Morningstar DBRS Takes Credit Rating Action on Affirm Operational Loans IV Trust

DBRS, Inc. (Morningstar DBRS) confirmed its credit rating on the Class A Loan issued by Affirm Operational Loans IV Trust at A (high) (sf).

The rationale for the rating recommendation considers the following factors:
-- The transaction parties' capabilities with regard to origination, underwriting, and servicing.

-- The confirmation is the result of collateral performance to date, Morningstar DBRS assessment of future performance assumptions, and the current level of credit enhancement.

-- The Transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, " Baseline Macroeconomic Scenarios for Rated Sovereigns September 2024 Update," published on September 25, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020.

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 rating 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 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.

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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.