Rating action

Scope Ratings GmbH (Scope) has assigned the following rating on the instruments:

Class A (ISIN: FR0014010EX7), EUR 11,200,000,000, fixed rate notes: new rating of AAA_SF

Class B (ISIN: FR0014010EB3), EUR 2,800,000,000, fixed rate notes: not rated

Units (ISIN: QS000212W3J8), EUR 300, asset backed units: not rated

Transaction overview

The transaction is a highly granular, 30-month revolving securitisation of loan receivables originated by BNP Paribas S.A. (‘BNPP’) to individual entrepreneurs and private companies located in France and both qualifying as small and medium enterprises (‘SMEs’). As of the cut-off date of 31 May 2025, the underlying portfolio consists of 119,836 predominantly monthly-paying, French-amortising SME loan receivables contracts granted to 80,213 borrowers in metropolitan France and Corsica. The underlying contracts finance the purchase of new plant and equipment (52%), other expansionary purpose (32%), refurbishment of existing plant, equipment or technology (8%), merger and acquisition (4%) and working capital (4%). The portfolio’s weighted-average seasoning and remaining time to maturity are 40 months (3.3 years) and 96.2 months (8.0 years), respectively.

The main structural features are: i) an initial level of credit enhancement from subordination of 20.0% for the class A notes; ii) an excess spread of 1.06%, measured as the difference between the portfolio’s assumed yield and the assumed senior costs and class A notes’ interest; iii) separate waterfalls during the pre-enforcement period for interest and principal; iv) a principal deficiency cover mechanism; v) principal redirection to cover revenue shortfall; and vi) a liquidity reserve to be funded at closing date by BNPP and covering 0.5% of the rated notes’ initial principal balance.

The noteholders are exposed to the following key counterparties: i) BNPP as originator, seller, servicer and cash manager; ii) BNPP acting through its Securities Services business as issuer account bank, paying agent, custodian and data protection agent; and iii) France Titrisation as management company of the issuer.

Rating rationale

The class A notes’ assigned rating reflects the base case quantitative results. Counterparty risk is immaterial, relative to the assigned rating level. One or more key drivers of the credit rating action are considered an ESG factor.

Key rating drivers:

Very granular portfolio (positive)^1,3. The underlying portfolio is highly granular. Portfolio covenants and eligibility criteria ensure that no material obligor concentration can build up during the revolving period.

Experienced originator (positive)^1,2. BNPP is a major player on the French SME financing market with decades of experience. Its business benefits from seasoned processes, adequate governance, experienced staff and a good use of technology to automate, standardise and support credit decisions (ESG factor).

Protective selection criteria (positive)¹. The SME loan receivables must comply with both individual and portfolio eligibility criteria upon their inclusion into the securitised portfolio. These criteria include a limit on individual and weighted-average borrower’s annual probability of default based on BNPP’s closely monitored internal metrics, and a minimum weighted-average portfolio interest rate, which prevents an excessive reduction of the transaction’s available excess spread.

Revolving period (negative)^1,2. The transaction features an up to 30-month revolving period, during which the portfolio’s credit quality could deteriorate. However, such potential adverse portfolio composition change is partially mitigated by asset and portfolio eligibility criteria, and early amortisation triggers.

Counterparty concentration (negative)^1,5. BNPP plays several important roles in the transaction such as originator, servicer, and issuer account bank. This risk is mitigated by BNP Paribas, S.A.’s high credit quality, replacement provisions upon loss of a minimum required rating, early amortisation triggers, and the presence of several reserves.

Macro-economic environment (negative)^1,4. As illustrated by the increasing number of bankruptcies, the French SME sector has been severely impacted by the wind down of the pandemic-era emergency support measures. The transaction’s structural features, including subordination, triggers to stop the revolving period, liquidity reserve and available excess spread, protect the rated notes.

Key analytical assumptions:

• The portfolio´s lifetime default rate which follows an inverse gaussian distribution.
   
• Rating-level conditional recovery rates.

The analytical assumptions factor in the historical performance of assets of similar nature to those of the securitised portfolio, considering originator’s performance data or peer transaction benchmarks. They may also reflect qualitative judgments based on various factors, including a) the originator´s credit policies, b) Scope´s macroeconomic expectations, and c) the credit committee´s asset class outlook over the transaction´s lifetime.

Details on these assumptions and other parameters are provided under the section ‘Quantitative analysis’ below.

Key data sources:

The information used to derive the key analytical assumptions are: i) default vintage data from the originator covering the period March 2017 to December 2024; ii) recovery vintage data from the originator covering the period March 2017 to December 2023; iii) dynamic prepayment data from the originator covering the period January 2014 to January 2025; iv) loan-by-loan data; and v) collateral performance data of peer French SME ABS transactions.

Rating-change drivers

A change to the levels or parameters of the transaction’s key analytical assumptions based on observed performance or new data sources, significant changes to the transaction’s collateral and structural features, and a change in Scope’s credit views regarding the transaction’s key rating drivers could impact the ratings.

The sensitivity analysis below provides an indication of the resilience of the credit rating against deviations in key analytical assumptions.

Sensitivity analysis

This analysis is solely intended to illustrate the sensitivity of the credit rating to the assumed parameters and, all else being equal, it does not reflect expected or likely scenarios.

Class A notes

• 50% increase of mean lifetime default rate: minus one notch; and
   
• 50% decrease of recovery rates: zero notches.

Quantitative analysis

This section provides a non-exhaustive list of relevant quantitative parameters:

• Default rate (DR) distribution parameters: cumulative mean DR of 12.09% with a coefficient of variation of 30.2%, implying annualised mean and distressed marginal default rates of 2.7% and 5.7%, respectively, accounting for potential adverse migration during the revolving period.
   
• Rating-level conditional recovery rates: ranging from 65.2% at ‘B’ to 39.1% at ‘AAA’.
   
• Time to recoveries on defaulted assets: 58% at month 12, 21% at month 24, 11% at month 36 and remaining 10% at month 48.
   
• Base case constant prepayment rate: 2.5%.
   
• Senior fees and expenses: 0.5% of non-defaulted pool balance and floored at EUR 200k p.a.

Rating driver references
1. Transaction documents (Confidential)
2. Historical default, recovery and prepayment data (Confidential)
3. Data tape (Confidential)
4. Banque de France monthly business failure report
5. BNPP issuer rating

Stress testing
Stress testing was considered in the quantitative analysis by considering scenarios that stress factors, like defaults and Credit-Rating-adjusted recoveries, contributing to sensitivity of Credit Ratings and consider the likelihood of severe collateral losses or impaired cash flows. The impact on the rated instruments is weighted by the assumptions of the likelihood of the events in such scenarios occurring.

Cash flow analysis
Scope Ratings performed a cash flow analysis of the transaction with the use of Scope Ratings’ Cash Flow Model Master Waterfall Version 1.0 incorporating relevant asset assumptions and taking into account the transaction’s main structural features, such as the instruments’ priority of payments, the instruments’ size and coupons. The outcome of the analysis is an expected loss rate and an expected weighted average life for the instruments based on the generated cash flows.

Methodology
The methodologies used for this Credit Rating (SME ABS Rating Methodology, 16 May 2025; General Structured Finance Rating Methodology, 13 February 2025; Counterparty Risk Methodology, 10 July 2024), are available on https://scoperatings.com/governance-and-policies/rating-governance/methodologies.
The model used for this Credit Rating is (Cash Flow Model Master Waterfall Version 1.0), available in Scope Ratings’ list of models, published under https://scoperatings.com/governance-and-policies/rating-governance/methodologies.
Information on the meaning of each Credit Rating category, including definitions of default, recoveries, Outlooks and Under Review, can be viewed in ‘Rating Definitions – Credit Ratings, Ancillary and Other Services’, published on https://www.scoperatings.com/governance-and-policies/rating-governance/definitions-and-scales. Historical default rates of the entities rated by Scope Ratings can be viewed in the Credit Rating performance report at https://scoperatings.com/governance-and-policies/regulatory/eu-regulation. Also refer to the central platform (CEREP) of the European Securities and Markets Authority (ESMA): http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml. A comprehensive clarification of Scope Ratings’ definitions of default and Credit Rating notations can be found at https://www.scoperatings.com/governance-and-policies/rating-governance/definitions-and-scales. Guidance and information on how environmental, social or governance factors (ESG factors) are incorporated into the Credit Rating can be found in the respective sections of the methodologies or guidance documents provided on https://scoperatings.com/governance-and-policies/rating-governance/methodologies.

Solicitation, key sources and quality of information
The Rated Entity and/or its Related Third Parties participated in the Credit Rating process.
The following substantially material sources of information were used to prepare the Credit Rating: public domain, the Rated Entity, the Rated Entities’ Related Third Parties, third parties and Scope Ratings’ internal sources.
Scope Ratings considers the quality of information available to Scope Ratings on the Rated Entity or instrument to be satisfactory. The information and data supporting the Credit Rating originate from sources Scope Ratings considers to be reliable and accurate. Scope Ratings does not, however, independently verify the reliability and accuracy of the information and data.
Scope Ratings has not received a third-party asset due diligence assessment/asset audit for the transaction. Scope Ratings has performed its own analysis of the data quality, based on information received from the Rated Entity or Related Third Parties, which is not and should be not deemed equivalent to the performance of due diligence or an audit. The internal analysis was considered when preparing the Credit Rating and it has no impact on the Credit Rating.
Prior to the issuance of the Credit Rating action, the Rated Entity was given the opportunity to review the Credit Rating and the principal grounds on which the Credit Rating are based. Following that review, the Credit Rating was not amended before being issued.
 
Regulatory disclosures
The Credit Rating is issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0. The Credit Rating is UK-endorsed.
Lead analyst: Benjamin Bouchet, Senior Director
Person responsible for approval of the Credit Rating: Benoit Vasseur, Managing Director
The Credit Rating was first released by Scope Ratings on 23 June 2025.
 
Potential conflicts
See www.scoperatings.com under Governance & Policies/Regulatory for a list of potential conflicts of interest disclosures related to the issuance of Credit Ratings, as well as a list of Ancillary Services and certain non-Credit Rating Agency services provided to Rated Entities and/or Related Third Parties.

Conditions of use / exclusion of liability
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