Press Release

DBRS Morningstar Assigns A low (sf) Rating To Affirm Operational Loans IV Trust

Consumer Loans & Credit Cards
April 27, 2020

DBRS, Inc. (DBRS Morningstar) assigned an A (low) (sf) rating to the Affirm Operational Loans IV Trust Class A Loan (the Class A Loan), which has been issued pursuant to the Loan and Security Agreement between Affirm Operational Loans IV Trust as Borrower, Salisbury Receivables Company LLC as Lender, and Barclays Bank PLC (rated “A” with a Stable trend by DBRS Morningstar) as Administrative Agent. The Class A Loan is secured by unsecured consumer loans originated by Cross River Bank (CRB) and sourced by Affirm, Inc. (Affirm).

The rating is based on DBRS Morningstar’s review of the following considerations:

-- DBRS Morningstar’s assessment as to how collateral performance could deteriorate due to macroeconomic stresses brought about by the Coronavirus Disease (COVID-19) pandemic. This assessment was guided by DBRS Morningstar’s set of macroeconomic scenarios for select economies related to the coronavirus pandemic that can be found in the publication Global Macroeconomic Scenarios: Implications for Credit Ratings published on April 16, 2020.

-- Transaction stresses applied were consistent with the Moderate Scenario for the United States whereby it is anticipated the coronavirus will begin to be contained during 2Q 2020, resulting in a gradual relaxation of stay-at-home measures and non-essential business closures, allowing a gradual economic recovery to begin starting in 3Q 2020. As a result, the applicable stresses to the transaction include an increase to the base-case worst-loss assumption, as well as an increase in hardship deferment utilization, consistent with the GDP and unemployment estimates in the Moderate Scenario.

-- Transaction structure and sufficiency of the warehouse facility’s advance rate and other forms of credit enhancement, which are commensurate with a rating of A (low) (sf).

-- Concentration limits and eligibility criteria, which will help maintain the characteristics of the revolving loan pool at a level commensurate with the A (low) (sf) rating level.

-- The warehouse facility has certain performance-related triggers, which, if violated, will result in an early amortization event.

-- The experience and sourcing capabilities of Affirm.

-- The experience, underwriting, and origination capabilities of CRB.

-- Nelnet, Inc.’s (rated BBB (low) with a Stable trend by DBRS Morningstar) ability to perform duties as a Backup Servicer.

-- The annual percentage rate charged on the loans and CRB status as the true lender.

-- All loans included in the warehouse facility are originated by CRB, a New Jersey state-chartered Federal Deposit Insurance Corporation-insured bank.
-- Loans originated by CRB are within the New Jersey state usury limit of 30.00%.

-- Loans may exceed individual state usury laws; however, CRB as the true lender are able to export rates that preempt state usury rate caps.

-- Loans originated to borrowers in states with active litigation—Second Circuit (New York, Connecticut, Vermont), Colorado, and West Virginia—are either excluded from the pool or limited to the usury cap in each respective state.

-- The legal structure and legal opinions that address the true sale of the unsecured consumer loans, the non-consolidation of the trust, that the trust has a valid perfected security interest in the assets, and consistency with the DBRS Morningstar “Legal Criteria for U.S. Structured Finance” methodology.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at:

All figures are in U.S. dollars unless otherwise noted.

The principal methodology is Rating U.S. Structured Finance Transactions (November 6, 2019), which can be found on under Methodologies & Criteria.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release:

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release:

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

For more information on this credit or on this industry, visit or contact us at [email protected].

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