ABS

Borrowers are considered prime in this pool, but Fitch Ratings notes that delinquency rates have been increasing since 2022.

Total hard credit enhancement will represent 4.5% of the note balance, and initial reserves amounting to 2.0% of the pool.

The pool is diversified, with its top obligor accounting for 3.2% of the pool balance, and the top 10 obligors account for 14.1%.

From the Q3 2021 to the early 2024 vintages, cumulative gross loss (CGL) levels had been trending up, likely due to consumer credit normalizing, due to inflationary pressures.

Fitch notes that 74.8% of the collateral pool, made up entirely of 3,103 loans, is backed by trucking—or transportation—equipment.

It is the program's second issuance to come to market with a pool made up entirely of consumer loans.

There is also a trigger embedded in the deal, attached to cumulative net losses that would set off a full turbo payment.

Amortization will start after the deal's two-year revolving period, when the trust will deposit revenue including collections and upgrades into the acquisition account.

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 current pool has smaller exposures to the construction and turf sectors compared to the 2024-2 series, which have seen higher loss rates than the agriculture sector.