KBRA Assigns Preliminary Ratings to Theorem Funding Trust 2022-2


NEW YORK, July 15, 2022–(BUSINESS WIRE)–KBRA assigns preliminary ratings to two classes of bonds issued by Theorem Funding Trust 2022-2 (“THRM 2022-2”), a $421.70 million consumer loan ABS transaction.

Preliminary ratings reflect initial credit enhancement levels of 38.50% for Class A Notes to 30.50% for Class B Notes. Credit enhancement consists of overcollateralisation, subordination (in the case of Class A Notes) to a Funded Reserve Account 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 primarily purchase unsecured personal loans from various market lending platforms. THRM 2022-2 is supported solely by cash flow 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 global ABS rating methodology for consumer loans, as well as its global structured financial counterparty methodology and its global ESG rating methodology as part of its analysis of the underlying collateral pool of the transaction, the proposed capital structure and historical data on gross losses of the theorem. KBRA has conducted operational reviews of Theorem and each of the platform vendors and has conducted monitoring of recent securitizations of each platform. KBRA will also review the operational agreements and legal opinions of the transaction prior to closing.

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

Related Publications

Further information on key credit considerations, sensitivity analyzes that consider factors that may affect these credit ratings and how they could lead to an upgrade or downgrade, and ESG factors (where they are a key factor in changing the credit rating or rating outlook) can be viewed in the full rating report mentioned above.

A description of all substantially significant sources that were used to prepare the credit rating and information on the methodology(ies) (including all significant models and sensitivity analyzes of the main relevant rating assumptions, the where applicable) used to determine the credit rating are available in the information disclosure form(s) located here.

Information on the meaning of each rating category can be found here.

Additional information relating to this rating metric is available in the information disclosure form(s) referenced above. Additional information regarding KBRA’s policies, methodologies, grading scales and disclosures is available at www.kbra.com.

About KBRA
Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the United States Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a rating agency with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a rating agency with the UK Financial Conduct Authority under the temporary registration scheme. In addition, KBRA is designated as the Designated Rating Agency 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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Analytical Contacts
Michael Espino, Associate Director (Senior Analyst)
+1 (646) 731-1282
[email protected]

Prachi Talathi, Associate Director
+1 (646) 731-1275
[email protected]

Rosemary Kelley, Senior Managing Director (Ratings Committee Chair)
+1 (646) 731-2337
[email protected]

Business Development Contact Information
Ted Burbage, General Manager
+1 (646) 731-3325
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