Affirm securitization trust notes upgraded by Fitch as credit support builds

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Affirm trust notes upgraded

Highlights

Fitch upgraded AFFRM 2025-X2 class B notes to 'AAAsf' from 'AA+sf' and class C notes to 'AAsf' from 'A+sf', with a Positive Outlook for class C.
Current hard credit enhancement reached 70.17% for class A, 54.02% for class B, 33.83% for class C, all significantly above initial levels.
Weighted average FICO rose to 681, Affirm Loan Grade A loans increased to 40.68% of the pool, and Amazon exposure declined to 34.4%.

Rating actions and collateral metrics

As reported by Fitch Ratings, the agency upgraded AFFRM 2025-X2's class B notes to 'AAAsf' from 'AA+sf' and raised the class C notes to 'AAsf' from 'A+sf', while affirming the class A notes at 'AAAsf'. Fitch also assigned a Positive Rating Outlook to class C, citing increased credit enhancement since closing and an expectation that enhancement will continue to build; the Outlooks for classes A and B remain Stable.

The transaction is a static pool, and credit enhancement has been increasing since closing. Fitch said collateral characteristics remain broadly similar to those at closing, with performance tracking its initial expectations. The class A note has paid down to a 16.79% note factor, and the class B note is set to begin receiving principal once class A is fully paid. Fitch expects the short asset life and elevated prepayments to support rapid amortization of the remaining notes.

Weighted average FICO in the pool is 681, up from 677 at closing. The pool consists entirely of Affirm's core product, with Affirm Loan Grade A loans accounting for 40.68%, up from 38.4% at closing, while Grade E loans, historically the weakest performers, represent 1.16%, compared with 0.75% previously. The weighted average contract rate is 27.96%, little changed from 28.19% at closing. Amazon remains the largest merchant exposure at about 34.4% of the pool, down from 37% at closing.

Credit support and implications for structured finance

Fitch said that after reviewing performance since issuance, it assigned a base-case gross default assumption of 7.58% for the remaining pool. After including defaults already recorded since closing, that translates into a lifetime cumulative base-case gross default assumption of 8.18%, compared with 7.48% at closing. The agency said performance has remained in line with expectations and that overall pool characteristics are consistent with the original profile.

Current hard credit enhancement totals 70.17% for class A, 54.02% for class B, 33.83% for class C and 6.61% for class D, all above initial levels of 30.64%, 24.44%, 16.69% and 6.23%, respectively. Fitch said those enhancement levels are sufficient to cover its stressed cash flow assumptions across all classes, applying a 'AAAsf' rating stress of 4.75 times the base-case default rate for consumer loans.

StrideUp Homes’ Meridian Funding 2026-1 PLC securitisation received expected Fitch ratings across multiple note classes ahead of closing, backed by a pool of owner-occupied and buy-to-let home finance plans in England. Our earlier article highlighted the deal’s prefunding and structural features, along with Fitch’s key credit assumptions—such as a foreclosure-frequency adjustment for limited performance history—and the sensitivity scenarios that could move tranche ratings under weaker collateral performance.

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