Fitch Affirms 5 Sierra Timeshare Receivables Funding Transactions

NEW YORK--()--Fitch Ratings has affirmed the notes issued by various Sierra Timeshare Receivables transactions. A full list of rating actions follows at the end of this release.

KEY RATING DRIVERS

The rating affirmations reflect the ability of each transaction's credit enhancement (CE) to provide loss coverage consistent with the current ratings. Since Fitch's prior review of the transactions, cumulative gross default (CGD) performance has been stable, with the majority of transactions tracking within their respective initial base case proxy. The Stable Outlook designation for all five transactions reflects Fitch's expectation that the notes will remain sufficiently enhanced to cover stressed loss levels for the next 12 to 18 months.

Fitch will continue to monitor economic conditions and their impact to 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.

Fitch has affirmed the following ratings:

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.

Sierra Timeshare 2016-1 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. 01 Sep 2016)

https://www.fitchratings.com/site/re/886006

Criteria for Rating U.S. Timeshare Loan ABS (pub. 16 Jun 2016)

https://www.fitchratings.com/site/re/882873

Global Structured Finance Rating Criteria (pub. 27 Jun 2016)

https://www.fitchratings.com/site/re/883130

Related Research

Sierra Timeshare 2012-1 Receivables Funding LLC -- Appendix

https://www.fitchratings.com/site/re/674129

Sierra Timeshare 2013-1 Receivables Funding LLC -- Appendix

https://www.fitchratings.com/site/re/703664

Sierra Timeshare 2014-1 Receivables Funding LLC -- Appendix

https://www.fitchratings.com/site/re/739745

Sierra Timeshare 2015-1 Receivables Funding LLC - Appendix

https://www.fitchratings.com/site/re/863593

Sierra Timeshare 2016-1 Receivables Funding LLC -- Appendix

https://www.fitchratings.com/site/re/878464

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1015448

ABS Due Diligence Form 15E 1

https://www.fitchratings.com/creditdesk/press_releases/content/ridf15E_frame.cfm?pr_id=1015448&flm_nm=15e_1015448_1.pdf

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1015448

Endorsement Policy

https://www.fitchratings.com/regulatory

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Fitch Ratings
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Brian Coffey
Associate Director
+1-212-908-0399
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Committee Chairperson
Kevin Corrigan
Senior Director
+1-212-908-0156
or
Media Relations:
Sandro Scenga, +1-212-908-0278
sandro.scenga@fitchratings.com

Contacts

Fitch Ratings
Primary Analyst
Brian Coffey
Associate Director
+1-212-908-0399
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Committee Chairperson
Kevin Corrigan
Senior Director
+1-212-908-0156
or
Media Relations:
Sandro Scenga, +1-212-908-0278
sandro.scenga@fitchratings.com