BMW AG is securitizing its fourth pool of auto loans to German consumers and business customers in a €800 million transaction through its Bavarian Sky S.A. platform.

Bavarian Sky S.A., Compartment German Auto Loans 4 is backed by the collateral of new and used autos that are predominantly BMW vehicles.

Moody’s Investors Service has assigned a provisional ‘Aaa’ rating to the €748 million in Class A floating rate notes. The ratings agency is not rating the €52 million in fixed-rate Class B notes that round out the pool.

All the originations are captive and independent auto dealer loans through BMW Bank GmBH, which owned by the automaker BMW AG.

The provisional pool consists of 47,944 non-delinquent contracts with a seasoning of 13 months. The underlying assets are split almost evenly between new cars (47.27%) and used cars (52.73%), with private retail customers comprising 72.04% of the buyers.

Moody’s notes the credit strengths of the deal include a short portfolio weighted average life of 1.5 years, no revolving period and a single waterfall that uses 2.1% excess spread at closing to repay Class A and Class B notes sequentially. The reserve is fully funded at closing.  

Moody’s notes some set-off risk from the deposits and linked insurance contracts financed via the loans, plus the high proportion (98.43%) of balloon loans that face a large pay-off at the end of loan maturity. The expected value recoveries of 45% are in line with the average European auto loan ABS.

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