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
The upgrade corrects an error in the application of
Fitch's ABCP criteria was updated on
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
ABCP
ST
F1+sf
Upgrade
F1sf
ECP
ST
F1+sf
Upgrade
F1sf
Page
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 (
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,
Sponsor/Administrative Agent Capabilities: NNYB serves as Versailles CP's program administrator and has managed the program since its inception in
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade
Direct Linkage to Liquidity and Credit Support Counterparty Ratings:
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
A downgrade of two categories to the short-term senior debt rating of
Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade
The senior debt rating of
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
Additional information is available on www.fitchratings.com
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