DBRS Morningstar Assigns Rating to Series 4 Notes, Confirms Ratings on Series 1, 2, and 3 Notes Issued by NATF America LLC

DBRS, Inc. (DBRS Morningstar) assigned a rating of AA (sf) to the Series 4 Notes issued by NATF America LLC (the Issuer). DBRS Morningstar also confirmed the following ratings on the Series 1, Series 2, and Series 3 Notes:

-- Series 1 Notes at AA (sf)
-- Series 2 Notes at AA (sf)
-- Series 3 Notes at AA (sf)
-- Series 4 Notes at AA (sf)

The ratings are based on DBRS Morningstar’s review of the following analytical considerations:
-- The transaction assumptions consider DBRS Morningstar’s set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19) pandemic, available in its commentary “Global Macroeconomic Scenarios: September Update,” published on September 10, 2020. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, which have been regularly updated. The scenarios were last updated on September 10, 2020, and are reflected in DBRS Morningstar’s rating analysis.
-- The assumptions consider the moderate macroeconomic scenario outlined in the commentary, with the moderate scenario serving as the primary anchor for current ratings. The moderate scenario remains predicated on a more rapid return of confidence and a steady recovery heading into 2021.
-- The satisfactory insurance policy coverage of the principal on the receivable interests.
-- The creditworthiness of the insurance provider, ACE American Insurance Co., which DBRS Morningstar deems commensurate with the 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.

ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.

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) (November 6, 2019), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

For more information regarding the structured finance rating approach and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/359905.

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 www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

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