Scope’s announcement addresses the credit impact of the proposed changes to the transaction, namely, amongst others, the EUR 1.46bn purchase of additional SME loans financed by an increase of the nominal value of outstanding notes, and the extension of the revolving period by an additional year, up to 27 November 2023.

The outstanding value of the upsized portfolio is EUR 3.46bn, while credit enhancement provided to the Class A has tightened from 22.8% to 20.2%, following the increase of the nominal value of both classes, and the reserve fund, as described below:

• Class A (ISIN FR0013452117), increased from EUR 1,550.9m to EUR 2,769.9m.
   
• Class B (ISIN FR0013454212), increased from EUR 450.3m to EUR 692.4m.
   
• Reserve fund, increased from EUR 7.1m to EUR 9m.

Transactions documents have been amended to reflect the changes described above. Other amendments include the tightening of the cumulative default early-amortisation trigger to 2.8% until October 2022, and 4.1% until October 2023, as well as the modification of some existing loan and portfolio eligibility criteria.

The amendments relative were signed on 19 October 2021, and became effective on 25 October 2021.

Scope’s analysis only covers the credit impact associated with the amendments described above. Scope Ratings has not addressed other non-credit related effects that may be relevant for investors and/or counterparties when assessing the impact of said amendments.

This announcement does not constitute a rating action nor indicates 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 on www.scoperatings.com.