Auto1Car Funding securitisation sees multiple note upgrades after annual review

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Auto1Car Funding note upgrades

Highlights

Morningstar DBRS upgrades Auto1Car Funding Class B, C, and D notes following annual review, citing stronger portfolio performance and higher credit enhancement.
As of July 2026 payment date, auto loan delinquencies stand at 2.0% (30–60 days), 1.3% (60–90 days), and 1.0% (over 90 days), with cumulative defaults at 3.8%.
Base case assumptions revised to probability of default of 8.4% from 6.0% and loss given default of 57.0% from 60.0%, reflecting higher expected defaults but slightly lower loss severity.

Annual review lifts junior note ratings

As reported by Morningstar DBRS, the annual review results in Class A being confirmed at AAA (sf), while Class B is upgraded to AA (high) (sf) from AA (low) (sf), Class C to AA (low) (sf) from A (low) (sf), and Class D to BBB (high) (sf) from BBB (low) (sf). The rating agency says the action reflects portfolio performance, expected losses on the remaining receivables and the level of credit enhancement available to each rated note.

Morningstar DBRS says its analysis considers delinquencies and defaults as of the July 2026 payment date, alongside updated assumptions for probability of default and loss given default. The agency also conducts a loan-by-loan review of the remaining receivables after receiving updated historical vintage data from the originator.

German auto loan performance supports credit profile

The transaction is a static securitisation of auto loan receivables tied to used-car purchases by private individuals in Germany. The loans are originated and serviced by Autohero GmbH, an online-based used-vehicle dealer and non-captive lender, while the issuer is incorporated in Luxembourg.

As of the July 2026 payment date, loans that are 30 to 60 days delinquent account for 2.0% of the portfolio balance, while loans 60 to 90 days delinquent represent 1.3% and loans more than 90 days overdue stand at 1.0%. The cumulative default ratio amounts to 3.8% of the initial portfolio balance, with cumulative recoveries reaching 27.2% to date.

Morningstar DBRS updates its base case assumptions to a probability of default of 8.4% from 6.0% and a loss given default of 57.0% from 60.0%. Those revised metrics indicate a higher expected default rate but slightly improved loss severity, supporting the latest view of note protection in the transaction.

In our earlier coverage of Morningstar DBRS’s rating actions on SoFi consumer loan securitizations, we noted that the agency confirmed multiple ratings and upgraded several notes as rising credit enhancement and excess spread helped offset higher delinquencies and losses trending above initial expectations. The report also highlighted that the review incorporated updated forward-looking loss assumptions and refreshed baseline macroeconomic scenarios used in the analysis.

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