July 29 (The following statement was released by the rating agency)
Fitch Ratings expects to assign the following ratings
to the notes issued by MVW Owner Trust 2013-1:
--$223,684,000, Class A asset-backed notes 'Asf'; Outlook Stable;
--$26,316,000, Class B asset-backed notes 'BBBsf'; Outlook Stable;
KEY RATING DRIVERS:
Moderately Weaker Obligor Credit Quality: The credit quality of the pool has
weakened with a lower weighted average (WA) Fair Isaac Corp. (FICO) score of
713, due to the inclusion of sub-600 FICO scored loans, a change from 2012-1.
However, overall collateral quality remains relatively consistent with that of
the prior transaction and includes a lower concentration in foreign obligors and
High Weighted Average Seasoning: The WA seasoning (WAS) of the 2013-1 collateral
is 37 months, the highest of any MVWOT transaction. A pool with higher seasoning
may experience lower cumulative gross defaults (CGDs) relative to less seasoned
Structural Changes: Unlike the prior transaction, 2013-1 features a prefunding
account that will hold up to 10% of the initial note balance after the closing
date to purchase eligible timeshare loans. The transaction also allows for
qualified substitutions of upgraded loans.
Credit Enhancement Changes: Initial hard credit enhancement (CE) for class A and
B notes is 15.5% and 5.5%, respectively, compared with 16.5% and 5.5% for class
A and B notes, respectively, in the 2012-1 transaction. The decline in
enhancement for class A notes is due to a decline in subordination to 10.0% from
11.0% in 2012-1.
Stabilizing Performance: Similar to other timeshare originators and other
consumer asset types, MVW's delinquency and default performance exhibited
notable increases in the 2007 to 2009 vintages. However, the 2010 and 2011
vintages are displaying improved performance.
Quality of Origination/Servicing: MVW/MORI has demonstrated sufficient abilities
as an originator and servicer of timeshare loans, as evidenced by the historical
delinquency and default performance of securitized trusts and of the managed
Legal Structure Integrity: The legal structure of the transaction should provide
that a bankruptcy of MVW would not impair the timeliness of payments on the
Unanticipated increases in the frequency of defaults could produce cumulative
gross default (CGD) levels higher than the base case and would likely result in
declines of CE and remaining default coverage levels available to the notes.
Additionally, unanticipated increases in prepayment activity could also result
in a decline in coverage. Decreased default coverage may make certain note
ratings susceptible to potential negative rating actions, depending on the
extent of the decline in coverage.
Hence, Fitch conducts sensitivity analysis by stressing both a transaction's
initial base case CGD and prepayment assumptions by 1.5x and 2.0x and examining
the rating implications on all classes of issued notes. The 1.5x and 2.0x
increases of the base case CGD and prepayment assumptions represent moderate and
severe stresses, respectively, and are intended to provide an indication of the
rating sensitivity of notes to unexpected deterioration of a trust's