New York, November 16, 2012 -- Moody's Investors Service has assigned a definitive Aaa (sf) rating to the senior Class A Floating Rate Asset Backed Notes issued by the Dryrock Issuance Trust Series 2012-1 transaction.
The complete rating action is as follows:
Issuer: Dryrock Issuance Trust, Series 2012-1
$700,000,000 Class A Floating Rate Asset Backed Notes, rated Aaa (sf)
The rating is based on the quality of the underlying credit card receivables, the expertise of Barclays Bank Delaware ("BBD") as servicer, the transaction's legal and structural protections including early amortization trigger events, and the 21.00% of credit enhancement provided by a subordinate Class B Note.
The Class A Notes have a floating rate coupon of 1-month LIBOR plus 0.15% per year and an expected maturity date of October 15, 2014. The legal maturity date for these notes is August 15, 2017. Moody's rating addresses the likelihood of interest payments being made when due and the return of principal by the legal maturity date.
The assets of the Trust consist of receivables from designated co-branded and non-co-branded credit card accounts originated and serviced by Barclays Bank Delaware (BBD). Moody's expects performance in the range of 2.0% - 4.0% for charge-offs, 17.5% - 20.5% for yield and 27.0% - 30.0% for the principal payment rate.
Moody's performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities were rated. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics.
The principal methodology used in this rating was "Moody's Approach To Rating Credit Card Receivables-Backed Securities", published in April 2007. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.
The Volatility Score ("V Score") for this transaction is Medium/High, which, given the limited performance history for this newly-formed trust, is higher than the V score assigned for the U.S. Credit Card ABS sector. On December 19, 2008, Moody's published a report introducing V Scores and Parameter Sensitivities for the global credit card ABS sector. Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. V Scores are intended to rank transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling and the transaction governance that underlie the ratings. V Scores apply to the entire transaction (rather than individual tranches).
Parameter Sensitivities provide a quantitative, model-indicated calculation of the number of notches that a Moody's-rated structured finance security may vary if certain input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged. It is not intended to measure how the rating of the security might migrate over time, but rather how the initial rating of the security might differ as certain key parameters vary.
In rating US Credit Card ABS, the payment rate, charge-off rate, purchase rate, yield and certain other inputs are used to calculate the median expected loss and the Aaa enhancement. These two, in turn, are the inputs used to determine a new lognormal loss distribution. Three new lognormal loss distributions were calculated for each rating class by assuming the following three payment and gross charge-off rate combinations: (1) 22%/10%, (2) 16%/17% and (3) 10%/24% from the base case of 28%/3%. The quantitative/model-indicated Parameter Sensitivities for the notes under these three additional scenarios are:
For the Class A Notes, one notch (i.e. Aaa to Aa1), two notches and four notches, respectively.
Additional research, including a pre-sale report, is available at www.moodys.com . A special report entitled "V Scores and Parameter Sensitivities in the Global Credit Card ABS Sector" is also available on moodys.com.
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Gregory J. GemsonAsst Vice President - Analyst Structured Finance Group Moody'sInvestors Service, Inc.250 Greenwich StreetNew York, NY 10007 U.S.A. JOURNALISTS: 212-553-0376 SUBSCRIBERS: 212-553-1653Luisa De Gaetano VP - Senior Credit Officer Structured Finance Group JOURNALISTS: 212-553-0376 SUBSCRIBERS: 212-553-1653 Releasing Office: Moody's Investors Service, Inc.250 Greenwich StreetNew York, NY 10007 U.S.A. JOURNALISTS: 212-553-0376 SUBSCRIBERS: 212-553-1653(C) 2012 Moody's Investors Service, Inc. and/or its licensors and affiliates (collectively, "MOODY'S"). All rights reserved.
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