Approximately $512 million of asset-backed securities rated
New York, May 08, 2013 -- Moody's Investors Service has assigned provisional ratings to the Series
2013-1 notes (Notes) to be issued by Hyundai Floorplan Master Owner
Trust, Series 2013-1 (HFMOT 2013-1). The notes
are backed primarily by dealer floorplan loans originated by Hyundai Capital
America (HCA).
The complete rating action is as follows:
Class A Asset Backed Notes, rated (P)Aaa (sf)
Class B Asset Backed Notes, rated (P)Aa1 (sf)
RATINGS RATIONALE
Moody's said the ratings are based on an assessment of the quality of
the underlying auto dealer floorplan receivables, which are secured
primarily by new Hyundai and Kia vehicles, as well as the strength
of the structure and the experience of HCA as servicer.
The quality of the floorplan receivables was considered based upon a number
of characteristics. A primary consideration is the strength of
the manufacturer and the vehicles that the dealerships and the receivables
have exposure. Moody's also considered the size of the dealership
base that is part of HFMOT, the dealer credit rating distribution
according to HCA's proprietary dealer credit evaluation system,
the age distribution of the receivables, and the overall trust monthly
payment rate. Vehicle values under stressed scenarios were also
a consideration in our analysis.
The principal methodology used in this rating was "Moody's Approach to
Rating U.S. Floorplan ABS Securities" published in January
2010. Please see the Credit Policy page on www.moodys.com
for a copy of this methodology.
In our simulation analysis we assumed that Hyundai and Kia were both rated
Ba1, three notches below their current ratings of Baa1. The
simulation analysis incorporated a stressed average dealer default rate
of 35%. On average, our assumptions for recovery rates
of repossessed cars from defaulted dealers was 85% for new cars
and 80% for used cars. Average stressed recovery rates applied
under manufacturer bankruptcy scenarios were approximately 45%-75%,
with a low of 35%. Moody's Aaa Level for HFMOT 2013-1
is 19%.
The V Score for this transaction is Medium, which is equal to the
Medium V score assigned for the U.S. Dealer Floorplan Loan
ABS sector. The V Score indicates "Medium" uncertainty about critical
assumptions such as dealer default probabilities and recovery rates.
Volatility of performance based on loss experience is low, but historical
data does not include key variables such as payment rates, recoveries
and dealer defaults during a stressed, disorganized manufacturer
bankruptcy scenario. Given that, we feel the level of historical
data is only a moderate predictor of future performance of a stressed
environment. Additionally, although floorplan transaction
structures are typically straight-forward, the credit risk
characteristics are reasonably complex. Therefore, despite
low loss experience for the sector, the V Score for this transaction
reflects the Sector score of Medium.
Moody's V Scores provide a relative assessment of the quality of available
credit information and the potential variability around the various inputs
to a rating determination. The V Score ranks transactions by the
potential for significant rating changes owing to uncertainty around the
assumptions due to data quality, historical performance, the
level of disclosure, transaction complexity, the modeling
and the transaction governance that underlie the ratings. V Scores
apply to the entire transaction (rather than individual tranches).
Moody's Parameter Sensitivities: Our simulation analysis reveals
Class A sensitivity down to the Aa2 level with a recovery rate haircut
of 50%, to the A3 level with dealer defaults up to 65%
and a recovery rate haircut of 30%, and to the Baa1 level
with dealer defaults up to 65% and a recovery rate haircut of 50%.
Our simulation analysis reveals Class B sensitivity down to the A3 level
with dealer defaults up to 50% and a recovery haircut of 10%,
to the Baa3 level with dealer defaults up to 50% and a recovery
haircut of 30%, and to the Caa level with dealer defaults
up to 65% and a recovery rate haircut of 50%. This
Parameter Sensitivity is based upon the expected amount of enhancement
in HFMOT 2013-1, including potential additions to credit
enhancement, upon breaching the early amortization payment rate
trigger.
Parameter Sensitivities are not intended to measure how the rating of
the security might migrate over time; rather they are designed to
provide a quantitative calculation of how the initial rating might change
if key input parameters used in the initial rating process differed.
The analysis assumes that the deal has not aged. Parameter Sensitivities
only reflect the ratings impact of each scenario from a quantitative/model-indicated
standpoint. Qualitative factors are also taken into consideration
in the ratings process, so the actual ratings that would be assigned
in each case could vary from the information presented in the Parameter
Sensitivity analysis.
Additional research including a pre-sale report for this transaction
is available at www.moodys.com. The special reports,
"Updated Report on V Scores and Parameter Sensitivities for Structured
Finance Securities" and "V Scores and Parameter Sensitivities in the U.S.
Vehicle ABS Sector" are also available on moodys.com.
REGULATORY DISCLOSURES
Moody's did not receive or take into account a third-party
assessment on the due diligence performed regarding the underlying assets
or financial instruments in this transaction.
Further information on the representations and warranties and enforcement
mechanisms available to investors are available on
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF327556.
For ratings issued on a program, series or category/class of debt,
this announcement provides certain regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides certain regulatory disclosures in relation
to the rating action on the support provider and in relation to each particular
rating action for securities that derive their credit ratings from the
support provider's credit rating. For provisional ratings,
this announcement provides certain regulatory disclosures in relation
to the provisional rating assigned, and in relation to a definitive
rating that may be assigned subsequent to the final issuance of the debt,
in each case where the transaction structure and terms have not changed
prior to the assignment of the definitive rating in a manner that would
have affected the rating. For further information please see the
ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this rating action, and
whose ratings may change as a result of this rating action, the
associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Keith Van Doren
Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Barbara A. Lambotte
Senior Vice President/Manager
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's assigns provisional ratings to Hyundai Floorplan Master Owner Trust, Series 2013-1 Notes
