DBRS Assigns Ratings to VFN-P1 Sub-Series V1 and V2 Issued by NewDay Partnership Loan Note Issuer Ltd

DBRS Ratings Limited (DBRS) assigned ratings to the Sub-series V1 and V2 of the VFN-P1 Loan Notes (collectively, the Notes) issued by NewDay Partnership Loan Note Issuer Ltd as follows:

In respect of Sub-series V1:
-- A (sf) to the Class A Notes
-- BB (sf) to the Class E Notes
-- B (sf) to the Class F Notes

In respect of Sub-series V2:
-- AAA (sf) to the Class A Notes
-- AAA (sf) to the Class B Notes
-- AA (high) (sf) to the Class C Notes
-- A (sf) to the Class D Notes
-- BB (sf) to the Class E Notes
-- B (sf) to the Class F Notes

The ratings of the Class A Notes address the timely payment of interest and the ultimate payment of principal by the final maturity date. The ratings of other classes of the Notes address the ultimate payment of interest and principal by the final maturity date.

The ratings are based on the considerations listed below:
-- The sufficiency of available credit enhancement in the form of subordination, a liquidity reserve (if applicable) 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 (if any) 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 DBRS’s “Legal Criteria for European Structured Finance Transactions” methodology.

The transaction cash flow structure was analysed in DBRS’s proprietary Excel-based tool.

Notes:
All figures are in British pound sterling unless otherwise noted.

The principal methodology applicable to the ratings is “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.

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 “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 performance data relating to the receivables provided by the Originator directly. DBRS received monthly dynamic historical performance data and static performance data for the entire book and sub-portfolios of each affiliated retailer in respect of receivables balances, payment rates, yield, purchases (from January 2007 to July 2017), delinquencies (from December 2007 to July 2017), recoveries (from January 2012 to July 2017) and charge-offs (from July 2009 to July 2017). Furthermore, updated stratification tables were provided for the securitised pool.

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

At the time of the initial rating, DBRS was not 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 ratings concern newly issued financial instruments. These are the first DBRS ratings on these financial instruments.

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”):
-- Charge-Off Rate: Base case of 5.0%.
-- Principal Payment Rate: Base case of 20.5%.
-- Yield Rate: Base Case of 19.0%.

Scenario 1: a 25% decrease on the Principal Payment Rate base case.
Scenario 2: a 25% increase on the Charge-Off Rate base case.
Scenario 3: a 25% decrease on the Yield Rate base case.
Scenario 4: a 15% decrease on the Principal Payment Rate base case, 15% increase on the Charge-Off Rate base case and 15% decrease on the Yield Rate base case.

DBRS concludes that the expected ratings under the four stress scenarios are:

In respect of Sub-series V1:
-- Class A Notes: BBB (high) (sf), A (sf), A (sf), A (low) (sf).
-- Class E Notes: BB (sf), BB (sf), BB (sf), BB (sf)
-- Class F Notes: B (sf), B (sf), B (sf), B (sf)

In respect of Sub-series V2:
-- Class A Notes: AAA (sf), AAA (sf), AAA (sf), AAA (sf).
-- Class B Notes: AAA (sf), AAA (sf), AAA (sf), AAA (sf).
-- Class C Notes: AA (sf), AA (sf), AA (high) (sf), AA (sf).
-- Class D Notes: BBB (high) (sf), A (sf), A (sf), A (low) (sf).
-- Class E Notes: BB (sf), BB (sf), BB (sf), BB (sf)
-- Class F Notes: B (sf), B (sf), B (sf), 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 and US regulations only.

Lead Analyst: Kevin Chiang, Senior Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director Initial Rating Date: 15 December 2017

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.

-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- 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 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.

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