DBRS Morningstar Confirms Ratings on All Classes of Gold Key Resorts 2014-A, LLC

DBRS, Inc. (DBRS Morningstar) confirmed the ratings on three classes of securities issued by the Gold Key Resorts 2014-A, LLC transaction. Performance trends of the securities are such that credit enhancement levels are sufficient to cover DBRS Morningstar’s expected losses at their current respective rating levels.

-- Class A rated A (sf)
-- Class B rated BBB (sf)
-- Class C rated BB (high) (sf)

As the Coronavirus Disease (COVID-19) spreads and its consequences unfold, it is difficult to anticipate the ultimate impact on the variables that drive consumer loan performance. In the context of this highly uncertain environment and in the interest of transparency, DBRS Morningstar released a set of forward-looking macroeconomic scenarios for select economies related to the coronavirus pandemic in a commentary titled “Global Macroeconomic Scenarios: Implications for Credit Ratings” on April 16, 2020. The moderate and the adverse scenarios are being used in the context of our rating analysis, with the moderate scenario serving as the primary anchor for current ratings, and the adverse scenario serving as a benchmark for sensitivity analysis.

Our moderate scenario assumes some success in coronavirus containment in Q2 2020 with a gradual relaxation of restrictions, enabling most economies to begin a gradual recovery in Q3 2020. This moderate scenario primarily considers two economic measures: declining GDP growth and increased unemployment levels. For asset classes where consumer-based obligors are the source of cash flows to repay the rated transaction, the unemployment rate provides the basis for measuring performance expectations.

The reported performance of the collateral in the transaction has generally been in line with original expectations. However, the impact of the coronavirus pandemic and the consequent widespread shutdown of economic activity throughout the United States is expected to significantly stress the consumer beyond original expectations in the coming months. In order to account for the additional consumer stress resulting from the pandemic, DBRS Morningstar applied transaction stresses in consideration of its moderate scenario, observed performance during the 2008–09 financial crisis, and the possible impact of the stimulus from the “Coronavirus Aid, Relief, and Economic Security Act” (CARES Act).

ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.

Notes:
The principal methodology is the DBRS Master U.S. ABS Surveillance Methodology (July 31, 2019), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

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.

For more information on this credit or on this industry, visit https://www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com

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