Wyndham Worldwide has returned to the securitization market for its second asset-backed pool of timeshare loans for 2016.
Sierra Timeshare 2016-2 Receivables Funding is a $300 million, two-tranche notes offering that is secured by more than 14,000 loans through company subsidiaries Wyndham Vacation Resorts and Wyndham Resort Development Corp.
The new ABS, which is Wyndham’s 31st overall transaction through the Sierra trust, has an aggregate loan balance of $333.32 million. The average loan has increased to $22,505 from Sierra’s previous issuance in March ($20,300), but Fitch attributes the change to a decrease in weighted seasoning of the underlying loans to 7 months.
Fitch notes a slight improvement in the projected cumulative gross defaults, shrinking to 18.9% in the 2016-2 pool from the 19% expected for the loans secured in the 2016-1 transaction. Wyndham has seen slightly lower default rates in more recent vintage loans.
The capital structure includes $238.33 million in Class A notes that have a preliminary ‘A’ structured finance rating from Fitch Ratings. A $61.67 million Class B tranche is sized at $61.67 million, and is rated ‘BBB’.
The Class A notes are supported by a hard credit enhancement of 31% derived from subordination, a 2.5% reserve account and a 10% overcollateralization cushion. The CE is slightly lower than the Sierra 2016-1 Class A notes’ CE of 32.4%. The Class B notes have a CE of 12.5%.
The loans carry 120 month terms, with a weighted average coupon of 13.8%. The average FICO score of the pool’s borrowers is 722, on par with 2016-1’s average FICO of 721.
More than half the loans in the pool (65.2%) were originated by Wyndham Vacation Resorts.
As of Dec. 31, WVO had 213 vacation resorts in the U.S., Canada, Mexico, the Caribbean and the South Pacific, representing 24,000 individual vacation ownership units and 897,000 owners. The company’s revenues in 2015 were $1.97 billion, a 4% growth from 2014.
Barclays is the underwriter on the deal.