Pagaya AI will issue $387.5 million to support unsecured consumer loans.

The Pagaya AI Debt Trust, 2022-5, is preparing to issue $387.5 million in asset-backed securities to fund its portfolio of unsecured consumer loans, as well as reserve accounts and other transaction costs. offers.

According to Kroll Bond Rating Agency’s pre-sale report, sponsor Pagaya Structured Products has announced plans to increase the number of loans underwritten under stricter underwriting standards in the fall of 2021, particularly among higher-risk borrower segments. Among other changes, the rating agency has increased its recovery rate assumption to 6.25% for transactions referred to as PAID 2022-5, compared to 5.00% for PAID 2022-3 transactions.

According to KBRA, PAID 2022-5 has an initial overcollateralization level of 22.50% and a target O/C of 36.25%.

According to KBRA, Pagaya AI will purchase loans for the trust from various marketplace loan platforms including LendingClub Bank, MF Consumer Loan Trust, Prosper Funding, SoFi Lending and Upgrade.

KBRA states that under PAID, 2022-5, holders of Class A bonds will receive principal payments until they are fully repaid, after which Class B bonds will receive principal payments until principal is repaid. , repaying bondholders according to a sequential payment structure. It was paid in full, according to the rating agency.

Otherwise, PAID 2022-5 will benefit from several forms of credit enhancement, including overcollateralization, junior note class subordination, cash reserve accounts and excess spreads, KBRA said.

The PAID 2022-5 reserve account will be worth $18.65 million at closing, or approximately 3.73% of the pre-fund pool balance. The total excess spread before loss is approximately 10.66%.

Another structural feature is that Class A and B notes can be exchanged for Class AB notes and vice versa, KBRA said.

In addition to unsecured consumer loans, Pagaya Technologies also finances loans in the areas of auto loans and single-family rental properties using machine learning, big data analytics, AI-driven credit and analytics technology. I’m here. Since 2018, Pagaya has completed 30 of his securitizations worth more than $12 billion, with the majority of 21 transactions secured by unsecured consumer loans.

KBRA will assign an ‘A-‘ rating to the $323.2 million Class A notes. According to KBRA, a “BBB-” is a $64.2 million class B note. The final legal maturity date for all bonds is June 17, 2030.

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