RPT-Fitch Downgrades Brooklands 2004-1

Mon Feb 10, 2014 8:33am EST

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Feb 10 (Reuters) - (The following statement was released by the rating agency)

Fitch Ratings has downgraded Euro Reference-Linked Notes 2004-1 Limited (Brooklands 2004-1)'s class D notes and affirmed the others, as follows:

Class A2 (ISIN XS0193141891) affirmed at 'CCsf'

Class B (ISIN XS0193142436) affirmed at 'Csf'

Class C-E (ISIN XS0193142782) affirmed at 'Csf'

Class C-Y (ISIN XS0193142865) affirmed at 'Csf'

Class D (ISIN XS0193143590) downgraded to 'Dsf' from 'Csf'

Class E (ISIN XS0193143913) affirmed at 'Dsf'

KEY RATING DRIVERS

The class D notes have been downgraded as EUR11.3m has been written off their notional as part of credit protection payments made on the reference pool. Furthermore the entire notional balance (EUR13.5m) of the class E notes has now been written off as part of the same series of payments.

The affirmation of the class A2 to C-Y and class E notes reflects the notes' levels of credit enhancement relative to the reference portfolio credit quality. Fitch considers it unlikely that principal will be repaid at maturity. The reference pool currently consists of 47.8% (EUR279m) sub-investment grade assets and 7% (EUR41m) assets rated 'CCC' or below.

Credit protection payments were made on two assets Deco 6-UK2X C and Deco 6-UK2X D, which were classified as defaulted in November 2012. The payment amount for the two assets was determined on the last auction date at EUR14.9m. There are now no credit protection payments outstanding. Seven credit protection payments have been made over the lifetime of the deal for a total EUR47.5m on EUR47.8m of assets.

The issuer, Brooklands, is a special purpose vehicle incorporated with limited liability under the laws of the Cayman Islands. Brooklands provides protection to UBS AG, London Branch on a portfolio of reference credits with an initial notional value of EUR750m.

The class A to E notes' ratings address the full and timely payment of interest and ultimate payment of principal by the final maturity. The class A1-b notes were redeemed in full in June 2013. The scheduled maturity date for the remaining notes is in June 2014 and the legal final maturity date is in 2054. The margins for any notes still outstanding after the scheduled maturity date are to increase.

RATING SENSITIVITIES

All the outstanding notes are at distressed rating levels and as such are unlikely to be affected by any further deterioration in the respective underlying asset portfolios.

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