Fitch Ratings has upgraded the ratings assigned to the asset-backed commercial paper (ABCP) and Euro-denominated asset-backed commercial paper (ECP) (collectively ABCP) issued by Versailles Commercial Paper, LLC (Versailles CP) to 'F1+sf' from 'F1sf'.

The upgrade corrects an error in the application of Natixis' short-term preferred debt rating (F1+) to the ABCP and ECP at the time of the last review on Dec. 16, 2022.

Fitch's ABCP criteria was updated on Feb. 28, 2022 such that Fitch's short-term senior debt rating or other senior ratings (where assigned) of the liquidity, credit enhancement (CE) and/or other support contract provider became the most appropriate rating to use to assign ratings to the ABCP benefiting from such support. Prior to the update of the ABCP criteria, the short-term ratings assigned to ABCP were linked to the Short-Term Issuer Default Rating (IDR) of the related support provider. This rating upgrade to the ABCP and ECP issued by Versailles CP reflects the transition from the application of the Short-Term IDR to the short-term senior debt rating of the support provider as stipulated in the ABCP criteria report.

In Fitch's view, the short-term senior debt rating of the support provider or DCR, where assigned, provides the best indication of that entity's likelihood to honor senior obligations, including liquidity and CE commitments to ABCP issuers. The commitment of the support provider is expected to rank equally to its senior debt obligations, which can be rated above the IDR if certain conditions are met, as further explained under Fitch's Bank Rating methodology.

RATING ACTIONS

Entity / Debt

Rating

Prior

Versailles Commercial Paper LLC

ABCP

ST

F1+sf

Upgrade

F1sf

ECP

ST

F1+sf

Upgrade

F1sf

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of 1

VIEW ADDITIONAL RATING DETAILS

Transaction Summary

Versailles CP's ABCP is a fully supported program with program wide liquidity sized to cover 102% of ABCP outstanding and a credit asset purchase agreement (CAPA) sized to cover all credit risks associated with the related portfolio. Both the liquidity facility and the CAPA are provided by Natixis New York Branch (Natixis or NNYB; A+/Negative/F1/AA-(dcr)).

KEY RATING DRIVERS

Support Provider Credit Quality: ABCP issued by Versailles Assets benefits from program-wide committed liquidity support provided by NNYB in the form of a liquidity loan agreement (LLA) sized to cover 100% of the outstanding balance each asset funded by Versailles CP plus interest/discount to maturity on the related ABCP. This ensures timely payment to Versailles Assets' sole noteholder, Versailles CP.

NNYB also provides program-wide credit enhancement (PWCE) to Versailles CP in the form of a CAPA to cover 100% of defaulted assets. The combination of the support under the LLA and the support under the CAPA render Versailles CP to be fully supported by its sole support provider, Natixis.

Sponsor/Administrative Agent Capabilities: NNYB serves as Versailles CP's program administrator and has managed the program since its inception in June 2006. Fitch considers NNYB to be an effective program administrator based on its conduit management, treasury operations and administration, and credit risk management capabilities. NNYB's administrative capabilities support the assigned rating.

RATING SENSITIVITIES

Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade

Direct Linkage to Liquidity and Credit Support Counterparty Ratings: Versailles is a fully supported ABCP program. The 'F1+sf' rating of Versailles' ABCP is linked to the senior preferred debt of Natixis, based on its roles as liquidity and credit support provider. Any change to Natixis' short-term preferred debt rating will be reflected in the ratings assigned to Versailles' ABCP and Euro CP unless remedial actions are taken to replace or support Natixis' commitments as liquidity and PWCE provider.

Sponsor/Administrator Capabilities: Fitch's rating analysis also reflects NNYB's administrative capabilities and track record as the program administrator. Fitch conducted an operational review of NNYB in connection with its responsibilities as administrator and will do so periodically or as warranted by certain events. These reviews entail discussions with senior management as well as operational reviews covering CP issuance, IT administration systems, administrative and credit policies, and portfolio composition. An on-site review does not constitute due diligence. Fitch relies on the accuracy of data it is provided. Material deterioration in the managerial/administrative capabilities could result in negative rating actions; however, ratings will not be upgraded due to increased managerial/administrative capabilities.

A downgrade of one category to the short-term senior debt rating of Natixis would result in a downgrade to Natixis' ABCP to 'F1sf';

A downgrade of two categories to the short-term senior debt rating of Natixis would result in a downgrade to Natixis' ABCP to 'F2sf'.

Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade

The senior debt rating of Natixis is at the highest rating category and therefore the CP rating cannot be upgraded further.

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10

Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING

The principal sources of information used in the analysis are described in the Applicable Criteria.

PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS

The rating of the ABCP issued by Versailles CP is directly linked to the senior preferred debt ratings of Natixis S.A., the liquidity and PWCE provider. A change in Fitch's assessment of the short-term credit quality of Natixis S.A.'s senior preferred debt and DCR would automatically result in a change in the rating on the ABCP issued by Versailles CP. Any change in Fitch's view on the contract of the LLA or the CAPA or any related contracts or deterioration on the credit quality of the counterparties may result in a downgrade of the ABCP.

Additional information is available on www.fitchratings.com

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