Scope Ratings GmbH (“Scope”) monitors and reviews its credit ratings on an ongoing basis and at least annually, or every six months in the case of sovereigns, sub-sovereigns and supranational organisations, performs a monitoring review.

Scope performs monitoring reviews to determine whether material changes and/or changes in macroeconomic or financial market conditions could have an impact on the credit ratings. As part of the monitoring review, Scope considers all available and relevant information when undertaking the monitoring review.

Monitoring reviews are conducted either by performing a peer comparison, benchmarking against the rating change drivers, and/or a review of the credit ratings` performance over time, as deemed appropriate by the Lead Analyst or the Analytical Team Head, in addition to an assessment of all aspects of the relevant methodology(ies), including key rating assumptions and model(s). Scope publicly announces the completion of each monitoring review on its website.

Scope completed the monitoring review for FCT Bpifrance SME 2020-1 on 22 November 2021. The credit ratings remain as follows:

Class A (ISIN FR0014000GV7), EUR 1,551.7m: AAA_SF

Class B (ISIN FR0014000HW3), EUR 450.5m: not rated

The review took place on 22 November 2021 using transaction data through October 2021, covering three interest payment dates since closing. This monitoring note does not constitute a credit rating action, nor does it indicate the likelihood that Scope will conduct a credit rating action in the short term. Information about the latest credit rating action on the credit ratings of this monitoring note along with the associated rating history can be found on www.scoperatings.com.

FCT Bpifrance SME 2020-1 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 November 25, 2020.

Key rating factors

The Class A notes continue to benefit from robust credit enhancement (22.7%), provided by subordination and the liquidity reserve. Amortisation of the notes is not expected to begin until the conclusion of revolving period (May 2022).

Outstanding delinquencies are 0.24% and cumulative defaults are 0.33% - each below their respective trigger levels of 7.0% and 4.0% during the revolving period. Bpifrance has fully repurchased all defaulted positions.

CREDIT-POSITIVE (+)

Credit enhancement. Class A benefits from 22.7% of credit enhancement resulting from subordination as well as a EUR 4.2m cash reserve. This high level of protection limits the sensitivity of the class A rating to default and recovery rates stresses.

Loan repurchases. Over the first 11 months of the transaction, Bpifrance has systematically exerted its option to repurchase defaulted or rescinded loans.

CREDIT-NEGATIVE (-)

Macro-economic context. The French republic faced 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 will fully run out.

Revolving portfolio. The portfolio’s characteristics and credit quality may migrate during the replenishment period, which will end in May 2022. This risk is mitigated by the originator’s expertise and the adequate single-asset, portfolio and performance covenants in the structure.

The methodologies applicable for the reviewed rating (SME ABS Rating Methodology, published 17 May 2021; Methodology for Counterparty Risk in Structured Finance, published 13 July 2021) 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, Senior Analyst

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