Approximately $252 million of asset-backed securities affected
New York, July 13, 2010 -- Moody's has upgraded twelve subordinate tranches from seven auto loan
transactions issued between 2006 and 2008 by CarMax Business Services
LLC ("CarMax"). These rating actions were prompted by Moody's updated,
lower loss expectations relative to the current levels of credit enhancement.
Credit enhancement supporting each of the securities subject to this action
has increased under the sequential-pay structures. The rating
actions conclude the review of the securities that were previously placed
on review for possible upgrade on May 13, 2010.
Moody's expects CarMax Auto Owner Trust 2006-2 to incur lifetime
cumulative net losses (CNL) of 3.30% which is at the lower
end of the previous range of 3.30% to 3.50%
when the securities were placed on review in May. The initial expectation
for this transaction at closing was 1.60%. Total
hard credit enhancement (that excludes available excess spread) for Cl.
B and Cl. C upgraded tranches are approximately 25% and
8%, respectively, of the outstanding collateral balance.
Excess spread for the transaction is approximately 4% per annum.
Moody's volatility proxy Aaa level for the transactions is approximately
10% of the remaining collateral balance.
Moody's expects 2007-1, 2007-2, 2007-3
and 2008-A transactions to incur lifetime CNL of 4.25%
which is at the middle of the previous range of 4.00% to
4.50% when the securities were placed on review in May.
The initial expectations for these transactions at closing were between
2.00% and 3.00%. Total hard credit
enhancement (that excludes available excess spread) for Class B upgraded
tranches ranges from approximately 11% to 17% of the outstanding
collateral balances. Total hard credit enhancement (that excludes
available excess spread) for Class C upgraded tranches ranges from approximately
3% to 5% of the outstanding collateral balance. Excess
spread for the transactions ranges approximately between 3% and
5% per annum. Moody's volatility proxy Aaa level for these
transactions ranges between approximately 13% and 15% of
the remaining collateral balance.
Moody's expects CarMax Auto Owner Trust 2008-1 to incur lifetime
CNL of 4.50% which is at the lower end of the previous range
of 4.50% to 5.00% when the securities were
placed on review in May. The initial expectation for this transaction
at closing was 2.25%. Total hard credit enhancement
(that excludes available excess spread) for Cl. B upgraded tranche
is approximately 9% of the outstanding collateral balance.
Excess spread for the transaction is approximately 4% per annum.
Moody's volatility proxy Aaa level for the transaction is approximately
14% of the remaining collateral balance.
Moody's expects CarMax Auto Owner Trust 2008-2 to incur lifetime
CNL of 4.00%. The initial expectation for this transaction
at closing was 2.75%. Total hard credit enhancement
(that excludes available excess spread) for Cl. B and Cl.
C upgraded tranches is approximately 16% and 10%,
respectively, of the outstanding collateral balance. Excess
spread is approximately 3% per annum. Moody's volatility
proxy Aaa level for the transaction is approximately 14% of the
remaining 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, and weakness in the used
vehicle market. Moody's currently views the used vehicle market
as stronger now than it was a year ago, when the uncertainty relating
to the economy as well as the future of the U.S auto manufacturers
was significantly greater. Overall, Moody's central global
scenario remains "Hook-shaped" for 2010 and 2011; we expect
overall a sluggish recovery in most of the world largest economies,
returning to trend growth rate with elevated fiscal deficits and persistent
unemployment levels.
The principal methodology used in these rating actions was "Moody's Approach
to Rating U.S. Auto Loan-Backed Securities",
published in June 2007 and available on www.moodys.com in
the Rating Methodologies sub-directory under the Research &
Ratings tab. Other methodologies and factors that may have been
considered in the process of rating these transactions can also be found
in the Rating Methodologies sub-directory on Moody's website.
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.
Complete rating actions are as follows:
Issuer: CarMax Auto Owner Trust 2006-2
Pool Current Expected Cumulative Net Losses: 3.30%
(as a percentage of the original loan pool balance)
Cl. B, Upgraded to Aaa; previously on May 13,
2010 A2 Placed Under Review for Possible Upgrade
Cl. C, Upgraded to Aa1; previously on May 13,
2010 Baa2 Placed Under Review for Possible Upgrade
Issuer: CarMax Auto Owner Trust 2007-1
Pool Current Expected Cumulative Net Losses: 4.25%
(as a percentage of the original loan pool balance)
Cl. B, Upgraded to Aaa; previously on May 13,
2010 A2 Placed Under Review for Possible Upgrade
Cl. C, Upgraded to A2; previously on May 13, 2010
Baa3 Placed Under Review for Possible Upgrade
Issuer: Carmax Auto Owner Trust 2007-2
Pool Current Expected Cumulative Net Losses: 4.25%
(as a percentage of the original loan pool balance)
Cl. B, Upgraded to Aaa; previously on May 13,
2010 A2 Placed Under Review for Possible Upgrade
Cl. C, Upgraded to Baa1; previously on May 13,
2010 Ba1 Placed Under Review for Possible Upgrade
Issuer: Carmax Auto Owner Trust 2007-3
Pool Current Expected Cumulative Net Losses: 4.25%
(as a percentage of the original loan pool balance)
Cl. B, Upgraded to Aa1; previously on May 13,
2010 A2 Placed Under Review for Possible Upgrade
Cl. C, Upgraded to Baa3; previously on Jun 1,
2009 Downgraded to Ba1
Issuer: CarMax Auto Owner Trust 2008-1
Pool Current Expected Cumulative Net Losses: 4.50%
(as a percentage of the original loan pool balance)
Cl. B, Upgraded to Aa1; previously on May 13,
2010 A1 Placed Under Review for Possible Upgrade
Issuer: CarMax Auto Owner Trust 2008-2
Pool Current Expected Cumulative Net Losses: 4.00%
(as a percentage of the original loan pool balance)
Cl. B, Upgraded to Aaa; previously on Jun 1, 2009
Confirmed at Aa2
Cl. C, Upgraded to Aa3; previously on Jun 1, 2009
Downgraded to A3
Issuer: Carmax Auto Owner Trust 2008-A
Pool Current Expected Cumulative Net Losses: 4.25%
(as a percentage of the original loan pool balance)
Cl. B, Upgraded to Aa1; previously on May 13,
2010 A2 Placed Under Review for Possible Upgrade
San Francisco
Eric Fellows
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Alda F. Sanchez
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's upgrades CarMax 2006 to 2008 prime auto loan ABS