A pool of fixed-rate timeshare loans originated from the Wyndham Vacation Resorts and Wyndham Resort Development brands will serve as collateral for a $300 million in asset-backed securities (ABS) from the Sierra Timeshare 2023-2 Receivables Funding trust.
The pool composition has many similarities to previous timeshare receivables deals, including the number of loans (11,961), the average loan balance, $27,351 and original FICO scores, 735, according to ratings analysts from Fitch Ratings. While recent timeshare deals from other programs had small amount of foreign obligors, such as 3.51% in the MVW 2023-1 LLC and HINNT 2022-A, with 3.08%, the Sierra 2023-2 has none.
Deutsche Bank Securities is the lead underwriter on the deal, while The Bank of Nova Scotia will be the LOC provider on the deal, Fitch said. According to the Asset Securitization Report's deal database, Sierra Timeshare is slated to close on July 20, will issue notes through four rated tranches, and repay investors through a senior-subordinate structure.
Classes A, B, C and D have initial hard credit enhancement of 64.75%, 41.15%, 22.00% and 10.80%, according to Fitch. The rating agency added that credit enhancement is lower for all classes relative to the Sierra Timeshare 2023-1, except for class C, and that was because of lower overcollateralization and lower subordination.
Both of the divisions supplying loans to the trust are indirect subsidiaries of Travel + Leisure, which Fitch says has demonstrated sufficient capabilities as a timeshare loan originator and servicer.
Fitch expects to assign ratings of 'AAA' to the class A notes; 'A' to the class B notes. 'BBB' to the class C notes and 'BB-' to the class D notes.
Moody's Investors Service also plans to rate the notes, assigning 'Aaa' to the class A; 'A2' to the class B, 'Baa2' to the class C and 'Ba3' to the class D notes.
All of the notes have a legal final maturity date of April 2040.
