Hyundai Auto Receivables Trust 2021-C

Presale:

Hyundai Auto Receivables Trust 2021-CNovember 3, 2021

Preliminary Ratings

Class Preliminary rating Type Interest ratePreliminary amount

(mil. $)(i)Legal finalmaturity

A-1 A-1+ (sf) Senior Fixed 290.00 Nov. 15, 2022

A-2-A/A-2-B AAA (sf) Senior Fixed/floating(ii) 499.50 Oct. 15, 2024

A-3 AAA (sf) Senior Fixed 494.50 May 15, 2026

A-4 AAA (sf) Senior Fixed 139.23 Dec. 15, 2027

B AA+ (sf) Subordinate Fixed 27.64 Dec. 15, 2027

C AA- (sf) Subordinate Fixed 46.06 June 15, 2028

Note: This presale report is based on information as of Nov. 3, 2021. The ratings shown are preliminary. This report does not constitute arecommendation to buy, hold, or sell securities. Subsequent information may result in the assignment of final ratings that differ from thepreliminary ratings. (i)All or a portion of one or more classes of notes may be initially retained by Hyundai Capital America or an affiliate. (ii)Atclosing, the class A-2 notes will be split into a fixed-rate class A-2-A and a floating-rate class A-2-B. The sizes of these classes will bedetermined at pricing, although the principal balance of the class A-2-B notes may not exceed 30% of the aggregate principal balance of theclass A-2 notes. The class A-2-B interest rate will be a floating rate indexed to SOFR plus a margin (to be determined). SOFR--SecuredOvernight Financing Rate.

Profile

Expected closing date Nov. 17, 2021.

Collateral Prime auto loan receivables.

Issuer Hyundai Auto Receivables Trust 2021-C.

Administrator, seller, sponsor, and servicer Hyundai Capital America (BBB+/Stable/A-2).

Depositor Hyundai ABS Funding LLC.

Indenture trustee Citibank N.A. (A+/Stable/A-1).

Owner trustee U.S. Bank Trust N.A.

Lead underwriter SMBC Nikko Securities America Inc.

Presale:

Hyundai Auto Receivables Trust 2021-CNovember 3, 2021

PRIMARY CREDIT ANALYST

Ethan Choi

New York

+ 1 (212) 438 1043

[email protected]

SECONDARY CONTACT

Jennie P Lam

New York

+ 1 (212) 438 2524

[email protected]

www.standardandpoors.com November 3, 2021 1

© S&P Global Ratings. All rights reserved. No reprint or dissemination without S&P Global Ratings' permission. See Terms of Use/Disclaimeron the last page.

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mailto: [email protected]




Credit Enhancement Summary (%)

HART 2021-C HART 2021-B

Initial(i) Target(i) Floor(i) Initial(i) Target(i) Floor(i)

Class A

Subordination 4.80 4.80 4.80 4.80 4.80 4.80

Reserve account 0.25 0.25 0.25 0.25 0.25 0.25

Overcollateralization 2.50 3.00 3.00 2.50 3.00 3.00

Total 7.55 8.05 8.05 7.55 8.05 8.05

Class B

Subordination 3.00 3.00 3.00 3.00 3.00 3.00

Reserve account 0.25 0.25 0.25 0.25 0.25 0.25


Total 5.75 6.25 6.25 5.75 6.25 6.25

Class C

Subordination N/A N/A N/A N/A N/A N/A

Reserve account 0.25 0.25 0.25 0.25 0.25 0.25


Total 2.75 3.25 3.25 2.75 3.25 3.25

Additional enhancement

YSOA (% of aggregate pool) 2.70 N/A N/A 1.98 N/A N/A

YSOA discount rate 3.75 N/A N/A 3.40 N/A N/A

Approximate estimated YSOA-adjustedannual excess spread(ii)

2.61 N/A N/A 2.71 N/A N/A

(i)Percent of the initial adjusted receivables balance. (ii)Estimated excess spread before pricing. The series 2021-B's post-pricing estimatedYSOA-adjusted spread was approximately 2.95%. HART--Hyundai Auto Receivables Trust. YSOA--Yield supplement overcollateralizationamount. N/A--Not applicable.

Rationale

S&P Global Ratings' preliminary ratings assigned to Hyundai Auto Receivables Trust 2021-C's(HART 2021-C) asset-backed notes reflect:

- The availability of approximately 11.0% credit support at the 'AAA' rating level, 9.4% at the'AA+' level, and 6.7% at the 'AA-' level (based on stressed cash flow scenarios), includingexcess spread, which is approximately 7.1x, 6.0x, and 4.2x coverage, respectively, of our1.40%-1.60% expected loss range for the notes (see the Cash Flow Modeling section for moreinformation).

- Our expectation that under a moderate ('BBB') stress scenario (2.0x our expected loss level), allelse being equal, our preliminary 'AAA (sf)', 'AA+ (sf)', and 'AA- (sf)' ratings will be within thecredit stability limits specified by section A.4 of the Appendix in S&P Global Rating Definitions(see "S&P Global Ratings Definitions," published Jan. 5, 2021).

- The credit enhancement in the form of subordination, overcollateralization, a reserve account,a yield supplement overcollateralization amount (YSOA), and excess spread (see the Credit



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Presale: Hyundai Auto Receivables Trust 2021-C

Enhancement Summary table above for more information).

- The transaction's ability to make timely interest and principal payments under the stressedcash flow modeling scenarios that we believe are consistent with the assigned preliminaryratings.

- The collateral characteristics of the securitized pool of prime automobile loans.

- Hyundai Capital America's (HCA) extensive securitization performance history since 2001.

- The transaction's payment and legal structures.

Environmental, Social, And Governance (ESG) Factors

Our rating analysis considers a transaction's potential exposure to ESG credit factors. For the autoABS sector, we view the exposure to environmental credit factors as above average, social creditfactors as average, and governance credit factors as below average (see "ESG Industry ReportCard: Auto Asset-Backed Securities," published March 31, 2021).

The exposure to ESG credit factors in this transaction is in line with our sector benchmark.Environmental credit factors are generally viewed as above average, given that the collateral poolprimarily comprise vehicles with internal combustion engines (ICE), which emit pollutants thatcontribute to climate transition risks. While the adoption of electric vehicles and future regulationcould in time lower ICE vehicle values, we believe our current approach to evaluating recovery andresidual values adequately account for vehicle values over the relatively short expected life of thetransaction. As a result, we have not separately identified this as a material ESG credit factor inour analysis.

New Interest Rate Benchmark Introduced

HCA intends to adopt a new interest rate benchmark, the Secured Overnight Financing Rate(SOFR), for the HART 2021-C floating-rate class A-2-B notes. In previous HART transactions thatcontained floating tranches, the issuer utilized one-month LIBOR as the benchmark. However, dueto the expected LIBOR cessation and regulatory guidance to transition away from using U.S. dollarLIBOR on newly executed financial contracts after December 2021, many issuers are evaluatingalternative interest rate benchmarks for their securitizations. This transaction reflects an earlyadoption of SOFR on newly issued unhedged liabilities in the U.S. ABS market.

The class A-2 notes will consist of two tranches: the class A-2-A fixed-rate notes and the classA-2-B floating-rate notes. The class A-2-B notes are indexed to SOFR plus a spread and mayconstitute up to 30% of the class A-2 notes. The class A-2-B coupons will initially be based on acompounded SOFR (a 30-day average SOFR calculated in advance by the calculation agent usingthe published rate on the Federal Reserve Bank of New York's [FRBNY] website). The spreadadded to SOFR is the total credit risk of the transaction, and it does not contain a layer of bankcredit risk like LIBOR does because SOFR is essentially a risk-free rate. The guidelines for usingSOFR are broadly consistent with The Alternative Reference Rates Committee's (ARRC) March2021"Options for Using SOFR in New ABS, MBS, CMBS Products" report.

In addition, provisions have been incorporated into securitization documents that govern rateselection if SOFR becomes unavailable.

For the floating-rate tranche, we applied our stressed interest rates for one-month SOFR asdescribed in our criteria and corresponding guidance, "Methodology To Derive Stressed Interest



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Rates In Structured Finance," published Oct. 18, 2019.

Transaction Overview

The HART 2021-C securitization will be HCA's third auto loan transaction this year.

Interest payments will be made on the 15th of each month, or on the next business day if the 15this not a business day, beginning Dec. 15, 2021. The notes will receive principal sequentially andwill be paid a fixed rate of interest, except for the class A-2-B notes, which will receive a fixedspread tied to SOFR. The class A-2 notes will receive principal pro rata among the class A-2-A andA-2-B notes (see the Transaction Structure section below for more information).

Changes From The Series 2021-B Transaction

The structural and credit enhancement changes from the series 2021-B transaction include thefollowing:

- Class A-2 may include a class A-2-B floating-rate tranche indexed to SOFR, which mayconstitute up to 30% of the class A-2 notes.

- The discount rate increased to 3.75% from 3.40% and the YSOA increased to 2.70% from 1.98%as a percentage of the aggregate pool, given the lower weighted average APR compared withseries 2021-B.

The collateral composition changes from the series 2021-B transaction include the following:

- The average loan balance increased to $24,902 from $23,753.

- The average original amount financed increased to $27,893 from $27,399.

- The weighted average seasoning decreased to approximately 6.9 months from 7.0 months.

- The percentage of Kia vehicles increased to 45.18% from 44.99%, while the percentage ofGenesis vehicles increased to 3.07% from 2.92%.

- The percentage of new vehicles increased to 94.38% from 92.94%.

- The weighted average annual percentage rate (APR) decreased to 3.33% from 3.51%.

Our expected loss considers HCA's tighter underwriting standards since 2016 (based on theperformance data we received from HCA), improved securitization performance to date, andgenerally comparable collateral characteristics. Our expected loss range for the series 2021-Ctransaction is 1.40%-1.60%, which is unchanged from series 2021-B (see the S&P Global Ratings'Expected Loss section below for more information).

Transaction Structure

The series 2021-C transaction uses a sequential principal payment structure among the class A,B, and C notes. Total hard credit enhancement as a percentage of the adjusted initial pool balancewill build to 3.25%, including the reserve account, at which point any excess spread will bereleased to the certificateholders. The reserve account, which will be nonamortizing throughoutthe transaction's life, will be funded with an initial deposit of 0.25% of the initial adjusted poolbalance.



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The YSOA is sized so that the yield on those contracts with APRs less than the 3.75% YSOAdiscount rate increases to the YSOA discount rate. The YSOA for each distribution date will becalculated at closing, assuming zero prepayments and zero defaults, and will amortize accordingto a schedule. At closing, the YSOA is expected to be approximately $42.68 million, or 2.70% of theinitial aggregate pool balance (see chart 1 for the transaction structure).

Chart 1

In rating this transaction, S&P Global Ratings will review the relevant legal matters and opinionsoutlined in its criteria.

Payment Structure

Distributions will be made from the available funds according to the priority shown in table 1 aslong as an event of default hasn't occurred.



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Table 1

Payment Waterfall

Priority Payment

1 The 1.00% annual servicing fee and all unpaid servicing fees and reimbursements for any servicer advances.

2 To the class A noteholders, accrued and unpaid interest on the class A notes.

3 To the principal distribution account, the first-priority principal distribution amount, which will generally bean amount equal to the excess of the class A outstanding principal amount over the adjusted pool balance.

4 To the class B noteholders, accrued and unpaid interest on the class B notes.

5 To the principal distribution account, the second-priority principal distribution amount, which will generallybe an amount equal to the excess of the sum of the aggregate class A and B outstanding principal amountover the adjusted pool balance, provided this amount will be reduced by any amounts previously deposited inthe principal distribution account according to item 3 above.

6 To the class C noteholders, accrued and unpaid interest on the class C notes.

7 To the principal distribution account, the regular principal distribution amount, which will generally be anamount equal to the excess of the aggregate class A, B, and C outstanding principal amount over theadjusted pool balance, minus the target overcollateralization amount, provided that this amount will bereduced by any amounts previously deposited in the principal distribution account according to items 3 and 5above.

8 To the reserve account, up to its required level.

9 To the trustees, pro rata, and then to the asset representations reviewer, reimbursements, expenses, andindemnities not previously paid.

10 Any remaining funds to the certificateholders.

The payment priority can change if certain events of default occur and continue, including a failureto pay interest on the controlling note class; a failure to pay principal at final maturity; a breach ofa representation, warranty, or covenant; or the trust's involuntary or voluntary bankruptcy.

If an event of default occurs and continues, the indenture trustee or a majority of the noteholdersof the controlling class' outstanding amount may accelerate the notes. The trust estate may beliquidated as a result, but only under the following three circumstances:

- If the event of default is a failure to pay timely interest or principal at final maturity, the trustestate may be liquidated without further caveat.

- If the event of default is a breach of a representation, warranty, or covenant, the trust estatemay be liquidated if all noteholders and certificateholders consent, or if the sale or liquidationproceeds are sufficient to ensure all noteholders and certificateholders are paid in full.

- If a bankruptcy event of default occurs, the trust estate may be liquidated if all of thecontrolling class' noteholders consent, if the sale or liquidation proceeds are sufficient toensure all notes are paid in full, or if the indenture trustee determines that the trust estate willnot provide sufficient funds to pay the noteholders in full and obtains the consent ofnoteholders holding two-thirds of the principal amount of the controlling class.

If the notes are accelerated following a failure to pay timely interest or principal at final maturityor a bankruptcy event of default, or if there is a representation, warranty, or covenant breachfollowing one of the other events of default and the trust estate's liquidation, then distributionswill be made from the available funds according to the priority shown in table 2.



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Table 2

Event Of Default Payment Waterfall

Priority Payment

1 All amounts owed to the trustees not previously paid.

2 All amounts owed to the servicer not previously paid.

3 All amounts owed to the asset representations reviewer not previously paid.

4 To the class A noteholders, pro rata, for amounts due and unpaid on the class A notes in respect of interest,ratably, without preference or priority of any kind, according to the amounts due and payable on the notes inrespect of interest.

5 To the class A-1 noteholders, principal owed until the class A-1 notes are reduced to zero.

6 Principal amounts due and unpaid on the class A-2, A-3, and A-4 notes, ratably, without preference or priorityof any kind until each class' outstanding amount is reduced to zero; provided that if there are insufficientfunds to pay each class' outstanding principal amount, the amounts available will be applied to pay principalon the notes, pro rata.

7 Any accrued and unpaid interest on the class B notes.

8 To the class B noteholders, principal owed until the class B notes are reduced to zero.

9 Any accrued and unpaid interest on the class C notes.

10 To the class C noteholders, principal owed until the class C notes are reduced to zero.

11 Any remaining funds to the certificateholders.

Managed Portfolio

HCA managed a serviced portfolio of approximately $26.7 billion as of June 30, 2021. Theportfolio's outstanding principal balance increased approximately 44% year over year as of June30, 2021, due to increased auto loan origination volume and strong sales performance of Hyundaiand Kia vehicles.

Total delinquencies as a percentage of the portfolio outstanding decreased to 1.24% as of June30, 2021, from 2.05% a year earlier (see table 3). The serviced portfolio's annualized net losses asa percentage of the average principal outstanding decreased to 0.57% for the six months endedJune 30, 2021, from 1.40% a year earlier, though the portfolio size increased.

The delinquency and net charge-off percentages for the Hyundai and Kia portions of the total poolare shown in tables 4 and 5. Both portfolios' delinquencies have declined, and both exhibit lowernet charge-offs year over year.

Table 3

Total Managed Portfolio

Six months ended June30 Year ended Dec. 31

2021 2020 2020 2019 2018 2017

Portfolio outstanding (mil. $) 26,707.92 18,528.01 22,211.63 16,370.04 13,397.90 13,476.54

Avg. principal balance outstanding (mil. $) 23,642.43 16,944.02 17,226.90 13,667.40 13,373.08 14,311.42

Delinquency (%)(i)

30-60 days 0.95 1.50 1.54 2.23 2.72 2.58

61-plus days 0.28 0.55 0.55 0.72 0.98 0.97



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Table 3

Total Managed Portfolio (cont.)


2021 2020 2020 2019 2018 2017

Total delinquencies as a % of theportfolio outstanding

1.24 2.05 2.09 2.96 3.70 3.55

Net charge-off as a % of the avg.principal outstanding (annualized if notbased on a full year)

0.57 1.40 1.14 1.47 1.64 1.87

(i)Excludes repossessed vehicles.

Table 4

Hyundai Managed Portfolio


2021 2020 2020 2019 2018 2017



Delinquency (%)(i)

30-60 days 0.74 1.19 1.19 1.91 2.67 2.63

61-plus days 0.21 0.43 0.41 0.61 0.98 1.00


0.95 1.62 1.59 2.52 3.66 3.63

Net charge-off as a % of the avg. principaloutstanding (annualized if not based on afull year)

0.38 1.16 0.91 1.22 1.42 1.85


Table 5

Kia Managed Portfolio


2021 2020 2020 2019 2018 2017



Delinquency (%)(i)

30-60 days 1.16 1.78 1.87 2.48 2.75 2.55

61-plus days 0.36 0.66 0.69 0.82 0.98 0.94


1.52 2.44 2.56 3.30 3.74 3.49



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Table 5

Kia Managed Portfolio (cont.)


2021 2020 2020 2019 2018 2017

Net charge-off as a % of the avg. principaloutstanding (annualized if not based on afull year)

0.75 1.60 1.34 1.65 1.80 1.88


Securitization Performance

The HART 2000-A through 2017-A securitizations, which have been paid off, experiencedcumulative net losses ranging from approximately 0.6% (series 2011-A) to 5.1% (series 2002-A).The 2000-2002 securitizations experienced the highest losses, ranging from 4.1% to 5.1% (seecharts 2 and 3). These earlier vintages had low weighted average FICO scores of less than 680,while the later vintages (2009-2011) exhibited strong credit quality, with weighted average FICOscores between 742 and 751.

Chart 2



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Chart 3

Cumulative net losses for the outstanding series 2017-B through 2021-B securitizations aregenerally trending low relative to those of earlier deals (see chart 4). We believe the strongperformance is attributable to higher weighted average FICO scores (approximately 740-770), thecurrent high vehicle recovery rates, and the improving economy. The series 2021-C poolcharacteristics are generally comparable to the series 2017, 2018, 2019, and 2020 pools.



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Chart 4

The paid-off series 2000-A through 2017-A securitizations have experienced cumulative grosslosses ranging from approximately 2.3% to 6.5%, while the series 2017-B through 2021-Btransactions are generally trending with lower cumulative gross losses (see charts 5-7).



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Chart 5

Chart 6



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Chart 7

Chart 8 shows the cumulative recovery rates on each outstanding securitization. The series2017-B transaction is currently experiencing recovery rates of approximately 60%, which aresimilar to the series 2018 transactions' but somewhat higher than those for the series 2019transactions. In addition, as of March 1, 2020, proceeds from the disposition of vehiclescharged-off and sold in the same day are subtracted from gross charge-offs. This has started toresult in a decrease in gross charge-offs and a corresponding decrease in recoveries, although netlosses should ultimately remain unaffected.



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Chart 8

Surveillance

We currently maintain ratings on 10 HART transactions that were issued between 2017 and 2021,and we revised our lifetime loss expectations on six of these transactions between October andDecember 2020. We believe the transactions have adequate credit enhancement to support theclasses at their current rating levels. We will continue to monitor the performance of theoutstanding transactions to ensure that the credit enhancement remains sufficient, in our view, tocover our revised cumulative net loss expectations under our stress scenarios for each of therated classes.

Each transaction has credit enhancement in the form of overcollateralization, a nonamortizingreserve account, enhanced excess spread in the form of a YSOA, and subordination for themore-senior classes. The credit support levels have grown for all outstanding classes as apercentage of the declining collateral balances.

Table 6

Performance Data For Outstanding Hyundai Auto Receivables Trust Transactions(i)

Transaction/series MonthPool

factor (%) CNL (%)60-plus-day

delinquency (%)Initial expected

lifetime CNL (%)

Revised expectedlifetime CNL

(%)(ii)

2017-B 50 5.52 0.99 0.40 1.65-1.85 1.15-1.35

2018-A 42 11.44 0.91 0.56 1.65-1.85 1.30-1.50

2018-B 34 18.08 0.75 0.22 1.55-1.75 1.40-1.60



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Table 6

Performance Data For Outstanding Hyundai Auto Receivables TrustTransactions(i) (cont.)

Transaction/series MonthPool

factor (%) CNL (%)60-plus-day

delinquency (%)Initial expected

lifetime CNL (%)

Revised expectedlifetime CNL

(%)(ii)

2019-A 30 25.07 0.95 0.24 1.45-1.65 1.60-1.80

2019-B 23 36.70 0.81 0.31 1.40-1.60 1.60-1.80

2020-A 18 51.85 0.75 0.39 1.80-2.00 N/A

2020-B 15 52.69 0.48 0.40 1.80-2.00 N/A

2020-C 12 66.58 0.35 0.28 1.80-2.00 N/A

2021-A 6 80.88 0.12 0.22 1.55-1.75 N/A

2021-B 3 90.17 0.02 0.19 1.40-1.60 N/A

(i)As of the October 2021 distribution date. (ii)We revised our ECNL for series 2017-B, 2018-B, and 2019-A in October 2020, and in December forseries 2017-A, 2018-A, and 2019-B. Each of these series' revised loss expectations (as well as the initial loss expectations of series 2020-A,2020-B, 2020-C, and 2021-A, which have not yet been revised) included an adjustment to account for the potential impact of the COVID-19pandemic. CNL--Cumulative net loss. ECNL--Expected cumulative net loss. N/A--Not applicable.

Pool Analysis

We compared the series 2021-C pool with previous HART transactions (see table 7). The series2021-C pool is generally comparable to the series 2021-B pool but with slightly less seasoning anda higher percentage of new vehicles. Any receivable for which the related obligor is currently in anextension period as of the Oct. 4, 2021, cutoff date, including for reasons related to the COVID-19pandemic, has been excluded from the receivables pool.

Table 7

Collateral Comparison(i)

HART

2021-C 2021-B 2021-A

Receivables balance (mil. $) 1,577.99 1,399.97 1,352.17

No. of receivables 63,367 58,939 57,550

Avg. loan balance ($) 24,902 23,753 23,495

Avg. original amount financed ($) 27,893 27,399 26,764

WA APR (%) (without YSOA) 3.33 3.51 3.40

WA original term (mos.) 65.77 65.84 66.02

WA remaining term (mos.) 58.83 58.83 58.27

WA seasoning (mos.) 6.93 7.01 7.75

WA FICO score 765 765 763

FICO score less than 701(ii) 21.31 22.31 22.12

FICO score 701-750 23.40 24.00 24.72

FICO score greater than 750 55.29 53.67 53.16

Original term 61-72 months 54.06 54.09 53.91



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Table 7

Collateral Comparison(i) (cont.)

HART

2021-C 2021-B 2021-A

Original term 73-75 months 4.94 4.96 4.94

Total greater than 60-months term 59.00 59.05 58.85

% of new vehicles 94.38 92.94 95.02

% of used vehicles 5.62 7.06 4.98

% of Hyundai receivables 50.59 50.28 50.3

% of Kia receivables 45.18 44.99 46.02

% of Genesis receivables 3.07 2.92 2.58

% of other receivables 1.16 1.80 1.10

Vehicle type (%)

Car 30.02 26.47 29.72

CUV/SUV 67.00 70.90 68.33

Minivan 1.82 0.82 0.85

Other 1.16 1.80 1.10

Top five state concentrations (%)

TX=11.12 TX=11.72 CA=11.67

CA=10.52 CA=11.52 TX=10.73

FL=8.73 FL=10.48 FL=9.75

PA=6.70 IL=5.74 IL=5.65

IL=5.50 GA=3.99 PA=3.97

(i)All percentages are of the initial receivables balance. (ii)Excludes accounts for which no FICO score is available. HART--Hyundai AutoReceivables Trust. WA-- Weighted average. APR--Annual percentage rate. YSOA--Yield supplement overcollateralization amount.

The HART 2021-C transaction, like HART 2021-B, will include contracts with original terms of73-75 months. These contracts comprise approximately 4.94% of the total pool and haveapproximately seven months of seasoning and a weighted average FICO score of 770. However,HART 2021-C contains a slightly higher percentage of loans on Kia vehicles, compared with HART2021-B (see table 8).

Table 8

Collateral Comparison(i)


Hyundai Kia Total Hyundai Kia Total

Receivables balance (mil. $) 798.32 713.00 1,577.99 703.96 629.82 1,399.97

No. of receivables 34,436 26,894 63,367 31,406 25,327 58,939

Avg. loan balance ($) 23,183 26,511 24,902 22,415 24,868 23,753

Avg. original amount financed ($) 26,305 29,372 27,893 26,357 28,303 27,399

Weighted avg. APR (%) (withoutYSOA)

2.71 3.98 3.33 3.10 3.88 3.51



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Table 8

Collateral Comparison(i) (cont.)


Hyundai Kia Total Hyundai Kia Total

Weighted avg. original term (mos.) 63.70 68.27 65.77 64.55 67.41 65.84

Weighted avg. remaining term(mos.)

56.32 61.60 58.83 56.86 60.82 58.83

Weighted avg. seasoning (mos.) 7.38 6.67 6.93 7.69 6.59 7.01

Weighted avg. FICO score 785 744 765 783 747 765

% of new vehicles 95.57 95.49 94.38 95.31 94.20 92.94

% of used vehicles 4.43 4.51 5.62 4.69 5.80 7.06

% of Hyundai receivables 100.00 N/A 50.59 100.00 N/A 50.28

% of Kia receivables N/A 100.00 45.18 N/A 100.00 44.99

% of other receivables(ii) N/A N/A 4.23 N/A N/A 4.72

(i)All percentages are of the initial receivables balance. (ii)Includes Genesis receivables. HART--Hyundai Auto Receivables Trust. APR--Annualpercentage rate. YSOA--Yield supplement overcollateralization amount. N/A--Not applicable.

S&P Global Ratings' Expected Loss: 1.40%-1.60%

To derive the base-case loss for this transaction, we analyzed the securitization cumulative netand gross loss static pools, the securitization cumulative recovery performance, the lossprojections on the 2017-2020 outstanding securitized pools, the cumulative net loss performanceand loss projections for monthly origination vintage static pools, and the serviced portfolio'sperformance trends.

We also considered that the HART 2016-A securitized pool performed weaker than our initialexpectations, while the HART 2021-C pool has improved collateral characteristics compared withthe 2016 securitized pools. The FICO scores have been trending gradually higher over the pastseveral pools. The HART 2021-C transaction, like HART 2021-B, will include contracts with anoriginal term of 73-75 months. However, these contracts comprise only approximately 4.94% ofthe total pool, and their weighted average FICO score is 770, which is higher than the weightedaverage FICO score of 765 for the rest of the collateral and the entire pool.

In deriving our base-case net loss for the transaction, we have generally discounted thehistorically low loss levels experienced in recent months due to our expectation that the currenthigh recovery rates will moderate and performance will normalize. Altogether, our expectedcumulative net loss for HART 2021-C is 1.40%-1.60%. We will continue to monitor earlyperformance indicators and reflect them in our analyses on a forward-looking basis.

Cash Flow Modeling

We modeled the transaction to simulate rated stress scenarios appropriate for the assignedpreliminary ratings (see table 9). We conservatively modeled the maximum size of the class A-2-Bnote balance (30% of the class A-2 notes) indexed to SOFR.



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Table 9

Break-Even Cash Flow Assumptions/Results

Class A B C

Preliminary rating AAA (sf) AA+ (sf) AA- (sf)

Cumulative net loss timing (mos.) 12/24/36/48 12/24/36/48 12/24/36/48

Cumulative net loss (%)

Subvened collateral(i) 20/31/30/19 20/31/30/19 20/31/30/19

Nonsubvened collateral 30/35/25/9 30/35/25/10 30/35/25/10

Aggregate curve 24/32/28/15 24/32/28/15 24/32/28/15

Allocation of losses (%)

Subvened collateral(i) 60.00 60.00 60.00

Nonsubvened collateral 40.00 40.00 40.00

Voluntary ABS (%)

Subvened collateral(i) 0.00 0.00 0.00

Nonsubvened collateral 1.80 1.75 1.70

Servicing fee (%) 1.00 1.00 1.00

Recovery rate (%) 50.00 50.00 50.00

Recovery lag (mos.) 4 4 4

Approximate break-even level (%)(ii) 11.0 9.4 6.7

(i)The subvened/nonsubvened cutoff annual percentage rate is 4.00%. (ii)The maximum cumulative net losses on the pool that the transactioncan withstand without triggering a payment default on the relevant classes of notes. ABS--Absolute prepayment speed.

We used different prepay assumptions for the subvened and nonsubvened collateral. This wasintended to stress the excess spread by prepaying the higher APR loans at a faster rate.

Using our expected net loss range of 1.40%-1.60% and applying the assumptions outlined in table9 in our internal cash flow runs, we determined that the class A, B, and C notes have sufficientcredit enhancement to withstand a stressed net loss level that is consistent with the assignedpreliminary ratings.

Sensitivity Analysis

Besides analyzing break-even cash flows, we conducted a sensitivity analysis to see whetherunder a moderate ('BBB') stress scenario (see table 10 and chart 9), all else being equal, ourpreliminary ratings will be within the credit stability limits specified by section A.4 of the Appendixcontained in S&P Global Rating Definitions (see "S&P Global Ratings Definitions," published Jan.5, 2021).

Table 10

Scenario Analysis Summary

Two-pool approach

Loss level (multiple) 2.0x base case

Cumulative net loss (%) 3.00



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Table 10

Scenario Analysis Summary (cont.)

Two-pool approach

Cumulative net loss timing (12/24/36/48) (%)

Subvened collateral(i) 20/31/30/19

Nonsubvened collateral 30/35/25/10

Aggregate curve 24/32/28/15

Allocation of losses (%)

Subvened collateral(i) 60.00

Nonsubvened collateral 40.00

Voluntary ABS (%)

Subvened collateral(i) 0.00

Nonsubvened collateral 1.50

Servicing fee (%) 1.00

Recovery rate (%) 50.00

Recovery lag (mos.) 4.00

Haircut to excess spread (%) 10.00

(i)The subvened/nonsubvened cutoff annual percentage rate is 4.00%. ABS--Absolute prepayment speed.

Chart 9



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Money Market Tranche Sizing

The proposed class A-1 money market tranche has a final maturity date of Nov. 15, 2022. To testwhether the money market tranche can be repaid by then, we ran cash flows using assumptions todelay the principal collections during the that time. We assumed zero defaults, and we saw thatthe money market tranche would be paid off in full at least two months before the legal finalmaturity date, assuming a zero absolute prepayment speed for the subvened collateral and 0.50%absolute prepayment speed for the nonsubvened collateral.

Legal Final Maturity

To test the legal final maturity dates set for classes A and B, we determined the date when therespective notes were fully amortized in a zero-loss, zero-prepayment scenario and then addedthree months to the result. Furthermore, in the break-even scenario for each respectivepreliminary rating level, we confirmed that there was sufficient credit enhancement to coverlosses and to repay the related notes in full by the legal final maturity date. We calculated thelegal final maturity for the class C notes by adding at least six months to accommodate recoveriesand extensions to the longest loan term in the pool as of the Oct. 4, 2021, cutoff date.

HCA

HCA (BBB+/Stable/A-2) is an 80%-owned subsidiary of Hyundai Motor America, which, in turn, isa wholly owned subsidiary of South Korea-based automaker Hyundai Motor Co. (BBB+/Stable/--).The remaining 20% is owned by Kia America Inc. (formerly known as Kia Motors America Inc.), anaffiliate of HCA and a wholly owned subsidiary of Kia Corp. (BBB+/Stable/--). HCA offers bothretail and lease products to its customers. HCA is a full-service auto finance company thatprovides services to Hyundai dealers across the country and arranges financing for facilitiesrefurbishment, real estate purchases, construction, working capital requirements, and dealerinventory. On Sept. 2, 2021, we revised our rating outlook on HCA to stable and affirmed our'BBB+' issuer credit rating on the company after taking similar rating action on its parent HyundaiMotor Co. (see "Research Update: Hyundai Capital America, Hyundai Capital Canada OutlooksRevised To Stable After Same Action On Group; Ratings Affirmed," published Sept. 2, 2021).

Related Criteria

- General Criteria: Environmental, Social, And Governance Principles In Credit Ratings, Oct. 10,2021

- Criteria | Structured Finance | General: Global Framework For Payment Structure And CashFlow Analysis Of Structured Finance Securities, Dec. 22, 2020

- Criteria | Structured Finance | General: Methodology To Derive Stressed Interest Rates InStructured Finance, Oct. 18, 2019

- Criteria | Structured Finance | Legal: U.S. Structured Finance Asset Isolation AndSpecial-Purpose Entity Criteria, May 15, 2019

- Criteria | Structured Finance | General: Counterparty Risk Framework: Methodology AndAssumptions, March 8, 2019



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- Criteria | Structured Finance | General: Incorporating Sovereign Risk In Rating StructuredFinance Securities: Methodology And Assumptions, Jan. 30, 2019

- General Criteria: Methodology For Linking Long-Term And Short-Term Ratings, April 7, 2017

- Criteria | Structured Finance | General: Global Framework For Assessing Operational Risk InStructured Finance Transactions, Oct. 9, 2014

- General Criteria: Global Investment Criteria For Temporary Investments In TransactionAccounts, May 31, 2012

- General Criteria: Principles Of Credit Ratings, Feb. 16, 2011

- Criteria | Structured Finance | ABS: General Methodology And Assumptions For Rating U.S. AutoLoan Securitizations, Jan. 11, 2011

- Criteria | Structured Finance | General: Methodology For Servicer Risk Assessment, May 28,2009

Related Research

- Economic Research: U.S. Real-Time Data: Supply Chain Disruptions Slow The Pace Of EconomicGrowth, Oct. 29, 2021

- Economic Research: U.S. Biweekly Economic Roundup: Retail Sales Stay Resilient AmidElevated Inflation And Low Consumer Sentiment, Oct. 22, 2021

- Global Auto Sales Forecasts: Supply Disruption Slows Recovery, Oct. 19, 2021

- U.S. Auto Sales Forecast Lowered For 2021, With A Bumpy Road In 2022; EVs Gear Up ToExpand Share, Oct. 14, 2021

- North America Credit Markets Update Q4 2021, Sept. 28, 2021

- Economic Outlook U.S. Q4 2021: The Rocket Is Leveling Off, Sept. 23, 2021

- Research Update: Hyundai Capital America, Hyundai Capital Canada Outlooks Revised ToStable After Same Action On Group; Ratings Affirmed, Sept. 2, 2021

- Research Update: Hyundai Motor Group Companies Outlook Revised To Stable On ImprovingProfitability; Ratings Affirmed, Sept. 2, 2021

- Hyundai Motor Co., June 17, 2021

- Kia Corp., May 17, 2021

- Auto Loan ABS COVID-19 Loss Adjustment Reassessed After Better-Than-ExpectedPerformance, July 8, 2021

- ESG Industry Report Card: Auto Asset-Backed Securities, March 31, 2021

- 15 Ratings Affirmed On Four Hyundai Auto Receivables Trust Transactions, Dec. 17, 2020

- Two Ratings Raised, 11 Ratings Affirmed On Three Hyundai Auto Receivables TrustTransactions, Oct. 29, 2020



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Hyundai Auto Receivables Trust 2021-C

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