CHICAGO, IL (March 14, 2012) — Fitch Ratings expects to rate Sierra Timeshare 2012-1 Receivables Funding LLC (Sierra 2012-1) as follows:
–$192,850,000 class A notes ‘Asf'; Outlook Stable;
–$57,150,000 class B notes ‘BBBsf'; Outlook Stable.
Fitch’s stress and rating sensitivity analysis are discussed in the presale report titled ‘Sierra Timeshare 2012-1 Receivables Funding LLC’, dated March 12, 2012, which is available on Fitch’s web site. The presale report details how Fitch addresses the key rating drivers which are summarized below.
Consistent Collateral Composition: Approximately 71.69% of Sierra 2012-1 consists of Wyndham Vacation Resorts, Inc. (WVRI)-originated loans, and the remaining 28.31% are Wyndham Resort Development Corporation (WRDC) loans. The concentration of WVRI receivables is comparable to recent transactions. In reviewing managed portfolio data that exclude sub-600 obligors, Fitch has determined that, on a like-for-like FICO basis, WRDC’s receivables perform better than WVRI’s.
Performance Deterioration: Similar to other timeshare originators and other consumer asset types, Wyndham delinquency and default performance exhibited notable increases in the 2007 vintage and peaked in the 2008 vintage. While 2009 and 2010 vintages are displaying improved performance under the WRDC platform, the improvement is not evident under the WVRI platform.
Weighted Average Seasoning: The weighted average seasoning (WAS) of the Sierra 2012-1 collateral is 12 months. This represents a significant decrease from 2011-3 at 26 months, but is within the middle of the range of seasoning for recent Sierra transactions. Pools with higher seasoning may experience lower cumulative gross defaults (CGD) relative to less seasoned pools, as seasoned pools have incurred a significant portion of their losses prior to their inclusion in a securitization.
Quality of Origination/Servicing: Wyndham Worldwide has demonstrated sufficient abilities as an originator and servicer of timeshare loans. This is evidenced by the historical delinquency and loss performance of securitized trusts and of the managed portfolio.
Legal Structure Integrity: The legal structure of the transaction should provide that a bankruptcy of Wyndham Worldwide and Wyndham Consumer Finance, Inc. (WCF) would not impair the timeliness of payments on the securities.
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: Sierra Timeshare 2012-1 Receivables Funding LLC
Criteria for Rating U.S. Timeshare Loan ABS
Global Structured Finance Rating Criteria