ii) the reserve account; and (iii) pay certain transaction expenses. RPM 2024-2 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 24th publicly rated securitization sponsored by Pagaya Structured Products LLC (collectively with its affiliates, “Pagaya” or the “Company”).
KBRA applied its Auto 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, as well as periodic update calls with, Pagaya and the third-party originators and servicers. KBRA has recently conducted surveillance on each third-party originator’s KBRA-rated securitizations. Operative agreements and legal opinions will be reviewed prior to closing.
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