Morningstar DBRS Takes Credit Rating Actions on Two Affirm Asset Securitization Trust Transactions

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

The credit rating actions are based on the following analytical considerations:

-- Transaction capital structures and the form and sufficiency of available credit enhancement. The current levels 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 December 2024 Update," published on December 19, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

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 (January 10, 2025) https://dbrs.morningstar.com/research/445740.

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 entities.

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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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 (December 05, 2024),
https://dbrs.morningstar.com/research/444162

Legal Criteria for U.S. Structured Finance (December 03, 2024),
https://dbrs.morningstar.com/research/444064

Rating U.S. Structured Finance Transactions (November 18, 2024),

https://dbrs.morningstar.com/research/443136

Global Methodology for Rating CLOs and Corporate CDOs (November 19, 2024),
https://dbrs.morningstar.com/research/443207

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.