DBRS Ratings Limited Assigns Provisional Ratings to Bavarian Sky SA – Compartment Loans 2013-1

DBRS Ratings Limited (DBRS) has today assigned provisional ratings of AAA (sf) and ‘A’ (high) (sf) respectively to Class A floating rate notes and Class B floating rate notes to be issued by Bavarian Sky SA. (the “Notes”). The Notes are backed by a pool of auto loans originated in Germany by BMW Bank GmbH (“BMW Bank”).

The above mentioned ratings are provisional. Final ratings will be issued upon receipt of execution version of the governing transaction documents. To the extent that the documents and information provided by BMW Bank and Commerzbank AG (the “Arranger”) to DBRS as of this date differ from the executed version of the governing transaction documents, DBRS may assign different final ratings to the Notes or may avoid assigning final ratings to the Notes altogether.

The ratings are based upon review by DBRS of the following analytical considerations:

• Transaction capital structure and form and sufficiency of available credit enhancement.
• Relevant credit enhancement in the form of a cash reserve account and subordination. Credit enhancement levels are sufficient to support DBRS projected expected cumulative net loss (CNL) assumption under various stress scenarios at AAA (sf) ‘A’ (high) (sf) standard.
• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested.
• The transaction parties’ capabilities with respect to originations, underwriting, servicing, and financial strength.
• The credit quality of the collateral and ability of the Servicer to manage collections activities on the collateral.
• The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

Note:
All figures are in Euros unless otherwise noted.

The principal methodologies applicable are:
• European Consumer and Commercial Asset-Backed Securitisations.
• Legal Criteria for European Structured Finance Transactions.
• Derivative Criteria for European Structured Finance Transactions.
• Operational Risk Assessment for European Structured Finance Servicers.
• Unified Interest Rate Model Methodology for European Securitisations.

These can be found on dbrs.com under Methodologies. For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area”.

The sources of information used for this rating include BMW Bank GmbH, BMW AG and Commerzbank AG. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This is the first DBRS rating on this financial instrument.

This is a newly created financial instrument.

The full report providing additional analytical detail is available by clicking on the link or by contacting us at info@dbrs.com.

For additional information on this rating, please see the linking document.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Lead Analyst: Paolo Conti
Back-up Analyst: Bruno Franco
Rating Committee Chair: Chuck Weilamann
Initial Rating Date: May 17, 2013