Pagaya Structured Products is returning to the capital markets with an $82.4 million offering of securitized bonds, secured by a pool of unsecured consumer loans.
Of the almost 60 securitizations that Pagaya has already completed, raising more than $24 billion since 2018, 43 were backed by unsecured consumer assets. This transaction, known as PAID 2024-PT1, will issue the notes through 11 tranches of notes.
All the notes have a Feb. 16, 2032 legal final maturity date, according to ratings analysts at Kroll Bond Rating Agency. The class A, B, C, D and E notes have initial credit enhancement levels representing 75.8%, 55.5%, 44.3%, 32.5% and 18.0%, respectively, KBRA said.
The underlying loans are whole loans sourced from Pagaya's roster of eligible platform sellers, including Prosper, LendingClub, Upgrade and Rocket Loans.
PAID 2024-PT1 follows a repayment sequence where funds are released to certificate holders after the control class has been paid down to maintain required levels of overcollateralization to the deal, KBRA said. In the PAID 2024-9 transaction, classes A through E will pay down their respective note balances before remaining funds are applied in reverse sequential order to further pay down the notes, analysts said.
Initial overcollateralization on PAID 2024-PT1 is 17.5%, up from 2.4% on the PAID 2024-90, while the reserve account remained at 0.50% of the pool balance, the rating agency said.
In other changes, PAID 2024-PT1 has a one-month prefunding period, compared with the two-month period built into PAID 2024-9, KBRA said.
KBRA assigns AAA to the class A notes; AA- to the class B notes; A- to the class C notes; BBB- to the class D notes; BB- to the class E notes; AA- to the AB tranche; A- to the ABC tranche; and BBB- to the class ABCD tranche.
