Pagaya Structured Products is continuing its securitization program with the $297 million, and the 23rd publicly rated deal will issue notes secured by unsecured consumer loans through the Pagaya AI Debt Grantor Trust and Pagaya AI Debt Trust, both series 2024-6.
The transaction will not have a set collateral pool at closing, but a prefunding account will support issued notes during an initial two-month prefunding period, according to ratings analysts at Kroll Bond Rating Agency. Proceeds from the debt capital will purchase the unsecured consumer loans directly from its online lending platforms and its originating banks.
Some of those lenders, originating banks and loan sellers include LendingClub Bank, SoFiLending, Cross River Bank and RockLoans Marketplace, according to KBRA.
The capital structure will issue notes through about 11 tranches, comprised of class A, B, C, D, E and F notes, including about four classes of notes available for exchange, according to KBRA. Noteholders will be repaid sequentially, and before an amortization event, the class A, B, C, D and E notes will receive enough principal payments to reach their respective target note balances. Once this happens, remaining notes will pay principal to the class F notes, KBRA said.
This order of repayment is just one structural feature that confers credit enhancement to the notes. The series 2024-6 notes include a cumulative net default amortization trigger that will pay principal to classes A through F notes sequentially if an amortization trigger is in effect, KBRA said.
The notes also benefit from a $3.7 million cash reserve account and excess spread.
All of the notes will mature on November 17, 2031, and they have initial credit enhancements ranging from 66.63% on the class A notes to 1.50% on the class F notes.
KBRA assigns AA to the A notes and A- to the B notes; BBB-, BB- and B- to the C, D and E notes; and A- and BB- to the exchangeable AB and ABC notes, it said.
