DBRS Morningstar Downgrades MARLF-Liquidity Agreement Within Mountcliff Funding LLC to AA (low) (sf) from AA (sf)

DBRS, Inc. (DBRS Morningstar) downgraded the rating on MARLF-Liquidity Agreement within Mountcliff Funding LLC, concurrent with the review of modifications to the underlying facility dated December 19, 2019, to AA (low) (sf) from AA (sf).

The rating rationale includes the key analytical considerations:
-- The underlying originator is a leading timeshare operator in the industry.
-- The underlying originator is an experienced issuer in the term asset-backed securities market.
-- The existence of performance related triggers (delinquency and default) that, if breached, would result in the termination of the revolving period and the amortization of the facility that the MARLF-Liquidity supports.
-- Gross defaults were assumed in the analysis. No credit was given to recoveries received on the loans.
-- Credit enhancement is dynamic and a function of obligor FICO scores, thus lowering the advance rate for lower performing buckets.
-- The underlying timeshare loan transaction is a revolving warehouse with a monthly borrowing base test that must be met.
-- Performance of the facility since inception has been good and delinquency and default levels have been low.

DBRS Morningstar notes that the above press release was amended on March 20, 2020, to disclose that, during the analysis of the modification of the underlying facility by the liquidity sponsor, the cost of funds assumption was not accurately reflected in the rating analysis. The correction of such assumption, originally made when the underlying facility was rated on June 30, 2015, resulted in a significant error. The current rating of AA (low) (sf) reflects this correction along with the amended terms of the facility.

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

The principal methodologies are Rating and Monitoring Asset-Backed Commercial Paper: U.S. ABCP Conduits and Rating U.S. Timeshare Loan Securitizations, which can be found on dbrs.com under Methodologies & Criteria.

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.

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

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