Fitch Maintains 14 New York Tobacco Settlement ABS Tranches on Rating Watch

NEW YORK--()--Fitch Ratings has maintained Rating Watches on 14 tranches of New York tobacco settlement asset-backed securities (ABS) in connection with an ongoing and comprehensive portfolio review of the entire Fitch-rated universe of tobacco bonds.

Fitch has completed or nearly completed the review of transactions from other jurisdictions and will concentrate on the New York portfolio next. Fitch requires additional information to complete its review and resolve the current Rating Watch status assigned to transactions issued by the entities in New York State.

A full list of rating actions follows below.

KEY RATING DRIVERS
The key rating drivers of tobacco settlement ABS transactions are identified in Fitch's U.S. Tobacco Settlement ABS Criteria, dated Oct. 5, 2015 and include master settlement agreement (MSA) payments, the financial strength of U.S. tobacco manufacturers, liquidity risk, and the legal structure of the transaction. In addition, a key rating driver for California transactions is the population adjustment provisions of the MSA, which can impact cash flow to the transaction based upon updated U.S. Census information.

Fitch has taken the following rating actions:

--Nassau County Tobacco Settlement Corporation (New York) 2006, series 2006A-2 senior convertible 'Bsf' maintained on Rating Watch Negative;
--Nassau County Tobacco Settlement Corporation (New York) 2006, series 2006A-3 senior bond 2046 'Bsf' maintained on Rating Watch Negative;
--Nassau County Tobacco Settlement Corporation (New York) 2006, series 2006A-3 senior bonds 'Bsf' maintained on Rating Watch Negative;
--Nassau County Tobacco Settlement Corporation (New York) 2006, series 2006B first sub capital appreciation bonds (CABs) 'B-sf' maintained on Rating Watch Negative;
--Nassau County Tobacco Settlement Corporation (New York) 2006, series 2006C second sub CABs 'B-sf' maintained on Rating Watch Negative;
--Nassau County Tobacco Settlement Corporation (New York) 2006, series 2006D third sub CABs 'B-sf' maintained on Rating Watch Negative;
--New York Counties Tobacco Trust V 2005, S1 2038 turbo CABs 'Bsf' maintained on Rating Watch Negative;
--New York Counties Tobacco Trust V 2005, S2 2050 turbo CABs 'Bsf' maintained on Rating Watch Negative;
--New York Counties Tobacco Trust V 2005, S3 2055 turbo CABs 'Bsf' maintained on Rating Watch Negative;
--Rockland Tobacco Asset Securitization Corporation (RTASC) 2005, A 'B-sf' maintained on Rating Watch Negative;
--Rockland Tobacco Asset Securitization Corporation (RTASC) 2005, B 'B-sf' maintained on Rating Watch Negative;
--Suffolk Tobacco Asset Securitization Corporation series 2008, series 2008D 'Bsf' maintained on Rating Watch Negative.
--Tobacco Settlement Asset Securitization Corporation (TSASC), 1999 Indenture, (New York) 2006-1, series 2034 turbo term bond 'Bsf' maintained on Rating Watch Evolving;
--Tobacco Settlement Asset Securitization Corporation (TSASC),
1999 Indenture, (New York) 2006-1, series 2042 turbo term bond 'Bsf' maintained on Rating Watch Evolving.

RATING SENSITIVITIES

Fitch runs different declines in MSA payment scenarios when evaluating the rating sensitivity for tobacco settlement ABS in transactions issued in the last two years. For further discussion of Fitch's sensitivity analysis, please see the related presale or new issue report for the respective transaction. In the absence of sensitivity analysis for transactions which are older, model inputs that could impact the analysis include the issuer's allocable share of the April 2015 MSA payment received by states under the MSA, the state's and trust's allocation percentage of annual and strategic contribution fund payments, reserve account balances, outstanding bond balances, bond coupon rates, bond maturity dates, operating caps and reinvestment rates on reserve fund balances.

DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation to this rating action.

Additional information is available on www.fitchratings.com.

Applicable Criteria
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158
Criteria for Rating Caps and Limitations in Global Structured Finance Transactions (pub. 28 May 2014)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=748781
Global Structured Finance Rating Criteria (pub. 06 Jul 2015)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952
U.S. Tobacco Settlement ABS Criteria (pub. 05 Oct 2015)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=871847

Additional Disclosures
Solicitation Status
https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=998904
Endorsement Policy
https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

Contacts

Fitch Ratings
Primary Analyst
Jenny Ovalle
Associate Director
+1-212-908-0849
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Committee Chairperson
Michael Dean
Managing Director
+1-212-908-0556
or
Media Relations
Sandro Scenga, New York, +1 212-908-0278
sandro.scenga@fitchratings.com

Contacts

Fitch Ratings
Primary Analyst
Jenny Ovalle
Associate Director
+1-212-908-0849
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Committee Chairperson
Michael Dean
Managing Director
+1-212-908-0556
or
Media Relations
Sandro Scenga, New York, +1 212-908-0278
sandro.scenga@fitchratings.com