On the book "Handbook of Categorical Algebra - Vol I" the author writes:
"Again a careless argument would deduce the existence of a category whose objects are the functors from $\mathcal A$ to $\mathcal B$ and whose morphisms are the natural trasnformation between them. But since $\mathcal A$ and $\mathcal B$ have merely classes of objects, there is in general no way to prove the existence of a set of natural transformations between two functors! But when $\mathcal A$ is small, that problem disappears..."
I noticed that in many other sources I've read, the claim of a category of functors between two categories is simply assumed to exist by postulating that functors are the objects, and natural transformations are the morphisms together with the vertical composition...
Hence, my question is how can we construct category of functors when the underlying categories are not small. I'm assuming this is possible, as people usually talk about categories such as $[\mathbf{Set}, \mathbf{Set}]$, where $\mathbf{Set}$ is only locally small.
Moreover, the definition of natural transformations requires indexing $\alpha$ by $a \in Ob(\mathcal C)$. How can we then claim that a natural transformation exists when the domain category $\mathcal C$ has a non-set class of objects?