OREANDA-NEWS. Fitch Ratings has affirmed FAB UK 2004-1 Limited's notes. A full list of rating actions follows at the end of this ratings action commentary.

The transaction is a securitisation of European structured finance assets, concentrated in the UK. At closing the SPV issued GBP204.5m of fixed and floating rate notes, using the proceeds to buy a GBP200m portfolio managed by Gulf International Bank (UK) Ltd.

KEY RATING DRIVERS
The affirmations reflect the notes' credit enhancement relative to the portfolio's credit quality. The portfolio is heavily concentrated in UK RMBS, for which Fitch maintains a stable outlook.

Since the last review in July 2014, current defaults have increased to GBP26.28m from GBP18m, due to 'CCCsf' or below rated assets migrating to default. In addition, two assets have been written off, leading to a loss of GBP5m for the transaction. As a result the credit quality of the performing pool, excluding defaulted assets but including 'CCC' rated or below assets, has slightly improved.

The transaction continue to deleverage slowly with the class A-1E and A-1F notes (ranked pari passu) having a note factor of 45.6% compared with 49% one year ago and 59% two years ago. All the over-collateralisation tests are out of compliance, and consequently the class A2 and A3 are deferring interest and excess spread is used to paydown the senior notes. Since the last review in July 2014, GBP760,000 of interest has been used to pay down the senior notes. Over the past year, the deleveraging of the senior notes was insufficient to compensate for the additional defaults and write off, and credit enhancement has decreased for all the rated notes.

The class S1 and S2 combination notes' rating reflect the ratings of their respective component classes i.e. the class A-1F notes and class C notes for the class S1 combination note and the class A-3F and class C notes for the class S2 combination notes.

RATING SENSITIVITIES
Applying a 1.25x default rate multiplier to all assets in the portfolio would likely result in a downgrade of one notch for the class A1 and A2 notes. Applying a 0.75x recovery rate multiplier to all assets in the portfolio would have no impact on the notes' ratings.

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

DATA ADEQUACY
Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.

The majority of the underlying assets have ratings or credit opinions from Fitch and/or other Nationally Recognised Statistical Rating Organisations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant Fitch groups and/or other rating agencies to assess the asset portfolio information.

Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.

SOURCES OF INFORMATION
The information below was used in the analysis.
- Loan-by-loan data provided by Bank of New York as of 27 May 2015.
- Transaction reporting provided by Bank of New York as of 27 May 2015.

Fitch has affirmed the following ratings:
Class A-1E Notes (ISIN: XS0187962104): affirmed at 'BBsf'; Outlook Stable
Class A-1F Notes (ISIN: XS0187962369): affirmed at 'BBsf'; Outlook Stable
Class A-2E Notes (ISIN: XS0187962799): affirmed at 'Bsf'; Outlook Stable
Class A-3E Notes (ISIN: XS0187962872): affirmed at 'CCsf'
Class A-3F Notes (ISIN: XS0187963094): affirmed at 'CCsf'
Class S1 Combination Notes (ISIN: XS0187963334): affirmed at 'BBsf'; Outlook Stable
Class S2 Combination Notes (ISIN: XS0187963508): affirmed at 'CCsf'