DBRS Morningstar Confirms Ratings on the Series 1, 2, 3, 4, 5, 6, and 7 Notes Issued by NATF America LLC; Finalizes Provisional Rating on the Series 8 Notes; Assigns Rating to the Series 9 Notes

DBRS, Inc. (DBRS Morningstar) confirmed the ratings on the Series 1, Series 2, Series 3, Series 4, Series 5, Series 6, and Series 7 Notes issued by NATF America LLC; DBRS Morningstar finalized its provisional rating on the Series 8 Notes; DBRS Morningstar assigned a rating to the Series 9 Notes.

DBRS, Inc. (DBRS Morningstar) confirmed ratings on 7 series of notes as follows:
-- NATF America LLC, Series 1 Notes at AA (sf)
-- NATF America LLC, Series 2 Notes at AA (sf)
-- NATF America LLC, Series 3 Notes at AA (sf)
-- NATF America LLC, Series 4 Notes at AA (sf)
-- NATF America LLC, Series 5 Notes at AA (sf)
-- NATF America LLC, Series 6 Notes at AA (sf)
-- NATF America LLC, Series 7 Notes at AA (sf)

DBRS, Inc. (DBRS Morningstar) finalized its provisional rating on 1 series of notes as follows:
-- NATF America LLC, Series 8 Notes at AA (sf)

DBRS, Inc. (DBRS Morningstar) assigned a rating on 1 series of notes as follows:
-- NATF America LLC, Series 9 Notes at AA (sf)

RATING RATIONALE/DESCRIPTION
The ratings are based on DBRS Morningstar’s review of the following analytical considerations:

-- On April 4, 2022, DBRS Morningstar finalized its “Rating U.S. Structured Finance Transactions” methodology after the closure of a request for comment period on the updates to Appendix V: Obligations Backed by Insurance Policy (Financial Guarantee). This appendix to the methodology presents the criteria for which obligations backed by insurance policy (financial guarantee) in North America are assigned and/or monitored. In this update, DBRS Morningstar retains the ability to flow through, on a one-to-one basis, an entity’s DBRS Morningstar credit rating in the assignment and monitoring of a structured finance security and removed the use of an internal assessment.

-- The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, Baseline Macroeconomic Scenarios For Rated Sovereigns: March 2022 Update published on March 24, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. Despite several new or increasing risks including Russian invasion of Ukraine, rising inflation and new COVID-19 variants, the overall outlook for growth and employment in the United States remains relatively positive.

-- The Amendments that add Series 8 and Series 9 adhere to the same transaction structure as the legal documents originally rated. The numbers increase proportionally such that the rating is unaffected.

-- The satisfactory insurance policy coverage of the principal of the Notes.

-- DBRS Morningstar’s opinion on the creditworthiness of ACE Property and Casualty Insurance Company as addressed in the related DBRS Morningstar financial strength rating.

-- The full and timely payment of the notes from the insurance proceeds upon worst-case default scenarios of the underlying receivables.

-- Structural protections that enforce a controlled wind-down upon certain occurrences.

-- DBRS Morningstar’s operational review with regard to originations, underwriting, and servicing, which concludes that the entity is an acceptable originator and servicer of trade receivables with an acceptable backup servicer.

-- The legal structure and its consistency with DBRS Morningstar’s “Legal Criteria for U.S. Structured Finance” methodology. DBRS Morningstar is rating to the Legal Final Maturity Date. The rating is on the timely payment of interest and ultimate payment of principal.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
General Considerations
Rating actions on ACE Property and Casualty Insurance Company are likely to have an impact on this rating. ESG factors that have a significant or relevant effect on the credit analysis of ACE Property and Casualty Insurance Company are discussed separately at https://www.dbrsmorningstar.com/issuers/28514.
There were no Environmental/ Social/ Governance factor(s) that had a significant or relevant effect on the credit analysis

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/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.

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

The principal methodology is Rating U.S. Structured Finance Transactions – Appendix V: Obligations Backed by Insurance Policy (Financial Guarantee) (April 4, 2022), 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/baseline-macroeconomic-scenarios-application-to-credit-ratings.

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.

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