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May 2 (Reuters) - (The following statement was released by the rating agency)
Fitch Ratings expects to assign the following ratings and Rating Outlooks to the notes issued by Hyundai Auto Receivables Trust 2014-B:
--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.
Stable Collateral Quality: The 2014-B pool is consistent with 2014-A and 2013 pools, exhibiting a weighted average (WA) FICO score of 744, 94.6% of new vehicles and 5.8 months of seasoning. The WA LTV has increased versus recent pools; however, overall credit quality has improved considerably post-2008.
Sufficient CE Structure: Initial hard credit enhancement (CE) for the notes is unchanged versus recent transactions and excess spread is expected to be 2.02%, down from 2014-A (2.75%). Under Fitch’s analysis with a base case CNL proxy of 1.65%, the structure is able to support stressed losses commensurate with the expected ratings.
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 2014-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.
Unanticipated increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than the base case. This in turn could result in Fitch taking negative rating actions on the notes. Fitch evaluated the sensitivity of the ratings assigned to Hyundai Auto Receivables Trust 2014-B to increased credit 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 up to two rating categories under Fitch’s severe (2.5x base case loss) scenario.
Key Rating Drivers and Rating Sensitivities are further described in the accompanying presale report, available at ‘www.fitchratings.com’