Barclays Dryrock Issuance Trust, Series 2021-1, or Dryrock, is preparing to issue $609 million in asset-backed securities (ABS) collateralized by credit card receivables.
The capital structure will feature two classes of notes, issuing class A notes publicly, while the sponsor Barclays Bank Delaware – plus any of its affiliates – will acquire and retain the class B notes, according to a Fitch Ratings assessment.
The fixed-rate underlying assets in the trust portfolio had an average account balance of $1,579.98 as of June 30, 2021. For the same period 88.9% of the total receivables outstanding were seasoned for 60 months or greater, according to Fitch. There is no exposure to Libor on the notes or in any hedging instruments.
This is the first transaction since 2019, before the COVID-19 ensued.
Dryrock’s collateral remained on solid footing, even in the face of challenges from COVID-induced economic stress As of August 2021, the distribution period, Fitch noted that Dryrock’s collateral performance numbers were in line with Fitch indices and had improved over the past 12 months. Monthly payment rates (MPR) were 33.4%, up from 26.9% in August 2020, and only slightly off of the high point of 33.5% in July 2021.
Gross chargeoffs were 2.7% for August 2021, compared with a rate of 4.5% from the previous year, while gross yield remained resilient during the same period. Rates for gross yield were 23.4%, compared with 22.1% in August 2020. Fitch says significant government stimulus has helped the Dryrock trusts maintain MPRs for the past 12 months.
Fitch expects performance trends to normalize as consumer spending activity returns toward pre-pandemic levels, inline with vaccine distribution and lowering of restrictions.
All of the notes have a legal final maturity of July 15, 2027. Fitch expects to assign ‘AAA’ ratings to the $500 million class A notes. The $109 million class B notes, which Barclays will retain, were not rated.
