DBRS Morningstar Assigns Provisional Ratings to BXG Receivables Note Trust 2020-A

DBRS, Inc. (DBRS Morningstar) assigned provisional ratings to the following classes of Timeshare Loan-Backed Notes to be issued by BXG Receivables Note Trust 2020-A:

-- $48,621,000 Series 2020-A, Class A at AAA (sf)
-- $47,877,000 Series 2020-A, Class B at A (high) (sf)
-- $34,549,000 Series 2020-A, Class C at BBB (sf)

The ratings are based upon a review by DBRS Morningstar of the following analytical considerations:

(1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement.
-- Credit enhancement will be in the form of subordination, overcollateralization, amounts held in the reserve account, and excess spread. Credit enhancement levels are sufficient to support the DBRS Morningstar-projected expected loss assumption under various stress scenarios.

(2) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms upon which they have invested. For this transaction, the rating addresses the payment of timely interest on a monthly basis and principal by the stated maturity date.

(3) The transaction assumptions consider DBRS Morningstar’s set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19), available in its commentary “Global Macroeconomic Scenarios: September Update,” published on September 10, 2020. DBRS Morningstar initially published its macroeconomic scenarios on April 16, 2020, and they have been regularly updated. The scenarios were last updated on September 10, 2020, and are reflected in DBRS Morningstar’s rating analysis.

(4) The assumptions consider the moderate macroeconomic scenario outlined in the commentary referenced above, with the moderate scenario serving as the primary anchor for current ratings. The moderate scenario remains predicated on a more rapid return of confidence and a steady recovery heading into 2021.

(5) Bluegreen Vacations Corporation’s (Bluegreen) long operating history and its capabilities with regard to developing and managing timeshare resorts as well as the origination, underwriting, and servicing of Timeshare Loans.

(6) DBRS Morningstar has performed an operational risk review of Bluegreen and considers the entity to be an acceptable originator and servicer of Timeshare Loans.

(7) The credit quality of the transaction collateral and the consistent performance of Bluegreen’s Timeshare Loan portfolio.

(8) Sufficient availability of historical performance data and a history of consistent performance on the Bluegreen Timeshare Loan portfolio.

(9) The statistical collateral pool is seasoned approximately 14 months and contains Bluegreen originations from Q2 2011 through Q2 2020. The average remaining life of the initial collateral pool is approximately 105 months. The weighted-average FICO score of the pool is 726 (excludes obligors with no FICO, which is equal to approximately 0.8% of the statistical cut-off pool).

(10) All loans in the pool have received at least one payment, and loans for which payments had been formerly temporarily deferred or extended have since made at least two full payments after returning to paying status.

(11) The legal structure and presence of legal opinions that address the true sale of the assets to the issuer, the nonconsolidation of each of the depositor and the issuer with Bluegreen, that the issuer has a valid first-priority security interest in the assets, and the consistency with the DBRS Morningstar “Legal Criteria for U.S. Structured Finance” methodology.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology is Rating U.S. Timeshare Loan Securitizations (September 27, 2018), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

For more information regarding the structured finance rating approach and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/359905.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at [email protected].

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

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