NEW YORK–(COMMERCIAL THREAD) – Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to three categories of banknotes issued by Pagaya AI Debt Selection Trust 2021-3 (“PAID 2021-3”), a consumer loan ABS transaction.
This transaction is the fourth publicly rated securitization for Pagaya Investments US LLC (“Pagaya” or the “Company”) and the third in 2021. Pagaya is a wholly-owned subsidiary of Pagaya Technologies Ltd., which is an Israeli company. The Company is a technology-based asset manager that uses data analytics and artificial intelligence (“AI”) to review and purchase certain unsecured consumer loans from market lending platforms (“MPL ), Original banks and auto loans from some auto finance companies.
PAID 2021-3 has initial credit enhancement levels of 34.30% for Class A Notes, 23.20% for Class B Notes and 10.50% for Class C Notes. credit consists of overcollateralisation, subordination of junior grade grades (except class C grades), cash reserve account and excess margin.
PAID 2021-3 is a fully pre-funded arrangement where there is no funded collateral at closing and the notes are initially backed by amounts deposited into the pre-funding account. During the 6 month pre-financing period, the amounts deposited into the pre-financing account will be used to purchase unsecured consumer loans, subject to eligibility criteria and concentration limits, from the following MPL platforms: LendingClub Bank , National Association (“LendingClub”); MF Consumer Loan Trust (“Marlette”); Prosper Funding LLC (“Prosper”); Before, LLC (“Before”); and Upgrade, Inc (“Upgrade”) (collectively, the “Platform Sellers”). In addition, Pagaya may purchase loans issued through a platform seller but which are held by its home bank, including LendingClub and Cross River Bank (“CRB”). Each platform seller will act as a manager for loans issued through their platform.
KBRA applied its ABS aggregate consumer credit rating methodology, as well as its global structured finance counterparty methodology and ESG aggregate rating methodology as part of its analysis of the proposed capital structure of the transaction and data. Pagaya’s gross loss history. KBRA has reviewed its operational reviews of Pagaya and each of the platform vendors, as well as periodic update calls with the company and the platform vendors. KBRA has been monitoring recent securitizations for each platform. Operational agreements and legal opinions will be reviewed prior to closing.
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Further information on key credit considerations, sensitivity analyzes which examine the factors that may affect these credit ratings and how they could lead to an improvement or a downgrade, and ESG factors (when they are a key factor in the change in credit rating or rating outlook) can be found in the full assessment report mentioned above.
A description of all substantially significant sources that were used to prepare the credit rating and information about the method (s) (including significant models and sensitivity analyzes of the relevant key rating assumptions, if any) used to determine The credit rating is available in the Information Disclosure Form (s) located here.
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Further information relating to this rating measure is available in the information disclosure form (s) referenced above. Additional information regarding KBRA’s policies, methodologies, rating scales and disclosures are available at www.kbra.com.
Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the United States Securities and Exchange Commission as NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a credit rating agency with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a credit rating agency with the UK Financial Conduct Authority under the temporary registration regime. In addition, KBRA is appointed as the designated rating agency by the Ontario Securities Commission for issuers of asset-backed securities to file a simplified prospectus or a shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a credit rating provider.