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      Scope has completed a monitoring review of the class A notes issued by FCT Bpifrance SME 2019-1
      WEDNESDAY, 21/10/2020 - Scope Ratings GmbH
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      Scope has completed a monitoring review of the class A notes issued by FCT Bpifrance SME 2019-1

      No action has been taken following the monitoring review

      Scope completed a monitoring review of the following notes issued by FCT Bpifrance SME 2019-1:

      Class A (ISIN FR0013452117), current balance EUR 1,550.9m: AAASF

      Class B (ISIN FR0013454212), EUR 450.3m: not rated

      FCT Bpifrance SME 2019-1 is a true-sale securitization of a EUR 2.0bn revolving portfolio of loans granted by Bpifrance Financement (Bpifrance) to SMEs in France. Bpifrance also acts as seller and servicer. The transaction closed on October 25, 2019.

      The review took place on 19 October 2020 using transaction data through August 2020, resulting in no action on the assigned rating. This monitoring note does not constitute a rating action nor does it indicate the likelihood of a credit rating action in the short term. The latest information on the credit ratings in this monitoring note along with the associated rating history can be found at www.scoperatings.com.

      Key rating factors

      The Class A notes continue to benefit from robust credit enhancement (22.9%), provided by subordination and the liquidity reserve. Amortization of the notes is not expected to begin until the conclusion of the three-year revolving period (November 2022).

      Portfolio turnover has been limited since closing due to the Covid-19 pandemic, as approximately 75% of the pool has benefited from payment holidays lasting between March and September, thus limiting available principal collections used to purchase new assets.

      Outstanding delinquencies are 0.24% and cumulative defaults are 0.18% - each below their respective trigger levels of 3.5% and 4.5% during the revolving period. Bpifrance has fully repurchased all defaulted positions.

      CREDIT-POSITIVE (+)

      Credit enhancement. Class A benefits from 22.9% credit enhancement resulting from subordination as well as a EUR 7.5m cash reserve. The reserve was slightly increased in April 2020 to increase liquidity, as Bpifrance offered short-term payment holidays to eligible borrowers given the macro-economic uncertainties due to Covid-19.

      Loan repurchases. Over the first 10 months of the transaction, BPI has systematically exerted its option to repurchase defaulted or rescinded loans.

      CREDIT NEGATIVE (-)

      Macro-economic context. The French republic faces a recession in 2020 that's been fueled by the Covid-19 pandemic. Despite numerous forbearance measures, defaults and delinquencies may spike once payment suspensions related to the Covid-19 pandemic run out.

      Revolving portfolio. Approximately two years of replenishment remain, which leaves noteholders exposed to negative portfolio migration. This risk is largely mitigated by Bpifrance's expertise and the adequate single-asset, portfolio and performance covenants in the structure.

      The methodologies applicable for the reviewed ratings (SME ABS Rating Methodology, published 26 May 2020; Methodology for Counterparty Risk in Structured Finance, published 8 July 2020) are available on https://www.scoperatings.com/#!methodology/list .
      This monitoring note is issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0.
      Lead analyst Cyrus Mohadjer

      © 2020 Scope SE & Co. KGaA and all its subsidiaries including Scope Ratings GmbH, Scope Analysis GmbH, Scope Investor Services GmbH and Scope Risk Solutions GmbH (collectively, Scope). All rights reserved. The information and data supporting Scope's ratings, rating reports, rating opinions and related research and credit opinions originate from sources Scope considers to be reliable and accurate. Scope does not, however, independently verify the reliability and accuracy of the information and data. Scope's ratings, rating reports, rating opinions, or related research and credit opinions are provided 'as is' without any representation or warranty of any kind. In no circumstance shall Scope or its directors, officers, employees and other representatives be liable to any party for any direct, indirect, incidental or other damages, expenses of any kind, or losses arising from any use of Scope's ratings, rating reports, rating opinions, related research or credit opinions. Ratings and other related credit opinions issued by Scope are, and have to be viewed by any party as, opinions on relative credit risk and not a statement of fact or recommendation to purchase, hold or sell securities. Past performance does not necessarily predict future results. Any report issued by Scope is not a prospectus or similar document related to a debt security or issuing entity. Scope issues credit ratings and related research and opinions with the understanding and expectation that parties using them will independently assess the suitability of each security for investment or transaction purposes. Scope's credit ratings address relative credit risk, they do not address other risks such as market, liquidity, legal, or volatility. The information and data included in is protected by copyright and other laws. To reproduce, transmit, transfer, disseminate, translate, resell, or store for subsequent use for any such purpose the information and data contained in, contact Scope Ratings GmbH at Lennéstraße 5 D-10785 Berlin. Scope Ratings GmbH, Lennéstraße 5, 10785 Berlin, District Court for Berlin (Charlottenburg) HRB 192993 B, Managing Director: Guillaume Jolivet. contact Scope Ratings GmbH at Lennéstraße 5 D-10785 Berlin. Scope Ratings GmbH, Lennéstraße 5, 10785 Berlin, District Court for Berlin (Charlottenburg) HRB 192993 B, Managing Director: Guillaume Jolivet. contact Scope Ratings GmbH at Lennéstraße 5 D-10785 Berlin. Scope Ratings GmbH, Lennéstraße 5, 10785 Berlin, District Court for Berlin (Charlottenburg) HRB 192993 B, Managing Director: Guillaume Jolivet.

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