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

DBRS, Inc. (DBRS Morningstar) confirmed its credit ratings on the 4(2) Commercial Paper from Versailles Assets LLC and Versailles Commercial Paper LLC at R-1 (middle) (sf).

The rating actions are based on the following 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 - September 2023 Update, published on September 28, 2023. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020.

-- The legal construct of the asset-backed commercial paper (ABCP) conduits.

-- The bankruptcy remote structure of the Versailles conduits.

-- The counterparty ratings of the support providers are at least as high as the rated ABCP issued.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

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/416784 (July 4, 2023).

Notes:
The principal methodology applicable to the credit rating is Rating and Monitoring Asset-Backed Commercial Paper: U.S. ABCP Conduits (https://www.dbrsmorningstar.com/research/408759) (January 24, 2023).

Other methodologies referenced in this transaction are listed at the end of this press release.

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 credit rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for this credit rating action.

DBRS Morningstar had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action.

This is a solicited credit rating.

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

DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA
Tel. +1 212 806-3277

The credit rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

Operational Risk Assessment for U.S. ABS Servicers (July 20, 2023), https://www.dbrsmorningstar.com/research/417415

Operational Risk Assessment for U.S. ABS Originators (July 20, 2023), https://www.dbrsmorningstar.com/research/417416

Interest Rate Stresses for U.S. Structured Finance Transactions (June 9, 2023),
https://www.dbrsmorningstar.com/research/415687

Legal Criteria for U.S. Structured Finance (December 7, 2022),
https://www.dbrsmorningstar.com/research/407008

Rating U.S. Structured Finance Transactions (October 30, 2023),
https://www.dbrsmorningstar.com/research/422592

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