Fitch Rates CarMax Auto Owner Trust 2015-1
--\$191,000,000 class A-1 'F1+sf';
--\$320,000,000 class A-2 'AAAsf'; Outlook Stable;
--\$319,000,000 class A-3 'AAAsf'; Outlook Stable;
--\$115,000,000 class A-4 'AAAsf'; Outlook Stable;
--\$22,500,000 class B 'AAsf'; Outlook Stable;
--\$18,500,000 class C 'Asf'; Outlook Stable;
--\$14,000,000 class D 'BBBsf'; Outlook Stable.
KEY RATING DRIVERS
Consistent Credit Quality: CAOT 2015-1 has consistent credit quality, compared with pools securitized since 2011, with a weighted average (WA) Fair Isaac Corp. (FICO) score of 703 and a diverse pool mix from make/model and geographic perspectives.
Adequate Credit Enhancement (CE) Structure: CAOT 2015-1 incorporates a sequential-pay structure. Initial hard CE for the class A, B, C, and D notes decreased compared to 2014-4. Initial CE is sufficient to withstand Fitch's base case cumulative net loss (CNL) proxy of 2.30% for all classes of notes at each class' respective loss coverage multiple.
Stable Portfolio/Securitization Performance: Losses on CarMax Auto Finance's (CAF) 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 2015-1.
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
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 2015-1 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 Fitch's presale report, available at 'www.fitchratings.com' or by clicking on the link.