The Pagaya AI Debt Grantor Trust is returning to the securitization market to issue $414.4 million in asset-backed securities collateralized by unsecured consumer loans originated through proprietary artificial intelligence underwriting.
The deal, known simply as PAID 2026-REV1, features several notable changes since the platform raise money last December, including a higher note balance, $105.8 million compared with $77.5 million, and a three-month anticipated net loss trigger.
Among other structural changes, analysts at Kroll Bond Rating Agency find that a three-month anticipated net loss trigger is in place. If, during the two-year revolving period, the three-month (ANL) exceeds its 14.50% trigger, that will end the revolving period. Also, the breach cannot be cured, so the deal will begin to make principal payments sequentially, beginning with the class A notes and ending with the E tranches.
Also, during the amortization period, if the trigger is breached on or after the October 28 distribution date, then leftover funds will be applied to paying off classes E through A reverse sequentially, KBRA said.
This paydown will only happen if all the classes of notes are at their overcollateralization targets and the cumulative net default amortization trigger has not been activated, the rating agency said.
Among other deal sweeteners, if PAID 2026-REV1 doesn't breach any triggers, then the deal might pay an annual step-up premium representing 1.00% of each class's outstanding amount.
During the deal's three-month pre-funding period the deal will buy unsecured consumer loan assets from marketplace lending platforms and originating banks that Pagaya has partnered with. They include Happen Bank, MF Consumer Loan Trust and Prosper Funding.
The platform sellers are expected to service their respective loans, the rating agency said.
Vervent is on the deal as backup servicer for loans other than Rocket, SoFi, U.S. Bank and Upstart Loans.
Al the notes have a legal final maturity date of April 15, 2036, according to KBRA. Classes A, B, C, D and E have initial credit enhancement levels of 78.87%, 43.92%, 36.47%, 27.07% and 11.77%, respectively.
KBRA assigns ratings of AAA, AA-, A-, BBB- and BB- to classes A, B, C, D, and E, respectively.
