Hyundai Auto Receivables Trust 2020-C

Presale: Hyundai Auto Receivables Trust 2020-C

October 15, 2020

PRIMARY CREDIT ANALYST

Preliminary Ratings Timothy J Moran, CFA, FRM New York Preliminary amount (mil. (1) 212-438-2440 Class Preliminary rating Type Interest rate $)(i) Legal final maturity timothy.moran A-1 A-1+ (sf) Senior Fixed 253.70 Nov. 15, 2021 @spglobal.com

A-2 AAA (sf) Senior Fixed 420.00 Sept. 15, 2023 SECONDARY CONTACT

A-3 AAA (sf) Senior Fixed 420.00 May 15, 2025 Peter W Chang, CFA New York A-4 AAA (sf) Senior Fixed 99.87 Nov. 16, 2026 (1) 212-438-1505 B AA+ (sf) Subordinate Fixed 23.18 Nov. 16, 2026 peter.chang @spglobal.com C AA- (sf) Subordinate Fixed 38.63 Dec. 15, 2027

Note: This presale report is based on information as of Oct. 15, 2020. The ratings shown are preliminary. This report does not constitute a recommendation to buy, hold, or sell securities. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. All or a portion of one or more classes of notes may be initially retained by HCA or an affiliate thereof. (i)HCA will retain an amount equal to at least 5% of the initial principal amount of each class of notes and may retain an additional amount or all of one or more of the classes of notes.

Profile

Expected closing date Oct. 28, 2020.

Collateral Prime auto loan receivables.

Issuer Hyundai Auto Receivables Trust 2020-C.

Administrator, seller, sponsor, Hyundai Capital America (BBB+/Negative/A-2), formerly known as Hyundai Motor and servicer Finance Co., an indirect, majority-owned subsidiary of Hyundai Motor Co. (BBB+/Negative/--).

Depositor Hyundai ABS Funding LLC, a wholly owned, special-purpose subsidiary of Hyundai Capital America.

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

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

Lead underwriter SMBC Nikko Securities America Inc.

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© S&P Global Ratings. All rights reserved. No reprint or dissemination without S&P Global Ratings' permission. See Terms of Use/Disclaimer 2535191 on the last page. Presale: Hyundai Auto Receivables Trust 2020-C

Credit Enhancement Summary (%)

HART 2020-C HART 2020-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 0.50 0.50 0.50 1.00 1.00 1.00

Overcollateralization 2.50 3.00 3.00 2.50 3.00 3.00

Total 7.80 8.30 8.30 8.30 8.80 8.80

Class B

Subordination 3.00 3.00 3.00 3.00 3.00 3.00

Reserve account 0.50 0.50 0.50 1.00 1.00 1.00

Overcollateralization 2.50 3.00 3.00 2.50 3.00 3.00

Total 6.00 6.50 6.50 6.50 7.00 7.00

Class C

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

Reserve account 0.50 0.50 0.50 1.00 1.00 1.00

Overcollateralization 2.50 3.00 3.00 2.50 3.00 3.00

Total 3.00 3.50 3.50 3.50 4.00 4.00

Additional enhancement

YSOA (% of aggregate pool) 2.77 N/A N/A 0.76 N/A N/A

YSOA discount rate 3.50 N/A N/A 2.00 N/A N/A

Estimated YSOA-adjusted annual 2.89 N/A N/A 2.81 N/A N/A excess spread(ii)

(i)Percent of the initial adjusted receivables balance. (ii)Estimated excess spread before pricing. The series 2020-B's post-pricing estimated YSOA-adjusted spread was approximately 3.18%. HART--Hyundai Auto Receivables Trust. YSOA--Yield supplement overcollateralization amount. N/A--Not applicable.

Rationale

S&P Global Ratings' preliminary ratings assigned to Hyundai Auto Receivables Trust 2020-C's (HART 2020-C's) asset-backed notes reflect:

- The availability of approximately 12.0% credit support at the 'AAA' rating level, 10.4% at the 'AA+' level, and 7.6% at the 'AA-' level (based on stressed cash flow scenarios), including excess spread, which is approximately 6.3x, 5.5x, and 4.0x coverage, respectively, of our 1.80%-2.00% expected loss range for the notes (see the Cash Flow Modeling section for more information).

- Our expectation that under a moderate ('BBB') stress scenario (2.0x our expected loss level), all else being equal, our preliminary 'AAA (sf)', 'AA+ (sf)', and 'AA- (sf)' ratings will be within the credit stability limits specified by section A.4 of the Appendix contained in S&P Global Rating Definitions (see "S&P Global Ratings Definitions," published Aug. 7, 2020).

- 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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Enhancement Summary table above for more information).

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

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

- Hyundai Capital America's (HCA; formerly Hyundai Motor Finance Co.) extensive securitization performance history since 2001.

- The transaction's payment and legal structures.

S&P Global Ratings acknowledges a high degree of uncertainty about the evolution of the coronavirus pandemic. The current consensus among health experts is that COVID-19 will remain a threat until a vaccine or effective treatment becomes widely available, which could be around mid-2021. We are using this assumption in assessing the economic and credit implications associated with the pandemic (see our research here: www.spglobal.com/ratings). As the situation evolves, we will update our assumptions and estimates accordingly.

Transaction Overview

The HART 2020-C securitization will be HCA's third auto loan transaction this year.

Interest payments will be made on the 15th of each month, beginning Nov. 16, 2020. The notes will receive principal sequentially and will be paid a fixed rate of interest (see the Transaction Structure section below for more information).

Changes From The Series 2020-B Transaction

The structural and credit enhancement changes from the series 2020-B transaction include the following:

- The reserve account decreased to 0.50% of initial adjusted pool nondeclining, from 1.00%.

- The YSOA increased to 2.77% from 0.76% as a percentage of the aggregate pool, and the YSOA discount rate increased to 3.50% from 2.00%. This increases the total available excess spread, offsetting the decrease in the reserve account.

The collateral composition changes from the series 2020-B transaction include the following:

- As of the Sept. 21, 2020, cut-off date, any receivable in the series 2020-C pool in respect of which the related obligor is currently in an extension period, including for reasons related to the COVID-19 pandemic, has been excluded from the receivables pool. By contrast, none of the contracts included in the series 2020-B pool had received an extension prior to that pool's cut-off date.

- The weighted average FICO score decreased to 758 from 761.

- The percentage of loans by balance with FICO scores greater than 700 increased to 77.82% from 63.84%.

- The weighted average APR decreased to 3.36% from 4.35%.

- The average original amount financed increased to $27,794 from $25,051.

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- The weighted average seasoning decreased to approximately six months from 13 months.

- The percentage of Kia vehicles increased to 47.57% from 45.11%, while the percentage of Genesis vehicles decreased to 2.04% from 3.90%.

- The percentage of new vehicles increased to 95.13% from 95.01%.

In light of the economic fallout from the coronavirus pandemic, our expected loss range for series 2020-C is 1.80%-2.00%, unchanged from series 2020-B. Our expected loss takes into account HCA's tighter underwriting standards since 2016 (as manifested in the performance data we received from HCA), improved securitization performance to date, and generally comparable collateral characteristics (see the S&P Global Ratings' Expected Loss section for more information).

Transaction Structure

The series 2020-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 balance will build to 3.50%, including the reserve account, at which point any excess spread will be released to the certificateholders. The reserve account, which will be non-amortizing throughout the deal's life, will be funded with an initial deposit of 0.50% of the initial adjusted pool balance.

The YSOA is sized so that the yield on those contracts with APRs less than the 3.50% YSOA discount rate increases to the YSOA discount rate. The YSOA for each distribution date will be calculated at closing, assuming zero prepayments and zero defaults, and will amortize according to a schedule. At closing, the YSOA is expected to be approximately $36.64 million, or 2.77% of the initial aggregate pool balance (see chart 1 for the transaction structure).

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Chart 1

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

Payment Structure

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

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 be an 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.

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Table 1

Payment Waterfall (cont.)

Priority Payment

5 To the principal distribution account, the second-priority principal distribution amount, which will generally be an amount equal to the excess of the sum of the aggregate class A and B outstanding principal amount over the adjusted pool balance, provided that this amount will be reduced by any amounts previously deposited in the 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 an amount equal to the excess of the aggregate class A, B, and C outstanding principal amount over the adjusted pool balance, minus the target overcollateralization amount, provided that this amount will be reduced by any amounts previously deposited in the principal distribution account according to items 3 and 5 above.

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, and indemnities not previously paid.

10 Any remaining funds to the certificateholders.

The above payment priority can change if certain events of default occur and continue, including a failure to pay interest on the controlling note class, a failure to pay principal at final maturity, a breach of a 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 noteholders of the controlling class' outstanding amount may accelerate the notes. The trust estate may be liquidated 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 trust estate may be liquidated without further caveat.

- If the event of default is a breach of a representation, warranty, or covenant, the trust estate may be liquidated if all of the noteholders and certificateholders consent, or the sale or liquidation proceeds 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 the controlling class' noteholders consent, if the sale or liquidation proceeds are sufficient to ensure all of the notes are paid in full, or if the indenture trustee determines that the trust estate will not provide sufficient funds to pay the noteholders in full and obtains the consent of noteholders 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 maturity or a bankruptcy event of default, or if there is a representation, warranty, or covenant breach following one of the other events of default and the trust estate's liquidation, then distributions will be made from the available funds according to the priority shown in table 2.

Table 2

Event Of Default Payment Waterfall

Priority Payment

1 All amounts owed to the trustees not previously paid.

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Table 2

Event Of Default Payment Waterfall (cont.)

Priority Payment

2 All amounts owed to the servicer not previously paid.

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

4 Pro rata, to the class A noteholders 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 in respect of interest.

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

6 To the class A-2, A-3, and A-4 noteholders for amounts due and unpaid on the class A-2, A-3, and A-4 notes in respect of principal, ratably, without preference or priority of any kind, according to the amounts due and payable on the class A-2, A-3, and A-4 notes in respect of principal, until the outstanding amount of the class A-2, A-3, and A-4 notes is reduced to zero; provided that if there are not sufficient funds available to pay the principal amount of the outstanding class A-2, A-3, and A-4 notes in full, the amounts available shall be applied to the payment of principal of the class A-2, A-3, and A-4 notes on a pro rata basis.

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.

Securitization Performance

The series 2000-A through 2016-A securitizations, which have been paid off, experienced cumulative net losses ranging from approximately 0.6% to 5.1%. The securitizations in 2000-2002 experienced the highest losses, ranging from 4.1% to 5.1% (see charts 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 FICO scores between 742 and 751.

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Chart 2

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Chart 3

Cumulative net loss projections for the outstanding series 2016-B through 2019-A securitizations range from 0.9% to 1.5%. Cumulative net losses for the outstanding deals are generally trending low relative to those of earlier deals. We believe the strong performance was attributed to higher weighted average FICO scores (approximately 740-750) and what was an improving economy. Series 2016-B is performing inside our revised loss expectation, and the subsequent series are performing even better. The series 2020-B pool has improved collateral characteristics compared with the 2016 pools and comparable or improved characteristics relative to the 2017, 2018, and 2019 pools. It remains to be seen what effect the COVID-19-related shutdown of the economy will have on performance over the next several months.

Chart 4 shows the cumulative net loss performance of the 2016 through second-quarter 2020 quarterly origination vintages, which we compare to the 2016-A through 2020-B securitization cumulative net loss performance (see chart 5). The comparisons illustrate the better performance of the securitizations versus the origination vintages.

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Chart 4

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Chart 5

As a corollary, the paid-off series 2000-A through 2016-A securitizations experienced cumulative gross losses ranging from approximately 2.3%-6.5% (see charts 6-8), while projections on the series 2016-B through 2019-A transactions suggest cumulative gross losses ranging from 2.1%-3.6% (see chart 8).

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Chart 6

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Chart 7

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Chart 8

Chart 9 shows the cumulative recovery rates on each outstanding securitization. The 2016 and 2017 transactions are currently experiencing recovery rates of approximately 56%-57%. Recovery rates on the 2018 and 2019 deals have been noticeably lower given the lockdown of the repossession and auction markets earlier in the year.

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Chart 9

Surveillance

We currently maintain ratings on nine HART transactions that were issued between 2016 and 2020 to date.

Five of the nine transactions had their lifetime loss expectations revised between October 2019 and January 2020. In our view, all of the classes currently have adequate credit enhancement at their current rating levels. We will continue to monitor the performance of all of the outstanding transactions, especially in light of the current recessionary environment resulting from the COVID-19 pandemic, to ensure that the credit enhancement remains sufficient, in our view, to cover our revised cumulative net loss expectations under our stress scenarios for each of the rated classes.

Each transaction has credit enhancement in the form of overcollateralization, a nonamortizing reserve account, enhanced excess spread in the form of a YSOA, and subordination for the

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more-senior classes. The credit support levels have grown for all outstanding classes as a percentage of the declining collateral balances.

Table 3

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

Pool 60-plus-day Initial expected Revised expected Transaction/series Month factor (%) CNL (%) delinquency (%) lifetime CNL (%) lifetime CNL (%)(ii)

2016-B 48 9.07 1.54 0.68 1.50-1.70 1.65-1.85

2017-A 42 13.02 1.35 0.49 1.65-1.85 1.50-1.70

2017-B 37 18.62 1.03 0.38 1.65-1.85 1.40-1.60

2018-A 29 29.60 0.89 0.43 1.65-1.85 1.40-1.60

2018-B 21 41.55 0.76 0.34 1.55-1.75 N/A

2019-A 17 51.74 0.83 0.44 1.45-1.65 N/A

2019-B 10 67.76 0.56 0.38 1.40-1.60 N/A

2020-A 5 85.57 0.24 0.44 1.80-2.00 N/A

2020-B 2 92.03 0.02 0.17 1.80-2.00 N/A

(i)As of the August 2020 collection period. (ii)ECNL for series 2017-B was revised in January 2019. ECNLs for series 2016-B, 2017-A, and 2018-A were revised in October 2019. CNL--Cumulative net loss. ENCL--Expected cumulative net loss. N/A--Not applicable.

Managed Portfolio

Table 4

Total Managed Portfolio

Six months ended June 30 Year ended Dec. 31

2020 2019 2019 2018 2017 2016 2015 2014

Portfolio outstanding 18,528.01 13,877.19 16,370.04 13,397.90 13,476.54 14,512.76 13,110.62 12,178.66 (mil. $)

Avg. principal balance 16,944.02 13,384.38 13,667.40 13,373.08 14,311.42 13,593.05 12,168.12 11,393.75 outstanding (mil. $)

Delinquency (%)(i)

30-60 days 1.50 2.27 2.23 2.72 2.58 2.54 2.32 2.00

61-plus days 0.55 0.75 0.72 0.98 0.97 0.87 0.82 0.62

Total delinquencies 2.05 3.02 2.96 3.70 3.55 3.40 3.14 2.62 as a % of the portfolio outstanding

Net charge-off as a 1.40 1.26 1.47 1.64 1.87 1.68 1.12 0.88 % of the avg. principal outstanding

(i)Excludes repossessed vehicles.

For the six months ended June 30, 2020, HCA managed a serviced portfolio of approximately

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$18.53 billion. The portfolio's year-over-year outstanding principal balance increased approximately 34% between June 30, 2020, and June 30, 2019.

Total delinquencies as a percentage of the portfolio outstanding decreased to 2.05% as of June 30, 2020, from 3.02% a year prior (see table 4). The serviced portfolio's annualized net losses as a percentage of the average principal outstanding increased to 1.40% for the six months ended June 30, 2020, from 1.26% a year prior.

It remains to be seen over the coming months what effect the aftermath of the economic shutdown will have on the portfolio, but the expectation is for an increase in delinquencies and charge-offs.

The delinquency and net charge-off percentages for the Hyundai and Kia portions of the total pool are shown in tables 5 and 6. Both portfolios' delinquencies are down, while both exhibit higher net charge-offs year over year.

Table 5

Hyundai Managed Portfolio

Six months ended June 30 Year ended Dec. 31

2020 2019 2019 2018 2017 2016 2015 2014

Portfolio outstanding (mil. $) 8,775.93 5,779.04 7,230.34 5,525.61 5,683.10 6,217.03 6,191.61 7,171.92

Avg. principal balance 7,619.17 5,538.34 5,685.25 5,555.74 6,088.96 6,141.26 6,769.42 7,231.58 outstanding (mil. $)

Delinquency (%)(i)

30-60 days 1.19 2.14 1.91 2.67 2.63 2.89 2.74 2.09

61-plus days 0.43 0.72 0.61 0.98 1.00 0.98 0.97 0.65

Total delinquencies as a 1.62 2.86 2.52 3.66 3.63 3.86 3.71 2.75 % of the portfolio outstanding

Net charge-off as a % of 1.16 1.01 1.22 1.42 1.85 1.67 1.15 0.84 the avg. principal outstanding

(i)Excludes repossessed vehicles.

Table 6

Kia Managed Portfolio

Six months ended June 30 Year ended Dec. 31

2020 2019 2019 2018 2017 2016 2015 2014

Portfolio outstanding (mil. $) 9,752.09 8,098.15 9,139.70 7,872.29 7,793.44 8,295.74 6,919.01 5,006.74

Avg. principal balance 9,324.84 7,846.04 7,982.15 7,817.34 8,222.47 7,451.80 5,398.70 4,162.17 outstanding (mil. $)

Delinquency (%)(i)

30-60 days 1.78 2.36 2.48 2.75 2.55 2.28 1.94 1.87

61-plus days 0.66 0.78 0.82 0.98 0.94 0.78 0.69 0.58

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Table 6

Kia Managed Portfolio (cont.)

Six months ended June 30 Year ended Dec. 31

2020 2019 2019 2018 2017 2016 2015 2014

Total delinquencies as a 2.44 3.14 3.30 3.74 3.49 3.06 2.63 2.45 % of the portfolio outstanding

Net charge-off as a % of 1.60 1.40 1.65 1.80 1.88 1.69 1.09 0.96 the avg. principal outstanding

(i)Excludes repossessed vehicles.

Pool Analysis

We compared the series 2020-C pool with previous HART transactions (see table 7). The series 2020-C pool is generally comparable to the series 2020-B pool, but with less seasoning and a higher loan-to-value (LTV) ratio. The latter is driven largely by the original equipment manufacturers' (OEM) shift to low APR incentives rather than cash back incentives, increasing the average loan amount and therefore the LTV. Despite the slightly lower weighted average FICO, it has a better FICO distribution than that of the series 2020-B pool. As mentioned above, any receivable for which the related obligor is currently in an extension period as of the Sept. 21, 2020, cut-off date, including for reasons related to the COVID-19 pandemic, has been excluded from the receivables pool. By contrast, none of the loans in the series 2020-B pool had received an extension prior to that pool's cut-off date .

Table 7

Collateral Comparison(i)

HART

2020-C 2020-B 2020-A 2019-B 2019-A 2018-B 2018-A 2017-B 2017-A 2016-B

Receivables 1,324.21 1,194.41 1,238.22 1,165.57 1,101.34 773.63 980.22 1,022.33 1,297.28 1,260.47 balance (mil. $)

No. of 53,865 62,743 54,503 57,644 58,430 44,148 55,346 53,518 71,274 63,791 receivables

Avg. loan 24,584 19,037 22,718 20,220 18,849 17,524 17,711 19,102 18,201 19,759 balance ($)

Avg. 27,794 25,051 26,124 24,324 24,082 23,521 22,240 22,629 21,192 21,914 original amount financed ($)

Weighted 3.36 4.35 3.54 3.91 3.34 3.12 3.59 3.33 3.31 3.22 avg. APR (%) (without YSOA)

Weighted 66.19 66.28 66.03 65.83 66.21 66.32 66.23 65.74 64.72 64.85 avg. original term (mos.)

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Table 7

Collateral Comparison(i) (cont.)

HART

2020-C 2020-B 2020-A 2019-B 2019-A 2018-B 2018-A 2017-B 2017-A 2016-B

Weighted 59.75 53.62 58.44 56.21 53.64 51.89 54.76 57.44 57.31 59.71 avg. remaining term (mos.)

Weighted 6.45 12.66 7.59 9.62 12.57 14.43 11.47 8.30 7.41 5.14 avg. seasoning (mos.)

Weighted 758 761 759 752 752 752 750 749 747 743 avg. FICO score

FICO less 22.18 36.16 24.59 23.77 20.76 20.47 20.79 21.10 18.23 25.88 than 701(ii)

FICO 24.86 12.74 23.54 22.69 24.43 27.22 28.63 37.81 32.07 33.02 701-750

FICO 52.96 51.10 51.75 53.46 54.63 52.07 50.58 41.10 49.70 41.10 greater than 750

% of new 95.13 95.01 97.53 94.96 96.60 95.06 93.99 93.67 92.13 91.99 vehicles

% of used 4.87 4.99 2.47 5.04 3.40 4.94 6.01 6.33 7.87 8.01 vehicles

% of 49.47 50.04 50.01 50.13 50.01 50.05 49.29 48.50 50.19 52.83 Hyundai receivables

% of Kia 47.57 45.11 47.58 46.54 47.17 45.92 50.05 50.75 49.27 46.50 receivables

% of 2.04 3.90 2.03 2.10 2.00 1.99 N/A N/A N/A N/A Genesis receivables

% of other 0.91 0.95 0.38 1.22 0.81 2.03 0.66 0.75 0.54 0.67 receivables

Vehicle type (%)

Car 30.95 42.22 37.01 48.57 54.97 55.15 55.34 55.51 59.60 60.36

SUV 67.37 55.39 61.67 49.56 44.09 39.80 40.74 39.97 37.48 36.16

Minivan 0.77 1.43 0.94 0.64 0.12 3.02 3.25 3.78 2.38 2.82

Other 0.91 0.95 0.38 1.23 0.81 2.04 0.66 0.75 0.54 0.67

Top five state concentrations (%)

CA=11.52 CA=11.77 FL=11.06 CA=12.21 CA=14.33 CA=14.42 CA=12.88 CA=18.13 CA=13.42 CA=13.21

TX=11.46 TX=10.51 CA=10.81 FL=10.54 FL=9.92 TX=9.54 FL=9.34 TX=11.17 FL=10.13 FL=10.50

FL=10.45 FL=9.87 TX=9.97 TX=9.77 TX=9.70 FL=9.28 TX=9.16 FL=9.44 TX=9.57 TX=10.32

IL=5.85 IL=5.98 IL=5.76 IL=5.67 IL=5.68 IL=5.30 IL=5.88 AZ=4.32 IL=5.48 IL=5.38

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Table 7

Collateral Comparison(i) (cont.)

HART

2020-C 2020-B 2020-A 2019-B 2019-A 2018-B 2018-A 2017-B 2017-A 2016-B

PA=3.83 OH=3.70 PA=4.38 PA=3.95 PA=3.91 PA=4.01 PA=4.15 IL=3.95 PA=4.00 VA=3.99

(i)All percentages are of the initial receivables balance. (ii)Excludes accounts for which no FICO score is available. HART--Hyundai Auto Receivables Trust. APR--Annual percentage rate. YSOA--Yield supplement overcollateralization amount. N/A--Not applicable.

The series 2020-C transaction, like series 2020-B, will include contracts with original terms of 73-75 months. These contracts make up approximately 4.96% of the total pool and have approximately nine months of seasoning.

The series 2020-C transaction contains a higher percentage of loans on Kia vehicles when compared with the series 2020-B transaction (see table 8).

Table 8

Collateral Comparison(i)

HART 2020-C HART 2020-B HART 2020-A

Hyundai Kia Total Hyundai Kia Total Hyundai Kia Total

Receivables balance 655.13 629.95 1,324.21 597.69 538.80 1,194.41 619.20 589.09 1,238.22 (mil. $)

No. of receivables 26,742 25,845 53,865 31,608 29,019 62,743 27,666 25,901 54,503

Avg. loan balance ($) 24,498 24,374 24,584 18,910 18,567 19,037 22,381 22,744 22,718

Avg. original amount 28,054 27,189 27,794 24,640 24,856 25,051 25,487 26,437 26,124 financed ($)

Weighted avg. APR (%) 3.37 3.28 3.36 3.94 4.91 4.35 3.11 4.02 3.54 (without YSOA)

Weighted avg. original 67.61 64.71 66.19 67.02 65.66 66.28 67.62 64.45 66.03 term (mos.)

Weighted avg. 60.64 58.80 59.75 54.91 52.18 53.62 60.45 56.38 58.44 remaining term (mos.)

Weighted avg. 6.97 5.91 6.45 12.11 13.49 12.66 7.17 8.07 7.59 seasoning (mos.)

Weighted avg. FICO 754 762 758 762 756 761 749 769 759 score

% of new vehicles 96.17 95.90 95.13 95.79 95.61 95.01 97.75 97.97 97.53

% of used vehicles 3.83 4.10 4.87 4.21 4.39 4.99 2.25 2.03 2.47

% of Hyundai 100.00 N/A 49.47 100.00 N/A 50.04 100.00 N/A 50.01 receivables

% of Kia receivables N/A 100.00 47.57 N/A 100.00 45.11 N/A 100.00 47.58

% of other receivables N/A N/A 2.95 N/A N/A 4.85 N/A N/A 2.42

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

www.standardandpoors.com October 15, 2020 20

S&P Global Ratings' Expected Loss: 1.80%-2.00%

To derive the base-case loss for this transaction, we analyzed the securitization cumulative net and gross loss static pools, the securitization cumulative recovery performance, the loss projections on the 2016-2019 outstanding securitized pools derived from both net and gross loss static pools, the cumulative net loss performance and loss projections for monthly origination vintage static pools, and the serviced portfolio's performance trends. In addition, the backdrop of the economic shutdown in the face of the COVID-19 pandemic and the expectation of weaker performance in its wake caused our base-case loss estimate to remain elevated.

We also took into account that the 2016 securitized pools have performed weaker than our initial expectations, while the series 2020-C pool has improved collateral characteristics compared with the 2016 and 2017 securitized pools. The FICO scores have been trending gradually higher over the past several pools, although the percentage of longer-term loans and the average loan-to-value ratio have been increasing since 2010. The series 2020-C transaction, like the series 2020-B transaction, will include contracts with an original term of 73-75 months. However, these contracts make up only approximately 4.96% of the total pool. In addition, the weighted average FICO score for these contracts is 770, higher than the 758 FICO score for the rest of the collateral and the 758 score for the pool as a whole. These loans are only one to three months longer than HCA's 72-month loans, and the 73-75 month loans in the series 2020-C pool also have approximately nine months of seasoning compared with approximately six months for the rest of the pool. Therefore, we expect the performance of the 73-75 month term loans to be close to that of the 61-72 month term loans.

Based on our review of the monthly origination net loss static pool data, the recent securitization performance, the characteristics of the pool to be securitized, and our forward-looking view of the economy given the measures taken to contain the COVID-19 pandemic, we currently expect the series 2020-C transaction to experience cumulative net losses of approximately 1.80%-2.00%, similar to series 2020-B.

Cash Flow Modeling

We modeled the transaction to simulate rated stress scenarios appropriate for the assigned preliminary ratings (see table 9).

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) 19/31/31/19 19/31/31/19 19/31/31/19

Nonsubvened collateral 29/36/26/10 29/36/26/10 29/36/26/10

Aggregate curve 23/33/29/15 23/33/29/15 23/33/29/15

Allocation of losses (%)

Subvened collateral(i) 60.00 60.00 60.00

Nonsubvened collateral 40.00 40.00 40.00

www.standardandpoors.com October 15, 2020 21

Table 9

Break-Even Cash Flow Assumptions/Results (cont.)

Class A B C

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) 12.05 10.38 7.59

(i)The subvened/nonsubvened cut-off annual percentage rate is 4.00%. (ii)The maximum cumulative net losses on the pool that the transaction can 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 was intended to stress the excess spread by prepaying the higher APR loans at a faster rate.

Using our expected net loss range of 1.80%-2.00% and applying the above assumptions in our internal cash flow runs, we determined that the class A, B, and C notes have sufficient credit enhancement to withstand a stressed net loss level that is consistent with the assigned preliminary ratings.

Sensitivity Analysis

Besides analyzing break-even cash flows, we conducted a sensitivity analysis to see whether under a moderate ('BBB') stress scenario, all else being equal, our ratings will be within the credit stability limits specified by section A.4 of the Appendix contained in S&P Global Rating Definitions (see "S&P Global Ratings Definitions," published Aug. 7, 2020).

Table 10

Scenario Analysis Summary

Two-pool approach

Loss level (multiple) 2.0x base case

Cumulative net loss (%) 3.80

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

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

Nonsubvened collateral 29/36/25/10

Aggregate curve 23/33/28/15

Allocation of losses (%)

Subvened collateral(i) 60.00

Nonsubvened collateral 40.00

Voluntary ABS (%)

Subvened collateral(i) 0.00

Nonsubvened collateral 1.50

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Table 10

Scenario Analysis Summary (cont.)

Two-pool approach

Servicing fee (%) 1.00

Recovery rate (%) 50.00

Recovery lag (mos.) 4

Haircut to excess spread (%) 10.00

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

Chart 10

Money Market Tranche Sizing

The proposed class A-1 money market tranche has a final maturity date of Nov. 15, 2021. To test whether the money market tranche can be repaid by then, we ran cash flows using assumptions to delay the principal collections during the time period. In addition to zero defaults, we assumed a zero absolute prepayment speed for both the subvened and nonsubvened collateral for our cash flow run. We would normally have used a zero absolute prepayment speed for the subvened

www.standardandpoors.com October 15, 2020 23

collateral and a 0.5% speed for the nonsubvened collateral, but amid the coronavirus pandemic assumed a zero prepayment speed across the board. Based on our cash flow run, the money market tranche is paid in full a month before the legal final maturity date.

Legal Final Maturity

To test the legal final maturity dates set for classes A and B, we determined the date when the respective notes were fully amortized in a zero-loss, zero-prepayment scenario, and then added three months to the result. Furthermore, in the break-even scenario for each respective preliminary rating level, we confirmed that there was sufficient credit enhancement both to cover losses and to repay the related notes in full by the legal final maturity date. We calculated the legal final maturity for class C by adding an additional six months to accommodate recoveries and extensions to the longest loan term in the pool as of the Sept. 21, 2020, cut-off date.

HCA

HCA (BBB+/Negative/A-2) is a wholly owned subsidiary of Hyundai Motor America and Kia Motors America. Korea-based automaker Hyundai Motor Co. (HMC; BBB+/Negative/--) is the parent company of HCA. HCA offers both retail and lease products to its customers. HCA is a full-service auto finance company that provides services to Hyundai and Kia dealers across the country and arranges financing for facilities refurbishment, real estate purchases, construction, working capital requirements, and dealer inventory.

On Sept. 14, 2020, we affirmed our long-term issuer credit ratings on Hyundai Motor Group (HMG) companies--'BBB+' for Hyundai Motor Co. (HMC), Kia Motors Corp., Hyundai Mobis Co. Ltd. (Mobis), and Hyundai Glovis Co. Ltd. (Glovis), and 'BBB' for Hyundai Steel. We also affirmed the 'BBB+' long-term issue rating on Kia's outstanding senior unsecured notes. We removed the ratings from CreditWatch, where they had been placed with negative implications on April 2, 2020.

While we anticipate a 15% decline in auto sales volume in 2020, our base-case expectation is for HMG's auto business to weather the storm over the next year or two, despite uncertain global auto market conditions.

We maintained our negative outlook, however, reflecting the persistent uncertainty around a full recovery from the dislocations caused by the pandemic.

Related Criteria

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

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

- Criteria | Structured Finance | General: Incorporating Sovereign Risk In Rating Structured Finance 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: Methodology: Criteria For Global Structured Finance Transactions Subject To A Change In Payment Priorities Or Sale Of Collateral Upon A Nonmonetary EOD, March 2, 2015

www.standardandpoors.com October 15, 2020 24

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

- Criteria | Structured Finance | General: Criteria Methodology Applied To Fees, Expenses, And Indemnifications, July 12, 2012

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

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

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

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

Related Research

- U.S. Real-Time Data: The Economic Recovery Decelerates, Oct. 8, 2020

- A Double-Digit Rebound Has Begun, But It's No Time To Celebrate, Oct. 6, 2020

- U.S. Biweekly Economic Roundup: The Coast Is Not Clear For Jobs, Oct. 2, 2020

- The U.S. Economy Reboots, With Obstacles Ahead, Sept. 24, 2020

- Hyundai Motor Group Companies Ratings Affirmed On Better-Than-Expected Profitability; Outlook Negative, Sept. 14, 2020

- Hyundai Capital America Ratings Affirmed On Better-Than-Expected Profitability At Parent Company; Outlook Negative, Sept. 14, 2020

- Hyundai Motor Group Companies Ratings Remain On CreditWatch Negative Due To Difficult Business Conditions, June 30, 2020

- COVID-19 Is Testing The Resilience Of Global Structured Finance, May 18, 2020

- Hyundai Motor Group Companies Ratings Placed On CreditWatch Negative Due To COVID-19 Pandemic, April 2, 2020

- The Potential Effects Of COVID-19 On U.S. Auto Loan ABS, March 26, 2020

- Three Ratings Raised, 12 Ratings Affirmed On Three Hyundai Auto Receivables Trust Transactions, Oct. 3, 2019

- Four Ratings Raised And 17 Ratings Affirmed On Five Hyundai Auto Receivables Trust Transactions, Jan 29, 2019

- Five Ratings Raised And Seven Ratings Affirmed On Two Hyundai Auto Receivables Trust Transactions, July 10, 2018

- Global Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top Five Macroeconomic Factors, Dec. 16, 2016

www.standardandpoors.com October 15, 2020 25

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