Press Release

DBRS Assigns Ratings to NewDay Funding 2016-1 Notes

Consumer Loans & Credit Cards
September 08, 2016

DBRS Ratings Limited (DBRS) has today assigned ratings to the Class A, Class B, Class C, Class D, Class E and Class F Notes (collectively, the Notes) issued by NewDay Funding 2016-1 Plc (The Issuer) as follows:

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

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

The rating rationale included:
-- The sufficiency of available credit enhancement in the form of subordination (51.2% for the Class A, 44.1% for the Class B, 33.6% for the Class C, 19.3% for the Class D, 11.7% for the Class E and 6.5% for the Class F), 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 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 and the consistency with the DBRS “Legal Criteria for European Structured Finance Transactions”.

As the Issuer is part of a master issuance structure where all series of notes are supported by the same pool of receivables and generally issued under the same requirements regarding servicing, amortisation events, priority of distributions and eligible investments, DBRS notes that the issuance of the Notes will not result in a downgrade or withdrawal of the ratings listed below:

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

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

Notes issued by NewDay Funding Loan Note Issuer:
-- BBB (high)(sf) for 2015-VFN Notes

The transaction was modelled in DaVinci, a DBRS proprietary cashflow model.

Notes:
All figures are in GBP unless otherwise noted. The principal methodology applicable is:

“Rating 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.

An asset and a cashflow 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 information used for this rating include performance data relating to the receivables provided by the Originator. DBRS received updated monthly dynamic and static performance data relating to yield rates, payment rates, charge-off rates, and originations dating back to January 2009. Data was providing in the form of time series analysis as well as vintage curves, both divided by cohort. Furthermore, stratification tables were provided for the securitised pool.

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

DBRS was supplied with third party assessments at the issuance of the Notes. However, this did not impact the rating analysis.

DBRS considers the information available to it for the purposes of providing this rating to be 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.

These ratings concern newly issued financial instruments. This is the first DBRS rating on these financial instruments.

Information regarding DBRS ratings, including definitions, policies and methodologies, is 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 of 15%, stressed with a 25% and 50% increase on the base case charge-off rate
-- Monthly Principal Payment Rate Used: Base Case of 8%, stressed with a 25% and 50% decrease on the base case payment rate
-- Yield Rate Used: Base Case of 28%, stressed with a 25% and 50% decrease on the base case yield rate

DBRS concludes that for the Notes:

-- Whilst 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.
-- Whilst 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.
-- Whilst 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.
-- Whilst 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.
-- Whilst 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.
-- Whilst 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.

-- Whilst 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.
-- Whilst 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.
-- Whilst 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.
-- Whilst 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.
-- Whilst 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.
-- Whilst 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.

-- Whilst 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.
-- Whilst 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.
-- Whilst 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.
-- Whilst 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 C Notes to BBB(high) (sf).
-- Whilst 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.
-- Whilst 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 Class C Notes to A (sf).

-- Whilst 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.
-- Whilst 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 D Notes to BB (sf).
-- Whilst 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.
-- Whilst 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 D Notes to B (high) (sf).
-- Whilst 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.
-- Whilst 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 Class D Notes to BB (high) (sf).

-- Whilst 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 Class E Notes to BB (sf).
-- Whilst 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 Notes to below B.
-- Whilst 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 Class E Notes to BB (sf).
-- Whilst 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 Notes to below B.
-- Whilst 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 Notes to BB (low) (sf).
-- Whilst 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 Class E to B (high) (sf).

-- Whilst 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 Class F Notes to B (sf).
-- Whilst 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 Notes to below B.
-- Whilst 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.
-- Whilst 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 Notes to below B.
-- Whilst 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.
-- Whilst 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 Class F Notes to 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.

Initial Lead Analyst: Kevin Chiang, Senior Vice President, Global Structured Finance
Initial Rating Date: 8 September 2016
Initial Rating Committee Chair: Chuck Weilamann, Managing Director, Head of US ABS, Global Structured Finance

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

Legal Criteria for European Structured Finance Transactions
Operational Risk Assessment for European Structured Finance Servicers
Operational Risk Assessment for European Structured Finance Originators
Unified Interest Rate Model for Euroopean 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

Ratings

  • US = Lead Analyst based in USA
  • CA = Lead Analyst based in Canada
  • EU = Lead Analyst based in EU
  • UK = Lead Analyst based in UK
  • E = EU endorsed
  • U = UK endorsed
  • Unsolicited Participating With Access
  • Unsolicited Participating Without Access
  • Unsolicited Non-participating

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