Pagaya Technologies has returned to sponsor another securitization of AI-underwritten consumer loans, this time raising $600 million through about seven tranches of notes.
The deal is the eleventh this year for Pagaya AI Debt Selection Trust, and is slated to close by September 29, according to the Asset Securitization Report’s deal database. Known as PAID 2023-6, most of the transaction’s notes will be benchmarked on the three-month interpolated yield curve, the ASR database said.
In terms of spread expectations, the A1 notes, rated ‘Aa-‘ by Kroll Bond Rating Agency, are expected to have a spread of 175 basis points over the three-month I-Curve, pricing at par. After that spreads range from 230 bps over the three-month I-Curve to 825 points over.
Atlas SP Securities, Cantor Fitzgerald and SunTrust Robinson Humphrey Capital Markets are all listed as managers on the deal, according to the deal database. The trust will repay notes through a senior-subordinate structure, which confers some credit protection. Excess spread, a cash reserve account, and overcollateralization also help to ensure the timely repayment of notes.
KBRA intends to assign ratings of ‘AA-‘ to the A notes; ‘A-‘ to the class B notes; ‘BBB-‘ to the class C notes; ‘BB’ to the class D notes; ‘B-‘ to the class E notes; and ‘BBB-‘ to the class F notes, according to the ASR database.
