hyundai auto lease securitization trust 2020-bfor hyundai capital america inc.'s (hca) lease...

Presale:

Hyundai Auto Lease Securitization Trust 2020-BSeptember 15, 2020

Preliminary Ratings

Class(i) Preliminary rating Type Interest rate(ii)Preliminary amount

(mil. $)Legal finalmaturity

A-1 A-1+ (sf) Senior Fixed 142.00 Oct. 15, 2021

A-2 AAA (sf) Senior Fixed 380.00 Jan. 17, 2023

A-3 AAA (sf) Senior Fixed 380.00 Sept. 15, 2023

A-4 AAA (sf) Senior Fixed 74.39 June 17, 2024

B AA+ (sf) Subordinate Fixed 52.94 Oct. 15, 2024

Note: This presale report is based on information as of Sept. 15, 2020. The ratings shown are preliminary. Subsequent information may result inthe assignment of final ratings that differ from the preliminary ratings. Accordingly, the preliminary ratings should not be construed asevidence of final ratings. This report does not constitute a recommendation to buy, hold, or sell securities. (i)All or a portion of one or moreclasses of notes may be initially retained by the sponsor Hyundai Capital America Inc. or its affiliate. (ii)The actual coupons of these trancheswill be determined on the pricing date.

Profile

Expected closing date Sept. 23, 2020.

Collateral Prime auto lease receivables.

Origination trust Hyundai Lease Titling Trust.

Issuer Hyundai Auto Lease Securitization Trust 2020-B.

Sponsor, servicer, and administrator Hyundai Capital America Inc. (BBB+/Negative/A-2).

Depositor Hyundai HK Lease LLC.

Indenture trustee U.S. Bank N.A. (AA-/Stable/A-1+).

Owner trustee Wilmington Trust N.A. (A/Negative/A-1).

UTI, SUBI, Delaware, origination, and administrative trustee U.S. Bank Trust N.A.

Lead underwriter J.P. Morgan Securities LLC (A+/Stable/A-1).

UTI--Undivided trust interest. SUBI--Special unit of beneficial interest.

Presale:

Hyundai Auto Lease Securitization Trust 2020-BSeptember 15, 2020

PRIMARY CREDIT ANALYST

Ethan Choi

New York

(1) 212-438-1043

[email protected]

SECONDARY CONTACT

Sanjay Narine, CFA

Toronto

+ 1 (416) 507 2548

[email protected]

www.standardandpoors.com September 15, 2020 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]: [email protected]: [email protected]: [email protected]

Credit Enhancement Summary(i)

Hyundai Auto Lease Securitization Trust

2020-B 2020-A 2019-B 2019-A

Rating

Class A AAA (sf) AAA (sf) AAA (sf) AAA (sf)

Class B AA+ (sf) AA+ (sf) AA+ (sf) AA+ (sf)

Subordination (%)

Class A 4.50 4.50 4.50 4.50

Class B N/A N/A N/A N/A

Overcollateralization (%)

Initial 12.50 12.50 12.50 12.50

Target 13.50 13.50 13.50 13.50

Reserve account (%)

Initial 1.00 0.50 0.50 0.50

Target 1.00 0.50 0.50 0.50

Total initial hard credit enhancement (%)

Class A 18.00 17.50 17.50 17.50

Class B 13.50 13.00 13.00 13.00

Total target hard credit enhancement (%)

Class A 19.00 18.50 18.50 18.50

Class B 14.50 14.00 14.00 14.00

Estimated excess spread peryear (%)(ii)

4.02 3.70 3.63 3.50

Discount rate (%) 6.00 7.00 7.15 7.90

Total securities issued ($) 1,029,330,000 893,796,000 926,226,000 710,570,000

Initial aggregate securitizationvalue ($)

1,176,382,864 1,021,482,211 1,058,544,313 812,087,923

(i)All percentages are based on the initial aggregate securitization value. (ii)Reflects estimated annual excess spread at the preliminary ratingsand does not reflect final pricing. N/A--Not applicable.

Rationale

The preliminary ratings assigned to Hyundai Auto Lease Securitization Trust 2020-B's (HALST2020-B) auto lease asset-backed notes series 2020-B reflect our view of:

- The availability of approximately 24.1% and 19.4% credit enhancement for the class A and Bnotes, respectively, in the form of 4.50% subordination for the class A notes; 12.50%overcollateralization, which will build to a target of 13.50% of the initial securitization value; a1.00% nonamortizing reserve account; and excess spread (all percentages are measured interms of the pool's initial aggregate securitization value).

- The credit quality of the underlying collateral, which comprises prime auto lease receivablesthat have a weighted average FICO score of 761.



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Presale: Hyundai Auto Lease Securitization Trust 2020-B

- Our expectation that under a moderate ('BBB') stress scenario (2.0x our expected loss level), allelse being equal, our preliminary ratings on the class A and B notes are consistent with thecredit stability limits specified by section A.4 of the Appendix contained in S&P Global RatingsDefinitions (see "S&P Global Ratings Definitions," published Aug. 7, 2020).

- The diversified mix of vehicle models in the pool.

- The relatively even distribution of the expected residuals' maturities.

- Automotive Lease Guide's (ALG) forecast of each vehicle's lease-inception and current residualvalue.

- The timely interest and full principal payments by the notes' legal final maturity dates madeunder cash flow scenarios that were stressed for credit and residual losses and are consistentwith the assigned preliminary ratings.

- The transaction's payment and legal structures.

Our expected credit loss for the HALST 2020-B pool is 0.90% of the securitization value, whichreflects the performance of the outstanding HALST transactions, the static pool loss projectionsfor Hyundai Capital America Inc.'s (HCA) lease originations, the performance on the managedportfolio, collateral comparisons with peers, and our forward-looking view of the economy. Our'AAA' stress scenario for credit loss is 4.50% of the securitization value, and our 'AA+' stress is4.05%.

Our 'AAA' and 'AA+' residual stress for the HALST 2020-B pool is 27.29% and 24.14%, respectively,of the pool's aggregate undiscounted base residual value. After applying this stress to the residualvalue portion of the pool (65.55%) and the nondefaulting leases (91.00% under the 'AAA' stressand 91.90% under the 'AA+' stress), our 'AAA' and 'AA+' residual stress constitutes 16.28% and14.18%, respectively, of the pool's aggregate securitization value.

One of the main considerations in our analysis to derive our haircuts was a comparison of theHALST 2020-B base residual value with the historical auction proceeds data, which the issuerprovided. In addition, we incorporated an analysis of the residual maturity schedule, vehicle modelcomposition, and our views on the used-vehicle market.

Our total stressed losses (credit and residual) are approximately 20.78% and 18.23% for the 'AAA'and 'AA+' rated notes, respectively, as a percentage of the initial aggregate securitization value. Inour view, the credit enhancement outlined above and in the Cash Flow Modeling section belowprovide more than adequate support for our assigned preliminary ratings.

S&P Global Ratings acknowledges a high degree of uncertainty about the rate of spread and peakof the coronavirus outbreak. Some government authorities estimate the pandemic will peakaround midyear, and we are using this assumption in assessing the economic and creditimplications. In our view, the measures adopted to contain COVID-19 have pushed the globaleconomy into recession (see our macroeconomic and credit updates here:www.spglobal.com/ratings). As the situation evolves, we will update our assumptions andestimates accordingly.

Changes from HALST 2020-A

The structural and credit enhancement changes from HALST 2020-A include the following:

- The reserve account increased to 1.00% from 0.50%.

- The discount rate decreased to 6.00% from 7.00%.



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The collateral changes from the prior transaction are as follows:

- The base residual as a percentage of securitization value increased to 65.55% from 63.13%.

- The percentage of leases with an original term of 37-42 months increased to 8.12% from1.38%, while the percentage of leases with an original term of 43-48 months decreased to19.23% from 26.93%.

- The top five vehicles are the Tucson, Sportage, Santa Fe, Sonata, and Sorento; and theyaggregate to approximately 53.67% of the pool as a percentage of securitization value, which ishigher than the series 2020-A pool's 51.34%.

- Genesis-branded vehicles are included for the fifth time, and they comprise 3.99% of the pool'ssecuritization value, up from 2.98% for the series 2020-A pool. The Genesis-branded vehicles inthe series 2020-B pool are the G70, G80, and G90 models.

- The percentage of SUVs/crossovers increased to 58.99% from 58.16%.

- The Kia Telluride SUV is included in the collateral pool for the third time (increasing to 7.15% ofsecuritization value from 6.44%), while the Hyundai Palisade SUV is included for the secondtime (increasing to 5.77% of securitization value from 1.75%).

Transaction Overview

HALST 2020-B will be HCA's 20th auto lease transaction and its second in 2020. HCA also issuednumerous prior auto loan transactions. The series 2020-B transaction is structured similarly toHCA's previous transactions and other lease securitizations with nonamortizing target creditenhancement. The pool's structure incorporates an initial reserve amount equal to 1.00% of theinitial securitization value and a 12.50% overcollateralization amount, which builds to a target of13.50% of the initial securitization value. The series 2020-B pool's estimated excess spread isapproximately 4.02% per year. The transaction uses a sequential-pay method in which it cannotrelease hard credit support until all the rated notes are paid in full. Excess spread, however, canbe released as long as the overcollateralization is at its target level.

The series 2020-B pool will securitize mainly 36-month leases (71.16%) and 48-month leases(19.23%) originated by HCA. The monthly lease payments and lease residual values will serve asthe notes' collateral. The securitized pool comprises eight Hyundai models, 12 Kia models, andthree Genesis models, and will consist primarily of 2018, 2019, and 2020 model year vehicles.

All of the leased vehicles included in the transaction will be titled in the origination trust'sname--Hyundai Lease Titling Trust, a Delaware statutory trust created in 2005. The originationtrust will issue a transaction special unit of beneficial interest (SUBI) certificate, which representsa beneficial interest in the origination trust that relates solely to the specified auto leasereceivables and related residual values that are dedicated to repaying the SUBI and, ultimately,the rated notes. HALST 2020-B will own the rights, title, and interest to the SUBI certificate andwill pledge the SUBI certificate to the indenture trustee for the noteholders' benefit.

Legal Structure

On the closing date, HCA will sell, transfer, and assign the transaction's SUBI certificate toHyundai HK Lease LLC (the depositor) as a true sale. The depositor will then transfer and assignthe SUBI certificate to HALST 2020-B (the issuing entity), a newly formed Delaware statutory trust.The issuing entity will pledge the SUBI certificate to the indenture trustee as security for the class



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A and B notes, each of which will represent an obligation of the issuing entity (see chart 1 for thetransaction structure).

Chart 1

Pension Benefit Guaranty Corp. (PBGC) can file a lien against the assets of any member ofHyundai's controlled group if minimum contribution payments to Hyundai's defined benefitpension plan are not paid as required by law, or if Hyundai terminates an underfunded definedbenefit pension plan. As a member of the controlled group, HCA's assets could be subject to anyPBGC lien (including those leases and vehicles designated to the SUBI, which serve as the sourceof payments on the issued notes) if Hyundai's minimum contribution payments are not made or ifHyundai terminates an underfunded defined benefit plan. In our view, the risk of a PBGC lien onthe leases and residuals assigned to the SUBI, which is pledged to the notes, is mitigated by therelatively small size of the pension plan relative to the origination trust assets, as well as thecompany's historical ability to keep the plan funded at the appropriate levels.



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Payment Structure

On each payment date, distributions will be made from available funds according to the paymentpriority shown in table 1. Principal will be paid on the notes sequentially.

Table 1

Payment Waterfall

Priority Payment

1 Advance reimbursements to the servicer.

2 Pro rata, the 1.00% servicing fee to the servicer and the $5,000 per collection period administration fee to theadministrator.

3 Note interest, pro rata, to the class A noteholders.

4 The first priority principal distribution amount, paid sequentially (if the class A notes' balance, as of thepreceding payment date, is greater than the aggregate securitization value at the end of the relatedcollection period) to the noteholders.

5 Note interest to the class B noteholders.

6 The second priority principal distribution amount, paid sequentially (if the class A and B notes' balance, as ofthe preceding payment date, is greater than the aggregate securitization value at the end of the relatedcollection period) to the noteholders.

7 To the reserve account, until it reaches the required amount.

8 The regular principal distribution amount, sequentially, to the noteholders(i).

9 Pro rata, to the indenture trustee, the origination trustee, or the owner trustee, any amounts due according tothe transaction documents.

10 Any excess amounts to the certificateholder.

(i)The regular principal distribution amount is designed to build the initial overcollateralization level to 13.50% of the initial securitization valuetarget. All of the required payments on the notes will be due and payable on each payment date (the 15th of each month or the next businessday, beginning Oct. 15, 2020).

On each payment date after note acceleration following an event of default, the indenture trusteewill distribute the available funds according to the payment priority shown in table 2.

Table 2

Event Of Default Payment Waterfall

Priority Payment

1 Pro rata, to the indenture, origination, and owner trustees, for any accrued and unpaid fees, expenses, andindemnity payments under the indenture, the origination trust agreement, or the trust agreement asapplicable, provided that aggregate expenses payable to the indenture, origination, and owner trustees underthis item are limited to $500,000 per year in the aggregate.

2 Advance reimbursements to the servicer.

3 Pro rata, the 1.00% servicing fee to the servicer and the $5,000 per collection period administration fee to theadministrator.

4 Note interest, pro rata, to the class A noteholders.

5 If an indenture default has occurred from a payment or bankruptcy default, then the following priority willapply: first, principal to the class A-1 noteholders until paid in full; then principal, pro rata, to the class A-2,A-3, and A-4 noteholders until paid in full; then interest to the class B noteholders; and then principal to theclass B noteholders until paid in full.



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Table 2

Event Of Default Payment Waterfall (cont.)

Priority Payment

6 If an indenture default has occurred from a breach of a representation, warranty, or covenant, then thefollowing priority will apply: first, interest to the class B noteholders; then principal to the class A-1noteholders until paid in full; then principal, pro rata, to the class A-2, A-3, and A-4 noteholders until paid infull; and then principal to the class B noteholders until paid in full.

7 To the indenture trustee, the origination trustee, or the owner trustee for any accrued and unpaid fees,expenses, and indemnity payments.

8 Any excess amounts to the certificateholder.

Residual Value

The notes issued to finance the HALST 2020-B pool will be secured by leases with an aggregatesecuritization value of $1,176,382,864. The leases' securitization value is the sum of the presentvalue of each lease's remaining monthly payments and the present value of the leased vehicle'sbase residual value (both discounted at 6.00%). Each leased vehicle's base residual value willequal the least of the stated residual value set by HCA at the lease's inception, the maximumresidualized manufacturer's suggested retail price (MRM) residual value estimate established bythe ALG at the lease's inception, and the maximum ALG's refreshed MRM residual value estimatefrom its July-August 2020 edition. The MRM is an ALG adjustment that effectively caps the valueof certain vehicle extras and optional equipment.

HCA's stated residual value is the residual value of each vehicle assigned at the leases'inceptions--as stated in the lease contract--that determines the monthly payments for theindividual leases. The stated residual values are typically set higher than the ALG residual value toreduce the lease payments that the lessees owe under the lease contracts (a process called leasesubvention). Therefore, the definition of the securitization's base residual value provides a moreconservative estimate of each vehicle's future value and helps to mitigate noteholders' exposureto losses associated with lease subvention. The undiscounted base residual is $771,166,671, or65.55% of the HALST 2020-B pool's securitization value.

Managed Portfolio

The managed portfolio saw substantial growth from 2010 to 2017, as a result of Hyundai's largemarket-share growth. As of June 30, 2020, Hyundai's total serviced lease portfolio comprised833,058 contracts totaling $14.02 billion, down from 825,319 contracts totaling $16.01 billion asof June 30, 2019 (see table 3). As of June 30, 2020, total delinquencies increased to 1.53% from1.36% a year earlier. Annualized net losses, as a percentage of the average dollar amount of leasecontracts outstanding, increased to 0.61% for the six months ended June 30, 2020, from 0.55% ayear earlier, albeit with a decreasing portfolio size.



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Table 3

Total Managed Portfolio

Six months endedJune 30 Year ended Dec. 31

2020 2019 2019 2018 2017 2016 2015 2014 2013

Leasecontractsoutstanding(mil. $)

14,015.54 16,008.52 15,126.55 16,466.80 17,426.01 16,323.65 14,364.43 12,063.99 9,923.38

Avg. dollaramount ofleasesoutstanding(mil. $)

15,557.49 16,274.00 16,129.27 17,217.73 16,761.42 14,896.78 12,684.78 10,537.04 8,076.06

No. ofcontractsoutstanding

833,058 825,319 757,757 844,606 856,274 786,397 705,512 605,545 510,997

30-plus-daydelinquencies(%)(i)

1.53 1.36 1.31 1.55 1.51 1.51 1.37 1.25 1.22

No. ofrepossessions(%)(ii)

0.69 0.70 0.72 0.78 0.77 0.62 0.56 0.55 0.36

Net losses(%)(iii)

0.61 0.55 0.57 0.65 0.61 0.56 0.36 0.33 0.27

(i)As a percent of the number of contracts outstanding. (ii)As a percent of the average number of lease contracts outstanding. (iii)As a percentof average dollar amount of leases outstanding. Annualized. HCA--Hyundai Capital America.

As of June 30, 2020, Hyundai's total serviced lease portfolio reported residual gain on returnedvehicles that equaled 2.89% of the vehicles' ALG forecast residual values (see table 3a).

After three years of low-teens return rates from 2011 to 2013, return rates started to inch up asvehicle supply grew and consumers increasingly turned to larger, less fuel-efficient vehicles;return rates were 50% for June 30, 2020. Hyundai does not count a purchase of the underlyingvehicle by the grounding dealer as a return, which results in return rates that appear to be lowerthan those of its peers.

Table 3a

Total Managed Portfolio: Residual Value Loss Experience

Six monthsended June 30 Year ended Dec. 31

2020 2019 2018 2017 2016 2015 2014 2013

Vehicles returned to HCA (%)(i) 50 42 40 35 34 29 21 14

Total gain (or loss) on ALG residuals onvehicles returned to HCA (%)(ii)

2.89 (0.15) (1.92) (7.00) (7.22) (7.67) (1.00) 2.91

(i)As a percent of the number of vehicles scheduled to terminate. (ii)As a percent of ALG's residual value of returned vehicles sold by HCA.HCA--Hyundai Capital America. ALG--Automotive Lease Guide.

The dollar amount of average outstanding lease contracts in the Kia portfolio decreasedapproximately 3% as of June 30, 2020, compared with the same period a year earlier; and the



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average outstanding dollar amount of the Hyundai portfolio decreased approximately 6% over thesame period.

The delinquency and net loss percentages for the Hyundai- and Kia-managed portions of the totallease portfolio are shown in tables 4 and 5, respectively. The Hyundai-managed portion exhibiteda 16 basis point increase in total delinquencies as of June 30, 2020, compared with a year earlier,while the Kia-managed portion exhibited a 17 basis point increase. The number of repossessionsas a percentage of the average number of lease contracts outstanding decreased over the sameperiod. Hyundai's and Kia's annualized net losses increased by two and 10 basis points,respectively, for the six months ended June 30, 2020, compared with the same period in 2019.

The HALST 2020-B's collateral pool is split equally between Hyundai and Kia vehicles and includeapproximately 4% of Genesis-branded vehicles.

Table 4

Hyundai Managed Portfolio


2020 2019 2019 2018 2017 2016 2015 2014 2013

Lease contractsoutstanding (mil. $)

7,240.48 8,275.72 7,841.80 8,683.40 9,268.63 8,814.66 7,695.45 6,734.96 6,061.41

Avg. dollar amount ofleases outstanding(mil. $)

8,036.34 8,520.49 8,413.36 9,086.86 9,041.64 7,956.42 7,010.60 6,261.74 5,189.37

No. of contractsoutstanding

433,890 435,209 399,477 449,247 457,629 426,085 382,188 340,058 312,519

30-plus-daydelinquencies (%)(i)

1.22 1.07 1.03 1.24 1.16 1.14 1.27 1.22 1.18

No. of repossessions(%)(ii)

0.50 0.52 0.54 0.57 0.58 0.49 0.51 0.54 0.36

Net losses (%)(iii) 0.42 0.40 0.38 0.47 0.44 0.42 0.30 0.32 0.28

(i)As a percent of the number of contracts outstanding. (ii)As a percent of the average number of lease contracts outstanding. (iii)As a percentof average dollar amount of leases outstanding. Annualized. HCA--Hyundai Capital America.

Table 5

Kia Managed Portfolio


2020 2019 2019 2018 2017 2016 2015 2014 2013

Lease contractsoutstanding (mil. $)

6,775.06 7,732.80 7,284.75 7,783.40 8,157.38 7,508.99 6,668.98 5,329.04 3,861.97

Avg. dollar amountof leasesoutstanding (mil. $)

7,521.15 7,753.52 7,715.91 8,130.87 7,719.78 6,940.36 5,674.18 4,275.31 2,886.69

No. of contractsoutstanding

399,168 390,110 358,280 395,359 398,645 360,312 323,324 265,487 198,478

30-plus-daydelinquencies (%)(i)

1.85 1.69 1.62 1.90 1.91 1.96 1.49 1.29 1.28

No. of repossessions(%)(ii)

0.89 0.90 0.92 1.01 1.00 0.78 0.64 0.56 0.35



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Table 5

Kia Managed Portfolio (cont.)


2020 2019 2019 2018 2017 2016 2015 2014 2013

Net losses (%)(iii) 0.82 0.72 0.78 0.84 0.81 0.74 0.44 0.36 0.25

(i)As a percent of number of contracts outstanding. (ii)As a percent of the average number of lease contracts outstanding. (iii)As a percent ofaverage dollar amount of leases outstanding. Annualized. HCA--Hyundai Capital America.

Securitization/Surveillance Performance

We maintain current ratings on five active HALST transactions that closed between 2018 and 2020(see charts 2-4 and table 6). In January 2020, we raised two ratings and affirmed eight ratings onthree HALST transactions (series 2017-C, 2018-A, and 2018-B) and revised our lifetime net creditloss expectation to 0.50% for each series (see "Two Ratings Raised, Eight Affirmed On ThreeHyundai Auto Lease Securitization Trust Transactions," published Jan. 28, 2020). Eachtransaction remains adequately enhanced at this time. We will continue to monitor theirperformance to determine if the assigned ratings are sufficient and if any rating actions aredeemed appropriate.

Chart 2



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Table 6

Performance Data For Outstanding Hyundai Auto Lease Securitization TrustTransactions(i)

Transaction/series Month

PoolFactor

(%)Credit

CNL(%)

Cumulative net residuallosses/(gains) as a % of

aggregate initialsecuritization value

Initialexpected

lifetime creditCNL (%)

Revisedexpected

lifetime creditCNL (%)(ii)

2018-A 30 24.11 (0.03) (4.46) 1.15 0.50

2018-B 26 35.72 0.71 (2.30) 1.15 0.50

2019-A 18 63.05 0.38 (0.34) 1.00 N/A

2019-B 12 75.29 0.24 (0.09) 1.00 N/A

2020-A 7 87.40 0.15 0.00 0.90 N/A

(i)As of the August 2020 distribution date. (ii)Revised in January 2020 for series 2018-A and 2018-B.

Chart 3

In terms of residual performance, the paid-off securitizations experienced residual gains as apercentage of the initial securitization value, and the outstanding series are generally reportingresidual gains on the outstanding series pools (see chart 4).



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Chart 4

Collateral Analysis

The HALST 2020-B securitized pool comprises 58,431 prime auto lease receivables (see table 7).Hyundai and Kia vehicles account for approximately 48% of the pool's securitization value each,with Genesis branded vehicles accounting for approximately 4%. The top five models (Tucson,Sportage, Santa Fe, Sonata, and Sorento) account for approximately 54% of the securitizationvalue. The pool consists primarily of leases with 36-month original terms (71%) and 48-monthoriginal terms (19%). The pool's weighted average FICO score is 761, and approximately 53% of theobligors in the securitized pool have FICO scores of 750 and higher (see table 7).

All leases for which HCA's records as of the cutoff date indicate that the related lessees receivedan extension (including for reasons related to the COVID-19 pandemic) have been excluded fromthe pool.

Approximately 1.79% of the aggregate securitization value as of the cutoff date qualify forHyundai's Job Loss Protection Program.

Table 7

HALST Original Pool Characteristics


2020-B 2020-A 2019-B 2019-A 2018-B 2018-A

No. of leases 58,431 53,957 59,924 43,583 42,931 57,131

MSRP ($) 1,694,273,534 1,523,489,250 1,675,987,530 1,194,907,441 1,202,779,045 1,543,594,780

Book value ($)(i) 1,505,087,336 1,349,125,043 1,458,910,453 1,063,733,086 1,073,914,396 1,407,041,211



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Table 7

HALST Original Pool Characteristics (cont.)


2020-B 2020-A 2019-B 2019-A 2018-B 2018-A

Securitizationvalue ($)

1,176,382,864 1,021,482,211 1,058,544,313 812,087,923 808,988,467 1,033,368,258

Avg. securitizationvalue ($)

20,133 18,931 17,665 18,633 18,844 18,088

Securitization(discount) rate (%)

6.00 7.00 7.15 7.90 7.90 7.50

Base residualvalue(undiscounted) ($)

771,166,671 644,843,490 653,533,802 517,915,596 521,088,564 661,257,043

Avg. base residualvalue ($)

13,198 11,951 10,906 11,883 12,138 11,574

Base residual as a% of the aggregatesecuritizationvalue

65.55 63.13 61.74 63.78 64.41 63.99

Base residual as a% of the MSRP

45.52 42.33 38.99 43.34 43.32 42.84

Weighted avg.original term(mos.)(ii)

38.38 39.17 38.5 39.9 38.9 38.9

Weighted avg.remaining term(mos.)(ii)

27.51 28.70 27.4 29.5 30.3 30.2

Weighted avg.seasoning(mos.)(ii)(iii)

10.87 10.48 11.1 10.4 8.6 8.6

Original term (%)

24 months 1.49 0.86 0.61 0.46 1.67 3.04

25-36 months 71.16 70.82 71.04 65.43 72.40 68.47

37-42 months 8.12 1.38 8.95 1.29 0.05 2.19

43-48 months 19.23 26.93 19.40 32.82 25.87 26.31

Weighted avg.FICO score(iv)

761 752 750 746 746 746

New vehicles (%) 100 100 100 100 100 100

Hyundai vehicles(%)

48.38 48.53 47.72 50.00 48.12 49.94

Kia vehicles (%) 47.63 48.50 48.85 48.37 47.91 50.06

Genesis vehicles(%)

3.99 2.98 3.43 1.63 3.97 N/A

Top five vehicles by model (% of securitization value)

Tucson=14.18 Tucson=12.83 Tucson=12.95 Tucson=13.98 Elantra=12.25 Elantra=13.25

Sportage=12.65 SantaFe=10.01

Sorento=12.71 Sorento=13.97 Sorento=12.24 Sorento=13.08



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Table 7

HALST Original Pool Characteristics (cont.)


2020-B 2020-A 2019-B 2019-A 2018-B 2018-A

Santa Fe=9.80 Sportage=9.83 Santa Fe=10.96 Elantra=10.89 Tucson=11.56 SantaFe=12.57

Sonata=8.89 Sonata=9.35 Sportage=10.65 SantaFe=10.62

SantaFe=11.46

Tucson=12.23

Sorento=8.15 Sorento=9.31 Sonata=9.45 Sonata=10.50 Optima=9.77 Optima=11.10

Total 53.67 51.34 56.71 59.95 57.29 62.23

Vehicle type (% of securitization value)

Car(v) 40.28 37.73 40.59 43.27 48.86 45.15

CUV/SUV(vi) 58.99 58.16 55.57 52.23 45.95 48.77

Minivan/wagon(vii) 0.73 4.11 3.84 4.50 5.19 6.08

Top four state concentrations (%)

NY=16.39 FL=13.99 FL=14.89 CA=15.10 FL=17.11 CA=16.18

FL=13.99 CA=13.92 CA=14.03 FL=14.78 CA=16.35 FL=15.56

CA=11.72 NY=13.80 NY=13.67 NY=12.04 NY=11.50 NY=12.34

NJ=10.77 NJ=10.20 NJ=9.63 NJ=9.54 NJ=8.41 NJ=8.64

Note: All percentages are expressed as a percentage of the securitization value. (i)The book value is determined based on the leases' capitalizedamounts minus the related leased vehicles' accumulated depreciation. (ii)Average weighted by the securitization value. (iii)Seasoning refers tothe number of months elapsed since the leases' origination. (iv)FICO scores are calculated excluding accounts for which no FICO score isavailable (approximately 0.07% of the series 2020-B pool as a percentage of the securitization value). (v)For the series 2020-B pool, car includesAccent, Cadenza, Elantra, Forte, G70, G80, G90, Ioniq, K900, Optima, Rio, Sonata, Stinger, and Veloster. (vi)This includes Niro, Palisade, SantaFe, Sorento, Sportage, Telluride, and Tucson. (vii)This includes Sedona and Soul. MSRP--Manufacturer's suggested retail price. N/A--Notapplicable.

Collateral Residual Timing

The leases in the HALST 2020-B pool are scheduled to mature as follows (all percentages areexpressed as a percentage of the pool's aggregate undiscounted base residual value):

- 7.74% in 2021,

- 50.72% in 2022,

- 35.31% in 2023, and

- 6.23% in 2024.

Leases will mature each month, beginning in September 2021 (see chart 5). The highest baseresidual maturity level in any one month is 4.95%, which is lower than our 5% benchmark poolconcentration limit and occurs in August 2022 and April 2023, resulting in no maturity distributionexcess concentration haircut (see Table 9). The highest percentage of base residual maturities inany three-month period is approximately 14.49%, which we expect to occur from June 2022through August 2022. The majority of the residuals mature two or three years after the closingdate. If vehicle values are distressed in 2022 and 2023, there is increased risk that the realizedresidual values will be lower than the base residuals. We believe this risk is mitigated by thetransaction's sequential payment structure, in which the overcollateralization and reserve



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account target amounts will not amortize until all of the notes are paid in full. In the transaction'szero loss, zero prepay cash flow scenario, more than 80% of the residuals will have come due bythe time the notes are paid in full.

Chart 5

S&P Global Ratings' Expected Credit And Residual Losses

HALST 2020-B has two principal risk components: credit and residual risks.

Credit risk

The obligor's credit profile determines the credit risk. To derive the base-case credit loss for theseries 2020-B transaction, we projected the static pool losses on HCA's lease portfoliooriginations, segmented by FICO score and lease term. We then weighted the projections by theactual concentration of those various segments in the series 2020-B pool. We also considered theHALST 2020-B pool's collateral credit quality, Hyundai's overall managed pool performance, theperformance of outstanding HALST securitizations, and our forward-looking view of the economy.Based on this information, we expect the HALST 2020-B pool's cumulative net credit loss to be0.90% of the pool's securitization value.

Residual risk

We examined and assessed residual loss on the series 2020-B pool according to our auto leasecriteria, "Revised General Methodology and Assumptions for Rating U.S. ABS Auto LeaseSecuritizations," published Nov. 29, 2011.

In our analysis of the series 2020-B pool's residual risk, we considered the following factors:



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- The historical stability of Hyundai's and Kia's used-vehicle values,

- The consistency of the ALG's historical forecasts in relation to the actual historical used-vehiclevalues,

- The basis for the differences between the actual values and the forecasts,

- ALG's basis for its current forecast,

- Brand perception,

- HCA's plans (if any) to discontinue or update the vehicle models in question in the near term,and

- The economy.

Based on these factors, we did not apply any adjustment to the base residual value.

Base haircut

According to our auto lease criteria, we first applied initial 26.00% and 23.00% rating-specifichaircuts to the series 2020-B pool's base residual value. This is commensurate with our 'AAA' and'AA+' rating scenarios, respectively.

Excess concentration haircut

In addition to the aforementioned base haircut, we applied a haircut to the amount ofnondefaulted lease residuals exceeding the concentration limits applicable to the benchmark pool(excess concentrations) as outlined in our auto lease criteria. The haircut applied to excessconcentrations commensurate with each rating scenario is shown in table 8.

Table 8

Additional Excess Concentration Haircut

Scenario (preliminary rating) AAA (sf) AA+ (sf)

Haircut applied to the excess concentration as a % of undiscounted baseresidual value

13.0 11.5

The excess 9.94% concentration results in additional 'AAA' and 'AA+' base residual value haircutsof 1.29% and 1.14%, respectively, bringing the total base residual value haircuts applied to theseries 2020-B pool to 27.29% and 24.14% at the 'AAA' and 'AA+' levels (see table 9).

Table 9

Benchmark Pool Excess Concentrations

HALST2020-B

Benchmark poolconcentration limit

Excessconcentration

One-month maturity in excess of benchmark (% ofundiscounted base residual)

-- 5.00 --

Individual model (Tucson) (%) 14.63 20.00 --

Full-size and mid-size SUVs, full-size pickups, andvans (%)

30.91 30.00 0.91

Compact and hybrid cars (%) 23.01 30.00 --



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Table 9

Benchmark Pool Excess Concentrations (cont.)

HALST2020-B

Benchmark poolconcentration limit

Excessconcentration

New and discontinued models (%) 19.03 10.00 9.03

Total excess concentration (%) -- -- 9.94

HALST--Hyundai Auto Lease Securitization Trust.

Speculative-grade manufacturer haircut

When determining the stress that applies to the adjusted base residual value, we use the automanufacturer's creditworthiness. Our auto lease criteria apply haircuts to the base residual valueof the vehicles produced by manufacturers with speculative-grade issuer credit ratings (rated'BB+' or below).

Hyundai Motor Co. and Kia Motors Corp. manufacture the leased vehicles backing the HALST2020-B pool. Both companies are rated 'BBB+'. On Sept. 14, 2020, the ratings on both companieswere affirmed on better-than-expected profitability (see "Hyundai Motor Group CompaniesRatings Affirmed On Better-Than-Expected Profitability; Outlook Negative," published Sept. 14,2020).

Based on our current issuer credit ratings on Hyundai and Kia, we did not apply aspeculative-grade manufacturer haircut to the HALST 2020-B transaction.

Low diversification haircut

For pools with low diversification, as described in our auto lease criteria, we apply a lowdiversification haircut in addition to the aforementioned haircuts. Our auto lease criteria describethe six conditions for which, if met by the securitized lease pool, we would apply this type ofhaircut. These conditions are:

- More than 20% of the residuals mature in any one month.

- More than 50% of the residuals mature in any three months.

- The pool contains three or fewer individual models.

- The pool contains more than 75% of full-size and midsize SUVs, full-size pickup trucks, andfull-size vans combined.

- The pool contains more than 75% of compact and hybrid cars combined.

- The pool contains more than 20% of new and discontinued models combined.

The HALST 2020-B pool does not meet any of these six conditions, so we did not apply the lowdiversification haircut.

Total stressed residual losses

We analyzed the HALST 2020-B lease pool, applied the relevant residual value haircuts, andassessed stressed return rates of 100.00% and 97.50% at the 'AAA' and 'AA+' rating levels,



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respectively (representing the loss frequency on nondefaulted leased vehicles of 90.00% and91.00%), to generate stressed residual loss under each rating scenario (see table 10).

Table 10

Stressed Residual Loss

Scenario (preliminary rating) AAA (sf) AA+ (sf)

Residual haircut as a % of undiscounted base residual 26.00 23.00

Additional excess concentration haircut (%)(i) 1.29 1.14

Total residual haircut as a % of base residual value 27.29 24.14

Total residual haircut as a % of securitization value 16.28 14.18

(i)The excess concentration haircuts are derived by multiplying the total excess concentration calculated in table 9 by each of the ratingcategory haircuts shown in table 8.

Cash Flow Modeling

We tested HALST 2020-B's proposed structure using cash flow scenarios to determine if the creditenhancement levels were sufficient to pay timely interest and principal in full by the notes' legalfinal maturity dates under our 'AAA' and 'AA+' stress scenarios. We assumed a 100% turn-in rateon the nondefaulting leases (91.00%) at the 'AAA' rating level and a 97.50% turn-in rate on thenondefaulting leases (91.90%) at the 'AA+' rating level, together with no prepayments.

The cash flow results demonstrate that the notes are enhanced to the degree necessary towithstand a level of stressed credit and residual losses that is consistent with the assignedpreliminary ratings. The class A notes can withstand a cumulative net credit loss of 4.50% of thesecuritization value and residual losses equal to 16.28% of the securitization value on 100% of thenondefaulting leases that reach their lease maturity. The class B notes can withstand acumulative net credit loss of 4.05% of the securitization value and residual losses equal to 14.18%of the securitization value on 97.50% of the nondefaulting leases that reach their lease maturity(see table 11).

Table 11

Cash Flow Assumptions And Results

Class

A B

Scenario (rating) AAA AA+

Cumulative net loss percent (%) 5.00 4.50

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

Cumulative net loss (%) 40/80/100 40/80/100

Voluntary prepayments (%) 0.00 0.00

Recoveries (%) 50 50

Recovery lag (mos.) 4 4

Residual haircut (%)

Total residual haircut as a percentage of the undiscounted base residual value 27.29 24.14

Total residual haircut as a percentage of the securitization value 16.28 14.18



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Table 11

Cash Flow Assumptions And Results (cont.)

Class

A B

Vehicle return rate (%) 100.00 97.50

Residual realization lag (mos.) 2 2

S&P Global Ratings' stressed credit and residual loss as a percentage of thesecuritization value (%)

20.78 18.23

Result (%)

Approximate credit enhancement in the transaction based on S&P GlobalRatings' credit stress and break-even residual stress as a percentage of thesecuritization value (%)

24.05 19.42

Sensitivity Analysis

In addition to running stressed cash flows to analyze the amount of credit and residual losses thetransaction can withstand, we ran a sensitivity analysis to determine how credit and residuallosses that are in line with a moderate ('BBB') stress scenario could affect our ratings on thenotes.

In our view, the preliminary ratings assigned to the class A and B notes are consistent with thecredit stability limits specified by section A.4 of the Appendix contained in S&P Global RatingsDefinitions (see "S&P Global Ratings Definitions," published Aug. 7, 2020). This indicates that wewould not assign 'AAA' and 'AA' ratings if, under moderate stress conditions, the ratings would belowered by more than one category within the first year.

Chart 6



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Money Market Tranche Sizing

The proposed money market tranche (the class A-1 notes) has a 12-month legal final maturitydate (Oct. 15, 2021). To test whether the money market tranche can be repaid by month 12, we rancash flows using assumptions to delay the principal collections during the 12-month period. In ourcash flow run, we assumed zero defaults and a zero absolute prepayment speed on all leases. Wealso stressed the recognition of the monthly lease payments and base residual amounts byapplying a lag of one and two months, respectively. Based on our cash flow runs, approximatelyeight months of collections would be sufficient to pay off the money market tranche.

Legal Final Maturity

To test the legal final maturity dates set for the longer-dated tranches (classes A-2 through A-4),we determined when the respective notes would be fully amortized in a zero-loss,zero-prepayment scenario, and then added six months to the result. We also looked to see whenthese notes would pay off in our stressed cash flow scenarios. In our cash flows for thelongest-dated security (class B), at least seven months were added to the tenor of thelast-maturing receivable in the pool to accommodate extensions and residual realization on thereceivables. In all of our cash flow scenarios, we confirmed that there is sufficient creditenhancement both to cover losses and to repay the related notes in full by their legal final maturitydates.

HCA

HCA (BBB+/Negative/A-2) is an 80%-owned subsidiary of Hyundai Motor America, which, in turn,is a wholly owned subsidiary of South Korea-based automaker Hyundai (BBB+/Negative/--). Theremaining 20% is owned by Kia Motors America Inc., an affiliate of HCA and a wholly ownedsubsidiary of Kia (BBB+/Negative/--). HCA offers both retail and lease products to its customers.HCA is a full-service auto finance company that provides services to Hyundai dealers across thecountry and arranges financing for facilities refurbishment, real estate purchases, construction,working capital requirements, and dealer inventory.

Related Criteria

- 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

- 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: Methodology: Criteria For Global Structured FinanceTransactions Subject To A Change In Payment Priorities Or Sale Of Collateral Upon ANonmonetary EOD, March 2, 2015

- Criteria | Structured Finance | General: Global Framework For Assessing Operational Risk In



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Structured Finance Transactions, Oct. 9, 2014

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

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

- Criteria | Structured Finance | ABS: Revised General Methodology And Assumptions For RatingU.S. ABS Auto Lease Securitizations, Nov. 29, 2011

- 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

- Criteria | Structured Finance | ABS: Assessing the Risk of Pension Plan Terminations on U.S.Auto Lease Securitizations, Aug. 17, 2004

Related Research

- Research Update: Hyundai Capital America Ratings Affirmed On Better-Than-ExpectedProfitability At Parent Company; Outlook Negative, Sept. 14, 2020

- Research Update: Hyundai Motor Group Companies Ratings Affirmed On Better-Than-ExpectedProfitability; Outlook Negative, Sept. 14, 2020

- Economic Research: U.S. Biweekly Economic Roundup: Job Gains Slow Amid Signs Of A LongRecovery To Come, Sept. 4, 2020

- U.S. Real-Time Economic Data Continues To Paint A Mixed Picture, Aug. 14, 2020

- Hyundai Motor Co., Aug. 11, 2020

- Kia Motors Corp., Aug. 11, 2020

- S&P Global Ratings Definitions, published Aug. 7, 2020

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

- How The Wave Of Negative Rating Actions On Global Automakers Has Affected U.S. Auto ABSRatings, Feb. 13, 2020

- Two Ratings Raised, Eight Affirmed On Three Hyundai Auto Lease Securitization TrustTransactions, Jan. 28, 2020

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



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Standard & Poor’s | Research | September 15, 2020 222513762


Research:RationaleChanges from HALST 2020-ATransaction OverviewLegal StructurePayment StructureResidual ValueManaged PortfolioSecuritization/Surveillance PerformanceCollateral AnalysisCollateral Residual TimingS&P Global Ratings' Expected Credit And Residual LossesCredit riskResidual riskBase haircutExcess concentration haircutSpeculative-grade manufacturer haircutLow diversification haircutTotal stressed residual losses

Cash Flow ModelingSensitivity AnalysisMoney Market Tranche SizingLegal Final MaturityHCARelated CriteriaRelated Research

hyundai auto lease securitization trust 2020-bfor hyundai capital america inc.'s (hca) lease...

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