New York, October 15, 2021 -- Moody's Investors Service (Moody's) has assigned a Aa3 enhanced rating
to Custodial Receipts (Deutsche Bank), Custodial Receipts,
Series 2021-XL0189 (the Receipts) evidencing beneficial ownership
of Metropolitan Nashville Airport Authority Subordinate Airport Revenue
Bonds, Series 2019B (AMT) (the Bonds).
RATINGS RATIONALE
The rating is based upon joint default analysis (JDA), which reflects
Moody's approach to rating jointly supported transactions. The
JDA rating is based on the long-term Counterparty Risk (CR) Assessment
A2(cr) of Deutsche Bank AG (the Bank) as provider of the standby Letter
of Credit (LOC), the underlying rating of the Bonds, and the
structure and legal protections of the transaction which provide for timely
payment of debt service to the Custodial Receipts holders. Moody's
underlying rating on the Bonds is A2.
Since a payment default on the Custodial Receipts would occur only if
both the Bank and the obligor of the Bonds default on bond principal and
interest payment dates, Moody's has assigned the rating based upon
the joint probability of default by both parties. In determining
the joint probability of default, Moody's considers the level of
default dependence between the support provider and the obligor.
In this case, Moody's has determined that there is a low level of
default dependence between the Bank and the obligor which results in a
long-term JDA rating of Aa3 on the Receipts.
FACTORS THAT COULD LEAD TO AN UPGRADE OF THE RATING
• Moody's upgrades either the long-term CR Assessment of the
Bank or the long-term underlying rating of the Bonds.
FACTORS THAT COULD LEAD TO A DOWNGRADE OF THE RATING
• Moody's downgrades either the long-term CR Assessment of
the Bank or the long-term underlying rating of the Bonds.
• Moody's determines that the default dependence between the obligor
and the Bank increased.
The Custodial Receipts pay interest on the same date on which interest
is paid on the Bonds in an amount equal to the interest paid on the Bonds
minus applicable fees, if any. The LOC covers amounts due
on the Custodial Receipts on any bond payment date to the extent that
such amounts are not received by the custodian from the Bonds.
The LOC provider is also obligated to pay principal and interest due on
the Custodial Receipts upon any optional redemption of the Custodial Receipts
if there is any shortfall in the amount due on the Custodial Receipts
from the proceeds of the sale of the Bonds.
Payments to Custodial Receipt holders are first paid from the Bonds.
In the event of a bankruptcy filing of the obligor of the Bonds,
the custodian shall draw on the LOC for an amount equal to the amount
of principal and/or interest paid by the obligor on the bonds during the
124 day period prior to such filing. Such amounts shall be held
by the custodian in the preference account and shall be available for
payment to the Custodial Receipt holders in the event any payments made
to holders are subsequently avoided as preference payments.
The amounts advanced to cover potential preference will be held until
the Preference Period Expiration Date which shall be the earlier of (i)
the date on which an order is received that payments to the Custodial
Receipt holders must be returned as a result of the bankruptcy proceeding
in which case the custodian shall pay over from the preference account
to the Custodial Receipt holders an amount equal to any payments of principal
and interest on the Bonds that have been returned; or (ii) the date
on which notice has been received by the custodian that such bankruptcy
proceeding is closed or dismissed and such dismissal or closure cannot
be appealed in which case the funds in the preference account shall be
returned to the Bank. In the event that the custodian receives
an order that payments to the Custodial Receipt holders must be returned
as a result of the bankruptcy proceeding and the funds deposited to the
preference account are less than the amount required to be paid to the
Custodial Receipt holders representing the payments of principal and interest
on the Bonds that have been avoided as a pre-bankruptcy transfer,
the custodian shall draw on the LOC for an amount equal to such difference
(Preference Account Shortfall) for deposit to the preference account.
In addition upon any optional redemption of the Custodial Receipts,
redemption of the Bonds or withdrawal of the Bonds, the custodian
is directed to draw on the LOC for an amount equal to the amount of principal
and/or interest paid by the obligor on the Bonds during the 124 day period
prior to such optional redemption, redemption or withdrawal.
Such amounts shall be held by the Custodian in the holdback account and
shall be available for payment to the Custodial Receipt holders in the
event any payments made to holders are subsequently avoided as preference
payments.
The amounts held in the holdback account to cover potential preference
will be held until the earlier of (i) the date on which an order is received
that payments to the Custodial Receipt holders must be returned as a result
of the bankruptcy proceeding in which case the custodian shall transfer
from the holdback account to the preference account for payment to the
Custodial Receipt holders an amount equal to amount returned; or
(ii) the first business day that is at least 125 days after such Custody
Receipt optional redemption date, bond redemption date or bond withdrawal
date at which time the custodian shall return funds held in the holdback
account to the Bank.
The LOC is sized for the full principal amount of the Bonds plus 309 days
of interest at the Bond rate, which will provide sufficient principal
and interest coverage for the Custodial Receipts Requests for funds made
by 9:45 a.m. (New York City time) by the custodian
under the LOC on any business day shall be paid by the LOC provider by
12:30 p.m. (New York City time) on such business day.
The Final Expiration Date of the LOC is the earliest of: (i) the
fifth business day after the Preference Period Expiration Date; or
(ii) the date that is 125 days following the Optional Redemption Date.
The scheduled expiration date of the LOC is September 15, 2022,
provided the obligation of the LOC provider to fund any Preference Account
Shortfall shall extend to the Final Expiration Date. In addition,
the scheduled expiration date shall be automatically extended for a period
of 364 days from its current date in the event that the optional redemption
scheduled for the fifth business day prior to the scheduled expiration
date does not take place.
Substitution of the LOC is permitted at any time provided that the depositor
provides the custodian with written notice from each rating agency then
rating the Custodial Receipts that such substitute credit enhancement
shall not result in the reduction or withdrawal of the then current ratings
on the Custodial Receipts.
The Custodial Receipts are subject to optional redemption upon each of
the following: (i) the fifth business day prior to the scheduled
expiration date of the LOC; (ii) the fifth business day following
payment of any principal or interest shortfall by the LOC provider;
and (iii) the fifth business day after the business day on which the custodian
obtains knowledge of a bond issuer act of bankruptcy.
On any optional redemption date, if the Bank fails to pay the optional
redemption then such optional redemption shall be canceled and the LOC
shall remain in effect. The Custodial Receipts will remain outstanding
supported by the underlying Bonds and the LOC. The Custodial Receipts
are subject to redemption upon redemption of the Bonds.
The principal methodology used in this rating was Tender Option Bonds
and Related Instruments published in February 2018 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBM_1088098.
An additional methodology used in this rating was Rating Transactions
Based on the Credit Substitution Approach: Letter of Credit-backed,
Insured and Guaranteed Debts published in May 2017 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1068154.
Alternatively, please see the Rating Methodologies page on www.moodys.com
for a copy of these methodologies.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and sensitivity
analysis, see the sections Methodology Assumptions and Sensitivity
to Assumptions in the disclosure form. Moody's Rating Symbols and
Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.
For ratings issued on a program, series, category/class of
debt or security this announcement provides certain regulatory disclosures
in relation to each rating of a subsequently issued bond or note of the
same series, category/class of debt, security or pursuant
to a program for which the ratings are derived exclusively from existing
ratings in accordance with Moody's rating practices. For ratings
issued on a support provider, this announcement provides certain
regulatory disclosures in relation to the credit rating action on the
support provider and in relation to each particular credit rating action
for securities that derive their credit ratings from the support provider's
credit rating. For provisional ratings, this announcement
provides certain regulatory disclosures in relation to the provisional
rating assigned, and in relation to a definitive rating that may
be assigned subsequent to the final issuance of the debt, in each
case where the transaction structure and terms have not changed prior
to the assignment of the definitive rating in a manner that would have
affected the rating. For further information please see the ratings
tab on the issuer/entity page for the respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this credit rating action,
and whose ratings may change as a result of this credit rating action,
the associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Moody's general principles for assessing environmental, social
and governance (ESG) risks in our credit analysis can be found at http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1288435.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Randy Matlosz
Analyst
Public Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Michael J. Loughlin
Vice President - Senior Analyst
Public Finance Group
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653