DBRS Morningstar Downgrades and Withdraws Rating on MARLF-Liquidity Agreement Within Mountcliff Funding LLC

DBRS, Inc. (DBRS Morningstar) downgraded the rating on MARLF-Liquidity Agreement within Mountcliff Funding from A (high) (sf) to A (sf) and subsequently withdrew the rating.

The rating rationale includes the following key analytical considerations:
-- A deterioration of the underlying sponsor’s historical timeshare loan performance over the last twelve months as well as a shift in the portfolio mix to lower credit quality loans.
-- The underlying timeshare loan transaction that the MARLF-Liquidity Agreement supports is a revolving warehouse that incorporates structural features, including a monthly borrowing base test; performance-related triggers (delinquency and default) that, if breached, would result in the termination of the revolving period and the amortization of the facility; and the dynamic credit enhancement, which is based on obligor FICO scores.
-- 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: March 2021 Update,” published on March 17, 2021. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, that have been regularly updated. The scenarios were last updated on March 17, 2021, and are reflected in DBRS Morningstar’s rating analysis.
-- The assumptions consider the moderate macroeconomic scenario outlined in the commentary, with the moderate scenario serving as the primary anchor for current ratings. The moderate scenario factors in increasing success in containment during the first half of 2021, enabling the continued relaxation of restrictions.
-- While currently not funded, the historical credit quality of the collateral pool.

ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

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

The principal methodologies are Rating and Monitoring Asset-Backed Commercial Paper: U.S. ABCP Conduits (January 21, 2021) and DBRS Morningstar Master U.S. ABS Surveillance (May 27, 2020), 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.

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

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