Press Release|ABS
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KBRA Upgrades Ratings for Theorem Funding Trusts

30 Oct 2026   |   New York

Contacts

KBRA upgrades its ratings on three classes of notes issued from three Theorem Funding Trust (“THRM”) transactions. KBRA’s analysis indicated that existing credit enhancement for the notes is sufficient to support the revised ratings. All of the securities experienced increased credit enhancement. The data used for this review is as of the October 2026 distribution date (September 2026 collection period). To date, the securities have received timely interest payments.

In performing its rating review, KBRA utilized its Consumer Loan ABS Global Rating Methodology, as well as its Global Structured Finance Counterparty Methodology. In determining these rating actions, KBRA reviewed the collateral performance to date and projected the remaining loss for the transactions based on current assumptions. The rating actions, along with related deal and tranche performance information, are available in spreadsheet form in the accompanying Theorem Funding Trust Comprehensive Surveillance Dashboard.

In October 2024, Pagaya Technologies Ltd. (“Pagaya Technologies”), an Israeli corporation listed on the NASDAQ (PGY), completed a 100% acquisition of Theorem. Pagaya Technologies is a financial company in the lending marketplace that uses machine learning, big data analytics, and AI-driven credit and analysis technology. The combined platform following the acquisition now exceeds $3 billion in assets under management. Pagaya has completed 100 securitizations for over $43 billion since 2018 with 68 collateralized by unsecured consumer assets, 27 securitizations collateralized by auto loan receivables, three securitizations collateralized by single family rental properties and two securitizations collateralized by point-of-sale consumer loans.

According to its unaudited Q3 2026 financial statements, total revenue and other income were approximately $1.10 billion for the nine months ended September 30, 2026, and GAAP net income attributable to Pagaya Technologies was $119.7 million. As of September 30, 2026, the Company had $247.1 million in cash and cash equivalents and $622.4 million in shareholders’ equity. Loans are serviced by the Platform Sellers or their affiliates; therefore, there is limited reliance on the Company for servicing.

Click here to view the report.

For additional information regarding a specific transaction, see the list below to access ratings, reports, and disclosures:

Methodologies

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.

Information on certain affiliations between directors of KBRA Ratings and rated entities or related third parties 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 US 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. Kroll Bond Rating Agency Japan K.K. is registered as a CRA with the Japan Financial Services Agency. 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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