Morningstar DBRS Assigns Credit Ratings to Affirm Master Trust, Loan Series 2024-A

DBRS, Inc. (Morningstar DBRS) assigned new credit ratings on the Loan Series 2024-A (the Loan) issued by Affirm Master Trust (the Trust):

-- $350,000,000 Loan Series 2024-A at A (low) (sf)

CREDIT RATING RATIONALE/DESCRIPTION
The credit ratings on the Loan are based on Morningstar DBRS' review of the following considerations:

(1) The transaction's form and sufficiency of available credit enhancement.
-- Overcollateralization, amounts held in the Cash Reserve Account, and excess spread create credit enhancement levels that are commensurate with the credit rating.
-- Transaction cash flows are sufficient to repay investors under all A (low) (sf) stress scenarios in accordance with the terms of the Affirm Master Trust, Loan Series 2024-A transaction documents.

(2) Inclusion of structural elements featured in the transaction such as the following:
-- Eligibility criteria for receivables that are permissible in the transaction.
-- Concentration limits designed to maintain a consistent profile of the receivables in the pool.
-- Performance-based Amortization Events, that, if breached, will end the Revolving Period and begin amortization.

(3) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns September 2024 Update, published on September 25, 2024. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020.

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

(5) The experience, underwriting, and origination capabilities of ALS, CRB, Celtic Bank, and Lead Bank.

(6) The ability of Nelnet Servicing to Perform duties as a Backup Servicer.

(7) The annual percentage rate charged on the loans and CRB, Celtic Bank, and Lead Bank's status as the true lenders.
-- All Receivables in the pool are originated by Affirm through its subsidiary ALS or by originating banks, CRB, Celtic Bank, and Lead Bank, New Jersey, Utah, and Missouri, respectively, state-chartered FDIC-insured banks.
-- Receivables originated by ALS utilize state licenses and registrations and interest rates are within each state's respective usury cap.
-- Receivables originated by CRB are all within the New Jersey state usury limit of 30.00%.
-- Receivables originated by Celtic Bank are all within the Utah state usury limit of 36.00%.
-- Receivables originated by Lead Bank are originated below 36.00%.
-- Receivables may be in excess of individual state usury laws; however, CRB, Celtic Bank, and Lead Bank as the true lenders are able to export rates that preempt state usury rate caps.
-- Receivables originated to a resident of the State of New York, Vermont or Connecticut as of the related Application Date will not exceed the applicable maximum rate of interest prescribed in the usury statute(s) of such State (it being understood that, as of the Closing Date, such statutory rate for such State is 16%, 12% and 12%, respectively).
-- Receivables originated to borrowers in Maine above the state usury cap will not be eligible to be included in the receivables to be transferred to the Trust.
-- Receivables originated to borrowers in Iowa will not be eligible to be included in the Receivables to be transferred to the Trust.
-- Receivables originated to borrowers in West Virginia will be eligible to be included in the Receivables to be transferred to the Trust. Affirm has the required licenses and registrations that will enable it to operate the bank partner platform in West Virginia.

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

Morningstar DBRS' credit rating on the Loan addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are Interest on the Advances and the outstanding amount of the Advances.

Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, the associated contractual payment obligation that is not a financial obligation is related to interest on any unpaid interest on the Advances and the Unused Fee.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

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:
All figures are in US dollars unless otherwise noted.

The principal methodology applicable to the credit rating is
Rating U.S. Structured Finance Transactions (Appendix I: U.S. Consumer Loan ABS Transactions) (November 18, 2024) https://dbrs.morningstar.com/research/443136.

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

The credit rating was initiated at the request of the rated entity.

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

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

This is a solicited credit rating.

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

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

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

-- Interest Rate Stresses for U.S. Structured Finance Transactions (February 26, 2024)
https://dbrs.morningstar.com/research/428623

-- Global Methodology for Rating CLOs and Corporate CDOs and the CLO Insight Model v1.0.1.4 (November 19, 2024), https://dbrs.morningstar.com/research/443207

-- Rating U.S. Trade Receivables (June 28, 2024), https://dbrs.morningstar.com/research/435271/rating-us-trade-receivables

-- Operational Risk Assessment for U.S. ABS Originators and Servicers (August 6, 2024), https://dbrs.morningstar.com/research/437545

-- Legal Criteria for U.S. Structured Finance (December 3, 2024), https://dbrs.morningstar.com/research/444064/legal-criteria-for-us-structured-finance

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.