Morningstar DBRS Confirms Credit Rating on Affirm Asset Securitization Trust 2022-X1

DBRS, Inc. (Morningstar DBRS) confirmed its credit rating on Affirm Asset Securitization Trust 2022-X1 as follows:

-- Class A Notes at AA (low) (sf)

The credit rating confirmation is based on the following analytical considerations:

-- The transaction assumptions consider Morningstar DBRS’ baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns - March 2024 Update, published on March 27, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS’ moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020.

-- The transaction’s capital structure and the form and sufficiency of available credit enhancement. The current level of hard credit enhancement and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining cumulative net loss assumptions at a multiple of coverage commensurate with the credit rating.

-- The credit rating action is the result of collateral performance to date and Morningstar DBRS’ assessment of future performance assumptions.

-- The transaction parties’ capabilities with regard to originating, underwriting, and servicing.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (January 23, 2024) at https://dbrs.morningstar.com/research/427030.

Notes:
The principal methodology applicable to the credit rating is Morningstar DBRS Master U.S. ABS Surveillance (February 22, 2024), https://dbrs.morningstar.com/research/428506.

Other methodologies referenced in this transaction are listed at the end of this press release.

The credit rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for this credit rating action.

Morningstar DBRS had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action.

This is a solicited credit rating.

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

DBRS, Inc.
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New York, NY 10005 USA
Tel. +1 212 806-3277

The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- Operational Risk Assessment for U.S. ABS Servicers (March 21, 2024), https://dbrs.morningstar.com/research/430003
-- Operational Risk Assessment for U.S. ABS Originators (March 21, 2024), https://dbrs.morningstar.com/research/430004
-- Legal Criteria for U.S. Structured Finance (December 7, 2023), https://dbrs.morningstar.com/research/425081
-- Rating U.S. Structured Finance Transactions (February 22, 2024), https://dbrs.morningstar.com/research/428503
-- Global Methodology for Rating CLOs and Corporate CDOs (February 23, 2024), https://dbrs.morningstar.com/research/428544
-- Rating U.S. Trade Receivables (October 5, 2022), https://dbrs.morningstar.com/research/403636

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.