Morningstar DBRS Takes Credit Rating Action on Affirm Asset Securitization Trust 2023-X1

DBRS, Inc. (Morningstar DBRS) upgraded two credit ratings and confirmed two credit ratings from Affirm Asset Securitization Trust 2023-X1 as detailed in the summary chart below.

The credit rating actions are based on the following analytical considerations:
-- Transactions 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 ratings.

-- The credit rating actions are 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.

-- 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 coronavirus pandemic scenarios, which were first published in April 2020.

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 non-payment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. 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. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.

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 (August 13, 2024) https://dbrs.morningstar.com/research/437781.

Notes:
The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (August 06, 2024) https://dbrs.morningstar.com/research/437535.

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

The credit ratings were initiated at the request of the rated entity.

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

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

These are solicited credit ratings.

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 Originators and Servicers (August 06, 2024),
https://dbrs.morningstar.com/research/437545

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

-- Rating U.S. Structured Finance Transactions (August 06, 2024),
https://dbrs.morningstar.com/research/437571

-- Global Methodology for Rating CLOs and Corporate CDOs (September 19, 2024),
https://dbrs.morningstar.com/research/439759

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

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