OREANDA-NEWS. S&P Global Ratings today assigned its 'AAA (sf) rating to Barclays Dryrock Issuance Trust's $500 million class a fixed-rate asset-backed notes series 2016-1 (see list).

The note issuance is an asset-backed securities transaction backed by receivables generated from credit card accounts owned by Barclays Bank Delaware.

The rating reflects:Our view that the 18.0% credit support provided by the subordinated class B notes is sufficient to withstand the simultaneous stresses we apply to our 7.00% base-case loss rate, 21.75% base-case payment rate, and 16.75% base-case yield assumptions for the notes. In addition, we used stressed excess spread and purchase rate assumptions to assess whether, in our opinion, the proposed credit support is commensurate with the 'AAA (sf)' rating on the class A notes. All of the stress assumptions outlined above are based on our current criteria and assumptions (for more information, see "General Methodology And Assumptions For Rating U. S. ABS Credit Card Securitizations," published April 19, 2010, and "Revised Purchase And Payment Rate Assumptions For U. S. Credit Card ABS," Sept. 14, 2011).Our view that the 18.0% credit support is also likely to withstand a potential shift in the pool composition, including the exit of one or more programs with the highest payment rates and the lowest loss rates, even though this would result in lower payment rates and higher loss rates for the overall pool than those at the time we assigned the rating. Our view that the 6% minimum transferor interest is sufficient in our stress assumptions to absorb dilutions, or noncash reductions, in the receivables. Our expectation that under a moderate ('BBB') stress scenario, all else being equal, the rating on the class A notes will remain within one rating category of the assigned 'AAA (sf)' rating in the next 12 months based on our credit stability criteria (see "Methodology: Credit Stability Criteria," May 3, 2010).Our view of the credit risk inherent in the collateral loan pool, based on our economic forecast, the portfolio's historical performance, the collateral characteristics, and the vintage performance data. Our view of Barclays Bank Delaware's servicing experience and our opinion of its account origination, underwriting, account management, collections, and general operational practices. Our expectation regarding the timely payment of periodic interest and principal by the final maturity date according to the transaction documents and based on stressed cash flow modeling scenarios, using assumptions commensurate with the assigned ratings. Our view of the transaction's underlying payment structure, cash flow mechanics, and legal structure. Our view of the ability and willingness of key transaction parties to perform their contractual obligations and the likelihood that the parties could be replaced if needed.