DBRS Confirms Ratings on NewDay Funding Notes

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), and NewDay Funding Loan Note Issuer Ltd (Loan Note Issuer) as follows:

NewDay 2015-1:
-- 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)

NewDay 2015-2:
-- 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)

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

The rating actions are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies and charge-offs, is within DBRS’s expectations.
-- Current credit enhancement (CE) available to the Notes to cover the expected losses at each tranche’s 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.

As of 31 May 2016, the portfolio is performing within DBRS’s expectations. Receivables more than 90 days delinquent as a percentage of the portfolio balance are 3.65%. Gross charge-off rate is 13.06% and the gross portfolio yield is 33.75%. DBRS has maintained the same portfolio assumptions in this rating review as in the last rating action.

As all series are in a revolving period, the CE to each rated Class of Notes remains the same as the last rating action. As of the June 2016 Payment Date, for NewDay 2015-1, the available CE is 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%.

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 is: the Master European Structured Finance Surveillance Methodology, which can be found on www.dbrs.com at http://www.dbrs.com/about/methodologies.

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. However, due to the inclusion of a revolving period in the transaction and no change in assumptions, the initial analysis based on worst-case replenishment criteria set forth in the transaction legal documents was assumed.

A review of the transaction legal documents was not conducted as the documents have remained unchanged since the most recent rating action.
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 includes the investor report from NewDay Ltd.

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

DBRS was not supplied with third party assessments. 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.

The last rating action on this transaction took place on 12 November 2015, when DBRS assigned ratings to the Notes in NewDay 2015-2. Prior to that, DBRS assigned ratings to the Notes in NewDay 2015-1 and to the Series 2015-VFN Loan Note on 24 June 2015.

The lead surveillance responsibilities for these transactions have been transferred to Kevin Ma.

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 to the parameters used to determine the rating (the Base Case):

-- Charge-Off Rate Used: Base Case: 15%, 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: 8%, stressed with 25% and 50% decrease on the base case.
-- Purchase Rate Used: No purchases were assumed, a 0% Purchase Rate.

Sensitivity Results for NewDay 2015-1
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 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 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 A (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 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 A (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 (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 D Notes rating of BB (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 B (high) (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 (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 CCC (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 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 B (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 E Notes rating of BB (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 CCC (high) (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 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 C (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 (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 F 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 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 CCC (high) (sf).

Sensitivity Results for NewDay 2015-2
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 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 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 A (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 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 A (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 (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 D Notes rating of BB (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 B (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 (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 CCC (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 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 B (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 E Notes rating of BB (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 CCC (high) (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 CCC (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 F Notes rating of C (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 (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 F 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 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 CCC (high) (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 (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 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 (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 A 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 A 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 A Notes rating of BB (low) (sf).

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.

NewDay 2015-1, Loan Note Issuer
Initial Lead Analyst: Alessio Pignataro, Vice President
Initial Rating Date: 15 June 2015
Initial Rating Committee Chair: Jamie Feehely, Managing Director

NewDay 2015-2
Initial Lead Analyst: Kevin Chiang, Senior Vice President
Initial Rating Date: 12 November 2015
Initial Rating Committee Chair: Jamie Feehely, Managing Director

Lead Surveillance Analyst: Kevin Ma, Assistant Vice President
Rating Committee Chair: Chuck Weilamann, Managing Director

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 this transaction can be found at: http://www.dbrs.com/about/methodologies

-- Unified Interest Rate Model for European Securitizations
-- Legal Criteria for European Structured Finance Transactions
-- Master European Structured Finance Surveillance Methodology
-- Operational Risk Assessment for European Structured Finance Servicers
-- Operational Risk Assessment for European Structured Finance Originators
-- 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