Pagaya Structured Products is preparing to sponsor a $595.8 million securitization of payments on eligible unsecured consumer loans, in its first deal of the year.
Fifteen classes of notes will be sold to investors, through Pagaya AI Debt Grantor Trust, 2026-1, or PAID 2026-1. Except for the A1 tranche, which has a legal final maturity of Feb. 15, 2027, the notes finally mature on Sept. 15, 2033, according to Kroll Bond Rating Agency.
As fully pre-funded transaction, PAID 2026-1's notes will initially be collateralized by the prefunding account. During a three-month period after closing, the prefunding account will use deposits to purchase unsecured consumer loans, if they meet eligibility criteria and concentration limits, KBRA said.
The notes benefit from credit enhancement levels include 84.6% and 69.2% on the A1 and A2 tranches, respectively. KBRA said. Also, they range from 37.3% on the class B notes to 2.33% on the F2 tranche, the rating agency said.
These credit enhancement levels come from two reserve accounts, one static and a dynamic one. PAID 2026-1 also includes excess spread of about 12.47%, KBRA said.
PAID 2026-1 will pay interest sequentially from the A1 notes through F2, KBRA said. The deal is also bolstered by several performance triggers, including a cumulative net default amortization trigger.
Pagaya is an online marketplace that uses artificial intelligence-driven loan underwriting and analysis to connect borrowers with its lending partners who provide the loans.
In this pool, originating lenders include LendingClub Bank, MF Consumer Loan Trust, RocketLoans and Prosper Funding, which service the loans they originate, according to KBRA. Vervent is on the deal as backup servicer for loans other than Rocket Loans and SoFi Loans.
KBRA assigns K1+ to the A1 class; AAA to the A2 notes; AA- to the class B notes; A- to the class C notes; and BBB- to the class D notes; BB- to the class E notes; and B+ and B- to the F1 and F2 notes, the rating agency said.
