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���������ֳ� - London - 04 Nov 2022: ���������ֳ� has assigned NewDay Funding Master Issuer Plc - Series 2022-3 notes expected ratings, as detailed below.

The assignment of final ratings is contingent on the receipt of final documentation conforming to information already reviewed. ���������ֳ� expects to affirm NewDay Funding's existing series when it assigns Series 2022-3 final ratings.

Transaction Summary

The Series 2022-3 notes to be issued by NewDay Funding Master Issuer Plc 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 Merchant Offering 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. The legacy pools now only account for a small portion of the total pool. 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 low historical volatility of charge-offs.

As is typical in the non-prime credit card sector, the portfolio had 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 there is reduced probability of a non-prime portfolio being taken over by a third-party in a high-stress environment.

Good Performance Deterioration Expected: Delinquency and charge-off rates are below pre-pandemic levels and the monthly payment rate has been strong. However, ���������ֳ� expects performance to deteriorate as the global energy supply shock is increasing inflationary pressures, affecting households' purchasing power, especially those with less financial flexibility, a key demographic for this portfolio.

Card usage may be the main way to bridge temporary household finance pressure, which in ���������ֳ�'s view could be a source of performance stress. ���������ֳ� will monitor for significant shifts in historical usage patterns, but although downside risks have materially increased, the portfolio's current good performance provides some headroom for deterioration before reaching the long-term steady-state level. On balance, current assumptions therefore remain adequate.

Variable Funding Notes Add Flexibility: The structure uses 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 dilutions by way of a separate functional transferor interest and meets the UK and US risk-retention requirements.

Key Counterparties Unrated: The NewDay Group acts in several capacities through its various entities, most prominently as originator, servicer and cash manager. The degree of reliance is mitigated 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:

Long-term asset performance deterioration, such as increased charge-offs, reduced monthly payment rate (MPR) or reduced portfolio yield, which could be driven by changes in portfolio characteristics, macroeconomic conditions, business practices, credit policy or legislative landscape, would contribute to negative revisions of ���������ֳ�'s asset assumptions that could negatively affect the notes' ratings.

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 2022-3 A: 'A-sf' / 'BBB+sf' / 'BBB-sf'

Series 2022-3 D: 'BB+sf' / 'BBsf' / 'BB-sf'

Series 2022-3 E: 'B+sf' / 'Bsf' / N.A.

Series 2022-3 F: N.A. / N.A. / N.A.

Rating sensitivity to reduced MPR:

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

Series 2022-3 A: 'A-sf' / 'BBB+sf' / 'BBBsf'

Series 2022-3 D: 'BBB-sf' / 'BB+sf' / 'BBsf'

Series 2022-3 E: 'BB-sf' / 'B+sf' / 'B+sf'

Series 2022-3 F: 'Bsf' / N.A. / N.A.

Rating sensitivity to reduced purchase rate:

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

Series 2022-3 D: 'BBBsf' / 'BBB-sf' / 'BBB-sf'

Series 2022-3 E: 'BB-sf' / 'BB-sf' / 'B+sf'

Series 2022-3 F: 'Bsf' / 'Bsf' / N.A.

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

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 2022-3 A: 'BBBsf' / 'BB+sf' / 'BB-sf'

Series 2022-3 D: 'BBsf' / 'B+sf' / N.A.

Series 2022-3 E: 'B+sf' / N.A. / N.A.

Series 2022-3 F: N.A. / N.A. / N.A.

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

Long-term asset performance improvement, such as decreased charge-offs, increased MPR or increased portfolio yield driven by a sustainable positive change of the underlying asset quality would contribute to positive revisions of ���������ֳ�'s asset assumptions, which could positively affect the notes' ratings.

Rating sensitivity to reduced charge-off rate:

Reduce steady state by 25%

Series 2022-3 A: 'AA-sf'

Series 2022-3 D: 'A-sf'

Series 2022-3 E: 'BBB-sf'

Series 2022-3 F: 'BB-sf'

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.

SUMMARY OF FINANCIAL ADJUSTMENTS

No financial statement data is used.

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

Form ABS Due Diligence-15E was provided to, and 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.

���������ֳ� was provided with Form ABS Due Diligence-15E ("Form 15E") as prepared by Deloitte LLP. The third-party due diligence described in Form 15E focused on observing and comparing specific loan level data contained in a sample of credit card receivables. ���������ֳ� considered this information in its analysis and it did not have an effect on ���������ֳ�'s analysis or conclusions.

Prior to the transaction announcement, ���������ֳ� 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