Press Release|ABS
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KBRA Affirms and Upgrades Ratings for Pagaya AI Debt Selection Trust and Pagaya AI Debt Trusts

17 Sep 2025   |   New York

Contacts

KBRA affirms ratings on 165 classes of notes and upgrades ratings on 19 classes of notes from 29 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 August 2025 distribution date (July 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 2025-4, PAID 2025-R2 and PAID 2025-5 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 June 30, 2025, the Company had $183 million in cash and cash equivalents, and $468 million in total shareholders’ equity, compared with $188 million and $442 million as of December 31, 2024. The company continues to maintain forward flow partnerships and warehouse facilities with institutional partners, including a $413.0 million credit facility with several major banks and recent forward flow agreements totaling up to $6.0 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.

Click here to view the report.

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

Methodologies

Disclosures

Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.

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), one of the major credit rating agencies (CRA), is a full-service CRA 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 (DRO) by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized as a Qualified Rating Agency by Taiwan’s Financial Supervisory Commission and is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider (CRP) in the U.S.

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