FWP 1 a09-31951_1fwp.htm FWP

 

EXPLANATORY NOTE

 

The information contained in this free writing prospectus was unintentionally distributed by a member of the underwriting syndicate in connection with the offering of securities by the issuer.  The issuer was recently notified of this unintentional distribution and is filing this free writing prospectus under Rule 164 of the Securities Act of 1933, as amended, as soon as practicable after discovery of the failure to file.

 

Free Writing Prospectus

Filed Pursuant to Rules 433 and 164

Registration No. 333-157910

 

Harley-Davidson Motorcycle Trust 2009-3 (TALF-Eligible)

Internal Use Only

September 28, 2009

$700,000,000

 

 

 

Class A-1
Notes

 

Class A-2
Notes

 

Class A-3
Notes

 

Class A-4
Notes

Offer Size (face)

 

$191,000,000

 

$233,000,000

 

$214,000,000

 

$62,000,000

Ratings (Moody’s/S&P)

 

P-1/A-1+

 

Aaa/AAA

 

Aaa/AAA

 

Aaa/AAA

ERISA Eligible?

 

Yes

 

Yes

 

Yes

 

Yes

Interest Day Count

 

Act/360

 

30/360

 

30/360

 

30/360

Fixed or Floating

 

Fixed

 

Fixed

 

Fixed

 

Fixed

Legal Final Maturity

 

October 2010

 

April 2012

 

September 2013

 

April 2017

Regular Distribution Date

 

Monthly on the 15th

 

Monthly on the 15th

 

Monthly on the 15th

 

Monthly on the 15th

First Principal Payment Date

 

November 2009

 

May 2010

 

March 2011

 

April 2012

Expected Final to Maturity

 

May 2010

 

March 2011

 

April 2012

 

September 2012

10% Clean-up Call

 

N/A

 

N/A

 

N/A

 

N/A

First Interest Payment Date

 

November 16, 2009

 

November 16, 2009

 

November 16, 2009

 

November 16, 2009

Principal Window (months)

 

(1 – 7) 7

 

(7 – 17) 11

 

(17 – 30) 14

 

(30 – 35) 6

Weighted Avg. Life (to call) (yrs)

 

0.30

 

0.99

 

1.99

 

2.74

Weighted Avg. Life (to mat) (yrs)

 

0.30

 

0.99

 

1.99

 

2.74

Modified Duration (yrs)

 

0.30

 

0.98

 

1.93

 

2.60

Prepayment Speed (ABS)

 

1.50%

 

1.50%

 

1.50%

 

1.50%

Pricing Benchmark

 

Inter LIBOR

 

EDSF

 

EDSF

 

Inter Swaps

Clearance

 

DTC/Euroclear/ Clearstream

 

DTC/Euroclear/ Clearstream

 

DTC/Euroclear/ Clearstream

 

DTC/Euroclear/ Clearstream

TALF Eligible?

 

Yes

 

Yes

 

Yes

 

Yes

TALF Haircut

 

7%

 

7%

 

8%

 

9%

Minimum Denominations

 

$100k / $1k

 

$100k / $1k

 

$100k / $1k

 

$100k / $1k

 

Timeline:

 

 

Pre-marketing begins:

 

Monday, September 28, 2009

Expected announcement:

 

Tuesday, September 29, 2009

Expected launch/pricing:

 

Thursday, Oct. 1, 2009

Expected closing (settles flat):

 

Friday, Oct. 9, 2009

 


 

Harley-Davidson Motorcycle Trust 2009-3 (TALF-Eligible)

Internal Use Only

September 28, 2009

 

Key Sales Points:

 

·                  Programmatic issuer.  Harley-Davidson Credit Corp., a 100% owned subsidiary of Harley-Davidson Financial Services Inc., is an experienced originator and servicer.  HDMOT 2009-3 marks Harley-Davidson’s third ABS transaction in 2009

 

·                  Four tranches of senior notes.  Harley-Davidson Motorcycle Trust 2009-3 (“HDMOT 2009-3”) will utilize a sequential-pay senior/subordinate transaction structure in which it will offer four tranches of Class A Notes and retain a non-interest bearing Certificate

 

·                  Ample excess spread.  The ample annual excess spread of approximately 9.19% contributes to the strong credit enhancement for this transaction

 

·                  Increased credit enhancement.  Similar to Harley’s earlier 2009 ABS transactions, HDMOT 2009-3 features 23.00% of initial credit enhancement, comprised of subordinated certificates (22.00%) and a reserve fund (1.00%)

 

·                  Management response to rising delinquencies and losses. Similar to other issuers, Harley has experienced some performance deterioration and has tightened underwriting guidelines and adjusted servicing practices accordingly

 

·                  Tightened underwriting:

 

·                  In 2008 and 2009, Harley tightened LTV requirements across all credit tiers, capping prime contracts between 120% and 140% and reducing their lower tier floors to 90% vs. 100% - 120%

·                  Harley also incorporated PTI as a decision factor for lower tier contracts and inputted an auto decline floor of 510 FICO

·                  For Harley’s lower tier contracts, they increased down payments to 20% from 10% and implemented a minimum job requirement of 6 months

 

·                  Improved servicing procedures:

 

·                  Hired 80 additional collectors to reduce the number of accounts to each collector

·                  Expanded the number of auction sites and refined the remarketing process to improve recovery proceeds

·                  Outsourced early-state delinquency management and the handling of bankruptcy accounts to better target high risk accounts

 

Transaction Summary:

 

·                  HDMOT 2009-3 will publicly offer $700,000,000 in fixed rate securities, comprised of four Class A tranches

·                  The Class A-1 Notes will be fixed rate securities and will pay interest on an actual/360 basis

·                  The Class A-2, A-3 and A-4 Notes will pay interest on a 30/360 basis

·                  The Class A-1 Notes will be 2a7 eligible and will be rated A-1+/P-1 by S&P and Moody’s. The Class A-2, A-3 and A-4 will be rated AAA/Aaa by S&P and Moody’s

·                  The unrated subordinated Certificate class is non-interest bearing and will be retained by Harley-Davidson

·                  No principal payments will be paid to the Certificate class until the Class A Notes have been reduced to zero

·                  The payment date will occur on the 15th of each month (the first payment date will be November 16, 2009)

·                  HDMOT 2009-3 will not be pre-funded

 


 

Harley-Davidson Motorcycle Trust 2009-3 (TALF-Eligible)

Internal Use Only

September 28, 2009

 

Triple A Credit Enhancement:

 

 

 

2009-3

 

2009-2

 

2009-1

 

2008-1

 

 

 

Initial

 

Target

 

Initial

 

Target

 

Initial

 

Target

 

Initial

 

Target

 

Subordinated Class B Notes:

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

7.00

%

7.00

%

Subordinated Class C Notes:

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

3.00

%

3.00

%

Subordinated Certificates:

 

22.00

%

22.00

%

22.00

%

22.00

%

22.00

%

22.00

%

0.00

%

0.00

%

Reserve Account:

 

1.00

%

2.70

%

1.00

%

2.70

%

1.00

%

2.70

%

0.25

%

2.25

%

Total:

 

23.00

%

24.70

%

23.00

%

24.70

%

23.00

%

24.70

%

10.25

%

12.25

%

 

·                  Subordination:  $197,435,897 (22.00% of the collateral balance) Certificates

 

·                  Reserve Account: Initial deposit of 1.00% of the initial principal balance; target reserve is 2.70% of the outstanding principal balance; subject to a floor of 1.00% of the initial principal balance

 

·                  Reserve fund will build to 6.00% of outstanding principal balance if the following triggers are breached:

 

Cumulative Loss Ratio >

 

Month

 

Ratio

 

1 - 12

 

2.50

%

13 - 24

 

3.75

%

25 - 36

 

5.00

%

37 - 48

 

6.50

%

49+

 

7.25

%

 

Avg. Loss Ratio >

 

Month

 

Ratio

 

All

 

6.00

%

 

Avg. Delq Ratio >

 

Month

 

Ratio

 

1 - 12

 

3.75

%

13 - 24

 

4.25

%

25 - 36

 

4.75

%

37+

 

5.25

%

 

·                  Available excess spread: Estimated to be 9.19% per annum based on 12.08% gross WAC on the collateral – 1.89% WAC on the bonds - 1.00% servicing fee

 


 

Harley-Davidson Motorcycle Trust 2009-3 (TALF-Eligible)

Internal Use Only

September 28, 2009

 

Credit Enhancement Build

 

·                  The HDMOT 2009-3 transaction structure benefits from significant credit enhancement build

 

 

Transaction Age

 

2009-3

 

0

 

23.00

%

6

 

30.56

%

12

 

37.36

%

18

 

46.13

%

24

 

59.06

%

30

 

80.03

%

 


 

Harley-Davidson Motorcycle Trust 2009-3 (TALF-Eligible)

Internal Use Only

September 28, 2009

 

Initial Collateral Pool Information:

 

 

 

2009-3*

 

2009-2

 

2009-1

 

2008-1

 

2007-3

 

2007-2

 

2007-1

 

2006-3

 

2006-2

 

2006-1

Pricing Date

 

TBD

 

7/7/2009

 

5/5/2009

 

2/15/2008

 

8/23/2007

 

5/15/2007

 

1/23/2007

 

8/17/2006

 

5/19/2006

 

2/16/2006

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Initial First Takedown

 

$946,533,640

 

$897,438,333

 

$641,025,708

 

$540,000,001

 

$782,000,294

 

$688,560,338

 

$547,481,210

 

$545,413,805

 

$503,275,266

 

$481,645,777

Deal Size

 

$700,000,000

 

$700,000,000

 

$500,000,000

 

$486,000,000

 

$782,000,000

 

$950,000,000

 

$800,000,000

 

$800,000,000

 

$800,000,000

 

$730,000,000

Collateral

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Avg O/S Prin Bal

 

$11,769

 

$14,108

 

$14,220

 

$13,905

 

$15,479

 

$14,134

 

$13,801

 

$15,133

 

$15,204

 

$15,705

Weighted Average Coupon

 

12.08%

 

12.62%

 

12.47%

 

11.84%

 

10.75%

 

12.63%

 

12.16%

 

12.23%

 

11.97%

 

11.00%

Weighted Average Original Term (Months)

 

74

 

75

 

75

 

74

 

74

 

76

 

76

 

77

 

77

 

76

Weighted Average Remaining Term (Months)

 

64

 

69

 

67

 

68

 

72

 

72

 

70

 

76

 

76

 

74

Seasoning

 

11

 

5

 

9

 

6

 

2

 

4

 

6

 

1

 

1

 

2

WA FICO

 

703

 

696

 

693

 

693

 

692

 

682

 

690

 

690

 

689

 

696

New/Used

 

73%/27%

 

74%/26%

 

76%/24%

 

79%/21%

 

84%/16%

 

79%/21%

 

78%/22%

 

83%/17%

 

81%/19%

 

81%/19%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Geographic Distribution

 

TX - 11.66%

 

TX - 9.95%

 

CA - 9.85%

 

TX - 13.51%

 

TX - 9.38%

 

TX - 11.07%

 

TX - 13.51%

 

TX - 9.05%

 

TX - 8.88%

 

FL - 12.75%

 

 

CA - 8.53%

 

CA - 8.35%

 

FL - 8.95%

 

CA - 9.25%

 

CA - 7.46%

 

FL - 7.76%

 

FL - 12.81%

 

CA - 8.27%

 

CA - 7.48%

 

TX - 12.65%

 

 

FL - 6.60%

 

FL - 6.68%

 

PA - 6.88%

 

FL - 8.81%

 

FL - 5.48%

 

CA - 7.20%

 

CA - 10.20%

 

FL - 6.61%

 

FL - 7.09%

 

CA - 10.52%

 

*Statistical Pool

 

                               

 


 

Harley-Davidson Motorcycle Trust 2009-3 (TALF-Eligible)

Internal Use Only

September 28, 2009

 

Delinquency Performance:

 

Harley-Davidson Historical Delinquency Experience (1)

 

 

 

At August 31, 2009

 

At August 31, 2008

 

 

 

Number of Contracts

 

Amount

 

Number of Contracts

 

Amount

 

Portfolio

 

518,324

 

$

5,703,683.0

 

521,631

 

$

6,058,253.1

 

Period of Delinquency (2)

 

 

 

 

 

 

 

 

 

30-59 Days

 

16,896

 

$

192,454.1

 

16,779

 

$

201,371.6

 

60-89 Days

 

5,243

 

61,850.0

 

6,199

 

75,505.5

 

90 Days or More

 

4,528

 

59,112.4

 

4,266

 

55,081.6

 

Total Delinquencies

 

26,667

 

$

313,416.4

 

27,244

 

$

331,958.6

 

Total Delinquencies as a % of Total Portfolio

 

5.14

%

5.49

%

5.22

%

5.48

%

 

 

 

At December 31, 2008

 

At December 31, 2007

 

 

 

Number of Contracts

 

Amount

 

Number of Contracts

 

Amount

 

Portfolio

 

516,742

 

$

5,856,866.7

 

478,600

 

$

5,613,613.3

 

Period of Delinquency (2)

 

 

 

 

 

 

 

 

 

30-59 Days

 

17,722

 

$

212,394.9

 

16,085

 

$

194,960.4

 

60-89 Days

 

6,225

 

75,886.7

 

6,412

 

79,657.8

 

90 Days or More

 

6,749

 

87,672.5

 

5,703

 

76,162.7

 

Total Delinquencies

 

30,696

 

$

375,954.1

 

28,200

 

$

350,780.9

 

Total Delinquencies as a % of Total Portfolio

 

5.94

%

6.42

%

5.89

%

6.25

%

 

 

 

At December 31, 2006

 

At December 31, 2005

 

 

 

Number of Contracts

 

Amount

 

Number of Contracts

 

Amount

 

Portfolio

 

415,533

 

$

4,960,657.4

 

354,462

 

$

4,288,120.8

 

Period of Delinquency (2)

 

 

 

 

 

 

 

 

 

30-59 Days

 

12,412

 

$

150,722.9

 

10,581

 

$

126,576.2

 

60-89 Days

 

4,683

 

58,559.3

 

3,491

 

42,591.1

 

90 Days or More

 

3,826

 

49,890.0

 

2,956

 

39,716.5

 

Total Delinquencies

 

20,921

 

$

259,172.2

 

17,028

 

$

208,883.9

 

Total Delinquencies as a % of Total Portfolio

 

5.03

%

5.22

%

4.80

%

4.87

%

 

 

 

At December 31, 2004

 

At December 31, 2003

 

 

 

Number of Contracts

 

Amount

 

Number of Contracts

 

Amount

 

Portfolio

 

300,731

 

$

3,591,481.6

 

253,698

 

$

2,957,573.3

 

Period of Delinquency (2)

 

 

 

 

 

 

 

 

 

30-59 Days

 

9,324

 

$

105,158.6

 

8,355

 

$

89,029.9

 

60-89 Days

 

2,642

 

30,583.7

 

2,924

 

31,387.3

 

90 Days or More

 

2,078

 

26,524.9

 

1,738

 

20,228.8

 

Total Delinquencies

 

14,044

 

$

162,267.2

 

13,017

 

$

140,646.0

 

Total Delinquencies as a % of Total Portfolio

 

4.67

%

4.52

%

5.13

%

4.76

%

 

(1)   Includes delinquent contracts already in repossession

(2)          The period of delinquency is based on the number of days payment is contractually past due (assuming 30-day months). Consequently, a payment due on the first day of a month is not 30 days delinquent until the first day of the next month

 


 

Harley-Davidson Motorcycle Trust 2009-3 (TALF-Eligible)

Internal Use Only

September 28, 2009

 

Loss Performance:

 

Harley-Davidson Historical Net Credit Loss Experience

 

 

 

For the eight months ended August 31,

 

For the year ended December 31,

 

 

 

2009

 

2008

 

2008

 

2007

 

2006

 

2005

 

2004

 

Outstanding Balance of All Contracts Serviced (1)

 

$

5,652,784

 

$

5,701,913

 

$

5,775,467

 

$

5,380,793

 

$

4,680,658

 

$

3,985,412

 

$

3,301,278

 

Contract Liquidations (2)

 

5.20

%

4.28

%

4.29

%

3.39

%

2.94

%

2.64

%

2.36

%

Net Losses:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dollars (3)

 

$

99,002.8

 

$

73,379.8

 

$

133,356.8

 

$

103,638.2

 

$

66,280.0

 

$

51,152.9

 

$

31,951.7

 

Percentage (4)

 

2.63

%

1.93

%

2.31

%

1.93

%

1.42

%

1.28

%

0.97

%

 

(1)          Calculated by dividing (i) the sum of the average principal balance of receivables outstanding for each calendar month in the period by (ii) the number of months in the period

(2)          As a percentage of the monthly average number of contracts being serviced, divided by the number of months in the period, calculated on an annualized basis

(3)          Net losses equal charge-offs net of recoveries. Repossessed collateral is carried at the seller’s estimate of fair market value

(4)          As a percentage of the outstanding balance of all contracts serviced, calculated on an annualized basis

 

The issuer has filed a registration statement (including a prospectus) with the SEC for the offering to which this communication relates.  Before you invest, you should read the prospectus in that registration statement and other documents the issuer has filed with the SEC for more complete information about the issuer and this offering.  You may get these documents for free by visiting EDGAR on the SEC Website at www.sec.gov.  Alternatively, the issuer, any underwriter, or any dealer participating in the offering will arrange to send you the prospectus if you request it by calling (866) 669-7629 or by emailing the ABS Syndicate Desk at abs_synd@jpmorgan.com.  Any disclaimer below is not applicable and should be disregarded.