Morningstar DBRS Finalizes Provisional Ratings on Affirm Asset Securitization Trust 2024-B

DBRS, Inc. (Morningstar DBRS) finalized its provisional ratings on the following notes issued by Affirm Asset Securitization Trust 2024-B (Affirm 2024-B) as follows:

-- $564,330,000 Class A Notes at AAA (sf)
-- $49,310,000 Class B Notes at AA (high) (sf)
-- $49,300,000 Class C Notes at A (high) (sf)
-- $41,220,000 Class D Notes at BBB (high) (sf)
-- $45,840,000 Class E Notes at BB (sf)

CREDIT RATING RATIONALE/DESCRIPTION

The credit ratings are based on Morningstar DBRS' review of the following analytical considerations:

(1) The transaction's form and sufficiency of available credit enhancement.
-- Subordination, overcollateralization, amounts held in the Reserve Account, the Yield Supplement Overcollateralization Amount, and excess spread create credit enhancement levels that are commensurate with the ratings.
-- Transaction cash flows are sufficient to repay investors under all AAA (sf), AA (high) (sf), A (high) (sf), BBB (high) (sf), and BB (sf) stress scenarios in accordance with the terms of the Affirm 2024-B transaction documents.

(2) Inclusion of structural elements featured in the transaction such as the following:
-- Eligibility criteria for receivables that are permissible in the transaction.
-- Concentration limits designed to maintain a consistent profile of the receivables in the pool.
-- Performance-based Amortization Events that, when breached, will end the revolving period and begin amortization.

(3) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns June 2024 Update, published on June 28, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020.

(4) The experience, sourcing, and servicing capabilities of Affirm, Inc. (Affirm).

(5) The experience, underwriting, and origination capabilities of Affirm Loan Services LLC (ALS), Cross River Bank (CRB), Celtic Bank, and Lead Bank.

(6) The ability of Nelnet Servicing to perform duties as a Backup Servicer.

(7) The annual percentage rate charged on the loans and CRB, Celtic Bank, and Lead Bank's status as the true lender.
-- All loans in the initial pool included in Affirm 2024-B are originated by Affirm through its subsidiary ALS or by originating banks, CRB, Celtic Bank, and Lead Bank, New Jersey, Utah, and Missouri, respectively, state-chartered FDIC-insured banks.
-- Loans originated by ALS utilize state licenses and registrations and interest rates are within each state's respective usury cap.
-- Loans originated by CRB are all within the New Jersey state usury limit of 30.00%.
-- Loans originated by Celtic Bank are all within the Utah state usury limit of 36.00%.
-- Loans originated by Lead Bank are originated below 36.00%.
-- Loans may be in excess of individual state usury laws; however, CRB, Celtic Bank, and Lead Bank as the true lenders are able to export rates that preempt state usury rate caps.
-- The loan pool only includes loans made to borrowers in New York that have Contract Rates below the usury threshold.
-- Loans originated to borrowers in Iowa will be eligible to be included in the Receivables to be transferred to the Trust. These loans will be originated under the ALS entity using Affirm's state license in Iowa.
-- Loans originated to borrowers in West Virginia will be eligible to be included in the Receivables to be transferred to the Trust. Affirm has the required licenses and registrations that will enable it to operate the bank partner platform in West Virginia.
-- Affirm has obtained a supervised lending license from Colorado, permitting Affirm to facilitate supervised loans in excess of the Colorado annual rate cap, complying with Assurance of Discontinuance's (AOD's) safe harbor.
-- Loans originated to borrowers in Vermont above the state usury cap will be eligible to be included in the Receivables to be transferred to the Trust. Affirm has the required licenses and registrations in the state of Vermont.
-- Loans originated to borrowers in Connecticut with a Contract Rate above the state usury cap will be ineligible to be included in the Receivables to be transferred to the Trust until Affirm obtains the required licenses and registrations in the state of Connecticut. Inclusion of these Receivables will be subject to Rating Agency Condition.
-- Under the loan sale agreement, Affirm is obligated to repurchase any loan if there is a breach of representation and warranty that materially and adversely affects the interests of the purchaser.

(8) The legal structure and legal opinions that will address the true sale of the unsecured consumer loans, the nonconsolidation of the Trust, and that the Trust has a valid perfected security interest in the assets and consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance."

Morningstar DBRS' credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Interest Distribution Amount and the related Note Balance.
Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, the associated contractual payment obligation that is not a financial obligation is the portion of Note Interest Shortfall attributable to interest on unpaid Note Interest for each of the rated notes.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS

There were no Environmental/Social/Governance factor(s) 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 Factors in Credit Ratings (13 August 2024) https://dbrs.morningstar.com/research/437781.

Notes:
All figures are in US Dollars unless otherwise noted.

The principal methodology applicable to the credit ratings is Rating U.S. Structured Finance Transactions (Appendix I: U.S. Consumer Loan ABS Transactions) (06 August 2024) https://dbrs.morningstar.com/research/437571

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

The Morningstar DBRS Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. Morningstar DBRS analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/435206
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.

Global Methodology for Rating CLOs and Corporate CDOs and the CLO Insight Model v1.0.1.2 (February 23, 2024),
https://dbrs.morningstar.com/research/428544

Rating U.S. Trade Receivables (June 28, 2024)
https://dbrs.morningstar.com/research/435271

Operational Risk Assessment for U.S. ABS Originators and Servicers (August 6, 2024)
https://dbrs.morningstar.com/research/437545

Legal Criteria for U.S. Structured Finance (April 15, 2024)
https://dbrs.morningstar.com/research/431205

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