Approximately $4.0 billion of asset-backed securities affected
New York, June 29, 2017 -- Moody's Investors Service, ("Moody's) has upgraded
sixteen securities and affirmed thirty-four securities from transactions
issued between 2013 and 2016. The transactions are sponsored by
CarMax Business Services, LLC (CarMax).
Complete rating actions are as follow:
Issuer: CarMax Auto Owner Trust 2013-4
Class A-4 Asset-Backed Notes, Affirmed Aaa (sf);
previously on Nov 10, 2016 Affirmed Aaa (sf)
Class B Asset-Backed Notes, Affirmed Aaa (sf); previously
on Nov 10, 2016 Affirmed Aaa (sf)
Class C Asset-Backed Notes, Affirmed Aaa (sf); previously
on Nov 10, 2016 Affirmed Aaa (sf)
Class D Asset-Backed Notes, Upgraded to Aa1 (sf); previously
on Nov 10, 2016 Upgraded to A1 (sf)
Issuer: CarMax Auto Owner Trust 2014-1
Class A-4 Asset-Backed Notes, Affirmed Aaa (sf);
previously on Nov 10, 2016 Affirmed Aaa (sf)
Class B Asset-Backed Notes, Affirmed Aaa (sf); previously
on Nov 10, 2016 Affirmed Aaa (sf)
Class C Asset-Backed Notes, Affirmed Aaa (sf); previously
on Nov 10, 2016 Affirmed Aaa (sf)
Class D Asset-Backed Notes, Upgraded to Aa2 (sf); previously
on Nov 10, 2016 Upgraded to A1 (sf)
Issuer: CarMax Auto Owner Trust 2014-2
Class A-3 Asset-Backed Notes, Affirmed Aaa (sf);
previously on Nov 10, 2016 Affirmed Aaa (sf)
Class A-4 Asset-Backed Notes, Affirmed Aaa (sf);
previously on Nov 10, 2016 Affirmed Aaa (sf)
Class B Asset-Backed Notes, Affirmed Aaa (sf); previously
on Nov 10, 2016 Affirmed Aaa (sf)
Class C Asset-Backed Notes, Affirmed Aaa (sf); previously
on Nov 10, 2016 Affirmed Aaa (sf)
Class D Asset-Backed Notes, Upgraded to Aa3 (sf); previously
on Nov 10, 2016 Upgraded to A1 (sf)
Issuer: CarMax Auto Owner Trust 2014-3
Class A-3 Asset-Backed Notes, Affirmed Aaa (sf);
previously on Nov 10, 2016 Affirmed Aaa (sf)
Class A-4 Asset-Backed Notes, Affirmed Aaa (sf);
previously on Nov 10, 2016 Affirmed Aaa (sf)
Class B Asset-Backed Notes, Affirmed Aaa (sf); previously
on Nov 10, 2016 Affirmed Aaa (sf)
Class C Asset-Backed Notes, Affirmed Aaa (sf); previously
on Nov 10, 2016 Upgraded to Aaa (sf)
Class D Asset-Backed Notes, Upgraded to A1 (sf); previously
on Nov 10, 2016 Upgraded to A2 (sf)
Issuer: CarMax Auto Owner Trust 2015-2
Class A-3 Asset-Backed Notes, Affirmed Aaa (sf);
previously on Nov 10, 2016 Affirmed Aaa (sf)
Class A-4 Asset-Backed Notes, Affirmed Aaa (sf);
previously on Nov 10, 2016 Affirmed Aaa (sf)
Class B Asset-Backed Notes, Affirmed Aaa (sf); previously
on Nov 10, 2016 Upgraded to Aaa (sf)
Class C Asset-Backed Notes, Upgraded to Aaa (sf); previously
on Nov 10, 2016 Upgraded to Aa1 (sf)
Class D Asset-Backed Notes, Upgraded to A3 (sf); previously
on Nov 10, 2016 Affirmed Baa2 (sf)
Issuer: CarMax Auto Owner Trust 2015-3
Class A-2a Asset-Backed Notes, Affirmed Aaa (sf);
previously on Nov 10, 2016 Affirmed Aaa (sf)
Class A-2b Asset-Backed Notes, Affirmed Aaa (sf);
previously on Nov 10, 2016 Affirmed Aaa (sf)
Class A-3 Asset-Backed Notes, Affirmed Aaa (sf);
previously on Nov 10, 2016 Affirmed Aaa (sf)
Class A-4 Asset-Backed Notes, Affirmed Aaa (sf);
previously on Nov 10, 2016 Affirmed Aaa (sf)
Class B Asset-Backed Notes, Upgraded to Aaa (sf); previously
on Nov 10, 2016 Upgraded to Aa1 (sf)
Class C Asset-Backed Notes, Upgraded to Aa1 (sf); previously
on Nov 10, 2016 Upgraded to Aa3 (sf)
Class D Asset-Backed Notes, Upgraded to Baa1 (sf); previously
on Nov 10, 2016 Affirmed Baa2 (sf)
Issuer: CarMax Auto Owner Trust 2015-4
Class A-2a Asset-Backed Notes, Affirmed Aaa (sf);
previously on Nov 10, 2016 Affirmed Aaa (sf)
Class A-2b Asset-Backed Notes, Affirmed Aaa (sf);
previously on Nov 10, 2016 Affirmed Aaa (sf)
Class A-3 Asset-Backed Notes, Affirmed Aaa (sf);
previously on Nov 10, 2016 Affirmed Aaa (sf)
Class A-4 Asset-Backed Notes, Affirmed Aaa (sf);
previously on Nov 10, 2016 Affirmed Aaa (sf)
Class B Asset-Backed Notes, Upgraded to Aaa (sf); previously
on Nov 10, 2016 Upgraded to Aa1 (sf)
Class C Asset-Backed Notes, Upgraded to Aa1 (sf); previously
on Nov 10, 2016 Upgraded to A1 (sf)
Class D Asset-Backed Notes, Affirmed Baa2 (sf); previously
on Nov 10, 2016 Affirmed Baa2 (sf)
Issuer: CarMax Auto Owner Trust 2016-1
Class A-2A Asset-Backed Notes, Affirmed Aaa (sf);
previously on Nov 10, 2016 Affirmed Aaa (sf)
Class A-2B Asset-Backed Notes, Affirmed Aaa (sf);
previously on Nov 10, 2016 Affirmed Aaa (sf)
Class A-3 Asset-Backed Notes, Affirmed Aaa (sf);
previously on Nov 10, 2016 Affirmed Aaa (sf)
Class A-4 Asset-Backed Notes, Affirmed Aaa (sf);
previously on Nov 10, 2016 Affirmed Aaa (sf)
Class B Asset-Backed Notes, Upgraded to Aaa (sf); previously
on Nov 10, 2016 Upgraded to Aa2 (sf)
Class C Asset-Backed Notes, Upgraded to Aa2 (sf); previously
on Nov 10, 2016 Upgraded to A1 (sf)
Class D Asset-Backed Notes, Upgraded to Baa2 (sf); previously
on Nov 10, 2016 Affirmed Baa3 (sf)
Issuer: CarMax Auto Owner Trust 2016-4
Class A-2 Asset-Backed Notes, Affirmed Aaa (sf);
previously on Oct 26, 2016 Definitive Rating Assigned Aaa (sf)
Class A-4 Asset-Backed Notes, Affirmed Aaa (sf);
previously on Oct 26, 2016 Definitive Rating Assigned Aaa (sf)
Class A-3 Asset-Backed Notes, Affirmed Aaa (sf);
previously on Oct 26, 2016 Definitive Rating Assigned Aaa (sf)
Class B Asset-Backed Notes, Upgraded to Aa2 (sf); previously
on Oct 26, 2016 Definitive Rating Assigned Aa3 (sf)
Class C Asset-Backed Notes, Upgraded to A2 (sf); previously
on Oct 26, 2016 Definitive Rating Assigned A3 (sf)
Class D Asset-Backed Notes, Affirmed Baa2 (sf); previously
on Oct 26, 2016 Definitive Rating Assigned Baa2 (sf)
RATINGS RATIONALE
The actions for all transactions were prompted by the buildup of credit
enhancement due to sequential payment structures and non-declining
reserve and overcollateralization accounts set at 0.25%
and 0.50% or 0.60% of the original principal
balance, respectively.
The lifetime cumulative net loss (CNL) expectations were increased to
2.15% from 2.0% for the 2014-2 and
2014-3 transactions, to 2.25% from 2.15%
for the 2015-2 and 2015-3 transactions, and to 2.25%
from 2.0% for the 2015-4 transaction due to weaker
than previously anticipated performance. The CNL expectations remain
unchanged at 2.0% for the 2013-4 and 2014-1
transactions, and at 2.15% for the 2016-1 and
2016-4 transactions.
Below are key performance metrics (as of the June 2017 distribution date)
and credit assumptions for the affected transactions. Credit assumptions
include Moody's expected lifetime CNL, expressed as a percentage
of the original pool balance, as well as Moody's Aaa levels expressed
as a percentage of the current pool balance. The Aaa level is the
level of credit enhancement that would be consistent with a Aaa (sf) rating
for the given asset pool. Performance metrics include the pool
factor, which is the ratio of the current collateral balance to
the original collateral balance at closing; total credit enhancement,
which typically consists of subordination, overcollateralization,
reserve fund; and Excess Spread per annum.
Issuer -- CarMax Auto Owner Trust 2013-4
Lifetime CNL expectation -- 2.00%; prior expectation
(November 2016) -- 2.00%
Lifetime Remaining CNL expectation -- 2.00%
Aaa (sf) level -- 8.00%
Pool factor -- 16.07%
Total Hard credit enhancement -- Cl. A 43.25%,
Cl. B 29.56%, Cl. C 17.11%,
Cl. D 4.67%
Excess Spread per annum -- Approximately 4.7%
Issuer -- CarMax Auto Owner Trust 2014-1
Lifetime CNL expectation -- 2.00%; prior expectation
(November 2016) -- 2.00%
Lifetime Remaining CNL expectation -- 1.90%
Aaa (sf) level -- 8.00%
Pool factor -- 18.89%
Total Hard credit enhancement -- Cl. A 36.79%,
Cl. B 28.32%, Cl. C 15.62%,
Cl. D 3.97%
Excess Spread per annum -- Approximately 4.8%
Issuer -- CarMax Auto Owner Trust 2014-2
Lifetime CNL expectation -- 2.15%; prior expectation
(November 2016) -- 2.00%
Lifetime Remaining CNL expectation -- 2.09%
Aaa (sf) level -- 8.00%
Pool factor -- 22.83%
Total Hard credit enhancement -- Cl. A 29.34%,
Cl. B 23.21%, Cl. C 14.23%,
Cl. D 3.29%
Excess Spread per annum -- Approximately 4.7%
Issuer -- CarMax Auto Owner Trust 2014-3
Lifetime CNL expectation -- 2.15%; prior expectation
(November 2016) -- 2.00%
Lifetime Remaining CNL expectation -- 1.98%
Aaa (sf) level -- 8.00%
Pool factor -- 27.11%
Total Hard credit enhancement -- Cl. A 23.61%,
Cl. B 19.18%, Cl. C 10.88%,
Cl. D 2.77%
Excess Spread per annum -- Approximately 4.4%
Issuer -- CarMax Auto Owner Trust 2015-2
Lifetime CNL expectation -- 2.25%; prior expectation
(November 2016) -- 2.15%
Lifetime Remaining CNL expectation -- 1.93%
Aaa (sf) level -- 8.50%
Pool factor -- 41.74%
Total Hard credit enhancement -- Cl. A 17.85%,
Cl. B 13.06%, Cl. C 8.26%,
Cl. D 1.8%
Excess Spread per annum -- Approximately 4.5%
Issuer -- CarMax Auto Owner Trust 2015-3
Lifetime CNL expectation -- 2.25%; prior expectation
(November 2016) -- 2.15%
Lifetime Remaining CNL expectation -- 1.90%
Aaa (sf) level -- 9.0%
Pool factor -- 49.64%
Total Hard credit enhancement -- Cl. A 14.50%,
Cl. B 10.78%, Cl. C 6.75%,
Cl. D 1.51%
Excess Spread per annum -- Approximately 4.4%
Issuer -- CarMax Auto Owner Trust 2015-4
Lifetime CNL expectation -- 2.25%; prior expectation
(November 2016) -- 2.00%
Lifetime Remaining CNL expectation -- 2.07%
Aaa (sf) level -- 9.0%
Pool factor -- 51.55%
Total Hard credit enhancement -- Cl. A 13.97%,
Cl. B 10.38%, Cl. C 6.3%,
Cl. D 1.45%
Excess Spread per annum -- Approximately 4.6%
Issuer -- CarMax Auto Owner Trust 2016-1
Lifetime CNL expectation -- 2.15%; prior expectation
(November 2016) -- 2.15%
Lifetime Remaining CNL expectation -- 2.03%
Aaa (sf) level -- 9.50%
Pool factor -- 57.46%
Total Hard credit enhancement -- Cl. A 13.05%,
Cl. B 10.0%, Cl. C 6.35%,
Cl. D 1.48%
Excess Spread per annum -- Approximately 4.7%
Issuer -- CarMax Auto Owner Trust 2016-4
Lifetime CNL expectation -- 2.15%; original expectation
(October 2016) -- 2.15%
Lifetime Remaining CNL expectation -- 2.22%
Aaa (sf) level -- 9.75%
Pool factor -- 78.76%
Total Hard credit enhancement -- Cl. A 7.94%,
Cl. B 5.40%, Cl. C 3.24%,
Cl. D 0.95%
Excess Spread per annum -- Approximately 4.9%
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "Moody's Global Approach
to Rating Auto Loan- and Lease-Backed ABS" published in
October 2016. Please see the Rating Methodologies page on www.moodys.com
for a copy of this methodology.
On 22 March 2017, Moody's released a Request for Comment,
in which it has requested market feedback on potential revisions to its
Approach to Assessing Counterparty Risks in Structured Finance.
If the revised Methodology is implemented as proposed, the Credit
Ratings on CarMax prime auto loan ABS are not expected to be affected.
Please refer to Moody's Request for Comment, titled " Moody's
Proposes Revisions to Its Approach to Assessing Counterparty Risks in
Structured Finance," for further details regarding the implications
of the proposed Methodology revisions on certain Credit Ratings.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Levels of credit protection that are greater than necessary to protect
investors against current expectations of loss could lead to an upgrade
of the rating. Moody's current expectations of loss may be
better than its original expectations because of lower frequency of default
by the underlying obligors or appreciation in the value of the vehicles
that secure the obligor's promise of payment. The US job
market and the market for used vehicle are primary drivers of performance.
Other reasons for better performance than Moody's expected include
changes in servicing practices to maximize collections on the loans or
refinancing opportunities that result in a prepayment of the loan.
Down
Levels of credit protection that are insufficient to protect investors
against current expectations of loss could lead to a downgrade of the
ratings. Moody's current expectations of loss may be worse
than its original expectations because of higher frequency of default
by the underlying obligors of the loans or a deterioration in the value
of the vehicles that secure the obligor's promise of payment.
The US job market and the market for used vehicle are primary drivers
of performance. Other reasons for worse performance than Moody's
expected include poor servicing, error on the part of transaction
parties, lack of transactional governance and fraud.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and sensitivity
analysis, see the sections Methodology Assumptions and Sensitivity
to Assumptions of the disclosure form.
The analysis includes an assessment of collateral characteristics and
performance to determine the expected collateral loss or a range of expected
collateral losses or cash flows to the rated instruments. As a
second step, Moody's estimates expected collateral losses or cash
flows using a quantitative tool that takes into account credit enhancement,
loss allocation and other structural features, to derive the expected
loss for each rated instrument
Moody's quantitative analysis entails an evaluation of scenarios
that stress factors contributing to sensitivity of ratings and take into
account the likelihood of severe collateral losses or impaired cash flows.
Moody's weights the impact on the rated instruments based on its
assumptions of the likelihood of the events in such scenarios occurring.
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 credit rating action on the support provider and in relation to
each particular credit 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 credit rating action,
and whose ratings may change as a result of this credit 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.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
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.
Anna Burns
Associate Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Michael Labuskes
VP - Senior Credit Officer
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
