DBRS Morningstar Assigns Provisional Rating to Affirm Asset Securitization Trust 2022-X1

DBRS, Inc. (DBRS Morningstar) assigned a provisional rating to the following notes (the Notes) to be issued by Affirm Asset Securitization Trust 2022-X1 (Affirm 2022-X1):

-- $366,548,000 Class A Notes at AA (low) (sf)

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

(1) The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns December 2021 Update, published on December 9, 2021. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. The baseline macroeconomic scenarios reflect the view that recent COVID-19 developments, particularly the new Omicron variant with subsequent restrictions, combined with rising inflation pressures in some regions, may dampen near-term growth expectations in coming months. However, DBRS Morningstar expects the baseline projections will continue to point to an ongoing, gradual recovery.

(2) The transaction’s form and sufficiency of available credit enhancement.
-- Overcollateralization, amounts held in the Reserve Account, and excess spread create credit enhancement levels that are commensurate with the proposed rating.

(3) Transaction cash flows are sufficient to repay investors under all AA (low) (sf) stress scenarios in accordance with the terms of the Affirm 2022-X1 transaction documents.

(4) 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.

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

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

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

(8) All loans in the initial pool included in Affirm 2022-X1 are originated by CRB and Celtic Bank, state-chartered Federal Deposit Insurance Corporation-insured banks based in New Jersey and Utah, respectively, or originated directly by Affirm
through its subsidiary, ALS.

(9) The annual percentage rate charged on the loans and CRB and Celtic Bank’s status as the true lenders.

(10) 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 (October 20, 2021), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482.

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.

The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at info@dbrsmorningstar.com.

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

DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA
Tel. +1 212 806-3277