The current asset portfolio rating for GAM Greensill Supply Chain Finance Fund SCSP is AA_AP (click here for the rating accouncement).

The fund has continued to comply with its strong investment criteria, and no defaults have occurred since the fund’s inception. As of the 31 March 2020 cut-off date, the portfolio weighted average of investment grade obligors (BBB- minimum) and program insurers (A minimum) were comfortably above their respective minimum thresholds. Increased insurer diversification relative to portfolio coverage is also positive. Obligor names and insurers have seen limited change year-over-year, demonstrating consistency and reliable sourcing for the portfolio. However, in the current macro environment due to COVID-19, stand-alone obligor and insurer credit quality coupled with default correlation uncertainty warrants careful observation of the portfolio going forward. A positive development in the midst of the current macro-environment is the European Commission’s recent approval of a German guarantee scheme for trade credit insurance, which provides a strong backstop for the fund through 2020.

The open-ended fund is comprised of short-dated supply chain financing receivables from investment grade obligors. Non-payment from an obligor is insured from an insurer with at least an A rating. Greensill, a specialist in supply chain finance, originates the receivables, which limits risk to the obligor’s level of credit risk until the final payment of the associated invoice. Incentive to pay suppliers also underscores an element of protection, as obligors may prioritise operations ahead of other obligations in downside scenarios such as administration or recessionary periods. In the case of the latter, Scope accounts for default correlation between obligors and insurers.

Scope will continue to monitor GAM Greensill Supply Chain Finance Fund SCSP on an ongoing basis. Ratings and research are freely available at www.scoperatings.com.