KBRA Assigns Preliminary Ratings to Pagaya AI Debt Grantor Trust 2026-5 and Pagaya AI Debt Trust 2026-5

NEW YORK--(BUSINESS WIRE)--KBRA assigns preliminary ratings to 13 classes of notes issued by Pagaya AI Debt Grantor Trust 2026-5 and Pagaya AI Debt Trust 2026-5, collectively “PAID 2026-5,” an unsecured consumer loan ABS transaction. PAID 2026-5 has initial hard credit enhancement levels ranging from 85.90% for the Class A-1 Notes to 3.44% for the Class F-2 Notes. Credit enhancement is comprised of overcollateralization, subordination, except for the Class F-2 Notes, cash reserve accounts funded at closing, and excess spread.

PAID 2026-5 will issue 15 classes of notes totaling $591.00 million, with KBRA rating all classes of notes except the Class FR Securities, Class F2R Securities, and the Certificates.

Pagaya Structured Products LLC, the sponsor and administrator, is a wholly owned subsidiary of Pagaya US Holding Company LLC, formerly known as Pagaya Investments US LLC, which is 100% owned by Pagaya Technologies Ltd. (“Pagaya Technologies”), an Israeli corporation listed on the NASDAQ under ticker PGY. Pagaya Technologies is a technology company that deploys data science and proprietary AI-driven technology for credit analysis in the lending marketplace. This transaction is the 66th publicly rated securitization sponsored by Pagaya Structured Products LLC.

KBRA applied its Consumer Loan ABS Global Rating Methodology, as well as its Global Structured Finance Counterparty Methodology, as part of its analysis of the transaction’s proposed capital structure and Pagaya’s historical static pool data. KBRA considered its operational reviews of Pagaya and each of the Platform Sellers, as well as periodic update calls with the Company and Platform Sellers. KBRA has recently conducted surveillance on each platform’s KBRA-rated securitizations, as applicable.

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Methodologies

• ABS: Consumer Loan ABS Global Rating Methodology
• Structured Finance: Global Structured Finance Counterparty 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), one of the major credit rating agencies (CRA), is a full-service CRA 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 (DRO) by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized as a Qualified Rating Agency by Taiwan’s Financial Supervisory Commission and is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider (CRP) in the U.S.

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