Fitch Rates Hyundai Auto Receivables Trust 2015-B

NEW YORK--(BUSINESS WIRE)-- Link to Fitch Ratings' Report: Hyundai Auto Receivables Trust 2015-B (US ABS)

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864572

Fitch Ratings assigns the following ratings and Rating Outlooks to the asset-backed notes issued by Hyundai Auto Receivables Trust 2015-B:

--$232,000,000 class A-1 'F1+sf';

--$186,000,000 class A-2A 'AAAsf'; Outlook Stable;

--$230,000 000 class A-2B 'AAAsf'; Outlook Stable;

--$388,000,000 class A-3 'AAAsf'; Outlook Stable;

--$75,520,000 class A-4 'AAAsf'; Outlook Stable;

--$21,580,000 class B 'AAsf'; Outlook Stable;

--$35,970,000 class C 'Asf'; Outlook Stable.

KEY RATING DRIVERS

Strong Collateral Quality: The 2015-B pool is relatively consistent with recently issued HART transactions, exhibiting a weighted average (WA) Fair Isaac Corporation (FICO) score of 745 and new vehicles comprising 92.8% of the pool.

Shifting Extended Term Loan Composition: Exposure to 60+ month term loans has decreased slightly in 2015-B; however, for the first time, the pool includes about 5% of loans with terms of 73-75 months.

Sufficient CE Structure: Initial credit enhancement (CE) is sufficient to withstand Fitch's base case cumulative net loss (CNL) proxy of 1.75% for all classes of notes at each class' respective loss coverage multiple.

Weaker Loss Performance: Losses on HCA's auto loan portfolio in 2014 have increased relative to the strong 2009-2012 vintages. However, losses remain below peak levels observed in 2008.

Evolving Wholesale Market: The U.S. wholesale vehicle market (WVM) is normalizing following strong performance in recent years. Fitch expects increasing used vehicle supply from off-lease vehicles and trade-ins to pressure ABS recovery rates, leading to moderately higher loss rates. Fitch's analysis accounts for this risk by including periods of weak WVM performance in the derivation of its base case loss expectation.

Stable Origination, Underwriting and Servicing: HCA demonstrates adequate abilities as originator, underwriter and servicer to service 2015-B, as evidenced by the historical performance of its managed portfolio and securitizations.

Integrity of the Legal Structure: The legal structure of the transaction should provide that a bankruptcy of HCA would not impair the timeliness of the payments on the securities.

RATING SENSITIVITIES

Unanticipated decreases in the value of returned vehicles and/or increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than the base case. This would likely result in declines of CE and loss coverage levels available to the notes. Thus, Fitch conducts sensitivity analyses by increasing the transaction's initial base case RV and credit loss assumptions and examining the rating implications on all classes of issued notes. The increases to the base case losses are applied such that they represent moderate (1.5x) and severe (2.5x) stresses, and are intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance. Fitch's analysis found that the notes display some sensitivity to increased defaults and losses. In fact, they could lead to potential downgrades of up to one category under Fitch's moderate (1.5x base case loss) scenario. The notes could experience downgrades of two to three rating categories under Fitch's severe (2.5x base case loss) scenario.

The presale report is 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:

--'Global Structured Finance Rating Criteria' (March 2015);

--'Criteria for Rating U.S. Auto Lease ABS' (April 2014);

--'Structured Finance Tranche Thickness Metrics' (July 29, 2011).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864268

Criteria for Rating U.S. Auto Lease ABS

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=746763

Structured Finance Tranche Thickness Metrics

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=646951

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=983437

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Fitch Ratings, Inc.
Primary Analyst
Joyce Fargas, +1-212-908-0824
Director
33 Whitehall Street
New York, NY, 10004
or
Secondary Analyst
Yun Tian, +1-212-908-0307
Analyst
or
Committee Chairperson
Steve Stubbs, +1-212-908-0676
Senior Director
or
Media Relations
Sandro Scenga, New York
+1-212-908-0278
[email protected]

Source: Fitch Ratings

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