Pagaya Structured Products, a subsidiary of the AI-driven consumer lender, is floating $574.7 million in asset-backed securities (ABS) secured by auto loans that Pagaya purchased from its lending partners.
Research-Driven Pagaya Motor Asset Trust and Pagaya Motor Trust, series 2026-4, will issue the notes from about 16 tranches, most of which have a May 25, 2035 maturity date, says analysts from Kroll Bond Rating Agency. The class A1 notes mature on July 26, 2027.
The current transaction issues an additional series of notes, which will be paid to noteholders after it reaches the overcollateralization targets for the other notes. They benefit from a class XS reserve account, which covers interest expenses on the notes. It won't, however, payments to any other note holder in the deal.
Pagaya Motor Series 2026-4 also benefits from total excess spread of 7.62%, down from the 7.86% seen on the RPM 2026-3 deal, KBRA analysts said.
The transaction is fully prefunded, where no collateral is funded at closing and are initially supported by amounts deposited in the prefunding account.
RPM 2026-4 will repay the notes sequentially, which provides subordination to the notes. Also, classes A1, A2, A3, A4, E1 and E2 notes are exchange securities, while the A, A1A2 and A1A2A3 are among the deal's exchangeable securities, KBRA said.
Cashflow is also protected by an amortization event, which will put the deal into full turbo mode if breached.
Ally Bank, Consumer Portfolio Services, Exeter Finance and Stellantis Financial Services are among Pagaya's originator partners, according to KBRA.
The rating agency assigns K1+ to the A1 notes; AAA to the A2 through A4 notes; AA- to the class B notes; A- to the class C notes; and BBB-, BB+, BB and BB- to classes D, E1, E2 and XS.
