Morningstar DBRS Assigns Provisional Credit Ratings to Westgate Resorts 2024-1 LLC

DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following classes of notes to be issued by Westgate Resorts 2024-1 LLC (Westgate 2024-1 or the Issuer):

-- $69,028,000 Timeshare Collateralized Notes, Series 2024-1, Class A rated AAA (sf)
-- $62,530,000 Timeshare Collateralized Notes, Series 2024-1, Class B rated A (low) (sf)
-- $52,680,000 Timeshare Collateralized Notes, Series 2024-1, Class C rated BBB (low) (sf)
-- $21,690,000 Timeshare Collateralized Notes, Series 2024-1, Class D rated BB (low) (sf)

The provisional credit ratings are based on Morningstar DBRS's review of the following analytical considerations:

(1) The transaction's form and sufficiency of available credit enhancement.
--Credit enhancement will be in the form of subordination, overcollateralization (OC), amounts held in the reserve account, and excess spread, which create credit enhancement levels that are commensurate with the proposed credit ratings.

(2) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the credit rating on the A class of notes addresses the timely payment of interest and the ultimate payment of principal on or before the legal final maturity. The credit ratings on the B, C, and D class of notes address the ultimate payment of interest and the ultimate payment of principal on or before the final legal maturity.

(3) Westgate 2024-1 employs a full turbo structure where all excess cashflow is used to repay note holders with no excess spread going back to issuer until the notes are paid in full.

(4) 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 coronavirus pandemic scenarios, which were first published in April 2020.

(5) Westgate Resorts, Ltd.'s (Westgate) 35+ year operating history and its capabilities with regard to developing and managing timeshare resorts, as well as the origination, underwriting, and servicing of Timeshare Loans.
-- Morningstar DBRS has performed an operational review of Westgate and considers the entity to be an acceptable originator and servicer of Timeshare Loans.
-- The Westgate senior management team averages 40+ years of experience in timeshare development, marketing, and management.

(6) The credit quality of the collateral and the consistent performance of Westgate's timeshare loans portfolio.
--Average availability of historical performance data and a history of consistent performance on the Westgate portfolio.
--As of Statistical Calculation Date, the timeshare loans are seasoned approximately 32 months and contain Westgate originations from 2014 through 2024. The weighted-average (WA) remaining life of the initial timeshare loans is approximately 83 months. The WA FICO score of the initial timeshare loans is 723 (excludes foreign borrowers) and contains no FICO scores below 600.

(7) The legal structure and expected legal opinions that will address the true sale of the assets to the Issuer, the non-consolidation of each of the depositor and the Issuer with Westgate, and ensure that the Issuer has a valid first-priority security interest in the assets, and consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance.

Morningstar DBRS' credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated are the Accrued Interest, Deferred Interest, and Class Principal Balance.

Morningstar DBRS' credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. The associated contractual payment obligations that is not a financial obligation is the portion of Accrued Interest attributable to interest on unpaid Accrued Interest for the Timeshare Collateralized Notes, Series 2024-1, Class A.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.

ENVIRONMENTAL, SOCIAL, AND 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 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 (January 23, 2024) https://dbrs.morningstar.com/research/427030/morningstar-dbrs-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.

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

The principal methodology applicable to the credit rating is Rating U.S. Timeshare Loan Securitizations (April 25, 2024) https://dbrs.morningstar.com/research/431660/rating-us-timeshare-loan-securitizations.

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

The credit rating was initiated at the request of the rated entity.

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

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

This is a solicited credit rating.

A provisional credit rating is not a final credit rating with respect to the above-mentioned securities and may change or be different than the final credit rating assigned or may be discontinued. The assignment of final credit ratings on the above-mentioned securities is subject to receipt by Morningstar DBRS of all data and/or information and final documentation that Morningstar DBRS deems necessary to finalize the credit ratings.

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

DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA
Tel. +1 212 806-3277

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

Rating U.S. Structured Finance Transactions (April 15, 2024)
https://dbrs.morningstar.com/research/431204/rating-us-structured-finance-transactions

Operational Risk Assessment for U.S. ABS Servicers (March 21, 2024)
https://dbrs.morningstar.com/research/430003/operational-risk-assessment-for-us-abs-servicers

Operational Risk Assessment for U.S. ABS Originators (March 21, 2024)
https://dbrs.morningstar.com/research/430004/operational-risk-assessment-for-us-abs-originators

Legal Criteria for U.S. Structured Finance (April 15, 2024)
https://dbrs.morningstar.com/research/431205/legal-criteria-for-us-structured-finance

A description of how Morningstar DBRS analyzes structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/410863.

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