DBRS Confirms Ratings on the Notes Issued by NewDay Funding Series

DBRS Ratings Limited (DBRS) has today confirmed the ratings on the Notes issued by NewDay Funding 2015-1 Plc (NewDay 2015-1), NewDay Funding 2015-2 Plc (NewDay 2015-2), NewDay Funding Loan Note Issuer Ltd (Loan Note Issuer), and NewDay Funding 2016-1 Plc (NewDay 2016-1) as follows:

NewDay 2015-1:
-- Class A Asset Backed Floating Rate Notes at AAA (sf)
-- Class B Asset Backed Floating Rate Notes at AA (high) (sf)
-- Class C Asset Backed Floating Rate Notes at A (high) (sf)
-- Class D Asset Backed Floating Rate Notes at BBB (high) (sf)
-- Class E Asset Backed Floating Rate Notes at BB (high) (sf)
-- Class F Asset Backed Floating Rate Notes at B (high) (sf)

NewDay 2015-2:
-- Class A Asset Backed Floating Rate Notes at AAA (sf)
-- Class B Asset Backed Floating Rate Notes at AA (high) (sf)
-- Class C Asset Backed Floating Rate Notes at A (high) (sf)
-- Class D Asset Backed Floating Rate Notes at BBB (high) (sf)
-- Class E Asset Backed Floating Rate Notes at BB (high) (sf)
-- Class F Asset Backed Floating Rate Notes at B (high) (sf)

Loan Note Issuer:
-- Series 2015-VFN Loan Note at BBB (high) (sf)

NewDay 2016-1:
-- Class A Notes at AAA (sf)
-- Class B Notes at AA (high) (sf)
-- Class C Notes at A (high) (sf)
-- Class D Notes at BBB (high) (sf)
-- Class E Notes at BB (high) (sf)
-- Class F Notes at B (high) (sf)

Today’s rating actions follow an annual review of the transactions and are based on the following analytical considerations:

-- Portfolio performance in terms of delinquencies and charge-offs.
-- Portfolio Principle Payment Rate, Charge-off Rate, and Yield Rate assumptions.
-- The credit enhancement (CE) available to the Notes to cover the expected losses at their respective rating levels.

The Notes are backed by a portfolio of credit card receivables in the United Kingdom originated or acquired and serviced by NewDay Ltd. All Series are currently in a revolving period.

PORTFOLIO PERFORMANCE AND ASSUMPTIONS
As of the end of March 2017, the receivables more than 90 days delinquent as a percentage of the outstanding portfolio balance were 3.8%, remained at the similar level as 12 months ago. The Gross Charge-Off Rate was 15.6%, the portfolio Gross Yield Rate was 32.2%, and the Total Payment Rate was 12.71%.

Following the review of the latest portfolio performance data, DBRS has updated the Charge-Off rate assumption to 16.0% from 15.0%. At the same time, DBRS has maintained the portfolio Yield Rate and Monthly Principal Payment Rate assumptions at 28.0% and 8.0%, respectively.

CREDIT ENHANCEMENT
As all Series are in a revolving period, the CE to each rated Class of Notes remains the same. As of the April 2017 Payment Date, for NewDay 2015-1, the available CE was 50.9% for the Class A Notes, 43.7% for the Class B Notes, 33.1% for the Class C Notes, 18.4% for the Class D Notes, 10.8% for the Class E Notes, and 5.7% for the Class F Notes. For NewDay 2015-2, the available CE is 51.1% for the Class A Notes, 44.0% for the Class B Notes, 33.5% for the Class C Notes, 18.8% for the Class D Notes, 11.2% for the Class E Notes, and 6.0% for the Class F Notes. The CE to the Series 2015-VFN Loan Note is 18.3%. For NewDay 2016-1, the available CE is 51.2% for the Class A Notes, 44.1% for the Class B Notes, 33.6% for the Class C Notes, 19.3% for the Class D Notes, 11.7% for the Class E Notes, and 6.5% for the Class F Notes.

HSBC Bank Plc acts as Account Bank to all Series. The DBRS private rating on the Account Bank meets the Minimum Institution Rating criteria given the rating assigned to the Class A Notes, as described in DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

Notes:
All figures are in GBP unless otherwise noted.

The principal methodology applicable to the rating is “Master European Structured Finance Surveillance Methodology.”

DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

A review of the transaction legal documents was not conducted as the documents have remained unchanged since the most recent rating action.

An asset and a cash flow analysis were both conducted.

Other methodologies referenced in this transaction are listed at the end of this press release.

These may be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies.

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area” on:
http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of data and information used for these ratings include the monthly investor reports, the monthly dynamic historical performance data and static performance by cohort on payment rates, yield rates, loss rates and recoveries from NewDay Cards Ltd.

DBRS did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial rating, DBRS was supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.

DBRS does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating action on this transaction took place on 8 September 2016 when DBRS assigned ratings to Series 2016-1 Class A, B, C, D, E, and F Notes. Prior to that, on 24 June 2016, DBRS confirmed the ratings on all the Notes in the previous Series.

Information regarding DBRS ratings, including definitions, policies and methodologies, is available on www.dbrs.com.

To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared with the parameters used to determine the rating (the Base Case):

-- Charge-Off Rate Used: Base Case: 16%, stressed with 25.00% and 50.00% increase on the base case.
-- Monthly Principal Payment Rate Used: Base Case: 8%, stressed with 25% and 50% decrease on the base case.
-- Yield Rate Used: Base Case: 28%, stressed with 25% and 50% decrease on the base case.

Sensitivity Results for NewDay 2015-1
DBRS concludes that for the Class A Asset Backed Floating Rate Notes:
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the base-case Yield Rate by 25%, ceteris paribus, would lead to a Class A Asset Backed Floating Rate Notes rating of AAA (sf).
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class A Asset Backed Floating Rate Notesrating of AAA (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the Payment Rate by 25%, ceteris paribus, would lead to a Class A Asset Backed Floating Rate Notesrating of AAA (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Payment Rate by 50%, ceteris paribus, would lead to a Class A Asset Backed Floating Rate Notesrating of AAA (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 25% and a hypothetical decrease of the Yield Rate by 25%, ceteris paribus, would lead to a Class A Asset Backed Floating Rate Notesrating of AAA (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class A Asset Backed Floating Rate Notesrating of AAA (sf).

DBRS concludes that for the Class B Asset Backed Floating Rate Notes:
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the base-case Yield Rate by 25%, ceteris paribus, would lead to a Class B Asset Backed Floating Rate Notesrating of AA (high) (sf).
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class B Asset Backed Floating Rate Notesrating of AA (high) (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the Payment Rate by 25%, ceteris paribus, would lead to a Class B Asset Backed Floating Rate Notesrating of AA (high) (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Payment Rate by 50%, ceteris paribus, would lead to a Class B Asset Backed Floating Rate Notesrating of AA (low) (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 25% and a hypothetical decrease of the Yield Rate by 25%, ceteris paribus, would lead to a Class B Asset Backed Floating Rate Notesrating of AA (high) (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class B Asset Backed Floating Rate Notesrating of AA (high) (sf).

DBRS concludes that for the Class C Asset Backed Floating Rate Notes:
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the base-case Yield Rate by 25%, ceteris paribus, would lead to a Class C Asset Backed Floating Rate Notesrating of A (high) (sf).
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class C Asset Backed Floating Rate Notes rating of A (high) (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the Payment Rate by 25%, ceteris paribus, would lead to a Class C Asset Backed Floating Rate Notes rating of A (high) (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Payment Rate by 50%, ceteris paribus, would lead to a Class C Asset Backed Floating Rate Notes rating of BBB (low) (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 25% and a hypothetical decrease of the Yield Rate by 25%, ceteris paribus, would lead to a Class C Asset Backed Floating Rate Notes rating of A (high) (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class C Asset Backed Floating Rate Notes rating of BBB (high) (sf).

DBRS concludes that for the Class D Asset Backed Floating Rate Notes:
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the base-case Yield Rate by 25%, ceteris paribus, would lead to a Class D Asset Backed Floating Rate Notes rating of BBB (high) (sf).
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class D Asset Backed Floating Rate Notes rating of B (high) (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the Payment Rate by 25%, ceteris paribus, would lead to a Class D Asset Backed Floating Rate Notes rating of BBB (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Payment Rate by 50%, ceteris paribus, would lead to a Class D Asset Backed Floating Rate Notes rating of B (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 25% and a hypothetical decrease of the Yield Rate by 25%, ceteris paribus, would lead to a Class D Asset Backed Floating Rate Notes rating of BBB (high) (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class D Asset Backed Floating Rate Notes rating of BB (low) (sf).

DBRS concludes that for the Class E Asset Backed Floating Rate Notes:
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the base-case Yield Rate by 25%, ceteris paribus, would lead to a Class E Asset Backed Floating Rate Notes rating of BB (sf).
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class E Asset Backed Floating Rate Notes rating of Below B (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the Payment Rate by 25%, ceteris paribus, would lead to a Class E Asset Backed Floating Rate Notes rating of BB (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Payment Rate by 50%, ceteris paribus, would lead to a Class E Asset Backed Floating Rate Notes rating of below B (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 25% and a hypothetical decrease of the Yield Rate by 25%, ceteris paribus, would lead to a Class E Asset Backed Floating Rate Notes rating of BB (high) (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class E Asset Backed Floating Rate Notes rating of B (high) (sf).

DBRS concludes that for the Class F Asset Backed Floating Rate Notes:
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the base-case Yield Rate by 25%, ceteris paribus, would lead to a Class F Asset Backed Floating Rate Notes rating of below B (sf).
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class F Asset Backed Floating Rate Notes rating of below B (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the Payment Rate by 25%, ceteris paribus, would lead to a Class F Asset Backed Floating Rate Notes rating of B (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Payment Rate by 50%, ceteris paribus, would lead to a Class F Asset Backed Floating Rate Notes rating of below B (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 25% and a hypothetical decrease of the Yield Rate by 25%, ceteris paribus, would lead to a Class F Asset Backed Floating Rate Notes rating of B (high) (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class F Asset Backed Floating Rate Notes rating of below B (sf).

Sensitivity Results for NewDay 2015-2
DBRS concludes that for the Class A Asset Backed Floating Rate Notes:
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the base-case Yield Rate by 25%, ceteris paribus, would lead to a Class A Asset Backed Floating Rate Notes rating of AAA (sf).
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class A Asset Backed Floating Rate Notes rating of AAA (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the Payment Rate by 25%, ceteris paribus, would lead to a Class A Asset Backed Floating Rate Notes rating of AAA (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Payment Rate by 50%, ceteris paribus, would lead to a Class A Asset Backed Floating Rate Notes rating of AA (high) (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 25% and a hypothetical decrease of the Yield Rate by 25%, ceteris paribus, would lead to a Class A Asset Backed Floating Rate Notes rating of AAA (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class A Asset Backed Floating Rate Notes rating of AAA (sf).

DBRS concludes that for the Class B Asset Backed Floating Rate Notes:
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the base-case Yield Rate by 25%, ceteris paribus, would lead to a Class B Asset Backed Floating Rate Notes rating of AA (high) (sf).
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class B Asset Backed Floating Rate Notes rating of AA (high) (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the Payment Rate by 25%, ceteris paribus, would lead to a Class B Asset Backed Floating Rate Notes rating of AA (high) (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Payment Rate by 50%, ceteris paribus, would lead to a Class B Asset Backed Floating Rate Notes rating of AA (low) (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 25% and a hypothetical decrease of the Yield Rate by 25%, ceteris paribus, would lead to a Class B Asset Backed Floating Rate Notes rating of AA (high) (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class B Asset Backed Floating Rate Notes rating of AA (high) (sf).

DBRS concludes that for the Class C Asset Backed Floating Rate Notes:
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the base-case Yield Rate by 25%, ceteris paribus, would lead to a Class C Asset Backed Floating Rate Notes rating of A (high) (sf).
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class C Asset Backed Floating Rate Notes rating of A (high) (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the Payment Rate by 25%, ceteris paribus, would lead to a Class C Asset Backed Floating Rate Notes rating of A (high) (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Payment Rate by 50%, ceteris paribus, would lead to a Class C Asset Backed Floating Rate Notes rating of BBB (low) (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 25% and a hypothetical decrease of the Yield Rate by 25%, ceteris paribus, would lead to a Class C Asset Backed Floating Rate Notes rating of A (high) (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class C Asset Backed Floating Rate Notes rating of BBB (high) (sf).

DBRS concludes that for the Class D Asset Backed Floating Rate Notes:
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the base-case Yield Rate by 25%, ceteris paribus, would lead to a Class D Asset Backed Floating Rate Notes rating of BBB (high) (sf).
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class D Asset Backed Floating Rate Notes rating of B (high) (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the Payment Rate by 25%, ceteris paribus, would lead to a Class D Asset Backed Floating Rate Notes rating of BBB (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Payment Rate by 50%, ceteris paribus, would lead to a Class D Asset Backed Floating Rate Notes rating of B (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 25% and a hypothetical decrease of the Yield Rate by 25%, ceteris paribus, would lead to a Class D Asset Backed Floating Rate Notes rating of BBB (high) (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class D Asset Backed Floating Rate Notes rating of BB (low) (sf).

DBRS concludes that for the Class E Asset Backed Floating Rate Notes:
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the base-case Yield Rate by 25%, ceteris paribus, would lead to a Class E Asset Backed Floating Rate Notes rating of BB (sf).
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class E Asset Backed Floating Rate Notes rating of Below B (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the Payment Rate by 25%, ceteris paribus, would lead to a Class E Asset Backed Floating Rate Notes rating of BB (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Payment Rate by 50%, ceteris paribus, would lead to a Class E Asset Backed Floating Rate Notes rating of below B (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 25% and a hypothetical decrease of the Yield Rate by 25%, ceteris paribus, would lead to a Class E Asset Backed Floating Rate Notes rating of BB (high) (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class E Asset Backed Floating Rate Notes rating of B (high) (sf).

DBRS concludes that for the Class F Asset Backed Floating Rate Notes:
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the base-case Yield Rate by 25%, ceteris paribus, would lead to a Class F Asset Backed Floating Rate Notes rating of below B (sf).
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class F Asset Backed Floating Rate Notes rating of Below B (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the Payment Rate by 25%, ceteris paribus, would lead to a Class F Asset Backed Floating Rate Notes rating of B (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Payment Rate by 50%, ceteris paribus, would lead to a Class F Asset Backed Floating Rate Notes rating of below B (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 25% and a hypothetical decrease of the Yield Rate by 25%, ceteris paribus, would lead to a Class F Asset Backed Floating Rate Notes rating of B (high) (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class A Asset Backed Floating Rate Notes rating of below B (sf).

Sensitivity Results for Loan Note Issuer
DBRS concludes that for the Series 2015-VFN Loan Note:
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the base-case Yield Rate by 25%, ceteris paribus, would lead to a Class A Notes rating of BBB (sf).
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class A Notes rating of BBB (low) (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the Payment Rate by 25%, ceteris paribus, would lead to a Class A Notes rating of BBB (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Payment Rate by 50%, ceteris paribus, would lead to a Class A Notes rating of BB (low) (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 25% and a hypothetical decrease of the Yield Rate by 25%, ceteris paribus, would lead to a Class A Notes rating of BBB (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class A Notes rating of BBB (low) (sf).

Sensitivity Results for NewDay 2016-1
DBRS concludes that for the Class A Notes:
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the base-case Yield Rate by 25%, ceteris paribus, would lead to a Class A Notes rating of AAA (sf).
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class A Notes rating of AAA (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the Payment Rate by 25%, ceteris paribus, would lead to a Class A Notes rating of AAA (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Payment Rate by 50%, ceteris paribus, would lead to a Class A Notes rating of AAA (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 25% and a hypothetical decrease of the Yield Rate by 25%, ceteris paribus, would lead to a Class A Notes rating of AAA (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class A Notes rating of AAA (sf).

DBRS concludes that for the Class B Notes:
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the base-case Yield Rate by 25%, ceteris paribus, would lead to a Class B Notes rating of AA (high) (sf).
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class B Notes rating of AA (high) (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the Payment Rate by 25%, ceteris paribus, would lead to a Class B Notes rating of AA (high) (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Payment Rate by 50%, ceteris paribus, would lead to a Class B Notes rating of A (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 25% and a hypothetical decrease of the Yield Rate by 25%, ceteris paribus, would lead to a Class B Notes rating of AA (high) (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class B Notes rating of AA (high) (sf).

DBRS concludes that for the Class C Notes:
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the base-case Yield Rate by 25%, ceteris paribus, would lead to a Class C Notes rating of A (high) (sf).
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class C Notes rating of A (high) (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the Payment Rate by 25%, ceteris paribus, would lead to a Class C Notes rating of A (high) (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Payment Rate by 50%, ceteris paribus, would lead to a Class C Notes rating of BBB (low) (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 25% and a hypothetical decrease of the Yield Rate by 25%, ceteris paribus, would lead to a Class C Notes rating of A (high) (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class C Notes rating of BBB (high) (sf).

DBRS concludes that for the Class D Notes:
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the base-case Yield Rate by 25%, ceteris paribus, would lead to a Class D Notes rating of BBB (high) (sf).
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class D Notes rating of BB (low) (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the Payment Rate by 25%, ceteris paribus, would lead to a Class D Notes rating of BBB (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Payment Rate by 50%, ceteris paribus, would lead to a Class D Notes rating of below B (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 25% and a hypothetical decrease of the Yield Rate by 25%, ceteris paribus, would lead to a Class D Notes rating of BBB (high) (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class D Notes rating of BB (low) (sf).

DBRS concludes that for the Class E Notes:
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the base-case Yield Rate by 25%, ceteris paribus, would lead to a Class E Notes rating of BB (low) (sf).
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class E Notes rating of below B (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the Payment Rate by 25%, ceteris paribus, would lead to a Class E Notes rating of BB (low) (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Payment Rate by 50%, ceteris paribus, would lead to a Class E Notes rating of below B (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 25% and a hypothetical decrease of the Yield Rate by 25%, ceteris paribus, would lead to a Class E Notes rating of BB (high) (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class E Notes rating of B (sf).

DBRS concludes that for the Class F Notes:
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the base-case Yield Rate by 25%, ceteris paribus, would lead to a Class F Notes rating of below B (sf).
-- While holding the Payment Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class F Notes rating of below B (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 25% and a hypothetical decrease of the Payment Rate by 25%, ceteris paribus, would lead to a Class F Notes rating of B (sf).
-- While holding the Yield Rate constant, a hypothetical increase of the base-case Charge-Off Rate by 50% and a hypothetical decrease of the Payment Rate by 50%, ceteris paribus, would lead to a Class F Notes rating of below B (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 25% and a hypothetical decrease of the Yield Rate by 25%, ceteris paribus, would lead to a Class F Notes rating of B (high) (sf).
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base-case Payment Rate by 50% and a hypothetical decrease of the Yield Rate by 50%, ceteris paribus, would lead to a Class F Notes rating of below B (sf).

For further information on DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see:
http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Lead Analyst: Kevin Ma, Assistant Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 15 June 2015 for NewDay 2015-1 and Loan Note Issuer; 12 November 2015 for NewDay 2015-2; 8 September 2016 for NewDay 2016-1.

DBRS Ratings Limited
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United Kingdom
Registered in England and Wales: No. 7139960

The rating methodologies used in the analysis of this transaction can be found at:
http://www.dbrs.com/about/methodologies.

-- Legal Criteria for European Structured Finance Transactions
-- Master European Structured Finance Surveillance Methodology
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Operational Risk Assessment for European Structured Finance Originators
-- Operational Risk Assessment for European Structured Finance Servicers
-- Unified Interest Rate Model for European Securitisations

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375