Fitch Ratings expects to assign the following ratings and Outlooks to the notes issued by
Fitch's presale report is available to all investors at 'www.fitchratings.com' or by clicking on the above link.
KEY RATING DRIVERS
Strong Collateral: The 2014-A pool has a weighted average (WA) Fair Isaac Corp. (FICO) score of 742. Additionally, the pool has a WA seasoning of 31 months. A highly seasoned pool typically experiences lower defaults than an unseasoned pool.
High Foreign Obligor Concentration: The 2014-A pool consists of approximately 15% of loans made to foreign obligors, the majority of which are from
Available CE Structure: Initial hard credit enhancement (CE) is expected to be 16% and 3% for class A and B notes, respectively. Hard CE is composed of overcollateralization (OC), a reserve account and subordination. Soft CE is also provided by expected excess spread of 8.91% per annum.
Quality of Origination/Servicing: HRC has demonstrated sufficient abilities as an originator and servicer of timeshare loans. This is evidenced by the historical delinquency and loss performance of the managed portfolio and 2013-A transaction.
Legal Structure Integrity: The legal structure of the transaction should provide that a bankruptcy of HRC or
Unanticipated increases in the frequency of defaults could produce cumulative gross default (CGD) levels higher than the base case. This 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.
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. They are intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance.
Fitch's analysis of the Representations and Warranties (R&W) of this transaction can be found in 'Hilton Grand Vacations Trust 2014-A - Appendix'. This R&W is compared to those of typical R&W for the asset class as detailed in Fitch's
Additional information is available at 'www.fitchratings.com'.
--'Global Structured Finance Rating Criteria' (
--'Criteria for Rating U.S. Timeshare Loan ABS' (
--'Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance' (
--'Hilton Grand Vacations Trust 2014-A - Appendix' (
Global Structured Finance Rating Criteria
Criteria for Rating U.S. Timeshare Loan ABS
Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions
Source: Fitch Ratings
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