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 from 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 baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns December 2021 Update, published on December 9, 2021. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. The baseline macroeconomic scenarios reflect the view that recent COVID-19 developments, particularly the new Omicron variant with subsequent restrictions, combined with rising inflation pressures in some regions, may dampen near-term growth expectations in coming months. However, DBRS Morningstar expects the baseline projections will continue to point to an ongoing, gradual recovery.

-- 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.

ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

Notes:
The principal methodology is Rating and Monitoring Asset-Backed Commercial Paper: U.S. ABCP Conduits (January 21, 2021), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482.

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.

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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