KBRA assigns preliminary ratings to four classes of notes issued by NFAS2 LLC, Series 2022-1 (“NFAS2 2022-1”), a small business loan ABS transaction. NFAS2 LLC (the “Issuer”) will issue four classes of Series 2022-1 Notes, totaling $125 million. This ABS transaction is the second for the Company, both rated by KBRA.

The Notes are “expandable” term notes such that at any time during the revolving period the Issuer may periodically issue additional Notes, up to a maximum amount of $500 million, as long as certain conditions are met, including receipt of Rating Agency Confirmation.

This transaction is secured by a revolving portfolio of receivables (“Receivables”) consisting of business loans (“SMB Loans”) made to small- and medium-sized businesses (“Merchants”). The SMB Loans have a fixed rate and term as well as an initial principal amount and repayment amount.

The transaction features a revolving period, which will end on the earlier of (i) prior to the close of business on September 15, 2025, approximately 36 months after the initial closing date and (ii) the date on which a rapid amortization event has occurred that is not later cured or waived. The Issuer may elect to redeem the Series 2022-1 Notes in whole or in part on any payment date on or after the payment date in September 2025. Additionally, the transaction features a partial Call Option, whereby up to 30% of the notes may be redeemed for 103% of par for the first 12 months or 101% of par for the second 11 months, such a call would be applied pro-rata between the notes.

Credit enhancement will consist of overcollateralization, subordination (except for the Class D Notes), excess spread, excess funding account, capitalized interest account and a reserve account, which will initially be funded in an amount equal to 0.50% of the aggregate balance of the Series 2022-1 Notes divided by 95.00%.

KBRA applied its Global General Rating Methodology for Asset-Backed Securities as well as its Global Structured Finance Counterparty Methodology and ESG Global Rating Methodology as part of its analysis of the transaction’s underlying collateral pool and the proposed capital structure. KBRA considered its operational review of National Funding, as well as periodic update calls with the Company. Operative agreements and legal opinions will be reviewed prior to closing.

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Related Publications

• General Global Rating Methodology for Asset-Backed Securities
• Global Structured Finance Counterparty Methodology
• ESG Global Rating Methodology

Disclosures

Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.

Information on the meaning of each rating category can be located here.

Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority pursuant to the Temporary Registration Regime. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider.

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