Morningstar DBRS Confirms Credit Ratings on Versailles Assets LLC and Versailles Commercial Paper LLC

DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on the 4(2) Commercial Paper from Versailles Assets LLC and Versailles Commercial Paper LLC at R-1 (middle) (sf).

The rating actions are based on the following analytical considerations:

-- The legal construct of the asset-backed commercial paper (ABCP) conduits.

-- The bankruptcy remote structure of the Versailles conduits.

-- The counterparty ratings of the support providers are at least as high as the rated ABCP issued.

-- The Transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns September 2024 Update," published on September 25, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (August 13, 2024) https://dbrs.morningstar.com/research/437781.

Notes:
The principal methodology applicable to the credit ratings is Rating and Monitoring Asset-Backed Commercial Paper: U.S. ABCP Conduits (January 22, 2024) https://dbrs.morningstar.com/research/426900.

Other methodologies referenced in these transactions are listed at the end of this press release.

The credit ratings were initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for these credit rating actions.

Morningstar DBRS had access to the accounts, management and other relevant internal documents of the rated entity or its related entities in connection with these credit rating actions.

These are solicited credit ratings.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the credit rating process.

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The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

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https://dbrs.morningstar.com/research/428623

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https://dbrs.morningstar.com/research/441840

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https://dbrs.morningstar.com/research/441883

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.