Fitch Revises Brazil Loan Trust I's Rating Outlook to Negative; Affirms Notes at 'BBBsf'

SAO PAULO--()--Fitch Ratings has affirmed and subsequently revised the Rating Outlook on the following notes assigned to the senior secured pass-through notes issued by Brazil Loan Trust I (the issuer):

--USD661.9 million notes at 'BBBsf'; Outlook to Negative from Stable.

The transaction is a pass-through securitization of a 10-year amortizing loan originated by the Fitch-rated Bank of America N.A. ('A'/ Outlook Negative) to the Brazilian State of Maranhao ('BB+'/ Outlook Stable). The loan is guaranteed on an unconditional and irrevocable basis by the Federative Republic of Brazil (Brazil, rated 'BBB'/ Outlook Negative). Fitch's rating addresses timely payment of interest and principal.

KEY RATING DRIVERS

The revision of the Rating Outlook to Negative and the affirmation of the rating reflects the same rating action for Brazil's Long-term foreign and local currency Issuer Default Ratings (IDRs) on April 9, 2015.

The affirmation of the rating also takes into account the timely payments of interest and principal due in January 2015, and the stable ratings of the main counterparties.

Payments on the loan are made to a bank account at Wilmington Trust N.A. ('A-'/ Outlook Positive) as administrative agent. On the following day, funds are transferred to an Issuer account at the Bank of New York Mellon ('AA-'/ Outlook Stable) as indenture trustee to the notes. Payments are made under the notes immediately thereafter.

RATING SENSITIVITIES

The rating assigned to the notes is sensitive to changes in the credit quality of Brazil as guarantor on an unconditional and irrevocable basis. While Brazil's rating remains higher than the long-term rating of Maranhao, the transaction's rating will not be sensitive to the rating assigned to Maranhao. The transaction's rating is equivalent to the higher of Brazil's long-term or Maranhao's long-term rating.

Additional information is available at 'www.fitchratings.com'.

Sources of information: Transaction documents.

Applicable Criteria and Related Research:

--'Global Rating Criteria for Single- and Multi-Name Credit-Linked Notes' (March 9, 2015);

--'Global Structured Finance Rating Criteria' (March 31, 2015);

--'Counterparty Criteria for Structured Finance and Covered Bonds' (May 11, 2014);

--'Brazil Loan Trust I' (August 13, 2013);

--'Maranhao, State of' (June 5, 2014);

--'Fitch Revises Brazil's Rating Outlook to Negative; Affirms IDRs at 'BBB'' (April 9, 2015).

Applicable Criteria and Related Research:

Companhia Energetica do Maranhao (Cemar)

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=750093

Brazil Loan Trust I

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=715622

Counterparty Criteria for Structured Finance and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Global Rating Criteria for Single- and Multi-Name Credit-Linked Notes

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=863276

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=982862

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Contacts

Fitch Ratings, New York
Media Relations
Elizabeth Fogerty, +1-212-908-0526
elizabeth.fogerty@fitchratings.com
or
Primary Analyst
Director
Robert Krause, +55 11 4504 2211
or
Fitch Ratings Ltda.
Alameda Santos 700, 7th Floor
Sao Paulo - SP
or
Secondary Analyst
Associate Director
Juliana Ayoub, +55 11 4504 2200
or
Committee Chairperson
Senior Director
Maria Paula Moreno, +57-1-326-9999-1210

Contacts

Fitch Ratings, New York
Media Relations
Elizabeth Fogerty, +1-212-908-0526
elizabeth.fogerty@fitchratings.com
or
Primary Analyst
Director
Robert Krause, +55 11 4504 2211
or
Fitch Ratings Ltda.
Alameda Santos 700, 7th Floor
Sao Paulo - SP
or
Secondary Analyst
Associate Director
Juliana Ayoub, +55 11 4504 2200
or
Committee Chairperson
Senior Director
Maria Paula Moreno, +57-1-326-9999-1210