KBRA Assigns Preliminary Ratings to Pagaya AI Debt Grantor Trust 2024-7 and Pagaya AI Debt Trust 2024-7
27 Junio 2024 - 6:33PM
Business Wire
KBRA assigns preliminary ratings to seven classes of notes
issued by Pagaya AI Debt Grantor Trust 2024-7 and Pagaya AI Debt
Trust 2024-7 (collectively “PAID 2024-7”), a consumer loan ABS
transaction. PAID 2024-7 has initial hard credit enhancement levels
of 61.05% for the Class A Notes to 5.90% for the Class E Notes.
Credit enhancement is comprised of overcollateralization,
subordination of junior note classes, a cash reserve account funded
at closing, and excess spread.
PAID 2024-7 will issue 10 classes of notes totaling $396.0
million with KBRA rating the Class A through Class E Notes and
Class AB and Class ABC Notes. KBRA did not rate the Class F Notes,
the Certificates, the Class EFR Securities, or the Class FR
Securities. PAID 2024-6 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
25th 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
To access rating and relevant documents, click here.
Click here to view the report.
Methodologies
- ABS: Consumer Loan ABS Global Rating Methodology
- Structured Finance: Global Structured Finance Counterparty
Methodology
- ESG Global Rating Methodology
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) 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: 1004944
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Analytical Contacts
Brendan Buckley, Senior Analyst (Lead Analyst) +1 646-731-1318
brendan.buckley@kbra.com
Juhi Paranjape, Senior Analyst +1 646-731-1340
juhi.paranjape@kbra.com
Melvin Zhou, Managing Director +1 646-731-2412
melvin.zhou@kbra.com
William Carson, Senior Director (Rating Committee Chair) +1
646-731-2405 william.carson@kbra.com
Business Development Contact
Arielle Smelkinson, Senior Director +1 646-731-2369
arielle.smelkinson@kbra.com