Fitch Rates Sierra Timeshare 2015-1 Receivables Funding LLC

CHICAGO--(BUSINESS WIRE)-- Fitch Ratings assigns the following ratings to Sierra Timeshare 2015-1 Receivables Funding LLC:

--$276,100,000 class A asset-backed notes 'Asf'; Outlook Stable;

--$73,900,000 class B asset-backed notes 'BBBsf'; Outlook Stable.

KEY RATING DRIVERS

Stable Collateral Quality: Approximately 64% of Sierra 2015-1 consists of Wyndham Vacation Resorts, Inc. (WVRI) originated loans; the remaining are Wyndham Resort Development Corporation (WRDC) loans. Fitch has determined that, on a like-for-like FICO basis, WRDC's receivables perform better than WVRI's. The weighted average (WA) current FICO score of the pool is 721. However, seasoning has declined relative to 2014-3.

Continued Recent Stabilization in WVRI Performance: Similar to other timeshare originators, Wyndham Worldwide's delinquency and default performance exhibited notable increases in the 2007-2008 vintages. However, WRDC's performance has improved since 2009, while WVRI continues to experience high defaults. Nonetheless, the 2013 vintage within the WVRI portfolio demonstrates relative stabilization in default performance. Fitch's cumulative gross default (CGD) proxy for this pool is 19.00%.

Lower CE Structure: Initial hard credit enhancement (CE) is expected to be 31.50% and 12.50% for class A and B notes, respectively, lower than series 2014-3. Soft CE is also provided by excess spread and is expected to be 9.88% per annum. While down, the structure is able to support multiples in excess of 2.50x and 1.75x for 'Asf' and 'BBBsf' ratings, respectively.

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.

RATING SENSITIVITIES

Unanticipated increases in the frequency of defaults could produce CGD levels higher than the base case and would likely result in declines of CE 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.

Thus, Fitch conducts sensitivity analysis stressing both a 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.

Key Rating Drivers and Rating Sensitivities are further described in the presale report dated March 12, 2015. Fitch's analysis of the Representations and Warranties (R&W) of this transaction can be found in 'Sierra Timeshare 2015-1 Receivables Funding LLC - Appendix'. These R&Ws 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 Oct. 31, 2014.

The presale report is available to all investors on Fitch's website at 'www.fitchratings.com'. For more information about Fitch's comprehensive subscription service Fitch Research, which includes all presale reports, surveillance, and credit reports on more than 20 asset classes, contact product sales at +1-212-908-0800 or at '[email protected]'.

Additional information is available at 'www.fitchratings.com'.

Applicable Criteria and Related Research:

--'Sierra Timeshare 2015-1 Receivable Funding LLC' dated March 12, 2015;

--'Sierra Timeshare 2015-1 Receivable Funding LLC--Appendix' dated March 12, 2015;

--'Criteria for Rating U.S. Timeshare Loan ABS' dated June 9, 2014;

--'Global Structured Finance Rating Criteria' dated Aug. 4, 2014;

--'Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions' dated Oct. 31, 2014.

Applicable Criteria and Related Research:

Sierra Timeshare 2015-1 Receivables Funding LLC (US ABS)

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=863514

Sierra Timeshare 2015-1 Receivables Funding LLC - Appendix

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

Criteria for Rating U.S. Timeshare Loan ABS

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=749780

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389

Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=799248

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=981880

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.

Fitch Ratings
Primary Analyst
Du Trieu
Senior Director
+1 312-368-2091
Fitch Ratings, Inc.
70 West Madison Street
Chicago, IL 60602
or
Secondary Analyst
Andrew Tinari
Analyst
+1 312-368-3127
or
Committee Chairperson
Hylton Heard
Senior Director
+1 212-908-0214
or
Media Relations:
Sandro Scenga, +1 212-908-0278
[email protected]

Source: Fitch Ratings

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