DBRS Morningstar Assigns Provisional Rating to Affirm Asset Securitization Trust 2021-Z1

DBRS, Inc. (DBRS Morningstar) assigned a provisional rating to the following notes (the Notes) to be issued by Affirm Asset Securitization Trust 2021-Z1 (Affirm 2021-Z1):

-- $320,000,000 Class A Notes at AA (sf)

The rating is based on DBRS Morningstar’s review of the following considerations:

(1) The transaction’s assumptions consider DBRS Morningstar’s set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19), available in its commentary “Global Macroeconomic Scenarios: March 2021 Update,” published on March 17, 2021. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, which have been regularly updated. The scenarios were last updated on March 17, 2021, and are reflected in DBRS Morningstar’s rating analysis.

(2) The assumptions consider the moderate macroeconomic scenario outlined in the commentary, with the moderate scenario serving as the primary anchor for the current rating. The moderate scenario factors in increasing success in containment during the first half of 2021, enabling the continued relaxation of restrictions.

(3) The transaction’s form and sufficiency of available credit enhancement.
-- Available credit enhancement consisting of overcollateralization, amounts held in the reserve account, and a form of excess spread are commensurate with the proposed rating.

(4) Transaction cash flows are sufficient to repay investors under all AA (sf) stress scenarios in accordance with the terms of the Affirm 2021-Z1 transaction documents.

(5) Structural features of the transaction that require the Notes to enter into full turbo principal amortization if certain triggers are breached or if credit enhancement deteriorates.

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

(7) The experience, underwriting, and origination capabilities of Cross River Bank (CRB) and Celtic Bank.

(8) Nelnet, Inc.’s (rated BBB (low) with a Negative trend by DBRS Morningstar) ability to perform duties as a Backup Servicer.

(9) All loans in the initial pool included in Affirm 2021-Z1 are originated by CRB and Celtic Bank, state-chartered Federal Deposit Insurance Corporation-insured banks based in New Jersey and Utah, respectively.

(10) The noninterest bearing loans in the pool and CRB and Celtic Bank’s status as the true lenders.

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

ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology is Rating U.S. Structured Finance Transactions (November 6, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

For more information regarding the structured finance rating approach and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/359905.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

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

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

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