BMW’s German captive finance arm is marketing its sixth prime auto loan securitization in an €800 million (US$877.4 million) transaction, according to S&P Global Ratings.

BMW Bank Gmbh will sell Euro bonds through the Bavarian Sky S.A., Compartment German Auto Loans 6 trust, including €744 million of seven-year Class A notes that S&P is provisionally rating AAA. The floating-rate notes are benchmarked to the one-month Euribor; a fixed rate swap agreement for the entire Class A notes series will be with an undetermined counterparty.   

The €56 million in Class B notes are unrated.

The Class A notes carry 7.5% credit enhancement (in line with previously Bavarian Sky deals), consisting of subordination, 3.31% of excess spread and a non-amortizing cash reserve of €4 million.

All of the loans in the pool (with an average balance of €19,241) were originated and are serviced by BMW Bank Gmbh. The loans all have at least two installments paid by borrowers that include both consumers (72.7%) and small commercial buyers (27.3%).

The bank’s previous German auto loan securitization was a €1 billion issuance last October.

BMW provides lease and loan financing across BMW’s German dealer network as well as independent multi-make dealerships in Germany.

At year’s end 2016, the bank had a volume of €14.8 billion in lease and loan receivables from 600,000 customers (BMW merged its domestic leasing and loan financing businesses in 2011.

S&P forecasts 2.01% of gross losses in the pool, a reduction of 0.24% from the previous transaction due to a “beneficial shift” of a subpool of the loans that have lower gross loss expectations. A majority of the loans in the pool include a balloon payment, which have been applied an additional loss of 7.75%, according to the presale report.

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