DBRS Morningstar Confirms Ratings on Versailles Assets LLC and Versailles Commercial Paper LLC

DBRS, Inc. (DBRS Morningstar) confirmed the ratings on the 4(2) Commercial Paper of Versailles Assets LLC and Versailles Commercial Paper LLC (the CP Programs) at R-1 (middle) (sf), pursuant to a review of annual performance data. Versailles Assets LLC and Versailles Commercial Paper LLC are asset-backed commercial paper (ABCP) conduits administered by Natixis Financial Products LLC (Natixis).

The rating confirmations reflect the following key analytical considerations:

-- The transaction assumptions consider DBRS Morningstar’s set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19) pandemic, available in its commentary “Global Macroeconomic Scenarios: December Update,” published on December 2, 2020. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, which have been regularly updated. The scenarios were last updated on December 2, 2020, and are reflected in DBRS Morningstar’s rating analysis.

-- Given the nature of the credit support within this ABCP conduit, the coronavirus pandemic has limited impact. DBRS Morningstar does not believe that additional stresses are warranted in the analysis at this time.

-- The support provided by Natixis for the Liquidity Agreements for each transaction.

-- The support from the Credit Asset Purchase Agreement that provides program-wide credit enhancement for the CP Programs, which covers any losses that may occur after the liquidity funds.

-- The legal construct of the ABCP conduits.

-- The rating on Natixis S.A.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.

Notes:
The principal methodology is Rating and Monitoring Asset-Backed Commercial Paper: U.S. ABCP Conduits (February 5, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

For more information regarding the structured finance rating approach and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/359905.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

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