CHICAGO--(BUSINESS WIRE)--Fitch Ratings expects to assign the following ratings and Rating Outlooks to the notes issued by Hyundai Auto Receivables Trust 2015-A (2015-A):
--Class A-1 asset-backed notes 'F1+sf';
--Class A-2 asset-backed notes 'AAAsf'; Outlook Stable;
--Class A-3 asset-backed notes 'AAAsf'; Outlook Stable;
--Class A-4 asset-backed notes 'AAAsf'; Outlook Stable.
--Class B asset-backed notes 'AAsf'; Outlook Stable
--Class C asset-backed notes 'Asf'; Outlook Stable
--Class D asset-backed notes 'BBBsf'; Outlook Stable
KEY RATING DRIVERS
Strong Collateral Quality: The 2015-A pool is relatively consistent with recently issued HART transactions, exhibiting a weighted average (WA) Fair Isaac Corporation (FICO) score of 743 and new vehicles comprising 94.5% of the pool. WA seasoning is slightly higher, relative to 2013?2014 HART transactions, at 8.4 months.
Sufficient CE Structure: Initial hard credit enhancement (CE) for all classes is similar to recent transactions. In addition, target levels have not changed from prior deals, and excess spread is expected to be 1.98%, down slightly from HART 2014-B's 2.27%. Initial CE is sufficient to withstand Fitch's base case cumulative net loss (CNL) proxy of 1.65% for all classes of notes at each class' respective loss coverage multiple.
Improved Loss Performance: HCA's portfolio and securitization losses declined significantly from peak 2008 levels, driven by stronger underwriting and credit quality, as well as the improving U.S. economy and stable used vehicle values.
Stable Origination, Underwriting and Servicing: HCA demonstrates adequate abilities as originator, underwriter and servicer to service 2015-A, 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.
Unanticipated increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than the base case. This could result in potential rating actions on the notes. Fitch evaluated the sensitivity of the ratings assigned to all classes of 2015-A to increased losses over the life of the transaction. Fitch's analysis found that the notes display limited sensitivity to increased defaults and losses, showing no expected impact on the rating of the notes under Fitch's moderate (1.5x base case loss) scenario. The notes could experience a downgrade of one to two 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' (Aug. 4, 2014);
--' Rating Criteria for U.S. Auto Loan ABS' (Apr. 7, 2014);
--'Counterparty Criteria for Structured Finance Transactions and Covered Bonds' (May 14, 2014);
--'Structured Finance Tranche Thickness Metrics' (July 29, 2011);
--'Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds' (Dec. 19, 2014);
--'Hyundai Auto Receivables Trust 2015-A' (Jan. 8, 2015);
--'Hyundai Auto Receivables Trust 2015-A-Appendix' (Jan. 8, 2015).
Applicable Criteria and Related Research: Hyundai Auto Receivables Trust 2015-A (US ABS)
Global Structured Finance Rating Criteria
Rating Criteria for U.S. Auto Loan ABS — Effective April 10, 2013 to April 7, 2014
Structured Finance Tranche Thickness Metrics
Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds