OREANDA-NEWS. 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.