Approximately $166 million of asset-backed securities affected
New York, February 15, 2011 -- Moody's Investors Service has placed on review for possible upgrade eight
subordinate securities from six auto loan securitizations sponsored by
CarMax Business Services LLC ("CarMax") between 2007 and 2008.
RATINGS:
Issuer: CarMax Auto Owner Trust 2007-1
Cl. C, A2 (sf) Placed Under Review for Possible Upgrade;
previously on Jul 13, 2010 Upgraded to A2 (sf)
Issuer: Carmax Auto Owner Trust 2007-2
Cl. C, Baa1 (sf) Placed Under Review for Possible Upgrade;
previously on Jul 13, 2010 Upgraded to Baa1 (sf)
Issuer: Carmax Auto Owner Trust 2007-3
Cl. B, Aa1 (sf) Placed Under Review for Possible Upgrade;
previously on Jul 13, 2010 Upgraded to Aa1 (sf)
Cl. C, Baa3 (sf) Placed Under Review for Possible Upgrade;
previously on Jul 13, 2010 Upgraded to Baa3 (sf)
Issuer: CarMax Auto Owner Trust 2008-1
Cl. B, Aa1 (sf) Placed Under Review for Possible Upgrade;
previously on Jul 13, 2010 Upgraded to Aa1 (sf)
Cl. C, Baa3 (sf) Placed Under Review for Possible Upgrade;
previously on Jun 1, 2009 Downgraded to Baa3 (sf)
Issuer: CarMax Auto Owner Trust 2008-2
Cl. C, Aa3 (sf) Placed Under Review for Possible Upgrade;
previously on Jul 13, 2010 Upgraded to Aa3 (sf)
Issuer: Carmax Auto Owner Trust 2008-A
Cl. B, Aa1 (sf) Placed Under Review for Possible Upgrade;
previously on Jul 13, 2010 Upgraded to Aa1 (sf)
RATINGS RATIONALE
The review actions are primarily a result of updated lower lifetime loss
expectations as well as build up in credit enhancement relative to remaining
losses due to the non-declining reserve accounts and sequential
payment structure of the transactions.
Moody's expects CarMax Auto Owner Trust 2007-1, 2007-2
and 2007-3 to incur lifetime net loss (CNL) between 4.00%
to 4.25% of the original pool balance, compared to
4.25% from our previous rating actions in July 2010.
For 2007-1 transaction, hard credit enhancement (excluding
excess spread of approximately 4.9% per annum) is approximately
8% of outstanding pool balance for class C. Pool factor
for the transaction is approximately 12% of original collateral
balance. For 2007-2 transaction, total hard credit
enhancement (excluding excess spread of approximately 4.8%
per annum) is approximately 6% of outstanding pool balance for
class C. For 2007-3 transaction, total hard credit
enhancement (excluding excess spread of approximately 4.3%
per annum) is approximately 16% and 5% of outstanding pool
balance for class C and D respectively. For 2007-2 and 2007-3
transactions, pool factors are approximately 17% and 21%
respectively of original collateral balance.
Moody's current lifetime CNL projection for the 2008-1 transaction
is in the range of 4.25% to 4.75% of the original
pool balance, slightly lower than the range of 4.50%
to 5.00% from our previous review action in May 2010.
The loss expectation for the transaction was lowered to 4.50%
in July 2010, when securities from the transaction were previously
upgraded. This transaction has been place on review primarily due
to build up in credit enhancement due to the sequential pay structure
and non-declining reserve account. Hard credit enhancement
(excluding excess spread of approximately 4.3% per annum)
is approximately 12% and 4% of outstanding pool balance
for class B and C respectively. Pool factor for the transaction
is approximately 27% of original collateral balance.
Moody's expects CarMax Auto Owner Trust 2008-A to incur lifetime
CNL between 3.50% to 4.00% of the original
pool balance, compared to 4.00% from our previous
rating actions in July 2010. Hard credit enhancement (excluding
excess spread of approximately 2.5% per annum) is approximately
17% of outstanding pool balance for class B. Pool factor
for the transaction is approximately 30% of original collateral
balance.
Moody's currently projects 2008-2 transaction to incur lifetime
CNL between 3.25% to 3.75% of the original
pool balance, compared to our 4.00% from our previous
rating actions in July 2010. Total hard credit enhancement (excluding
excess spread of approximately 3.1% per annum) is approximately
12% of outstanding pool balance for class C. Pool factor
for the transaction is approximately 36% of original collateral
balance.
The performance expectations for a given variable indicate Moody's forward-looking
view of the likely range of performance over the medium term. From
time to time, Moody's may, if warranted, change these
expectations. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or weaker than
Moody's had anticipated when the related securities ratings were issued.
Even so, a deviation from the expected range will not necessarily
result in a rating action nor does performance within expectations preclude
such actions. The decision to take (or not take) a rating action
is dependent on an assessment of a range of factors including, but
not exclusively, the performance metrics. Primary sources
of assumption uncertainty are the current macroeconomic environment,
in which unemployment continues to rise moderately, and strength
in the used vehicle market. Moody's currently views the used vehicle
market as much stronger now than it was at the end of 2008 when the uncertainty
relating to the economy as well as the future of the U.S auto manufacturers
was significantly greater. Overall, we expect a sluggish
recovery in the U.S. economy, with elevated fiscal
deficits and persistent, high unemployment levels.
The principal methodology used in these securities was "Moody's Approach
to Rating U.S. Auto Loan-Backed Securities" rating
methodology published in June 2007.
Further information on Moody's analysis of this transaction is available
on www.moodys.com.
In addition, Moody's publishes a weekly summary of structured finance
credit, ratings and methodologies, available to all registered
users of our website, at www.moodys.com/SFQuickCheck.
Moody's Investors Service did not receive or take into account a third
party due diligence report on the underlying assets or financial instruments
related to the monitoring of this transaction in the past 6 months.
New York
Alda F. Sanchez
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
San Francisco
Eric Fellows
VP - Senior Credit Officer
Structured Finance Group
Moody's FIS Domestic Sales Office - San Francisco CA
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's reviews CarMax prime auto loan ABS for possible upgrade