SECURITIZED DEBT

6 Months Ended

Jun. 30, 2020


12.			SECURITIZED DEBT

The following table provides detail on our securitized debt, net of unamortized debt discount and issuance costs.


($ in millions)			At June 30, 2020				At December 31, 2019
Vacation ownership notes receivable securitizations, gross⁽¹⁾			$	1,578			$	1,850
Unamortized debt discount and issuance costs			(15)				(18)
	1,563				1,832

Warehouse Credit Facility, gross⁽²⁾	308				21
Unamortized debt issuance costs	(2)				(2)
	306				19

Other	18				20
	$	1,887			$	1,871

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⁽¹⁾Interest rates as of June 30, 2020 range from 2.2% to 4.4%, with a weighted average interest rate of 2.9%

⁽²⁾Effective interest rate as of June 30, 2020 was 2.1%

All of our securitized debt is non-recourse to us. See Footnote 16 “Variable Interest Entities” for a discussion of the collateral for the non-recourse debt associated with our securitized debt.

The following table shows scheduled future principal payments for our securitized debt as of June 30, 2020.


	Vacation Ownership Notes Receivable Securitizations		Warehouse Credit Facility		Other		Total
($ in millions)
Payments Year
2020, remaining	$	87	$	9	$	1	$	97
2021	173		18		2		193
2022	175		20		2		197
2023	179		261		2		442
2024	176		—		2		178
Thereafter	788		—		9		797
	$	1,578	$	308	$	18	$	1,904

Vacation Ownership Notes Receivable Securitizations

Each of the securitized vacation ownership notes receivable transactions contains various triggers relating to the performance of the underlying vacation ownership notes receivable. If a pool of securitized vacation ownership notes receivable fails to perform within the pool’s established parameters (default or delinquency thresholds vary by transaction), transaction provisions effectively redirect the monthly excess spread we would otherwise receive from that pool (attributable to the interests we retained) to accelerate the principal payments to investors (taking into account the subordination of the different tranches to the extent there are multiple tranches) until the performance trigger is cured. During the second quarter and first half of 2020, and as of June 30, 2020, no securitized vacation ownership notes receivable pools were out of compliance with their respective established parameters. As of June 30, 2020, we had 12 securitized vacation ownership notes receivable pools outstanding.

As the contractual terms of the underlying securitized vacation ownership notes receivable determine the maturities of the non-recourse debt associated with them, actual maturities may occur earlier than shown above due to prepayments by the vacation ownership notes receivable obligors.

Subsequent to the end of the second quarter of 2020, we completed the securitization of a pool of $383 million of vacation ownership notes receivable. Approximately $368 million of the vacation ownership notes receivable were purchased on July 22, 2020 by MVW 2020-1 LLC (the “2020-1 LLC”), and all or a portion of the remaining loans may be purchased by the 2020-1 LLC prior to October 1, 2020. In connection with the securitization, investors purchased $375 million in vacation ownership loan backed notes from the 2020-1 LLC in a private placement. Four classes of vacation ownership loan backed notes were issued by the 2020-1 LLC: $238 million of Class A Notes, $72 million of Class B Notes, $44 million of Class C Notes, and $21 million of Class D Notes. The Class A Notes have an interest rate of 1.74 percent, the Class B Notes have an interest rate of 2.73 percent, the Class C Notes have an interest rate of 4.21 percent, and the Class D Notes have an interest rate of 7.14 percent, for an overall weighted average interest rate of 2.53 percent. Of the $375 million in proceeds from the transaction, $15 million will be held by the 2020-1 LLC until it purchases all or a portion of the remaining loans or, if not used for that purpose, returned to the investors. In addition, $300 million was used to repay all outstanding amounts previously drawn under the Warehouse Credit Facility, as defined below, $7 million was used to pay transaction expenses and fund required reserves, and the remaining $53 million will be used for general corporate purposes.

Warehouse Credit Facility

Our warehouse credit facility (the “Warehouse Credit Facility”) allows for the securitization of vacation ownership notes receivable on a revolving non-recourse basis through December 20, 2021. During the first quarter of 2020, we securitized vacation ownership notes receivable under our Warehouse Credit Facility. The carrying amount of the vacation ownership notes receivable securitized was $240 million. The average advance rate was 84 percent, which resulted in gross proceeds of $202 million. Net proceeds were $201 million due to the funding of reserve accounts of $1 million.

During the second quarter of 2020, we amended our Warehouse Credit Facility to increase the borrowing capacity by $181 million, to $531 million. The revolving period for the existing $350 million remains the same and will terminate in December 2021, if not renewed or terminated earlier. The revolving period for the additional $181 million portion will terminate in March 2021, if not renewed. As part of this amendment, the interest rate increased from primarily LIBOR plus 1.1% to primarily LIBOR plus 1.4%.

During the second quarter of 2020, we securitized vacation ownership notes receivable under our Warehouse Credit Facility. The carrying amount of the vacation ownership notes receivable securitized was $132 million. The average advance rate was 86 percent, which resulted in gross proceeds of $113 million. Net proceeds were $113 million due to the funding of reserve accounts of less than $1 million.