

	March 31, 2020						December 31, 2019
($ in millions)	Originated		Acquired		Total		Originated		Acquired		Total
Securitized	$	1,466	$	356	$	1,822	$	1,378	$	372	$	1,750
Non-securitized
Eligible for securitization⁽¹⁾	70		7		77		155		10		165
Not eligible for securitization⁽¹⁾	232		28		260		261		57		318
Subtotal	302		35		337		416		67		483
	$	1,768	$	391	$	2,159	$	1,794	$	439	$	2,233

We reflect interest income associated with vacation ownership notes receivable in our Income Statements in the Financing revenues caption. The following table summarizes interest income associated with vacation ownership notes receivable.



	Three Months Ended
($ in millions)	March 31, 2020		March 31, 2019
Interest income associated with vacation ownership notes receivable — securitized	$	63	$	59
Interest income associated with vacation ownership notes receivable — non-securitized	6		6
Total interest income associated with vacation ownership notes receivable	$	69	$	65

We evaluated our vacation ownership notes receivable reserves in light of the COVID-19 pandemic, using a reference point of the performance of our vacation ownership notes receivable in response to the 2008/2009 financial crisis. Using this information, we increased our estimated default rates by approximately 50 percent for a 15 month period, to align with the period over which we experienced increased defaults during the previous recessionary period. As a result, we increased our vacation ownership notes receivable reserves by $52 million in the first quarter. This was reflected as a $42 million reduction to Sale of vacation ownership products, a $10 million increase in Financing expenses, and a $15 million reduction in Cost of vacation ownership products on our Income Statement for the first quarter of 2020.

As part of the ILG Acquisition, we acquired existing portfolios of vacation ownership notes receivable. At acquisition, we recorded these vacation ownership notes receivable at fair value. Upon adoption of ASU 2016-13 on January 1, 2020, we established a reserve for credit losses and a corresponding increase in the book value of the acquired vacation ownership notes receivable, resulting in no impact to the recorded balance. In addition, we established a noncredit discount of $2 million, which represents the difference between the amortized cost basis and the par value of our acquired vacation ownership notes receivable. The noncredit discount will be amortized to interest expense over the contractual life of the acquired vacation ownership notes receivable and is recorded as Financing expenses on our Income Statements.



	Acquired Vacation Ownership Notes Receivable Reserve
($ in millions)	Non-Securitized			Securitized		Total
Balance at December 31, 2019, as reported	$	—		$	—	$	—
Impact of adoption of ASU 2016-13	29			26		55
Opening Balance at January 1, 2020	29			26		55
Write-offs	(9		)	—		(9		)
Recoveries	4			—		4
Increase in vacation ownership notes receivable reserve⁽¹⁾	5			8		13
Balance at March 31, 2020	$	29		$	34	$	63

The following table shows future contractual principal payments, as well as interest rates, for our non-securitized and securitized acquired vacation ownership notes receivable at March 31, 2020.



	Acquired Vacation Ownership Notes Receivable
($ in millions)	Non-Securitized		Securitized		Total
2020, remaining	$	3	$	34	$	37
2021	4		45		49
2022	4		45		49
2023	4		44		48
2024	4		43		47
Thereafter	16		145		161
Balance at March 31, 2020	$	35	$	356	$	391
Weighted average stated interest rate	13.4%		13.4%		13.4%
Range of stated interest rates	3.0% to 17.9%		6.0% to 16.9%		3.0% to 17.9%

Originated vacation ownership notes receivable represent vacation ownership notes receivable originated by Legacy-ILG subsequent to the Acquisition Date and all Legacy-MVW vacation ownership notes receivable. The following table shows future principal payments, net of reserves, as well as interest rates, for our originated non-securitized and securitized originated vacation ownership notes receivable at March 31, 2020.



	Originated Vacation Ownership Notes Receivable
($ in millions)	Non-Securitized		Securitized		Total
2020, remaining	$	30	$	104	$	134
2021	32		141		173
2022	28		145		173
2023	25		148		173
2024	24		149		173
Thereafter	163		779		942
Balance at March 31, 2020	$	302	$	1,466	$	1,768
Weighted average stated interest rate	12.3%		12.6%		12.6%
Range of stated interest rates	0.0% to 18.0%		0.0% to 17.5%		0.0% to 18.0%

For originated vacation ownership notes receivable, we record the difference between the vacation ownership note receivable and the variable consideration included in the transaction price for the sale of the related vacation ownership product as a reserve on our vacation ownership notes receivable.



	Originated Vacation Ownership Notes Receivable Reserve
($ in millions)	Non-Securitized			Securitized			Total
Balance at December 31, 2019	$	90		$	114		$	204
Increase in vacation ownership notes receivable reserve⁽¹⁾	36			35			71
Securitizations	(16		)	16			—
Write-offs	(12		)	—			(12		)
Defaulted vacation ownership notes receivable repurchase activity⁽²⁾	15			(15		)	—
Balance at March 31, 2020	$	113		$	150		$	263

_________________________

For both Legacy-MVW non-securitized and securitized vacation ownership notes receivable, we estimated average remaining default rates of 8.89 percent as of March 31, 2020 (includes 1.89 percent attributed to the additional reserve resulting from the COVID-19 pandemic), and 7.04 percent as of December 31, 2019. A 0.5 percentage point increase in the estimated default rate would have resulted in an increase in the related vacation ownership notes receivable reserve of $8 million as of both March 31, 2020 and December 31, 2019.

The following table shows our recorded investment in non-accrual Legacy-MVW vacation ownership notes receivable, which are vacation ownership notes receivable that are 90 days or more past due.



	Legacy-MVW Vacation Ownership Notes Receivable
($ in millions)	Non-Securitized		Securitized		Total
Investment in vacation ownership notes receivable on non-accrual status at March 31, 2020	$	48	$	14	$	62
Investment in vacation ownership notes receivable on non-accrual status at December 31, 2019	$	43	$	11	$	54



	Legacy-MVW Vacation Ownership Notes Receivable
($ in millions)	Non-Securitized		Securitized		Total
Year of Origination
2020	$	78	$	36	$	114
2019	70		471		541
2018	36		357		393
2017	16		202		218
2016	9		95		104
2015 and Prior	28		169		197
	$	237	$	1,330	$	1,567



	Legacy-MVW Vacation Ownership Notes Receivable
($ in millions)	Non-Securitized		Securitized		Total
31 – 90 days past due	$	9	$	36	$	45
91 – 150 days past due	4		14		18
Greater than 150 days past due	44		—		44
Total past due	57		50		107
Current	180		1,280		1,460
Total vacation ownership notes receivable	$	237	$	1,330	$	1,567



	Legacy-MVW Vacation Ownership Notes Receivable
($ in millions)	Non-Securitized		Securitized		Total
31 – 90 days past due	$	7	$	33	$	40
91 – 150 days past due	4		11		15
Greater than 150 days past due	39		—		39
Total past due	50		44		94
Current	222		1,254		1,476
Total vacation ownership notes receivable	$	272	$	1,298	$	1,570

At March 31, 2020 and December 31, 2019, the weighted average FICO score within our consolidated Legacy-ILG vacation ownership notes receivable pools was 711 and 712, respectively, based upon the outstanding vacation ownership notes receivable balance at time of origination. The average estimated rate for all future defaults for our Legacy-ILG consolidated outstanding pool of vacation ownership notes receivable was 17.00 percent as of March 31, 2020 (includes 3.44 percent attributed to the additional reserve resulting from the COVID-19 pandemic) and 12.65 percent as of December 31, 2019. A 0.5 percentage point increase in the estimated default rate on the Legacy-ILG originated vacation ownership notes receivable would have resulted in an increase in the related vacation ownership notes receivable reserve of $2 million as of both March 31, 2020 and December 31, 2019.

The following tables show the Legacy-ILG acquired vacation ownership notes receivable by brand and FICO score, before reserves. Vacation ownership notes receivable with no FICO score primarily relate to non-U.S. resident borrowers.



	Acquired Vacation Ownership Notes Receivable as of March 31, 2020
($ in millions)	700 +		600 - 699		< 600		No Score		Total
Westin	$	105	$	58	$	5	$	13	$	181
Sheraton	99		87		16		37		239
Hyatt	16		10		1		1		28
Other	3		1		—		2		6
	$	223	$	156	$	22	$	53	$	454



	Acquired Vacation Ownership Notes Receivable as of December 31, 2019
($ in millions)	700 +		600 - 699		< 600		No Score		Total
Westin	$	103	$	57	$	4	$	13	$	177
Sheraton	95		83		15		37		230
Hyatt	15		10		1		—		26
Other	3		1		—		2		6
	$	216	$	151	$	20	$	52	$	439

The following table details the origination year of our Legacy-ILG acquired vacation ownership notes receivable by brand and FICO score as of March 31, 2020. Vacation ownership notes receivable with no FICO score primarily relate to non-U.S. resident borrowers.



	Acquired Vacation Ownership Notes Receivable - Westin
($ in millions)	2020		2019		2018		2017		2016		2015 & Prior		Total
700 +	$	—	$	—	$	28	$	28	$	18	$	31	$	105
600 - 699	—		—		13		15		11		19		58
< 600	—		—		3		1		—		1		5
No Score	—		—		3		3		2		5		13
	$	—	$	—	$	47	$	47	$	31	$	56	$	181



	Acquired Vacation Ownership Notes Receivable - Sheraton
($ in millions)	2020		2019		2018		2017		2016		2015 & Prior		Total
700 +	$	—	$	—	$	27	$	27	$	18	$	27	$	99
600 - 699	—		—		22		22		15		28		87
< 600	—		—		9		3		1		3		16
No Score	—		—		10		10		6		11		37
	$	—	$	—	$	68	$	62	$	40	$	69	$	239



	Acquired Vacation Ownership Notes Receivable - Hyatt and Other
($ in millions)	2020		2019		2018		2017		2016		2015 & Prior		Total
700 +	$	—	$	—	$	5	$	4	$	3	$	7	$	19
600 - 699	—		—		2		2		2		5		11
< 600	—		—		—		1		—		—		1
No Score	—		—		—		—		—		3		3
	$	—	$	—	$	7	$	7	$	5	$	15	$	34

The following tables show the Legacy-ILG originated vacation ownership notes receivable by brand and FICO score. Vacation ownership notes receivable with no FICO score primarily relate to non-U.S. resident borrowers.



	Originated Vacation Ownership Notes Receivable as of March 31, 2020
($ in millions)	700 +		600 - 699		< 600		No Score		Total
Westin	$	126	$	52	$	6	$	27	$	211
Sheraton	103		67		14		45		229
Hyatt	17		7		—		—		24
	$	246	$	126	$	20	$	72	$	464



	Originated Vacation Ownership Notes Receivable as of December 31, 2019
($ in millions)	700 +		600 - 699		< 600		No Score		Total
Westin	$	122	$	46	$	5	$	25	$	198
Sheraton	97		61		13		37		208
Hyatt	16		6		—		—		22
	$	235	$	113	$	18	$	62	$	428

The following tables detail the origination year of our Legacy-ILG originated vacation ownership notes receivable by brand and FICO score as of March 31, 2020. Vacation ownership notes receivable with no FICO score primarily relate to non-U.S. resident borrowers.



	Originated Vacation Ownership Notes Receivable - Westin
($ in millions)	2020		2019		2018		2017		2016		2015 & Prior		Total
700 +	$	26	$	83	$	17	$	—	$	—	$	—	$	126
600 - 699	8		36		8		—		—		—		52
< 600	1		4		1		—		—		—		6
No Score	11		14		2		—		—		—		27
	$	46	$	137	$	28	$	—	$	—	$	—	$	211



	Originated Vacation Ownership Notes Receivable - Sheraton
($ in millions)	2020		2019		2018		2017		2016		2015 & Prior		Total
700 +	$	14	$	71	$	18	$	—	$	—	$	—	$	103
600 - 699	7		46		14		—		—		—		67
< 600	1		11		2		—		—		—		14
No Score	9		29		7		—		—		—		45
	$	31	$	157	$	41	$	—	$	—	$	—	$	229



	Originated Vacation Ownership Notes Receivable - Hyatt
($ in millions)	2020		2019		2018		2017		2016		2015 & Prior		Total
700 +	$	4	$	11	$	2	$	—	$	—	$	—	$	17
600 - 699	1		5		1		—		—		—		7
< 600	—		—		—		—		—		—		—
No Score	—		—		—		—		—		—		—
	$	5	$	16	$	3	$	—	$	—	$	—	$	24