As two transactions under the Pagaya AI Debt Grantor Trust (PAID) shelf approach their April 15 call date, Pagaya Structured Products is sponsoring a $340 million securitization to refinance their collateral.
The proceeds from PAID 2026-R2 will fund a purchase account, which will purchase unsecured consumer loans from PAID 2024-2 and 2024-3, according to analysts from Kroll Bond Rating Agency and Fitch Ratings.
The deal will issue notes through fourteen tranches of notes, from classes A1 through EF. Almost all the tranches have a legal final maturity date of Feb. 15, 2034, except the A1 notes, which mature on April 15, 2027, according to the rating agencies.
Aso f the February 28 cutoff date, PAID 2026-R2's collateral had a weighted average seasoning of 22 months. It will buy most of its 65,156 underlying whole loans (68.77%) from PAID 2024-3, while the rest of the pool will come from the PAID 2024-2.
Fitch puts its gross default assumption for the PAID 2026-R2 pool at 17.5%, based on the underlying pool of loans and the performance of the two series to date.
The upcoming deal's notes benefit from initial hard credit enhancement levels of 72.79%, 63.55%, 43.05%, 29.35%, 18.05%, 9.10% and 8.10% on the classes A1, A2, B, C, D, E and F notes, respectively.
Notes will be repaid sequentially, KBRA said, and once the A1 through F notes reach their target note balances, the deal will use the remaining funds to maintain those targets before releasing more proceeds to the certificates.
Notes also benefit from initial overcollateralization at a level of 7.60% as of the closing date, KBRA said. That will change to target O/C ranging from 100% on the A1 notes to 24.60% on the class F notes, KBRA said.
The deal also gets credit support from a static reserve account, the lesser of (a) 0.15% of the balance of the purchase account as of the closing date and $551,970, KBRA said.
KBRA assigns ratings ranging from K1+ on the A1 notes through B+ on the EF tranche. Fitch assigns ratings ranging from F1+ on the A1 class to BB- on the class EF tranche.
