Morningstar DBRS Takes Rating Actions on Three Westgate Resorts LLC Transactions

DBRS, Inc. (Morningstar DBRS) upgraded five credit ratings and confirmed six credit ratings on three Westgate Resorts LLC transactions.

The credit rating actions are based on the following analytical considerations:

-- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios For Rated Sovereigns: March 2024 Update," published on March 27, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020.

-- The transactions' capital structure and form and sufficiency of available credit enhancement (CE).

-- The transactions' performance to date, with losses coming within Morningstar DBRS' initial expectations for Westgate Resorts 2020-1.

-- Losses for Westgate Resorts 2022-1 and 2023-1 are tracking higher than the initial base case assumption. However, for 2022-1, CE levels have increased materially relative to closing levels. For 2023-1, CE levels inclusive of expected excess spread have also increased mitigating the higher loss level.

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

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no environmental, social, or governance factors that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://dbrs.morningstar.com/research/427030 (January 23, 2024).

Notes:
The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (February 22, 2024), https://dbrs.morningstar.com/research/428506.

Other methodologies referenced in these transactions are listed at the end of this press release.

The credit ratings were not initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for these credit rating actions.

Morningstar DBRS had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with these credit rating actions.

These are solicited credit rating.

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

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

-- Operational Risk Assessment for U.S. ABS Servicers (March 21, 2024)
https://dbrs.morningstar.com/research/430003
-- Operational Risk Assessment for U.S. ABS Originators (March 21, 2024)
https://dbrs.morningstar.com/research/430004
-- Legal Criteria for U.S. Structured Finance (April 15, 2024)
https://dbrs.morningstar.com/research/431205
-- Rating U.S. Structured Finance Transactions (April 15, 2024),
https://dbrs.morningstar.com/research/431204
-- Rating U.S. Timeshare Loan Securitizations (April 25, 2024)
https://dbrs.morningstar.com/research/431660

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.