covered bond investor report 20200630|nationwide...28/11/2025 14/03/2011 aaa/aaa/aaa aaa/aaa/aaa eur...

Investors (or other appropriate third parties) can register at https://www.euroabs.com/IH.aspx?d=8237 to download further disclosures in accordance with the Bank of England Market Notice "Detailed eligibility requirements for

residential mortgage backed securities and covered bonds backed by residential mortgages" dated 30th November 2010.

Terms marked with an asterisk (*) are defined in the glossary on page 18.

Reporting Information

Outstanding Issuances

Issue DateNationwide Covered Bond Series

2007-1 (2) 27/02/20072010-2 26/10/20102011-01 27/01/20112011-02 28/01/20112011-03 08/02/20112011-04 01/03/20112011-05 28/02/20112011-06 14/03/20112011-07 29/03/20112011-09 28/04/20112011-13 03/08/20112011-14 08/08/20112011-15 02/09/20112011-17 05/10/20112011-18 13/10/20112011-20 27/10/20112011-21 27/10/20112011-22 27/10/20112011-23 31/10/20112012-02 17/02/20122012-03 22/02/20122012-06 20/03/20122014-02 25/06/20142014-04 16/09/20142014-05 19/09/2014

Nationwide Regulated Covered Bonds ProgrammeInvestor Report

Reporting Date

Collection Period 01/6/2020 - 30/6/2020

17/7/2020

17/7/2020 - 16/8/2020Payment 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

30/07/20152015-10

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

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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 258,200 99.0% 27,054,194,533 99.1% 0 36,597 97.2% 4,720,613,841 97.8% 0

>=1 and < 2 1,087 0.4% 101,757,131 0.4% 724,542 529 1.4% 55,469,503 1.1% 378,256

>=2 and < 3 410 0.2% 34,162,187 0.1% 566,932 176 0.5% 16,946,423 0.4% 265,176

>=3 and < 6 580 0.2% 48,127,230 0.2% 1,355,347 196 0.5% 19,596,050 0.4% 494,335

>=6 and < 9 259 0.1% 21,783,209 0.1% 1,055,291 65 0.2% 6,466,266 0.1% 347,074

>=9 and < 12 137 0.1% 11,449,787 0.0% 810,760 29 0.1% 2,587,197 0.1% 192,455

12+ 261 0.1% 24,097,419 0.1% 2,934,440 40 0.1% 4,226,004 0.1% 324,334

Totals 260,934 100.0% 27,295,571,496 100.0% 7,447,312 37,632 100.0% 4,825,905,284 100.0% 2,001,631

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 263,227 260,934 39,137 (14.87%) 37,632 (14.42%)

True Balance* of mortgage accounts in Pool £27,603,232,544 £27,295,571,496 £5,006,504,563 (18.14%) £4,825,905,284 (17.68%)

Cash and other Assets £35,604,735 £38,228,431 N/A N/A

Assets


Number of Mortgage Accounts Aggregate Outstanding Balance (£)

Repurchases* current period 445 3,103,527

Repurchases to date * 316,877 16,315,562,059

Substituted* current period 0 0

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

Arrears (£) Number of cases

Arrears Capitalisation* - current month 19,538 7

Repurchases* & Substitutions*

Arrears* Capitalisation

Mortgage Collections* £328,886,433 £369,943,861

Collections

Yield Analysis

Pre-Swap Mortgage Yield 2.17% 2.16%

Post-Swap Mortgage Yield 1.93% 1.61%

Investor Report Mortgage Assets

Nationwide Regulated Covered Bonds Programme

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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

80 235 £104,607 51.4% 71.5%

13.55% 1.21%

1.04% 11.77%

99.07%

99.07%

0.93%

0.93%

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

12.40%

13.19%

11

413

1

480

£0

£954,519

£26

£88,468 159.0%

0.0%

100.0%

0.1%

£3,753

3.59

2.10

2.25

15/04/2020

01/04/2020

15/04/2020

01/04/2020

Summary Statistics

3.74

of 20

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% 13.1 20.1 55.7 4.8 17.7 6.7 61.6 46.2 15.9 30.9 6.4 19.0 10.6 0.0 308.7 6.4%

25.00% - 49.99% 51.9 94.2 190.0 25.0 94.3 25.8 251.1 185.0 95.4 128.0 31.2 93.1 54.0 0.0 1,319 27.3%

50.00% - 74.99% 73.6 176.4 227.6 72.7 192.7 36.3 358.6 294.6 239.2 231.1 75.8 179.8 131.8 0.2 2,290.3 47.5%

75.00% - 79.99% 14.2 23.9 38.1 14.0 31.5 6.3 58.8 52.5 28.5 34.9 12.2 32.4 20.4 0.0 367.9 7.6%

80.00% - 84.99% 13.6 18.2 45.9 11.1 18.2 5.5 64.0 51.0 18.1 29.7 8.8 19.1 15.3 0.0 318.5 6.6%

85.00% - 89.99% 7.1 10.5 24.4 6.0 6.5 3.8 47.2 33.2 5.5 16.0 4.3 12.3 8.5 0.0 185.3 3.8%

90.00% - 94.99% 2.3 1.2 1.9 1.2 0.3 1.9 8.5 6.6 1.0 4.1 0.3 1.0 1.8 0.0 32.1 0.7%

95.00% - 96.99% 0.1 0.0 0.2 0.0 0.0 0.4 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.6 0.0%

97.00% - 99.99% 0.0 0.0 0.0 0.1 0.0 0.5 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.7 0.0%

> 99.99% 0.0 0.0 0.0 0.0 0.0 2.9 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 2.9 0.1%

Totals

175.7 344.5 583.8 135 361.2 90.1 849.9 668.9 403.8 474.7 139.1 356.6 242.3 0.2 4,825.90 100.0%

3.6% 7.1% 12.1% 2.8% 7.5% 1.9% 17.6% 13.9% 8.4% 9.8% 2.9% 7.4% 5.0% 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% 141.1 212.8 581.4 64.0 197.0 72.5 609.4 476.6 221.5 301.2 80.4 209.1 126.4 0.0 3,293.3 12.1%

25.00% - 49.99% 373.5 635.2 1,367.2 203.6 637.6 197.4 1,501.8 1,168.7 799.4 848.7 244.1 657.0 411.8 0.1 9,046.1 33.1%

50.00% - 74.99% 410.0 824.4 1,195.8 370.1 916.3 217.9 1,581.6 1,346.6 1,323.2 1,092.6 423.6 899.4 658.5 0.2 11,259.9 41.3%

75.00% - 79.99% 56.4 108.7 204.2 61.5 117.1 32.3 234.8 189.4 152.4 158.8 54.1 122.8 105.9 0.2 1,598.7 5.9%

80.00% - 84.99% 53.2 79.5 213.6 51.2 79.8 22.0 236.7 190.4 87.0 137.6 38.5 89.5 66.5 0.0 1,345.8 4.9%

85.00% - 89.99% 31.4 41.5 81.1 23.3 20.3 11.7 164.8 103.4 21.1 51.1 14.6 39.0 29.5 0.0 632.8 2.3%

90.00% - 94.99% 5.0 6.1 6.7 4.3 0.7 6.4 22.6 18.4 4.1 7.3 1.3 6.4 5.3 0.0 94.6 0.3%

95.00% - 96.99% 0.1 0.0 0.2 0.5 0.0 1.9 0.0 0.0 0.1 0.0 0.0 0.0 0.0 0.0 2.8 0.0%

97.00% - 99.99% 0.0 0.0 0.0 0.9 0.1 2.4 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 3.4 0.0%

> 99.99% 0.0 0.0 0.0 0.1 0.1 17.9 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 18.2 0.1%

Totals1,070.7 1,908.2 3,650.1 779.6 1,969.0 582.5 4,351.7 3,493.5 2,608.9 2,597.2 856.5 2,023.3 1,403.9 0.4 27,295.6 100.0%

3.9% 7.0% 13.4% 2.9% 7.2% 2.1% 15.9% 12.8% 9.6% 9.5% 3.1% 7.4% 5.1% 0.0% 100.0%



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% £3,293,346,203 12.07% 83,499 32.00% 308,657,060 6.40% 6,554 17.42%

25.00% - 49.99% £9,046,066,561 33.14% 84,283 32.30% 1,318,951,395 27.33% 11,906 31.64%

50.00% - 74.99% £11,259,923,455 41.25% 72,743 27.88% 2,290,302,164 47.46% 14,324 38.06%

75.00% - 79.99% £1,598,661,759 5.86% 9,154 3.51% 367,869,797 7.62% 2,031 5.40%

80.00% - 84.99% £1,345,786,395 4.93% 7,257 2.78% 318,522,750 6.60% 1,663 4.42%

85.00% - 89.99% £632,842,707 2.32% 3,295 1.26% 185,342,059 3.84% 948 2.52%

90.00% - 94.99% £94,601,342 0.35% 541 0.21% 32,102,763 0.67% 178 0.47%

95.00% - 96.99% £2,763,487 0.01% 19 0.01% 615,584 0.01% 4 0.01%

97.00% - 99.99% £3,382,843 0.01% 24 0.01% 674,471 0.01% 4 0.01%

> 99.99% £18,196,744 0.07% 119 0.05% 2,867,240 0.06% 20 0.05%

Totals £27,295,571,496 100.00% 260,934 100.00% £4,825,905,284 100.00% 37,632 100.00%

Indexed* Loan to Value ratios

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

< 25.00% £452,205,000 1.66% 11,672 4.47%

25.00% - 49.99% £3,008,133,273 11.02% 44,538 17.07%

50.00% - 74.99% £10,468,049,033 38.35% 96,314 36.91%

75.00% - 79.99% £2,828,379,103 10.36% 22,134 8.48%

80.00% - 84.99% £3,385,922,179 12.40% 25,521 9.78%

85.00% - 89.99% £3,745,934,729 13.72% 28,368 10.87%

90.00% - 94.99% £2,709,623,127 9.93% 23208 8.89%

95.00% - 96.99% £678,370,187 2.49% 8643 3.31%

97.00% - 99.99% £7,079,565 0.03% 129 0.05%

> 99.99% £11,875,300 0.04% 407 0.16%

Totals £27,295,571,496 100.00% 260,934 100.00%

Original Loan to Value ratios



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 £452,756,517 1.66% 35,308 13.53% £31,218,204 0.65% 1,977 5.25%

£25,000.00 - £49,999.99 £1,510,266,120 5.53% 40,240 15.42% £164,994,388 3.42% 4,301 11.43%

£50,000.00 - £74,999.99 £2,463,772,670 9.03% 39,508 15.14% £327,410,482 6.78% 5,226 13.89%

£75,000.00 - £99,999.99 £3,092,875,588 11.33% 35,443 13.58% £467,361,442 9.68% 5,346 14.21%

£100,000.00 - £124,999.99 £3,278,654,148 12.01% 29,248 11.21% £549,503,963 11.39% 4,895 13.01%

£125,000.00 - £149,999.99 £3,055,481,448 11.19% 22,331 8.56% £548,319,333 11.36% 4,008 10.65%

£150,000.00 - £174,999.99 £2,619,035,696 9.60% 16,182 6.20% £487,787,065 10.11% 3,014 8.01%

£175,000.00 - £199,999.99 £2,231,702,708 8.18% 11,941 4.58% £437,405,277 9.06% 2,338 6.21%

£200,000.00 - £224,999.99 £1,823,214,589 6.68% 8,605 3.30% £388,468,416 8.05% 1,830 4.86%

£225,000.00 - £249,999.99 £1,479,155,467 5.42% 6,248 2.39% £321,332,050 6.66% 1,357 3.61%

£250,000.00 - £299,999.99 £2,016,808,635 7.39% 7,419 2.84% £427,255,852 8.85% 1,574 4.18%

£300,000.00 - £349,999.99 £1,229,724,413 4.51% 3,816 1.46% £266,802,320 5.53% 830 2.21%

£350,000.00 - £399,999.99 £763,012,650 2.80% 2,049 0.79% £154,494,045 3.20% 415 1.10%

£400,000.00 - £449,999.99 £471,080,309 1.73% 1,115 0.43% £99,512,317 2.06% 236 0.63%

£450,000.00 - £499,999.99 £303,390,252 1.11% 643 0.25% £57,461,265 1.19% 122 0.32%

£500,000.00 - £549,999.99 £161,193,993 0.59% 308 0.12% £34,580,419 0.72% 66 0.18%

£550,000.00 - £599,999.99 £110,810,593 0.41% 193 0.07% £22,983,524 0.48% 40 0.11%

£600,000.00 - £649,999.99 £83,839,530 0.31% 135 0.05% £14,963,522 0.31% 24 0.06%

£650,000.00 - £699,999.99 £57,249,251 0.21% 85 0.03% £9,532,837 0.20% 14 0.04%

£700,000.00 - £749,999.99 £38,454,332 0.14% 53 0.02% £6,510,511 0.13% 9 0.02%

> £749,999.99 £53,092,590 0.19% 64 0.02% £8,008,050 0.17% 10 0.03%

Totals £27,295,571,496 100.00% 260,934 100.00% £4,825,905,284 100.00% 37,632 100.00%

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 £647,606,036 2.37% 7,902 2.17% £96,495,579 2.00% 925 1.70%

Interest Only £1,426,333,180 5.23% 17,978 4.93% £140,108,753 2.91% 1174 2.15%

Repayment £25,221,632,281 92.40% 338,612 92.90% £4,585,444,896 95.09% 52,379 96.15%

Totals £27,295,571,496 100.00% 364,492 100.00% £4,822,049,229 100.00% 54,478 100.00%

Repayment Terms*



of 20



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

0.48% 1,2436 -< 12 0.77%£209,336,467

2.77% 7,23512 -< 18 4.30%£1,174,566,581

2.91% 7,58618 -< 24 4.47%£1,220,329,847

4.05% 10,56924 -< 30 5.98%£1,630,954,405

4.92% 12,84730 -< 36 7.13%£1,947,427,221

5.01% 13,07836 -< 42 6.95%£1,897,224,580

5.26% 13,73242 -< 48 7.14%£1,949,395,393

4.09% 10,68148 -< 54 5.23%£1,427,457,707

5.37% 14,01554 -< 60 6.56%£1,790,638,611

4.45% 11,61960 -< 66 5.23%£1,426,950,560

3.90% 10,18566 -< 72 4.63%£1,264,179,545

56.77% 148,144 >= 72 41.61%£11,357,110,580

Totals 260,934 100.00%£27,295,571,496 100.00%

Years to Maturity of Loans

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

11.97% 31,227 < 5 3.33%£909,922,284

20.50% 53,4845 -< 10 11.09%£3,026,570,218

19.42% 50,67510 -< 15 16.80%£4,584,603,670

16.95% 44,23515 -< 20 20.22%£5,519,861,596

13.88% 36,20520 -< 25 19.86%£5,420,472,454

9.56% 24,95525 -< 30 15.47%£4,222,546,034

6.45% 16,83330 -< 35 11.05%£3,015,176,214

1.27% 3,320 >= 35 2.19%£596,419,027

Totals 260,934 100.00%£27,295,571,496 100.00%

Product Groups*

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

62.19% 226,668Fixed 76.31%£20,830,560,105

6.30% 22,979Tracker 6.23%£1,700,872,176

31.51% 114,845Variable 17.45%£4,764,139,215

Totals 364,492 100.00%£27,295,571,496 100.00%

of 20

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

Monthly £27,295,571,496 100.00% 260,934 100.00%

Totals £27,295,571,496 100.00% 260,934 100.00%

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

Help To Buy £937,160,321 3.43% 5,824 2.23%

Totals £937,160,321 3.43% 5,824 2.23%

Payment Frequency

Products



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

336 No Transfer required funds to Pre-Maturity Liquidity Ledger. Failure to transfers funds results

in a Nationwide trigger

Nationwide Trigger

(Issuer Event of Default)

This shall occur when any of the following apply:

(a). The Issuer fails to pay any principle / interest in respect of the Covered 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.

140 No Triggers a Notice to Pay on the LLP

Servicer Trigger Servicer's ratings fall below required levels 304It will use best endeavours to (with the assistance of the Back-Up Servicer Facilitator), to

identify and appoint a third party satisfactory to the LLP to act as a back-up or stand-by

servicer (the Back-Up Servicer) to the Servicer within 60 days of such Back-Up Servicer

Event.

No

Failure of Asset Coverage Test 310 If not remedied within three calculation dates, triggers Issuer Event of Default No

Yield Shortfall Test ^ Failure of Portfolio Yield Test 441 Increase Standard Variable Rate and/or the other discretionary rates or marginsNo

LLP Event of Default ^ LLP failure to pay Guarantee, insolvency, failure of Amortisation Test, etc 143 No Triggers an LLP Acceleration Notice

Amortisation Test ^ Failure of Amortisation TestLLP Acceleration Notice

Swap Counterparty Rating Trigger

(see page 17, "Collateral Received") Breach of ratings triggerN/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

314

227 No

of 20

Investor Report Asset Coverage Test

Nationwide Covered Bonds Programme

Description

Adjusted 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: M

Loans < 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 Balance

Arrears Adjusted True Balance

made up by: N

Loans < 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

Value

A + 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

10/7/2020

27,295,571,496

72,225,882,847

90.0%

27,190,113,852

96,050,319

9,407,326

18,368,513,927

4.53

1.09%

26,890,724,466

78,805,293

2,769,415

26,972,299,174

27,187,630,017

78,805,293

2,769,415

27,269,204,724

90.0%

24,542,284,252

10/7/2020

24,542,284,252

0

0

0

461,114,781

904,750,934

22,282,217,561

18,368,513,927

Pass

12/6/2020

71,868,647,085

90.0%

27,494,842,123

98,092,062

10,298,359

18,368,513,927

4.60

1.09%

27,138,418,648

79,804,698

3,034,041

27,221,257,388

27,492,347,944

79,804,698

3,034,041

27,575,186,684

90.0%

24,817,668,015

12/6/2020

24,817,668,015

289,338,130

0

0

0

461,228,276

919,188,848

22,485,705,621

18,368,513,927

Pass

82.44% 81.69%

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

27,603,232,544

Value

332,913,236

V - Collateralised GIC Account = 0

1,227,114,213W - Supplement Liquidity Reserve Amount =

0

1,240,883,401

0 0

of 20

Investor Report Principal & Revenue Receipts and Ledgers


Available Revenue Receipts

Other revenue receipts

to

0 Reserve fund surplus release

to

30/06/2020 Total Available Principal Receipts 0 Interest received on Reserve Fund

to

30/06/2020 Other Principal Receipts 0 Interest received on GIC account

to 30/06/2020

30/06/2020Interest received on mortgages

332,913,236 Principal received on mortgages

40,134,152

Principal Ledger balance b/fRevenue Ledger balance b/f

01/06/2020

01/06/2020

01/06/2020

01/06/2020

0

0

17/06/2020

17/07/2020

17/06/2020

14,446

Cash Capital Contribution

Capital contribution

££

Principal ReceiptsRevenue Receipts

48,571,242

17/07/2020

0

1,037,813,236

704,900,000

0

17/07/2020Reserve fund surplus release - CV191

8,422,644

Interest receivable/(payable) on Interest

rate swaps

(12,097,551)

7,029,131 Interest receivable/(payable) on Covered

Bond swaps

Fees due to third parties

Transfer from/(to) Pre-Maturity Liquidity

Ledger

to

to

to

17/07/2020

17/07/2020

17/07/2020

17/07/2020

17/08/2020

17/08/2020

17/08/2020

Deferred consideration

Other payments

Transfer to Reserve Fund

Interest payable on term advances

Revenue Ledger balance c/f

to

17/07/2020

17/07/2020

17/07/2020

17/08/2020

17/07/2020

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

17/07/2020

17/07/2020

17/07/2020

17/07/2020

17/07/2020

17/08/2020

Principal Priority of Payments

(5,404)

0

(19,448,390)

(2,623,696)

(21,425,333)

0

0

(704,900,000)

(332,913,236)

0

0

££

Servicing and Cash Management Fee 0

17/07/2020

17/07/2020

17/07/2020

Revenue Priority of Payments

Pre-Maturity Liquidity Ledger

Balance c/f 38,228,431

Transfer (to)/from Revenue Ledger

Balance b/f 35,604,735 0

Balance required on Reserve Ledger

Pre-Maturity Test

38,228,431

17/07/2020 17/06/2020

17/07/2020

17/07/2020

17/07/2020

2,623,696

£ £

Pass

Reserve Ledger surplus/(deficit) 0 17/07/2020

Capital Contribution - CV19

Pre-Maturity Liquidity Ledger Reserve Ledger

117/07/2020 8,422,644

17/07/20201

Transfer to Revenue Ledger (8,422,644)

Capital contribution from Nationwide made directly into the Reserve ledger creates a surplus that is simultaneously released to contribute additional available revenue receipts in an amount equal to

COVID-19 related authorised Payment Holidays

1

of 20

2007-1 (2) 2010-2 2011-01 2011-02 2011-03 2011-04 2011-05 2011-06 2011-07

Notes in Issue

Interest

Payments^

Principal

Payments^

Issue Date

Original rating (S&P/Moody's/Fitch)

Current rating (S&P/Moody's/Fitch)

Currency

Issue Size

Relevant Swap Rate

GBP Equivalent

Current Period Balance

Previous Period Balance

Current Period Pool Factor

Previous Period Pool Factor

Legal final maturity date

Expected maturity date

Extended Due for Payment Date

ISIN

Stock exchange listing

Interest Payment Frequency

Accrual Start Date

Accrual End Date

Accrual Day Count

Coupon Reference Rate

Relevant Margin

Current Period Coupon Reference Rate

Current Period Coupon*

Current Period Coupon Amount*

Current Interest Shortfall

Cumulative Interest Shortfall

Next Interest Payment Date

Bond Structure

Current Period Scheduled Principal Payment

Actual Principal Paid

Principal Shortfall

Cumulative Principal Shortfall

Expected Principal Payment Date

27/02/2007

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

2,000,000,000

0.6730000000

1,346,000,000

2,000,000,000

2,000,000,000

1.00000

1.00000

28/2/2022

28/2/2022

28/2/2023

XS0289011198

London

Annual

28/02/2020

01/03/2021

367

FIXED

0.00000%

FIXED

4.37500%

0

0

0

01/03/2021

Soft bullet

0

0

0

0

28/2/2022

26/10/2010

AAA/Aaa/AAA

AAA/Aaa/AAA

NOK

500,000,000

9.2850000000

53,850,296

500,000,000

500,000,000

1.00000

1.00000

26/10/2020

26/10/2020

26/10/2021

XS0550431083

London

Annual

26/10/2019

26/10/2020

360

FIXED

0.00000%

FIXED

4.89000%

0

0

0

26/10/2020

Soft bullet

0

0

0

0

26/10/2020

27/01/2011

AAA/Aaa/AAA

AAA/Aaa/AAA

NOK

500,000,000

9.2725000000

53,922,890

500,000,000

500,000,000

1.00000

1.00000

27/1/2021

27/1/2021

27/1/2022

XS0582521661

London

Annual

27/01/2020

27/01/2021

360

FIXED

0.00000%

FIXED

5.56000%

0

0

0

27/01/2021

Soft bullet

0

0

0

0

27/1/2021

28/01/2011

AAA/Aaa/AAA

AAA/Aaa/AAA

GBP

750,000,000

1.0000000000

750,000,000

750,000,000

750,000,000

1.00000

1.00000

28/1/2026

28/1/2026

28/1/2027

XS0584363724

London

Annual

28/01/2020

28/01/2021

366

FIXED

0.00000%

FIXED

5.62500%

0

0

0

28/01/2021

Soft bullet

0

0

0

0

28/1/2026

08/02/2011

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

1,250,000,000

0.8584059402

1,073,007,425

1,250,000,000

1,250,000,000

1.00000

1.00000

8/2/2021

8/2/2021

8/2/2022

XS0589642049

London

Annual

10/02/2020

08/02/2021

364

FIXED

0.00000%

FIXED

4.62500%

0

0

0

08/02/2021

Soft bullet

0

0

0

0

8/2/2021

01/03/2011

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

30,000,000

0.8475000000

25,425,000

30,000,000

30,000,000

1.00000

1.00000

3/3/2031

3/3/2031

3/3/2032

XS0592707615

London

Annual

03/03/2020

03/03/2021

365

FIXED

0.00000%

FIXED

4.74000%

0

0

0

03/03/2021

Soft bullet

0

0

0

0

3/3/2031

28/02/2011

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

132,000,000

0.8430000000

111,276,000

132,000,000

132,000,000

1.00000

1.00000

28/11/2025

28/11/2025

28/11/2026

N/A

N/A

Annual

28/11/2019

30/11/2020

368

FIXED

0.00000%

FIXED

4.92400%

0

0

0

30/11/2020

Soft bullet

0

0

0

0

28/11/2025

14/03/2011

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

50,000,000

0.8583690988

42,918,455

50,000,000

50,000,000

1.00000

1.00000

14/3/2023

14/3/2023

14/3/2024

N/A

N/A

Annual

16/03/2020

15/03/2021

364

FIXED

0.00000%

FIXED

4.69900%

0

0

0

15/03/2021

Soft bullet

0

0

0

0

14/3/2023

29/03/2011

AAA/Aaa/AAA

AAA/Aaa/AAA

NOK

500,000,000

9.0175000000

55,447,741

500,000,000

500,000,000

1.00000

1.00000

29/3/2021

29/3/2021

29/3/2022

XS0605287217

London

Annual

29/03/2020

29/03/2021

360

FIXED

0.00000%

FIXED

5.69500%

0

0

0

29/03/2021

Soft bullet

0

0

0

0

29/3/2021

Investor Report Notes in issue Investor Report Notes in issue

Nationwide Regulated Covered Bonds Programme Nationwide Regulated Covered Bonds Programme

Series

^ Payments made during the Payment Period 17/7/2020 - 16/8/2020

* For SONIA linked Bonds coupon rates and payments showing are an approximation based on the latest SONIA rates available at the time of publication



of 20(1)

2011-09 2011-13 2011-14 2011-15 2011-17 2011-18 2011-20 2011-21 2011-22

Notes in Issue

Interest

Payments^

Principal

Payments^

Issue Date



Currency

Issue Size

Relevant Swap Rate

GBP Equivalent








ISIN



Accrual Start Date

Accrual End Date

Accrual Day Count


Relevant Margin







Bond Structure



Principal Shortfall



28/04/2011

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

50,000,000

0.8850000000

44,250,000

50,000,000

50,000,000

1.00000

1.00000

28/4/2032

28/4/2032

28/4/2033

N/A

N/A

Annual

28/04/2020

28/04/2021

365

FIXED

0.00000%

FIXED

5.01000%

0

0

0

28/04/2021

Soft bullet

0

0

0

0

28/4/2032

03/08/2011

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

100,000,000

0.8825000000

88,250,000

100,000,000

100,000,000

1.00000

1.00000

3/8/2026

3/8/2026

3/8/2027

N/A

N/A

Annual

05/08/2019

03/08/2020

364

FIXED

0.00000%

FIXED

4.56500%

4,565,000

0

0

03/08/2020

Soft bullet

0

0

0

0

3/8/2026

08/08/2011

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

40,000,000

0.8756567425

35,026,270

40,000,000

40,000,000

1.00000

1.00000

8/8/2029

8/8/2029

8/8/2030

N/A

N/A

Annual

08/08/2019

10/08/2020

368

FIXED

0.00000%

FIXED

4.43250%

1,773,000

0

0

10/08/2020

Soft bullet

0

0

0

0

8/8/2029

02/09/2011

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

50,000,000

0.8825000000

44,125,000

50,000,000

50,000,000

1.00000

1.00000

2/9/2026

2/9/2026

2/9/2027

N/A

N/A

Annual

02/09/2019

02/09/2020

366

FIXED

0.00000%

FIXED

4.12000%

0

0

0

02/09/2020

Soft bullet

0

0

0

0

2/9/2026

05/10/2011

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

103,000,000

0.8690000000

89,507,000

103,000,000

103,000,000

1.00000

1.00000

5/10/2027

5/10/2027

5/10/2028

N/A

N/A

Annual

07/10/2019

05/10/2020

364

FIXED

0.00000%

FIXED

3.77000%

0

0

0

05/10/2020

Soft bullet

0

0

0

0

5/10/2027

13/10/2011

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

40,000,000

0.8570000000

34,280,000

40,000,000

40,000,000

1.00000

1.00000

15/10/2029

15/10/2029

15/10/2030

N/A

N/A

Annual

15/10/2019

15/10/2020

366

FIXED

0.00000%

FIXED

3.75000%

0

0

0

15/10/2020

Soft bullet

0

0

0

0

15/10/2029

27/10/2011

AAA/Aaa/AAA

AAA/Aaa/AAA

GBP

100,000,000

1.0000000000

100,000,000

100,000,000

100,000,000

1.00000

1.00000

27/10/2026

27/10/2026

27/10/2027

XS0697790342

London

Quarterly

27/04/2020

27/07/2020

91

SON IA

1.63870%

SONIA CMP -5BD

1.70400%

425,000

0

0

27/07/2020

Soft bullet

0

0

0

0

27/10/2026

27/10/2011

AAA/Aaa/AAA

AAA/Aaa/AAA

GBP

100,000,000

1.0000000000

100,000,000

100,000,000

100,000,000

1.00000

1.00000

27/10/2028

27/10/2028

27/10/2029

XS0697790185

London

Quarterly

27/04/2020

27/07/2020

91

SON IA

1.64200%

SONIA CMP -5BD

1.70700%

426,000

0

0

27/07/2020

Soft bullet

0

0

0

0

27/10/2028

27/10/2011

AAA/Aaa/AAA

AAA/Aaa/AAA

GBP

50,000,000

1.0000000000

50,000,000

50,000,000

50,000,000

1.00000

1.00000

27/10/2031

27/10/2031

27/10/2032

XS0697790425

London

Quarterly

27/04/2020

27/07/2020

91

SON IA

1.64410%

SONIA CMP -5BD

1.70900%

213,000

0

0

27/07/2020

Soft bullet

0

0

0

0

27/10/2031







Page 12 of 20(2)

2011-23 2012-02 2012-03 2012-06 2014-02 2014-04 2014-05 2014-06 2014-07

Notes in Issue

Interest

Payments^

Principal

Payments^

Issue Date



Currency

Issue Size

Relevant Swap Rate

GBP Equivalent








ISIN



Accrual Start Date

Accrual End Date

Accrual Day Count


Relevant Margin







Bond Structure



Principal Shortfall



31/10/2011

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

77,000,000

0.8686000000

66,882,200

77,000,000

77,000,000

1.00000

1.00000

1/11/2032

1/11/2032

1/11/2033

N/A

N/A

Annual

01/11/2019

02/11/2020

367

FIXED

0.00000%

FIXED

3.90000%

0

0

0

02/11/2020

Soft bullet

0

0

0

0

1/11/2032

17/02/2012

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

116,000,000

0.8305000000

96,338,000

116,000,000

116,000,000

1.00000

1.00000

17/2/2027

17/2/2027

17/2/2028

N/A

N/A

Annual

17/02/2020

17/02/2021

366

FIXED

0.00000%

FIXED

3.81000%

0

0

0

17/02/2021

Soft bullet

0

0

0

0

17/2/2027

22/02/2012

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

88,000,000

0.8383000000

73,770,400

88,000,000

88,000,000

1.00000

1.00000

22/2/2030

22/2/2030

22/2/2031

N/A

N/A

Annual

24/02/2020

22/02/2021

364

FIXED

0.00000%

FIXED

3.83200%

0

0

0

22/02/2021

Soft bullet

0

0

0

0

22/2/2030

20/03/2012

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

157,500,000

0.8353000000

131,559,750

157,500,000

157,500,000

1.00000

1.00000

20/3/2028

20/3/2028

20/3/2029

N/A

N/A

Annual

20/03/2020

22/03/2021

367

FIXED

0.00000%

FIXED

3.55500%

0

0

0

22/03/2021

Soft bullet

0

0

0

0

20/3/2028

25/06/2014

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

750,000,000

0.8015000000

601,125,000

750,000,000

750,000,000

1.00000

1.00000

25/6/2029

25/6/2029

25/6/2030

XS1081100239

London

Annual

25/06/2020

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

0.7940000000

44,464,000

56,000,000

56,000,000

1.00000

1.00000

16/9/2039

16/9/2039

16/9/2040

N/A

N/A

Annual

16/09/2019

16/09/2020

366

FIXED

0.00000%

FIXED

1.94000%

0

0

0

16/09/2020

Soft bullet

0

0

0

0

16/9/2039

19/09/2014

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

50,000,000

0.7949000000

39,745,000

50,000,000

50,000,000

1.00000

1.00000

19/9/2039

19/9/2039

19/9/2040

N/A

N/A

Annual

19/09/2019

21/09/2020

368

FIXED

0.00000%

FIXED

2.06650%

0

0

0

21/09/2020

Soft bullet

0

0

0

0

19/9/2039

29/10/2014

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

1,000,000,000

0.7905000000

790,500,000

1,000,000,000

1,000,000,000

1.00000

1.00000

29/10/2021

29/10/2021

29/10/2022

XS1130066175

London

Annual

29/10/2019

29/10/2020

366

FIXED

0.00000%

FIXED

0.75000%

0

0

0

29/10/2020

Soft bullet

0

0

0

0

29/10/2021

15/12/2014

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

50,000,000

0.7865000000

39,325,000

50,000,000

50,000,000

1.00000

1.00000

15/3/2039

15/3/2039

15/3/2040

XS1151430185

London

Annual

16/03/2020

15/03/2021

364

FIXED

0.00000%

FIXED

1.69250%

0

0

0

15/03/2021

Soft bullet

0

0

0

0

15/3/2039







Page 12 of 20(3)

2015-01 2015-02 2015-03 2015-05 2015-06 2015-07 2015-08 2015-09 2015-10

Notes in Issue

Interest

Payments^

Principal

Payments^

Issue Date



Currency

Issue Size

Relevant Swap Rate

GBP Equivalent








ISIN



Accrual Start Date

Accrual End Date

Accrual Day Count


Relevant Margin







Bond Structure



Principal Shortfall



30/01/2015

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

50,000,000

0.7500000000

37,500,000

50,000,000

50,000,000

1.00000

1.00000

30/1/2030

30/1/2030

30/1/2031

XS1177825814

London

Annual

30/01/2020

01/02/2021

368

FIXED

0.00000%

FIXED

1.00000%

0

0

0

01/02/2021

Soft bullet

0

0

0

0

30/1/2030

25/03/2015

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

750,000,000

0.7251000000

543,825,000

750,000,000

750,000,000

1.00000

1.00000

25/3/2027

25/3/2027

25/3/2028

XS1207683522

London

Annual

25/03/2020

25/03/2021

365

FIXED

0.00000%

FIXED

0.62500%

0

0

0

25/03/2021

Soft bullet

0

0

0

0

25/3/2027

30/04/2015

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

25,000,000

0.7200000000

18,000,000

25,000,000

25,000,000

1.00000

1.00000

22/6/2035

22/6/2035

22/6/2036

N/A

N/A

Annual

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

0.7145000000

35,725,000

50,000,000

50,000,000

1.00000

1.00000

8/5/2035

8/5/2035

8/5/2036

XS1225157533

London

Annual

11/05/2020

10/05/2021

364

FIXED

0.00000%

FIXED

0.75000%

0

0

0

10/05/2021

Soft bullet

0

0

0

0

8/5/2035

05/06/2015

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

105,000,000

0.7130000000

74,865,000

105,000,000

105,000,000

1.00000

1.00000

5/6/2034

5/6/2034

5/6/2035

XS1242438742

London

Annual

05/06/2020

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

0.7208002036

72,080,020

100,000,000

100,000,000

1.00000

1.00000

17/7/2031

17/7/2031

17/7/2032

XS1261795378

London

Annual

17/07/2019

17/07/2020

366

FIXED

0.00000%

FIXED

1.70250%

1,702,500

0

0

17/07/2020

Soft bullet

0

0

0

0

17/7/2031

23/07/2015

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

50,000,000

0.6977000000

34,885,000

50,000,000

50,000,000

1.00000

1.00000

23/7/2035

23/7/2035

23/7/2036

N/A

N/A

Annual

23/07/2019

23/07/2020

366

FIXED

0.00000%

FIXED

1.77000%

885,000

0

0

23/07/2020

Soft bullet

0

0

0

0

23/7/2035

30/07/2015

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

45,000,000

0.6975000000

31,387,500

45,000,000

45,000,000

1.00000

1.00000

30/7/2035

30/7/2035

30/7/2036

N/A

N/A

Annual

30/07/2019

30/07/2020

366

FIXED

0.00000%

FIXED

1.76000%

792,000

0

0

30/07/2020

Soft bullet

0

0

0

0

30/7/2035

30/07/2015

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

1,000,000,000

0.7049000000

704,900,000

0

1,000,000,000

0.00000

1.00000

30/7/2020

30/7/2020

30/7/2021

XS1268460885

London

Annual

30/07/2019

30/07/2020

366

FIXED

0.00000%

FIXED

0.37500%

3,750,000

0

0

30/07/2020

Soft bullet

1,000,000,000

1,000,000,000

0

0

30/7/2020







Page 12 of 20(4)

2015-11 2015-12 2015-13 2015-14 2015-15 2016-01 2016-02 2016-03 2016-04

Notes in Issue

Interest

Payments^

Principal

Payments^

Issue Date



Currency

Issue Size

Relevant Swap Rate

GBP Equivalent








ISIN



Accrual Start Date

Accrual End Date

Accrual Day Count


Relevant Margin







Bond Structure



Principal Shortfall



26/10/2015

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

1,000,000,000

0.7322790000

732,279,000

1,000,000,000

1,000,000,000

1.00000

1.00000

26/10/2022

26/10/2022

26/10/2023

XS1308693867

London

Annual

28/10/2019

26/10/2020

364

FIXED

0.00000%

FIXED

0.75000%

0

0

0

26/10/2020

Soft bullet

0

0

0

0

26/10/2022

05/11/2015

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

35,000,000

0.7180000000

25,130,000

35,000,000

35,000,000

1.00000

1.00000

5/11/2035

5/11/2035

5/11/2036

XS1316442992

London

Annual

05/11/2019

05/11/2020

366

FIXED

0.00000%

FIXED

1.54000%

0

0

0

05/11/2020

Soft bullet

0

0

0

0

5/11/2035

14/12/2015

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

50,000,000

0.7201497912

36,007,490

50,000,000

50,000,000

1.00000

1.00000

14/12/2032

14/12/2032

14/12/2033

XS1332497616

London

Annual

16/12/2019

14/12/2020

364

FIXED

0.00000%

FIXED

1.62000%

0

0

0

14/12/2020

Soft bullet

0

0

0

0

14/12/2032

17/12/2015

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

25,000,000

0.7260000000

18,150,000

25,000,000

25,000,000

1.00000

1.00000

17/12/2035

17/12/2035

17/12/2036

XS1333830005

London

Annual

17/12/2019

17/12/2020

366

FIXED

0.00000%

FIXED

1.68000%

0

0

0

17/12/2020

Soft bullet

0

0

0

0

17/12/2035

17/12/2015

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

100,000,000

0.7225000000

72,250,000

100,000,000

100,000,000

1.00000

1.00000

17/12/2020

17/12/2020

17/12/2021

XS1334768733

London

Annual

17/12/2019

17/12/2020

366

FIXED

0.00000%

FIXED

0.27700%

0

0

0

17/12/2020

Soft bullet

0

0

0

0

17/12/2020

28/01/2016

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

25,000,000

0.7620208792

19,050,522

25,000,000

25,000,000

1.00000

1.00000

28/1/2041

28/1/2041

28/1/2042

XS1350139439

London

Annual

28/01/2020

28/01/2021

366

FIXED

0.00000%

FIXED

1.67300%

0

0

0

28/01/2021

Soft bullet

0

0

0

0

28/1/2041

28/01/2016

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

30,000,000

0.7706535142

23,119,605

30,000,000

30,000,000

1.00000

1.00000

28/1/2041

28/1/2041

28/1/2042

XS1352028432

London

Annual

28/01/2020

28/01/2021

366

FIXED

0.00000%

FIXED

1.61800%

0

0

0

28/01/2021

Soft bullet

0

0

0

0

28/1/2041

25/02/2016

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

51,000,000

0.7748000000

39,514,800

51,000,000

51,000,000

1.00000

1.00000

25/2/2036

25/2/2036

25/2/2037

XS1369280661

London

Annual

25/02/2020

25/02/2021

366

FIXED

0.00000%

FIXED

1.39500%

0

0

0

25/02/2021

Soft bullet

0

0

0

0

25/2/2036

25/02/2016

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

50,000,000

0.7730962504

38,654,813

50,000,000

50,000,000

1.00000

1.00000

25/2/2036

25/2/2036

25/2/2037

XS1371729259

London

Annual

25/02/2020

25/02/2021

366

FIXED

0.00000%

FIXED

1.34500%

0

0

0

25/02/2021

Soft bullet

0

0

0

0

25/2/2036







Page 12 of 20(5)

2016-05 2016-06 2016-07 2016-08 2016-09 2016-10 2016-11 2016-12 2016-14

Notes in Issue

Interest

Payments^

Principal

Payments^

Issue Date



Currency

Issue Size

Relevant Swap Rate

GBP Equivalent








ISIN



Accrual Start Date

Accrual End Date

Accrual Day Count


Relevant Margin







Bond Structure



Principal Shortfall



26/02/2016

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

40,000,000

0.7756000000

31,024,000

40,000,000

40,000,000

1.00000

1.00000

26/2/2041

26/2/2041

26/2/2042

XS1371979284

London

Annual

26/02/2020

26/02/2021

366

FIXED

0.00000%

FIXED

1.33600%

0

0

0

26/02/2021

Soft bullet

0

0

0

0

26/2/2041

01/03/2016

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

25,000,000

0.7812000000

19,530,000

25,000,000

25,000,000

1.00000

1.00000

1/3/2023

1/3/2023

1/3/2024

XS1373029856

London

Quarterly

01/06/2020

01/09/2020

92

EURIBOR 3M

0.75000%

-0.29000%

0.46000%

0

0

0

01/09/2020

Soft bullet

0

0

0

0

1/3/2023

03/03/2016

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

1,250,000,000

0.7885000000

985,625,000

1,250,000,000

1,250,000,000

1.00000

1.00000

25/1/2021

25/1/2021

25/1/2022

XS1374414891

London

Annual

27/01/2020

25/01/2021

364

FIXED

0.00000%

FIXED

0.12500%

0

0

0

25/01/2021

Soft bullet

0

0

0

0

25/1/2021

11/03/2016

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

30,000,000

0.7756000000

23,268,000

30,000,000

30,000,000

1.00000

1.00000

11/3/2036

11/3/2036

11/3/2037

XS1378944836

London

Annual

11/03/2020

11/03/2021

365

FIXED

0.00000%

FIXED

1.33100%

0

0

0

11/03/2021

Soft bullet

0

0

0

0

11/3/2036

16/03/2016

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

50,000,000

0.7708000000

38,540,000

50,000,000

50,000,000

1.00000

1.00000

16/3/2038

16/3/2038

16/3/2039

XS1380330826

London

Annual

16/03/2020

16/03/2021

365

FIXED

0.00000%

FIXED

1.42500%

0

0

0

16/03/2021

Soft bullet

0

0

0

0

16/3/2038

17/03/2016

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

50,000,000

0.7707000000

38,535,000

50,000,000

50,000,000

1.00000

1.00000

17/3/2031

17/3/2031

17/3/2032

XS1380328259

London

Annual

17/03/2020

17/03/2021

365

FIXED

0.00000%

FIXED

1.19500%

0

0

0

17/03/2021

Soft bullet

0

0

0

0

17/3/2031

24/03/2016

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

40,000,000

0.7836000000

31,344,000

40,000,000

40,000,000

1.00000

1.00000

24/3/2036

24/3/2036

24/3/2037

XS1384262389

London

Annual

24/03/2020

24/03/2021

365

FIXED

0.00000%

FIXED

1.39000%

0

0

0

24/03/2021

Soft bullet

0

0

0

0

24/3/2036

23/03/2016

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

80,000,000

0.7880000000

63,040,000

80,000,000

80,000,000

1.00000

1.00000

23/3/2021

23/3/2021

23/3/2022

XS1385380289

London

Annual

23/03/2020

23/03/2021

365

FIXED

0.00000%

FIXED

0.18500%

0

0

0

23/03/2021

Soft bullet

0

0

0

0

23/3/2021

20/04/2016

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

60,000,000

0.7950000000

47,700,000

60,000,000

60,000,000

1.00000

1.00000

23/4/2041

23/4/2041

23/4/2042

XS1397982874

London

Annual

23/04/2020

23/04/2021

365

FIXED

0.00000%

FIXED

1.42000%

0

0

0

23/04/2021

Soft bullet

0

0

0

0

23/4/2041







Page 12 of 20(6)

2016-15 2017-01 2017-02 2017-03 2018-01 2018-02 2018-03 2019-01 2019-02

Notes in Issue

Interest

Payments^

Principal

Payments^

Issue Date



Currency

Issue Size

Relevant Swap Rate

GBP Equivalent








ISIN



Accrual Start Date

Accrual End Date

Accrual Day Count


Relevant Margin







Bond Structure



Principal Shortfall



06/05/2016

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

25,000,000

0.7800000000

19,500,000

25,000,000

25,000,000

1.00000

1.00000

7/5/2041

7/5/2041

7/5/2042

XS1407047411

London

Annual

07/05/2020

07/05/2021

365

FIXED

0.00000%

FIXED

1.57250%

0

0

0

07/05/2021

Soft bullet

0

0

0

0

7/5/2041

23/02/2017

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

1,000,000,000

0.8502000000

850,200,000

1,000,000,000

1,000,000,000

1.00000

1.00000

23/2/2024

23/2/2024

23/2/2025

XS1569896498

London

Annual

24/02/2020

23/02/2021

365

FIXED

0.00000%

FIXED

0.50000%

0

0

0

23/02/2021

Soft bullet

0

0

0

0

23/2/2024

29/06/2017

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

1,000,000,000

0.8820500000

882,050,000

1,000,000,000

1,000,000,000

1.00000

1.00000

29/6/2032

29/6/2032

29/6/2033

XS1638816089

London

Annual

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

0.8840000000

44,200,000

50,000,000

50,000,000

1.00000

1.00000

8/12/2037

8/12/2037

8/12/2038

XS1731837123

London

Annual

09/12/2019

08/12/2020

365

FIXED

0.00000%

FIXED

1.48100%

0

0

0

08/12/2020

Soft bullet

0

0

0

0

8/12/2037

12/04/2018

AAA/Aaa/AAA

AAA/Aaa/AAA

GBP

1,000,000,000

1.0000000000

1,000,000,000

1,000,000,000

1,000,000,000

1.00000

1.00000

12/4/2023

12/4/2023

12/4/2024

XS1806359714

London

Quarterly

13/07/2020

12/10/2020

91

SON IA

0.41600%

SONIA CMP -5BD

0.47698%

0

0

0

12/10/2020

Soft bullet

0

0

0

0

12/4/2023

31/05/2018

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

500,000,000

0.8775778850

438,788,943

500,000,000

500,000,000

1.00000

1.00000

31/5/2028

31/5/2028

31/5/2029

XS1829215562

London

Annual

01/06/2020

31/05/2021

364

FIXED

0.00000%

FIXED

1.12500%

0

0

0

31/05/2021

Soft bullet

0

0

0

0

31/5/2028

04/10/2018

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

30,000,000

0.8925000000

26,775,000

30,000,000

30,000,000

1.00000

1.00000

4/10/2038

4/10/2038

4/10/2039

XS1890083170

London

Annual

04/10/2019

05/10/2020

367

FIXED

0.00000%

FIXED

1.60000%

0

0

0

05/10/2020

Soft bullet

0

0

0

0

4/10/2038

10/01/2019

AAA/Aaa/AAA

AAA/Aaa/AAA

GBP

1,000,000,000

1.0000000000

1,000,000,000

1,000,000,000

1,000,000,000

1.00000

1.00000

10/1/2024

10/1/2024

10/1/2025

XS1933035286

London

Quarterly

10/07/2020

12/10/2020

94

SON IA

0.75000%

SONIA CMP -5BD

0.81100%

0

0

0

12/10/2020

Soft bullet

0

0

0

0

10/1/2024

03/06/2019

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

1,250,000,000

0.8811040320

1,101,380,040

1,250,000,000

1,250,000,000

1.00000

1.00000

3/6/2024

3/6/2024

3/6/2025

XS2004366287

London

Annual

03/06/2020

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







Page 12 of 20(7)

2019-03 2019-04 2019-05 2019-06 2019-07 2020-01 2020-02

Notes in Issue

Interest

Payments^

Principal

Payments^

Issue Date



Currency

Issue Size

Relevant Swap Rate

GBP Equivalent








ISIN



Accrual Start Date

Accrual End Date

Accrual Day Count


Relevant Margin







Bond Structure



Principal Shortfall



28/06/2019

AAA/Aaa/AAA

AAA/Aaa/AAA

EUR

20,000,000

0.8939400000

17,878,800

20,000,000

20,000,000

1.00000

1.00000

28/6/2044

28/6/2044

28/6/2045

N/A

N/A

Annual

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

0.8064516129

201,612,903

250,000,000

250,000,000

1.00000

1.00000

11/7/2025

11/7/2025

11/7/2026

CH0485445982

SIX Swiss Exchange

Annual

11/07/2020

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

11/07/2019

AAA/N.R./AAA

AAA/N.R./AAA

CHF

150,000,000

0.8045052293

120,675,784

150,000,000

150,000,000

1.00000

1.00000

11/7/2031

11/7/2031

11/7/2032

CH0485445990

SIX Swiss Exchange

Annual

11/07/2020

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

0.8056070249

80,560,702

100,000,000

100,000,000

1.00000

1.00000

11/7/2044

11/7/2044

11/7/2045

CH0419041329

SIX Swiss Exchange

Annual

11/07/2020

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

1.0000000000

1,000,000,000

1,000,000,000

1,000,000,000

1.00000

1.00000

2/8/2022

2/8/2022

2/8/2023

XS2035642102

London

Quarterly

04/05/2020

03/08/2020

91

SON IA

0.43000%

SONIA CMP -5BD

0.49500%

1,235,100

0

0

03/08/2020

Soft bullet

0

0

0

0

2/8/2022

10/01/2020

AAA/N.R./AAA

AAA/N.R./AAA

GBP

1,000,000,000

1.0000000000

1,000,000,000

1,000,000,000

1,000,000,000

1.00000

1.00000

10/1/2025

10/1/2025

10/1/2026

XS2100384853

London

Quarterly

10/07/2020

12/10/2020

94

SON IA

0.55000%

SONIA CMP -5BD

0.61100%

0

0

0

12/10/2020

Soft bullet

0

0

0

0

10/1/2025

13/02/2020

AAA/Aaa/AAA

AAA/Aaa/AAA

USD

1,000,000,000

0.7679665781

767,966,578

1,000,000,000

1,000,000,000

1.00000

1.00000

13/2/2023

13/2/2023

13/2/2024

USG6398ADC83

London

Semi-Annual

13/02/2020

13/08/2020

180

FIXED

0.00000%

FIXED

1.70000%

1,416,650

0

0

13/08/2020

Soft bullet

0

0

0

0

13/2/2023

Investor Report Notes in issue




Page 12 of 20(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 (93,954.72) 666,000,000 -0.2000% 0.2638%

EURIBOR 3M 0.0721% GBP 3M LIBOR 0.027802007-1 (2) 28/02/2022 EUR Wells Fargo NA (94,309.79) 667,000,000 -0.2019% 0.2644%

EURIBOR 3M 0.0740% GBP 3M LIBOR 0.026302007-1 (2) 28/02/2022 EUR HSBC Bank PLC (93,774.81) 667,000,000 -0.2000% 0.2629%

FIXED (EUR) 0.0000% EURIBOR 3M 0.074002007-1 (2) 28/02/2022 EUR BNP Paribas 0.00 666,000,000 4.3750% -0.2000%

FIXED (EUR) 0.0000% EURIBOR 3M 0.072102007-1 (2) 28/02/2022 EUR Wells Fargo NA 0.00 667,000,000 4.3750% -0.2019%

FIXED (EUR) 0.0000% EURIBOR 3M 0.074002007-1 (2) 28/02/2022 EUR HSBC Bank PLC 0.00 667,000,000 4.3750% -0.2000%

GBP 3M LIBOR 0.0000% GBP 1M LIBOR 0.000002007-1 (2) 28/02/2022 GBP Nationwide Building Society 139,518.25 1,346,000,000 0.2366% 0.1026%

NIBOR 3M 1.1000% GBP 3M LIBOR 1.080002010-2 26/10/2020 NOK Nationwide Building Society 176,838.43 500,000,000 1.7100% 1.2229%

FIXED (NOK) 0.0000% NIBOR 3M 1.100002010-2 26/10/2020 NOK Nationwide Building Society (232,767.91) 500,000,000 4.8900% 1.7100%

NIBOR 3M 1.2800% GBP 3M LIBOR 1.250002011-01 27/01/2021 NOK Nationwide Building Society 200,464.79 500,000,000 1.8900% 1.3816%

FIXED (NOK) 0.0000% NIBOR 3M 1.280002011-01 27/01/2021 NOK Nationwide Building Society (257,616.61) 500,000,000 5.5600% 1.8900%

FIXED (GBP) 0.0000% GBP 3M LIBOR 1.605002011-02 28/01/2026 GBP Nationwide Building Society (1,034,841.16) 750,000,000 5.6250% 1.7366%

EURIBOR 3M 1.2990% GBP 3M LIBOR 1.512002011-03 08/02/2021 EUR Nationwide Building Society 1,198,345.20 1,250,000,000 1.0330% 1.6529%

FIXED (EUR) 0.0000% EURIBOR 3M 1.299002011-03 08/02/2021 EUR Nationwide Building Society (2,801,831.03) 1,250,000,000 4.6250% 1.0330%

EURIBOR 3M 1.0450% GBP 3M LIBOR 1.100002011-04 03/03/2031 EUR Nationwide Building Society (26,795.36) 30,000,000 0.7200% 1.2409%

FIXED (EUR) 0.0000% EURIBOR 3M 1.045002011-04 03/03/2031 EUR Nationwide Building Society 0.00 30,000,000 4.7400% 0.7200%





NIBOR 3M 1.3000% GBP 3M LIBOR 1.220002011-07 29/03/2021 NOK Nationwide Building Society (61,598.49) 500,000,000 1.6800% 1.3516%

FIXED (NOK) 0.0000% NIBOR 3M 1.300002011-07 29/03/2021 NOK Nationwide Building Society 0.00 500,000,000 5.6950% 1.6800%

EURIBOR 3M 0.9500% GBP 3M LIBOR 0.930002011-09 28/04/2032 EUR Nationwide Building Society 47,461.17 50,000,000 0.7580% 1.0616%

FIXED (EUR) 0.0000% EURIBOR 3M 0.950002011-09 28/04/2032 EUR Nationwide Building Society (84,785.46) 50,000,000 5.0100% 0.7580%


FIXED (EUR) 0.0000% EURIBOR 3M 0.980002011-13 03/08/2026 EUR Nationwide Building Society 3,868,220.58 100,000,000 4.5650% 0.7070%


FIXED (EUR) 0.0000% EURIBOR 3M 0.975002011-14 08/08/2029 EUR Nationwide Building Society 1,489,057.20 40,000,000 4.4325% 0.7090%










Page 13 of 20




Swaps^

Maturity Notional

currency


rate


(made)/received

(£)






EURIBOR 3M 0.3925% GBP 3M LIBOR 0.430502014-02 25/06/2029 EUR Nationwide Building Society (299,080.27) 750,000,000 -0.0165% 0.5675%

FIXED (EUR) 0.0000% EURIBOR 3M 0.392502014-02 25/06/2029 EUR Nationwide Building Society 0.00 750,000,000 2.2500% -0.0165%





EURIBOR 3M 0.1634% GBP 3M LIBOR 0.303002014-06 29/10/2021 EUR Nationwide Building Society (401,483.64) 1,000,000,000 -0.0596% 0.4346%

FIXED (EUR) 0.0000% EURIBOR 3M 0.163402014-06 29/10/2021 EUR Nationwide Building Society 119,093.22 1,000,000,000 0.7500% -0.0596%




FIXED (EUR) 0.0000% EURIBOR 3M 0.163502015-01 30/01/2030 EUR Nationwide Building Society 6,493.23 50,000,000 1.0000% -0.0685%










FIXED (EUR) 0.0000% EURIBOR 3M 0.000002015-07 17/07/2031 EUR Nationwide Building Society 1,272,712.92 100,000,000 1.7025% -0.2500%





EURIBOR 3M 0.1646% GBP 3M LIBOR 0.461002015-10 30/07/2020 EUR National Australia Bank Limited (468,806.51) 1,000,000,000 -0.0674% 0.6019%

FIXED (EUR) 0.0000% EURIBOR 3M 0.164602015-10 30/07/2020 EUR National Australia Bank Limited 2,763,470.38 1,000,000,000 0.3750% -0.0674%

EURIBOR 3M 0.3031% GBP 3M LIBOR 0.667002015-11 26/10/2022 EUR HSBC Hong Kong (240,660.61) 1,000,000,000 0.1421% 0.8099%

FIXED (EUR) 0.0000% EURIBOR 3M 0.303102015-11 26/10/2022 EUR HSBC Hong Kong (263,032.58) 1,000,000,000 0.7500% 0.1421%



Page 14 of 20




Swaps^

Maturity Notional

currency


rate


(made)/received

(£)


















EURIBOR 3M 0.3350% GBP 3M LIBOR 0.832002016-07 25/01/2021 EUR National Australia Bank Limited (403,811.46) 1,250,000,000 0.1740% 0.9690%

FIXED (EUR) 0.0000% EURIBOR 3M 0.335002016-07 25/01/2021 EUR National Australia Bank Limited (433,510.73) 1,250,000,000 0.1250% 0.1740%















EURIBOR 3M 0.2324% GBP 3M LIBOR 0.687552017-01 23/02/2024 EUR National Australia Bank Limited (600,823.53) 1,000,000,000 -0.0496% 0.8598%

FIXED (EUR) 0.0000% EURIBOR 3M 0.232402017-01 23/02/2024 EUR National Australia Bank Limited 0.00 1,000,000,000 0.5000% -0.0416%


EURIBOR 3M 0.3747% GBP 3M LIBOR 0.830002017-02 29/06/2032 EUR ING Bank N.V. (348,577.70) 500,000,000 -0.0273% 0.9616%

Page 15 of 20




Swaps^

Maturity Notional

currency


rate


(made)/received

(£)


FIXED (EUR) 0.0000% EURIBOR 3M 0.374702017-02 29/06/2032 EUR ING Bank N.V. 0.00 500,000,000 1.3750% -0.0273%



EURIBOR 3M 0.2070% GBP 3M LIBOR 0.620702018-02 31/05/2028 EUR National Australia Bank Limited (274,662.64) 500,000,000 -0.0730% 0.7616%

FIXED (EUR) 0.0000% EURIBOR 3M 0.207002018-02 31/05/2028 EUR National Australia Bank Limited 0.00 500,000,000 1.1250% -0.0730%



EURIBOR 3M 0.1750% SON IA 0.682502019-02 03/06/2024 EUR Banco Santander S.A. (697,635.24) 1,250,000,000 -0.1500% 0.7458%

FIXED (EUR) 0.0000% EURIBOR 3M 0.175002019-02 03/06/2024 EUR Banco Santander S.A. 0.00 1,250,000,000 0.0500% -0.1500%

EURIBOR 3M 0.3550% SON IA 0.710002019-03 28/06/2044 EUR Nationwide Building Society (10,966.32) 20,000,000 -0.0470% 0.7720%


CHF 3M LIBOR 0.3140% SON IA 0.770502019-04 11/07/2025 CHF Nationwide Building Society (133,191.12) 250,000,000 -0.3620% 0.8315%

FIXED (CHF) 0.0000% CHF 3M LIBOR 0.314002019-04 11/07/2025 CHF Nationwide Building Society 0.00 250,000,000 0.0000% -0.3620%





FIXED (USD) 0.0000% SON IA 0.476402020-02 13/02/2023 USD Credit Agricole CIB Paris 6,177,212.18 1,000,000,000 1.7000% 0.5374%

GBP 3M LIBOR 1.6000% NBS BMR 0.00000CBSWAPBMR 11/07/2044 GBP Nationwide Building Society (679,631.34) 2,409,217,964 1.8126% 2.1558%

GBP 3M LIBOR 1.3000% Fixed 0.00000CBSWAPFXD 11/07/2044 GBP Nationwide Building Society (7,188,689.30) 13,545,988,895 1.5126% 2.1583%

GBP 3M LIBOR 3.0000% NBS SMR 0.00000CBSWAPSMR 11/07/2044 GBP Nationwide Building Society (271,664.40) 701,200,789 3.2126% 3.6840%

GBP 3M LIBOR 1.5000% BoE Base Rate 1.20074CBSWAPTRAC 11/07/2044 GBP Nationwide Building Society 0.00 0 1.7126% 1.3007%

SONIA 1.8000% NBS BMR 0.00000SONIA_BMR 11/07/2044 GBP Nationwide Building Society (317,397.60) 1,332,083,257 1.8660% 2.1558%

SONIA 1.5000% Fixed 0.00000SONIA_FXD 11/07/2044 GBP Nationwide Building Society (3,646,471.10) 7,489,727,075 1.5660% 2.1583%

SONIA 3.2000% NBS SMR 0.00000SONIA_SMR 11/07/2044 GBP Nationwide Building Society (133,215.36) 387,701,671 3.2660% 3.6840%

SONIA 1.7000% BoE Base Rate 1.20074SONIA_TRAC 11/07/2044 GBP Nationwide Building Society 0.00 0 1.7660% 1.3007%

^Swap payments made/received during this payment period (see page 1). For SONIA linked swaps the pay rates and payments showing are an approximation based on the latest SONIA rates available at the time of publication

Page 16 of 20

Investor Report Swaps (Principal)


Maturity Notional

currency

Notional Counterparty Payment Received

(Currency)

Swaps^


2015-10 30/7/20 EUR National Australia Bank Limited 1,000,000,000 1,000,000,000

Payment Made (£)

704,900,000

^Payments made during the current Payment Period

Page 17 of 20

Counterparty


Ratings, Trigger and Collateral Received

Breached (Y/N)

Breach Remedy

(if applicable) Collateral Posting (£) EquivalentCounterparty Rating (S&P,

Moody's, Fitch)

Required Rating

(Initial Rating Event: S&P, Moody's, Fitch)

Short-term Long-term (unless

stated below)

Long-term (unless stated below)Short-term


Cash Collateral

Banco Santander S.A. //P-1/F2 A/A2/A BBB/A3/A N Y 39,525,741 - /P-1/F1

BNP Paribas A-1/P-1/F1 //Aa3/AA- - /A2/A+ Y Collateral Posting Combo 242,215,846A-1+/P-1/F1

Credit Agricole CIB Paris //P-1/F1 A+/Aa2/AA- A/Aa3/A N Y 40,759,381A-1/P-1/F1

HSBC Bank PLC A-1/P-1/F1 AA-/Aa3/AA- - /A2/A+ N Y 215,881,850A-1+/P-1/F1

HSBC Hong Kong A-1+/P-1/F1+ AA-/Aa1/AA- A/A3/A N Y 195,166,760A-1/P-1/F1

ING Bank N.V. //P-1/A+ AA-/Aa3/A+ A/A3/A N Y 71,366,427A-1/ - /F1

National Australia Bank Limited A-1+/P-1/F1 AA-/Aa2/A+ A/A3/A N Y 484,840,605A-1/ - /F1

Nationwide Building Society //P-1/F1 A+/Aa2/A+ A/A3/A N N 0A-1/P-1/F1

Wells Fargo NA A-1/P-1/F1+ A+/Aa2/A+ - /A2/A+ N Y 215,867,299A-1/P-1/F1

1,505,623,909

ING, National Australia Bank, HSBC Hong Kong and Nationwide Moody's Long term required rating is against the Counterparty Risk Assessment (CRA) rating trigger

ING and Nationwide Fitch Long term required rating is against the Derivative Counterparty Rating trigger

Page 18 of 20

Investor Report Glossary


Nationwide identifies a loan as being in arrears where an amount equal to or greater than a full month's contractual payment is past its due date. Arrears includes fees and insurance premiums

that are included in the arrears balance on which interest is charged. Months in Arrears is a simple multiplier of Arrears balance /normal instalment. If the Months in Arrears is less than one, zero

is reported. Nationwide recognise that arrears are typically caused by temporary changes in customer circumstances, and therefore offer a range of forbearance and account management

options to customers. Options include temporary conversion to interest only, term extension and arrears capitalisation. All account management/forbearance options are low in materiality.

Properties in possession are repurchased from the Covered Bond programme.

Arrears

Accounts not in arrears are excluded from the weighted average table on page 3.

Data reported as "to date" throughout this report refers to the period since 31/05/ 2011.

Arrears - weighted average

Arrears - capitalisation Arrears-capitalisation is an arrangement whereby some or all of the outstanding arrears are added to the remaining principle blance to be repaid over the life of the mortgage..

Indexation is applied quarterly on a regional basis to property valuations each January, April, July, October.

Mapped to Nationwide's internally derived geographic regions which may differ to the Nomenclature of Units for Territorial Statistics (NUTS) regions used in other reporting.

Constant Payment Rates (CPR) - Technical Technical CPRs reported reflect loans repurchased from the trust

Natural CPRs reported reflect the aggregate of scheduled and unscheduled repayments of principal.

The total CPR reported on a monthly/3 month average and annualised basis being the aggregated value of Natural and Technical CPR .

Indexed

Geographical Distribution

Constant Payment Rates (CPR) - Natural

Constant Payment Rates

The aggregate amount of scheduled and unscheduled principal and interest collected during the reporting period.

A mortgage account consists of one or more underlying loans all secured with equal priority by a first charge on the same property and thereby forming a single mortgage account .

LTV at origination excludes any fees added at the time of origination .

Mortgage Collections

Mortgage Account

Loan to Value ratios at origination

Principal and Revenue Receipts The covered bonds issued are a liability of Nationwide Building Society. The Principal and Revenue Receipts and Ledgers information shows the resources available to support the guarantee to

bondholders in the event that Nationwide Building Society is unable to meet its obligations to them.

Repayment Terms

Standard Variable Rates

Substitutions

True Balance

Product groups Product groups are reported at an individual loan level (please refer to the definition of ' Mortgage Account' above).

Repayment terms are reported at an individual loan level (please refer to the definition of ' Mortgage Account' above).

Nationwide operates two Standard Variable Mortgage Rates . The Base Mortgage Rate is capped at the Bank of England Base Rate plus 200 basis points. The Standard Mortgage Rate is not

subject to a cap.

Prior to 31 December 2012 substitutions included further advances granted in the reporting period on mortgage accounts that were already within the Pool.

Aggregated Outstanding Balances reported refer to the total outstanding balance (" True Balance") under each mortgage loan. True Balance is the aggregate of: (a) the original principal amount

advanced and any further amount advanced, (b) the amount of any re-draw made under any flexible loan, (c) any interest, fees or charges which has been capitalised and (d) any other amount

(including accrued interest and arrears of interest) which is due or accrued (whether or not due) and which has not been paid and has not been capitalised.

Repurchases Repurchases include all loans in possession. Repurchases to date includes all loans repurchased from and including 31 May 2011.

Page 19 of 20

Investor Report Disclaimer


The document is provided to you for information purposes only. The document is not intended as an offer or solicitation for the purchase or sale of any financial instrument and does not comprise a

prospectus for the purposes of the EU directive 2003/71/EC and/or Part VI of the Final Services and Markets Act 2000 of the United Kingdom or otherwise.

Whilst every effort has been taken to ensure that the document is accurate, current, complete, fit for its intended purpose and compliant with the relevant United Kingdom legislation and regulations

as at the date of issue, Nationwide Building Society does not warrant that this document is accurate, current, complete, fit for its intended purpose and compliant with the relevant United Kingdom

legislation and regulations as errors might occur due to circumstances which are beyond our control. In particular, Nationwide Building Society does not warrant that any market data or prices are

complete or accurate.

Please remember that past performance is not necessarily a guide for future performance. The value of instruments and the income from them can go down as well as up. Columns stating

percentage amounts may not add up to 100% due to rounding.

DISCLAIMER: This document has been prepared by Nationwide Building Society in its capacity as Cash Manager.

Any opinions or estimates expressed in the documents may be subject to change without notice and Nationwide Building Society is under no obligation to update its opinions, estimates or other of its

affiliates, accept any liability whatsoever for any direct or consequential loss arising from any use of this document or its contents. Investors should not subscribe for any securities referred to herein

except on the basis of information contained in the prospectus.

Covered Bond Label

DISCLAIMER: This document has been prepared by Nationwide Building Society in its capacity as Cash Manager.

The Covered Bond Label is a quality Label which responds to a market-wide request for improved standards and increased transparency in the European covered bond market.

The Label:

•Establishes a clear perimeter for the asset class and highlights the core standards and quality of covered bonds;

•Increases transparency;

•Improves access to information for investors, regulators and other market participants;

•Has the additional objective of improving liquidity in covered bonds;

•Positions the covered bond asset class with respect to the upcoming regulatory challenges (CRD IV, Solvency II, redesign of ECB repo rules, etc.).

The Label is based on the Covered Bond Label Convention, which defines the core characteristics required for a covered bond programme to qualify for the Label. This definition of the required

characteristics is complemented by a transparency tool developed at national level based on the "Guidelines for National Transparency Templates".

The Covered Bond Label was created by the EMF/European Covered Bond Council (ECBC) in 2012. It was developed by the European issuer community, working in close cooperation with investors

and regulators, and in consultation with all major stakeholders.

Page 20 of 20

covered bond investor report 20200630|nationwide...28/11/2025 14/03/2011 aaa/aaa/aaa aaa/aaa/aaa eur...

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