Affirm Inc., is sponsoring a $777.6 million in asset-backed securities (ABS) secured by payments on point-of-sale unsecured consumer loans, which appears to be the first securitization from the Affirm Master Trust platform, after a track record of issuing similar debt through the Affirm Asset Securitization Trust.
The underlying fixed-rate loans are non-revolving and fully amortizing, with terms ranging from 30 days to 60 months, according to ratings analysts at Morningstar | DBRS. The transaction will issue class A, B, C, D and E notes through five tranches, says DBRS. Fitch Ratings, meanwhile, say the notes have a legal final maturity date of Feb. 15, 2033.
While the collateral loans have a FICO score of 672 on a weighted average (WA) basis, lower than all prior AFFRM trusts with revolving assets, except for AFFRM 2022-A. There is good news offsetting that metric, however. Affirm grade A loans account for 34.8% of the pool and have historically produced the lowest defaults in the sponsor's managed portfolios. The grade E loans have historically produced the highest defaults, and make up only 0.7% of the pool, the smallest proportion.
Also, while Affirm's managed portfolio default rates increased in the 2022 vintage, especially relative to originations in 2018 through 2021, Fitch said. Fitch's default assumption for the pool was 3.9% as of the statistical calculation.
Initial hard credit enhancement amounts to 28.29%, 22.04%, 15.6%, 10.7% and 3.7% on classes A, B, C, D and E, respectively.
Barclays Capital is the deal's lead underwriter, and while Affirm is servicing the notes, Nelnet is on the deal as backup servicer, according to Fitch.
Affirm also partners with a broad mix of merchants who facilitate the financings—337,000 active merchants as of Dec. 31, 2024—and this diversifies relationships and reduces risks. For this portfolio, Cross River Bank and Affirm Loan Services are the originators, while the latter is the servicer.
More than three million loans make up AFRMT 2025-1's collateral pool, according to Fitch. On a WA basis, they have a contract rate of 23.8%, and a remaining term of nine months.
Fitch assigns AAA, AA, A and BBB to the classes A, B, C and D notes. DBRS assigns 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 E tranche.
