Nationwide Regulated Covered Bonds Programme...Totals 250,023 100.0% 25,822,783,802 100.0% 7,094,671...

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) 27/02/20072011-01 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 Date

Collection Period 01/10/2020 - 31/10/2020

17/11/2020

17/11/2020 - 16/12/2020Payment Period


29/10/20142014-06

15/12/20142014-07

30/01/20152015-01

25/03/20152015-02

30/04/20152015-03

08/05/20152015-05

05/06/20152015-06

17/07/20152015-07

23/07/20152015-08

30/07/20152015-09

26/10/20152015-11

05/11/20152015-12

14/12/20152015-13

17/12/20152015-14

17/12/20152015-15

28/01/20162016-01

28/01/20162016-02

25/02/20162016-03

25/02/20162016-04

26/02/20162016-05

01/03/20162016-06

03/03/20162016-07

11/03/20162016-08

16/03/20162016-09


17/03/20162016-10

24/03/20162016-11

23/03/20162016-12

23/04/20162016-14

06/05/20162016-15

23/02/20172017-01

29/06/20172017-02

08/12/20172017-03

12/04/20182018-01

31/05/20182018-02

04/10/20182018-03

10/01/20192019-01

03/06/20192019-02

28/06/20192019-03

11/07/20192019-04

11/07/20192019-05

11/07/20192019-06

02/08/20192019-07

10/01/20202020-01

13/02/20202020-02

Name

Funding & Capital Markets Team

Nationwide Treasury

Telephone

+44 (0)845 602 9053

E-mail

[email protected]

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 247,637 99.0% 25,616,649,575 99.2% 0 3,968 93.3% 554,230,123 95.1% 0

>=1 and < 2 904 0.4% 82,898,388 0.3% 635,882 98 2.3% 9,525,804 1.6% 83,029

>=2 and < 3 346 0.1% 28,069,441 0.1% 460,476 53 1.2% 5,566,180 1.0% 79,753

>=3 and < 6 492 0.2% 42,699,755 0.2% 1,263,925 74 1.7% 7,611,411 1.3% 297,326

>=6 and < 9 238 0.1% 17,515,328 0.1% 907,308 32 0.8% 2,678,690 0.5% 142,798

>=9 and < 12 122 0.0% 9,323,330 0.0% 652,980 10 0.2% 817,573 0.1% 48,560

12+ 284 0.1% 25,627,985 0.1% 3,174,100 17 0.4% 2,020,772 0.3% 130,141

Totals 250,023 100.0% 25,822,783,802 100.0% 7,094,671 4,252 100.0% 582,450,554 100.0% 781,607

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 253,097 250,023 6,252 (2.47%) 4,254 (1.70%)

True Balance* of mortgage accounts in Pool £26,230,864,730 £25,822,783,802 £887,077,176 (3.34%) £582,682,579 (2.26%)

Cash and other Assets £120,916,629 £122,946,407 N/A N/A

Assets

Covered Bond of which Subject to COVID-19 Mortgage Payment Holiday1

Number of Mortgage Accounts Aggregate Outstanding Balance (£)

Repurchases* current period 669 3,914,289

Repurchases to date * 319,285 16,343,459,650

Substituted* current period 0 0

Substituted to date* 369,097 44,068,505,804

Arrears (£) Number of cases

Arrears Capitalisation* - current month 25,267 4

Repurchases* & Substitutions*

Arrears* Capitalisation

Mortgage Collections* £441,103,172 £474,301,374

Collections

Yield Analysis

Pre-Swap Mortgage Yield 2.14% 2.14%

Post-Swap Mortgage Yield 0.98% 0.98%

1 Includes forward starting payment holidays that have been granted but are not yet effective

Investor Report Mortgage Assets

Nationwide Regulated Covered Bonds Programme

Page 2 of 20

Investor Report Mortgage Portfolio Breakdown


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

84 232 £103,282 49.9% 71.5%

18.07% 1.65%

1.51% 16.71%

98.52%

99.09%

0.91%

1.48%

Weighted Average

Min

Max

Remaining term (months) Loan Size (£) LTV at Origination*(%) Indexed* LTV (%) Arrears* (£)

Standard Variable Rates*

Standard Mortgage Rate, Current

Base Mortgage Rate, Current

Base Mortgage Rate, Historical

Standard Mortgage Rate, Historical

Annualised 16.53%

15.45%

15

417

1

480

£0

£947,427

£9

£90,077 156.0%

0.0%

100.0%

0.1%

£4,144

3.59

2.10

2.25

15/04/2020

01/04/2020

15/04/2020

01/04/2020

Summary Statistics

3.74

Page 3 of 19

ILTV & Geographical Distribution*

of which Subject to COVID-19 Mortgage Payment Holiday

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% 1.3 1.7 7.1 0.4 1.8 0.7 8.4 4.7 1.0 2.3 0.9 2.0 1.0 0.0 33.3 5.7%

25.00% - 49.99% 5.7 10.9 32.4 3.2 8.3 2.0 37.1 24.8 9.4 15.5 4.1 10.2 4.7 0.0 168.2 28.9%

50.00% - 74.99% 6.8 20.4 36.4 7.9 25.2 3.1 49.0 40.4 24.4 25.6 10.2 21.0 14.5 0.0 284.9 48.9%

75.00% - 79.99% 2.4 2.1 7.4 2.0 4.1 0.5 5.8 6.0 2.7 3.7 0.8 3.4 1.3 0.0 42.2 7.2%

80.00% - 84.99% 1.0 2.8 8.3 1.0 1.6 0.6 10.9 5.0 2.6 2.0 0.9 1.8 1.3 0.0 39.7 6.8%

85.00% - 89.99% 1.1 0.1 3.5 0.6 0.5 0.3 1.5 2.0 0.3 1.3 0.4 0.9 0.3 0.0 12.9 2.2%

90.00% - 94.99% 0.0 0.0 0.2 0.1 0.2 0.1 0.1 0.2 0.3 0.0 0.0 0.0 0.0 0.0 1.2 0.2%

95.00% - 96.99% 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0 0.0%

97.00% - 99.99% 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0 0.0%

> 99.99% 0.0 0.0 0.0 0.0 0.0 0.2 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.2 0.0%

Totals18.3 38 95.3 15.3 41.6 7.5 112.7 83.1 40.7 50.4 17.3 39.3 23.1 0 582.70 100.0%

3.1% 6.5% 16.4% 2.6% 7.1% 1.3% 19.3% 14.3% 7.0% 8.7% 3.0% 6.7% 4.0% 0.0% 100.0%

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% 144.5 221.2 572.1 64.6 197.3 73.7 624.9 484.0 213.3 313.4 81.6 215.8 131.7 0.0 3,338.2 12.9%

25.00% - 49.99% 381.4 657.9 1320.6 209.7 616.9 196.9 1524.7 1166.2 759.1 868.4 246.9 672.7 428.0 0.1 9,049.4 35.0%

50.00% - 74.99% 382.1 770.6 1126.3 356.7 867.2 207.3 1490.0 1271.0 1233.2 1040.1 404.2 852.3 625.8 0.2 10,626.8 41.2%

75.00% - 79.99% 52.6 89.7 196.4 55.3 101.7 27.0 222.3 180.6 141.0 138.8 43.1 103.4 79.2 0.2 1,431.1 5.5%

80.00% - 84.99% 40.6 57.6 203.4 38.9 66.3 17.0 229.6 164.4 86.8 77.5 28.6 63.7 49.2 0.0 1,123.7 4.4%

85.00% - 89.99% 9.0 9.2 24.0 10.4 15.6 9.0 30.9 34.4 21.6 16.0 7.5 13.2 10.4 0.0 211.4 0.8%

90.00% - 94.99% 0.5 0.3 3.5 2.2 0.3 5.2 2.3 1.1 4.6 0.0 0.4 0.1 0.1 0.0 20.7 0.1%

95.00% - 96.99% 0.0 0.0 0.2 0.8 0.0 1.2 0.0 0.0 0.3 0.0 0.0 0.0 0.0 0.0 2.5 0.0%

97.00% - 99.99% 0.0 0.0 0.0 0.1 0.1 2.7 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 2.9 0.0%

> 99.99% 0.0 0.0 0.0 0.0 0.1 15.9 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 16.1 0.1%

Totals1,010.7 1,806.6 3,446.6 738.6 1,865.6 556.1 4,124.6 3,301.8 2,459.9 2,454.0 812.3 1,921.2 1,324.3 0.4 25,822.8 100.0%

3.9% 7.0% 13.3% 2.9% 7.2% 2.2% 16.0% 12.8% 9.5% 9.5% 3.1% 7.4% 5.1% 0.0% 100.0%



Page 4 of 20

Range of LTV ratios


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% £3,338,190,731 12.93% 83,754 33.50% 33,317,643 5.72% 624 14.67%

25.00% - 49.99% £9,049,399,296 35.04% 82,741 33.09% 168,193,938 28.87% 1,423 33.45%

50.00% - 74.99% £10,626,836,897 41.15% 68,024 27.21% 284,941,793 48.90% 1,727 40.60%

75.00% - 79.99% £1,431,098,721 5.54% 8,106 3.24% 42,189,277 7.24% 214 5.03%

80.00% - 84.99% £1,123,718,011 4.35% 5,879 2.35% 39,744,207 6.82% 193 4.54%

85.00% - 89.99% £211,359,788 0.82% 1,240 0.50% 12,867,288 2.21% 64 1.50%

90.00% - 94.99% £20,707,380 0.08% 137 0.05% 1,182,981 0.20% 8 0.19%

95.00% - 96.99% £2,470,730 0.01% 18 0.01% 0 0.00% 0 0.00%

97.00% - 99.99% £2,931,513 0.01% 23 0.01% 0 0.00% 0 0.00%

> 99.99% £16,070,733 0.06% 101 0.04% 245,451 0.04% 1 0.02%

Totals £25,822,783,802 100.00% 250,023 100.00% 582,682,579 100.00% 4,254 100.00%

Indexed* Loan to Value ratios

Aggregate Outstanding Balance % of Total Balance Number of Mortgage Accounts % of Total of Accounts

< 25.00% £416,171,041 1.61% 10,983 4.39%

25.00% - 49.99% £2,823,287,047 10.93% 42,561 17.02%

50.00% - 74.99% £9,905,524,676 38.36% 92,528 37.01%

75.00% - 79.99% £2,685,721,930 10.40% 21,265 8.51%

80.00% - 84.99% £3,215,634,928 12.45% 24,521 9.81%

85.00% - 89.99% £3,556,360,593 13.77% 27,181 10.87%

90.00% - 94.99% £2,561,647,997 9.92% 22203 8.88%

95.00% - 96.99% £640,857,390 2.48% 8270 3.31%

97.00% - 99.99% £6,497,408 0.03% 122 0.05%

> 99.99% £11,080,792 0.04% 389 0.16%

Totals £25,822,783,802 100.00% 250,023 100.00%

Original Loan to Value ratios



Page 5 of 20


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 £448,191,548 1.74% 35,214 14.08% £2,700,602 0.46% 166 3.90%

£25,000.00 - £49,999.99 £1,466,047,200 5.68% 39,064 15.62% £16,237,393 2.79% 418 9.83%

£50,000.00 - £74,999.99 £2,369,727,688 9.18% 38,011 15.20% £36,546,096 6.27% 576 13.54%

£75,000.00 - £99,999.99 £2,939,218,599 11.38% 33,682 13.47% £49,760,139 8.54% 568 13.35%

£100,000.00 - £124,999.99 £3,100,526,142 12.01% 27,660 11.06% £62,693,767 10.76% 557 13.09%

£125,000.00 - £149,999.99 £2,887,815,950 11.18% 21,101 8.44% £66,598,644 11.43% 487 11.45%

£150,000.00 - £174,999.99 £2,466,144,637 9.55% 15,235 6.09% £53,694,128 9.21% 331 7.78%

£175,000.00 - £199,999.99 £2,097,600,089 8.12% 11,223 4.49% £54,804,340 9.41% 294 6.91%

£200,000.00 - £224,999.99 £1,712,786,924 6.63% 8,085 3.23% £51,623,149 8.86% 243 5.71%

£225,000.00 - £249,999.99 £1,399,597,779 5.42% 5,912 2.36% £38,619,210 6.63% 163 3.83%

£250,000.00 - £299,999.99 £1,888,665,217 7.31% 6,947 2.78% £56,568,002 9.71% 207 4.87%

£300,000.00 - £349,999.99 £1,154,919,586 4.47% 3,584 1.43% £36,640,141 6.29% 114 2.68%

£350,000.00 - £399,999.99 £702,651,276 2.72% 1,889 0.76% £22,252,145 3.82% 60 1.41%

£400,000.00 - £449,999.99 £445,702,984 1.73% 1,055 0.42% £13,109,421 2.25% 31 0.73%

£450,000.00 - £499,999.99 £273,331,957 1.06% 579 0.23% £7,579,360 1.30% 16 0.38%

£500,000.00 - £549,999.99 £155,119,680 0.60% 296 0.12% £6,834,169 1.17% 13 0.31%

£550,000.00 - £599,999.99 £102,249,534 0.40% 178 0.07% £2,307,173 0.40% 4 0.09%

£600,000.00 - £649,999.99 £73,799,627 0.29% 119 0.05% £613,089 0.11% 1 0.02%

£650,000.00 - £699,999.99 £55,930,893 0.22% 83 0.03% £2,031,964 0.35% 3 0.07%

£700,000.00 - £749,999.99 £33,375,830 0.13% 46 0.02% £1,469,648 0.25% 2 0.05%

> £749,999.99 £49,380,663 0.19% 60 0.02% £0 0.00% 0 0.00%

Totals £25,822,783,802 100.00% 250,023 100.00% £582,682,579 100.00% 4,254 100.00%

Outstanding True Balances

Range of outstanding

balances

Repayment Terms


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 £602,870,253 2.33% 7,369 2.10% £12,234,308 2.10% 104 1.66%

Interest Only £1,359,186,675 5.26% 17,075 4.87% £13,116,173 2.25% 102 1.63%

Repayment £23,860,726,873 92.40% 326,180 93.03% £556,629,895 95.64% 6,065 96.72%

Totals £25,822,783,802 100.00% 350,624 100.00% £581,980,376 100.00% 6,271 100.00%

Repayment Terms*



Page 6 of 20

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 months

0.00% 0 < 6 0.00%£0

0.00% 06 -< 12 0.00%£0

1.41% 3,53612 -< 18 2.24%£578,102,123

2.93% 7,31618 -< 24 4.56%£1,178,389,197

2.75% 6,87124 -< 30 4.13%£1,065,203,559

4.65% 11,63830 -< 36 6.82%£1,762,251,768

5.45% 13,63336 -< 42 7.84%£2,025,320,976

4.91% 12,27742 -< 48 6.74%£1,740,195,144

4.99% 12,47448 -< 54 6.67%£1,723,293,949

4.15% 10,38554 -< 60 5.22%£1,347,184,251

5.39% 13,48060 -< 66 6.54%£1,688,823,136

4.03% 10,07166 -< 72 4.67%£1,205,862,414

59.33% 148,342 >= 72 44.57%£11,508,157,285

Totals 250,023 100.00%£25,822,783,802 100.00%

Years to Maturity of Loans

Aggregate Outstanding Balance % of Total Balance Number of Mortgage Accounts % of Total of AccountsYears to maturity

12.68% 31,711 < 5 3.54%£914,830,517

20.89% 52,2315 -< 10 11.50%£2,969,277,396

19.42% 48,56610 -< 15 17.13%£4,422,930,671

17.01% 42,51915 -< 20 20.59%£5,316,181,006

13.48% 33,70220 -< 25 19.53%£5,043,977,714

9.28% 23,21425 -< 30 15.18%£3,920,532,220

6.07% 15,18130 -< 35 10.51%£2,713,456,654

1.16% 2,899 >= 35 2.02%£521,597,625

Totals 250,023 100.00%£25,822,783,802 100.00%

Product Groups*

Aggregate Outstanding Balance % of Total Balance Number of Loans % of Total of LoansType of rate

63.00% 220,879Fixed 76.83%£19,839,147,545

5.87% 20,569Tracker 5.81%£1,501,512,813

31.14% 109,176Variable 17.36%£4,482,123,444

Totals 350,624 100.00%£25,822,783,802 100.00%

Page 7 of 19

Payment Frequency Aggregate Outstanding Balance % of Total Balance Number of Mortgage Accounts % of Total of Accounts

Monthly £25,822,783,802 100.00% 250,023 100.00%

Totals £25,822,783,802 100.00% 250,023 100.00%

Mortgage Product Aggregate Outstanding Balance % of Total Balance Number of Mortgage Accounts % of Total Accounts

Help To Buy £890,231,905 3.45% 5,553 2.22%

Totals £890,231,905 3.45% 5,553 2.22%

Payment Frequency

Products

Payment and Interest Holidays Granted due to COVID-19, Number of Properties

Covered Bond Payment holidays granted1 Payment holidays outstanding2 Payment holidays expired Opted to resume full repayments Sought further support3

March 2,105 200 2,046 1,854 51

April 20,906 2,080 20,321 18,193 633

May 11,949 1,813 10,645 9,768 368

June 2,503 344 2,226 2,064 95

July 686 106 587 512 68

August 323 227 96 88 8

September 208 163 45 43 2

October 212 167 45 44 1

Total 38,892 5,100 36,011 32,566 1,226

Total, Balance (£m) 4,995 716 4,597 4,150 129

Share of book, Balance (%) 19% 3% 18% 16% 1%

Weighted Average LTV (%)4 56% 57% 55% 56% 51%

1. Payment holidays are reported in the first month that the holiday was granted. Where a borrower has an extended payment holiday, the property is reported in the month that the initial holiday was granted. Forward starting payment holidays that

have been granted but are not yet effective are not included. Redeemed accounts previously in the pool are excluded as they are removed from the pool on a monthly basis.

2. Includes extended payment holidays. Includes borrowers making partial payments agreed with the Society for a period of up to three months with the remaining proportion of the payment subject to payment deferral and not recognised as being in

arrears.

3. Includes borrowers who have entered into collections.

4. Indexed Loan to Value.



Page 8 of 20

Event Summary Base Prospectus Breached Consequence if Trigger Breached

Investor Report Key Events & Parties


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

352 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 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 and not revoked

on or before the 3rd calculation date after service of such notice.

138 No Triggers a Notice to Pay on the LLP

Servicer Trigger Servicer's ratings fall below required levels 321It 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 327 If not remedied within three calculation dates, triggers Issuer Event of Default No

Yield Shortfall Test ^ Failure of Portfolio Yield Test 323 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 140 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

and

not 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 rating

by S&P of at least BBB-, or a counterparty risk assessment

by 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

Barclays Bank PLC Arranger

Citibank/Citicorp Stand-by Account Bank, Security Trustee, Registrar, Principal Paying Agent & Agent Bank, Exchange & Transfer Agent, Bond Trustee, Stand-by GIC Provider

Moulton Capital Finance Holdings Liquidation Member

Deloitte Auditor of LLP Accounts, Asset Pool Monitor

Wilmington Trust Services (London) 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

331

325 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 Balance

Adjusted Indexed Valuation

Asset Percentage

True Balance of loans < 3 mths in arrears

True Balance of loans > 3 mths =< 75% LTV

True Balance of loans > 3 mths > 75% LTV

Principal Outstanding on Bonds

Average 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 Balance

made up by: MLoans < 3 months in arrears 0.75

Loans in arrears =< 75% LTV 0.40

Loans in arrears > 75% LTV 0.25

Adjusted True Balance

(ii) Arrears Effect on True BalanceArrears Adjusted True Balance

made up by: NLoans < 3 months in arrears 1.00

Loans in arrears =< 75% LTV 0.40

Loans 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

12/11/2020

25,822,783,802

70,672,485,206

90.0%

25,727,617,404

88,498,288

6,668,109

15,678,155,745

4.41

1.11%

25,523,454,408

72,851,929

1,902,025

25,598,208,362

25,725,480,395

72,851,929

1,902,025

25,800,234,349

90.0%

23,220,210,914

12/11/2020 23,220,210,914

00

0 459,939,681 764,927,805

21,266,312,154

15,678,155,745

Pass

12/10/2020

71,529,970,351

90.0%

26,133,208,122

90,797,417

6,859,191

15,732,006,041

4.48

1.11%

25,922,215,668

74,781,783

1,958,421

25,998,955,872

26,131,057,767

74,781,783

1,958,421

26,207,797,971

90.0%

23,587,018,174

12/10/2020 23,587,018,174

402,322,332

00

0 460,278,511 780,286,267

21,569,424,819

15,732,006,041

Pass

73.72% 72.94%

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

26,230,864,730

Value 431,979,272

V - Collateralised GIC Account = 0 1,161,010,546W - Supplement Liquidity Reserve Amount =

0

1,179,350,909

0 0

Page 10 of 19

Investor Report Principal & Revenue Receipts and Ledgers


Available Revenue Receipts

Other revenue receipts

to

0 Reserve fund surplus release

to

31/10/2020 Total Available Principal Receipts 0 Interest received on Reserve Fund

to

31/10/2020 Other Principal Receipts 0 Interest received on GIC account

to 31/10/2020

31/10/2020Interest received on mortgages

431,979,272 Principal received on mortgages

46,236,391

Principal Ledger balance b/fRevenue Ledger balance b/f

01/10/2020

01/10/2020

01/10/2020

01/10/2020

0

0

19/10/2020

17/11/2020

19/10/2020

7,908

Cash Capital Contribution

Capital contribution

££

Principal ReceiptsRevenue Receipts

46,977,831

17/11/2020

0

431,979,272

0

0

17/11/2020Reserve fund surplus release - CV19 1 733,533

Interest receivable/(payable) on Interest

rate swaps

(13,495,666)

(1,224,001)Interest receivable/(payable) on Covered

Bond swaps

Fees due to third parties

Transfer from/(to) Pre-Maturity Liquidity

Ledger

to

to

to

17/11/2020

17/11/2020

17/11/2020

17/11/2020

17/12/2020

17/12/2020

17/12/2020

Deferred consideration

Other payments

Transfer to Reserve Fund

Interest payable on term advances

Revenue Ledger balance c/f

to

17/11/2020

17/11/2020

17/11/2020

17/12/2020

17/11/2020

Pre-Maturity Liquidity Ledger deposit

Purchase of mortgages

0

Principal payable on term advances

Other payments

Principal Ledger balance c/f

0

Capital distribution

to

17/11/2020

17/11/2020

17/11/2020

17/11/2020

17/11/2020

17/12/2020

Principal Priority of Payments

(1,042,097)

0

(6,730,631)

(2,029,778)

(22,455,658)

0

0

0

(431,979,272)

0

0

££

Servicing and Cash Management Fee 0

17/11/2020

17/11/2020

17/11/2020

Revenue Priority of Payments

Pre-Maturity Liquidity Ledger

Balance c/f 122,946,407

Transfer (to)/from Revenue Ledger

Balance b/f 120,916,629 0

Balance required on Reserve Ledger

Pre-Maturity Test

122,946,407

17/11/2020 19/10/2020

17/11/2020

17/11/2020

17/11/2020

2,029,778

£ £

Pass

Reserve Ledger surplus/(deficit) 0 17/11/2020

Capital Contribution - CV19

Pre-Maturity Liquidity Ledger Reserve Ledger

1

17/11/2020 733,533

17/11/20201

Transfer to Revenue Ledger (733,533)

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 Holidays1

Page 11 of 19

2007-1 (2) 2011-01 2011-02 2011-03 2011-04 2011-05 2011-06 2011-07 2011-09

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

Current Period Balance

Previous Period Balance

Swap Rate

Current Period Balance (GBP)

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

2,000,000,000

2,000,000,000

0.6730000000

1,346,000,000

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

27/01/2011

AAA/Aaa/AAA

AAA/Aaa/AAA

NOK

500,000,000

500,000,000

500,000,000

9.2725000000

53,922,890

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

750,000,000

750,000,000

1.0000000000

750,000,000

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

1,250,000,000

1,250,000,000

0.8584059402

1,073,007,425

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

30,000,000

30,000,000

0.8475000000

25,425,000

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

132,000,000

132,000,000

0.8430000000

111,276,000

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%

6,499,680

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

50,000,000

50,000,000

0.8583690988

42,918,455

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

500,000,000

500,000,000

9.0175000000

55,447,741

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

28/04/2011

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

50,000,000

50,000,000

50,000,000

0.8850000000

44,250,000

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

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 17/11/2020 - 16/12/2020

* 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)

2011-13 2011-14 2011-15 2011-17 2011-18 2011-20 2011-21 2011-22 2011-23

Notes in Issue

Interest

Payments^

Principal

Payments^

Issue Date



Currency

Issue Size



Swap Rate





ISIN



Accrual Start Date

Accrual End Date

Accrual Day Count


Relevant Margin







Bond Structure



Principal Shortfall



03/08/2011

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

100,000,000

100,000,000

100,000,000

0.8825000000

88,250,000

3/8/2026

3/8/2026

3/8/2027

N/A

N/A

Annual

03/08/2020

03/08/2021

365

FIXED

0.00000%

FIXED

4.56500%

0

0

0

03/08/2021

Soft bullet

0

0

0

0

3/8/2026

08/08/2011

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

40,000,000

40,000,000

40,000,000

0.8756567425

35,026,270

8/8/2029

8/8/2029

8/8/2030

N/A

N/A

Annual

10/08/2020

09/08/2021

364

FIXED

0.00000%

FIXED

4.43250%

0

0

0

09/08/2021

Soft bullet

0

0

0

0

8/8/2029

02/09/2011

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

50,000,000

50,000,000

50,000,000

0.8825000000

44,125,000

2/9/2026

2/9/2026

2/9/2027

N/A

N/A

Annual

02/09/2020

02/09/2021

365

FIXED

0.00000%

FIXED

4.12000%

0

0

0

02/09/2021

Soft bullet

0

0

0

0

2/9/2026

05/10/2011

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

103,000,000

103,000,000

103,000,000

0.8690000000

89,507,000

5/10/2027

5/10/2027

5/10/2028

N/A

N/A

Annual

05/10/2020

05/10/2021

365

FIXED

0.00000%

FIXED

3.77000%

0

0

0

05/10/2021

Soft bullet

0

0

0

0

5/10/2027

13/10/2011

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

40,000,000

40,000,000

40,000,000

0.8570000000

34,280,000

15/10/2029

15/10/2029

15/10/2030

N/A

N/A

Annual

15/10/2020

15/10/2021

365

FIXED

0.00000%

FIXED

3.75000%

0

0

0

15/10/2021

Soft bullet

0

0

0

0

15/10/2029

27/10/2011

AAA/Aaa/AAA

AAA/Aaa/AAA

GBP

100,000,000

100,000,000

100,000,000

1.0000000000

100,000,000

27/10/2026

27/10/2026

27/10/2027

XS0697790342

London

Quarterly

27/10/2020

27/01/2021

92

SON IA

1.63870%

SONIA CMP -5BD

1.69200%

0

0

0

27/01/2021

Soft bullet

0

0

0

0

27/10/2026

27/10/2011

AAA/Aaa/AAA

AAA/Aaa/AAA

GBP

100,000,000

100,000,000

100,000,000

1.0000000000

100,000,000

27/10/2028

27/10/2028

27/10/2029

XS0697790185

London

Quarterly

27/10/2020

27/01/2021

92

SON IA

1.64200%

SONIA CMP -5BD

1.69500%

0

0

0

27/01/2021

Soft bullet

0

0

0

0

27/10/2028

27/10/2011

AAA/Aaa/AAA

AAA/Aaa/AAA

GBP

50,000,000

50,000,000

50,000,000

1.0000000000

50,000,000

27/10/2031

27/10/2031

27/10/2032

XS0697790425

London

Quarterly

27/10/2020

27/01/2021

92

SON IA

1.64410%

SONIA CMP -5BD

1.69700%

0

0

0

27/01/2021

Soft bullet

0

0

0

0

27/10/2031

31/10/2011

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

77,000,000

77,000,000

77,000,000

0.8686000000

66,882,200

1/11/2032

1/11/2032

1/11/2033

N/A

N/A

Annual

02/11/2020

01/11/2021

364

FIXED

0.00000%

FIXED

3.90000%

0

0

0

01/11/2021

Soft bullet

0

0

0

0

1/11/2032







Page 12 of 19(2)

2012-02 2012-03 2012-06 2014-02 2014-04 2014-05 2014-06 2014-07 2015-01

Notes in Issue

Interest

Payments^

Principal

Payments^

Issue Date



Currency

Issue Size



Swap Rate





ISIN



Accrual Start Date

Accrual End Date

Accrual Day Count


Relevant Margin







Bond Structure



Principal Shortfall



17/02/2012

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

116,000,000

116,000,000

116,000,000

0.8305000000

96,338,000

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

88,000,000

88,000,000

0.8383000000

73,770,400

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

157,500,000

157,500,000

0.8353000000

131,559,750

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

750,000,000

750,000,000

0.8015000000

601,125,000

25/6/2029

25/6/2029

25/6/2030

XS1081100239

London

Annual

25/06/2020

25/06/2021

365

FIXED

0.00000%

FIXED

2.25000%

0

0

0

25/06/2021

Soft bullet

0

0

0

0

25/6/2029

16/09/2014

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

56,000,000

56,000,000

56,000,000

0.7940000000

44,464,000

16/9/2039

16/9/2039

16/9/2040

N/A

N/A

Annual

16/09/2020

16/09/2021

365

FIXED

0.00000%

FIXED

1.94000%

0

0

0

16/09/2021

Soft bullet

0

0

0

0

16/9/2039

19/09/2014

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

50,000,000

50,000,000

50,000,000

0.7949000000

39,745,000

19/9/2039

19/9/2039

19/9/2040

N/A

N/A

Annual

21/09/2020

20/09/2021

364

FIXED

0.00000%

FIXED

2.06650%

0

0

0

20/09/2021

Soft bullet

0

0

0

0

19/9/2039

29/10/2014

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

1,000,000,000

871,547,000

871,547,000

0.7905000000

688,957,904

29/10/2021

29/10/2021

29/10/2022

XS1130066175

London

Annual

29/10/2020

29/10/2021

365

FIXED

0.00000%

FIXED

0.75000%

0

0

0

29/10/2021

Soft bullet

0

0

0

0

29/10/2021

15/12/2014

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

50,000,000

50,000,000

50,000,000

0.7865000000

39,325,000

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

30/01/2015

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

50,000,000

50,000,000

50,000,000

0.7500000000

37,500,000

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







Page 12 of 19(3)

2015-02 2015-03 2015-05 2015-06 2015-07 2015-08 2015-09 2015-11 2015-12

Notes in Issue

Interest

Payments^

Principal

Payments^

Issue Date



Currency

Issue Size



Swap Rate





ISIN



Accrual Start Date

Accrual End Date

Accrual Day Count


Relevant Margin







Bond Structure



Principal Shortfall



25/03/2015

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

750,000,000

500,000,000

500,000,000

0.7251000000

362,550,000

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

25,000,000

25,000,000

0.7200000000

18,000,000

22/6/2035

22/6/2035

22/6/2036

N/A

N/A

Annual

22/06/2020

22/06/2021

365

FIXED

0.00000%

FIXED

0.74600%

0

0

0

22/06/2021

Soft bullet

0

0

0

0

22/6/2035

08/05/2015

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

50,000,000

50,000,000

50,000,000

0.7145000000

35,725,000

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

105,000,000

105,000,000

0.7130000000

74,865,000

5/6/2034

5/6/2034

5/6/2035

XS1242438742

London

Annual

05/06/2020

07/06/2021

367

FIXED

0.00000%

FIXED

1.35100%

0

0

0

07/06/2021

Soft bullet

0

0

0

0

5/6/2034

17/07/2015

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

100,000,000

100,000,000

100,000,000

0.7208002036

72,080,020

17/7/2031

17/7/2031

17/7/2032

XS1261795378

London

Annual

17/07/2020

19/07/2021

367

FIXED

0.00000%

FIXED

1.70250%

0

0

0

19/07/2021

Soft bullet

0

0

0

0

17/7/2031

23/07/2015

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

50,000,000

50,000,000

50,000,000

0.6977000000

34,885,000

23/7/2035

23/7/2035

23/7/2036

N/A

N/A

Annual

23/07/2020

23/07/2021

365

FIXED

0.00000%

FIXED

1.77000%

0

0

0

23/07/2021

Soft bullet

0

0

0

0

23/7/2035

30/07/2015

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

45,000,000

45,000,000

45,000,000

0.6975000000

31,387,500

30/7/2035

30/7/2035

30/7/2036

N/A

N/A

Annual

30/07/2020

30/07/2021

365

FIXED

0.00000%

FIXED

1.76000%

0

0

0

30/07/2021

Soft bullet

0

0

0

0

30/7/2035

26/10/2015

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

1,000,000,000

1,000,000,000

1,000,000,000

0.7322790000

732,279,000

26/10/2022

26/10/2022

26/10/2023

XS1308693867

London

Annual

26/10/2020

26/10/2021

365

FIXED

0.00000%

FIXED

0.75000%

0

0

0

26/10/2021

Soft bullet

0

0

0

0

26/10/2022

05/11/2015

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

35,000,000

35,000,000

35,000,000

0.7180000000

25,130,000

5/11/2035

5/11/2035

5/11/2036

XS1316442992

London

Annual

05/11/2020

05/11/2021

365

FIXED

0.00000%

FIXED

1.54000%

0

0

0

05/11/2021

Soft bullet

0

0

0

0

5/11/2035







Page 12 of 19(4)

2015-13 2015-14 2015-15 2016-01 2016-02 2016-03 2016-04 2016-05 2016-06

Notes in Issue

Interest

Payments^

Principal

Payments^

Issue Date



Currency

Issue Size



Swap Rate





ISIN



Accrual Start Date

Accrual End Date

Accrual Day Count


Relevant Margin







Bond Structure



Principal Shortfall



14/12/2015

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

50,000,000

50,000,000

50,000,000

0.7201497912

36,007,490

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%

810,000

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

25,000,000

25,000,000

0.7260000000

18,150,000

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

100,000,000

100,000,000

0.7225000000

72,250,000

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

25,000,000

25,000,000

0.7620208792

19,050,522

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

30,000,000

30,000,000

0.7706535142

23,119,605

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

51,000,000

51,000,000

0.7748000000

39,514,800

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

50,000,000

50,000,000

0.7730962504

38,654,813

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

26/02/2016

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

40,000,000

40,000,000

40,000,000

0.7756000000

31,024,000

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

25,000,000

25,000,000

0.7812000000

19,530,000

1/3/2023

1/3/2023

1/3/2024

XS1373029856

London

Quarterly

01/09/2020

01/12/2020

91

EURIBOR 3M

0.75000%

-0.47700%

0.27300%

17,252

0

0

01/12/2020

Soft bullet

0

0

0

0

1/3/2023







Page 12 of 19(5)

2016-07 2016-08 2016-09 2016-10 2016-11 2016-12 2016-14 2016-15 2017-01

Notes in Issue

Interest

Payments^

Principal

Payments^

Issue Date



Currency

Issue Size



Swap Rate





ISIN



Accrual Start Date

Accrual End Date

Accrual Day Count


Relevant Margin







Bond Structure



Principal Shortfall



03/03/2016

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

1,250,000,000

1,250,000,000

1,250,000,000

0.7885000000

985,625,000

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

30,000,000

30,000,000

0.7756000000

23,268,000

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

50,000,000

50,000,000

0.7708000000

38,540,000

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

50,000,000

50,000,000

0.7707000000

38,535,000

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

40,000,000

40,000,000

0.7836000000

31,344,000

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

80,000,000

80,000,000

0.7880000000

63,040,000

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

60,000,000

60,000,000

0.7950000000

47,700,000

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

06/05/2016

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

25,000,000

25,000,000

25,000,000

0.7800000000

19,500,000

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

658,622,000

658,622,000

0.8502000000

559,960,424

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







Page 12 of 19(6)

2017-02 2017-03 2018-01 2018-02 2018-03 2019-01 2019-02 2019-03 2019-04

Notes in Issue

Interest

Payments^

Principal

Payments^

Issue Date



Currency

Issue Size



Swap Rate





ISIN



Accrual Start Date

Accrual End Date

Accrual Day Count


Relevant Margin







Bond Structure



Principal Shortfall



29/06/2017

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

1,000,000,000

845,374,000

845,374,000

0.8820500000

745,662,137

29/6/2032

29/6/2032

29/6/2033

XS1638816089

London

Annual

29/06/2020

29/06/2021

365

FIXED

0.00000%

FIXED

1.37500%

0

0

0

29/06/2021

Soft bullet

0

0

0

0

29/6/2032

08/12/2017

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

50,000,000

50,000,000

50,000,000

0.8840000000

44,200,000

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%

740,500

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

792,943,000

792,943,000

1.0000000000

792,943,000

12/4/2023

12/4/2023

12/4/2024

XS1806359714

London

Quarterly

12/10/2020

12/01/2021

92

SON IA

0.41600%

SONIA CMP -5BD

0.46800%

0

0

0

12/01/2021

Soft bullet

0

0

0

0

12/4/2023

31/05/2018

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

500,000,000

500,000,000

500,000,000

0.8775778850

438,788,943

31/5/2028

31/5/2028

31/5/2029

XS1829215562

London

Annual

01/06/2020

01/06/2021

365

FIXED

0.00000%

FIXED

1.12500%

0

0

0

01/06/2021

Soft bullet

0

0

0

0

31/5/2028

04/10/2018

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

30,000,000

30,000,000

30,000,000

0.8925000000

26,775,000

4/10/2038

4/10/2038

4/10/2039

XS1890083170

London

Annual

05/10/2020

04/10/2021

364

FIXED

0.00000%

FIXED

1.60000%

0

0

0

04/10/2021

Soft bullet

0

0

0

0

4/10/2038

10/01/2019

AAA/Aaa/AAA

AAA/Aaa/AAA

GBP

1,000,000,000

1,000,000,000

1,000,000,000

1.0000000000

1,000,000,000

10/1/2024

10/1/2024

10/1/2025

XS1933035286

London

Quarterly

12/10/2020

11/01/2021

91

SON IA

0.75000%

SONIA CMP -5BD

0.80275%

0

0

0

11/01/2021

Soft bullet

0

0

0

0

10/1/2024

03/06/2019

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

1,250,000,000

540,862,000

540,862,000

0.8811040320

476,555,689

3/6/2024

3/6/2024

3/6/2025

XS2004366287

London

Annual

03/06/2020

03/06/2021

365

FIXED

0.00000%

FIXED

0.05000%

0

0

0

03/06/2021

Soft bullet

0

0

0

0

3/6/2024

28/06/2019

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

20,000,000

20,000,000

20,000,000

0.8939400000

17,878,800

28/6/2044

28/6/2044

28/6/2045

N/A

N/A

Annual

29/06/2020

28/06/2021

364

FIXED

0.00000%

FIXED

1.04000%

0

0

0

28/06/2021

Soft bullet

0

0

0

0

28/6/2044

11/07/2019

AAA/N.R./AAA

AAA/N.R./AAA

CHF

250,000,000

250,000,000

250,000,000

0.8064516129

201,612,903

11/7/2025

11/7/2025

11/7/2026

CH0485445982

SIX Swiss Exchange

Annual

11/07/2020

11/07/2021

360

FIXED

0.00000%

FIXED

0.00000%

0

0

0

12/07/2021

Soft bullet

0

0

0

0

11/7/2025







Page 12 of 19(7)

2019-05 2019-06 2019-07 2020-01 2020-02

Notes in Issue

Interest

Payments^

Principal

Payments^

Issue Date



Currency

Issue Size



Swap Rate





ISIN



Accrual Start Date

Accrual End Date

Accrual Day Count


Relevant Margin







Bond Structure



Principal Shortfall



11/07/2019

AAA/N.R./AAA

AAA/N.R./AAA

CHF

150,000,000

150,000,000

150,000,000

0.8045052293

120,675,784

11/7/2031

11/7/2031

11/7/2032

CH0485445990

SIX Swiss Exchange

Annual

11/07/2020

11/07/2021

360

FIXED

0.00000%

FIXED

0.16750%

0

0

0

12/07/2021

Soft bullet

0

0

0

0

11/7/2031

11/07/2019

AAA/N.R./AAA

AAA/N.R./AAA

CHF

100,000,000

100,000,000

100,000,000

0.8056070249

80,560,702

11/7/2044

11/7/2044

11/7/2045

CH0419041329

SIX Swiss Exchange

Annual

11/07/2020

11/07/2021

360

FIXED

0.00000%

FIXED

0.48500%

0

0

0

12/07/2021

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

1,000,000,000

1,000,000,000

1.0000000000

1,000,000,000

2/8/2022

2/8/2022

2/8/2023

XS2035642102

London

Quarterly

02/11/2020

02/02/2021

92

SON IA

0.43000%

SONIA CMP -5BD

0.48410%

0

0

0

02/02/2021

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

609,718,000

609,718,000

1.0000000000

609,718,000

10/1/2025

10/1/2025

10/1/2026

XS2100384853

London

Quarterly

12/10/2020

11/01/2021

91

SON IA

0.55000%

SONIA CMP -5BD

0.60275%

0

0

0

11/01/2021

Soft bullet

0

0

0

0

10/1/2025

13/02/2020

AAA/Aaa/AAA

AAA/Aaa/AAA

USD

1,000,000,000

1,000,000,000

1,000,000,000

0.7679665781

767,966,578

13/2/2023

13/2/2023

13/2/2024

USG6398ADC83

London

Semi-Annual

13/08/2020

13/02/2021

180

FIXED

0.00000%

FIXED

1.70000%

0

0

0

16/02/2021

Soft bullet

0

0

0

0

13/2/2023

Investor Report Notes in issue




Page 12 of 19(8)

Related Covered Bond

Investor Report Swaps


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 (507,437.21) 666,000,000 -0.4020% 0.0912%

EURIBOR 3M 0.0721% GBP 3M LIBOR 0.027802007-1 (2) 28/02/2022 EUR Wells Fargo NA (510,669.64) 667,000,000 -0.4039% 0.0918%

EURIBOR 3M 0.0740% GBP 3M LIBOR 0.026302007-1 (2) 28/02/2022 EUR HSBC Bank PLC (507,833.87) 667,000,000 -0.4020% 0.0903%

FIXED (EUR) 0.0000% EURIBOR 3M 0.074002007-1 (2) 28/02/2022 EUR BNP Paribas 470,479.49 666,000,000 4.3750% -0.4020%

FIXED (EUR) 0.0000% EURIBOR 3M 0.072102007-1 (2) 28/02/2022 EUR Wells Fargo NA 473,412.92 667,000,000 4.3750% -0.4039%

FIXED (EUR) 0.0000% EURIBOR 3M 0.074002007-1 (2) 28/02/2022 EUR HSBC Bank PLC 471,185.92 667,000,000 4.3750% -0.4020%

GBP 3M LIBOR 0.0000% GBP 1M LIBOR 0.000002007-1 (2) 28/02/2022 GBP Nationwide Building Society 26,440.61 1,346,000,000 0.0640% 0.0450%

NIBOR 3M 1.2800% GBP 3M LIBOR 1.250002011-01 27/01/2021 NOK Nationwide Building Society (59,490.98) 500,000,000 1.6200% 1.2990%

FIXED (NOK) 0.0000% NIBOR 3M 1.280002011-01 27/01/2021 NOK Nationwide Building Society 0.00 500,000,000 5.5600% 1.6200%

FIXED (GBP) 0.0000% GBP 3M LIBOR 1.605002011-02 28/01/2026 GBP Nationwide Building Society (1,120,958.01) 750,000,000 5.6250% 1.6531%

EURIBOR 3M 1.2990% GBP 3M LIBOR 1.512002011-03 08/02/2021 EUR Nationwide Building Society (1,326,957.42) 1,250,000,000 0.7760% 1.5565%

FIXED (EUR) 0.0000% EURIBOR 3M 1.299002011-03 08/02/2021 EUR Nationwide Building Society 0.00 1,250,000,000 4.6250% 0.7760%

EURIBOR 3M 1.0450% GBP 3M LIBOR 1.100002011-04 03/03/2031 EUR Nationwide Building Society 12,523.47 30,000,000 0.5670% 1.1445%

FIXED (EUR) 0.0000% EURIBOR 3M 1.045002011-04 03/03/2031 EUR Nationwide Building Society (36,440.38) 30,000,000 4.7400% 0.5670%


FIXED (EUR) 0.0000% EURIBOR 3M 1.160002011-05 28/11/2025 EUR Nationwide Building Society 5,280,491.30 132,000,000 4.9240% 0.6840%

EURIBOR 3M 1.0750% SON IA 1.265002011-06 14/03/2023 EUR Nationwide Building Society 20,387.91 50,000,000 0.0045% 1.3150%


NIBOR 3M 1.3000% GBP 3M LIBOR 1.220002011-07 29/03/2021 NOK Nationwide Building Society (61,676.12) 500,000,000 1.6100% 1.2688%

FIXED (NOK) 0.0000% NIBOR 3M 1.300002011-07 29/03/2021 NOK Nationwide Building Society 0.00 500,000,000 5.6950% 1.6100%

EURIBOR 3M 0.9500% GBP 3M LIBOR 0.930002011-09 28/04/2032 EUR Nationwide Building Society (39,131.90) 50,000,000 0.4410% 0.9781%

FIXED (EUR) 0.0000% EURIBOR 3M 0.950002011-09 28/04/2032 EUR Nationwide Building Society 0.00 50,000,000 5.0100% 0.4410%









EURIBOR 3M 1.0900% SON IA 1.263002011-18 15/10/2029 EUR Nationwide Building Society (35,761.08) 40,000,000 0.0089% 1.3130%







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Swaps^




(£)FIXED (EUR) 0.0000% EURIBOR 3M 1.228002012-03 22/02/2030 EUR Nationwide Building Society (137,432.21) 88,000,000 3.8320% 0.7370%



EURIBOR 3M 0.3925% GBP 3M LIBOR 0.430502014-02 25/06/2029 EUR Nationwide Building Society (235,614.65) 750,000,000 -0.1055% 0.4769%

FIXED (EUR) 0.0000% EURIBOR 3M 0.392502014-02 25/06/2029 EUR Nationwide Building Society 0.00 750,000,000 2.2500% -0.1055%

EURIBOR 3M 0.2300% SON IA 0.361002014-04 16/09/2039 EUR Nationwide Building Society (43,568.66) 56,000,000 -0.2930% 0.4110%

FIXED (EUR) 0.0000% EURIBOR 3M 0.230002014-04 16/09/2039 EUR Nationwide Building Society 28,548.36 56,000,000 1.9400% -0.2930%























EURIBOR 3M 0.3031% GBP 3M LIBOR 0.667002015-11 26/10/2022 EUR HSBC Hong Kong (443,676.41) 1,000,000,000 -0.2079% 0.7134%

FIXED (EUR) 0.0000% EURIBOR 3M 0.303102015-11 26/10/2022 EUR HSBC Hong Kong 0.00 1,000,000,000 0.7500% -0.2079%







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(£)EURIBOR 3M 0.1415% GBP 3M LIBOR 0.540002015-15 17/12/2020 EUR Nationwide Building Society (33,732.38) 100,000,000 -0.3435% 0.5876%













EURIBOR 3M 0.3350% GBP 3M LIBOR 0.832002016-07 25/01/2021 EUR National Australia Bank Limited (711,578.04) 1,250,000,000 -0.1760% 0.8784%

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% -0.1760%

EURIBOR 3M 0.3300% SONIA 0.713002016-08 11/03/2036 EUR Nationwide Building Society (24,198.09) 30,000,000 -0.1930% 0.7640%


EURIBOR 3M 0.3700% SONIA 0.751002016-09 16/03/2038 EUR Nationwide Building Society (36,478.99) 50,000,000 -0.1530% 0.8010%





FIXED (EUR) 0.0000% EURIBOR 3M 0.

Nationwide Regulated Covered Bonds Programme...Totals 250,023 100.0% 25,822,783,802 100.0% 7,094,671...

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Transcript of Nationwide Regulated Covered Bonds Programme...Totals 250,023 100.0% 25,822,783,802 100.0% 7,094,671...