RevoCar 2022 notes gain rating upgrades as credit support strengthens

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RevoCar 2022 rating upgrades

Highlights

DBRS Ratings GmbH upgrades RevoCar 2022's Class C notes to AAA (sf) and Class D notes to AA (sf) following its annual review, citing strengthened credit enhancement.
As of April 2026, portfolio arrears for one to three months stand at 1.0% combined, loans over three months in arrears at 2.0%, and gross cumulative defaults reach 2.0% of initial collateral.
Credit enhancement as of May 2026 rises to 55.0% for Class A, 28.7% for Class B, 22.5% for Class C, and 14.3% for Class D, significantly up from August 2025 levels.

Annual review lifts subordinated note ratings

As reported by Morningstar DBRS, DBRS Ratings GmbH upgrades the Class C notes of RevoCar 2022 UG (haftungsbeschränkt) to AAA (sf) from AA (high) (sf) and the Class D notes to AA (sf) from AA (low) (sf), while confirming the Class A and Class B notes at AAA (sf). The rating actions follow the agency's annual review of the German auto loan securitisation.

The review is based on portfolio performance as of the May 2026 payment date, updated assumptions for probability of default, loss given default and expected losses on the remaining receivables, and the current level of credit enhancement available to each class of notes. The transaction is a static securitisation of German auto loan receivables originated and serviced by Bank11 für Privatkunden und Handel GmbH, mainly for private customers buying new and used vehicles, and it closed in September 2022 with an initial portfolio balance of EUR 500.0 million.

Portfolio metrics and enhancement levels improve

As of the April 2026 cut-off date, loans one to two months in arrears and two to three months in arrears each account for 0.5% of the outstanding portfolio balance, while loans more than three months in arrears represent 2.0%. Gross cumulative defaults amount to 2.0% of the aggregate initial collateral balance, with cumulative recoveries at 41.2% to date.

Morningstar DBRS updates its base case probability of default assumption to 2.2% from 1.8% and its loss given default assumption to 63.5% from 58.8%, reflecting transaction performance and the current portfolio mix. As of the May 2026 payment date, credit enhancement rises to 55.0% for Class A, 28.7% for Class B, 22.5% for Class C and 14.3% for Class D, up from 30.5%, 16.8%, 13.5% and 9.3%, respectively, in August 2025.

The structure also includes an amortising liquidity reserve that is available for senior fees and expenses, swap payments and interest on the Class A notes only. That reserve stands at its target balance of EUR 1.0 million in May 2026, while the commingling reserve balance is zero, against a structure initially funded by Bank11 at EUR 1.2 million. BNP Paribas S.A., Niederlassung Frankfurt am Main serves as account bank, and Morningstar DBRS says the downgrade provisions and structural mitigants keep counterparty exposure aligned with the assigned note ratings.

In our earlier article on Manulife’s Limited Recourse Capital Notes Series 1 rate reset, we noted the company fixed a 5.883% coupon for the June 2026–2031 period, signaling solid access to capital markets and support for its near-term liquidity profile. We also highlighted that MFC’s technical picture remained constructive, with the stock holding above key moving averages and an upside bias favored as long as support levels held.

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