A second securitization of retail motorcycle contracts will raise $631.5 million in asset-backed securities through the Harley Davidson Motorcycle Trust, 2024-B, with the high-quality pool of notes slated to mature between October 2025 and April 2032.
The current pool of borrowers with FICO scores below 700 represents 14.9% of the pool, compared with 13.5% of the 2023-B transaction, according to the Fitch Ratings analysis. The notes benefit from total initial hard credit enhancement totaling 5.0% of the initial pool balance, including a reserve fund of 0.25%, said analysts from Moody's Ratings.
The deal will issue notes through four class A notes, all of which are pegged to short term interpolated yield curve, according to Asset Securitization Report's deal database. The A1 notes are priced against the three-month benchmark, while the rest of the notes are priced to the one-month duration. Expected yields range from 4.9% on the A1 notes, which obtained P1 and F1+ from Moody's and Fitch, respectively.
Moody's and Fitch, respectively, assigned Aaa and AAA to the A2 through A4 notes.
Moody's has a 2.0% cumulative net loss expectation for the transaction, called HDMOT 2024-B, analysts said. While the cumulative net loss was unchanged from 2024-A, whereas the loss at a Aaa level increased by 75 basis points.
The notes benefit from the reserve fund, overcollateralization and excess spread. Enhancement in the pool builds as the notes amortizes, Moody's said, pointing to another positive credit attribute. On a weighted average (WA) basis, the notes have a FICO score of 758, an annual percentage rate of 9.35%, and an original term of 70 months, the rating agency said.
Most of the loans in the pool, 74% are financing new purchases, and have 61 months in remaining terms. Geographically, the pool appears to be diversified, with Texas, California and Florida accounting for 11.7%, 9.5% and 8.3%, respectively.
