DBRS Confirms Bavarian Sky S.A., Compartment 3

DBRS Ratings Limited (“DBRS”) has reviewed the Bavarian Sky S.A., Compartment 3(the “Issuer”) transaction and confirms the Class A and Class B Notes (the “Notes”) at AAA (sf) and ‘A’ (high) (sf), respectively. The Notes are backed by a pool of German receivables which consists of leases to private and commercial customers originated and serviced by BMW Bank GmbH.

The portfolio of receivables supporting the transaction is performing within DBRS expectations and available credit enhancement for the Notes is sufficient to cover DBRS expected losses at the current rating level.

The transaction had an initial one year revolving period whereby collection on the receivables were be used to purchase additional receivables which ended on 15 July 2013. On the payment date following the end of the revolving period (15 August 2013) the Notes will amortise sequentially with the Class A Notes receiving principal payments first.

On 9 July 2013 BMW Bank GmbH repurchased EUR 122,098,170.04 of receivables from the Issuer following recent consumer credit legislation in Germany. The legislation puts under question the enforceability of auto lease contracts to private individuals which are subject to excess mileage claims. Although there is no immediate impact on the receivables due to the legislation, there is a risk that the contracts may not be enforceable leading to customers withholding payments. The amount will be distributed to the Notes in accordance with the Priority of Payments on the 15 August payment date.

BNP Paribas Securities Services SA serves the role of Account Bank for the transaction while DZ Bank AG Deutsche Zentral-Genossenschaftsbank is the Swap Counterparty. Both entities comply with the respective DBRS criteria given the rating of the Notes.

Notes:
All figures are in Euros unless otherwise noted.

The principal methodologies applicable are:
• Rating 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
• Master European Structured Finance Surveillance Methodology

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 monthly investor reports provided by BMW Bank GmbH. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

The most recent rating action on this transaction took place on 18 July 2012, when the ratings were assigned to the Notes.

The individual linking document for this transaction is located at http://www.dbrs.com/research/259712/linking-document-bavarian-sky-s-a-compartment-3.pdf

For further information on DBRS’s historic default rates published by the European Securities and Markets Administration (“ESMA”) in a central repository see http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

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

Initial Lead Analyst: Mike Babick
Initial Rating Date: 18 June 2012
Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Keith Gorman
Rating Committee Chair: Chuck Weilamann

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