RPT-Fitch Expects to Rate CarMax Auto Owner Trust 2013-2; Issues Presale

Mon May 6, 2013 9:16am EDT

May 6 (Reuters) - (The following statement was released by the rating agency)

Fitch Ratings expects to assign the following ratings to CarMax Auto Owner Trust 2013-2:

--$117,000,000 class A-1 notes 'F1+sf';

--$266,000,000 class A-2 notes 'AAAsf'; Outlook Stable;

--$248,000,000 class A-3 notes 'AAAsf'; Outlook Stable;

--$125,400,000 class A-4 notes 'AAAsf'; Outlook Stable;

--$18,000,000 class B notes 'AAsf'; Outlook Stable;

--$15,600,000 class C notes 'Asf'; Outlook Stable;

--$10,000,000 class D notes 'BBBsf'; Outlook Stable.

Fitch's stress and rating sensitivity analysis are discussed in the presale report titled 'CarMax Auto Owner Trust 2013-2', dated May 6, 2012, which is available at 'www.fitchratings.com'.


Stable Credit Quality: 2013-2 has a slightly stronger credit quality than pools securitized since 2011, with a higher weighted average (WA) Fair Isaac Corp. (FICO) score (697) and a stronger distribution of internal credit tiers. The collateral remains mostly used vehicles (99%), with a higher portion of extended-term loans (61.6%) compared to 2007-2012 pools.

Normalizing Portfolio/Securitization Performance: Losses on CarMax Auto Finance's (CAF) portfolio and 2009-2011 securitizations declined in recent years due to stronger quality originations and elevated used vehicle values, which supported higher recovery rates. While 2012 vintage performance has deteriorated relative to recent vintages, it remains stronger than 2006?2008 vintages.

Consistent Credit Enhancement: The cash flow distribution in 2013-2 is a sequential-pay structure consistent with prior transactions. Initial hard credit enhancement (CE) in 2013-2 is consistent with that of the prior two transactions.

Unstable Macroeconomic Conditions: A slower recovery and potential for volatility could affect delinquencies and losses. Fitch's analysis accounts for this risk by including poorer performing vintages from the recent recession in the base case loss analysis.

Stable Origination, Underwriting, and Servicing Platform: Fitch believes CAF demonstrates adequate abilities as originator, underwriter, and servicer to service the 2013-2 pool.


Unanticipated increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than the base case and could result in potential rating actions on the notes. Fitch evaluated the sensitivity of the ratings assigned to each class of CarMax Auto Owner Trust 2013-2 to increased losses over the life of the transaction.

Fitch's analysis found that each class of notes displays some sensitivity to increased defaults and losses, showing potential downgrades of one category under Fitch's moderate (1.5x base case loss) scenario. Each class of notes could experience downgrades of up to three rating categories under Fitch's severe (2.5x base case loss) scenario.

Key Rating Drivers and Rating Sensitivities are further detailed in the accompanying presale report, available at 'www.fitchratings.com' or by clicking on the below link.

Link to Fitch Ratings' Report: CarMax Auto Owner Trust 2013-2 (US ABS)

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