Doesn't have one. Same with the 2005. At one time, there must have been plans for one as there is a non-machined location on the casing of the transmission housing, right on the top. Hyundai specifies a fluid change every 30K miles. At this interval, a filter is not needed.
Don't be confused here, the reason the ENGINE has to use an oil filter is because the engine is dealing with higher temperatures and combustion byproducts. The transmission operates at a significantly lower temperature, and no combustion.
Be aware that your transmission uses a specific formulation of transmission fluid, available at the dealer. It is a bit more expensive than off the shelf fluid like Dextron, but you are only changing it every 30K, so the cost over time is minimal.
I totally understand your question as some of the Hyundai literature showed to replace the filter. But on the Hyundai internal service site, there is no filter shown nor indicated. Probably one of those things where it was just easier to change the oil more frequently than add the cost of the filter and internal plumbing.
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