Fitch Affirms Versailles Commercial Paper LLC

Fitch Ratings has affirmed the 'BBB-sf' rating for Versailles Commercial Paper LLC's Credit Asset Purchase Agreement (CAPA).

The rating reflects the likelihood of Natixis Financial Products Inc., as the CAPA provider, suffering a loss. Fitch's PCM model is used as a primary analytical tool to maintain the rating. Each exposure to the CAPA is input into the model to simulate a default of the credit exposures in the portfolio, taking into account each exposure's estimated default probability and correlation.

KEY RATING DRIVERS

The rating is based on the 10% program-wide credit enhancement and 102% liquidity support provided by Natixis, the credit quality of the assets purchased by Versailles, the managerial capabilities of Natixis, and the program's legal structure.

RATING SENSITIVITIES

Per Fitch's 'Global Rating Criteria for Asset Backed Commercial Paper' (published October 2014), Natixis's rating, as liquidity provider, is a key element in determining the rating of the ABCP (asset-backed commercial paper) benefiting from its support. Given the contractual and practical relationships between conduits and the entities that provide liquidity and credit support to them (typically the sponsoring financial institution), ABCP will have short-term credit ratings not higher than the ratings of the liquidity and credit support providers. Therefore, ABCP ratings are most sensitive to changes to them. This is the case for the ratings Fitch assigns to the notes issued by both fully and partially supported conduits. Fitch's initial rating analysis as well as its surveillance process for partially supported programs involves a review of the sponsoring/administrating entity's ability to underwrite, structure, and actively manage transactions such that the support afforded them is adequate given the transactions' credit risk.

Additional information is available at 'www.fitchratings.com'.

Individual Representations, Warranties, and Enforcement Mechanisms reports are available for all ABCP programs initially rated on or after Sept. 26, 2011 at 'www.fitchratings.com'.

Applicable Criteria and Related Research:

--'Global Rating Criteria for Asset-Backed Commercial Paper' dated Oct. 30, 2014;

--'Counterparty Criteria for Structured Finance and Covered Bonds' dated May 14, 2014;

--'Global Structured Finance Rating Criteria' dated Aug. 4, 2014.

Applicable Criteria and Related Research:

Global Rating Criteria for Asset-Backed Commercial Paper

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=797648

Counterparty Criteria for Structured Finance and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=981823

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