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Bavarian Sky S.A German Auto Loans (Compartment 9): 21 December 2019

As per the previous Bavarian Sky German Auto transactions (all prospectuses and investor reports available on EuroABS), the issue is backed by a portfolio of loan receivables secured on certain passenger cars, light commercial vehicles or motorcycles. BMW Bank is the seller of the receivables and it is one of Germany’s leading automotive banks.

Eligibility criteria (includes): is denominated and payable in Euros; has a fixed interest rate and is fully amortising; at least two due loan instalments have been fully paid; is subject to the laws of Germany; the debtor is neither an employee of BMW nor an officer of BMW.

At the cut-off date (30 November 2019) the portfolio consisted of 45,909 loans, of which 44,578 are balloon loans. The average outstanding balance is Eur21,024 and the average balloon amount is Eur11,838. Client type: private 72.30% and commercial 27.70%. Credit type: Balloon 99.03%, Equal Instalment Loan 0.97%. Debtor concentration: top 1 - 0.05%, top 5 - 0.24%, top 20 - 0.63%. Vehicle type: used 50.45% and new 49.55%. WA seasoning is 5.51 months.

EU Risk Retention: In compliance with Article 6 Paragraph (3)(d) of the Securitisation Regulation, the Seller has undertaken to retain, on an ongoing basis until the earlier of the redemption of the Class A Notes in full and the Legal Final Maturity Date, at least 5% of the nominal amount of the "securitised exposures" by (i) retaining until the earlier of the redemption of the Class A Notes in full and the Legal Final Maturity Date the Class B Notes and (ii) until the earlier of the redemption of the Notes in full and the Legal Final Maturity Date, in its capacity as Subordinated Lender, providing the Subordinated Loan, provided in each case of (i) and (ii) that the Seller will not be in breach of such undertaking if the Seller fails to so comply due to events, actions or circumstances beyond the Seller's control.

US Risk Retention: The Seller does not intend to retain at least 5% of the credit risk of the Notes for the purposes of the U.S. Risk Retention Rules, but rather intends to rely on an exemption provided for in Section 20 of the U.S. Risk Retention Rules regarding non-U.S. transactions.

Compare/contrast: Bavarian Sky S.A. German Auto Loans (Compartment 8), SC Germany Auto 2019-1, Volkswagen Car Lease No.29 Ltd