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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
Issue DateNationwide Covered Bond Series
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
Issue DateNationwide Covered Bond Series
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
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
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
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%
Investor Report Mortgage Portfolio Breakdown
Nationwide Regulated Covered Bonds Programme
Page 4 of 20
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% £3,338,190,731 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
Investor Report Mortgage Portfolio Breakdown
Nationwide Regulated Covered Bonds Programme
Page 5 of 20
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 £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
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 £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*
Investor Report Mortgage Portfolio Breakdown
Nationwide Regulated Covered Bonds Programme
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.
Investor Report Mortgage Portfolio Breakdown
Nationwide Regulated Covered Bonds Programme
Page 8 of 20
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
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
Nationwide Regulated Covered Bonds Programme
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
^ 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
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
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
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 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
^ 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(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
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
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
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 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
^ 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(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
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
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
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 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
^ 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(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
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
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
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 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
^ 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(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
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
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
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 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
^ 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(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
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
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
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 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
^ 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(7)
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
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
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
Nationwide Regulated Covered Bonds Programme
^ 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(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 (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%
EURIBOR 3M 1.1600% GBP 3M LIBOR 1.267502011-05 28/11/2025 EUR Nationwide Building Society 66,379.06 132,000,000 0.6840% 1.3156%
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%
FIXED (EUR) 0.0000% EURIBOR 3M 1.075002011-06 14/03/2023 EUR Nationwide Building Society (63,682.64) 50,000,000 4.6990% 0.0045%
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 0.9800% GBP 3M LIBOR 1.067502011-13 03/08/2026 EUR Nationwide Building Society (80,658.08) 100,000,000 0.4570% 1.1120%
FIXED (EUR) 0.0000% EURIBOR 3M 0.980002011-13 03/08/2026 EUR Nationwide Building Society 0.00 100,000,000 4.5650% 0.4570%
EURIBOR 3M 0.9750% GBP 3M LIBOR 1.042502011-14 08/08/2029 EUR Nationwide Building Society (33,379.56) 40,000,000 0.4520% 1.0870%
FIXED (EUR) 0.0000% EURIBOR 3M 0.975002011-14 08/08/2029 EUR Nationwide Building Society 0.00 40,000,000 4.4325% 0.4520%
EURIBOR 3M 0.9675% GBP 3M LIBOR 1.055002011-15 02/09/2026 EUR Nationwide Building Society 14,833.78 50,000,000 0.4905% 1.0995%
FIXED (EUR) 0.0000% EURIBOR 3M 0.967502011-15 02/09/2026 EUR Nationwide Building Society (54,709.48) 50,000,000 4.1200% 0.4905%
EURIBOR 3M 1.1350% GBP 3M LIBOR 1.245002011-17 05/10/2027 EUR Nationwide Building Society (101,189.50) 103,000,000 0.6370% 1.2895%
FIXED (EUR) 0.0000% EURIBOR 3M 1.135002011-17 05/10/2027 EUR Nationwide Building Society 0.00 103,000,000 3.7700% 0.6370%
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%
FIXED (EUR) 0.0000% EURIBOR 3M 1.090002011-18 15/10/2029 EUR Nationwide Building Society 0.00 40,000,000 3.7500% 0.0089%
EURIBOR 3M 1.0600% GBP 3M LIBOR 1.110002011-23 01/11/2032 EUR Nationwide Building Society (61,349.30) 77,000,000 0.5450% 1.1545%
FIXED (EUR) 0.0000% EURIBOR 3M 1.060002011-23 01/11/2032 EUR Nationwide Building Society 0.00 77,000,000 3.9000% 0.5450%
EURIBOR 3M 1.2830% GBP 3M LIBOR 1.455002012-02 17/02/2027 EUR Nationwide Building Society 82,434.99 116,000,000 0.8020% 1.5026%
FIXED (EUR) 0.0000% EURIBOR 3M 1.283002012-02 17/02/2027 EUR Nationwide Building Society (197,450.08) 116,000,000 3.8100% 0.8020%
EURIBOR 3M 1.2280% GBP 3M LIBOR 1.405002012-03 22/02/2030 EUR Nationwide Building Society 43,401.91 88,000,000 0.7370% 1.4539%
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
(£)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 1.0450% GBP 3M LIBOR 1.160002012-06 20/03/2028 EUR Nationwide Building Society (135,004.63) 157,500,000 0.5440% 1.2083%
FIXED (EUR) 0.0000% EURIBOR 3M 1.045002012-06 20/03/2028 EUR Nationwide Building Society 0.00 157,500,000 3.5550% 0.5440%
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 0.2300% GBP 3M LIBOR 0.250002014-05 19/09/2039 EUR Nationwide Building Society (10,046.81) 50,000,000 -0.2710% 0.2976%
FIXED (EUR) 0.0000% EURIBOR 3M 0.230002014-05 19/09/2039 EUR Nationwide Building Society 0.00 50,000,000 2.0665% -0.2710%
EURIBOR 3M 0.1634% GBP 3M LIBOR 0.303002014-06 29/10/2021 EUR Nationwide Building Society (212,463.29) 871,547,000 -0.3466% 0.3518%
FIXED (EUR) 0.0000% EURIBOR 3M 0.163402014-06 29/10/2021 EUR Nationwide Building Society 0.00 871,547,000 0.7500% -0.3466%
EURIBOR 3M 0.1450% SON IA 0.331002014-07 15/03/2039 EUR Nationwide Building Society (45,602.41) 50,000,000 -0.3780% 0.3810%
FIXED (EUR) 0.0000% EURIBOR 3M 0.145002014-07 15/03/2039 EUR Nationwide Building Society 33,698.25 50,000,000 1.6925% -0.3780%
EURIBOR 3M 0.1635% GBP 3M LIBOR 0.250002015-01 30/01/2030 EUR Nationwide Building Society (9,379.62) 50,000,000 -0.3485% 0.2945%
FIXED (EUR) 0.0000% EURIBOR 3M 0.163502015-01 30/01/2030 EUR Nationwide Building Society 0.00 50,000,000 1.0000% -0.3485%
EURIBOR 3M 0.1778% GBP 3M LIBOR 0.435502015-02 25/03/2027 EUR Nationwide Building Society (143,593.64) 500,000,000 -0.3202% 0.4819%
FIXED (EUR) 0.0000% EURIBOR 3M 0.177802015-02 25/03/2027 EUR Nationwide Building Society 0.00 500,000,000 0.6250% -0.3202%
EURIBOR 3M 0.0875% GBP 3M LIBOR 0.230002015-03 22/06/2035 EUR Nationwide Building Society (4,400.96) 25,000,000 -0.4165% 0.2789%
FIXED (EUR) 0.0000% EURIBOR 3M 0.087502015-03 22/06/2035 EUR Nationwide Building Society 0.00 25,000,000 0.7460% -0.4165%
EURIBOR 3M 0.0920% GBP 3M LIBOR 0.230002015-05 08/05/2035 EUR Nationwide Building Society (7,791.48) 50,000,000 -0.4310% 0.2745%
FIXED (EUR) 0.0000% EURIBOR 3M 0.092002015-05 08/05/2035 EUR Nationwide Building Society 0.00 50,000,000 0.7500% -0.4310%
EURIBOR 3M 0.1406% GBP 3M LIBOR 0.300002015-06 05/06/2034 EUR Nationwide Building Society (86,840.05) 105,000,000 -0.3394% 0.3445%
FIXED (EUR) 0.0000% EURIBOR 3M 0.140602015-06 05/06/2034 EUR Nationwide Building Society 64,228.77 105,000,000 1.3510% -0.3394%
EURIBOR 3M 0.0000% GBP 3M LIBOR 0.300002015-07 17/07/2031 EUR Nationwide Building Society (19,908.44) 100,000,000 -0.5070% 0.3476%
FIXED (EUR) 0.0000% EURIBOR 3M 0.000002015-07 17/07/2031 EUR Nationwide Building Society 0.00 100,000,000 1.7025% -0.5070%
EURIBOR 3M 0.1175% GBP 3M LIBOR 0.300002015-08 23/07/2035 EUR Nationwide Building Society (10,225.63) 50,000,000 -0.3895% 0.3451%
FIXED (EUR) 0.0000% EURIBOR 3M 0.117502015-08 23/07/2035 EUR Nationwide Building Society 0.00 50,000,000 1.7700% -0.3895%
EURIBOR 3M 0.1050% GBP 3M LIBOR 0.300002015-09 30/07/2035 EUR Nationwide Building Society (9,183.64) 45,000,000 -0.4070% 0.3445%
FIXED (EUR) 0.0000% EURIBOR 3M 0.105002015-09 30/07/2035 EUR Nationwide Building Society 0.00 45,000,000 1.7600% -0.4070%
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%
EURIBOR 3M 0.2500% GBP 3M LIBOR 0.450002015-12 05/11/2035 EUR Nationwide Building Society (10,894.72) 35,000,000 -0.2730% 0.4945%
FIXED (EUR) 0.0000% EURIBOR 3M 0.250002015-12 05/11/2035 EUR Nationwide Building Society 0.00 35,000,000 1.5400% -0.2730%
EURIBOR 3M 0.2770% SON IA 0.626002015-13 14/12/2032 EUR Nationwide Building Society (39,211.36) 50,000,000 -0.2460% 0.6760%
FIXED (EUR) 0.0000% EURIBOR 3M 0.277002015-13 14/12/2032 EUR Nationwide Building Society 602,526.64 50,000,000 1.6200% -0.2460%
EURIBOR 3M 0.2600% GBP 3M LIBOR 0.500002015-14 17/12/2035 EUR Nationwide Building Society (7,897.12) 25,000,000 -0.2250% 0.5476%
FIXED (EUR) 0.0000% EURIBOR 3M 0.260002015-14 17/12/2035 EUR Nationwide Building Society 0.00 25,000,000 1.6800% -0.2250%
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 0.1415% GBP 3M LIBOR 0.540002015-15 17/12/2020 EUR Nationwide Building Society (33,732.38) 100,000,000 -0.3435% 0.5876%
FIXED (EUR) 0.0000% EURIBOR 3M 0.141502015-15 17/12/2020 EUR Nationwide Building Society 0.00 100,000,000 0.2770% -0.3435%
EURIBOR 3M 0.2625% GBP 3M LIBOR 0.400002016-01 28/01/2041 EUR Nationwide Building Society (7,718.48) 25,000,000 -0.2465% 0.4481%
FIXED (EUR) 0.0000% EURIBOR 3M 0.262502016-01 28/01/2041 EUR Nationwide Building Society 0.00 25,000,000 1.6730% -0.2465%
EURIBOR 3M 0.2650% GBP 3M LIBOR 0.400002016-02 28/01/2041 EUR Nationwide Building Society (9,367.11) 30,000,000 -0.2440% 0.4481%
FIXED (EUR) 0.0000% EURIBOR 3M 0.265002016-02 28/01/2041 EUR Nationwide Building Society 0.00 30,000,000 1.6180% -0.2440%
EURIBOR 3M 0.3880% GBP 3M LIBOR 0.610002016-03 25/02/2036 EUR Nationwide Building Society (31,315.10) 51,000,000 -0.0990% 0.6564%
FIXED (EUR) 0.0000% EURIBOR 3M 0.388002016-03 25/02/2036 EUR Nationwide Building Society 9,997.24 51,000,000 1.3950% -0.0990%
EURIBOR 3M 0.3530% GBP 3M LIBOR 0.600002016-04 25/02/2036 EUR Nationwide Building Society (33,773.31) 50,000,000 -0.1340% 0.6464%
FIXED (EUR) 0.0000% EURIBOR 3M 0.353002016-04 25/02/2036 EUR Nationwide Building Society 13,237.12 50,000,000 1.3450% -0.1340%
EURIBOR 3M 0.3440% GBP 3M LIBOR 0.580002016-05 26/02/2041 EUR Nationwide Building Society (27,921.41) 40,000,000 -0.1440% 0.6264%
FIXED (EUR) 0.0000% EURIBOR 3M 0.344002016-05 26/02/2041 EUR Nationwide Building Society 11,416.83 40,000,000 1.3360% -0.1440%
EURIBOR 3M 0.7500% GBP 3M LIBOR 0.660002016-06 01/03/2023 EUR Nationwide Building Society 2,545.60 25,000,000 0.2730% 0.7045%
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%
FIXED (EUR) 0.0000% EURIBOR 3M 0.330002016-08 11/03/2036 EUR Nationwide Building Society 9,587.06 30,000,000 1.3310% -0.1930%
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 0.370002016-09 16/03/2038 EUR Nationwide Building Society 11,105.94 50,000,000 1.4250% -0.1530%
EURIBOR 3M 0.3490% GBP 3M LIBOR 0.680002016-10 17/03/2031 EUR Nationwide Building Society (22,277.74) 50,000,000 -0.1360% 0.7276%
FIXED (EUR) 0.0000% EURIBOR 3M 0.349002016-10 17/03/2031 EUR Nationwide Building Society 0.00 50,000,000 1.1950% -0.1360%
EURIBOR 3M 0.3400% GBP 3M LIBOR 0.650002016-11 24/03/2036 EUR Nationwide Building Society (17,342.27) 40,000,000 -0.1680% 0.6964%
FIXED (EUR) 0.0000% EURIBOR 3M 0.