Press Release|ABS
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KBRA Affirms and Upgrades Ratings for Theorem Funding Trusts

14 May 2026   |   New York

Contacts

KBRA upgrades its ratings on two classes of notes and affirms its ratings on one class 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 and affirmed ratings. All of the securities with upgraded ratings experienced increased credit enhancement. The data used for this review is as of the April 2026 distribution date (March 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 91 securitizations for over $38 billion since 2018 with 63 collateralized by unsecured consumer assets, 23 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 Pagaya Technologies’ unaudited first quarter 2026 financial results, total revenue and other income increased to $318 million for the three months ended March 31, 2026, from $290 million for the three months ending March 31, 2025, and the Company reported net income attributable to Pagaya Technologies Ltd. of $25 million, compared with $8 million for the prior-year period. As of December 31, 2025, the Company had $235 million in cash and cash equivalents and $555 million in total shareholders’ equity, compared with $318 million and $599 million, respectively, as of March 31, 2026.

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.

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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