Auto ABS

The pool has a 25% concentration limit for electric vehicles, up from 15% from Series 2023-5. This increases risks to the transaction, because residual values on those types of cars are still unknown.

The distribution of dealers among the top categories have improved, while the floorplan loans have monthly payment rates that are at record highs.

Pagaya's artificial-intelligence model utilizes more data points in assessing whether a consumer is creditworthy than the handful typically used by traditional auto lenders, so it can find more consumers who would have previously been denied a loan.

Some 24% of the pool has 76- to 84-month contracts. This deprives observers and investors of robust performance data, because of the lack of seasoning.

The level of seasoning dropped to 18 months, from 21 months, while loans with remaining terms of 73-84 months increased to approximately 7.49%, up from 2.6%.

S&P Global Ratings has an expected cumulative net loss (ECNL) of 1.0% on the class A notes, and a 2.0x loss level on the 'BBB' notes.

Levels of initial hard credit enhancement had dropped on the class A notes to 61.90%, but had increased on the B, C and D classes.

Consumer ABS adapts to an environment where total U.S. household debt reaches a record high of $17.06 trillion, while observers say credit performances could reach pre-pandemic levels by 2024.

Credit enhancement is dynamic and depends on certain market value tests, as well as the composition of vehicles in the fleet.

Comprised of fixed- and floating-rate notes, one of the A classes, the A-2-B tranche, will issue notes benchmarked to he Secured Overnight Financing Rate (SOFR).