Fitch to Rate Hyundai Auto Lease Securitization Trust 2016-A; Issues Presale
--$108,000,000 class A-1 asset-backed notes 'F1+sf';
--$100,000,000 class A-2A asset-backed notes 'AAAsf'; Outlook Stable;
--$100,000,000 class A-2B asset-backed notes 'AAAsf'; Outlook Stable;
--$210,000,000 class A-3 asset-backed notes 'AAAsf'; Outlook Stable;
--$62,450,000 class A-4 asset-backed notes 'AAAsf'; Outlook Stable;
--$23,966,000 class B asset-backed notes 'AAsf'; Outlook Stable.
KEY RATING DRIVERS
Stable Collateral Quality: The pool is consistent with that of recently issued HALST transactions, with a weighted average (WA) FICO score of 742, Hyundai and Kia brand composition of 50.3% and 49.7%, respectively and cars making up the majority of the pool at 69%. The undiscounted residual value (RV) comprises 66.2% of the securitization value (SV) which is an increase from 63.1% in 2015-B and exposes the transaction to greater residual risk.
Adequate CE Structure: Initial hard credit enhancement (CE) will be 16.95% and 13.50% for class A and B notes, respectively, growing to 18.95% and 15.50% of the initial SV, consistent with past transactions. Initial excess spread is expected to be 4.08%. Loss coverage is adequate to support Fitch's 'AAAsf' and 'AAsf' stressed assumptions.
Weakening Loss Performance: Credit and residual losses on HCA's portfolio have begun to increase from the low levels seen in 2010 and 2011, in part due to rapid origination growth and the resulting increase in off-lease vehicles. Residual performance is expected to see continued pressure but remain below peaks used to derive the base case. Fitch's credit loss proxy is 1.15% of the SV and the 'BBsf' residual loss proxy is 13.40%.
Evolving Wholesale Market: The U.S. wholesale vehicle market has been normalizing following strong performance in recent years. Fitch expects that increasing off-lease vehicle supply and pressure from increased production levels will lead to decreased residual realizations during the life of the transaction.
Experienced Origination/Underwriting/Servicing: Fitch believes HCA to be a capable originator, underwriter and servicer, as evidenced by historical portfolio delinquency and loss experience and securitization performance.
Legal Structure Integrity: The legal structure of the transaction should provide that a bankruptcy of HCA would not impair the timeliness of 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 credit enhancement and loss coverage levels available to the notes. Hence, 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.
DUE DILIGENCE USAGE
Fitch was provided with third-party due diligence information from KPMG LLP. The third-party due diligence information was provided on Form ABS Due Diligence-15E and focused on a comparison and re-computation of certain characteristics with respect to 150 sample leases. Fitch considered this information in its analysis and the findings did not have an impact on our analysis. A copy of the ABS Due Diligence Form-15E received by Fitch in connection with this transaction may be obtained through the link contained on the bottom of the related rating action commentary.
Fitch's analysis of the Representations and Warranties (R&W) of this transaction can be found in the reports titled ' Hyundai Auto Lease Securitization Trust 2016-A -- Appendix'. These R&W are compared to those of typical R&W for the asset class as detailed in the special report 'Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions' dated Jan. 6, 2016.
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