Nationwide Regulated Covered Bonds Programme...2016-08 11/03/2016 Nationwide Covered Bond Series...
Transcript of Nationwide Regulated Covered Bonds Programme...2016-08 11/03/2016 Nationwide Covered Bond Series...
Investors (or other appropriate third parties) can register at https://www.euroabs.com/IH.aspx?d=8237 to download further disclosures in accordance with the Bank of England Market Notice "Detailed eligibility requirements
for residential mortgage backed securities and covered bonds backed by residential mortgages" dated 30th November 2010.
Terms marked with an asterisk (*) are defined in the glossary on page 18.
Reporting Information
Outstanding Issuances
Issue DateNationwide Covered Bond Series
2007-1 (2) 27/02/20072010-2 26/10/20102011-01 27/01/20112011-02 28/01/20112011-03 08/02/20112011-04 01/03/20112011-05 28/02/20112011-06 14/03/20112011-07 29/03/20112011-09 28/04/20112011-13 03/08/20112011-14 08/08/20112011-15 02/09/20112011-17 05/10/20112011-18 13/10/20112011-20 27/10/20112011-21 27/10/20112011-22 27/10/20112011-23 31/10/20112012-02 17/02/20122012-03 22/02/20122012-06 20/03/20122014-02 25/06/20142014-04 16/09/20142014-05 19/09/2014
Nationwide Regulated Covered Bonds ProgrammeInvestor Report
Reporting DateCollection Period 01/4/2020 - 30/4/2020
18/5/2020
18/5/2020 - 16/6/2020Payment Period
Issue DateNationwide Covered Bond Series
29/10/20142014-0615/12/20142014-0730/01/20152015-0125/03/20152015-0230/04/20152015-0308/05/20152015-0505/06/20152015-0617/07/20152015-0723/07/20152015-0830/07/20152015-0930/07/20152015-1026/10/20152015-1105/11/20152015-1214/12/20152015-1317/12/20152015-1417/12/20152015-1528/01/20162016-0128/01/20162016-0225/02/20162016-0325/02/20162016-0426/02/20162016-0501/03/20162016-0603/03/20162016-0711/03/20162016-08
Issue DateNationwide Covered Bond Series
16/03/20162016-0917/03/20162016-1024/03/20162016-1123/03/20162016-1223/04/20162016-1406/05/20162016-1523/02/20172017-0129/06/20172017-0208/12/20172017-0312/04/20182018-0131/05/20182018-0204/10/20182018-0310/01/20192019-0103/06/20192019-0228/06/20192019-0311/07/20192019-0411/07/20192019-0511/07/20192019-0602/08/20192019-0710/01/20202020-0113/02/20202020-02
NameFunding & Capital Markets Team
Nationwide Treasury
Telephone
+44 (0)845 602 9053
Mailing Address
Nationwide Building Society, Treasury, One Threadneedle Street, London, EC2R 8AW, U.K.
Investor Relations Contacts
This report and prior versions are published at http://www.nationwide.co.uk/about/investor-relations/funding-programmes
Page 1 of 19
Months in Arrears
Covered Bond Of Which Subject to COVID-19 Mortgage Payment Holiday
Number of
mortgage
accounts
% of Total Accounts Aggregate
Outstanding Balance
(£)
% of Total Balance Arrears Balance (£) Number of
mortgage accounts
% of COVID-19
Payment Holiday
Accounts
Aggregate
Outstanding Balance
(£)
% of COVID-19
Payment Holiday
Balance
Arrears Balance (£)
No Arrears 262,152 98.9% 27,612,926,677 99.1% 0 35,881 97.35% 4,590,801,516 97.84% 0
>=1 and < 2 1,230 0.5% 112,317,728 0.4% 832,635 543 1.47% 57,763,734 1.23% 404,347
>=2 and < 3 438 0.2% 37,916,676 0.1% 602,349 164 0.44% 17,250,385 0.37% 257,382
>=3 and < 6 627 0.2% 53,658,795 0.2% 1,450,026 168 0.45% 17,199,469 0.36% 426,670
>=6 and < 9 250 0.1% 20,776,336 0.1% 1,054,175 47 0.12% 3,871,537 0.08% 192,973
>=9 and < 12 128 0.0% 11,421,829 0.0% 847,836 30 0.08% 2,708,831 0.06% 220,817
12+ 236 0.1% 21,047,071 0.1% 2,579,810 30 0.08% 2,824,362 0.06% 236,525
Totals 265,061 100.00% 27,870,065,113 100.00% 7,366,831 36,863 100.00% 4,692,419,834 100.00% 1,738,715
Arrears* Analysis (excl Properties in Possession)
Properties in Possession are removed from the pool
All values are in pounds sterling unless otherwise stated
Prior Period Current Period Prior Period Current Period
Number of mortgage accounts in the Pool 266,756 265,061 N/A 36,863 (13.91%)
True Balance* of mortgage accounts in Pool £28,146,399,776 £27,870,065,113 N/A £4,692,419,834 (16.84%)
Cash and other Assets £44,426,801 £47,680,875 N/A N/A
Assets
Covered Bond Of Which Subject to COVID-19 Mortgage Payment Holiday
Number of Mortgage Accounts Aggregate Outstanding Balance (£)
Repurchases* current period 363 2,648,333
Repurchases to date * 315,982 16,309,775,978
Substituted* current period 0 0
Substituted to date* 369,097 44,068,505,804
Arrears (£) Number of cases
Arrears Capitalisation* - current month 19,534 6
Repurchases* & Substitutions*
Arrears* Capitalisation
Mortgage Collections* £461,947,662 £337,242,106
Collections
Yield Analysis
Pre-Swap Mortgage Yield 2.33% 2.33%
Post-Swap Mortgage Yield 2.01% 1.98%
Investor Report Mortgage Assets
Nationwide Regulated Covered Bonds Programme
Page 2 of 19
Investor Report Mortgage Portfolio Breakdown
Nationwide Regulated Covered Bonds Programme
Seasoning (months)
Constant Payment Rates (CPR)*Monthly 3 Month Average
Current CPR Rate - Total Previous CPR Rate - Total
Constant Payment Rate Analysis% of CPR Rate
Current % of CPR - Technical*Previous % of CPR - Technical
Current % of CPR - Natural*Previous % of CPR - Natural
NBS Existing Borrower SVR % With Effect From
79 237 £105,146 52.3% 71.4%
11.88% 1.05% 1.43% 15.91%
99.45% 99.10%
0.90% 0.55%
Weighted AverageMinMax
Remaining term (months) Loan Size (£) LTV at Origination*(%) Indexed* LTV (%) Arrears* (£)
Standard Variable Rates*
Standard Mortgage Rate, Current
Base Mortgage Rate, CurrentBase Mortgage Rate, Historical
Standard Mortgage Rate, Historical
Annualised 14.73% 16.14%
9 411
1 480
£0£958,074
£9£89,164 159.0%
0.0% 100.0%
0.1%£3,482
3.59
2.10 2.25
15/04/202001/04/202015/04/202001/04/2020
Summary Statistics
3.74
Page 3 of 19
ILTV & Geographical Distribution*
Covered Bond
Range of LTV ratios
East Anglia East Midlands London North North West Northern
Ireland
Outer
Metropolitan
Outer South
East
Scotland South West Wales West
Midlands
Yorkshire &
Humberside
Unknown
Totals£m £m £m £m £m £m £m £m £m £m £m £m £m £m
< 25.00% 140.9 217.6 558.0 63.2 193.5 73.1 602.8 465.8 209.0 291.9 81.3 210.7 129.7 0.0 3,237.5 11.6%
25.00% - 49.99% 377.2 651.5 1317.9 204.0 629.8 199.0 1490.1 1168.7 739.1 826.0 249.5 660.3 426.7 0.3 8,940.3 32.1%
50.00% - 74.99% 420.5 848.6 1249.6 378.8 939.5 221.9 1626.0 1372.4 1308.7 1109.1 432.9 920.6 678.3 0.0 11,506.9 41.3%
75.00% - 79.99% 56.5 107.5 182.4 60.9 124.8 33.9 231.3 188.4 193.0 169.8 54.6 130.1 107.7 0.2 1,641.1 5.9%
80.00% - 84.99% 56.7 81.1 200.8 54.3 89.8 22.2 230.8 190.0 131.8 144.7 37.5 89.9 66.2 0.2 1,396.0 5.0%
85.00% - 89.99% 35.6 38.5 212.1 27.0 30.1 12.9 228.5 153.1 59.7 91.9 12.6 46.2 22.7 0.0 970.9 3.5%
90.00% - 94.99% 6.8 5.3 12.1 4.8 3.6 6.3 31.7 31.7 13.7 19.4 1.2 6.9 3.6 0.0 147.1 0.5%
95.00% - 96.99% 0.0 0.0 2.3 0.5 0.1 1.7 0.2 0.0 1.9 0.2 0.0 0.0 0.0 0.0 7.0 0.0%
97.00% - 99.99% 0.1 0.0 0.6 0.9 0.0 2.0 0.0 0.0 1.1 0.0 0.0 0.0 0.0 0.0 4.6 0.0%
> 99.99% 0.0 0.0 0.0 0.1 0.2 18.4 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 18.8 0.1%
Totals1,094.3 1,950.1 3,735.7 794.5 2,011.3 591.5 4,441.4 3,570.2 2,658.1 2,652.9 869.7 2,064.6 1,435.0 0.7 27,870.1 100.0%
3.9% 7.0% 13.4% 2.9% 7.2% 2.1% 15.9% 12.8% 9.5% 9.5% 3.1% 7.4% 5.1% 0.0% 100.0%
Page 4 of 19
Nationwide Regulated Covered Bonds ProgrammeInvestor Report Mortgage Portfolio Breakdown
Of Which Subject to COVID-19 Mortgage Payment Holiday
Range of LTV ratios
East Anglia East Midlands London North North West Northern
Ireland
Outer
Metropolitan
Outer South
East
Scotland South West Wales West
Midlands
Yorkshire &
Humberside
Unknown
Totals£m £m £m £m £m £m £m £m £m £m £m £m £m £m
< 25.00% 13.1 20.9 50.5 4.7 17.0 6.8 59.5 44.3 14.9 28.4 6.2 19.5 10.7 0.0 296.3 6.3%
25.00% - 49.99% 50.6 95.8 169.2 24.1 90.1 26.0 235.7 173.3 84.1 117.4 31.3 91.1 56.9 0.1 1,245.7 26.5%
50.00% - 74.99% 73.0 175.0 221.5 71.4 185.9 36.7 346.1 281.6 221.2 221.9 75.9 174.1 131.3 0.0 2,215.5 47.2%
75.00% - 79.99% 13.0 21.6 37.9 12.7 32.4 5.4 56.0 44.3 33.4 35.8 12.7 33.2 19.8 0.2 358.4 7.6%
80.00% - 84.99% 12.1 17.4 35.4 11.3 17.8 4.8 62.9 50.7 22.9 31.4 7.7 17.9 13.2 0.0 305.5 6.5%
85.00% - 89.99% 8.5 8.1 45.7 5.2 7.9 3.9 52.7 40.2 10.5 20.7 3.4 12.4 6.6 0.0 225.9 4.8%
90.00% - 94.99% 2.8 0.9 2.8 1.0 1.0 1.8 9.3 7.9 3.3 7.0 0.2 1.3 1.0 0.0 40.4 0.9%
95.00% - 96.99% 0.0 0.0 0.8 0.1 0.0 0.0 0.2 0.0 0.2 0.2 0.0 0.0 0.0 0.0 1.5 0.0%
97.00% - 99.99% 0.1 0.0 0.3 0.0 0.0 0.3 0.0 0.0 0.1 0.0 0.0 0.0 0.0 0.0 0.8 0.0%
> 99.99% 0.0 0.0 0.0 0.0 0.0 2.5 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 2.5 0.1%
Totals
173.1 339.6 564.0 130.5 352.3 88.2 822.5 642.3 390.5 462.9 137.4 349.5 239.5 0.3 4,692.4 100.0%
3.7% 7.2% 12.0% 2.8% 7.5% 1.9% 17.5% 13.7% 8.3% 9.9% 2.9% 7.4% 5.1% 0.0% 100.0%
Page 5 of 19
Nationwide Regulated Covered Bonds ProgrammeInvestor Report Mortgage Portfolio Breakdown
Loan to Value Ratios at Origination*
Aggregate Outstanding Balance % of Total Balance Number of Mortgage Accounts % of Total of AccountsRange of LTV ratios at origination0.00% 00.00%£04.63% 12,263
<= 0.00%0.00% <- 25.00% 1.74%£483,689,230
17.63% 46,73111.46%£3,194,891,58238.68% 102,52741.16%£11,471,653,684
7.90% 20,9369.64%£2,688,066,62111.11% 29,45614.29%£3,982,613,212
13.11% 34,74716.34%£4,554,226,4896.68% 17,702
25.00% <- 50.00%50.00% <- 75.00%75.00% <- 80.00%80.00% <- 85.00%85.00% <- 90.00%90.00% <- 95.00% 5.25%£1,464,016,504
0.26% 69995.00% <- 100.00% 0.11%£30,907,7910.00% 0> 100.00% 0.00%£0
Totals 265,061 100.00%£27,870,065,113 100.00%
Range of LTV ratios
Covered Bond Of Which Subject to COVID-19 Mortgage Payment Holiday
Aggregate
Outstanding Balance
% of Total
Balance
Number of Mortgage
Accounts
% of Total of
Accounts
Aggregate
Outstanding Balance
% of COVID-19
Payment Holiday
Balance
Number of Mortgage
Accounts
% of COVID-19
Payment Holiday
of Accounts
< 25.00% £3,237,527,531 11.62% 82,865 31.26% 296,316,053 6.31% 6,400 17.36%
25.00% - 49.99% £8,940,281,770 32.08% 84,431 31.85% 1,245,651,181 26.55% 11,462 31.09%
50.00% - 74.99% £11,506,900,296 41.29% 74,726 28.19% 2,215,483,358 47.21% 13,997 37.97%
75.00% - 79.99% £1,641,062,746 5.89% 9,520 3.59% 358,416,732 7.64% 2,006 5.44%
80.00% - 84.99% £1,395,997,943 5.01% 7,680 2.90% 305,485,641 6.51% 1,627 4.41%
85.00% - 89.99% £970,850,960 3.48% 4,797 1.81% 225,872,454 4.81% 1,112 3.02%
90.00% - 94.99% £147,140,490 0.53% 842 0.32% 40,358,603 0.86% 226 0.61%
95.00% - 96.99% £6,965,378 0.02% 44 0.02% 1,514,513 0.03% 8 0.02%
97.00% - 99.99% £4,575,968 0.02% 33 0.01% 790,238 0.02% 6 0.02%
> 99.99% £18,762,032 0.07% 123 0.05% 2,531,062 0.05% 19 0.05%
Totals £27,870,065,113 100.00% 265,061 100.00% 4,692,419,834 100.00% 36,863 100.00%
Indexed* Loan to Value ratios
Covered Bond Of Which Subject to COVID-19 Mortgage Payment Holiday
Aggregate
Outstanding Balance
% of Total
Balance
Number of Mortgage
Accounts
% of Total of
Accounts
Aggregate
Outstanding Balance
% of COVID-19
Payment Holiday
Balance
Number of Mortgage
Accounts
% of COVID-19
Payment Holiday
of Accounts
< £25,000.00 £454,476,984 1.63% 35,245 13.30% £31,269,416 0.67% 1,988 5.39%
£25,000.00 - £49,999.99 £1,528,482,285 5.48% 40,687 15.35% £162,567,598 3.46% 4,235 11.49%
£50,000.00 - £74,999.99 £2,502,542,044 8.98% 40,111 15.13% £326,516,924 6.96% 5,204 14.12%
£75,000.00 - £99,999.99 £3,145,326,026 11.29% 36,042 13.60% £460,771,788 9.82% 5,266 14.29%
£100,000.00 - £124,999.99 £3,342,974,565 11.99% 29,830 11.25% £535,396,960 11.41% 4,771 12.94%
£125,000.00 - £149,999.99 £3,140,292,330 11.27% 22,953 8.66% £534,120,764 11.38% 3,906 10.60%
£150,000.00 - £174,999.99 £2,673,255,797 9.59% 16,517 6.23% £477,117,636 10.17% 2,947 7.99%
£175,000.00 - £199,999.99 £2,290,841,213 8.22% 12,257 4.62% £421,650,033 8.99% 2,254 6.11%
£200,000.00 - £224,999.99 £1,853,789,084 6.65% 8,750 3.30% £382,033,704 8.14% 1,801 4.89%
£225,000.00 - £249,999.99 £1,509,274,936 5.42% 6,376 2.41% £309,078,515 6.59% 1,306 3.54%
£250,000.00 - £299,999.99 £2,071,347,185 7.43% 7,618 2.87% £411,510,028 8.77% 1,515 4.11%
£300,000.00 - £349,999.99 £1,258,235,203 4.51% 3,904 1.47% £251,630,462 5.36% 782 2.12%
£350,000.00 - £399,999.99 £784,123,904 2.81% 2,105 0.79% £146,233,853 3.12% 392 1.06%
£400,000.00 - £449,999.99 £480,855,310 1.73% 1,138 0.43% £92,816,257 1.98% 220 0.60%
£450,000.00 - £499,999.99 £311,699,510 1.12% 661 0.25% £55,898,126 1.19% 119 0.32%
£500,000.00 - £549,999.99 £167,471,901 0.60% 320 0.12% £29,779,304 0.63% 57 0.15%
£550,000.00 - £599,999.99 £111,931,399 0.40% 195 0.07% £22,339,434 0.48% 39 0.11%
£600,000.00 - £649,999.99 £88,818,252 0.32% 143 0.05% £15,545,607 0.33% 25 0.07%
£650,000.00 - £699,999.99 £59,991,820 0.22% 89 0.03% £10,861,422 0.23% 16 0.04%
£700,000.00 - £749,999.99 £36,941,641 0.13% 51 0.02% £6,490,006 0.14% 9 0.02%
> £749,999.99 £57,393,725 0.21% 69 0.03% £8,791,995 0.19% 11 0.03%
Totals £27,870,065,113 100.00% 265,061 100.00% £4,692,419,834 100.00% 36,863 100.00%
Outstanding True Balances
Range of outstanding
balances
Repayment Terms
Covered Bond Of Which Subject to COVID-19 Mortgage Payment Holiday
Aggregate
Outstanding Balance
% of Total
Balance
Number of Loans % of Total of
Loans
Aggregate
Outstanding Balance
% of COVID-19
Payment Holiday
Balance
Number of Loans % of COVID-19
Payment Holiday
of Loans
Combination £663,214,797 2.38% 8,083 2.19% £100,837,430 2.15% 902 2.13%
Interest Only £1,456,325,131 5.23% 18,366 4.97% £136,234,759 2.90% 1139 2.17%
Repayment £25,750,525,186 92.39% 343,250 92.85% £4,455,347,645 94.95% 51,186 95.69%
Totals £27,870,065,113 100.00% 369,699 100.00% £4,692,419,834 100.00% 53,227 100.00%
Repayment Terms*
Page 6 of 19
Nationwide Regulated Covered Bonds ProgrammeInvestor Report Mortgage Portfolio Breakdown
Nationwide Regulated Covered Bonds ProgrammeInvestor Report Mortgage Portfolio Breakdown
Seasoning of Loans
Aggregate Outstanding Balance % of Total Balance Number of Mortgage Accounts % of Total of AccountsAge of loans in months0.00% 0 < 6 0.00%£01.37% 3,6396 -< 12 2.16%£602,762,8142.84% 7,52112 -< 18 4.40%£1,225,085,4862.84% 7,52018 -< 24 4.29%£1,196,117,0514.61% 12,21324 -< 30 6.77%£1,885,446,0065.38% 14,25730 -< 36 7.71%£2,148,925,1754.85% 12,86636 -< 42 6.65%£1,852,869,2185.00% 13,24642 -< 48 6.69%£1,864,215,9194.13% 10,95648 -< 54 5.20%£1,448,945,7305.54% 14,67854 -< 60 6.69%£1,864,519,1924.04% 10,70260 -< 66 4.70%£1,309,200,5193.82% 10,11866 -< 72 4.50%£1,254,119,962
55.59% 147,345 >= 72 40.25%£11,217,858,043
Totals 265,061 100.00%£27,870,065,113 100.00%
Years to Maturity of Loans
Aggregate Outstanding Balance % of Total Balance Number of Mortgage Accounts % of Total of AccountsYears to maturity11.68% 30,950 < 5 3.26%£907,590,27620.32% 53,8495 -< 10 10.92%£3,042,761,37719.46% 51,58610 -< 15 16.70%£4,652,953,76316.90% 44,80115 -< 20 20.03%£5,583,387,03714.02% 37,16520 -< 25 19.98%£5,568,466,056
9.69% 25,67825 -< 30 15.59%£4,344,100,5436.60% 17,49430 -< 35 11.26%£3,138,654,9211.33% 3,538 >= 35 2.27%£632,151,141
Totals 265,061 100.00%£27,870,065,113 100.00%
Product Groups*
Aggregate Outstanding Balance % of Total Balance Number of Loans % of Total of LoansType of rate61.86% 228,696Fixed 76.16%£21,225,688,139
6.37% 23,557Tracker 6.23%£1,735,453,84031.77% 117,446Variable 17.61%£4,908,923,134
Totals 369,699 100.00%£27,870,065,113 100.00%
Page 7 of 19
Payment Frequency Aggregate Outstanding Balance % of Total Balance Number of Mortgage Accounts % of Total of Accounts
Monthly £27,870,065,113 100.00% 265,061 100.00%
Totals £27,870,065,113 100.00% 265,061 100.00%
Mortgage Product Aggregate Outstanding Balance % of Total Balance Number of Mortgage Accounts % of Total Accounts
Help To Buy £952,872,289 0.04% 5,922 2.23%
Totals £952,872,289 0.04% 5,922 2.23%
Payment Frequency
Products
Page 8 of 19
Nationwide Regulated Covered Bonds ProgrammeInvestor Report Mortgage Portfolio Breakdown
Event Summary Base Prospectus Breached Consequence if Trigger Breached
Investor Report Key Events & Parties
Nationwide Regulated Covered Bonds Programme
Summary of Tests & Triggers
Trigger (S&P, Moody's, Fitch; Short Term, Long Term)
Pre-Maturity Test (breached upon the occurrence of a Supplemental
Liquidity Event, as described in the Summary)
Asset Coverage Test
Issuer's Short Term ratings fall below required levels and the Final Maturity Date of the Series of Hard Bullet Covered Bonds will fall within 12 months from the relevant Pre-Maturity Test Date
336 No Transfer required funds to Pre-Maturity Liquidity Ledger. Failure to transfers funds results in a Nationwide trigger
Nationwide Trigger(Issuer Event of Default)
This shall occur when any of the following apply:(a). The Issuer fails to pay any principle / interest in respect of the Covered Bondswithin 7 days of the due date.(b). The Issuer fails to perform or observe any obligations under the Covered Bondsor coupons of any series, the Trust Deed or any other Transaction Document.(c). The Issuer becomes Insolvent or ceases to carry on its business.(d). If an Asset Coverage Test Breach Notice has been served and not revokedon or before the 3rd calculation date after service of such notice.
140 No Triggers a Notice to Pay on the LLP
Servicer Trigger Servicer's ratings fall below required levels 304 It will use best endeavours to (with the assistance of the Back-Up Servicer Facilitator), to identify and appoint a third party satisfactory to the LLP to act as a back-up or stand-by servicer (the Back-Up Servicer) to the Servicer within 60 days of such Back-Up Servicer Event.
No
Failure of Asset Coverage Test 310 If not remedied within three calculation dates, triggers Issuer Event of Default No
Yield Shortfall Test ^ Failure of Portfolio Yield Test 441 Increase Standard Variable Rate and/or the other discretionary rates or marginsNo
LLP Event of Default ^ LLP failure to pay Guarantee, insolvency, failure of Amortisation Test, etc 143 No Triggers an LLP Acceleration Notice
Amortisation Test ^ Failure of Amortisation TestLLP Acceleration Notice
Swap Counterparty Rating Trigger(see page 17, "Collateral Received") Breach of ratings trigger
N/A
No
See page 17 - "Collateral received"
Required rating each day during the final 12 month prior to Hard Bullet Final Maturity Dates: A‐1, A2(cr)and P‐1(cr), F1+
(a). The Issuer fails to pay any principle / interest in respect of the Covered Bonds within 7 days of the due date.(b). The Issuer fails to perform or observe any obligations under the Covered Bonds or coupons of any series, the Trust Deed or any other Transaction Document.(c). The Issuer becomes Insolvent or ceases to carry on its business.(d). If an Asset Coverage Test Breach Notice has been served andnot revoked on or before the 3rd calculation date after service of such notice.
Ceasing to be assigned a long-term unsecured, unguaranteed and unsubordinated debt obligation ratingby S&P of at least BBB-, or a counterparty risk assessmentby Moody's of at least Baa3(cr) or a long-term unsecured, unguaranteed & unsubordinated debt obligation rating from Fitch of at least BBB-
Adjusted Aggregate Loan Amount less than Aggregate Principal Amount outstanding
If the aggregate amount of interest on the Loans and amounts under the Interest Rate Swap Agreement to be received by the LLP Payment Period would give a yield less than (a) LIBOR or (b) a compunded daily SONIA rate for the relevant calculation period (as applicable) plus 0.15%.
LLP failure to pay Guarantee, insolvency, failure of Amortisation Test, etc
Amortisation Test Aggregate Loan Amount less than the Sterling equivalent of the Aggregate Principal outstanding of the Covered Bonds.
Counterparty ratings downgrade Collateral posting/swap transfer
^ Requires prior Issuer Event of Default
Current Short Term Rating Current Long Term Rating (S&P, Moody's, Fitch)Key Parties Role
Nationwide Building Society Servicer, Seller, Issuer, LLP Cash Manager, LLP Account Bank, GIC Account Provider, Basis Rate Swap ProviderA-1/P-1/F1
RoleOther Parties
A/A3(cr)/A
Arranger
Stand-by Account Bank, Security Trustee, Registrar, Principal Paying Agent & Agent Bank, Exchange & Transfer Agent, Bond Trustee, Stand-by GIC Provider
Liquidation Member
Barclays Bank PLC
Citibank/Citicorp
Moulton Capital Finance Holdings
Deloitte
Earnst & Young
Wilmington Trust Services (London)
Asset Pool Monitor
Auditor of LLP Accounts
Share Trustee, Corporate Services Provider
Asset Monitor required to report on arithmetic accuracy of Cash Manager's calculations more frequentlyBBB-/ Baa3 (cr) / BBB-Cash Manager or Issuer ratings fall below required levelsAsset Monitor Test Frequency
314
227 No
Page 9 of 19
Investor Report Asset Coverage Test
Nationwide Covered Bonds Programme
DescriptionAdjusted Aggregate Loan Amount =Calculation Date
Arrears Adjusted True Balance
True BalanceAdjusted Indexed ValuationAsset PercentageTrue Balance of loans < 3 mths in arrearsTrue Balance of loans > 3 mths =< 75% LTVTrue Balance of loans > 3 mths > 75% LTVPrincipal Outstanding on BondsAverage Remaining Maturity of Bonds (Years)Negative Carry Factor
A = Lower of (i) and (ii) multiplied by asset percentage :(i) Economic effect Adjustment on True Balance Adjusted True Balancemade up by: MLoans < 3 months in arrears 0.75Loans in arrears =< 75% LTV 0.40Loans in arrears > 75% LTV 0.25Adjusted True Balance
(ii) Arrears Effect on True BalanceArrears Adjusted True Balancemade up by: NLoans < 3 months in arrears 1.00Loans in arrears =< 75% LTV 0.40Loans in arrears > 75% LTV 0.25
Current Asset Percentage (max 93%)sub total
ValueA + B + C + D + E - ( V + W +X + Y + Z)
A - Arrears Adjusted True Balance =B - Available Principal Receipts =C - Cash contributions = D - Substitution Assets = E - Supplement Liquidity Reserve Ledger =
X - Set-off Risk =Y- Flexible Re-draw Capacity =Z - Negative Carry Factor of holding Funds =Adjusted Aggregate Loan Amount
Aggregate Principal Amount Outstanding
Test Result
Covered Bond to Adjusted Aggregate Loan Percentage
12/5/2020
27,870,065,113 72,369,940,554
90.0% 27,763,161,081
97,629,152 9,274,880
18,368,513,927 4.69
1.11%
27,399,898,008 79,083,074
2,682,398 27,481,663,479
27,760,660,403 79,083,074
2,682,398 27,842,425,875
90.0% 25,058,183,288
12/5/2020 25,058,183,288
00
0 459,716,493 952,429,228
22,688,246,103
18,368,513,927
Pass
9/4/2020
72,833,025,995 90.0%
28,047,343,107 91,129,203
7,927,466 18,368,513,927
4.78 1.13%
27,674,786,537 74,142,991
2,281,389 27,751,210,917
28,044,832,514 74,142,991
2,281,389 28,121,256,894
90.0% 25,309,131,204
9/4/2020 25,309,131,204
409,044,591
00
0 458,227,738 990,604,667
23,003,886,830
18,368,513,927
Pass
80.96% 79.85%
Interest Coverage Test - FCA RCB Regulation 17(2)(g)
Minimum Collateralisation Requirement Test - FCA RCB Regulation 17(2)(f)
Test Result Pass Pass
PassPassTest Result
Asset Coverage Test (continued)Asset Coverage Test
28,146,399,776Value
295,117,702
V - Collateralised GIC Account = 0 1,252,909,164W - Supplement Liquidity Reserve Amount =
0
1,265,456,560
0 0
Page 10 of 19
Investor Report Principal & Revenue Receipts and Ledgers
Nationwide Regulated Covered Bonds Programme
to 0
to30/04/2020 12,903
to30/04/2020 102,367
to 30/04/202030/04/2020
295,117,702 44,772,738
01/04/202001/04/2020
01/04/2020
01/04/2020 0
0
17/04/2020
18/05/2020
17/04/2020
(114,933)
££
51,095,705
18/05/2020
0
295,117,702
0 0
18/05/2020 6,322,630
(9,857,523)
(7,875,180)
tototo
18/05/2020
18/05/2020
18/05/202018/05/2020
17/06/202017/06/202017/06/2020
to
18/05/2020
18/05/2020
17/06/2020
18/05/2020
0 0
to
18/05/202018/05/202018/05/202018/05/202018/05/2020
17/06/2020
(245,814)
0
(6,514,273)(3,254,074)
(23,347,640)
0 0 0
(295,117,702)
0
0
££
(1,200)
18/05/2020
18/05/202018/05/2020
18/05/2020
47,680,875
44,426,801 0
47,680,875
18/05/2020 17/04/202018/05/2020
18/05/2020
18/05/2020
3,254,074
£ £
Pass
0 18/05/2020
Revenue Receipts
Revenue Ledger balance b/fCapital contributionInterest received on mortgages Interest received on GIC account Interest received on Reserve Fund Reserve fund surplus releaseReserve fund surplus release - CV191 Other revenue receiptsAvailable Revenue Receipts
Revenue Priority of Payments
Fees due to third partiesServicing and Cash Management Fee Interest receivable/(payable) on Interest rate swapsInterest receivable/(payable) on Covered Bond swapsTransfer from/(to) Pre-Maturity Liquidity LedgerInterest payable on term advances Transfer to Reserve FundOther paymentsDeferred considerationRevenue Ledger balance c/f
Pre-Maturity Liquidity Ledger
Pre-Maturity Liquidity LedgerPre-Maturity Test
Principal Receipts
Principal Ledger balance b/f Principal received on mortgages Cash Capital ContributionOther Principal ReceiptsTotal Available Principal Receipts
Principal Priority of Payments
Pre-Maturity Liquidity Ledger deposit Purchase of mortgagesPrincipal payable on term advances Capital distributionOther paymentsPrincipal Ledger balance c/f
Reserve Ledger
Balance b/fTransfer (to)/from Revenue Ledger Capital contribution - CV191 Transfer to Revenue Ledger - CV191 Balance c/f
Balance required on Reserve Ledger Reserve Ledger surplus/(deficit)
18/05/202018/05/2020
6,322,630 (6,322,630)
Page 11 of 19
1 Capital contribution from Nationwide made directly into the Reserve ledger creates a surplus that is simultaneously released to contribute additional available revenue receipts in an amount equal to COVID-19 related authorised Payment Holidays
2007-1 (2) 2010-2 2011-01 2011-02 2011-03 2011-04 2011-05 2011-06 2011-07
Notes in Issue
Interest Payments^
Principal Payments^
Issue Date
Original rating (S&P/Moody's/Fitch)
Current rating (S&P/Moody's/Fitch)
Currency
Issue Size
Relevant Swap Rate
GBP Equivalent
Current Period Balance
Previous Period Balance
Current Period Pool Factor
Previous Period Pool Factor
Legal final maturity date
Expected maturity date
Extended Due for Payment Date
ISIN
Stock exchange listing
Interest Payment Frequency
Accrual Start Date
Accrual End Date
Accrual Day Count
Coupon Reference Rate
Relevant Margin
Current Period Coupon Reference Rate
Current Period Coupon*
Current Period Coupon Amount*
Current Interest Shortfall
Cumulative Interest Shortfall
Next Interest Payment Date
Bond Structure
Current Period Scheduled Principal Payment
Actual Principal Paid
Principal Shortfall
Cumulative Principal Shortfall
Expected Principal Payment Date
27/02/2007
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
2,000,000,000
0.6730000000
1,346,000,000
2,000,000,000
2,000,000,000
1.00000
1.00000
28/2/2022
28/2/2022
28/2/2023
XS0289011198
London
Annual
28/02/2020
01/03/2021
367
FIXED
0.00000%
FIXED
4.37500%
0
0
0
01/03/2021
Soft bullet
0
0
0
0
28/2/2022
26/10/2010
AAA/Aaa/AAA
AAA/Aaa/AAA
NOK
500,000,000
9.2850000000
53,850,296
500,000,000
500,000,000
1.00000
1.00000
26/10/2020
26/10/2020
26/10/2021
XS0550431083
London
Annual
26/10/2019
26/10/2020
360
FIXED
0.00000%
FIXED
4.89000%
0
0
0
26/10/2020
Soft bullet
0
0
0
0
26/10/2020
27/01/2011
AAA/Aaa/AAA
AAA/Aaa/AAA
NOK
500,000,000
9.2725000000
53,922,890
500,000,000
500,000,000
1.00000
1.00000
27/1/2021
27/1/2021
27/1/2022
XS0582521661
London
Annual
27/01/2020
27/01/2021
360
FIXED
0.00000%
FIXED
5.56000%
0
0
0
27/01/2021
Soft bullet
0
0
0
0
27/1/2021
28/01/2011
AAA/Aaa/AAA
AAA/Aaa/AAA
GBP
750,000,000
1.0000000000
750,000,000
750,000,000
750,000,000
1.00000
1.00000
28/1/2026
28/1/2026
28/1/2027
XS0584363724
London
Annual
28/01/2020
28/01/2021
366
FIXED
0.00000%
FIXED
5.62500%
0
0
0
28/01/2021
Soft bullet
0
0
0
0
28/1/2026
08/02/2011
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
1,250,000,000
0.8584059402
1,073,007,425
1,250,000,000
1,250,000,000
1.00000
1.00000
8/2/2021
8/2/2021
8/2/2022
XS0589642049
London
Annual
10/02/2020
08/02/2021
364
FIXED
0.00000%
FIXED
4.62500%
0
0
0
08/02/2021
Soft bullet
0
0
0
0
8/2/2021
01/03/2011
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
30,000,000
0.8475000000
25,425,000
30,000,000
30,000,000
1.00000
1.00000
3/3/2031
3/3/2031
3/3/2032
XS0592707615
London
Annual
03/03/2020
03/03/2021
365
FIXED
0.00000%
FIXED
4.74000%
0
0
0
03/03/2021
Soft bullet
0
0
0
0
3/3/2031
28/02/2011
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
132,000,000
0.8430000000
111,276,000
132,000,000
132,000,000
1.00000
1.00000
28/11/2025
28/11/2025
28/11/2026
N/A
N/A
Annual
28/11/2019
30/11/2020
368
FIXED
0.00000%
FIXED
4.92400%
0
0
0
30/11/2020
Soft bullet
0
0
0
0
28/11/2025
14/03/2011
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
50,000,000
0.8583690988
42,918,455
50,000,000
50,000,000
1.00000
1.00000
14/3/2023
14/3/2023
14/3/2024
N/A
N/A
Annual
16/03/2020
15/03/2021
364
FIXED
0.00000%
FIXED
4.69900%
0
0
0
15/03/2021
Soft bullet
0
0
0
0
14/3/2023
29/03/2011
AAA/Aaa/AAA
AAA/Aaa/AAA
NOK
500,000,000
9.0175000000
55,447,741
500,000,000
500,000,000
1.00000
1.00000
29/3/2021
29/3/2021
29/3/2022
XS0605287217
London
Annual
29/03/2020
29/03/2021
360
FIXED
0.00000%
FIXED
5.69500%
0
0
0
29/03/2021
Soft bullet
0
0
0
0
29/3/2021
Investor Report Notes in issue Investor Report Notes in issue
Nationwide Regulated Covered Bonds Programme Nationwide Regulated Covered Bonds Programme
Series
^ Payments made during the Payment Period 18/5/2020 - 16/6/2020* For SONIA linked Bonds coupon rates and payments showing are an approximation based on the latest SONIA rates available at the time of publication
^ Payments made during the Payment Period 18/5/2020 - 16/6/2020* For SONIA linked Bonds coupon rates and payments showing are an approximation based on the latest SONIA rates available at the time of publication
Page 12 of 19(1)
2011-09 2011-13 2011-14 2011-15 2011-17 2011-18 2011-20 2011-21 2011-22
Notes in Issue
Interest Payments^
Principal Payments^
Issue Date
Original rating (S&P/Moody's/Fitch)
Current rating (S&P/Moody's/Fitch)
Currency
Issue Size
Relevant Swap Rate
GBP Equivalent
Current Period Balance
Previous Period Balance
Current Period Pool Factor
Previous Period Pool Factor
Legal final maturity date
Expected maturity date
Extended Due for Payment Date
ISIN
Stock exchange listing
Interest Payment Frequency
Accrual Start Date
Accrual End Date
Accrual Day Count
Coupon Reference Rate
Relevant Margin
Current Period Coupon Reference Rate
Current Period Coupon*
Current Period Coupon Amount*
Current Interest Shortfall
Cumulative Interest Shortfall
Next Interest Payment Date
Bond Structure
Current Period Scheduled Principal Payment
Actual Principal Paid
Principal Shortfall
Cumulative Principal Shortfall
Expected Principal Payment Date
28/04/2011
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
50,000,000
0.8850000000
44,250,000
50,000,000
50,000,000
1.00000
1.00000
28/4/2032
28/4/2032
28/4/2033
N/A
N/A
Annual
28/04/2020
28/04/2021
365
FIXED
0.00000%
FIXED
5.01000%
0
0
0
28/04/2021
Soft bullet
0
0
0
0
28/4/2032
03/08/2011
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
100,000,000
0.8825000000
88,250,000
100,000,000
100,000,000
1.00000
1.00000
3/8/2026
3/8/2026
3/8/2027
N/A
N/A
Annual
05/08/2019
03/08/2020
364
FIXED
0.00000%
FIXED
4.56500%
0
0
0
03/08/2020
Soft bullet
0
0
0
0
3/8/2026
08/08/2011
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
40,000,000
0.8756567425
35,026,270
40,000,000
40,000,000
1.00000
1.00000
8/8/2029
8/8/2029
8/8/2030
N/A
N/A
Annual
08/08/2019
10/08/2020
368
FIXED
0.00000%
FIXED
4.43250%
0
0
0
10/08/2020
Soft bullet
0
0
0
0
8/8/2029
02/09/2011
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
50,000,000
0.8825000000
44,125,000
50,000,000
50,000,000
1.00000
1.00000
2/9/2026
2/9/2026
2/9/2027
N/A
N/A
Annual
02/09/2019
02/09/2020
366
FIXED
0.00000%
FIXED
4.12000%
0
0
0
02/09/2020
Soft bullet
0
0
0
0
2/9/2026
05/10/2011
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
103,000,000
0.8690000000
89,507,000
103,000,000
103,000,000
1.00000
1.00000
5/10/2027
5/10/2027
5/10/2028
N/A
N/A
Annual
07/10/2019
05/10/2020
364
FIXED
0.00000%
FIXED
3.77000%
0
0
0
05/10/2020
Soft bullet
0
0
0
0
5/10/2027
13/10/2011
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
40,000,000
0.8570000000
34,280,000
40,000,000
40,000,000
1.00000
1.00000
15/10/2029
15/10/2029
15/10/2030
N/A
N/A
Annual
15/10/2019
15/10/2020
366
FIXED
0.00000%
FIXED
3.75000%
0
0
0
15/10/2020
Soft bullet
0
0
0
0
15/10/2029
27/10/2011
AAA/Aaa/AAA
AAA/Aaa/AAA
GBP
100,000,000
1.0000000000
100,000,000
100,000,000
100,000,000
1.00000
1.00000
27/10/2026
27/10/2026
27/10/2027
XS0697790342
London
Quarterly
27/04/2020
27/07/2020
91
SON IA
1.63870%
SONIA CMP -5BD
1.70300%
0
0
0
27/07/2020
Soft bullet
0
0
0
0
27/10/2026
27/10/2011
AAA/Aaa/AAA
AAA/Aaa/AAA
GBP
100,000,000
1.0000000000
100,000,000
100,000,000
100,000,000
1.00000
1.00000
27/10/2028
27/10/2028
27/10/2029
XS0697790185
London
Quarterly
27/04/2020
27/07/2020
91
SON IA
1.64200%
SONIA CMP -5BD
1.70700%
0
0
0
27/07/2020
Soft bullet
0
0
0
0
27/10/2028
27/10/2011
AAA/Aaa/AAA
AAA/Aaa/AAA
GBP
50,000,000
1.0000000000
50,000,000
50,000,000
50,000,000
1.00000
1.00000
27/10/2031
27/10/2031
27/10/2032
XS0697790425
London
Quarterly
27/04/2020
27/07/2020
91
SON IA
1.64410%
SONIA CMP -5BD
1.70900%
0
0
0
27/07/2020
Soft bullet
0
0
0
0
27/10/2031
Investor Report Notes in issue Investor Report Notes in issue
Nationwide Regulated Covered Bonds Programme Nationwide Regulated Covered Bonds Programme
^ Payments made during the Payment Period 18/5/2020 - 16/6/2020* For SONIA linked Bonds coupon rates and payments showing are an approximation based on the latest SONIA rates available at the time of publication
^ Payments made during the Payment Period 18/5/2020 - 16/6/2020* For SONIA linked Bonds coupon rates and payments showing are an approximation based on the latest SONIA rates available at the time of publication
Page 12 of 19(2)
2011-23 2012-02 2012-03 2012-06 2014-02 2014-04 2014-05 2014-06 2014-07
Notes in Issue
Interest Payments^
Principal Payments^
Issue Date
Original rating (S&P/Moody's/Fitch)
Current rating (S&P/Moody's/Fitch)
Currency
Issue Size
Relevant Swap Rate
GBP Equivalent
Current Period Balance
Previous Period Balance
Current Period Pool Factor
Previous Period Pool Factor
Legal final maturity date
Expected maturity date
Extended Due for Payment Date
ISIN
Stock exchange listing
Interest Payment Frequency
Accrual Start Date
Accrual End Date
Accrual Day Count
Coupon Reference Rate
Relevant Margin
Current Period Coupon Reference Rate
Current Period Coupon*
Current Period Coupon Amount*
Current Interest Shortfall
Cumulative Interest Shortfall
Next Interest Payment Date
Bond Structure
Current Period Scheduled Principal Payment
Actual Principal Paid
Principal Shortfall
Cumulative Principal Shortfall
Expected Principal Payment Date
31/10/2011
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
77,000,000
0.8686000000
66,882,200
77,000,000
77,000,000
1.00000
1.00000
1/11/2032
1/11/2032
1/11/2033
N/A
N/A
Annual
01/11/2019
02/11/2020
367
FIXED
0.00000%
FIXED
3.90000%
0
0
0
02/11/2020
Soft bullet
0
0
0
0
1/11/2032
17/02/2012
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
116,000,000
0.8305000000
96,338,000
116,000,000
116,000,000
1.00000
1.00000
17/2/2027
17/2/2027
17/2/2028
N/A
N/A
Annual
17/02/2020
17/02/2021
366
FIXED
0.00000%
FIXED
3.81000%
0
0
0
17/02/2021
Soft bullet
0
0
0
0
17/2/2027
22/02/2012
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
88,000,000
0.8383000000
73,770,400
88,000,000
88,000,000
1.00000
1.00000
22/2/2030
22/2/2030
22/2/2031
N/A
N/A
Annual
24/02/2020
22/02/2021
364
FIXED
0.00000%
FIXED
3.83200%
0
0
0
22/02/2021
Soft bullet
0
0
0
0
22/2/2030
20/03/2012
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
157,500,000
0.8353000000
131,559,750
157,500,000
157,500,000
1.00000
1.00000
20/3/2028
20/3/2028
20/3/2029
N/A
N/A
Annual
20/03/2020
22/03/2021
367
FIXED
0.00000%
FIXED
3.55500%
0
0
0
22/03/2021
Soft bullet
0
0
0
0
20/3/2028
25/06/2014
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
750,000,000
0.8015000000
601,125,000
750,000,000
750,000,000
1.00000
1.00000
25/6/2029
25/6/2029
25/6/2030
XS1081100239
London
Annual
25/06/2019
25/06/2020
366
FIXED
0.00000%
FIXED
2.25000%
0
0
0
25/06/2020
Soft bullet
0
0
0
0
25/6/2029
16/09/2014
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
56,000,000
0.7940000000
44,464,000
56,000,000
56,000,000
1.00000
1.00000
16/9/2039
16/9/2039
16/9/2040
N/A
N/A
Annual
16/09/2019
16/09/2020
366
FIXED
0.00000%
FIXED
1.94000%
0
0
0
16/09/2020
Soft bullet
0
0
0
0
16/9/2039
19/09/2014
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
50,000,000
0.7949000000
39,745,000
50,000,000
50,000,000
1.00000
1.00000
19/9/2039
19/9/2039
19/9/2040
N/A
N/A
Annual
19/09/2019
21/09/2020
368
FIXED
0.00000%
FIXED
2.06650%
0
0
0
21/09/2020
Soft bullet
0
0
0
0
19/9/2039
29/10/2014
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
1,000,000,000
0.7905000000
790,500,000
1,000,000,000
1,000,000,000
1.00000
1.00000
29/10/2021
29/10/2021
29/10/2022
XS1130066175
London
Annual
29/10/2019
29/10/2020
366
FIXED
0.00000%
FIXED
0.75000%
0
0
0
29/10/2020
Soft bullet
0
0
0
0
29/10/2021
15/12/2014
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
50,000,000
0.7865000000
39,325,000
50,000,000
50,000,000
1.00000
1.00000
15/3/2039
15/3/2039
15/3/2040
XS1151430185
London
Annual
16/03/2020
15/03/2021
364
FIXED
0.00000%
FIXED
1.69250%
0
0
0
15/03/2021
Soft bullet
0
0
0
0
15/3/2039
Investor Report Notes in issue Investor Report Notes in issue
Nationwide Regulated Covered Bonds Programme Nationwide Regulated Covered Bonds Programme
^ Payments made during the Payment Period 18/5/2020 - 16/6/2020* For SONIA linked Bonds coupon rates and payments showing are an approximation based on the latest SONIA rates available at the time of publication
^ Payments made during the Payment Period 18/5/2020 - 16/6/2020* For SONIA linked Bonds coupon rates and payments showing are an approximation based on the latest SONIA rates available at the time of publication
Page 12 of 19(3)
2015-01 2015-02 2015-03 2015-05 2015-06 2015-07 2015-08 2015-09 2015-10
Notes in Issue
Interest Payments^
Principal Payments^
Issue Date
Original rating (S&P/Moody's/Fitch)
Current rating (S&P/Moody's/Fitch)
Currency
Issue Size
Relevant Swap Rate
GBP Equivalent
Current Period Balance
Previous Period Balance
Current Period Pool Factor
Previous Period Pool Factor
Legal final maturity date
Expected maturity date
Extended Due for Payment Date
ISIN
Stock exchange listing
Interest Payment Frequency
Accrual Start Date
Accrual End Date
Accrual Day Count
Coupon Reference Rate
Relevant Margin
Current Period Coupon Reference Rate
Current Period Coupon*
Current Period Coupon Amount*
Current Interest Shortfall
Cumulative Interest Shortfall
Next Interest Payment Date
Bond Structure
Current Period Scheduled Principal Payment
Actual Principal Paid
Principal Shortfall
Cumulative Principal Shortfall
Expected Principal Payment Date
30/01/2015
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
50,000,000
0.7500000000
37,500,000
50,000,000
50,000,000
1.00000
1.00000
30/1/2030
30/1/2030
30/1/2031
XS1177825814
London
Annual
30/01/2020
01/02/2021
368
FIXED
0.00000%
FIXED
1.00000%
0
0
0
01/02/2021
Soft bullet
0
0
0
0
30/1/2030
25/03/2015
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
750,000,000
0.7251000000
543,825,000
750,000,000
750,000,000
1.00000
1.00000
25/3/2027
25/3/2027
25/3/2028
XS1207683522
London
Annual
25/03/2020
25/03/2021
365
FIXED
0.00000%
FIXED
0.62500%
0
0
0
25/03/2021
Soft bullet
0
0
0
0
25/3/2027
30/04/2015
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
25,000,000
0.7200000000
18,000,000
25,000,000
25,000,000
1.00000
1.00000
22/6/2035
22/6/2035
22/6/2036
N/A
N/A
Annual
24/06/2019
22/06/2020
364
FIXED
0.00000%
FIXED
0.74600%
0
0
0
22/06/2020
Soft bullet
0
0
0
0
22/6/2035
08/05/2015
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
50,000,000
0.7145000000
35,725,000
50,000,000
50,000,000
1.00000
1.00000
8/5/2035
8/5/2035
8/5/2036
XS1225157533
London
Annual
11/05/2020
10/05/2021
364
FIXED
0.00000%
FIXED
0.75000%
0
0
0
10/05/2021
Soft bullet
0
0
0
0
8/5/2035
05/06/2015
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
105,000,000
0.7130000000
74,865,000
105,000,000
105,000,000
1.00000
1.00000
5/6/2034
5/6/2034
5/6/2035
XS1242438742
London
Annual
05/06/2019
05/06/2020
366
FIXED
0.00000%
FIXED
1.35100%
1,418,550
0
0
05/06/2020
Soft bullet
0
0
0
0
5/6/2034
17/07/2015
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
100,000,000
0.7208002036
72,080,020
100,000,000
100,000,000
1.00000
1.00000
17/7/2031
17/7/2031
17/7/2032
XS1261795378
London
Annual
17/07/2019
17/07/2020
366
FIXED
0.00000%
FIXED
1.70250%
0
0
0
17/07/2020
Soft bullet
0
0
0
0
17/7/2031
23/07/2015
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
50,000,000
0.6977000000
34,885,000
50,000,000
50,000,000
1.00000
1.00000
23/7/2035
23/7/2035
23/7/2036
N/A
N/A
Annual
23/07/2019
23/07/2020
366
FIXED
0.00000%
FIXED
1.77000%
0
0
0
23/07/2020
Soft bullet
0
0
0
0
23/7/2035
30/07/2015
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
45,000,000
0.6975000000
31,387,500
45,000,000
45,000,000
1.00000
1.00000
30/7/2035
30/7/2035
30/7/2036
N/A
N/A
Annual
30/07/2019
30/07/2020
366
FIXED
0.00000%
FIXED
1.76000%
0
0
0
30/07/2020
Soft bullet
0
0
0
0
30/7/2035
30/07/2015
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
1,000,000,000
0.7049000000
704,900,000
1,000,000,000
1,000,000,000
1.00000
1.00000
30/7/2020
30/7/2020
30/7/2021
XS1268460885
London
Annual
30/07/2019
30/07/2020
366
FIXED
0.00000%
FIXED
0.37500%
0
0
0
30/07/2020
Soft bullet
0
0
0
0
30/7/2020
Investor Report Notes in issue Investor Report Notes in issue
Nationwide Regulated Covered Bonds Programme Nationwide Regulated Covered Bonds Programme
^ Payments made during the Payment Period 18/5/2020 - 16/6/2020* For SONIA linked Bonds coupon rates and payments showing are an approximation based on the latest SONIA rates available at the time of publication
^ Payments made during the Payment Period 18/5/2020 - 16/6/2020* For SONIA linked Bonds coupon rates and payments showing are an approximation based on the latest SONIA rates available at the time of publication
Page 12 of 19(4)
2015-11 2015-12 2015-13 2015-14 2015-15 2016-01 2016-02 2016-03 2016-04
Notes in Issue
Interest Payments^
Principal Payments^
Issue Date
Original rating (S&P/Moody's/Fitch)
Current rating (S&P/Moody's/Fitch)
Currency
Issue Size
Relevant Swap Rate
GBP Equivalent
Current Period Balance
Previous Period Balance
Current Period Pool Factor
Previous Period Pool Factor
Legal final maturity date
Expected maturity date
Extended Due for Payment Date
ISIN
Stock exchange listing
Interest Payment Frequency
Accrual Start Date
Accrual End Date
Accrual Day Count
Coupon Reference Rate
Relevant Margin
Current Period Coupon Reference Rate
Current Period Coupon*
Current Period Coupon Amount*
Current Interest Shortfall
Cumulative Interest Shortfall
Next Interest Payment Date
Bond Structure
Current Period Scheduled Principal Payment
Actual Principal Paid
Principal Shortfall
Cumulative Principal Shortfall
Expected Principal Payment Date
26/10/2015
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
1,000,000,000
0.7322790000
732,279,000
1,000,000,000
1,000,000,000
1.00000
1.00000
26/10/2022
26/10/2022
26/10/2023
XS1308693867
London
Annual
28/10/2019
26/10/2020
364
FIXED
0.00000%
FIXED
0.75000%
0
0
0
26/10/2020
Soft bullet
0
0
0
0
26/10/2022
05/11/2015
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
35,000,000
0.7180000000
25,130,000
35,000,000
35,000,000
1.00000
1.00000
5/11/2035
5/11/2035
5/11/2036
XS1316442992
London
Annual
05/11/2019
05/11/2020
366
FIXED
0.00000%
FIXED
1.54000%
0
0
0
05/11/2020
Soft bullet
0
0
0
0
5/11/2035
14/12/2015
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
50,000,000
0.7201497912
36,007,490
50,000,000
50,000,000
1.00000
1.00000
14/12/2032
14/12/2032
14/12/2033
XS1332497616
London
Annual
16/12/2019
14/12/2020
364
FIXED
0.00000%
FIXED
1.62000%
0
0
0
14/12/2020
Soft bullet
0
0
0
0
14/12/2032
17/12/2015
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
25,000,000
0.7260000000
18,150,000
25,000,000
25,000,000
1.00000
1.00000
17/12/2035
17/12/2035
17/12/2036
XS1333830005
London
Annual
17/12/2019
17/12/2020
366
FIXED
0.00000%
FIXED
1.68000%
0
0
0
17/12/2020
Soft bullet
0
0
0
0
17/12/2035
17/12/2015
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
100,000,000
0.7225000000
72,250,000
100,000,000
100,000,000
1.00000
1.00000
17/12/2020
17/12/2020
17/12/2021
XS1334768733
London
Annual
17/12/2019
17/12/2020
366
FIXED
0.00000%
FIXED
0.27700%
0
0
0
17/12/2020
Soft bullet
0
0
0
0
17/12/2020
28/01/2016
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
25,000,000
0.7620208792
19,050,522
25,000,000
25,000,000
1.00000
1.00000
28/1/2041
28/1/2041
28/1/2042
XS1350139439
London
Annual
28/01/2020
28/01/2021
366
FIXED
0.00000%
FIXED
1.67300%
0
0
0
28/01/2021
Soft bullet
0
0
0
0
28/1/2041
28/01/2016
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
30,000,000
0.7706535142
23,119,605
30,000,000
30,000,000
1.00000
1.00000
28/1/2041
28/1/2041
28/1/2042
XS1352028432
London
Annual
28/01/2020
28/01/2021
366
FIXED
0.00000%
FIXED
1.61800%
0
0
0
28/01/2021
Soft bullet
0
0
0
0
28/1/2041
25/02/2016
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
51,000,000
0.7748000000
39,514,800
51,000,000
51,000,000
1.00000
1.00000
25/2/2036
25/2/2036
25/2/2037
XS1369280661
London
Annual
25/02/2020
25/02/2021
366
FIXED
0.00000%
FIXED
1.39500%
0
0
0
25/02/2021
Soft bullet
0
0
0
0
25/2/2036
25/02/2016
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
50,000,000
0.7730962504
38,654,813
50,000,000
50,000,000
1.00000
1.00000
25/2/2036
25/2/2036
25/2/2037
XS1371729259
London
Annual
25/02/2020
25/02/2021
366
FIXED
0.00000%
FIXED
1.34500%
0
0
0
25/02/2021
Soft bullet
0
0
0
0
25/2/2036
Investor Report Notes in issue Investor Report Notes in issue
Nationwide Regulated Covered Bonds Programme Nationwide Regulated Covered Bonds Programme
^ Payments made during the Payment Period 18/5/2020 - 16/6/2020* For SONIA linked Bonds coupon rates and payments showing are an approximation based on the latest SONIA rates available at the time of publication
^ Payments made during the Payment Period 18/5/2020 - 16/6/2020* For SONIA linked Bonds coupon rates and payments showing are an approximation based on the latest SONIA rates available at the time of publication
Page 12 of 19(5)
2016-05 2016-06 2016-07 2016-08 2016-09 2016-10 2016-11 2016-12 2016-14
Notes in Issue
Interest Payments^
Principal Payments^
Issue Date
Original rating (S&P/Moody's/Fitch)
Current rating (S&P/Moody's/Fitch)
Currency
Issue Size
Relevant Swap Rate
GBP Equivalent
Current Period Balance
Previous Period Balance
Current Period Pool Factor
Previous Period Pool Factor
Legal final maturity date
Expected maturity date
Extended Due for Payment Date
ISIN
Stock exchange listing
Interest Payment Frequency
Accrual Start Date
Accrual End Date
Accrual Day Count
Coupon Reference Rate
Relevant Margin
Current Period Coupon Reference Rate
Current Period Coupon*
Current Period Coupon Amount*
Current Interest Shortfall
Cumulative Interest Shortfall
Next Interest Payment Date
Bond Structure
Current Period Scheduled Principal Payment
Actual Principal Paid
Principal Shortfall
Cumulative Principal Shortfall
Expected Principal Payment Date
26/02/2016
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
40,000,000
0.7756000000
31,024,000
40,000,000
40,000,000
1.00000
1.00000
26/2/2041
26/2/2041
26/2/2042
XS1371979284
London
Annual
26/02/2020
26/02/2021
366
FIXED
0.00000%
FIXED
1.33600%
0
0
0
26/02/2021
Soft bullet
0
0
0
0
26/2/2041
01/03/2016
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
25,000,000
0.7812000000
19,530,000
25,000,000
25,000,000
1.00000
1.00000
1/3/2023
1/3/2023
1/3/2024
XS1373029856
London
Quarterly
02/03/2020
01/06/2020
91
EURIBOR 3M
0.75000%
-0.42500%
0.32500%
20,538
0
0
01/06/2020
Soft bullet
0
0
0
0
1/3/2023
03/03/2016
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
1,250,000,000
0.7885000000
985,625,000
1,250,000,000
1,250,000,000
1.00000
1.00000
25/1/2021
25/1/2021
25/1/2022
XS1374414891
London
Annual
27/01/2020
25/01/2021
364
FIXED
0.00000%
FIXED
0.12500%
0
0
0
25/01/2021
Soft bullet
0
0
0
0
25/1/2021
11/03/2016
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
30,000,000
0.7756000000
23,268,000
30,000,000
30,000,000
1.00000
1.00000
11/3/2036
11/3/2036
11/3/2037
XS1378944836
London
Annual
11/03/2020
11/03/2021
365
FIXED
0.00000%
FIXED
1.33100%
0
0
0
11/03/2021
Soft bullet
0
0
0
0
11/3/2036
16/03/2016
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
50,000,000
0.7708000000
38,540,000
50,000,000
50,000,000
1.00000
1.00000
16/3/2038
16/3/2038
16/3/2039
XS1380330826
London
Annual
16/03/2020
16/03/2021
365
FIXED
0.00000%
FIXED
1.42500%
0
0
0
16/03/2021
Soft bullet
0
0
0
0
16/3/2038
17/03/2016
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
50,000,000
0.7707000000
38,535,000
50,000,000
50,000,000
1.00000
1.00000
17/3/2031
17/3/2031
17/3/2032
XS1380328259
London
Annual
17/03/2020
17/03/2021
365
FIXED
0.00000%
FIXED
1.19500%
0
0
0
17/03/2021
Soft bullet
0
0
0
0
17/3/2031
24/03/2016
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
40,000,000
0.7836000000
31,344,000
40,000,000
40,000,000
1.00000
1.00000
24/3/2036
24/3/2036
24/3/2037
XS1384262389
London
Annual
24/03/2020
24/03/2021
365
FIXED
0.00000%
FIXED
1.39000%
0
0
0
24/03/2021
Soft bullet
0
0
0
0
24/3/2036
23/03/2016
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
80,000,000
0.7880000000
63,040,000
80,000,000
80,000,000
1.00000
1.00000
23/3/2021
23/3/2021
23/3/2022
XS1385380289
London
Annual
23/03/2020
23/03/2021
365
FIXED
0.00000%
FIXED
0.18500%
0
0
0
23/03/2021
Soft bullet
0
0
0
0
23/3/2021
20/04/2016
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
60,000,000
0.7950000000
47,700,000
60,000,000
60,000,000
1.00000
1.00000
23/4/2041
23/4/2041
23/4/2042
XS1397982874
London
Annual
23/04/2020
23/04/2021
365
FIXED
0.00000%
FIXED
1.42000%
0
0
0
23/04/2021
Soft bullet
0
0
0
0
23/4/2041
Investor Report Notes in issue Investor Report Notes in issue
Nationwide Regulated Covered Bonds Programme Nationwide Regulated Covered Bonds Programme
^ Payments made during the Payment Period 18/5/2020 - 16/6/2020* For SONIA linked Bonds coupon rates and payments showing are an approximation based on the latest SONIA rates available at the time of publication
^ Payments made during the Payment Period 18/5/2020 - 16/6/2020* For SONIA linked Bonds coupon rates and payments showing are an approximation based on the latest SONIA rates available at the time of publication
Page 12 of 19(6)
2016-15 2017-01 2017-02 2017-03 2018-01 2018-02 2018-03 2019-01 2019-02
Notes in Issue
Interest Payments^
Principal Payments^
Issue Date
Original rating (S&P/Moody's/Fitch)
Current rating (S&P/Moody's/Fitch)
Currency
Issue Size
Relevant Swap Rate
GBP Equivalent
Current Period Balance
Previous Period Balance
Current Period Pool Factor
Previous Period Pool Factor
Legal final maturity date
Expected maturity date
Extended Due for Payment Date
ISIN
Stock exchange listing
Interest Payment Frequency
Accrual Start Date
Accrual End Date
Accrual Day Count
Coupon Reference Rate
Relevant Margin
Current Period Coupon Reference Rate
Current Period Coupon*
Current Period Coupon Amount*
Current Interest Shortfall
Cumulative Interest Shortfall
Next Interest Payment Date
Bond Structure
Current Period Scheduled Principal Payment
Actual Principal Paid
Principal Shortfall
Cumulative Principal Shortfall
Expected Principal Payment Date
06/05/2016
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
25,000,000
0.7800000000
19,500,000
25,000,000
25,000,000
1.00000
1.00000
7/5/2041
7/5/2041
7/5/2042
XS1407047411
London
Annual
07/05/2020
07/05/2021
365
FIXED
0.00000%
FIXED
1.57250%
0
0
0
07/05/2021
Soft bullet
0
0
0
0
7/5/2041
23/02/2017
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
1,000,000,000
0.8502000000
850,200,000
1,000,000,000
1,000,000,000
1.00000
1.00000
23/2/2024
23/2/2024
23/2/2025
XS1569896498
London
Annual
24/02/2020
23/02/2021
365
FIXED
0.00000%
FIXED
0.50000%
0
0
0
23/02/2021
Soft bullet
0
0
0
0
23/2/2024
29/06/2017
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
1,000,000,000
0.8820500000
882,050,000
1,000,000,000
1,000,000,000
1.00000
1.00000
29/6/2032
29/6/2032
29/6/2033
XS1638816089
London
Annual
01/07/2019
29/06/2020
364
FIXED
0.00000%
FIXED
1.37500%
0
0
0
29/06/2020
Soft bullet
0
0
0
0
29/6/2032
08/12/2017
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
50,000,000
0.8840000000
44,200,000
50,000,000
50,000,000
1.00000
1.00000
8/12/2037
8/12/2037
8/12/2038
XS1731837123
London
Annual
09/12/2019
08/12/2020
365
FIXED
0.00000%
FIXED
1.48100%
0
0
0
08/12/2020
Soft bullet
0
0
0
0
8/12/2037
12/04/2018
AAA/Aaa/AAA
AAA/Aaa/AAA
GBP
1,000,000,000
1.0000000000
1,000,000,000
1,000,000,000
1,000,000,000
1.00000
1.00000
12/4/2023
12/4/2023
12/4/2024
XS1806359714
London
Quarterly
14/04/2020
13/07/2020
90
SON IA
0.41600%
SONIA CMP -5BD
0.48300%
0
0
0
13/07/2020
Soft bullet
0
0
0
0
12/4/2023
31/05/2018
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
500,000,000
0.8775778850
438,788,943
500,000,000
500,000,000
1.00000
1.00000
31/5/2028
31/5/2028
31/5/2029
XS1829215562
London
Annual
31/05/2019
01/06/2020
367
FIXED
0.00000%
FIXED
1.12500%
5,192,300
0
0
01/06/2020
Soft bullet
0
0
0
0
31/5/2028
04/10/2018
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
30,000,000
0.8925000000
26,775,000
30,000,000
30,000,000
1.00000
1.00000
4/10/2038
4/10/2038
4/10/2039
XS1890083170
London
Annual
04/10/2019
05/10/2020
367
FIXED
0.00000%
FIXED
1.60000%
0
0
0
05/10/2020
Soft bullet
0
0
0
0
4/10/2038
10/01/2019
AAA/Aaa/AAA
AAA/Aaa/AAA
GBP
1,000,000,000
1.0000000000
1,000,000,000
1,000,000,000
1,000,000,000
1.00000
1.00000
10/1/2024
10/1/2024
10/1/2025
XS1933035286
London
Quarterly
14/04/2020
10/07/2020
87
SON IA
0.75000%
SONIA CMP -5BD
0.75658%
0
0
0
10/07/2020
Soft bullet
0
0
0
0
10/1/2024
03/06/2019
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
1,250,000,000
0.8811040320
1,101,380,040
1,250,000,000
1,250,000,000
1.00000
1.00000
3/6/2024
3/6/2024
3/6/2025
XS2004366287
London
Annual
03/06/2019
03/06/2020
366
FIXED
0.00000%
FIXED
0.05000%
625,000
0
0
03/06/2020
Soft bullet
0
0
0
0
3/6/2024
Investor Report Notes in issue Investor Report Notes in issue
Nationwide Regulated Covered Bonds Programme Nationwide Regulated Covered Bonds Programme
^ Payments made during the Payment Period 18/5/2020 - 16/6/2020* For SONIA linked Bonds coupon rates and payments showing are an approximation based on the latest SONIA rates available at the time of publication
^ Payments made during the Payment Period 18/5/2020 - 16/6/2020* For SONIA linked Bonds coupon rates and payments showing are an approximation based on the latest SONIA rates available at the time of publication
Page 12 of 19(7)
2019-03 2019-04 2019-05 2019-06 2019-07 2020-01 2020-02
Notes in Issue
Interest Payments^
Principal Payments^
Issue Date
Original rating (S&P/Moody's/Fitch)
Current rating (S&P/Moody's/Fitch)
Currency
Issue Size
Relevant Swap Rate
GBP Equivalent
Current Period Balance
Previous Period Balance
Current Period Pool Factor
Previous Period Pool Factor
Legal final maturity date
Expected maturity date
Extended Due for Payment Date
ISIN
Stock exchange listing
Interest Payment Frequency
Accrual Start Date
Accrual End Date
Accrual Day Count
Coupon Reference Rate
Relevant Margin
Current Period Coupon Reference Rate
Current Period Coupon*
Current Period Coupon Amount*
Current Interest Shortfall
Cumulative Interest Shortfall
Next Interest Payment Date
Bond Structure
Current Period Scheduled Principal Payment
Actual Principal Paid
Principal Shortfall
Cumulative Principal Shortfall
Expected Principal Payment Date
28/06/2019
AAA/Aaa/AAA
AAA/Aaa/AAA
EUR
20,000,000
0.8939400000
17,878,800
20,000,000
20,000,000
1.00000
1.00000
28/6/2044
28/6/2044
28/6/2045
N/A
N/A
Annual
28/06/2019
29/06/2020
367
FIXED
0.00000%
FIXED
1.04000%
0
0
0
29/06/2020
Soft bullet
0
0
0
0
28/6/2044
11/07/2019
AAA/N.R./AAA
AAA/N.R./AAA
CHF
250,000,000
0.8064516129
201,612,903
250,000,000
250,000,000
1.00000
1.00000
11/7/2025
11/7/2025
11/7/2026
CH0485445982
SIX Swiss Exchange
Annual
11/07/2019
11/07/2020
360
FIXED
0.00000%
FIXED
0.00000%
0
0
0
13/07/2020
Soft bullet
0
0
0
0
11/7/2025
11/07/2019
AAA/N.R./AAA
AAA/N.R./AAA
CHF
150,000,000
0.8045052293
120,675,784
150,000,000
150,000,000
1.00000
1.00000
11/7/2031
11/7/2031
11/7/2032
CH0485445990
SIX Swiss Exchange
Annual
11/07/2019
11/07/2020
360
FIXED
0.00000%
FIXED
0.16750%
0
0
0
13/07/2020
Soft bullet
0
0
0
0
11/7/2031
11/07/2019
AAA/N.R./AAA
AAA/N.R./AAA
CHF
100,000,000
0.8056070249
80,560,702
100,000,000
100,000,000
1.00000
1.00000
11/7/2044
11/7/2044
11/7/2045
CH0419041329
SIX Swiss Exchange
Annual
11/07/2019
11/07/2020
360
FIXED
0.00000%
FIXED
0.48500%
0
0
0
13/07/2020
Soft bullet
0
0
0
0
11/7/2044
02/08/2019
AAA/N.R./AAA
AAA/N.R./AAA
GBP
1,000,000,000
1.0000000000
1,000,000,000
1,000,000,000
1,000,000,000
1.00000
1.00000
2/8/2022
2/8/2022
2/8/2023
XS2035642102
London
Quarterly
04/05/2020
03/08/2020
91
SON IA
0.43000%
SONIA CMP -5BD
0.49520%
0
0
0
03/08/2020
Soft bullet
0
0
0
0
2/8/2022
10/01/2020
AAA/N.R./AAA
AAA/N.R./AAA
GBP
1,000,000,000
1.0000000000
1,000,000,000
1,000,000,000
1,000,000,000
1.00000
1.00000
10/1/2025
10/1/2025
10/1/2026
XS2100384853
London
Quarterly
14/04/2020
10/07/2020
87
SON IA
0.55000%
SONIA CMP -5BD
0.55658%
0
0
0
10/07/2020
Soft bullet
0
0
0
0
10/1/2025
13/02/2020
AAA/Aaa/AAA
AAA/Aaa/AAA
USD
1,000,000,000
0.7679665781
767,966,578
1,000,000,000
1,000,000,000
1.00000
1.00000
13/2/2023
13/2/2023
13/2/2024
USG6398ADC83
London
Semi-Annual
13/02/2020
13/08/2020
180
FIXED
0.00000%
FIXED
1.70000%
0
0
0
13/08/2020
Soft bullet
0
0
0
0
13/2/2023
Investor Report Notes in issue
Nationwide Regulated Covered Bonds Programme
^ Payments made during the Payment Period 18/5/2020 - 16/6/2020* For SONIA linked Bonds coupon rates and payments showing are an approximation based on the latest SONIA rates available at the time of publication
Page 12 of 19(8)
Related Covered Bond
Investor Report Swaps
Nationwide Regulated Covered Bonds Programme
Swaps^
Maturity Notional currency
Notional Counterparty Receive reference rate
Receive margin Receive rate Pay reference rate Pay margin Pay rate Payments ^ (made)/received
(£)EURIBOR 3M 0.0740% GBP 3M LIBOR 0.027202007-1 (2) 28/02/2022 EUR BNP Paribas (648,930.64) 666,000,000 -0.3490% 0.7000%
EURIBOR 3M 0.0721% GBP 3M LIBOR 0.027802007-1 (2) 28/02/2022 EUR Wells Fargo NA (652,258.61) 667,000,000 -0.3509% 0.7006%
EURIBOR 3M 0.0740% GBP 3M LIBOR 0.026302007-1 (2) 28/02/2022 EUR HSBC Bank PLC (649,572.95) 667,000,000 -0.3490% 0.6991%
FIXED (EUR) 0.0000% EURIBOR 3M 0.074002007-1 (2) 28/02/2022 EUR BNP Paribas 391,070.21 666,000,000 4.3750% -0.3490%
FIXED (EUR) 0.0000% EURIBOR 3M 0.072102007-1 (2) 28/02/2022 EUR Wells Fargo NA 393,789.63 667,000,000 4.3750% -0.3509%
FIXED (EUR) 0.0000% EURIBOR 3M 0.074002007-1 (2) 28/02/2022 EUR HSBC Bank PLC 391,657.40 667,000,000 4.3750% -0.3490%
GBP 3M LIBOR 0.0000% GBP 1M LIBOR 0.000002007-1 (2) 28/02/2022 GBP Nationwide Building Society 484,836.58 1,346,000,000 0.6728% 0.2345%
NIBOR 3M 1.1000% GBP 3M LIBOR 1.080002010-2 26/10/2020 NOK Nationwide Building Society (73,670.92) 500,000,000 1.7100% 1.7219%
FIXED (NOK) 0.0000% NIBOR 3M 1.100002010-2 26/10/2020 NOK Nationwide Building Society 0.00 500,000,000 4.8900% 1.7100%
NIBOR 3M 1.2800% GBP 3M LIBOR 1.250002011-01 27/01/2021 NOK Nationwide Building Society (83,848.47) 500,000,000 1.8900% 1.8919%
FIXED (NOK) 0.0000% NIBOR 3M 1.280002011-01 27/01/2021 NOK Nationwide Building Society 0.00 500,000,000 5.5600% 1.8900%
FIXED (GBP) 0.0000% GBP 3M LIBOR 1.605002011-02 28/01/2026 GBP Nationwide Building Society (1,378,510.27) 750,000,000 5.6250% 2.2363%
EURIBOR 3M 1.2990% GBP 3M LIBOR 1.512002011-03 08/02/2021 EUR Nationwide Building Society (1,733,715.42) 1,250,000,000 1.0260% 2.1063%
FIXED (EUR) 0.0000% EURIBOR 3M 1.299002011-03 08/02/2021 EUR Nationwide Building Society 0.00 1,250,000,000 4.6250% 1.0260%
EURIBOR 3M 1.0450% GBP 3M LIBOR 1.100002011-04 03/03/2031 EUR Nationwide Building Society 4,944.30 30,000,000 0.6210% 1.6943%
FIXED (EUR) 0.0000% EURIBOR 3M 1.045002011-04 03/03/2031 EUR Nationwide Building Society (40,349.48) 30,000,000 4.7400% 0.6210%
EURIBOR 3M 1.1600% GBP 3M LIBOR 1.267502011-05 28/11/2025 EUR Nationwide Building Society 31,366.88 132,000,000 0.7370% 1.8988%
FIXED (EUR) 0.0000% EURIBOR 3M 1.160002011-05 28/11/2025 EUR Nationwide Building Society (205,026.03) 132,000,000 4.9240% 0.7370%
EURIBOR 3M 1.0750% GBP 3M LIBOR 1.215002011-06 14/03/2023 EUR Nationwide Building Society (4,502.75) 50,000,000 0.5860% 1.8093%
FIXED (EUR) 0.0000% EURIBOR 3M 1.075002011-06 14/03/2023 EUR Nationwide Building Society (63,574.15) 50,000,000 4.6990% 0.5860%
NIBOR 3M 1.3000% GBP 3M LIBOR 1.220002011-07 29/03/2021 NOK Nationwide Building Society (83,769.99) 500,000,000 2.3400% 1.8381%
FIXED (NOK) 0.0000% NIBOR 3M 1.300002011-07 29/03/2021 NOK Nationwide Building Society 0.00 500,000,000 5.6950% 2.3400%
EURIBOR 3M 0.9500% GBP 3M LIBOR 0.930002011-09 28/04/2032 EUR Nationwide Building Society (56,782.45) 50,000,000 0.7580% 1.5613%
FIXED (EUR) 0.0000% EURIBOR 3M 0.950002011-09 28/04/2032 EUR Nationwide Building Society 0.00 50,000,000 5.0100% 0.7580%
EURIBOR 3M 0.9800% GBP 3M LIBOR 1.067502011-13 03/08/2026 EUR Nationwide Building Society (120,533.78) 100,000,000 0.7070% 1.6618%
FIXED (EUR) 0.0000% EURIBOR 3M 0.980002011-13 03/08/2026 EUR Nationwide Building Society 0.00 100,000,000 4.5650% 0.7070%
EURIBOR 3M 0.9750% GBP 3M LIBOR 1.042502011-14 08/08/2029 EUR Nationwide Building Society (50,261.26) 40,000,000 0.7020% 1.6368%
FIXED (EUR) 0.0000% EURIBOR 3M 0.975002011-14 08/08/2029 EUR Nationwide Building Society 0.00 40,000,000 4.4325% 0.7020%
EURIBOR 3M 0.9675% GBP 3M LIBOR 1.055002011-15 02/09/2026 EUR Nationwide Building Society 3,354.64 50,000,000 0.5425% 1.6493%
FIXED (EUR) 0.0000% EURIBOR 3M 0.967502011-15 02/09/2026 EUR Nationwide Building Society (61,174.41) 50,000,000 4.1200% 0.5425%
EURIBOR 3M 1.1350% GBP 3M LIBOR 1.245002011-17 05/10/2027 EUR Nationwide Building Society (139,819.13) 103,000,000 0.7990% 1.8393%
FIXED (EUR) 0.0000% EURIBOR 3M 1.135002011-17 05/10/2027 EUR Nationwide Building Society 0.00 103,000,000 3.7700% 0.7990%
EURIBOR 3M 1.0900% GBP 3M LIBOR 1.162002011-18 15/10/2029 EUR Nationwide Building Society (51,132.38) 40,000,000 0.8700% 1.7563%
FIXED (EUR) 0.0000% EURIBOR 3M 1.090002011-18 15/10/2029 EUR Nationwide Building Society 0.00 40,000,000 3.7500% 0.8700%
EURIBOR 3M 1.0600% GBP 3M LIBOR 1.110002011-23 01/11/2032 EUR Nationwide Building Society (96,808.32) 77,000,000 0.7990% 1.7043%
FIXED (EUR) 0.0000% EURIBOR 3M 1.060002011-23 01/11/2032 EUR Nationwide Building Society 0.00 77,000,000 3.9000% 0.7990%
EURIBOR 3M 1.2830% GBP 3M LIBOR 1.455002012-02 17/02/2027 EUR Nationwide Building Society 39,318.73 116,000,000 0.8720% 2.1148%
FIXED (EUR) 0.0000% EURIBOR 3M 1.283002012-02 17/02/2027 EUR Nationwide Building Society (212,350.36) 116,000,000 3.8100% 0.8720%
Page 13 of 19
Related Covered Bond
Investor Report Swaps
Nationwide Regulated Covered Bonds Programme
Swaps^
Maturity Notional currency
Notional Counterparty Receive reference rate
Receive margin Receive rate Pay reference rate Pay margin Pay rate Payments ^ (made)/received
(£)EURIBOR 3M 1.2280% GBP 3M LIBOR 1.405002012-03 22/02/2030 EUR Nationwide Building Society 23,285.73 88,000,000 0.8180% 2.0488%
FIXED (EUR) 0.0000% EURIBOR 3M 1.228002012-03 22/02/2030 EUR Nationwide Building Society (147,508.01) 88,000,000 3.8320% 0.8180%
EURIBOR 3M 1.0450% GBP 3M LIBOR 1.160002012-06 20/03/2028 EUR Nationwide Building Society (195,906.89) 157,500,000 0.6370% 1.8118%
FIXED (EUR) 0.0000% EURIBOR 3M 1.045002012-06 20/03/2028 EUR Nationwide Building Society 0.00 157,500,000 3.5550% 0.6370%
EURIBOR 3M 0.3925% GBP 3M LIBOR 0.430502014-02 25/06/2029 EUR Nationwide Building Society (512,175.30) 750,000,000 0.0235% 1.0724%
FIXED (EUR) 0.0000% EURIBOR 3M 0.392502014-02 25/06/2029 EUR Nationwide Building Society 0.00 750,000,000 2.2500% 0.0235%
EURIBOR 3M 0.2300% GBP 3M LIBOR 0.250002014-04 16/09/2039 EUR Nationwide Building Society (61,984.58) 56,000,000 -0.2590% 0.9215%
FIXED (EUR) 0.0000% EURIBOR 3M 0.230002014-04 16/09/2039 EUR Nationwide Building Society 29,430.23 56,000,000 1.9400% -0.2590%
EURIBOR 3M 0.2300% GBP 3M LIBOR 0.250002014-05 19/09/2039 EUR Nationwide Building Society (28,475.66) 50,000,000 -0.1780% 0.9018%
FIXED (EUR) 0.0000% EURIBOR 3M 0.230002014-05 19/09/2039 EUR Nationwide Building Society 0.00 50,000,000 2.0665% -0.1780%
EURIBOR 3M 0.1634% GBP 3M LIBOR 0.303002014-06 29/10/2021 EUR Nationwide Building Society (598,482.14) 1,000,000,000 -0.0596% 0.9211%
FIXED (EUR) 0.0000% EURIBOR 3M 0.163402014-06 29/10/2021 EUR Nationwide Building Society 0.00 1,000,000,000 0.7500% -0.0596%
EURIBOR 3M 0.1450% GBP 3M LIBOR 0.220002014-07 15/03/2039 EUR Nationwide Building Society (63,845.51) 50,000,000 -0.3440% 0.8878%
FIXED (EUR) 0.0000% EURIBOR 3M 0.145002014-07 15/03/2039 EUR Nationwide Building Society 34,195.27 50,000,000 1.6925% -0.3440%
EURIBOR 3M 0.1635% GBP 3M LIBOR 0.250002015-01 30/01/2030 EUR Nationwide Building Society (25,154.02) 50,000,000 -0.0685% 0.8443%
FIXED (EUR) 0.0000% EURIBOR 3M 0.163502015-01 30/01/2030 EUR Nationwide Building Society 0.00 50,000,000 1.0000% -0.0685%
EURIBOR 3M 0.1778% GBP 3M LIBOR 0.435502015-02 25/03/2027 EUR Nationwide Building Society (465,514.50) 750,000,000 -0.1912% 1.0774%
FIXED (EUR) 0.0000% EURIBOR 3M 0.177802015-02 25/03/2027 EUR Nationwide Building Society 0.00 750,000,000 0.6250% -0.1912%
EURIBOR 3M 0.0875% GBP 3M LIBOR 0.230002015-03 22/06/2035 EUR Nationwide Building Society (12,926.71) 25,000,000 -0.3055% 0.8738%
FIXED (EUR) 0.0000% EURIBOR 3M 0.087502015-03 22/06/2035 EUR Nationwide Building Society 0.00 25,000,000 0.7460% -0.3055%
EURIBOR 3M 0.0920% GBP 3M LIBOR 0.230002015-05 08/05/2035 EUR Nationwide Building Society (22,588.97) 50,000,000 -0.1810% 0.8243%
FIXED (EUR) 0.0000% EURIBOR 3M 0.092002015-05 08/05/2035 EUR Nationwide Building Society 0.00 50,000,000 0.7500% -0.1810%
EURIBOR 3M 0.1406% GBP 3M LIBOR 0.300002015-06 05/06/2034 EUR Nationwide Building Society (118,542.08) 105,000,000 -0.3224% 0.8943%
FIXED (EUR) 0.0000% EURIBOR 3M 0.140602015-06 05/06/2034 EUR Nationwide Building Society 1,073,108.26 105,000,000 1.3510% -0.3224%
EURIBOR 3M 0.0000% GBP 3M LIBOR 0.300002015-07 17/07/2031 EUR Nationwide Building Society (58,754.60) 100,000,000 -0.2500% 0.9598%
FIXED (EUR) 0.0000% EURIBOR 3M 0.000002015-07 17/07/2031 EUR Nationwide Building Society 0.00 100,000,000 1.7025% -0.2500%
EURIBOR 3M 0.1175% GBP 3M LIBOR 0.300002015-08 23/07/2035 EUR Nationwide Building Society (29,071.87) 50,000,000 -0.1155% 0.9218%
FIXED (EUR) 0.0000% EURIBOR 3M 0.117502015-08 23/07/2035 EUR Nationwide Building Society 0.00 50,000,000 1.7700% -0.1155%
EURIBOR 3M 0.1050% GBP 3M LIBOR 0.300002015-09 30/07/2035 EUR Nationwide Building Society (22,300.82) 45,000,000 -0.1270% 0.8943%
FIXED (EUR) 0.0000% EURIBOR 3M 0.105002015-09 30/07/2035 EUR Nationwide Building Society 0.00 45,000,000 1.7600% -0.1270%
EURIBOR 3M 0.1646% GBP 3M LIBOR 0.461002015-10 30/07/2020 EUR National Australia Bank Limited (591,000.71) 1,000,000,000 -0.0674% 1.0553%
FIXED (EUR) 0.0000% EURIBOR 3M 0.164602015-10 30/07/2020 EUR National Australia Bank Limited 0.00 1,000,000,000 0.3750% -0.0674%
EURIBOR 3M 0.3031% GBP 3M LIBOR 0.667002015-11 26/10/2022 EUR HSBC Hong Kong (761,520.41) 1,000,000,000 0.1421% 1.3089%
FIXED (EUR) 0.0000% EURIBOR 3M 0.303102015-11 26/10/2022 EUR HSBC Hong Kong 0.00 1,000,000,000 0.7500% 0.1421%
EURIBOR 3M 0.2500% GBP 3M LIBOR 0.450002015-12 05/11/2035 EUR Nationwide Building Society (22,287.73) 35,000,000 -0.0230% 1.0443%
FIXED (EUR) 0.0000% EURIBOR 3M 0.250002015-12 05/11/2035 EUR Nationwide Building Society 0.00 35,000,000 1.5400% -0.0230%
EURIBOR 3M 0.2770% GBP 3M LIBOR 0.520002015-13 14/12/2032 EUR Nationwide Building Society (54,470.89) 50,000,000 -0.2120% 1.1143%
FIXED (EUR) 0.0000% EURIBOR 3M 0.277002015-13 14/12/2032 EUR Nationwide Building Society 19,296.01 50,000,000 1.6200% -0.2120%
Page 14 of 19
Related Covered Bond
Investor Report Swaps
Nationwide Regulated Covered Bonds Programme
Swaps^
Maturity Notional currency
Notional Counterparty Receive reference rate
Receive margin Receive rate Pay reference rate Pay margin Pay rate Payments ^ (made)/received
(£)EURIBOR 3M 0.2600% GBP 3M LIBOR 0.500002015-14 17/12/2035 EUR Nationwide Building Society (17,877.63) 25,000,000 -0.1680% 1.1598%
FIXED (EUR) 0.0000% EURIBOR 3M 0.260002015-14 17/12/2035 EUR Nationwide Building Society 0.00 25,000,000 1.6800% -0.1680%
EURIBOR 3M 0.1415% GBP 3M LIBOR 0.540002015-15 17/12/2020 EUR Nationwide Building Society (73,620.28) 100,000,000 -0.2865% 1.1998%
FIXED (EUR) 0.0000% EURIBOR 3M 0.141502015-15 17/12/2020 EUR Nationwide Building Society 0.00 100,000,000 0.2770% -0.2865%
EURIBOR 3M 0.2625% GBP 3M LIBOR 0.400002016-01 28/01/2041 EUR Nationwide Building Society (16,147.27) 25,000,000 0.0705% 1.0313%
FIXED (EUR) 0.0000% EURIBOR 3M 0.262502016-01 28/01/2041 EUR Nationwide Building Society 0.00 25,000,000 1.6730% 0.0705%
EURIBOR 3M 0.2650% GBP 3M LIBOR 0.400002016-02 28/01/2041 EUR Nationwide Building Society (19,596.24) 30,000,000 0.0730% 1.0313%
FIXED (EUR) 0.0000% EURIBOR 3M 0.265002016-02 28/01/2041 EUR Nationwide Building Society 0.00 30,000,000 1.6180% 0.0730%
EURIBOR 3M 0.3880% GBP 3M LIBOR 0.610002016-03 25/02/2036 EUR Nationwide Building Society (42,000.06) 51,000,000 -0.0270% 1.2519%
FIXED (EUR) 0.0000% EURIBOR 3M 0.388002016-03 25/02/2036 EUR Nationwide Building Society 2,696.89 51,000,000 1.3950% -0.0270%
EURIBOR 3M 0.3530% GBP 3M LIBOR 0.600002016-04 25/02/2036 EUR Nationwide Building Society (44,198.74) 50,000,000 -0.0620% 1.2419%
FIXED (EUR) 0.0000% EURIBOR 3M 0.353002016-04 25/02/2036 EUR Nationwide Building Society 6,058.07 50,000,000 1.3450% -0.0620%
EURIBOR 3M 0.3440% GBP 3M LIBOR 0.580002016-05 26/02/2041 EUR Nationwide Building Society (35,547.57) 40,000,000 -0.0700% 1.2219%
FIXED (EUR) 0.0000% EURIBOR 3M 0.344002016-05 26/02/2041 EUR Nationwide Building Society 5,429.20 40,000,000 1.3360% -0.0700%
EURIBOR 3M 0.7500% GBP 3M LIBOR 0.660002016-06 01/03/2023 EUR Nationwide Building Society (4,759.97) 25,000,000 0.3250% 1.2543%
EURIBOR 3M 0.3350% GBP 3M LIBOR 0.832002016-07 25/01/2021 EUR National Australia Bank Limited (1,154,194.42) 1,250,000,000 0.1740% 1.4739%
FIXED (EUR) 0.0000% EURIBOR 3M 0.335002016-07 25/01/2021 EUR National Australia Bank Limited 0.00 1,250,000,000 0.1250% 0.1740%
EURIBOR 3M 0.3300% GBP 3M LIBOR 0.600002016-08 11/03/2036 EUR Nationwide Building Society (31,806.45) 30,000,000 -0.1380% 1.1943%
FIXED (EUR) 0.0000% EURIBOR 3M 0.330002016-08 11/03/2036 EUR Nationwide Building Society 8,205.85 30,000,000 1.3310% -0.1380%
EURIBOR 3M 0.3700% GBP 3M LIBOR 0.640002016-09 16/03/2038 EUR Nationwide Building Society (49,514.20) 50,000,000 -0.1190% 1.2343%
FIXED (EUR) 0.0000% EURIBOR 3M 0.370002016-09 16/03/2038 EUR Nationwide Building Society 11,720.45 50,000,000 1.4250% -0.1190%
EURIBOR 3M 0.3490% GBP 3M LIBOR 0.680002016-10 17/03/2031 EUR Nationwide Building Society (43,847.82) 50,000,000 -0.0790% 1.3398%
FIXED (EUR) 0.0000% EURIBOR 3M 0.349002016-10 17/03/2031 EUR Nationwide Building Society 0.00 50,000,000 1.1950% -0.0790%
EURIBOR 3M 0.3400% GBP 3M LIBOR 0.650002016-11 24/03/2036 EUR Nationwide Building Society (35,373.21) 40,000,000 -0.0310% 1.2873%
FIXED (EUR) 0.0000% EURIBOR 3M 0.340002016-11 24/03/2036 EUR Nationwide Building Society 0.00 40,000,000 1.3900% -0.0310%
EURIBOR 3M 0.2400% GBP 3M LIBOR 0.700002016-12 23/03/2021 EUR Nationwide Building Society (75,333.23) 80,000,000 -0.1530% 1.3218%
FIXED (EUR) 0.0000% EURIBOR 3M 0.240002016-12 23/03/2021 EUR Nationwide Building Society 0.00 80,000,000 0.1850% -0.1530%
EURIBOR 3M 0.4013% GBP 3M LIBOR 0.630002016-14 23/04/2041 EUR Nationwide Building Society (53,983.00) 60,000,000 0.1683% 1.2518%
FIXED (EUR) 0.0000% EURIBOR 3M 0.401302016-14 23/04/2041 EUR Nationwide Building Society 0.00 60,000,000 1.4200% 0.1683%
EURIBOR 3M 0.4300% GBP 3M LIBOR 0.630002016-15 07/05/2041 EUR Nationwide Building Society (20,929.64) 25,000,000 0.1570% 1.2243%
FIXED (EUR) 0.0000% EURIBOR 3M 0.430002016-15 07/05/2041 EUR Nationwide Building Society 0.00 25,000,000 1.5725% 0.1570%
EURIBOR 3M 0.2324% GBP 3M LIBOR 0.687552017-01 23/02/2024 EUR National Australia Bank Limited (1,392,302.27) 1,000,000,000 -0.1776% 1.3093%
FIXED (EUR) 0.0000% EURIBOR 3M 0.232402017-01 23/02/2024 EUR National Australia Bank Limited 385,877.44 1,000,000,000 0.5000% -0.1816%
EURIBOR 3M 0.3752% GBP 3M LIBOR 0.852502017-02 29/06/2032 EUR Nationwide Building Society (533,083.23) 500,000,000 0.0262% 1.4706%
EURIBOR 3M 0.3747% GBP 3M LIBOR 0.830002017-02 29/06/2032 EUR ING Bank N.V. (524,927.29) 500,000,000 0.0257% 1.4481%
FIXED (EUR) 0.0000% EURIBOR 3M 0.375172017-02 29/06/2032 EUR Nationwide Building Society 0.00 500,000,000 1.3750% 0.0262%
FIXED (EUR) 0.0000% EURIBOR 3M 0.374702017-02 29/06/2032 EUR ING Bank N.V. 0.00 500,000,000 1.3750% 0.0257%
EURIBOR 3M 0.1540% GBP 3M LIBOR 0.417002017-03 08/12/2037 EUR Nationwide Building Society (69,482.55) 50,000,000 -0.3150% 1.0113%
Page 15 of 19
Related Covered Bond
Investor Report Swaps
Nationwide Regulated Covered Bonds Programme
Swaps^
Maturity Notional currency
Notional Counterparty Receive reference rate
Receive margin Receive rate Pay reference rate Pay margin Pay rate Payments ^ (made)/received
(£)FIXED (EUR) 0.0000% EURIBOR 3M 0.154002017-03 08/12/2037 EUR Nationwide Building Society 35,194.25 50,000,000 1.4810% -0.3150%
EURIBOR 3M 0.2070% GBP 3M LIBOR 0.620702018-02 31/05/2028 EUR National Australia Bank Limited (663,142.93) 500,000,000 -0.2160% 1.2150%
FIXED (EUR) 0.0000% EURIBOR 3M 0.207002018-02 31/05/2028 EUR National Australia Bank Limited 5,175,954.36 500,000,000 1.1250% -0.2160%
EURIBOR 3M 0.1550% GBP 3M LIBOR 0.390002018-03 04/10/2038 EUR Nationwide Building Society (22,382.25) 30,000,000 -0.1180% 0.9843%
FIXED (EUR) 0.0000% EURIBOR 3M 0.155002018-03 04/11/2038 EUR Nationwide Building Society 0.00 30,000,000 1.6000% -0.1180%
EURIBOR 3M 0.1750% SON IA 0.682502019-02 03/06/2024 EUR Banco Santander S.A. (1,377,695.68) 1,250,000,000 -0.2490% 0.7477%
FIXED (EUR) 0.0000% EURIBOR 3M 0.175002019-02 03/06/2024 EUR Banco Santander S.A. 1,251,534.86 1,250,000,000 0.0500% -0.2490%
EURIBOR 3M 0.3550% SON IA 0.710002019-03 28/06/2044 EUR Nationwide Building Society (11,388.55) 20,000,000 0.0001% 0.7750%
FIXED (EUR) 0.0000% EURIBOR 3M 0.355002019-03 28/06/2044 EUR Nationwide Building Society 0.00 20,000,000 1.0400% 0.0001%
CHF 3M LIBOR 0.3140% SON IA 0.770502019-04 11/07/2025 CHF Nationwide Building Society (133,061.64) 250,000,000 -0.2716% 0.7771%
FIXED (CHF) 0.0000% CHF 3M LIBOR 0.314002019-04 11/07/2025 CHF Nationwide Building Society 0.00 250,000,000 0.0000% -0.2716%
CHF 3M LIBOR 0.3050% SON IA 0.966002019-05 11/07/2031 CHF Nationwide Building Society (99,681.44) 150,000,000 -0.2806% 0.9726%
FIXED (CHF) 0.0000% CHF 3M LIBOR 0.305002019-05 11/07/2031 CHF Nationwide Building Society 0.00 150,000,000 1.6750% -0.2806%
CHF 3M LIBOR 0.2760% SON IA 1.021502019-06 11/07/2044 CHF Nationwide Building Society (70,342.69) 100,000,000 -0.3096% 1.0281%
FIXED (CHF) 0.0000% CHF 3M LIBOR 0.276002019-06 11/07/2044 CHF Nationwide Building Society 0.00 100,000,000 0.4850% -0.3096%
FIXED (USD) 0.0000% SON IA 0.476402020-02 13/02/2023 USD Credit Agricole CIB Paris (377,345.32) 1,000,000,000 1.7000% 0.5435%
GBP 3M LIBOR 1.6000% NBS BMR 0.00000CBSWAPBMR 11/07/2044 GBP Nationwide Building Society (1,289,833.84) 2,485,181,360 2.1745% 2.8060%
GBP 3M LIBOR 1.3000% Fixed 0.00000CBSWAPFXD 11/07/2044 GBP Nationwide Building Society (3,391,093.07) 13,807,536,223 1.8745% 2.1733%
GBP 3M LIBOR 3.0000% NBS SMR 0.00000CBSWAPSMR 11/07/2044 GBP Nationwide Building Society (447,825.12) 721,374,154 3.5745% 4.3298%
GBP 3M LIBOR 1.5000% BoE Base Rate 1.78211CBSWAPTRAC 11/07/2044 GBP Nationwide Building Society 0.00 0 2.0745% 1.8821%
SONIA 1.8000% NBS BMR 0.00000SONIA_BMR 11/07/2044 GBP Nationwide Building Society (1,060,488.61) 1,374,084,260 1.8670% 2.8060%
SONIA 1.5000% Fixed 0.00000SONIA_FXD 11/07/2044 GBP Nationwide Building Society (3,804,693.35) 7,634,339,486 1.5670% 2.1733%
SONIA 3.2000% NBS SMR 0.00000SONIA_SMR 11/07/2044 GBP Nationwide Building Society (348,425.63) 398,855,748 3.2670% 4.3298%
SONIA 1.7000% BoE Base Rate 1.78211SONIA_TRAC 11/07/2044 GBP Nationwide Building Society 0.00 0 1.7670% 1.8821%
^Payments made during the previous Payment Period
Page 16 of 19
Counterparty
Investor Report Swaps
Ratings, Trigger and Collateral Received
Breached (Y/N)Breach Remedy(if applicable) Collateral Posting (£) Equivalent
Counterparty Rating (S&P, Moody's, Fitch)
Required Rating(Initial Rating Event: S&P, Moody's, Fitch)
Short-term Long-term (unless stated below)
Long-term (unless stated below)Short-term
Nationwide Regulated Covered Bonds Programme
Cash Collateral (Y/N/Combo)
Banco Santander S.A. A-1/P-1/F2 A/A3/A BBB/A3/A N N 0- / P-1/F1 BNP Paribas A-1/P-1/F1 A+/Aa3/AA- - /A2/A+ Y Collateral Posting Combo 215,442,582A-1+/P-1/F1Credit Agricole CIB Paris A-1/P-1/F1 A+/Aa2/AA- A/Aa3/A N Y 55,646,756A-1/P-1/F1HSBC Bank PLC A-1+/P-1/F1+ AA-/Aa3/AA- - /A2/A+ N Y 190,010,330A-1+/P-1/F1HSBC Hong Kong A-1+/P-1/F1+ AA-/Aa1/AA- A/A3/A N Y 159,086,075A-1/P-1/F1ING Bank N.V. A-1/P-1/F1+ A+/Aa3/AA- A/A3/A N Y 43,622,604A-1/ - /F1National Australia Bank Limited A-1/P-1/F1 AA-/Aa2/A+ A/A3/A N Y 340,916,732A-1/ - /F1Nationwide Building Society A-1/P-1/F1 A/Aa3/A+ A/A3/A N N 0A-1/P-1/F1Wells Fargo NA A-1/P-1/F1+ A+/Aa2/AA- - /A2/A+ N Y 188,545,236A-1/P-1/F1
1,261,159,239
ING, National Australia Bank, HSBC Hong Kong and Nationwide Moody's Long term required rating is against the Counterparty Risk Assessment (CRA) rating triggerING and Nationwide Fitch Long term required rating is against the Derivative Counterparty Rating trigger
Page 17 of 19
Investor Report Glossary
Nationwide Regulated Covered Bonds Programme
Nationwide identifies a loan as being in arrears where an amount equal to or greater than a full month's contractual payment is past its due date. Arrears includes fees and insurance premiums that are included in the arrears balance on which interest is charged. Months in Arrears is a simple multiplier of Arrears balance /normal instalment. If the Months in Arrears is less than one, zero is reported. Nationwide recognise that arrears are typically caused by temporary changes in customer circumstances, and therefore offer a range of forbearance and account management options to customers. Options include temporary conversion to interest only, term extension and arrears capitalisation. All account management/forbearance options are low in materiality. Properties in possession are repurchased from the Covered Bond programme.
Arrears
Accounts not in arrears are excluded from the weighted average table on page 3.
Data reported as "to date" throughout this report refers to the period since 31/05/ 2011.
Arrears - weighted average
Arrears - capitalisation Arrears-capitalisation is an arrangement whereby some or all of the outstanding arrears are added to the remaining principle blance to be repaid over the life of the mortgage..
Indexation is applied quarterly on a regional basis to property valuations each January, April, July, October.
Mapped to Nationwide's internally derived geographic regions which may differ to the Nomenclature of Units for Territorial Statistics (NUTS) regions used in other reporting.
Constant Payment Rates (CPR) - Technical Technical CPRs reported reflect loans repurchased from the trust
Natural CPRs reported reflect the aggregate of scheduled and unscheduled repayments of principal.
The total CPR reported on a monthly/3 month average and annualised basis being the aggregated value of Natural and Technical CPR .
Indexed
Geographical Distribution
Constant Payment Rates (CPR) - Natural
Constant Payment Rates
The aggregate amount of scheduled and unscheduled principal and interest collected during the reporting period.
A mortgage account consists of one or more underlying loans all secured with equal priority by a first charge on the same property and thereby forming a single mortgage account .
LTV at origination excludes any fees added at the time of origination .
Mortgage Collections
Mortgage Account
Loan to Value ratios at origination
Principal and Revenue Receipts The covered bonds issued are a liability of Nationwide Building Society. The Principal and Revenue Receipts and Ledgers information shows the resources available to support the guarantee to bondholders in the event that Nationwide Building Society is unable to meet its obligations to them.
Repayment Terms
Standard Variable Rates
Substitutions
True Balance
Product groups Product groups are reported at an individual loan level (please refer to the definition of ' Mortgage Account' above).
Repayment terms are reported at an individual loan level (please refer to the definition of ' Mortgage Account' above).
Nationwide operates two Standard Variable Mortgage Rates . The Base Mortgage Rate is capped at the Bank of England Base Rate plus 200 basis points. The Standard Mortgage Rate is not subject to a cap.
Prior to 31 December 2012 substitutions included further advances granted in the reporting period on mortgage accounts that were already within the Pool.
Aggregated Outstanding Balances reported refer to the total outstanding balance (" True Balance") under each mortgage loan. True Balance is the aggregate of: (a) the original principal amount advanced and any further amount advanced, (b) the amount of any re-draw made under any flexible loan, (c) any interest, fees or charges which has been capitalised and (d) any other amount (including accrued interest and arrears of interest) which is due or accrued (whether or not due) and which has not been paid and has not been capitalised.
Repurchases Repurchases include all loans in possession. Repurchases to date includes all loans repurchased from and including 31 May 2011.
Page 18 of 19
Investor Report Disclaimer
Nationwide Regulated Covered Bonds Programme
The document is provided to you for information purposes only. The document is not intended as an offer or solicitation for the purchase or sale of any financial instrument and does not comprise a prospectus for the purposes of the EU directive 2003/71/EC and/or Part VI of the Final Services and Markets Act 2000 of the United Kingdom or otherwise.
Whilst every effort has been taken to ensure that the document is accurate, current, complete, fit for its intended purpose and compliant with the relevant United Kingdom legislation and regulations as at the date of issue, Nationwide Building Society does not warrant that this document is accurate, current, complete, fit for its intended purpose and compliant with the relevant United Kingdom legislation and regulations as errors might occur due to circumstances which are beyond our control. In particular, Nationwide Building Society does not warrant that any market data or prices are complete or accurate.
Please remember that past performance is not necessarily a guide for future performance. The value of instruments and the income from them can go down as well as up. Columns stating percentage amounts may not add up to 100% due to rounding.
DISCLAIMER: This document has been prepared by Nationwide Building Society in its capacity as Cash Manager.
Any opinions or estimates expressed in the documents may be subject to change without notice and Nationwide Building Society is under no obligation to update its opinions, estimates or other of its affiliates, accept any liability whatsoever for any direct or consequential loss arising from any use of this document or its contents. Investors should not subscribe for any securities referred to herein except on the basis of information contained in the prospectus.
Covered Bond Label
DISCLAIMER: This document has been prepared by Nationwide Building Society in its capacity as Cash Manager.
The Covered Bond Label is a quality Label which responds to a market-wide request for improved standards and increased transparency in the European covered bond market.
The Label:
•Establishes a clear perimeter for the asset class and highlights the core standards and quality of covered bonds;•Increases transparency;•Improves access to information for investors, regulators and other market participants;•Has the additional objective of improving liquidity in covered bonds;•Positions the covered bond asset class with respect to the upcoming regulatory challenges (CRD IV, Solvency II, redesign of ECB repo rules, etc.).
The Label is based on the Covered Bond Label Convention, which defines the core characteristics required for a covered bond programme to qualify for the Label. This definition of the required characteristics is complemented by a transparency tool developed at national level based on the "Guidelines for National Transparency Templates".
The Covered Bond Label was created by the EMF/European Covered Bond Council (ECBC) in 2012. It was developed by the European issuer community, working in close cooperation with investors and regulators, and in consultation with all major stakeholders.
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