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.

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. Scope considers all available and relevant information when undertaking the monitoring review.

Monitoring reviews are conducted by performing a peer comparison, benchmarking against the rating-change drivers, and/or reviewing the credit ratings’ performance over time, as deemed appropriate by the Lead Analyst or 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 9 May 2024.

Class A (ISIN FR0014000GV7), EUR 2,383.40m: AAA_SF

Class B (ISIN FR0014000HW3), EUR 691.87m: not rated

Residual units (ISIN QS000212MI63), EUR 0.09m: not rated

FCT Bpifrance SME 2020-1 is a revolving cash securitisation consisting of loans granted to SMEs in France by Bpifrance Financement. The review was conducted based on available investor reports reflecting performance up to March 2024.

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 connected with this monitoring note along with the associated rating history can be found on www.scoperatings.com.

Key rating factors

The transaction is in its revolving phase and none of the early amortisation triggers have been breached since closing. The current securitised portfolio satisfies all the asset-level and portfolio-level covenants. The average delinquency ratio is 0.71% and cumulative defaults are 4.02% - each below their respective trigger levels of 4.0% and 8.1% (since August 2023). Bpifrance has fully repurchased all defaulted positions. The class A notes continue to benefit from robust credit enhancement (22.7%), provided by subordination and the liquidity reserve. All transaction counterparties continue to support the rating.

The methodologies applicable for the reviewed rating (General Structured Finance Rating Methodology, 6 March 2024; SME ABS Rating Methodology, 16 May 2023; Counterparty Risk Methodology, 13 July 2023) are available on https://scoperatings.com/governance-and-policies/rating-governance/methodologies.
This monitoring note is issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0.
Lead analyst Leonardo Scavo, Senior Specialist

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