Press Release

DBRS Morningstar Finalizes Provisional Rating on Affirm Asset Securitization Trust 2020-Z1

Consumer Loans & Credit Cards
July 08, 2020

DBRS, Inc. (DBRS Morningstar) finalized its provisional rating on the following notes (the Notes) issued by Affirm Asset Securitization Trust 2020-Z1 (Affirm 2020-Z1):

-- $150,000,000 Class A Notes at A (sf)

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

(1) The transaction 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: June Update,” published on June 1, 2020. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020. The scenarios were updated on June 1, 2020, and are reflected in DBRS Morningstar’s rating analysis.

(2) The assumptions consider the moderate macroeconomic scenario outlined in the commentary (the moderate scenario serving as the primary anchor for current ratings). The moderate scenario assumes some success in containment of the coronavirus within Q2 2020 and a gradual relaxation of restrictions, enabling most economies to begin a gradual economic recovery in Q3 2020.

(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 rating.

(4) Transaction cash flows are sufficient to repay investors under all A (sf) stress scenarios in accordance with the terms of the Affirm 2020-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).

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

(9) All loans included in Affirm 2020-Z1 are originated by CRB, a New Jersey state-chartered Federal Deposit Insurance Corporation-insured bank.

(10) The annual percentage rate charged on the loans and CRB’s status as the true lender.

(11) Loans originated by CRB are within the New Jersey state usury limit of 30.00%.

(12) The legal structure and legal opinions that 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.”

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at:

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

The principal methodology is Rating U.S. Structured Finance Transactions (November 6, 2019), which can be found on under Methodologies & Criteria.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release:

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release:

For more information regarding the structured finance rating approach and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release:

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 or contact us at

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