Pagaya Structured Products is preparing to sponsor $295 million in asset-backed securities, secured by a pool of auto loans, and issued through two securitization trusts known jointly as RPM 2025-2.
The trusts are the Research-Driven Pagaya Motor Asset Trust 2025-2 and the Research-Driven Pagaya Motor Trust 2025-2, and will issue five classes of notes, all of which have a Sept. 26, 2033 legal final maturity date, according to Kroll Bond Rating Agency.
Interest on classes A through E will be paid sequentially, the rating agency said. Principal payments, meanwhile, will be repaid through three periods of a full turbo period, a non-turbo period and another full turbo period before an amortization trigger event, KBRA said. After an amortization event, the notes will enter a full turbo repayment sequence, when the transaction will use all available funds to pay down the outstanding notes sequentially.
The amortization events depend on a cumulative net loss trigger, KBRA said.
Pagaya purchased the loans for the deal from a group of about eight originators, including Ally Bank, and they will service their respective loans in the collateral pool, according to KBRA.
Ally Bank has a receivables call option, where it can repurchase its performing receivables at par once the total principal of all their loan outstandings pays down to either $10 million or 1.0% or less of the principal balance.
KBRA assigns AA, A, BB, BB and B to classes A, B,C, D and E, respectively.
In terms of credit enhancement, the notes benefit from subordination. The transaction has a four-month prefunding period. After that, the transaction goes into full turbo, when the overcollateralization target for each class will be 100%.
During the non-turbo period, or months 13 to 19, classes A, B, C and D will have overcollateralization targets of 44.0%, 27.4%, 15.5% and 13.0%, respectively.
Notes are also bolstered by a reserve account and excess spread. At closing, the account will be funded in an amount equal to $5.2 million, or about 1.79% of the prefunded pool balance, KBRA said. Gross excess spread comes to about 10.58%.
