DBRS Finalises Provisional Rating Assigned to Bavarian Sky German Auto Leases 4

DBRS Ratings Limited (DBRS) has today finalised a provisional rating of AAA (sf) previously assigned to the Class A notes issued by Bavarian Sky S.A. acting in respect of its Compartment German Auto Leases 4. The securitised receivables consist of leasing contracts related to motor vehicles originated in Germany by BMW Bank GmbH.

The rating is 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 reserve fund and subordination. Credit enhancement levels are sufficient to support the DBRS-projected expected cumulative net loss assumption under various stress scenarios at a AAA (sf) standard for the Class A notes issued by Bavarian Sky S.A. acting in respect of its Compartment German Auto Leases 4.
-- 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 DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

Notes: All figures are in euros unless otherwise noted.

The principal methodology applicable is “Rating European Consumer and Commercial Asset-Backed Securitisations.”

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

Other methodologies and criteria referenced in this transaction are listed at the end of this press release and can be found on www.dbrs.com at:
http://www.dbrs.com/about/methodologies.

For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS’s “The Effect of Sovereign Risk on Securitisations in the Euro Area” commentary at http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The information used for this rating includes historical performance data relating to the auto lease portfolio originated by BMW Bank GmbH. DBRS received historical performance data relating to BMW Bank GmbH originations by monthly vintage on a cumulative net loss and gross loss basis going back to January 2005 and up to June 2015. Data was also provided relating to delinquencies, prepayment going back to 2007 and up to June 2015. DBRS received detailed stratification tables related to the portfolio selected by BMW Bank GmbH as at 30 November 2015, that allowed DBRS to further assess the portfolio. All information was sourced by the originator, BMW Bank GmbH.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

DBRS does not rely upon third-party due diligence in order to conduct its analysis.

DBRS was supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

The rating was disclosed to BMW Bank GmbH and to their agents and lawyers.

This rating concerns a newly issued financial instrument.

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

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

To assess the impact of changing the transaction parameters on the ratings, DBRS considered the following stress scenarios as compared with the parameters used to determine the rating (the Base Case):

-- Probability of Default (PD) Rate Used: Base Case PD of 1.96%, a 25% and 50% increase on the base case PD.
-- Recovery Rate Used: Base case Recovery Rate of 55.00%.
-- Loss Given Default (LGD) Rate Used: Base Case LGD of 45%, a 25% and 50% increase on the base case LGD.

DBRS concludes that for the Class A Notes:

-- A hypothetical increase of the base case PD by 25% or a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to the Class A Notes maintaining a AAA (sf) rating.
-- A hypothetical increase of the base case PD by 50% or a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to the Class A Notes maintaining a AAA (sf) rating.
-- A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to the Class A Notes maintaining a AAA (sf) rating.
-- A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 25%, ceteris paribus, would lead to the Class A Notes maintaining a AAA (sf) rating.
-- A hypothetical increase of the base case PD by 25% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to the Class A Notes maintaining a AAA (sf) rating.
-- A hypothetical increase of the base case PD by 50% and a hypothetical increase of the LGD by 50%, ceteris paribus, would lead to a downgrade of the Class A Notes to AA (sf).

For further information on DBRS 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: Paolo Conti
Initial Rating Date: 16 November 2015
Initial Rating Committee Chair: Chuck Weilamann

Last Rating Date: Not applicable as no last rating date.

Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: Chuck Weilamann

DBRS Ratings Limited
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The rating methodologies and criteria used in the analysis of this transaction can be found at http://www.dbrs.com/about/methodologies.

-- Rating European Consumer and Commercial Asset-Backed Securitisations.
-- Legal Criteria for European Structured Finance Transactions.
-- Operational Risk Assessment for European Structured Finance Originators.
-- Unified Interest Rate Model for European Securitisations.
-- Derivative Criteria for European Structured Finance Transactions.

A description of how DBRS analysis structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375