OREANDA-NEWS. Fitch Ratings has upgraded Brooklands Euro Referenced Linked Notes 2004-1 Limited (Brooklands) as follows:

EUR33.75m Class A2 (ISIN XS0193141891) upgraded to 'CCCsf' from 'CCsf'
EUR16.5m Class B (ISIN XS0193142436) affirmed at 'Csf'
EUR10m Class C-E (ISIN XS0193142782) affirmed at 'Csf'
JPY677.5m Class C-Y (ISIN XS0193142865) affirmed at 'Csf'
EUR3.6m Class D (ISIN XS0193143590) affirmed at 'Dsf'
EUR0m Class E (ISIN XS0193143913) affirmed at 'Dsf'

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.

KEY RATING DRIVERS
The deal passed its scheduled maturity date in June 2014, EUR275.6m corporate assets and EUR77.1m ABS assets were automatically removed, leaving EUR208.9m ABS assets in the reference pool. The legal final maturity date for the notes is in 2054. Substitution of the reference pool is not allowed after the scheduled maturity date.

The upgrade of the class A2 notes reflects the 10.8% increase in credit enhancement to 16.8% and the increased credit quality of the reference pools. The share of the investment grade assets increased to 50% from 43.49%. However, the correlation of the pools increased as well. The RMBS exposure increased to 58.4% from 20% and the UK exposure is 80.7% as of December 2014.

An additional EUR1m credit event occurred in January 2015. Fitch estimates the recovery on this asset to be 0%, which would result in a further write down on the class D note. There is 4.5% (EUR9.4m) assets rated 'CCC' or below which could potentially lead to credit event.

The affirmations of the other notes reflect their levels of credit enhancement relative to the reference portfolio credit quality. Fitch considers it unlikely that principal will be repaid at maturity.

The ratings of the class A to E notes address the full and timely payment of interest and ultimate payment of principal by the final maturity.

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.