OREANDA-NEWS. S&P Global Ratings today affirmed its credit ratings on all classes of notes in Preferred Residential Securities 05-1 PLC (see list below).

Today's affirmations follow our credit and cash flow analysis of the transaction using information from the investor report and loan-level data as of March 2016. Our analysis reflects the application of our U. K. residential mortgage-backed securities (RMBS) criteria and our current counterparty criteria (see "U. K. RMBS Methodology And Assumptions," published on Dec. 9, 2011, and "Counterparty Risk Framework Methodology And Assumptions," published on June 25, 2013).

In our opinion, the performance of the loans in the collateral pool has improved since our previous review, but nevertheless remain high and well above our U. K. nonconforming index (see "Rating Raised On U. K. RMBS Transaction Preferred Residential Securities 05-1's Class D1c Notes; Other Classes Affirmed," published on May 30, 2014 and "U. K. RMBS Index Report Q1 2016: Prepayment Rates Continue To Increase In Buy-To-Let And Nonconforming Transactions," published on June 3, 2016). Total delinquencies have decreased to slightly below 28% from 30.65% at our previous review.

Since our previous review, our credit assumptions have slightly increased at the 'AAA' rating level and decreased for lower rating categories, driven by a lower weighted-average foreclosure frequency (WAFF) and a higher weighted-average loss severity (WALS).

The lower arrears levels and greater proportion of the loans in the pool receiving seasoning credit positively affected our WAFF calculations. Our WALS assumptions have increased at the 'AAA' level, but have decreased at other rating levels. The transaction has benefitted from the decrease in the weighted-average current loan-to-value (LTV) ratios. However, this has been offset by the increase in our repossession market-value decline assumptions, which we have increased at the 'AAA' level.

Credit enhancement levels have increased for all rated classes of notes since our previous review. The notes benefit from an amortizing liquidity facility and a nonamortizing reserve fund. Both the liquidity facility and the reserve fund are currently at their required levels.

The structure is currently amortizing sequentially as 90+ days arrears (including other amounts owed) are well above the documented trigger of 22.5%. As the ratio is well above the trigger and the other amounts owed continue to increase, we consider that the transaction will likely continue to pay principal sequentially. We have incorporated this assumption in our cash flow analysis by modelling a sequential repayment of the notes.

Our credit and cash flow analysis indicates that the available credit enhancement for all classes of notes is sufficient to maintain the currently assigned ratings. We have therefore affirmed our ratings on all classes of notes.

In our credit and cash flow analysis, we consider the available credit enhancement for the class B1a, B1c, and C1c notes to be commensurate with higher ratings than those currently assigned. However, the bank account provider, Barclays Bank PLC (A-/Negative/A-2), breached the 'A-1+' downgrade trigger specified in the transaction documents, following our lowering of its long - and short-term ratings in November 2011 (see "Barclays Bank PLC Ratings Lowered To 'A+/A-1' From 'AA-/A-1+' On Bank Criteria Change; Outlook Stable," published on Nov. 29, 2011). Because no remedy actions were taken following our November 2011 downgrade, our current counterparty criteria cap the maximum potential rating on the notes in this transaction to our 'A-' long-term issuer credit rating on Barclays Bank. We have therefore affirmed our 'A - (sf)' ratings on the class B1a, B1c, and C1c notes.

Our credit stability analysis indicates that the maximum projected deterioration that we would expect at each rating level for one - - and three-year horizons under moderate stress conditions is in line with our credit stability criteria (see "Methodology: Credit Stability Criteria," published on May 3, 2010).

Preferred Residential Securities 05-1 is backed by nonconforming U. K. residential mortgage loans, which Preferred Mortgages Ltd. originated.