KBRA assigns preliminary ratings to Pagaya AI Debt Trust 2021-5

NEW YORK–(COMMERCIAL THREAD) – Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to three categories of notes issued by Pagaya AI Debt Trust 2021-5 (“PAID 2021-5”), a consumer loan ABS transaction.

This transaction is the fifth publicly rated securitization for Pagaya US Holding Company LLC (“Pagaya” or the “Company”), formerly known as Pagaya Investments US LLC, and the fourth in 2021. Pagaya is a wholly-owned subsidiary of Pagaya Technologies Ltd. , which is an Israeli company. The Company is a lending financial technology company that utilizes machine learning, big data analytics, and sophisticated AI-based credit and analytics technology.

PAID 2021-5 has initial credit enhancement levels of 33.90% for Class A Notes, 22.80% for Class B Notes and 10.50% for Class C Notes. Credit includes overcollateralisation, subordination of junior grade grades (except Class C grades), a cash reserve account and excess margin.

PAID 2021-5 is a fully pre-funded arrangement where there is no funded collateral at closing and the notes are initially supported 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, “Platform Sellers”). In addition, Pagaya may order the depositor to purchase loans issued through a platform seller but which are held by its home bank, including LendingClub and Cross River Bank (“CRB”). Each platform vendor or an affiliate of each platform vendor will act as a manager for loans issued through their platform. Loans issued by an issuing bank are managed by the issuing bank, the platform vendor, or an affiliate of the platform vendor.

KBRA applied its ABS aggregate consumer loan 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 for 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.

Click on here to view the report. To access the evaluations and relevant documents, click on here.

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Disclosures

Further information on key credit considerations, sensitivity analyzes that examine the factors that may affect these credit ratings and how they might lead to an upgrade or downgrade, and ESG factors (where they are a major driver of change in credit rating or rating outlook) can be found in the full rating 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 relevant key rating assumptions, if any) used to determine the credit rating are available in the information disclosure form (s) located here.

Information about the meaning of each rating category can be located here.

Further information relating to this rating measure is available in the information disclosure form (s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures can be found at www.kbra.com.

About KBRA

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 Financial Conduct Authority of the United Kingdom 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.


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