Affirm, the San Francisco specialty finance company that provides point-of-sale unsecured consumer loans, usually non-revolving, is preparing to issue two series of notes through the Affirm Master Trust platform, raising a total of about $750 million.
The series AFRMT 2026-4 and AFRMT 2026-5 have virtually identical capital structures, issuing class A, B, C, D and E notes, according to analysts at Morningstar DBRS and Fitch Ratings, which assessed the deal.
They have different legal final maturity dates, however, as the 2026-4 series has a legal final maturity date of Sept. 17, 2035, and the 2026-5 notes nature on Sept. 15, 2037.
Barclays is lead underwriter for both transactions, according to Fitch.
Both transactions are backed by collateral pools of fixed-rate or zero-coupon consumer loans that are fully amortizing. In most cases, third parties originated the loans—including initiating them online to complete purchases with low average order values—according to DBRS.
Affirm did work with three key partner banks—Cross River Bank, Celtic Bank and Lead Bank—to source the underlying loans in the AFRMT 2026-4 and AFRMT 2026-5 series, according to the rating agencies.
Fitch finds that on the 2026-4 series, which will issue about $500 million, the class A notes are the most senior and will benefit from credit enhancement levels of 24.54% of the note balance. It will also issue the bulk of the notes, $392.2 million, according to Fitch.
Further down the waterfall, classes B, C, D and E have credit enhancement levels representing 18.04%, 12.29%, 8.64% and 3.74%, respectively, Fitch said.
On a weighted average (WA) basis, the revolving master trust has a FICO score of 670, the lowest of the master trust transactions and all previous AFFRM revolving ABS trusts, except for the AFFRM 2022-A deal, which had a WA FICO score of 668.
Slightly more than one third of the pool balance, 36.7%, is composed of grade A loans, which have the lowest likelihood of defaults, historically, Fitch and DBRS said.
For the series 2026-5, the class A notes, issuing $195.9 million, have 24.99% in credit enhancement. That tranche is followed by classes B, C, D and E, which benefit from credit enhancement levels of 18.84%, 12.94%, 9.49% and 4.24%, respectively, Fitch said.
