Fitch Affirms Barclays Dryrock Issuance Trust

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September 7, 2016 5:06 PM EDT

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NEW YORK--(BUSINESS WIRE)-- Fitch Ratings affirms Barclays Dryrock Issuance Trust's long-term ratings. The Rating Outlook remains stable. A detailed list of rating actions follows at the end of this release.

KEY RATING DRIVERS

The affirmation is based on continued stable trust performance and robust breakeven multiples in line with expectations. The Stable Outlook indicates that Fitch expects the ratings to remain stable for the next one to two years.

Gross yield has increased, with the current 12-month average at 19.35% as of the August 2016 distribution period, slightly higher than the 12-month average of 18.67% for the previous year.

Gross charge-offs have increased in the past year. Currently, the 12-month average is 3.32%, up from 3.20% as of August 2015. As of the August 2016 distribution period, 12-month average 60+ day delinquencies were 1.36% compared to 1.35% at this point last year. Fitch expects charge-off levels to remain stable in the near term given the high quality of the credit card portfolio.

Monthly payment rate (MPR), a measure of how quickly consumers are paying off their debt, has decreased in the past year. Currently the 12-month average is 25.15%, down from 26.34% at the August 2016 distribution period.

Fitch runs cash flow breakeven analysis by applying stress scenarios to three-, six-, and 12-month performance averages to evaluate the breakeven loss multiples at different rating levels. The performance variables that Fitch stresses are the gross yield, MPR, gross charge-off, and purchase rates.

Fitch's analysis included a comparison of observed performance trends over the past few months to Fitch's base case expectations for each outstanding rating category. As part of its ongoing surveillance efforts, Fitch will continue to monitor the performance of these trusts.

RATING SENSITIVITIES

Fitch models three different scenarios when evaluating the rating sensitivity compared to expected performance for credit card asset-backed securities transactions: 1) increased defaults, 2) a reduction in purchase rate, and 3) a combination stress of higher defaults and lower MPR.

Increasing defaults alone has no impact on rating migration even in the most severe scenario of a 75% increase in defaults. The rating sensitivity to a reduction in purchase rate also leads to no impact on rating migration even in the most severe scenario of a 100% reduction in purchase rate. The harshest scenario assumes that an increase in defaults and reduction in MPR occur simultaneously. In this scenario, the ratings could be downgraded under the severe stress of a 75% increase in defaults and 35% reduction in MPR. To date, the transactions have exhibited strong performance with all performance metrics within Fitch's initial expectations. For further discussion of Fitch's sensitivity analysis, please see the new issue report related to the transaction listed below.

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10

Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.

Fitch has affirmed the following ratings:

Barclays Dryrock Issuance Trust, Series 2014-3: