Fitch Rates Chautauqua Tobacco Asset Securitization Corporation, Series 2014

NEW YORK--()--Fitch Ratings assigns the following ratings and Rating Outlooks to the series 2014 bonds issued by the Chautauqua Tobacco Asset Securitization Corporation:

--$350,000 serial bond due June 1, 2017 'BBB+sf'; Outlook Stable;

--$350,000 serial bond due June 1, 2018 'BBB+sf'; Outlook Stable;

--$400,000 serial bond due June 1, 2019 'BBB+sf'; Outlook Stable;

--$450,000 serial bond due June 1, 2020 'BBB+sf'; Outlook Stable;

--$2,700,000 turbo term bond due June 1, 2022 'BBB+sf'; Outlook Stable;

--$4,470,000 turbo term bond due June 1, 2029 'BBB+sf'; Outlook Stable;

--$5,650,000 turbo term bond due June 1, 2034 'BBB+sf'; Outlook Stable;

--$6,390,000 turbo term bond due June 1, 2039 'BBBsf'; Outlook Stable;

--$14,005,000 turbo term bond due June 1, 2048 'BBB-sf'; Outlook Stable.

The initial structure that Fitch assigned expected ratings to on Oct. 21, 2014 has been updated with four fewer classes of bonds. Therefore, Fitch withdraws the expected ratings of the following four bonds in order to adhere to the final structure.

--$300,000 serial bond due June 1, 2021 'BBB+sf(EXP)'; Outlook Stable;

--$300,000 serial bond due June 1, 2022 'BBB+sf(EXP)'; Outlook Stable;

--$375,000 serial bond due June 1, 2023 'BBB+sf(EXP)'; Outlook Stable;

--$375,000 serial bond due June 1, 2024 'BBB+sf(EXP)'; Outlook Stable.

KEY RATING DRIVERS

Tobacco Industry Rating: Cash flows to the bond trustee are dependent on the Master Settlement Agreement (MSA) payments made by the tobacco companies; as a result, tobacco settlement ABS is capped at 'BBB+sf', which is one notch above Fitch's view of the tobacco industry.

Transaction Structure: The capital structure of the 2014 bonds as well as credit enhancement in the form of a debt service reserve account is adequate.

RATING SENSITIVITIES

Fitch runs different declines in MSA payment scenarios when evaluating the rating sensitivity for tobacco settlement ABS. Only in the most severe stressed scenario of a 30% one-time decline in the MSA payment, there is rating migration for the 2023 and 2024 serial bonds. All term bonds with the exception of the 2022 would be downgraded in the moderate stress of a 15% MSA decline. For further discussion of Fitch's sensitivity analysis, please see the related presale report.

The presale report is available to all investors on Fitch's website at 'www.fitchratings.com'. For more information about Fitch's comprehensive subscription service FitchResearch, which includes all presale reports, surveillance, and credit reports on more than 20 asset classes, contact product sales at +1-212-908-0800 or at 'webmaster@fitchratings.com'.

Additional information is available at www.fitchratings.com.

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (August 2014);

--'U.S. Tobacco Settlement ABS Criteria' (July 2014).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389

U.S. Tobacco Settlement ABS Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=751305

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=917135

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Contacts

Fitch Ratings
Primary Analyst
Jenny Ovalle
Associate Director
+1 212-908-0849
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Lauren Tierney
Director
+1 212-908-9168
or
Committee Chairperson
Steven Stubbs
Senior Director
+1 212-908-0676
or
Media Relations
Sandro Scenga, +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
Secondary Analyst
Lauren Tierney
Director
+1 212-908-9168
or
Committee Chairperson
Steven Stubbs
Senior Director
+1 212-908-0676
or
Media Relations
Sandro Scenga, +1 212-908-0278
sandro.scenga@fitchratings.com