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���������ֳ� - London - 03 Nov 2023: ���������ֳ� has assigned NewDay Funding Master Issuer Plc - Series 2023-1 notes expected ratings as detailed below.

The assignment of final ratings is contingent on the receipt of final documentation conforming to information already reviewed. ���������ֳ� also expects to affirm NewDay Funding's existing series when it assigns final ratings for series 2023-1.

Transaction Summary

The series 2023-1 notes issued by NewDay Funding Master Issuer Plc are collateralised by a pool of non-prime UK credit card receivables originated by NewDay Limited (NewDay). NewDay is one of the largest specialist credit card companies in the UK, and offers cards both under its own brands and in partnership with individual retailers. Only the cards branded by NewDay, which are targeted at higher- risk borrowers on average, are included in this transaction. The cards co-branded with retailers are financed through a separate securitisation.

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 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 a reduced probability of a non-prime portfolio being taken over by a third-party in a high-stress scenario.

Good Performance, Deterioration Expected: Support measures and high household savings rates during the Covid-19 pandemic combined with a tightening in NewDay's underwriting have supported good performance. Charge-offs and payment rates are strong relative to pre-pandemic norms. Performance is beginning to worsen as cost of living pressures bite, and accumulated savings are depleted. We expect this trend to persist, as the impact of monetary tightening increases housing costs and the originator reverses earlier tightening in underwriting.

Unchanged Steady-States: We have maintained our steady-state assumptions unchanged from prior issuances. Although performance is expected to worsen, it is doing so from a strong starting position. Moreover, the concept of steady state aims to look past short-term fluctuations to take a longer-term, through-the-cycle view. We do not expect performance metrics to reset to materially worse levels in the long run, particularly considering positive trends in customer demographics and increased sophistication in NewDay's underwriting.

Variable Funding Notes Add Flexibility: The structure uses a separate originator variable funding note (VFN), purchased and held by NewDay Funding Transferor Ltd, in addition to series VFN-F1 and VFN-F2, providing the funding flexibility 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 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 2023-1 A: 'AAsf' / 'AA-sf' / 'A+sf'

Series 2023-1 B: 'A+sf' / 'Asf' / 'A-sf'

Series 2023-1 C: 'BBB+sf' / 'BBBsf' / 'BBB-sf'

Series 2023-1 D: 'BB+sf' / 'BBsf' / 'BB-sf'

Series 2023-1 E: 'BB-sf' / 'B+sf' / N.A.

Series 2023-1 F: N.A. / N.A. / N.A.

Rating sensitivity to reduced monthly payment rate (MPR):

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

Series 2023-1 A: 'AAsf' / 'AA-sf' / 'Asf'

Series 2023-1 B: 'A+sf' / 'Asf' / 'A-sf'

Series 2023-1 C: 'A-sf' / 'BBB+sf' / 'BBBsf'

Series 2023-1 D: 'BBB-sf' / 'BB+sf' / 'BBsf'

Series 2023-1 E: 'BB-sf' / 'BB-sf' / 'B+sf'

Series 2023-1 F: 'Bsf' / 'Bsf' / N.A.

Rating sensitivity to reduced purchase rate:

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

Series 2023-1 D: 'BBBsf' / 'BBBsf' / 'BBB-sf'

Series 2023-1 E: 'BBsf' / 'BB-sf' / 'BB-sf'

Series 2023-1 F: 'Bsf' / 'Bsf' / N.A.

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 2023-1 A: 'A+sf' / 'A-sf' / 'BBB-sf'

Series 2023-1 B: 'Asf' / 'BBBsf' / 'BB+sf'

Series 2023-1 C: 'BBBsf' / 'BB+sf' / 'BB-sf'

Series 2023-1 D: 'BBsf' / 'B+sf' / 'Bsf'

Series 2023-1 E: 'B+sf' / N.A. / N.A.

Series 2023-1 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 2023-1 B: 'AAAsf'

Series 2023-1 C: 'AA-sf'

Series 2023-1 D: 'A-sf'

Series 2023-1 E: 'BBB-sf'

Series 2023-1 F: 'BB-sf'

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

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

���������ֳ� 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.

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

The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' 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. ���������ֳ�'s ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. For more information on ���������ֳ�'s ESG Relevance Scores, visit /topics/esg/products#esg-relevance-scores.

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