Fitch Rates CarMax Auto Owner Trust 2015-2

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings assigns the following ratings and Rating Outlooks to the notes issued by CarMax Auto Owner Trust 2015-2 (CAOT 2015-2) listed below:

--$202,000,000 class A-1 'F1+sf';

--$192,000,000 class A-2A 'AAAsf'; Outlook Stable;

--$192,000,000 class A-2B 'AAAsf'; Outlook Stable;

--$384,000,000 class A-3 'AAAsf'; Outlook Stable;

--$116,945,000 class A-4 'AAAsf'; Outlook Stable;

--$23,300,000 class B 'AAsf'; Outlook Stable;

--$23,300,000 class C 'Asf'; Outlook Stable;

--$31,455,000 class D 'BBBsf'; Outlook Stable.

KEY RATING DRIVERS

Slightly Weaker Credit Quality: 2015-2 is slightly weaker from a collateral credit quality perspective, compared with the prior four transactions. The weighted average (WA) FICO score has decreased to 695, and the level of greater than 60-month loans has increased to 57.4%.

Adequate Credit Enhancement (CE) Structure: CAOT 2015-2 incorporates a sequential-pay structure. The initial hard CE for class A, B and C notes has increased compared to 2015-1, while the CE for the D notes remains unchanged. The initial CE is sufficient to withstand Fitch's base case cumulative net loss (CNL) proxy of 2.45% for all classes of notes at each class' respective loss coverage multiple.

Stable Portfolio/Securitization Performance: Losses on CAF's portfolio and 2010 - 2013 securitizations have remained below the peak levels seen in 2008.

Evolving Wholesale Market: The U.S. wholesale vehicle market (WVM) is normalizing following strong performance in recent years. Fitch expects increasing used vehicle supply from off-lease vehicles and trade-ins to pressure ABS recovery rates, leading to moderately higher loss rates. Fitch's analysis accounts for this risk by including periods of weak WVM performance in the derivation of its base case loss expectation.

Stable Origination, Underwriting and Servicing: Fitch believes CAF to be a capable originator, underwriter and servicer for CAOT 2015-2.

Integrity of the Legal Structure: The legal structure of the transaction should provide that a bankruptcy of CAF would not impair the timeliness of the payments on the securities.

RATING SENSITIVITIES

Unanticipated increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than the base case. In turn, it could result in potentially adverse rating actions on the notes. Fitch evaluated the sensitivity of the ratings assigned to all classes of CarMax Auto Owner Trust 2015-2 to increased losses over the life of the transaction. Fitch's analysis found that the notes display some sensitivity to increased defaults and losses. In fact, they could lead to potential downgrades of up to one category under Fitch's moderate (1.5x base case loss) scenario. The notes could experience downgrades of two to three rating categories under Fitch's severe (2.5x base case loss) scenario.

Key Rating Drivers and Rating Sensitivities are further described in the presale report dated April 30, 2015. Fitch's analysis of the Representations and Warranties (R&W) of this transaction can be found in ' CarMax Auto Owner Trust 2015-2 - Appendix'. These R&Ws are compared to those of typical R&W for the asset class as detailed in the special report 'Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions' dated March 2015.

Key Rating Drivers and Rating Sensitivities are further described in Fitch's presale report, available at 'www.fitchratings.com'.

Additional information is available at www.fitchratings.com.

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (March 2015);

--'Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions' dated March 2015.

--'Criteria for Rating U.S. Auto Loan ABS' (April 2015);

--'Structured Finance Tranche Thickness Metrics' (July 2011);

--'CarMax Auto Owner Trust 2015-2 Appendix (April 2015).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864268

Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=863817

Criteria for Rating U.S. Auto Lease ABS

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864500

Structured Finance Tranche Thickness Metrics

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=646951

CarMax Auto Owner Trust 2015-2 - Appendix

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=865443

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=984623

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

Fitch Ratings
Primary Analyst:
Du Trieu, +1-312-368-2091
Senior Director
Fitch Ratings, Inc.
70 W. Madison Street
Chicago, IL 60602
or
Secondary Analyst:
Eric Orenstein, +1-212-908-0245
Associate Analyst
or
Committee Chairperson:
Tracy Wan, +1-212-908-9171
Senior Director
or
Media Relations:
Sandro Scenga, New York, +1 212-908-0278
[email protected]

Source: Fitch Ratings

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