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

DBRS, Inc. (DBRS Morningstar) assigned a rating of AA (sf) to the Series 7 Notes issued by NATF America LLC. DBRS Morningstar also confirmed the ratings on the Series 1, Series 2, Series 3, Series 4, Series 5, and Series 6 Notes at AA (sf).

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

-- The Amendment that adds Series 7 adheres to the same transaction structure as the legal documents originally rated. The numbers increase proportionally such that the rating is unaffected.
-- The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios For Rated Sovereigns,” published on September 8, 2021. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. The baseline macroeconomic scenarios reflect the view that, although the coronavirus remains a risk to the outlook, uncertainty around the macroeconomic effects of the pandemic has gradually receded. Current median forecasts considered in the baseline macroeconomic scenarios incorporate some risks associated with further outbreaks, but remain fairly positive on recovery prospects given expectations of continued fiscal and monetary policy support. The policy response to the coronavirus pandemic may nonetheless bring other risks to the forefront in the coming months and years.
-- 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. DBRS Morningstar is rating to the Legal Final Maturity Date. The rating is on the timely payment of interest and ultimate payment of principal.

ESG CONSIDERATIONS
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/373262.

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

The principal methodology is DBRS Morningstar Master U.S. ABS Surveillance (May 26, 2021), 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.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com.

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