Fitch Affirms 5 Sierra Timeshare Receivables Transactions

CHICAGO--(BUSINESS WIRE)-- Fitch Ratings has affirmed the notes issued by various Sierra Timeshare Receivables transactions, as detailed at the end of this commentary.

KEY RATING DRIVERS

The rating affirmations reflect the ability of the transactions' credit enhancement (CE) to provide loss coverage consistent with the current ratings. The Stable Outlook designations for all 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.

RATING SENSITIVITIES

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 each of 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 each transaction's 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 these transactions, please see their New Issue reports titled, ''Sierra Timeshare 2011-1 Receivables Funding, LLC (US ABS) dated Mar. 13, 2011,' "Sierra Timeshare 2012-1 Receivables Funding, LLC (US ABS) dated Mar. 12, 2012, "Sierra Timeshare 2013-1 Receivables Funding, LLC (US ABS)" dated Mar. 11, 2013,", "Sierra Timeshare 2014-1 Receivables Funding, LLC (US ABS)" dated Mar. 10, 2014," and ''Sierra Timeshare 2015-1 Receivables Funding, LLC (US ABS)" dated Mar. 12, 2015," which are available on Fitch's website.

Fitch's analysis of the Representations and Warranties (R&W) of this transaction can be found in 'Sierra Timeshare 2012-1 Receivables Funding, LLC - Appendix,' 'Sierra Timeshare 2013-1 Receivables Funding, LLC - Appendix,' 'Sierra Timeshare 2014-1 Receivables Funding, LLC - Appendix', 'Sierra Timeshare 2015-1 Receivables Funding, LLC - 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.

Fitch has affirmed the following ratings:

Sierra Timeshare 2011-1 Receivables Funding, LLC

--Class A notes at 'Asf'; Outlook Stable ;

--Class B notes at 'BBBsf'; Outlook Stable;

--Class C notes at 'BB-sf'; Outlook Stable.

Sierra Timeshare 2012-1 Receivables Funding, LLC

--Class A notes at 'Asf'; Outlook Stable;

--Class B notes at 'BBBsf'; Outlook Stable.

Sierra Timeshare 2013-1 Receivables Funding, LLC

--Class A notes at 'Asf'; Outlook Stable;

--Class B notes at 'BBBsf'; Outlook Stable.

Sierra Timeshare 2014-1 Receivables Funding, LLC

--Class A notes at 'Asf'; Outlook Stable;

--Class B notes at 'BBBsf'; Outlook Stable .

Sierra Timeshare 2015-1 Receivables Funding, LLC

--Class A notes at 'Asf'; Outlook Stable;

--Class B notes at 'BBBsf'; Outlook Stable .

Additional information is available at www.fitchratings.com.

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Criteria for Rating U.S. Timeshare Loan ABS (pub. 03 Jun 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=866653

Criteria for Servicing Continuity Risk in Structured Finance (pub. 17 Dec 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=875586

Global Structured Finance Rating Criteria (pub. 06 Jul 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952

Rating Criteria for Structured Finance Servicers (pub. 23 Apr 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864375

Related Research

Sierra Timeshare 2012-1 Receivables Funding LLC -- Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=674129

Sierra Timeshare 2013-1 Receivables Funding LLC -- Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=703664

Sierra Timeshare 2014-1 Receivables Funding LLC -- Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=739745

Sierra Timeshare 2015-1 Receivables Funding LLC - Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=863593

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=997037

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=997037

Endorsement Policy

https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

View source version on businesswire.com: http://www.businesswire.com/news/home/20151218005607/en/

Fitch Ratings
Andrew Tinari
Analyst
+1-312-368-3127
Fitch Ratings, Inc.
70 West Madison Street
Chicago, IL 60602
or
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Senior Director
+1 312-368-2091
or
Media Relations:
Sandro Scenga, +1-212-908-0278
[email protected]

Source: Fitch Ratings

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