DBRS Assigns Ratings to Liquidity Loan Agreements Supporting Versailles Commercial Paper, LLC

DBRS has today assigned the following long-term ratings as of June 30, 2008, to the individual liquidity loan agreements (LLAs) that support commercial paper issued by Versailles Commercial Paper LLC (Versailles), an asset-backed commercial paper (ABCP) vehicle administered by Natixis Financial Products Inc. The rating analysis was performed to verify that the following individual transactions that underlie Versailles provide appropriate levels of credit support consistent with the terms of the respective LLA.

Each LLA was credit assessed individually to a term securitization standard appropriate to the asset class underlying each loan. Key elements of these analyses include the integrity of the individual transaction’s structure, adequate credit enhancement and the transaction’s ability to withstand various cash flow stresses. Where appropriate, a simulation methodology developed by DBRS to analyze diverse asset portfolios was applied to the individual underlying transactions. This analysis uses the DBRS CDO Toolbox simulation model with adjustments to reflect the characteristics of the underlying assets and unique structural considerations of transactions funded by an ABCP conduit. Using this methodology, DBRS determines the rating assessment supported by the enhancement level based on the credit quality of the assets. DBRS models these portfolios based on key inputs such as asset credit quality, asset tenors, correlations and recovery rates.

DBRS will monitor each LLA and its associated individual transaction to reflect changes in credit quality. The rating results will be updated and posted on the DBRS website.

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

Ratings

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