DBRS Confirms Ratings of NewDay Partnership Funding plc

DBRS Ratings Limited (DBRS) confirmed its ratings of the Notes issued by NewDay Partnership Funding 2017-1 plc (NewDay Partnership 2017-1), NewDay Partnership Funding Loan Note Issuer VFN-P1 V1 (Sub Series V1) and NewDay Partnership Funding Loan Note Issuer VFN-P1 V2 (Sub Series V2), as follows:

NewDay Partnership 2017-1:
-- AAA (sf) on the Class A Notes
-- AAA (sf) on the Class B Notes
-- AA (high) (sf) on the Class C Notes
-- A (sf) on the Class D Notes
-- BBB (sf) on the Class E Notes
-- B (sf) on the Class F Notes

Sub Series V1:
-- A (sf) on the Class A Loan Note
-- BB (sf) to the Class E Loan Note
-- B (sf) to the Class F Loan Note

Sub Series V2:
-- AAA (sf) on the Class A Loan Note
-- AAA (sf) on the Class B Loan Note
-- AA (high) (sf) on the Class C Loan Note
-- A (sf) on the Class D Loan Note
-- BB (sf) on the Class E Loan Note
-- B (sf) on the Class F Loan Note

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 co-branded high street retailer credit card, store card receivables and instalment credit loans originated by NewDay Ltd. (NewDay or the Originator) in the United Kingdom. All series are in their respective revolving period.

PORTFOLIO PERFORMANCE AND ASSUMPTIONS
As of the July 2018 payment date, receivables more than 90 days delinquent represented 0.9% of the outstanding portfolio balance. At the same time, the Gross Charge-Off Rate was 3.4% and the Monthly Payment Rate was at 26.7%. The performance is within DBRS’s expectations. DBRS has maintained the Gross Charge-Off Rate, the Portfolio Yield Rate, and the Monthly Principal Payment Rate assumptions.

CREDIT ENHANCEMENT
As all the series are in a revolving period, the CE to all the Notes remain the same. In addition to subordination, CE is provided in the form of a liquidity reserve and excess spread.

Citibank N.A./London Branch (Citibank) acts as the Account Bank for all the transactions. DBRS’s private rating of Citibank is consistent with the Minimum Institution Rating criteria given the rating assigned to the 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. Due to the inclusion of a revolving period in the transaction, the analysis continues to be based on the worst-case replenishment criteria set forth in the transaction legal documents.

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 Partnership 2017-1, Sub Series V1 and Sub Series V2.

The lead analyst responsibilities for NewDay Partnership 2017-1, Sub Series V1 and Sub Series V2 have been transferred to Alfonso Candelas.

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 5.0%, Monthly Principal Payment Rate 20.5%, and Yield Rate 19.0%.

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 Partnership 2017-1
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: A (low) (sf), A (sf), A (sf), A (low) (sf)
Class E Notes: BBB (sf), BBB (sf), BBB (sf), BBB (sf)
Class F Notes: B (sf), B (sf), B (sf), B (sf)

Sub Series V1
Class A Notes: A (low) (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)

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: A (low) (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: Alfonso Candelas, Senior Vice President
Rating Committee Chair: Vito Natale, Senior Vice President
Initial Rating Dates:
NewDay Partnership 2017-1: 17 October 2017
Sub Series V1: 15 December 2017
Sub Series V2: 15 December 2017

DBRS Ratings Limited
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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.