KBRA Affirms and Upgrades Ratings from Theorem Funding Trusts

KBRA affirms its ratings on two classes of notes and upgrades its ratings on two 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 and affirmed ratings. All of the securities with upgraded ratings experienced increased credit enhancement. The data used for this review is as of the October 2025 distribution date (September 2025 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 and ESG Global Rating 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 Partners LLC (“Theorem”). Following the acquisition, Theorem now operates under the Pagaya Technologies platform. Pagaya Technologies is a financial company in the lending marketplace that uses machine learning, data analytics, and AI-driven credit and analysis technology. The combined platform following the acquisition now exceeds $3 billion in assets under management. As of October 31 2025, KBRA has ratings on 34 outstanding transactions under its Pagaya AI Debt Grantor Trust shelf, 12 transactions under its Research-Driven Pagaya Motor Asset Trust shelf and two outstanding transactions under the Pagaya Point of sale shelf.

Theorem Partners LLC was founded in 2014 and had purchased loans originated under the Prosper Platform, LendingClub Platform, Upstart Platform, Marlette Platform, and Upgrade Platform. The company was a research-driven investment manager that used data science and machine learning to purchase mainly unsecured personal loans from various marketplace lending (“MPL”) platforms. Below summarizes each Theorem transaction’s respective MPL origination platform and respective servicer of the collateral supporting the transaction.

According to Pagaya Technologies’ unaudited financial statements for Q2 2025, compared with Q2 2024, total revenue and other income increased to $326 million from $250 million, and net profit increased to $17 million from net loss of $75 million. Additionally, as of June 30, 2025, the Company had $183 million in cash and cash equivalents, and $468 million in total shareholders’ equity, compared with $188 million and $442 million as of December 31, 2024. Loans originated by an Originating Bank are serviced by the Platform, or an affiliate of the Originating Bank, hence there is limited reliance on the Company for servicing.

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

Methodologies