Frequent securitization issuer Pagaya Structured Products, a subsidiary of Pagaya U.S. Holding, has returned to sponsor a $700 million securitization of asset-backed bonds from a pool of its unsecured consumer loans.
The collateral consists of unsecured consumer loans that Pagaya purchased from platform sellers, such as Prosper, Lending Club and Rocket Loans, according to a pre-sale report from Kroll Bond Rating Agency. Pagaya AI Debt Trust, series 2023-7 includes collateral from a Top 5 bank that the company recently brought on board as a platform seller, according to the company.
This is the 45th securitization overall under the Pagaya name, and the 13th in 2023 according to the company. Pagaya stocks its collateral pool with loans it purchases and originates, and for the latter it did so through its machine learning, big data analytics and credit and analysis driven by artificial intelligence. Known as PAID 2023-7, the deal sells asset-backed notes through 12 tranches, according to a pre-sale report from the Kroll Bond Rating Agency.
PAID 2023-7 will repay investors through a sequential pay structure, one of several credit positives on the deal. In terms of the sequential structure, the $235.5 million class A notes will be paid in full before classes B, C, D, E and F receive their principal payments. The deal also includes exchangeable notes, initial overcollateralization of 1.00%—that can build to a target of 100%, and a reserve account funded at about 1.50% of the prefunded pool balance, or $10.5 million, KBRA said.
The deal also includes gross excess spread before losses of 12.31%.
KBRA expects to assign ratings of 'AA' to the class A notes; 'A-' to class B; 'BBB-' to the class C notes; 'BB-' to the class D notes; and 'B-' to the class E notes. Among the exchangeable notes, KBRA assigns 'A-' to the AB notes; 'BBB-' to the ABC notes; and 'B-' to the DE notes.
