Affirm Asset Securitization Trust returns for its second deal of 2023, to raise $750 million in securitization bonds with point-of-sale unsecured consumer loans serving as collateral.
All of Affirm's loans are non-revolving loans and borrowers repay them on terms ranging from 30 days to 60 months, according to ratings analysts at DBRS Morningstar. The current transaction only includes loans with original terms not exceeding 24 months, according to DBRS.
Barclays, CIBC World Markets, Citigroup Global Markets and JP Morgan Securities are managers on the deal, which was upsized from $500 million, according to the Asset Securitization Report's deal database. Affirm Asset will issue the notes and repay them through a five-class structure, and all of the notes have a Sept. 15, 2028 maturity date, DBRS said. All of the notes are priced against the three-month Interpolated yield curve, and are expected to price virtually to par.
In terms of more specific pricing expectations, the 'AAA'-rated class A notes are expected to price within the 200 to 210 basis point range, while guidance on the 'BB'-rated class E notes ranges from 700 to 725 basis points, according to the ASR database.
The current transaction includes a 24-month revolving period, during which eligible receivables will be sold to the trust, as long as they stay with in established concentration limits and eligibility criteria. The revolving period, however, may stop, triggering amortization depending on performance.
Several forms of credit enhancement bolster note repayment, including a reserve account fully funded at 0.25% of the initial outstanding amount, overcollateralization, a yield supplement overcollateralization amount, and excess spread. Classes B, C, D and E also provide subordination to the structure.
Expandable notes are also featured in the deal, where the trust can issue additional notes up to $1.5 billion at any point during the revolving period.
DBRS expects to assign ratings of 'AAA' to the class A notes; 'AA' to the class B notes; 'A' to the class C notes; 'BBB' to the class D notes and 'BB' to the class E notes.
