DBRS Confirms Ratings of Six NewDay Funding Transactions

DBRS Ratings Limited (DBRS) confirmed its ratings on the Notes issued by NewDay Funding 2015-1 plc (NewDay 2015-1), NewDay Funding 2015-2 plc (NewDay 2015-2), NewDay Funding 2016-1 plc (NewDay 2016-1), NewDay Funding 2017-1 plc (NewDay 2017-1), NewDay Funding Loan Note Issuer VFN-F1 V1 (NewDay VFN-F1 V1) and NewDay Funding Loan Note Issuer VFN-F1 V2 (NewDay VFN-F1 V2) as follows:

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

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

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

NewDay 2017-1:
-- Class A Notes confirmed at AAA (sf)
-- Class B Notes confirmed at AA (high) (sf)
-- Class C Notes confirmed at A (high) (sf)
-- Class D Notes confirmed at BBB (sf)
-- Class E Notes confirmed at BB (sf)
-- Class F Notes confirmed at B (high) (sf)

NewDay VFN-F1 V1:
-- Class A Notes confirmed at BBB (low) (sf)
-- Class E Notes confirmed at BB (low) (sf)
-- Class F Notes confirmed at B (high) (sf)

NewDay VFN-F1 V2:
-- Class A Notes confirmed at AAA (sf)
-- Class B Notes confirmed at AA (high) (sf)
-- Class C Notes confirmed at A (high) (sf)
-- Class D Notes confirmed at BBB (low) (sf)
-- Class E Notes confirmed at BB (low) (sf)
-- Class F Notes confirmed at B (high) (sf)

The ratings address the timely payment of interest and ultimate payment of principal on each Note’s final redemption date. A deferral of interest payments on the Notes is permitted and will not result in an event of default.

The confirmations follow a review of the transactions and are based on the following analytical considerations:

-- Portfolio performance in terms of delinquencies and charge-offs.
-- Portfolio Principal 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 own-brand credit card receivables in the United Kingdom originated or acquired and serviced by NewDay Ltd. NewDay 2015-1 is currently in its Accumulation Period and all other series are in their respective Revolving Period.

PORTFOLIO PERFORMANCE AND ASSUMPTIONS
As of April 2018, receivables more than 90 days delinquent represented 4.2% of the outstanding portfolio balance, a slight increase from 3.8% as of the last review. At the same time, the Gross Charge-Off Rate was 15.3%, the portfolio Gross Yield Rate was 35.1%, and the Total Payment Rate decreased to 11.3% from 12.7% as of the last review. The performance is within DBRS’s expectations and DBRS has maintained the Gross Charge-Off Rate, the Portfolio Yield Rate, and the Monthly Principal Payment Rate assumptions at 16.0%, 28.0% and 8.0%, respectively.

CREDIT ENHANCEMENT
As all series are either in an Accumulation Period or Revolving Period, the CE to all the Notes remain the same as at the series Issuance Date or, for the NewDay VFN-F1 series, according to the Advance Rate specified in the documents.

HSBC Bank Plc acts as the Account Bank for all the transactions. DBRS’s private rating of the Account Bank is consistent with 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 British pound sterling unless otherwise noted.

The principal methodology applicable to the ratings 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.

An asset and a cash flow analysis were both conducted.

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

Other methodologies referenced in these transactions 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 “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology at: http://dbrs.com/research/319564/rating-sovereign-governments.pdf.

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 ratings, 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.

This is the first rating action since the Initial Rating Date for NewDay VFN-F1 V1 and V2.

The last rating action took place on 15 December 2017 for NewDay VFN-F1 V1 and V2 when DBRS assigned ratings, on 5 July 2017 for NewDay 2017-1 when DBRS finalised its provisional ratings and on 16 June 2017 for NewDay 2015-1, 2015-2, and 2016-1 when DBRS confirmed its ratings.

The lead analyst responsibilities for NewDay 2017-1, VFN-F1 V1 and V2 have been transferred to Kevin Ma.

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 to the parameters used to determine the rating (the “Base Case”). The Base Case assumptions are: Charge-Off Rate 16%, Monthly Principal Payment Rate 8%, and Yield Rate 28%.

The following four stress scenarios were applied:
Scenario 1: a 25% increase on the Base Case Charge-Off Rate.
Scenario 2: a 25% decrease on the Base Case Principal Payment Rate.
Scenario 3: a 25% decrease on the Base Case Yield Rate.
Scenario 4: a 15% increase on the Base Case Charge-Off Rate, 15% decrease on the Base Case Principal Payment Rate base case and 15% decrease on the Base Case Yield Rate.

The expected ratings for the Notes under each stress scenario are:

NewDay 2015-1
Class A Notes: AAA (sf), AAA (sf), AAA (sf), AAA (sf)
Class B Notes: AA (high) (sf), AA (high) (sf), AA (high) (sf), AA (high) (sf)
Class C Notes: A (high) (sf), A (sf), A (high) (sf), A (high) (sf)
Class D Notes: BBB (high) (sf), BBB (low) (sf), BBB (high) (sf), BBB (high) (sf)
Class E Notes: BB (high) (sf), BB (sf), BB (high) (sf), BB (high) (sf)
Class F Notes: B (high) (sf), B (high) (sf), B (high) (sf), B (high) (sf)

NewDay 2015-2
Class A Notes: AAA (sf), AAA (sf), AAA (sf), AAA (sf)
Class B Notes: AA (high) (sf), AA (high) (sf), AA (high) (sf), AA (high) (sf)
Class C Notes: A (high) (sf), A (sf), A (high) (sf), A (high) (sf)
Class D Notes: BBB (high) (sf), BBB (low) (sf), BBB (high) (sf), BBB (high) (sf)
Class E Notes: BB (high) (sf), BB (sf), BB (high) (sf), BB (high) (sf)
Class F Notes: B (high) (sf), B (high) (sf), B (high) (sf), B (high) (sf)

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

NewDay 2017-1
Class A Notes: AAA (sf), AAA (sf), AAA (sf), AAA (sf)
Class B Notes: AA (high) (sf), AA (sf), AA (high) (sf), AA (high) (sf)
Class C Notes: A (high) (sf), A (low) (sf), A (high) (sf), A (high) (sf)
Class D Notes: BBB (low) (sf), BB (high) (sf), BBB (sf), BBB (sf)
Class E Notes: BB (low) (sf), BB (low) (sf), BB (sf), BB (low) (sf)
Class F Notes: B (sf), B (high) (sf), B (sf), B (sf)

NewDay VFN-F1 V1
Class A Notes: BBB (low) (sf), BB (high) (sf), BBB (low) (sf), BBB (low) (sf)
Class E Notes: BB (low) (sf), BB (low) (sf), BB (low) (sf), B (high) (sf)
Class F Notes: B (sf), B (sf), B (low) (sf), B (low) (sf)

NewDay VFN-F1 V2
Class A Notes: AAA (sf), AAA (sf), AAA (sf), AAA (sf)
Class B Notes: AA (high) (sf), AA (low) (sf), AA (high) (sf), AA (high) (sf)
Class C Notes: A (high) (sf), A (low) (sf), A (high) (sf), A (high) (sf)
Class D Notes: BBB (low) (sf), BB (high) (sf), BBB (low) (sf), BBB (low) (sf)
Class E Notes: BB (low) (sf), BB (low) (sf), BB (low) (sf), B (high) (sf)
Class F Notes: B (sf), B (sf), B (low) (sf), B (low) (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 and US regulations only.

Lead Analyst: Kevin Ma, Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 15 June 2015 for NewDay 2015-1; 12 November 2015 for NewDay 2015-2; 8 September 2016 for NewDay 2016-1; 16 June 2017 for NewDay 2017-1; 15 December 2017 for NewDay VFN-F1 V1 and V2.

DBRS Ratings Limited
20 Fenchurch Street, 31st Floor, London EC3M 3BY United Kingdom
Registered in England and Wales: No. 7139960

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

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

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.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.