...Detailed Cover Pool Data by Programme: `AAA' with Large Cushions: The six programmes have cushion in the range of three to five notches against a downgrade of their issuers' Long-Term Issuer Default Rating (IDR). Each programme benefits from a two-notch IDR uplift, a six-notch Payment Continuity Uplift (PCU) and one notch Recovery Uplift (RU). Breakeven AP Driven by Maturity Mismatch...: The `AAA' breakeven (BE) OC are primarily driven by the asset disposal loss, except for Nationwide. This is due to large asset-liability maturity mismatches, creating the need to sell assets post-enforcement of the guarantee. It is also driven by a sales constraint which limits the amount of mortgages selected for sale to the proportion of the covered bonds redemption. Nationwide has a well-matched asset-liability profile and supplemental liquidity reserve, which mitigates the sales constraint. ...and Constrained by Structural Features: The breakeven Asset Percentage (AP) for Barclays and Santander UK are...
