Fitch Rates Tender Option Bond Series Trusts 2021-XM0935

Reuters · 03/16/2021 13:18

(The following statement was released by the rating agency)

Fitch Ratings-New York-16 March 2021:

Fitch Ratings has assigned the following ratings to the puttable floating rate receipts (floater receipts) and inverse floating rate receipts (residual receipts) of the tender option bond trust series listed below:

--Floater receipts series 2021-XM0935 - 'A-'/'F1', Negative Outlook; residual receipts series 2021-XM0935 - 'A-', Negative Outlook.

KEY RATING DRIVERS

The long-term 'A-', Negative Outlook ratings assigned to the series 2021-XM0935 floater and residual receipts are based on the rating that Fitch has assigned to Metropolitan Transportation Authority transportation revenue green bonds, subseries 2020C-1 (climate bond federally tax exempt) that have been deposited in the 2021-XM0935 trust.

The short-term 'F1' rating assigned to the series 2021-XM0935 floater receipts is based on a liquidity facility provided by JPMorgan Chase Bank, N.A. (AA/F1+/Negative). While JPMorgan Chase Bank, N.A. has a short-term rating of 'F1+' the short-term rating that can be assigned to the floater receipts is limited to 'F1' by the long-term 'A-'/Negative Outlook rating assigned to the bonds deposited in the trust. The JPMorgan Chase Bank liquidity facility has a stated expiration date of March 15, 2022, unless extended or earlier terminated.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to positive rating action/upgrade:

--The short-term rating assigned to the series 2021-XM0935 is limited to 'F1'due to the 'A-'/Negative Outlook long-term rating assigned to the bonds deposited in the trust and will reflect all changes to the rating of the underlying bonds.

--The long-term ratings assigned to the floater receipts and residual receipts are exclusively tied to the creditworthiness of the underlying bonds deposited in the trust and will reflect all changes to such ratings.

Factors that could, individually or collectively, lead to negative rating action/downgrade:

--The short-term rating assigned to the floater receipts will be adjusted downward in conjunction with the short-term rating of the bank, and, in some cases, the long-term rating of the underlying bonds deposited in the trust.

Best/Worst Case Rating Scenario

International scale credit ratings of Sovereigns, Public Finance and Infrastructure issuers have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of three notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of three notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are based on historical performance. For more information about the methodology used to determine sector-specific best- and worst-case scenario credit ratings, visit [https://www.fitchratings.com/site/re/10111579].

ESG Considerations

Fitch does not provide separate ESG scores for Metropolitan Transportation Authority transportation revenue green bonds, subseries 2020C-1 (climate bond certified -federally tax exempt) as the long-term rating and ESG profile are derived from the Metropolitan Transportation Authority. ESG scores and commentary can be found here: https://www.fitchratings.com/research/us-public-finance/fitch-rates-mta-ny-transportation-rev-bonds-a-outlook-negative-02-02-2021

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria.
PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS

The short-term 'F1' rating is based on the liquidity agreement provided by JPMorgan Chase Bank, N.A.

Contacts:
Primary Rating Analyst
Linda Friedman,
Director
+1 212 908 0727
Fitch Ratings, Inc.
Hearst Tower 300 W. 57th Street
New York, NY 10019

Secondary Rating Analyst
Ronald McGovern,
Director
+1 212 908 0513

Committee Chairperson
Mario Civico,
Director
+1 212 908 0796

Media Relations: Sandro Scenga, New York, Tel: +1 212 908 0278, Email: sandro.scenga@thefitchgroup.com

Additional information is available on www.fitchratings.com
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