Morningstar DBRS assigns provisional ratings to Chase Auto Owner Trust 2026-1 notes

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Chase Auto Trust 2026-1 Ratings

Highlights

Morningstar DBRS assigned provisional ratings up to (P) AAA (sf) to eight note classes in Chase Auto Owner Trust 2026-1, citing strong credit enhancement from overcollateralization, subordination, excess spread, and a reserve account targeting 0.25% of the net pool balance.
The $ collateral pool comprises 64.89% new and 35.11% used vehicle loans with a weighted-average FICO of 766, 71.04% of receivables having original terms over 60 months, and an average loan-to-value ratio of 95.51%.
Tesla loans represent 27.74% of the pool with 96.45% linked to new vehicles and a segment FICO average of 798, while exposure to used EV loans poses potential recovery pressure under stress scenarios.

Transaction structure and provisional ratings

As reported by Morningstar DBRS, DBRS, Inc. assigned provisional ratings to eight classes of notes to be issued by Chase Auto Owner Trust 2026-1, including Class A-1 at (P) R-1 (high) (sf), Class A-2, A-3, A-4 and A-IO at (P) AAA (sf), Class B at (P) AA (high) (sf), Class C at (P) A (high) (sf) and Class D at (P) BBB (high) (sf). The agency says the ratings address timely monthly interest payments and repayment of principal by the final scheduled distribution date under the transaction documents.

Morningstar DBRS says credit enhancement comes from overcollateralization, subordination, reserve account amounts and excess spread. The reserve account is unfunded at closing and is set to build to a target balance equal to 0.25% of the net pool balance as of the cut-off date, while the agency’s cumulative net loss assumption for the deal is 1.42% based on historical loss performance.

JPMorgan Chase Bank, N.A., identified as sponsor and servicer, has more than 80 years of retail installment contract origination and servicing experience and more than 18 years of securitization experience. Morningstar DBRS says that operating record supports its view of the bank’s underwriting, servicing and portfolio management capabilities.

Collateral quality and auto finance market implications

The collateral pool includes 64.89% new vehicle loans and 35.11% used vehicle loans, with an average borrower FICO score of 766. The weighted-average coupon is 6.95%, the weighted-average remaining term is 62.84 months, the weighted-average original term is 70.13 months and the weighted-average loan-to-value ratio is 95.51%.

Extended-term loans make up a large share of the pool, with 71.04% of receivables carrying original terms longer than 60 months and 28.58% longer than 72 months. Morningstar DBRS says those loans may generate higher loss severity if charged off, although that risk is partly offset by stronger borrower credit profiles.

Tesla loans account for 27.74% of the pool, and 96.45% of those Tesla exposures are tied to new vehicles. The agency notes that used electric vehicle loans can face weaker resale values under stress, which may weigh on recoveries, but says the Tesla segment is supported by a weighted-average FICO score of 798.

The pool also includes originations from JPMorgan Chase Bank’s indirect retail channel, supported by an active dealer network of more than 13,000 dealers as of February 28, 2026. Morningstar DBRS says its analysis incorporates its March 2026 baseline macroeconomic scenarios for rated sovereign economies, and it adds that no environmental, social or governance factors had a significant or relevant effect on the credit analysis.

Our earlier article on Morningstar DBRS’s provisional ratings for the Channel EF 2026-1 equipment finance ABS outlined a six-tranche issuance backed by U.S. small- and mid-sized business contracts, with ratings reaching (P) AAA (sf) and (P) R-1 (high) (sf). We noted that the credit profile relied on structural protections such as overcollateralization, subordination, a reserve account, excess spread and a prefunding mechanism, alongside DBRS’s base-case loss assumptions and portfolio concentration review.

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