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Custodial Receipts (Barclays), Custodial Receipts, Series 2016-XM0278 -- Moody's upgrades credit enhanced Custodial Receipts (Barclays), Series 2016-XM0278 to Aa1

·12 mins read

Rating Action: Moody's upgrades credit enhanced Custodial Receipts (Barclays), Series 2016-XM0278 to Aa1

Global Credit Research - 02 Sep 2020

New York, September 02, 2020 -- Moody's Investors Service (Moody's) has upgraded to Aa1 from Aa2 the credit enhanced rating of Custodial Receipts (Barclays), Custodial Receipts, Series 2016-XM0278 (the Receipts).

RATINGS RATIONALE

Moody's reviewed the joint support rating of the Receipts following Moody's upgrade of the underlying rating of the bonds, Allegheny County Sanitary Authority, PA Sewer Revenue Bonds, Series of 2015 (the Bonds) to Aa3 from A1 on August 27, 2020. For more information on that rating action please see the press release published on such date.

The rating is based upon joint default analysis (JDA) which reflects Moody's approach to rating jointly supported transactions. The JDA ratings are based on the long-term Counterparty Risk (CR) Assessment of Barclays Bank PLC (the Bank), A1(cr), as provider of the letter of credit, the underlying rating of the bonds, and the structure and legal protections of the transaction which provide for timely payment of debt service to Receipts holders. Moody's long-term rating on the Bonds is Aa3.

Since a payment default on the 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 Bank and the obligor of the Bonds. In this case, Moody's has determined that there is a low level of default dependence between the Bank and the obligor of the bonds which results in a long-term JDA rating of Aa1 on the Custodial 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's pledge of revenues and the Bank increased.

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 https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1133569.

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 Jacek Stolarz Asst Vice President - 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

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