DBRS Morningstar Finalized Its Provisional Ratings on BXG Receivables Note Trust 2022-A

DBRS, Inc. (DBRS Morningstar) finalized its provisional ratings on the following classes of Timeshare Loan-Backed Notes issued by BXG Receivables Note Trust 2022-A:

-- $70,981,000 Series 2022-A, Class A at AAA (sf)
-- $56,474,000 Series 2022-A, Class B at A (sf)
-- $44,497,000 Series 2022-A, Class C at BBB (low) (sf)

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

(1) The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns - March 2022 Update, published on March 24, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. Despite several new or increasing risks including Russian invasion of Ukraine, rising inflation and new COVID-19 variants, the overall outlook for growth and employment in the United States remains relatively positive.

(2) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms upon which they have invested. The rating on the Class A Notes addresses the timely payment of interest and the ultimate payment of principal on or before the Final Maturity Date. The ratings on the Class B, and Class C addresses the ultimate payment of interest and the ultimate payment of principal on or before their respective Final Maturity Dates.

(3) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement.
-- Credit enhancement is 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.

(4) DBRS Morningstar’s projected losses do not include any additional stress from the coronavirus impact; the cumulative gross loss (CGL assumption is 23.50%).

(5) BXG 2022-A provides for coverage multiples on the Class C Notes that may be slightly below the DBRS Morningstar range of multiples set forth in the criteria for this asset class. DBRS Morningstar believes that this is warranted, given the magnitude of expected loss and structural features of the transaction.

(6) 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.

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

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

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

(10) The statistical collateral pool is seasoned approximately 11 months and contains Bluegreen originations from Q4 2012 through Q1 2022. The average remaining life of the initial collateral pool is approximately 109 months. The weighted-average FICO score of the pool is 724 (excludes obligors with no FICO, which is equal to approximately 0.4% of the statistical cut-off pool).

(11) 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.

(12) 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.

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 methodology is Rating U.S. Timeshare Loan Securitizations (May 3, 2021), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482.

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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