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Presale: Barclays Dryrock Issuance Trust (Series 2021-1)

The preliminary 'AAA (sf)' rating assigned to Barclays Dryrock Issuance Trust's (Dryrock's) $500.00 million class A fixed-rate asset-backed notes series 2021-1 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, 18.00% 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 preliminary '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 "U.S. Credit Card Securitizations: