CHICAGO, IL (February 24, 2012) — Fitch Ratings expects to rate Orange Lake Timeshare Trust 2012-A as detailed below.
Orange Lake Timeshare Trust 2012-A
–$116,725,000 class A notes ‘Asf'; Outlook Stable;
–$33,350,000 class B notes ‘BBBsf'; Outlook Stable.
Fitch’s stress and rating sensitivity analysis are discussed in the presale report titled ‘Orange Lake Timeshare Trust 2012-A’, dated Feb. 23, 2012, which is available on Fitch’s web site. The presale report details how Fitch addresses the key rating drivers which are summarized below.
Key Rating Drivers
Borrower Credit Quality and Historical Performance: OLTT 2012-A will exclude borrowers with FICO scores below 650. The WA FICO score for 2012-A is 737, up from 652 in OLTT 2006-A, OLCC’s last securitization.
Cumulative gross default (CGD) performance for 2012-A is expected to be better than that of OLCC’s total managed portfolio, as well as the 2006-A transaction. This is reflected in Fitch’s CGD proxy for the transaction.
Performance Deterioration: OLCC delinquency and default performance exhibited notable increases from 2004-2007 while defaults for the 2008-2010 vintages remain elevated. When isolating only 650+ FICOs, nominal improvement can be seen in 2010 and 2011 originations.
The derivation of Fitch’s CGD assumption focused on 2006-2009 650+ FICO originations. This focuses on the poorest performing vintages while also giving credit to the relatively high-credit-quality borrowers in the 2012-A pool.
Quality of Origination/Servicing: OLCC has demonstrated sufficient abilities as an originator and servicer of timeshare loans.
Legal Structure Integrity: The legal structure of the transaction should provide that a bankruptcy of OLCC and WRF would not impair the timeliness of payments on the securities.
Current Economic Conditions: The slow U.S. economic recovery and volatility therein could affect performance of 2012-A. This concern is mitigated by the conservative analysis and stress assumptions applied to 2012-A, as well as the total loss coverage for each class which results in default multiples consistent with the expected ratings per Fitch’s criteria.
Additional information is available at ‘ www.fitchratings.com ‘. The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings.
Applicable Criteria and Related Research:
–‘Criteria for Rating U.S. Timeshare Loan ABS’ dated June 30, 2011;
–‘Global Structured Finance Rating Criteria’ dated Aug. 4, 2011.
Applicable Criteria and Related Research: Orange Lake Timeshare Trust 2012-A (U.S. ABS)
Criteria for Rating U.S. Timeshare Loan ABS
SOURCE: Fitch Ratings