DBRS Assigns Ratings to Bavarian Sky S.A., Compartment 3

DBRS, Inc. (DBRS) has today assigned ratings of AAA (sf) to the Class A Notes and ‘A’ (high) (sf) to the Class B Notes issued by Bavarian Sky S.A., acting in respect of its Compartment 3. The receivables securitised primarily consist of leases to private and commercial customers related to BMW vehicles.

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 a AAA (sf) standard for the Class A Notes and a ‘A’ (high) (sf) standard for the Class B Notes.
• 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 perform collection 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
• Swap Criteria for European Structured Finance Transactions
• Operational Risk Assessment for European ABS and SME CLO 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 performance data relating to the receivables provided by BMW Bank GmbH. 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.

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

The Rule 17g-7 Report of Representations and Warranties is hereby incorporated by reference and can be found by clicking on the link or by contacting us at info@dbrs.com.

This credit rating has been issued outside the European Union (EU) and may be used for regulatory purposes by financial institutions in the EU.

This rating is endorsed by DBRS Ratings Limited for use in the European Union.

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

Lead Analyst: Michael Babick
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 19 June 2012