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���������ֳ� - London - 16 Nov 2021: ���������ֳ� has assigned NewDay Funding Master Issuer Plc's Series 2021-3 notes expected ratings with Stable Outlooks, as detailed below.

Asset performance has been healthy during the pandemic. There have only been small increases in delinquencies and charge-offs so far. Charge-offs have remained below our 18% charge-off steady state with yield and monthly payment rate reasonably stable, and converging back to pre-pandemic levels. We expect there will be short term performance fluctuations. As the furlough scheme is reaching its end, we expect delinquencies and charge-offs to increase as unemployment rises. However, we expect it to be less severe than our previous expectation, and we do not expect the stress on the trust's performance to be long term.

���������ֳ� also expects to affirm NewDay Funding's existing series with Stable Outlooks when it assigns series 2021-3 final ratings.

Transaction Summary

The series 2021-3 notes will be collateralised by a pool of non-prime UK credit card receivables. NewDay is one of the largest specialist credit card companies in the UK, where it is also active in the retail credit card market. However, the co-brand retail card receivables do not form part of this transaction.

The collateralised pool consists of an organic book originated by NewDay Ltd, with continued originations of new accounts, and a closed book consisting of two legacy pools acquired by the originator in 2007 and 2010. NewDay started originating accounts within the legacy pools, albeit in low numbers, in 2015. The securitised pool of assets is beneficially held by NewDay Funding Receivables Trustee Ltd.

KEY RATING DRIVERS

Non-Prime Asset Pool: The portfolio consists of non-prime UK credit card receivables. ���������ֳ� assumes a steady-state charge-off rate of 18%, with a stress on the low end of the spectrum (3.5x for 'AAAsf'), considering the high absolute level of the steady-state assumption and lower historical volatility in charge-offs.

As is typical in the non-prime credit card sector, the portfolio has low payment rates and high yield. ���������ֳ� assumed a steady-state monthly payment rate of 10% with a 45% stress at 'AAAsf', and a steady state yield of 30% with a 40% stress at 'AAAsf'. ���������ֳ� also assumed a 0% purchase rate in the 'Asf' category and above, considering that the seller is unrated and the reduced probability of a non-prime portfolio being taken over by a third party in a high-stress environment. 

Resilient to Coronavirus Impact: Charge-offs and delinquencies have so far been resilient to the impact of the coronavirus pandemic, aided by payment deferment and furlough measures. The share of the portfolio subject to payment holidays (as part of their regular forbearance measures) has now reduced substantially from an initial peak, with furlough schemes recently phased out. ���������ֳ� expects a moderate rise in unemployment translating into some performance deterioration into 2022.

���������ֳ� has nevertheless maintained its steady-state assumptions at existing levels, as we do not expect any deterioration to be a long-term deviation. We also consider the fact that charge-offs have remained below the steady-state in recent years, and that NewDay has applied stricter lending criteria since the onset of the pandemic.

Variable Funding Notes Add Flexibility: The structure employs a separate Originator VFN, purchased and held by NewDay Funding Transferor Ltd (the transferor), in addition to Series VFN-F1 and VFN-F2 providing the funding flexibility that is typical and necessary for credit card trusts. It provides credit enhancement to the rated notes, adds protection against dilution by way of a separate functional transferor interest and meets the UK and US risk retention requirements.

Key Counterparties Unrated: The NewDay Group will act in several capacities through its various entities, most prominently as originator, servicer and cash manager. The degree of reliance is mitigated in this transaction by the transferability of operations, agreements with established card service providers, a back-up cash management agreement and a series-specific liquidity reserve.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to negative rating action/downgrade:

This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modelling process uses the modification of these variables to reflect asset performance in upside and downside environments. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance.

Rating sensitivity to increased charge-off rate:

Increase steady state by 25% / 50% / 75%

Series 2021-3 A: 'AAsf' / 'AA-sf' / 'A+sf'

Series 2021-3 B: 'A+sf' / 'Asf' / 'A-sf'

Series 2021-3 C: 'BBB+sf' / 'BBBsf' / 'BBB-sf'

Series 2021-3 D: 'BB+sf' / 'BBsf' / 'BB-sf'

Series 2021-3 E: 'B+sf' / 'Bsf' / N.A.

Series 2021-3 F: 'Bsf' / N.A. / N.A.

Rating sensitivity to reduced monthly payment rate (MPR):

Reduce steady state by 15% / 25% / 35%

Series 2021-3 A: 'AAsf' / 'AA-sf' / 'A+sf'

Series 2021-3 B: 'A+sf' / 'Asf' / 'A-sf'

Series 2021-3 C: 'A-sf' / 'BBB+sf' / 'BBBsf'

Series 2021-3 D: 'BBB-sf' / 'BB+sf' / 'BBsf'

Series 2021-3 E: 'BB-sf' / 'BB-sf' / 'B+sf'

Series 2021-3 F: 'B+sf' / 'Bsf' / 'Bsf'.

Rating sensitivity to reduced purchase rate:

Reduce steady state by 50% / 75% / 100%

Series 2021-3 D: 'BBBsf' / 'BBB-sf' / 'BBB-sf'

Series 2021-3 E: 'BB-sf' / 'BB-sf' / 'BB-sf'

Series 2021-3 F: 'B+sf' / 'B+sf' / 'Bsf'

No rating sensitivities are shown for the class A to C notes, as ���������ֳ� is already assuming a 100% purchase rate stress in these rating scenarios.

Rating sensitivity to increased charge-off rate and reduced MPR:

Increase steady-state charge-offs by 25% / 50% / 75% and reduce steady-state MPR by 15% / 25% / 35%

Series 2021-3 A: 'AA-sf' / 'A-sf' / 'BBBsf'

Series 2021-3 B: 'Asf' / 'BBBsf' / 'BB+sf'

Series 2021-3 C: 'BBBsf' / 'BB+sf' / 'BB-sf'

Series 2021-3 D: 'BBsf' / 'B+sf' / N.A.

Series 2021-3 E: 'B+sf' / N.A. / N.A.

Series 2021-3 F: N.A. / N.A. / N.A.

Factors that could, individually or collectively, lead to positive rating action/upgrade:

Rating sensitivity to reduced charge-off rate:

Reduce steady state by 25%

Series 2021-3 B: 'AAAsf'

Series 2021-3 C: 'AA-sf'

Series 2021-3 D: 'A-sf'

Series 2021-3 E: 'BBB-sf'

Series 2021-3 F: 'BBsf'

The class A notes cannot be upgraded given the notes are already rated at 'AAAsf', which is the highest level on ���������ֳ�'s rating scale.

Best/Worst Case Rating Scenario

International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. For more information about the methodology used to determine sector-specific best- and worst-case scenario credit ratings, visit /site/re/10111579.

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10

Form ABS Due Diligence-15E was not provided to, or reviewed by, ���������ֳ� in relation to this rating action.

DATA ADEQUACY

NewDay Funding Master Issuer Plc

���������ֳ� has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. ���������ֳ� has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.

Form ABS Due Diligence-15E was not provided to, or reviewed by, ���������ֳ� in relation to this rating action

Prior to the transaction closing, ���������ֳ� reviewed the results of a third party assessment conducted on the asset portfolio information and concluded that there were no findings that affected the rating analysis.

Overall, and together with any assumptions referred to above, ���������ֳ�'s assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING

The principal sources of information used in the analysis are described in the Applicable Criteria.

REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS

A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool is available by clicking the link to the Appendix. The appendix also contains a comparison of these RW&Es to those ���������ֳ� considers typical for the asset class as detailed in the Special Report titled 'Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions'.

ESG Considerations

Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. For more information on ���������ֳ�'s ESG Relevance Scores, visit

Additional information is available on

APPLICABLE MODELS

Numbers in parentheses accompanying applicable model(s) contain hyperlinks to criteria providing description of model(s).

• Global Credit Card Cash Flow Model, v1.12.0 (1)

ADDITIONAL DISCLOSURES

• Dodd-Frank Rating Information Disclosure Form
• Solicitation Status
• Endorsement Policy

ENDORSEMENT STATUS