NEW YORK--(BUSINESS WIRE)--Fitch Ratings assigns the following ratings to Barclays Dryrock Issuance Trust Series 2015-3 and Series 2015-4:
Barclays Dryrock Issuance Trust Series 2015-3:
--$250,000,000 million class A floating rate asset-backed notes 'AAAsf'; Outlook Stable;
--$66,456,000 million class B fixed rate asset-backed notes NR.
Barclays Dryrock Issuance Trust Series 2015-4:
--$250,000,000 million class A fixed rate asset-backed notes 'AAAsf'; Outlook Stable;
--$54,879,000 million 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.
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.
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Additional information is available at www.fitchratings.com.
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)
Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 19 Dec 2014)
Global Credit Card ABS Rating Criteria (pub. 26 Jun 2015)
Global Structured Finance Rating Criteria (pub. 06 Jul 2015)
Dodd-Frank Rating Information Disclosure Form