–Class A notes at ‘Asf'; Outlook Stable;
–Class B notes at ‘BBBsf'; Outlook Stable.
KEY RATING DRIVERS
The rating affirmations reflect the ability of the transaction’s credit enhancement (CE) to provide loss coverage consistent with the current ratings. The Stable Outlook designation for both classes of notes reflect Fitch’s expectation that the notes will remain sufficiently enhanced to cover stressed loss levels consistent with the current ratings for the next 12 – 18 months.
Fitch will continue to monitor economic conditions and their impact as they relate to timeshare asset-backed securities and the trust level performance variables and update the ratings accordingly.
Unanticipated increases in the frequency of defaults could produce cumulative gross default (CGD) levels higher than the base case and would likely result in declines of credit enhancement and remaining default coverage levels available to the notes. Additionally, unanticipated increases in prepayment activity could also result in a decline in coverage. Decreased default coverage may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage.
At the time of initial rating, Fitch conducted sensitivity analysis stressing both the transaction’s initial base case CGD and prepayment assumptions by 1.5x and 2.0x and examining the rating implications on all classes of issued notes. The 1.5x and 2.0x increases of the base case CGD and prepayment assumptions represent moderate and severe stresses, respectively, and are intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust’s performance.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.
For Fitch’s initial Key Rating Drivers, Rating Sensitivities and the full detail analysis for this transaction, please see the New Issue report dated Feb. 23, 2012. Fitch’s analysis of the Representations and Warranties (R&W) of this transaction can be found in ‘Orange Lake Timeshare Trust 2012-A – Appendix. These R&W are compared to those of typical R&W for the asset class as detailed in the special report ‘Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions’ dated June 12, 2015.
Additional information is available at www.fitchratings.com.
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)
Criteria for Rating U.S. Timeshare Loan ABS (pub. 03 Jun 2015)
Criteria for Servicing Continuity Risk in Structured Finance (pub. 17 Jul 2014)
Global Structured Finance Rating Criteria (pub. 06 Jul 2015)
Rating Criteria for Structured Finance Servicers (pub. 23 Apr 2015)
Orange Lake Timeshare Trust 2012-A — Appendix
Dodd-Frank Rating Information Disclosure Form
PRESS RELEASE SOURCE: Fitch Ratings
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