DBRS Morningstar Confirms its Ratings on NATF America LLC

DBRS, Inc. (DBRS Morningstar) confirmed the ratings on the notes issued by NATF America LLC as follows:

-- Series 1 Notes at AA (sf)
-- Series 2 Notes at AA (sf)
-- Series 3 Notes at AA (sf)
-- Series 4 Notes at AA (sf)
-- Series 5 Notes at AA (sf)
-- Series 6 Notes at AA (sf)
-- Series 7 Notes at AA (sf)
-- Series 8 Notes at AA (sf)
-- Series 9 Notes at AA (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 satisfactory insurance policy coverage of the principal of the notes.

-- DBRS Morningstar’s opinion on the creditworthiness of ACE Property and Casualty Insurance Company as addressed in the related DBRS Morningstar financial strength rating.

-- The full and timely payment of the notes from the insurance proceeds upon worst-case default scenarios of the underlying receivables.

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 https://www.dbrsmorningstar.com/research/396929 (May 17, 2022).

Notes:
The principal methodology applicable to the ratings is DBRS Morningstar Master U.S. ABS Surveillance (May 16, 2023; https://www.dbrsmorningstar.com/research/414028).

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 U.S. ABS Originators (April 5, 2023)
https://www.dbrsmorningstar.com/research/412302
Interest Rate Stresses for U.S. Structured Finance Transactions (August 30, 2022)
https://www.dbrsmorningstar.com/research/402153
Legal Criteria for U.S. Structured Finance (December 7, 2022)
https://www.dbrsmorningstar.com/research/407008
Rating U.S. Structured Finance Transactions (February 6, 2023)
https://www.dbrsmorningstar.com/research/409449

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