A portfolio of credit card receivables, that have seen improvements in performance metrics in the 12-month period up to February 2022, will secure a planned $609 million asset-backed securities (ABS) deal from Barclays Dryrock Issuance Trust, 2022-1.
Fitch Ratings is expected to assign ‘AAA’ ratings to the $500 million, fixed-rate notes, according to a pre-sale report from the rating agency. Barclays Bank Delaware, the deal’s sponsor, will retain the $109 million, class B notes.
Barclays Capital is the transaction’s underwriter, and other related Barclays corporate entities are taking active roles on the deal, such as Barclays Bank Delaware serving as sponsor, servicer, originator, and administrative agent.
Fitch noted that as of the February 2002 collection period, gross charge-offs on the underlying card accounts had improved through the twelve-month (TTM) period. Gross charge-offs were 2.48%, a notable drop from 4.43% in the same period a year earlier. This is well within the rating agency’s steady state assumption of 8.0%.
Net charge-offs were 1.62%, and 60-day-plus delinquencies had improved to 0.94%, according to Fitch.
Fitch noted that the collateral pool’s monthly payment rate (MPR) improved after the decrease at the onset of the COVID-19 pandemic, owing to government stimulus and lender payment support. At the time restrictions were in place, as consumer savings were higher and they opted to pay down credit card debt, Fitch said.
From a credit perspective, these are positive developments, Fitch noted, but it added a small caveat: while performance metrics among the underlying assets have been stronger through the pandemic, positive trends should normalize as consumer spending activity returns toward pre-pandemic levels, and higher inflation and interest rates impact household finances.
The Dryrock Issuance Trust securitization program has two term transactions outstanding, with an average of $5.7 billion in average principal receivables outstanding as of February 28, representing some 3.6 million accounts outstanding. During the same period virtually all of total outstanding receivables (92.6%) had seasoning of 60 months or greater.
Fitch also noted that the accounts in the trust are geographically diverse. California, Florida, Texas, New York and Pennsylvania collectively represent about 36.7% of the outstanding receivables.
