Transaction Update: Nationwide Building Society (Residential Mortgage Covered Bond Program)

The cover pool comprises U.K. prime residential loans. The current ratings incorporate two unused notches of uplift, meaning that we would not lower the ratings on the covered bonds if we lowered the ratings on Nationwide Building Society by two notches, 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, which exposes the transaction to price fluctuations in these areas. S&P Global Ratings' stable outlook on Nationwide Building Society's global covered bond program ratings reflects the cushion of two unused notches of collateral-based support that would protect the ratings on the covered

...+ The cover pool comprises U.K. prime residential loans. + The current ratings incorporate two unused notches of uplift, meaning that we would not lower the ratings on the covered bonds if we lowered the ratings on Nationwide Building Society by two notches, 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