Fitch Rates Barclays Dryrock Issuance Trust Series 2016-1

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings assigns the following ratings to Barclays Dryrock Issuance Trust Series 2016-1:

--$500,000,000 class A floating rate asset-backed notes 'AAAsf'; Outlook Stable;

--$109,757,000 class B fixed rate asset-backed notes NR.

KEY RATING DRIVERS

Fitch's ratings are based on the underlying receivables pool, available credit enhancement, Barclays Bank Delaware (BBD) underwriting and servicing capabilities, and the transaction's legal and cash flow structures, which employ early amortization triggers.

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 monthly payment rate (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 in 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.

DUE DILIGENCE USAGE

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

Additional information is available at www.fitchratings.com.

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 18 Jul 2016)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=884963

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 17 May 2016)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=879815

Criteria for Servicing Continuity Risk in Structured Finance (pub. 17 Dec 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=875586

Global Credit Card ABS Rating Criteria (pub. 21 Jul 2016)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=885146

Global Structured Finance Rating Criteria (pub. 27 Jun 2016)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=883130

Related Research

Barclays Dryrock Issuance Trust, Series 2016-1 -- Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=885673

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1009984

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1009984

Endorsement Policy

https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

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View source version on businesswire.com: http://www.businesswire.com/news/home/20160804006192/en/

Fitch Ratings
Primary Analyst
Harry Kohl
Director
+1-212-908-0837
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
John Alberici
Associate Director
+1-212-908-0370
or
Committee Chairperson
Kevin Corrigan
Senior Director
+1-212-908-0156
or
Media Relations:
Elizabeth Fogerty, New York, +1 212-908-0526
Email: [email protected]
Hannah James, New York, + 1 646-582-4947
Email: [email protected]

Source: Fitch Ratings

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