DBRS Finalizes Provisional Ratings on NewDay Funding 2015-1 and 2015-VFN Notes

DBRS Ratings Limited (DBRS) has today finalized the provisional ratings on the Class A, Class B, Class C, Class D, Class E and Class F notes (collectively, the Notes) issued by NewDay Funding 2015-1 Plc (the Issuer) as follows:

-- AAA (sf) to Class A Asset Backed Floating Rate Notes
-- AA (high) (sf) to Class B Asset Backed Floating Rate Notes
-- A (high) (sf) to Class C Asset Backed Floating Rate Notes
-- BBB (high) (sf) to Class D Asset Backed Floating Rate Notes
-- BB (high) (sf) to Class E Asset Backed Floating Rate Notes
-- B (high) (sf) to Class F Asset Backed Floating Rate Notes

DBRS has also finalized the provisional rating of BBB (high) (sf) on the Series 2015-VFN Loan Note (Senior VFN) issued by the NewDay Funding Loan Note Issuer Ltd.

The Notes and Senior VFN are backed by credit card receivables originated and/or acquired by NewDay Ltd, the Originator, in the United Kingdom.

The ratings are based on the considerations listed below:
-- The sufficiency of available credit enhancement in the form of subordination (50.9% for Class A, 43.7% for Class B, 33.1% for Class C, 18.4% for Class D, 10.8% for Class E, 5.7% for Class F and 18.3% for Senior VFN), liquidity reserve funds and excess spread.
-- The ability of the transaction’s structure and triggers to withstand stressed cash flow assumptions and repay the Notes and Senior VFN in full according to the terms of the transaction documents.
-- The Originator and its delegates’ capabilities of performing activities with respect to originations, underwriting, cash management, data processing and servicing.
-- The legal structure and presence of legal opinions addressing the assignment of the assets to the Receivables Trustee and the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

Notes:
All figures are in GBP Sterling unless otherwise noted.

The principal methodology applicable is the Rating European Consumer and Commercial Asset-Backed Securitisations. DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology. Due to the inclusion of a revolving period in the transaction, the collateral was initially modelled based on the worst-case replenishment criteria set forth in the transaction legal documents.

Other methodologies referenced in this transaction are listed at the end of this press release. This 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 information used for this rating include performance data relating to the receivables provided by the Originator through the arranger, Citigroup Global Markets. DBRS received monthly dynamic historical performance data and static performance by cohort on payment, yield, loss and recovery data relating to originations going back to January 2009.

DBRS does not rely upon third-party due diligence in order to conduct its analysis. DBRS was supplied with third-party assessment. However, this did not impact the rating analysis.

DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

This rating concerns a newly issued financial instrument. This is the first DBRS rating on this financial instrument.

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

To assess the impact of the 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 of 15%, a 25% and 50% increase on the base case.
-- Principal Payment Rate Used: Base case of 8%, a 25% and 50% decrease of the base case.
-- Yield Rate Used: Base Case of 28%, a 25% and 50% decrease on the base case.

DBRS concludes that for the Notes and Senior VFN:

-- 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 not result in a downgrade of the AAA (sf) rating of the Class A.
-- While holding the Payment Rate constant, a hypothetical increase of the base case Charge-Off Rate by 50% and a hypothetical decrease of the base case Yield Rate by 50%, ceteris paribus, would not result in a downgrade of the AAA (sf) rating of the Class A.
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base case Payment Rate by 25% and a hypothetical decrease of the base case Yield Rate by 25%, ceteris paribus, would not result in a downgrade of the AAA (sf) rating of the Class A.
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base case Payment Rate by 50% and a hypothetical decrease of the base case Yield Rate by 50%, ceteris paribus, would not result in a downgrade of the AAA (sf) rating of the Class A.
-- While holding the Yield Rate constant, a hypothetical decrease of the base case Payment Rate by 25% and a hypothetical increase of the base case Charge-Off Rate by 25%, ceteris paribus, would not result in a downgrade of the AAA (sf) rating of the Class A.
-- While holding the Yield Rate constant, a hypothetical decrease of the base case Payment Rate by 50% and a hypothetical increase of the base case Charge-Off Rate by 50%, ceteris paribus, would not result in a downgrade of the AAA (sf) rating of the Class A.

-- 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 not result in a downgrade of the AA (high) (sf) rating of the Class B.
-- While holding the Payment Rate constant, a hypothetical increase of the base case Charge-Off Rate by 50% and a hypothetical decrease of the base case Yield Rate by 50%, ceteris paribus, would not result in a downgrade of the AA (high) (sf) rating of the Class B.
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base case Payment Rate by 25% and a hypothetical decrease of the base case Yield Rate by 25%, ceteris paribus, would not result in a downgrade of the AA (high) (sf) rating of the Class B.
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base case Payment Rate by 50% and a hypothetical decrease of the base case Yield Rate by 50%, ceteris paribus, would not result in a downgrade of the AA (high) (sf) rating of the Class B.
-- While holding the Yield Rate constant, a hypothetical decrease of the base case Payment Rate by 25% and a hypothetical increase of the base case Charge-Off Rate by 25%, ceteris paribus, would not result in a downgrade of the AA (high) (sf) rating of the Class B.
-- While holding the Yield Rate constant, a hypothetical decrease of the base case Payment Rate by 50% and a hypothetical increase of the base case Charge-Off Rate by 50%, ceteris paribus, would not result in a downgrade of the AA (high) (sf) rating of the Class B.

-- 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 not result in a downgrade of the A (high) (sf) rating of the Class C.
-- While holding the Payment Rate constant, a hypothetical increase of the base case Charge-Off Rate by 50% and a hypothetical decrease of the base case Yield Rate by 50%, ceteris paribus, would not result in a downgrade of the A (high) (sf) rating of the Class C.
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base case Payment Rate by 25% and a hypothetical decrease of the base case Yield Rate by 25%, ceteris paribus, would not result in a downgrade of the A (high) (sf) rating of the Class C.
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base case Payment Rate by 50% and a hypothetical decrease of the base case Yield Rate by 50%, ceteris paribus, would not result in a downgrade of the A (high) (sf) rating of the Class C.
-- While holding the Yield Rate constant, a hypothetical decrease of the base case Payment Rate by 25% and a hypothetical increase of the base case Charge-Off Rate by 25%, ceteris paribus, would not result in a downgrade of the A (high) (sf) rating of the Class C.
-- While holding the Yield Rate constant, a hypothetical decrease of the base case Payment Rate by 50% and a hypothetical increase of the base case Charge-Off Rate by 50%, ceteris paribus, would not result in a downgrade of the A (high) (sf) rating of the Class C.

-- 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 not result in a downgrade of the BBB (high) (sf) rating of the Class D.
-- While holding the Payment Rate constant, a hypothetical increase of the base case Charge-Off Rate by 50% and a hypothetical decrease of the base case Yield Rate by 50%, ceteris paribus, would not result in a downgrade of the BBB (high) (sf) rating of the Class D.
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base case Payment Rate by 25% and a hypothetical decrease of the base case Yield Rate by 25%, ceteris paribus, would not result in a downgrade of the BBB (high) (sf) rating of the Class D.
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base case Payment Rate by 50% and a hypothetical decrease of the base case Yield Rate by 50%, ceteris paribus, would not result in a downgrade of the rating of the Class D to BBB (low) (sf).
-- While holding the Yield Rate constant, a hypothetical decrease of the base case Payment Rate by 25% and a hypothetical increase of the base case Charge-Off Rate by 25%, ceteris paribus, would not result in a downgrade of the BBB (high) (sf) rating of the Class D.
-- While holding the Yield Rate constant, a hypothetical decrease of the base case Payment Rate by 50% and a hypothetical increase of the base case Charge-Off Rate by 50%, ceteris paribus, would not result in a downgrade of the BBB (high) (sf) rating of the Class D.

-- 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 not result in a downgrade of the BB (high) (sf) rating of the Class E.
-- While holding the Payment Rate constant, a hypothetical increase of the base case Charge-Off Rate by 50% and a hypothetical decrease of the base case Yield Rate by 50%, ceteris paribus, would result in a downgrade of the rating of the Class E to below B.
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base case Payment Rate by 25% and a hypothetical decrease of the base case Yield Rate by 25%, ceteris paribus, would not result in a downgrade of the BB (high) (sf) rating of the Class E.
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base case Payment Rate by 50% and a hypothetical decrease of the base case Yield Rate by 50%, ceteris paribus, would result in a downgrade of the rating of the Class E to below B.
-- While holding the Yield Rate constant, a hypothetical decrease of the base case Payment Rate by 25% and a hypothetical increase of the base case Charge-Off Rate by 25%, ceteris paribus, would result in a downgrade of the rating of the Class E to BB.
-- While holding the Yield Rate constant, a hypothetical decrease of the base case Payment Rate by 50% and a hypothetical increase of the base case Charge-Off Rate by 50%, ceteris paribus, would not result in a downgrade of the BB (high) (sf) rating of the Class E.

-- 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 not result in a downgrade of the B (high) (sf) rating of the Class F.
-- While holding the Payment Rate constant, a hypothetical increase of the base case Charge-Off Rate by 50% and a hypothetical decrease of the base case Yield Rate by 50%, ceteris paribus, would result in a downgrade of the rating of the Class F to below B.
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base case Payment Rate by 25% and a hypothetical decrease of the base case Yield Rate by 25%, ceteris paribus, would not result in a downgrade of the B (high) (sf) rating of the Class F.
-- While holding the Charge-Off Rate constant, a hypothetical decrease of the base case Payment Rate by 50% and a hypothetical decrease of the base case Yield Rate by 50%, ceteris paribus, would result in a downgrade of the rating of the Class F to below B.
-- While holding the Yield Rate constant, a hypothetical decrease of the base case Payment Rate by 25% and a hypothetical increase of the base case Charge-Off Rate by 25%, ceteris paribus, would not result in a downgrade of the B (high) (sf) rating of the Class F.
-- While holding the Yield Rate constant, a hypothetical decrease of the base case Payment Rate by 50% and a hypothetical increase of the base case Charge-Off Rate by 50%, ceteris paribus, would not result in a downgrade of the B (high) (sf) rating of the Class E.

-- 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 result in a downgrade of the rating of the Senior VFN to 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 base case Yield Rate by 50%, ceteris paribus, would result in a downgrade of the rating of the Senior VFN to 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 base case Yield Rate by 25%, ceteris paribus, would result in a downgrade of the rating of the Senior VFN to 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 base case Yield Rate by 50%, ceteris paribus, would result in a downgrade of the rating of the Senior VFN to B (high) (sf).
-- While holding the Yield Rate constant, a hypothetical decrease of the base case Payment Rate by 25% and a hypothetical increase of the base case Charge-Off Rate by 25%, ceteris paribus, would result in a downgrade of the rating of the Senior VFN to BBB (sf).
-- While holding the Yield Rate constant, a hypothetical decrease of the base case Payment Rate by 50% and a hypothetical increase of the base case Charge-Off Rate by 50%, ceteris paribus, would result in a downgrade of the rating of the Senior VFN to BBB (low) (sf).

The full report providing additional analytical detail is available by clicking on the link or by contacting us at info@dbrs.com.

For further information on DBRS historic default rates published by the European Securities and Markets Administration (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.

Initial Lead Analyst: Alessio Pignataro
Initial Rating Date: 15 June 2015
Initial Rating Committee Chair: Jamie Feehely, Managing Director, Canadian Structured Finance

Lead Surveillance Analyst: Vito Natale
Rating Committee Chair: TBD

DBRS Ratings Limited
1 Minster Court, 10th Floor Mincing Lane
London EC3R 7AA
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
Operational Risk Assessment for European Structured Finance Servicers
Unified Interest Rate Model for European Securitisations
Rating European Consumer and Commercial Asset-Backed Securitisations

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