Fitch Withdraws Versailles CAPA Rating

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has downgraded the rating for Versailles Commercial Paper LLC's Credit Asset Purchase Agreement (CAPA) to 'BBsf' from 'BBB-sf'. Fitch is withdrawing the rating as it is no longer considered relevant to the agency's coverage because due to a lack of market interest.

KEY RATING DRIVERS

The CAPA rating reflects the likelihood of Natixis New York Branch., as the CAPA provider, suffering a loss. Fitch's Portfolio Credit Model is used as a tool in maintaining the rating. Exposures to the CAPA are inputted 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. Under the March 2016 version of the model, the CAPA rating implied by the PCM output is consistent with a 'BBsf'.

RATING SENSITIVITIES

The Fitch Portfolio Credit Model (PCM), a Monte Carlo simulation model, simulates the default behavior of individual assets in credit portfolio. PCM is sensitive to default probabilities and recovery rates as well as the correlation between assets in a portfolio.

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

Global Structured Finance Rating Criteria (pub. 06 Jul 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952

Additional Disclosures

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1001458

Endorsement Policy

https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

View source version on businesswire.com: http://www.businesswire.com/news/home/20160324005769/en/

Fitch Ratings
Primary Analyst
Brian Perry
Associate Director
+1-212-908-9142
or
Committee Chairperson
Kevin Corrigan
Senior Director
+1-212-908-9156
or
Media Relations:
Sandro Scenga, New York, +1 212-908-0278
Email: [email protected]

Source: Fitch Ratings

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