DBRS Morningstar Takes Rating Actions on Six BXG Receivables Note Trust Transactions

DBRS, Inc. (DBRS Morningstar) confirmed 13 and upgraded two ratings from six BXG Receivables Note Trust Transactions:

-- Timeshare Loan-Backed Notes, Series 2015-A, Class A Notes confirmed at AAA (sf)
-- Timeshare Loan-Backed Notes, Series 2015-A, Class B Notes confirmed at AA (high) (sf)
-- Timeshare Loan-Backed Notes, Series 2016-A, Class A Notes confirmed at AAA (sf)
-- Timeshare Loan-Backed Notes, Series 2016-A, Class B Notes upgraded to AA (high) (sf) from AA (sf)
-- Timeshare Loan-Backed Notes, Series 2017-A, Class A Notes confirmed at AAA (sf)
-- Timeshare Loan-Backed Notes, Series 2017-A, Class B Notes confirmed at AA (low) (sf)
-- Timeshare Loan-Backed Notes, Series 2018-A, Class A Notes confirmed at AAA (sf)
-- Timeshare Loan-Backed Notes, Series 2018-A, Class B Notes confirmed at AA (low) (sf)
-- Timeshare Loan-Backed Notes, Series 2018-A, Class C Notes upgraded to A (low) (sf) from BBB (high) (sf)
-- Timeshare Loan-Backed Notes, Series 2020-A, Class A Notes confirmed at AAA (sf)
-- Timeshare Loan-Backed Notes, Series 2020-A, Class B Notes confirmed at A (high) (sf)
-- Timeshare Loan-Backed Notes, Series 2020-A, Class C Notes confirmed at BBB (sf)
-- Series 2022-A, Class A Notes confirmed at AAA (sf)
-- Series 2022-A, Class B Notes confirmed at A (sf)
-- Series 2022-A, Class C Notes confirmed at BBB (low) (sf)

The rating confirmations are based on the following analytical considerations:

-- The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios for Rated Sovereigns: December 2022 Update,” published on December 21, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020.

-- The transaction parties’ capabilities with regard to origination, underwriting, and servicing.

-- The transaction’s capital structure, and form and sufficiency of available credit enhancement.

-- The transaction’s performance to date, with minimal cumulative net losses.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis.

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/396929 (May 17, 2022).

Notes:
The principal methodology applicable to the ratings is DBRS Morningstar Master U.S. ABS Surveillance (February 6, 2023; https://www.dbrsmorningstar.com/research/409444).

Other methodologies referenced in this transaction are listed at the end of this press release. These may be found at: https://www.dbrsmorningstar.com/about/methodologies.

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 not 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.

DBRS, Inc.
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New York, NY 10005 USA
Tel. +1 212 806-3277

The rating methodologies used in the analysis of this transaction can be found at:
https://www.dbrsmorningstar.com/about/methodologies.

Operational Risk Assessment for U.S. ABS Servicers (February 6, 2023)
https://www.dbrsmorningstar.com/research/409447/operational-risk-assessment-for-us-abs-servicers
Operational Risk Assessment for U.S. ABS Originators (November 8, 2022)
https://www.dbrsmorningstar.com/research/405082/operational-risk-assessment-for-us-abs-originators
Legal Criteria for U.S. Structured Finance (December 7, 2022)
https://www.dbrsmorningstar.com/research/407008/legal-criteria-for-us-structured-finance
Rating U.S. Structured Finance Transactions (February 6, 2023)
https://www.dbrsmorningstar.com/research/409449/rating-us-structured-finance-transactions
Rating U.S. Timeshare Loan Securitizations (May 3, 2021)
https://www.dbrsmorningstar.com/research/377879/rating-us-timeshare-loan-securitizations

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