Transaction Update: Nationwide Building Society

The cover pool comprises U.K. prime residential loans. The current ratings incorporate an unused notch of uplift, meaning we would not lower the ratings on the covered bonds if we lowered the ratings on Nationwide by one notch, all else being equal. The issuer has committed to maintain a level of credit enhancement in the cover pool commensurate with the current rating. The cover pool displays a high concentration in London and South East England, meaning that the transaction is exposed to price fluctuations in these areas. S&P Global Ratings' stable outlook on Nationwide Building Society's global covered bond program ratings reflects the fact that we would not lower them if we were to downgrade Nationwide (A/Positive/A-1) by one notch,

...+ The cover pool comprises U.K. prime residential loans. + The current ratings incorporate an unused notch of uplift, meaning we would not lower the ratings on the covered bonds if we lowered the ratings on Nationwide by one notch, all else being equal. + The issuer has committed to maintain a level of credit enhancement in the cover pool commensurate with the current rating....

Transaction Update Report