KBRA Assigns Preliminary Ratings to Research-Driven Pagaya Motor Asset Trust 2026-4 and Research-Driven Pagaya Motor Trust 2026-4
KBRA assigns preliminary ratings to 16 classes of notes issued by Research-Driven Pagaya Motor Asset Trust 2026-4 and Research-Driven Pagaya Motor Trust 2026-4 (collectively “RPM 2026-4”), an auto loan ABS transaction. RPM 2026-4 has initial credit enhancement levels of 97.00% for the Class A-1 notes to 5.95% for the Class XS notes. Credit enhancement is comprised of overcollateralization (“O/C”), subordination of junior note classes (except for the Class E-2 notes), reserve accounts (including the capitalized interest amount and the Class XS Reserve Account) funded at closing, and excess spread.
RPM 2026-4 issued 16 classes of notes totaling $574.70 million, with KBRA rating all classes of notes except for the Class E2R. The proceeds from the sale of the notes and collections will be used to fund: (i) the prefunding account, (ii) the reserve accounts, and (iii) pay certain transaction expenses. RPM 2026-4 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.
