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KBRA Affirms Ratings on Pagaya AI Debt Selection Trust 2021-1

8 Nov 2024   |   New York

Contacts

KBRA affirms its rating on the Class C note issued by Pagaya AI Debt Selection Trust 2021-1 (“PAID 2021-1”). Concurrently, KBRA removes the Class C note rating from Watch Downgrade, where it was placed on August 7, 2024, due to deteriorating credit performance and declining overcollateralization. While the transaction continues to see credit deterioration, since the initial Watch Placement, the sponsor of the transaction, Pagaya US Holding Company LLC, has supported the transaction by repurchasing collateral as is allowed under the transaction documents. The repurchase increased credit enhancement by 15.40%. KBRA’s analysis indicated that the existing credit enhancement for the notes is sufficient to support the affirmed ratings. The data used for this review is as of the October 2024 distribution date (September 2024 collection period). To date, the securities have received timely interest payments.

To access ratings and relevant documents, click here.

Click here to view the report.

Methodologies

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.

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