KBRA Assigns Preliminary Ratings to Research-Driven Pagaya Motor Asset Trust 2023-3 and Research-Driven Pagaya Motor Trust 2023-3

KBRA assigns ratings to four classes of notes issued by Research-Driven Pagaya Motor Asset Trust 2023-3 and Research-Driven Pagaya Motor Trust 2023-3 (“RPM 2023-3”), a consumer loan ABS transaction. RPM 2023-3 has initial credit enhancement levels of 31.61% for the Class A notes to 3.10% for the Class D notes. Credit enhancement is comprised of overcollateralization, subordination of junior note classes, a cash reserve account, and excess spread.

RPM 2023-3 will issue four classes of notes totaling $267.7 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 2023-3 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.

Pagaya Structured Products LLC, the sponsor and administrator, 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. Pagaya Technologies is currently a publicly traded company listed on the NASDAQ (PGY). This transaction is the 11^th publicly rated securitization sponsored by Pagaya Structured Products LLC (collectively with its affiliates, “Pagaya” or the “Company”).

KBRA applied its Auto Loan ABS Global Rating Methodology, as well as its Global Structured Finance Counterparty Methodology and ESG Global Rating Methodology as part of its analysis of the transaction’s proposed capital structure and Pagaya’s historical gross loss 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 conducted surveillance on each platform’s recent securitizations. 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. 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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