–$113,000,000 class A-1 asset-backed notes ‘F1+sf';
–$164,000,000 class A-2a asset-backed notes ‘AAAsf'; Outlook Stable;
–$164,000,000 class A-2b asset-backed notes ‘AAAsf'; Outlook Stable;
–$183,000,000 class A-3 asset-backed notes ‘AAAsf'; Outlook Stable; and
–$76,000,000 class A-4 asset-backed notes ‘AAAsf'; Outlook Stable.
KEY RATING DRIVERS
Improving Credit Quality: The weighted average (WA) Fair Isaac Corporation (FICO) score is 710 in comparison to 707 in 2014-1 (NR) and 706 in 2013-1, the last Fitch-rated transaction. Additionally, the pool has less subprime collateral than the last few transactions.
Sufficient Credit Enhancement Structure: Initial hard credit enhancement (CE) in 2015-1 is decreased from recent transactions but is sufficient to cover stressed expected lifetime CNL for the class A notes. Fitch’s base case loss proxy for this transaction is 3.25%.
Strong Portfolio Performance: Managed portfolio and securitization delinquencies and losses in 2014 have continued to trend below 2008-2010 vintages. The stronger performance has been driven by the stabilizing U.S. economy and the underwriting changes undertaken by HDCC in late 2008.
Stable Corporate Health: HDCC has exhibited good capabilities as an originator, underwriter and servicer of its managed portfolio and securitizations. Harley-Davidson Financial Services, Inc. (HDFS), the parent of HDCC, is rated ‘F1/A’ and its parent HOG is rated ‘A’, both with Stable long-term Ratings Outlooks. Fitch deems HDCC an adequate servicer for this transaction.
Legal Structure Integrity: The legal structure of the transaction should provide that a bankruptcy of HDCC would not impair the timeliness of payments on the securities.
Unanticipated increases in the frequency of defaults and loss severity on defaulted receivables could produce CNL levels higher than the base case and would likely result in declines of CE and remaining loss coverage levels available to the notes. Decreased CE 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 a transaction’s initial base case CNL assumption by 1.5x and 2.5x and examining the rating implications on all classes of issued notes. The 1.5x and 2.5x increases of the base case CNL 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 performance.
Key Rating Drivers and Rating Sensitivities are further described in the presale report dated Jan. 15, 2015. Fitch’s analysis of the Representations and Warranties (R&W) of this transaction can be found in ‘Harley-Davidson Motorcycle Trust 2015-1 – Appendix’. These R&Ws are compared to those of typical R&W for the asset class as detailed in the special report ‘Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions’ dated Oct. 31, 2014.
Key Rating Drivers and Rating Sensitivities are further described in the accompanying presale report, available at ‘www.fitchratings.com‘ or by clicking on the above link.
Additional information is available at ‘www.fitchratings.com‘.
Applicable Criteria and Related Research:
–‘Harley-Davidson Motorcycle Trust 2015-1′ (Jan. 8, 2015);
–‘Harley-Davidson Motorcycle Trust 2015-1 – Appendix’ (Jan. 8, 2015);
–‘Rating Criteria for U.S. Auto Loan ABS’ (April 7, 2014);
–‘Global Structured Finance Rating Criteria’ (Aug. 4, 2014).
Applicable Criteria and Related Research: Harley-Davidson Motorcycle Trust 2015-1 (US ABS)
Rating Criteria for U.S. Auto Loan ABS
Global Structured Finance Rating Criteria
Contacts: Fitch Ratings /Primary Analyst/ Thomas Kaiser, CPA/ Associate Director/ +1-312-368-3338/ Fitch Ratings, Inc./ 70 W. Madison/Chicago, IL 60602
Secondary Analyst / Tim McNally / Associate Director/ +1-212-908-0870
Committee Chairperson / Hylton Heard / +1-212-908-0214
Media Relations / Sandro Scenga, +1 212-908-0278 / New York/ firstname.lastname@example.org
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