KBRA has assigned preliminary ratings to five classes of notes issued by Research-Driven Pagaya Motor Asset Trust 2024-3 and Research-Driven Pagaya Motor Trust 2024-3 (collectively referred to as “RPM 2024-3”), an auto loan asset-backed securities (ABS) transaction. The initial credit enhancement levels range from 45.05% for the Class A notes to 0.45% for the Class E notes. This credit enhancement is structured through a combination of overcollateralization, subordination of junior note classes (excluding Class E), a cash reserve account funded at closing, and excess spread.
RPM 2024-3 will issue five classes of notes totaling $200 million. Proceeds from the note sale and collections will be allocated to fund: (i) the prefunding account, (ii) the reserve account, and (iii) cover certain transaction expenses. This transaction is fully prefunded, meaning there is no collateral funded at closing; instead, the notes are initially backed by amounts deposited in the prefunding account.
Pagaya Structured Products LLC, the sponsor and administrator, is a wholly-owned subsidiary of Pagaya US Holding Company LLC, which is in turn a wholly-owned subsidiary of Pagaya Technologies Ltd. (“Pagaya Technologies”), an Israeli financial technology company focused on the lending marketplace. Pagaya Technologies employs machine learning, big data analytics, and AI-driven credit analysis technologies and is publicly traded on NASDAQ under the ticker PGY. This transaction marks the 29th publicly rated securitization sponsored by Pagaya Structured Products LLC and its affiliates.
In its analysis of the transaction’s proposed capital structure and Pagaya’s historical static pool data, KBRA applied its Auto Loan ABS Global Rating Methodology, Global Structured Finance Counterparty Methodology, and ESG Global Rating Methodology. KBRA also considered its operational reviews of Pagaya, along with the third-party originators and servicers, and held periodic update calls with these entities. Additionally, KBRA has conducted surveillance on each third-party originator and servicer involved in KBRA-rated securitizations. Operative agreements and legal opinions will undergo review prior to closing.
For access to ratings and relevant documents, click here.
Methodologies:
- ABS: Auto Loan ABS Global Rating Methodology
- Structured Finance: Global Structured Finance Counterparty Methodology
- ESG Global Rating Methodology
Disclosures:
Further information regarding key credit considerations, sensitivity analyses that could impact these credit ratings, and ESG factors influencing rating changes can be found in the full rating report linked above.
A description of all significant sources used to prepare the credit rating and the methodologies employed, including relevant models and sensitivity analyses, is available in the Information Disclosure Form(s) located here.
For details on the meaning of each rating category, click here.
Additional disclosures related to this rating action can be found in the Information Disclosure Form(s) referenced above. For more information regarding KBRA’s policies, methodologies, rating scales, and disclosures, please visit www.kbra.com.
