Scope Ratings has reviewed the changes made to FCT Bpifrance SME 2019-1, and no rating action is warranted. (Current rating on the Class A is available here). Following the spread of the Covid-19 pandemic, Bpifrance Financement announced on 16 March an agreement with the French Government introducing a mandatory 6-month moratorium on principal and interest payments of all its SME loans. As a result, any repayments on securitised loans will be suspended for a 6-month period, and the maturity of the associated loans will be lengthened by 6 months.

In this context, the transaction documents have been amended to include a temporary increase of the reserve fund from EUR 4m to EUR 10.8m, to cover Class A and B interest payments as well as fund expenses during a 6-month period. The extra EUR 6.8m will be reimbursed to Bpifrance Financement starting from January 2021. Replenishments should be suspended only for the time being, as the transaction continues to adhere to replenishment covenants with the revolving period ending on 25 October 2022.

FCT Bpifrance SME 2019-1 is a true-sale securitisation of a EUR 2.0bn revolving portfolio of loans granted to small and medium-sized enterprises (SMEs) in France by Bpifrance Financement. The entity acts as seller and servicer in the context of this transaction. BNP Paribas Securities Services is the issuer account bank as well as the paying agent. The transaction features a three-year replenishment period, subject to performance and asset-eligibility covenants.

The structure comprises two classes of notes (A and B), which finance the EUR 2.0bn securitised portfolio, along with residual units amounting to EUR 0.1m. Bpifrance Financement, the originator, has funded the original EUR 4m reserve fund, equal to 0.2% of the class A notes. The fixed-rate notes will follow a fully sequential amortisation. Both classes of notes benefit from the interconnected principal and interest priority of payments. The reserve fund provides liquidity and credit enhancement for classes A and B. Credit enhancement for the rated notes is provided via subordination and the reserve fund, as well as excess spread. Both classes pay quarterly and have legal maturity on 25 October 2052.

Scope will continue to monitor FCT Bpifrance SME 2019-1 on an ongoing basis. Ratings and research are freely available at www.scoperatings.com.