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KBRA Assigns Preliminary Ratings to Theorem Funding Trust 2022-2

KBRA assigns preliminary ratings to two classes of notes issued by Theorem Funding Trust 2022-2 (“THRM 2022-2”), a $421.70 million consumer loan ABS transaction.

The preliminary ratings reflect initial credit enhancement levels of 38.50% for the Class A Notes to 30.50% for the Class B Notes. Credit enhancement consists of overcollateralization, subordination (in the case of the Class A Notes) a reserve account funded at closing, and excess spread.

THRM 2022-2 is the fourth securitization for Theorem Partners LLC (“Theorem”). Theorem is a research-driven investment manager that uses data science and machine learning to purchase mainly unsecured personal loans from various marketplace lending platforms. THRM 2022-2 is backed solely by cash flows from unsecured consumer loans purchased by Theorem from Upstart Network, Inc. (“Upstart”), Marlette Funding, LLC (“Marlette), LendingClub Bank, National Association (“LendingClub”), Upgrade, Inc. (“Upgrade”), and Prosper Funding LLC (“Prosper”).

KBRA applied its Consumer 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 underlying collateral pool, the proposed capital structure and the Theorem’s historical gross loss data. KBRA has performed operational reviews of Theorem and each of the Platform Sellers and has conducted surveillance on each platform’s recent securitizations. KBRA will also review the operative agreements and legal opinions for the transaction prior to closing.

Click here to view the report. To access ratings and relevant documents, click here.

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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 pursuant to the Temporary Registration Regime. 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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