KBRA Assigns Preliminary Ratings to Pagaya AI Debt Grantor Trust 2024-5 and Pagaya AI Debt Trust 2024-5

KBRA assigns preliminary ratings to seven classes of notes issued by Pagaya AI Debt Grantor Trust 2024-5 and Pagaya AI Debt Trust 2024-5 (collectively “PAID 2024-5”), a consumer loan ABS transaction. PAID 2024-5 has initial credit enhancement levels of 63.43% for the Class A Notes to 6.69% for the Class E Notes. Credit enhancement is comprised of overcollateralization, subordination of junior note classes, a cash reserve account funded at closing, and excess spread.

PAID 2024-5 will issue nine classes of notes totaling $396.0 million with KBRA rating the Class A through Class E Notes and Class AB and Class ABC Notes. KBRA will not be rating the Class F Notes, the Certificates, and the Class EFR Securities. PAID 2024-5 is a fully prefunded transaction where there is no collateral funded at closing and the notes are initially supported by amounts deposited in the prefunding account.

Pagaya Structured Products LLC, the sponsor and administrator, is a 100% owned subsidiary of Pagaya US Holding Company LLC (formerly known as Pagaya Investments US LLC), which is a 100% owned subsidiary of Pagaya Technologies Ltd. (“Pagaya Technologies”), an Israeli corporation listed on the NASDAQ (PGY). Pagaya Technologies is a financial technology company in the lending marketplace that uses machine learning, big data analytics, and AI-driven credit and analysis technology. This transaction is the 22nd publicly rated securitization sponsored by Pagaya Structured Products LLC (collectively with its affiliates, “Pagaya” or the “Company”).

KBRA applied its Consumer Loan ABS Global Rating Methodology, as well as its Global Structured Finance Counterparty Methodology and ESG Global Rating Methodology as part of its analysis of the transaction’s proposed capital structure and Pagaya’s historical gross loss data. KBRA has previously rated securitizations sponsored by each of the respective Platform Sellers except for U.S. Bank. Operative agreements and legal opinions will be reviewed prior to closing.

To access rating and relevant documents, click here.

Click here to view the report.

Methodologies

• ABS: Consumer Loan ABS Global Rating Methodology
• Structured Finance: Global Structured Finance Counterparty Methodology
• ESG Global Rating Methodology

Disclosures

Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.

Information on the meaning of each rating category can be located here.

Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider.

Doc ID: 1004165

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