DBRS Morningstar Confirms Ratings on Two Liquidity Loan Agreements Related to Versailles Assets LLC

DBRS, Inc. (DBRS Morningstar) confirmed its ratings of AA (sf) on two Liquidity Loan Agreements (LLAs) related to subscription loan transactions issued by Versailles Assets LLC.

RATING RATIONALE

The rating actions are a result of the transactions’ annual surveillance reviews. The rating rationale for the confirmation of the LLAs for each transaction is that the current transaction performance is within DBRS Morningstar’s expectations.

In its analysis, DBRS Morningstar considered the following aspects of the transactions:

(1) The transaction’s capital structure and the form and sufficiency of available credit enhancement.
(2) The ability of the LLAs to withstand projected collateral loss rates under cash flow stress scenarios.

The subscription facilities are secured by the capital calls, capital commitments and capital contributions of the Investors under the Borrower’s Partnership Agreement. The facilities have a 90% advance rate against the commitment of the Institutional LPs after concentration limits, and 65% against HNWI.

Considering the transaction performance, its legal aspects, and the results produced by the models , DBRS Morningstar confirmed its ratings of AA (sf) on the LLAs issued by Versailles Assets LLC – FCOIII and Versailles Assets LLC - GSPAsia.

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 2022 Update”, published on September 19, 2022 (https://www.dbrsmorningstar.com/research/402907). These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020.

There were no Environmental/ Social/ Governance factor(s) 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/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings (May 17, 2022).

Notes:
The principal methodology is Rating and Monitoring Subscription Loans (Capital Call) (April 8, 2022), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

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 rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

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