Affirm's latest securitization of point-of-sale, unsecured consumer loan payments comes to market to raise $518.1 million, through Affirm Master Trust, series 2026-2, with lower credit enhancement levels across all classes.
The underlying collateral is a revolving pool of fixed-rate or zero-coupon, fully amortizing, point-of-sale unsecured consumer loans, according to analysts at Fitch Ratings and Morningstar DBRS.
AFRMT 2026-2's weighted average (WA) FICO score, 672, is the lowest among the master trust transactions in Fitch Ratings' coverage, and all prior AFFRM revolving securitization trusts, except for AFFRM 2022-A. That series had a FICO score of 668 on a WA basis, according to Fitch.
All classes of notes—there are five tranches of classes A through E—have an April 16, 2035 final maturity date, according to DBRS. The deal is expected to close on March 24, the rating agency said.
Barclays Capital is the lead underwriter, according to Fitch.
Notes get credit enhancement from excess spread, initially representing 19.1% of the pool balance; overcollateralization, initially set at 3.50%, with a target of the same rate; and a reserve account representing 0.24% of the pool balance, Fitch said.
Initially, the classes A, B, C, D and E benefit from hard credit enhancement levels of 23.89%, 17.89%, 12.54%, 8.39% and 3.74%, according to Fitch.
All tranches have lower levels of credit enhancement, compared with the AFRMT 2026-1 transaction, Fitch said, when initial hard credit enhancement levels were 26.27%, 20.46%, 13.71%, 8.35% and 4.40% on classes A, B, C, D and E, respectively.
DBRS notes that Affirm's main loan product is a point-of-sale, unsecured consumer loan to finance online and in-store consumer purchases. Affirm Loans may also include point-of-sale unsecured consumer loans made through the Split Pay program for low average order value. The loans allow for either monthly or bi-weekly payments.
Cross River Bank, Celtic Bank and Affirm Loan Services are among the pool's originators, according to DBRS.
DBRS assigns ratings of (P) AAA (sf), (P) AA (sf), (P) A (sf), (P) BBB (sf) and (P) BB (sf) to classes A, B, C, D and E, respectively. Fitch assigns ratings of AAA, AA, A and BBB to the A, B, C and D tranches, respectively.
