DBRS Morningstar Confirms Rating on Affirm Asset Securitization Trust 2022-X1

DBRS, Inc. (DBRS Morningstar) confirmed the Class A Notes issued by Affirm Asset Securitization Trust 2022-X1 at AA (low) (sf).

The rating action is based on the following analytical considerations:

-- The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns - April 2023 Update, published on April 28, 2023. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020.

-- The collateral performance to date and DBRS Morningstar's assessment of future performance. As of the April 2023 payment date, Affirm Asset Securitization Trust 2022-X1 has amortized to a pool factor of 21.32%. While the current cumulative net loss of 5.38% is tracking above DBRS Morningstar’s initial base-case loss expectations of 5.46%, available credit enhancement is sufficient to support the Class A Notes.

-- Affirm Asset Securitization Trust 2022-X1 is currently at the target overcollateralization level of 9.75% of the outstanding receivables balance.

-- The transaction includes an Acceleration Trigger Event, which would be in breach if the Cumulative Default Rate exceeds 12.00%. As of the April 2023 payment date, the transaction has not breached the Cumulative Default Ratio Amortization Event.

-- The transaction parties’ capabilities with regard to originating, underwriting, and servicing.

-- The rating action is the result of performance to date, DBRS Morningstar's assessment of future performance assumptions, and the increasing levels of credit enhancement.

-- The transaction’s capital structure and form and sufficiency of available credit enhancement. The current level of hard credit enhancement and estimated excess spread are sufficient to support the DBRS Morningstar-projected remaining cumulative net loss assumption at a multiple of coverage commensurate with the ratings.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors 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 (May 17, 2022) https://www.dbrsmorningstar.com/research/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.

Notes:
The principal methodology applicable to the rating is DBRS Morningstar Master U.S. ABS Surveillance (February 6, 2023; https://www.dbrsmorningstar.com/research/409444).

Other methodologies referenced in this transaction are listed at the end of this press release.

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 rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the rating process for this rating action.

DBRS Morningstar had access to the accounts, management and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

This is a solicited credit rating.

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

DBRS, Inc.
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New York, NY 10005 USA
Tel. +1 212 806-3277

The rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

Operational Risk Assessment for U.S. ABS Servicers (April 5, 2023)
https://www.dbrsmorningstar.com/research/412303/operational-risk-assessment-for-us-abs-servicers

Operational Risk Assessment for U.S. ABS Originators (April 5, 2023)
https://www.dbrsmorningstar.com/research/412302/operational-risk-assessment-for-us-abs-originators

Legal Criteria for U.S. Structured Finance (December 7, 2022)
https://www.dbrsmorningstar.com/research/407008/legal-criteria-for-us-structured-finance

Rating U.S. Structured Finance Transactions (February 6, 2023)
https://www.dbrsmorningstar.com/research/409449/rating-us-structured-finance-transactions

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