KBRA assigns preliminary ratings to $270 million of notes issued by Research-Driven Pagaya Motor Asset Trust VII (“RPM VII”), an auto loan ABS transaction.

Pagaya Structured Products LLC 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. 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 third publicly rated securitization sponsored by Pagaya Structured Products LLC (collectively with its affiliates, “Pagaya” or the “Company”). Previously, Pagaya US Holding Company LLC served as sponsor for 16 securitizations of unsecured consumer assets. Overall, Pagaya Structured Products LLC and Pagaya US Holding Company LLC have completed 25 securitizations for over $10 billion since 2018 with 18 collateralized by unsecured consumer assets, five securitizations collateralized by auto loan receivables, and one securitization collateralized by a loan backed by single family rental properties.

This transaction, RPM VII, represents the first 144A term auto ABS securitization for the Company. RPM VII will issue three classes of notes totaling to $270 million. The proceeds from the sale of the notes and collections will be used to fund: (i) the prefunding account; (ii) the reserve account; and (iii) pay certain transaction expenses. RPM VII 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. During the six-month prefunding period, the amounts on deposit in the prefunding account will be used to purchase auto loans, subject to eligibility criteria and concentration limits, from the following third-party Originators: Automotive Credit Corporation (“ACC”), Consumer Portfolio Services, Inc. (“CPS”), First Help Financial, LLC (“FHF”), Stellantis Financial Services, Inc d/b/a First Investors Financial Services (“First Investors”), Flagship Credit Acceptance LLC and its affiliates, (collectively “Flagship”), Foursight Capital LLC (“Foursight”), Innovate Loan Servicing Corporation (“Innovate”), OpenRoad Lending LLC (“OpenRoad”), The Savings Group, Inc. and its affiliates (collectively “Autopay”), Anchored Financial, LLC (“Anchored”); and Westlake Services, LLC d/b/a Westlake Financial (“Westlake”). ACC, CPS, FHF First Investors, Flagship, Foursight, and Westlake will service their respective loans and are collectively referred to as the “Receivables Servicers”. In addition, Foursight will be the servicer for loans originated by Anchored, OpenRoad and Innovate, and Westlake will be the servicer for loans originated by Autopay. Loans directed for purchase by Pagaya are originated by or sold through the Originators with the assistance of proprietary credit technology provided by Pagaya Technologies. This proprietary credit technology is based on artificial intelligence and machine learning and is used to assess the credit quality of borrowers or potential borrowers of the Originators.

KBRA analyzed the transaction using the Auto Loan ABS Global Rating Methodology, as well as its Global Structured Finance Counterparty Methodology and ESG Global Rating Methodology. In applying the methodology, KBRA analyzed Pagaya’s static pool data and the capital structure using stressed cash flow assumptions. KBRA considered its operational reviews of Pagaya and the Originators and Receivables Servicers. Operative agreements and legal opinions will be reviewed prior to closing.

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Related Publications

• Auto Loan ABS Global Rating Methodology
• 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 pursuant to the Temporary Registration Regime. 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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