Fitch Upgrades One and Affirms Three Classes of CarMax Auto Owner Trust 2011-3
KEY RATING DRIVERS
The rating upgrades and affirmations are based on available credit enhancement (CE) and loss performance. The collateral pool continues to perform within Fitch's expectations. Based on the current structure and CE, the securities are able to withstand stress scenarios consistent with the assigned ratings and make full payments to investors in accordance with the terms of the documents.
The ratings reflect the quality of CarMax Business Services, LLC's retail auto loan originations, the strength of its servicing capabilities, and the sound financial and legal structure of the transactions.
Unanticipated increases in the frequency of defaults and loss severity could produce loss levels higher than the current projected base case loss proxy, and impact available loss coverage and multiples levels for the transaction. Lower loss coverage could impact ratings and Rating Outlooks, depending on the extent of the decline in coverage.
In Fitch's initial review of the transaction, the notes were found to have limited sensitivity to a 1.5x and 2.5x increase of Fitch's base case loss expectation. To date, the transaction has exhibited strong performance with losses well within Fitch's initial expectations with rising loss coverage and multiple levels. Therefore, a material deterioration in performance would have to occur within the asset pool to have potential negative impact on the outstanding ratings.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation to this rating action
Fitch's analysis of the Representation and Warranties (R&W) of the transactions in this review can be found in 'CarMax Auto Owner Trust 2011-3 -- Appendix'. These R&W are compared to those of typical R&W for the asset class as detailed in the special report 'Representations, Warranties, and Enforcement Mechanisms in the Global Structured Finance Transactions' dated June 12, 2015.
Fitch has taken the following rating actions:
CarMax Auto Owner Trust 2011-3
--Class A-4: affirmed at 'AAAsf'; Outlook Stable;
--Class B: affirmed at 'AAAsf'; Outlook Stable;
--Class C: affirmed at 'AAAsf'; Outlook Stable;
--Class D: upgraded to 'AAsf' from 'Asf'; Outlook revised to Stable from Positive.