Silverstone Master Issuer plc

Transcription

1 Investors (and other appropriate third parties) can register at (Internet Explorer version 5.5 SP1 or higher required) 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 3th November 21. Terms marked with an asterisk (*) are defined in the Glossary on page 2. Reporting Information Outstanding Issuances Silverstone Issuance Issue Date Silverstone Issuance Issue Date Reporting Date 12/4/216 Silverstone Master Issuer PLC A3 3/11/29 Silverstone Master Issuer PLC A 21/1/211 Reporting Period 1/3/216-31/3/216 Silverstone Master Issuer PLC Z 3/11/29 Silverstone Master Issuer PLC Z 21/1/211 Next Payment Date 21/4/216 Silverstone Master Issuer PLC A 21/1/211 Accrual End Date: Notes 21/4/216 Silverstone Master Issuer PLC Z 21/1/211 Accrual Start Date: Notes 21/1/216 Silverstone Master Issuer PLC A1 22/3/212 Accrual Days ( Notes) 91 Silverstone Master Issuer PLC A2 22/3/212 Accrual End Date: Monthly Notes 21/4/216 Silverstone Master Issuer PLC Z1 22/3/212 Accrual Start Date: Monthly Notes 21/3/216 Silverstone Master Issuer PLC Z2 22/3/212 Accrual Days (Monthly Notes) 31 Silverstone Master Issuer PLC A1 19/2/215 Record Date 6/4/216 Silverstone Master Issuer PLC A2 19/2/215 Accrual End Date: Semi-Annual Notes 21/4/216 Silverstone Master Issuer PLC A3 19/2/215 Accrual Start Date: Semi-Annual Notes 21/1/215 Silverstone Master Issuer PLC A1 25/2/216 Accrual Days (Semi-Annual Notes) 183 Silverstone Master Issuer PLC A2 25/2/216 Silverstone Master Issuer PLC A1 25/2/216 Contact Details Investor Relations Contacts Telephone Mailing Address Sarah Gardiner Robin Parker +44 () () nationwide.treasury@nationwide.co.uk AssetBackedFunding@nationwiide.co.uk Nationwide Building Society, Treasury Division, One Threadneedle Street, London, EC2R 8AW, U.K. This report and prior versions are published at EU Risk Retention In Europe, investors should be aware of Article 45 of Regulation (EU) No 575/213 (the CRR ), Article 51 of Regulation (EU) No 231/213 (the AIFM Regulation ) and Article 254 of Regulation (EU) No 215/35 (the Solvency II Regulation and, together with the CRR and the AIFM Regulation, EU Risk Retention Requirements ) (which in each case does not take into account any relevant national measures) which apply to newly issued asset -backed securities after 1 January 211, and to notes issued under securitisations established on or before that date from the beginning of 215 to the extent that new underlying exposures are added or substituted after 31 December 214. The EU Risk Retention Requirements require, amongst other things, an EU -regulated credit institution or investment firm to only invest in asset -backed securities in respect of which the originator, sponsor or original lender of the securitisation has explicitly disclosed to the EU -regulated credit institution or investment firm that it will retain, on an ongoing basis, a material net economic interest of not less than 5 per cent. in respect of certain specified credit risk tranches or asset exposures. If Nationwide Building Society ( Nationwide ) sells one or more new residential mortgage loans and their related security to the mortgages trustee pursuant to the terms of the mortgage sale agreement, the EU Risk Retention Requirements will apply in respect of the notes and Nationwide, in its capacity as originator, (i) on or immediately following the relevant sale date, will retain, on an on-going basis, a material net economic interest of not less than 5 per cent. in the nominal value of the securitised exposures in accordance with the text of the EU Risk Retention Requirements, (ii) will agree not to hedge, sell or otherwise mitigate such risk and (iii) will disclose via an RNS announcement or in an investor report (or is such other manner as the seller may determine) such retained interest and the manner in which it is held. U.S. Credit Risk Retention Nationwide, as seller (the Seller ) (or a majority-owned affiliate of the Seller) is required under Section 15G of the United States Exchange Act of 1934, as amended (the U.S. Credit Risk Retention Requirements ) to acquire and retain an economic interest in the credit risk of the interests created by the issuer on the closing date of each issuance of notes and on a monthly basis on each trust calculation date. The Seller currently satisfies the U.S. Credit Risk Retention Requirements by maintaining a seller share in the master trust in an amount at least equal to 5 per cent. of the aggregate outstanding principal balance of all notes issued by the issuer, other than any notes that are at all times held by the Seller or one or more of its wholly -owned affiliates, calculated in all cases in accordance with U.S. Credit Risk Retention Requirements. Page 1 of 21

2 Mortgage Trust Assets All values are in pounds sterling unless otherwise stated Mortgage Trust Assets Prior Period Current Period Number of mortgage accounts in the pool 158,41 155,93 Mortgage Trust Assets (True Balance*) 12,649,349,981 12,425,784,76 Minimum Trust Size 5,2,, 5,2,, Aggregate Outstanding Balance - Trust Cash and Other Assets 193,48, ,485,52 Funding 1 Share 6,119,437,244 6,119,354,74 Mortgage Collections* 215,774, ,97,822 Funding 1 Share Percentage 48.38% 49.25% Seller Share 6,529,912,737 6,36,429,966 Seller Share Percentage 51.62% 5.75% Minimum Seller Share Value 632,467, ,289,235 Minimum Seller Share (% of total) 5.% 5.% Issuer GIC 135,865, ,242,316 Funding 1 Bank Balance 368,21, ,963,17 Funding 1 Reserve Amount 1,, 1,, Funding 1 Reserve Required Amount 1,, 1,, Pre-Swap Mortgage Yield 2.63% 2.63% Post-Swap Mortgage Yield 2.31% 2.3% Excess Spread Current Month (annualised).46% 1.7% Excess Spread* Rolling Quarter (annualised).85%.85% Excess Spread* Rolling Year (annualised).92%.93% Repurchases & Substitutions* Repurchases current month Repurchases to date Substituted current month Substituted to date* Properties in possession Possessed (To Date)* Sold (Current Month) Sold (To Date) Properties in Possession^ Possessed (Current Month) Property Returned to Borrower* (Current) Property Returned to Borrower (To Date) Number of Mortgage Accounts Number of Mortgage Accounts 61,298 ^7 loans with properties in possession have been repurchased since 3 September ,141 Aggregate Outstanding Balance () 2,49,91 12,584,724,192 Aggregate Outstanding 51,675,414,6 Balance () Arrears () ,149,443 4,27, ,13 51, ,467,816 5,3,66 9 1,227,85 48, ,827 12, ,81 14,277 Net Losses Losses () Losses - current month 17,542 Losses - to date 11,237,857 Arrears* Capitalisation Properties Arrears () Number of cases Arrears Capitalisation - current month 5,343 2 Arrears* Analysis (excl Properties in Possession) No Arrears >=1 and < 2 >=2 and < 3 >=3 and < 6 >=6 and < 9 >=9 and < Months in Arrears Number of Mortgage % of Total Accounts Aggregate Outstanding % of Total Balance Arrears Balance () Accounts Balance () 154,35 99.% 12,283,235, % % 63,347,549.5% 443, % 21,369,672.2% 291, % 27,554,77.2% 659, % 12,81,199.1% 538,45 66.% 6,176,553.% 341, % 1,62,452.1% 977,638 Totals 155,921 1.% 12,424,556,9 1.% 3,253,31 Page 2 of 21

3 Statistics Min Max Seasoning (by value) Months Silverstone Master Issuer plc Remaining term (by value) Months Mortgage Portfolio Breakdown Loan Size Original LTV* (by value) Indexed* LTV (by value) Arrears * Weighted Average , % 46.6% 2, %.% , % 174.6% 58,93 Constant Payment Rates* Current CPR Rate - Total Previous CPR Rate - Total Monthly 1.89% 1.69% Average of last 3 months Monthly rate annualised 18.34% 2.5% 17.35% 18.47% Constant Payment Rate Analysis % of CPR Rate Current % of CPR - Technical* 1.4% Previous % of CPR - Technical 12.52% Current % of CPR - Natural* 98.96% Previous % of CPR - Natural 87.48% Standard Variable Rates* Standard Mortgage Rate, Current Standard Mortgage Rate, Historical Base Mortgage Rate, Current Base Mortgage Rate, Historical NBS Existing Borrower SVR, % With Effect From 3/4/29-1/4/29 1/3/29 Mortgage Collections Revenue Scheduled Principal Unscheduled Principal Total Previous Period 26,149,357 52,658, ,966,16 215,774,313 Current Period 27,897,552 49,924, ,86,83 264,97,822 Funding Share Calculation Term Advances Outstanding Funding Share Previous Period 6,153,449,261 (34,,) Current Period 6,119,449,261 Cash Accumulation Principal Ledger (12,17) (94,521) 6,119,437,244 6,119,354,74 Page 3 of 21

4 Mortgage Portfolio Breakdown Geographical Distribution* Regions Aggregate Outstanding Balance % of Total Balance Number of Mortgage Accounts % of Total Accounts Unknown 23,589.% 2.% East Anglia 472,311, % 6, % East Midlands 962,875, % 13, % London 1,492,39, % 13, % North 492,334, % 7,17 4.6% North West 1,97,419, % 15, % Northern Ireland 432,927, % 6, % Outer Metropolitan 1,844,999, % 18, % Outer South East 1,477,853, % 17, % Scotland 1,23,212, % 15, % South West 1,41,15, % 12, % Wales 423,19,27 3.4% 6, % West Midlands 937,382, % 12, % Yorkshire & Humberside 727,758, % 1, % Totals 12,425,784,76 1.% 155,93 1.% Loan to Value Ratios at Origination* Range of LTV ratios at origination Aggregate Outstanding Balance % of Total Balance Number of Mortgage Accounts % of Total Accounts <=.%.%.%.% <- 25.% 27,797, % 8, % 25.% <- 5.% 1,749,64, % 32, % 5.% <- 75.% 4,611,5, % 54, % 75.% <- 8.% 1,2,57,66 8.7% 1, % 8.% <- 85.% 1,683,27, % 15, % 85.% <- 9.% 1,87,42, % 17, % 9.% <- 95.% 1,31,25, % 16, % 95.% <- 1.%.%.% > 1.%.%.% Totals 12,425,784,76 1.% 155,93 1.% Page 4 of 21

5 Mortgage Portfolio Breakdown Indexed* Loan to Value ratios Range of LTV ratios Aggregate Outstanding Balance % of Total Balance Number of Mortgage Accounts % of Total Accounts < 25.% 2,112,392, % 57, % 25.% % 4,848,714, % 51, % 5.% % 4,36,857, % 37, % 75.% % 451,582, % 3, % 8.% % 289,96, % 2, % 85.% % 163,578, % 1,362.87% 9.% % 83,89,673.68% % 95.% % 24,234,146.2% 18.12% 97.% % 29,114,769.23% % > 99.99% 61,458,364.49% % Totals 12,425,784,76 1.% 155,93 1.% Page 5 of 21

6 Mortgage Portfolio Breakdown Outstanding True Balances Range of outstanding balances Aggregate Outstanding Balance % of Total Balance Number of Mortgage Accounts % of Total Accounts < 25,. 342,596, % 26, % 25,. - 49, ,16,56, % 29, % 5,. - 74, ,836,13, % 29, % 75,. - 99, ,18,11, % 25, % 1, , ,945,24, % 17, % 125, , ,472,455, % 1, % 15, , ,42,932, % 6, % 175, , ,579, % 3, % 2, , ,817, % 2, % 225, , ,576, % 1,348.86% 25, , ,353, % 1,43.92% 3, , ,632, % % 35, , ,487, % 44.26% 4, , ,984,758.65% % 45, , ,692,813.54% 141.9% 5, , ,93,973.2% 48.3% 55, , ,986,698.1% 21.1% 6, , ,94,66.8% 16.1% 65, , ,484,218.6% 11.1% 7, , ,79,125.4% 7.% > 749, ,337,995.3% 5.% Totals 12,425,784,76 1.% 155,93 1.% Page 6 of 21

7 Mortgage Portfolio Breakdown Seasoning of Loans Age of loans in months Aggregate Outstanding Balance % of Total Balance Number of Mortgage Accounts % of Total Accounts < 6.%.% 6 -< 12.%.% 12 -< 18.%.% 18 -< 24 2,441,767.2% 22.1% 24 -< 3 72,693,61.59% % 3 -< 36 77,88,257.63% % 36 -< 42 89,65,83.72% % 42 -< ,589, % 1,566 1.% 48 -< 54 76,582,473.62% 72.46% 54 -< 6 14,557,887.84% 943.6% 6 -< ,819,917.94% 1,84.7% 66 -< 72 2,631, % 1, % >= 72 11,511,53, % 147, % Totals 12,425,784,76 1.% 155,93 1.% Years to Maturity of Loans Years to maturity Aggregate Outstanding Balance % of Total Balance Number of Mortgage Accounts % of Total Accounts < 5 63,779, % 19, % 5 -< 1 1,857,735, % 35, % 1 -< 15 3,398,425, % 41, % 15 -< 2 3,785,167, % 35, % 2 -< 25 1,63,554, % 14, % 25 -< 3 787,68, % 6, % 3 -< ,93, % 2, % >= 35 1,583,33.9% 77.5% Totals 12,425,784,76 1.% 155,93 1.% Product Groups* Type of rate Aggregate Outstanding Balance % of Total Balance Number of Loans % of Total Loans Fixed 873,45, % 12, % Tracker 745,47,812 6.% 16, % Variable 1,87,331, % 187, % Totals 12,425,784,76 1.% 216,81 1.% Page 7 of 21

8 Mortgage Portfolio Breakdown Repayment Terms* Repayment Terms Aggregate Outstanding Balance % of Total Balance Number of Loans % of Total Loans Combination 1,272,152, % 15,166 7.% Interest Only 2,473,636, % 27, % Repayment 8,679,996, % 174, % Totals 12,425,784,76 1.% 216,81 1.% Payment Frequency Payment Frequency Aggregate Outstanding Balance % of Total Balance Number of Mortgage Accounts % of Total Accounts Monthly 12,425,784,76 1.% 155,93 1.% Totals 12,425,784,76 1.% 155,93 1.% Page 8 of 21

9 Credit Enhancement Summary Combined Credit Enhancement Summary Class GBP Equivalent (at swap rates if applicable) A B M C D NR / Z Note * 4,484,888,261 1,634,561, % of Total Current Note Subordination Reserve Fund Balance as % of Notes 73.29% 26.71% 26.71%.% 1.63%.% Current Subordination plus Reserve Fund Balance 28.35%.% Principal Deficiency Ledgers Page 9 of 21

10 Issuance Structure Notes In Issue 29-1 A Z A Z A Z A1 Note In Issue 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 Pool factor Previous Pool factor Legal Final Maturity Date ISIN ISIN Stock Exchange Listing 3/11/29 GBP GBP 65,, 1. GBP 65,, GBP 65,, GBP 65,, /1/255 XS London 3/11/29 Not Rated Not Rated GBP GBP 1,482,2, 1. GBP 1,482,2, GBP 1,482,2, GBP 1,482,2, /1/255 NR2 Unlisted 21/1/211 GBP GBP 17,, 1. GBP 17,, GBP 136,, GBP 17,, /1/255 XS XS London 21/1/211 Not Rated Not Rated GBP GBP 14,372, 1. GBP 14,372, GBP 14,372, GBP 14,372, /1/255 NR5 Unlisted 21/1/211 USD USD 5,, GBP 32,, USD 5,, USD 5,, /1/255 XS US82846GAE8 London 21/1/211 Not Rated Not Rated GBP GBP 27,53, 1. GBP 27,53, GBP 27,53, GBP 27,53, /1/255 NR9 Unlisted 22/3/212 USD USD 1,5,, GBP 666,666,667 USD 1,5,, USD 1,5,, /1/255 XS US82846GAH39 London 29-1 A Z A Z A Z A1 Interest Payment Frequency Semi-Annually Interest Payments Coupon Reference Rate Relevant Margin Current Period Coupon Reference Fixed.. GBP 3M LIBOR GBP 3M LIBOR GBP 3M LIBOR Fixed.. GBP 3M LIBOR USD 3M LIBOR Current Period Coupon Current Period Coupon Amount 5.63 GBP 16,454, GBP 7,725, GBP 949, GBP 74, USD 5,187, GBP 141, USD 6,36,38 Current Interest Shortfall Cumulative Interest Shortfall GBP GBP GBP GBP GBP GBP GBP GBP USD USD GBP GBP USD USD 29-1 A Z A Z A Z A1 Principal Payments Bond Structure Current Period Scheduled Principal Actual Principal Paid Principal Shortfall Cumulative Principal Shortfall Expected Principal Payment Date* Soft bullet GBP GBP GBP GBP 21/1/216 Pass Through GBP GBP GBP GBP 21/1/217 Scheduled Amort GBP 34,, GBP 34,, GBP GBP 21/1/216 Pass Through GBP GBP GBP GBP 21/1/216 Scheduled Amort USD USD USD USD 21/1/22 Pass Through GBP GBP GBP GBP 21/1/22 Scheduled Amort USD USD USD USD 21/7/217 Cash Accumulation Opening Balance Amounts Accumulated This Period Payments of Notes Closing Balance Target Balance 34,, 34,, Page 1 (1) of 21

11 Issuance Structure A Z Z A A A A1 Note In Issue 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 Pool factor Previous Pool factor Legal Final Maturity Date ISIN ISIN Stock Exchange Listing 22/3/212 GBP GBP 2,, 1. GBP 2,, GBP 2,, GBP 2,, /1/255 XS XS London 22/3/212 Not Rated Not Rated GBP GBP 85,335, 1. GBP 85,335, GBP 85,335, GBP 85,335, /1/255 NR11 Unlisted 22/3/212 Not Rated Not Rated GBP GBP 25,61, 1. GBP 25,61, GBP 25,61, GBP 25,61, /1/255 NR12 Unlisted 19/2/215 GBP GBP 65,, 1. GBP 65,, GBP 65,, GBP 65,, /1/27 XS XS London 19/2/215 EUR EUR 75,, GBP 555,25, EUR 75,, EUR 75,, /1/27 XS XS London 19/2/215 USD USD 5,, 1.54 GBP 324,675,325 USD 5,, USD 5,, /1/27 XS US82846GAP54 London 25/2/216 USD USD 275,, GBP 191,771,269 USD 275,, USD 275,, /1/27 XS US82846GAR11 London A Z Z A A A A1 Interest Payment Frequency Interest Payments Coupon Reference Rate Relevant Margin Current Period Coupon Reference GBP 3M LIBOR GBP 3M LIBOR GBP 3M LIBOR GBP 3M LIBOR EURIBOR 3M USD 3M LIBOR USD 3M LIBOR Current Period Coupon Current Period Coupon Amount GBP 1,92, GBP 444, GBP 133, GBP 1,556, EUR 335, USD 1,484, USD 537,68 Current Interest Shortfall Cumulative Interest Shortfall GBP GBP GBP GBP GBP GBP GBP GBP EUR EUR USD USD USD USD A Z Z A A A A1 Principal Payments Bond Structure Current Period Scheduled Principal Actual Principal Paid Principal Shortfall Cumulative Principal Shortfall Expected Principal Payment Date* Scheduled Amort GBP GBP GBP GBP 21/7/217 Pass Through GBP GBP GBP GBP 21/7/217 Pass Through GBP GBP GBP GBP 21/7/217 Scheduled Amort GBP GBP GBP GBP 21/7/218 Scheduled Amort EUR EUR EUR EUR 21/7/22 Scheduled Amort USD USD USD USD 21/7/22 Scheduled Amort USD USD USD USD 21/4/219 Page 1 (2) of 21

12 Issuance Structure A A1 Note In Issue 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 Pool factor Previous Pool factor Legal Final Maturity Date ISIN ISIN Stock Exchange Listing 25/2/216 GBP GBP 25,, 1. GBP 25,, GBP 25,, GBP 25,, /1/27 XS XS London 25/2/216 EUR EUR 7,, GBP 54,75, EUR 7,, EUR 7,, /1/27 XS XS London A A1 Interest Payment Frequency Interest Payments Coupon Reference Rate Relevant Margin Current Period Coupon Reference GBP 3M LIBOR EURIBOR 3M Current Period Coupon Current Period Coupon Amount GBP 458, EUR 233,3 Current Interest Shortfall Cumulative Interest Shortfall GBP GBP EUR EUR A A1 Principal Payments Bond Structure Current Period Scheduled Principal Actual Principal Paid Principal Shortfall Cumulative Principal Shortfall Expected Principal Payment Date* Scheduled Amort GBP GBP GBP GBP 21/4/219 Scheduled Amort EUR EUR EUR EUR 21/4/221 Page 1 (3) of 21

13 Issuance Structure Event Summary Page in The Documentation Breached Consequence if Trigger Breached Asset Trigger Event Non-Asset Trigger Event An asset trigger event will occur when any amount is debited to the AAA principal deficiency sub -ledger of Funding 1 (or the corresponding sub-ledger of any further funding company, as the case may be). A non-asset trigger event will occur if (a) an insolvency event occurs in relation to the seller, (b) Nationwide ceases to be the servicer or fails to delegate to a new third party servicer within 6 days, (c) the seller share of the trust property is equal to or less than the minimum seller share on two consecutive trust calculation dates or (d) on any two consecutive trust calculation dates (i) the aggregate true balance of loans comprising the trust property is less than the minimum trust size (if any) as specified in the most recent final terms or (ii) the aggregate true balance of loans comprising the trust property at that date which mature no later than 2 January 253 is not equal to or greater than the product of 1) 1 plus the minimum seller share expressed as a percentage of the aggregate outstanding principal balance of the loans and 2) the aggregate principal amount outstanding of the notes with a final maturity date of 21 January 255. P. 142 Base Prospectus No A Pass-through Trigger Event occurs (see P.418 Base Prospectus) P. 14 Base Prospectus No A Pass-through Trigger Event occurs (see P.418 Base Prospectus) Minimum Trust Size See P. 2 of this Report The most recent Final Terms No A Non-Asset Trigger Event occurs Step-Up Trigger Event A step-up trigger event occurs if the issuer fails to exercise its option to redeem any of its notes on the relevant step-up date pursuant to the terms and conditions of such notes. P. 274 Base Prospectus No The Funding 1 Reserve Required Amount is augmented in accordance with the most recent Final Terms Minimum Seller Share See P. 2 of this Report P. 23 Base Prospectus No A Non-Asset Trigger Event occurs Arrears Trigger Event An arrears trigger event occurs when the aggregate true balance of the loans in the mortgages trust in arrears for more than 3 times the monthly payments then due divided by the aggregate true balance of all the loans in the mortgages trust (expressed as a percentage) exceeds 3%. See P. 2 of this Report P. 274 Base Prospectus No The Funding 1 Reserve Required Amount is augmented in accordance with the most recent Final Terms (P. 15) Page 11 of 21

14 Issuance Structure Event Summary Page in The Documentation Breached Consequence if Trigger Breached The Fitch Conditions (i) the original weighted average LTV on the last relevant sale date of the Loans in the Trust Property, was not more than the weighted average original LTV as at the most recent closing date plus the "original weighted average LTV margin", as specified in the applicable final terms (ii) the current weighted average LTV on the last relevant sale date was not more than the weighted average current LTV as at the most recent closing date plus the "current weighted average LTV margin", as specified in the applicable final terms P. 169 Base Prospectus No (iii) the weighted average income multiple on the relevant sale date was not more than the "current weighted average income multiple threshold'", as specified in the applicable final terms Conditions for sale of loans (iv) the proportion of loans with an original LTV higher than 8% on the last relevant sale date was not more than the proportion of loans with an original LTV higher than 8% at the most recent closing date plus the "original LTV margin", as specified in the applicable final terms On the relevant sale date certain conditions were satisfied as follows: (a) no event of default under the transaction documents had occurred which was continuing as at the relevant sale date (b) the principal deficiency ledger did not have a debit balance as at the most recent Funding 1 payment date after applying all Funding 1 available revenue receipts on that Funding 1 payment date. (c) S&P had not provided written confirmation that such sale of loans would adversely affect the then current ratings of the then outstanding rated notes and advance notice in writing of such sale of loans was provided to Moody's and Fitch and there was no reduction, qualification or withdrawal by Moody's or Fitch of the then current ratings of the rated notes as a consequence thereof (d) the aggregate true balance of the loans that are in arrears by more than 3 times the monthly payments then due divided by the aggregate true balance of all the loans in the mortgage trust was less than 5% (e) except where a funding company makes an initial contribution to the mortgages trustee, the proceeds of which will be applied by the mortgages trustee to purchase loans, the aggregate true balance of loans transferred in any three consecutive Funding 1 interest periods must not exceed 15% of the aggregate true balance of loans (excluding accrued interest and amounts in arrears) in the trust property as at the beginning of that Funding 1 interest period; (f) the product of the weighted average foreclosure frequency ( WAFF) and weighted average loss severity (WALS) for the loans calculated in accordance with the S&P methodology did not exceed the product of the WAFF and WALS for the loans constituting the trust property calculated on the most recent previous closing date, plus.25% (g) the yield of the loans in the trust property together with the loans sold was at least the minimum yield specified in the applicable final terms, after taking into account the weighted average yield on the loans in the portfolio and the margins of the Funding 1 swap (h) the assignment of loans did not result in the Moody's portfolio variation ("MPV") test exceeding the most recently determined MPV test value as at the most recent date on which Moody's performed a full pool analysis on the portfolio (not to be less frequent than annually) plus.3%; (see P.14 of this report) (i) the step-up date in respect of any class of notes had not been reached on or before which the issuer had not exercised its option to redeem the relevant class of notes (j) the general reserve fund was fully funded up to the Funding 1 reserve required amount (k) the sale of loans did not include the sale of new loan types (l) each loan and its related security complied in all material respects with the representations and warranties set out in the mortgage sale agreement (P Base Prospectus) (m) the Funding 1 swap agreement has been modified if and as required to hedge against the interest rates payable in respect of such loans and the floating rate of interest payable on the term advances or the relevant debt obligations of each further funding company (n) no trigger event has occurred on or before the relevant sale date; and (o) the sale assignment of loans to the mortgages trust will not result in a breach of any of the Fitch conditions(q) the sale of loans did not result in a breach of any of the Fitch Conditions P. 167 Base Prospectus No No loans can be sold on the relevant sale date Page 12 of 21

15 Parties & Swaps Parties Ratings (if applicable) S&P(S), Moody's (M), Fitch (F) (Short Term, Long Term) Function Silverstone Master Issuer PLC Issuer Nationwide Building Society Silverstone Finance Trustee Limited A-1 and A, P-1 and A1, F1 and A Seller, Start-up Loan Provider, Servicer, Cash Manager, Issuer Cash Manager, Funding 1 Swap Provider, Issuer Account Bank, Funding 1 Account Bank, Mortgages Trustee Account Bank, Issuer Swap Provider Mortgages Trustee Silverstone Funding (No. 1) Limited Citicorp Trustee Company Limited Funding 1 Note Trustee, Issuer Security Trustee, Funding 1 Security Trustee Citibank, N.A. Euroclear & Clearstream (Luxembourg) A-1 and A, P-1 and A1, F1 and A+ Agent Bank, Principle Paying Agent, Registrar, Transfer Agent, Exchange Rate Agent, U.S. Paying Agent, Common Depository 1 Common Depository 2 Silverstone PECOH Limited Post-enforcement Call Option Holder Silverstone Securitisation Holding Limited Wilmington Trust SP Services (London) Limited Holdings UK Share Trustee, Funding 1 Corporate Services Provider, Issuer Corporate Services Provider, Holding Corporate Services Agreement, Post-Enforcement Call Option Holder Corporate Services Provider Wilmington Trust SP Services (London) Limited UK Corporate Services Providers Structured Finance Management Limited Mortgages Trustee Corporate Services Provider, Share Trustee Ratings Triggers Party Required Ratings S, M, F (Short Term, Long Term) Consequence if Trigger Breached Uncollateralised Bank and GIC Account Cash Holdings Collateralised Bank and GIC Account Cash Holdings (Mortgages Trust level only) Nationwide Building Society Nationwide Building Society A-1 and A (or A+ if not A-1), P-1 and A2, F1 and A A-1 and A (or A+ if not A-1), A3, F1 and A Transfer within 3 days to, or obtain a guarantee from, an alternative financial institution which has the requisite ratings unless S&P, Moody's or Fitch as appropriate confirms that the then current ratings will not be downgraded, withdrawn or qualified. (Page 127, and Page 237 Base Prospectus) The Mortgages Trustee to open a bank account (the Standby Mortgages Trustee GIC Account) with a sufficiently rated account bank following Nationwide's downgrade below the Mortgages Trustee Account Bank Required Ratings (Page 126 and Page Base Prospectus) Collateralised Bank and GIC Account Cash Holdings (Mortgages Trust level only) Nationwide Building Society BBB- (Fitch) Funding 1 will transfer funds from the from the collateralised into the uncollateralised Funding 1 bank account. The Mortgages Trust will transfer funds from the collateralised account bank into the Standby account bank which is not collateralised but would be subject to required ratings as follows: A-1 and A (or A+ if not A-1), A3, F1 and A (Page 126 and Page Base Prospectus). Issuer & Funding 1 Swap (Fixed Rate Loans) Providers - Post collateral Nationwide Building Society A-1 and A (or A+ if not A-1), P-1 and A2, F1 and A Post collateral (see summary table below.) (Page 128 Base Prospectus for the Funding 1 Swap provider, Page 134 for the Issuer Swap Provider and Page ) Issuer & Funding 1 Swap (Fixed Rate Loans) Providers - Post collateral Nationwide Building Society and BBB+, P-2 and A3, F3 and BBB- Put in place a Guarantor or replacement swap with an appropriately rated counterparty. (Page 128 Base Prospectus for the Funding 1 Swap provider, Page 134 for the Issuer Swap Provider and Page ) Servicing Nationwide Building Society and BBB-, and Baa3, and BBB-- The Servicer will use reasonable endeavours to appoint a back-up servicer satisfactory to the Mortgages Trustee, the Beneficiaries and the Funding 1 Security Trustee within 6 days of the Servicer ceasing to be assigned a long-term unsecured, unguaranteed and unsubordinated debt obligation rating by Moody's of at least Baa3 or by S&P of at least BBB- or ceasing to be assigned a long-term "Issuer Default Rating" by Fitch of at least BBB-. In that event, Nationwide would continue to act as Servicer until the occurrence of a Servicer Termination Event when the back-up servicer would assume the role of Servicer. Page 13 of 21

16 Parties & Swaps Moody's Portfolio Variation Test Date Portfolio MPV Maximum (Provided by Moodys) 3/4/ % 3.38% 31/5/ % 3.38% Swaps Notional Receive reference rate Receive margin Receive rate Received Pay reference rate Pay margin Pay rate Paid Collateral Postings 29-1 A3 Fixed-Floating Interest-Rate Swap GBP 65,, FIXED.% 5.63% GBP 16,454,75 3 Month GBP LIBOR 1.45% 2.463% GBP 6,633, A Cross-Currency Swap GBP 32,, / USD 5,, FIXED.% 4.15% USD 5,187,5 3 Month GBP LIBOR 1.8% % GBP 1,97, A1 Cross-Currency Swap GBP 666,666,667 / USD 1,5,, 3 Month USD LIBOR 1.65% % USD 6,36,38 3 Month GBP LIBOR 1.65% % GBP 3,724, A2 Cross-Currency Swap GBP 555,25, / EUR 75,, 3 Month EURIBOR.32%.177% EUR 335,55 3 Month GBP LIBOR.5774% % GBP 1,616, A3 Cross-Currency Swap GBP 324,675,325 / USD 5,, 3 Month USD LIBOR.55% % USD 1,484,2 3 Month GBP LIBOR.468% % GBP 856, A1 Cross-Currency Swap GBP 191,771,269 / USD 275,, 3 Month USD LIBOR.75% % USD 537,68 3 Month GBP LIBOR.642% % GBP 537, A1 Cross-Currency Swap GBP 54,75, / EUR 7,, 3 Month EURIBOR.45%.249% EUR 233,3 3 Month GBP LIBOR.8625%.249% GBP 233,3 FUNDING 1 SWAP BMR GBP 4,988,552,939 3 Month GBP LIBOR 1.6% % GBP 9,281,377 Mortgage Basis 2.% 2.5% GBP 1,592,133 FUNDING 1 SWAP FIXED GBP 49,41,82 3 Month GBP LIBOR 1.3% % GBP 657,47 Mortgage Basis.% % GBP 918,231 FUNDING 1 SWAP SMR GBP 358,19,255 3 Month GBP LIBOR 3.% % GBP 1,92,328 Mortgage Basis 3.49% 3.99% GBP 1,213,823 Nationwide Building Society is the counterparty for all swaps Page 14 of 21

17 Waterfall NOTE Mortgages Trust available revenue receipts and Mortgages Trust available principal receipts are allocated in accordance with the Cashflows section of the Base Prospectus to enable the payments on the Notes to be made on the relevant dates, subject to there being sufficient available revenue and principal receipts. The headings used below in the waterfalls are a summary of the full legal terms which can be found in the Base Prospectus. Trust Calculation Period Start Date Trust Calculation Period End Date Current Trust Calculation Date 1/3/216 31/3/216 12/4/216 Mortgages Trust Available Revenue Funds Mortgage revenue receipts 27,897,552 Other net income of Mortgages Trust including all amounts of interest received on the Mortgages Trust bank accounts 76,458 Seller contribution received Other 27,974,1 Mortgages Trust Allocation of Revenue Funds Amounts paid to third party creditors (other than those refered to elsewhere in this priority of payments) Amounts paid to the Servicer under the provisions of the Servicing Agreement Allocation to Funding Allocation to the Seller 527,67 13,277,85 14,168,49 27,974,1 Mortgage Trust Available Principal Morgage Principal Collections Repurchased Loans Other 237,1,27 2,49,91 239,51,18 Mortgage Trust Principal Allocation Funding Principal Allocation Seller Principal Allocation Total 239,51,18 239,51,18 Page 15 of 21

18 Waterfall NOTE Funding 1 available revenue receipts and Funding 1 available principal receipts are allocated in accordance with the Cashflows section of the Base Prospectus to enable the payments on the Notes to be made on the relevant dates, subject to there being sufficient available revenue and principal receipts. The headings used below in the waterfalls are a summary of the full legal terms which can be found in the Base Prospectus. Current IPD Monthly Notes Previous IPD Monthly Notes Next IPD Monthly Notes Next IPD Notes Previous IPD Notes Distribution Date date 21/4/216 21/3/216 21/4/216 21/4/216 21/1/216 21/4/216 21/4/216 Funding 1 Available Revenue Funds Mortgage trust available revenue receipts distributed to Funding 1 during the current interest period; 13,277,85 Other net income of Funding 1, including all amounts of interest received on the Funding 1 bank accounts 42,651 Amounts received by Funding 1 on the relevant Funding 1 payment date under the Funding 1 swap agreement 11,31,114 Amounts withdrawn from the General Reserve Ledger Other 24,351,615 Funding 1 Allocation of Revenue Funds Amounts due to the issuer as part of the facility fee payable pursuant to the intercompany loan agreement Amounts paid to third party creditors of Funding 1 (other than those referred to elsewhere in this priority of payments) Payments to the Funding 1 swap provider under the Funding 1 swap agreement For each non-monthly term AAA advance where interest not payable on payment date towards credit to the revenue ledger For each non-monthly term AAA advance where interest is payable on payment date an amount equal to excess over revenue ledger deposit A credit to the General Reserve Ledger to the extent the amount standing to the credit thereof is less than the Funding 1 reserve required amount A credit to the NR principal deficiency sub-ledger in an amount sufficient to eliminate any debit on that ledger For each non-monthly term NR advance where interest not payable on payment date towards credit to the revenue ledger For each non-monthly term NR advance where interest is payable on payment date an amount equal to excess over revenue ledger deposit Other amounts payable to Issuer under the terms of the intercompany loan agreement Annual profit of Funding 1 Payment of amounts due to the start-up loan providers under the start-up loan agreements Other Deferred contribution to the seller (excess revenue) Due to Issuer Expenses 597,566 Funding 1 3rd Parties Swap Provider (NBS) 12,724,188 Non-Monthly Ledgers Issuer 5,617,893 General Reserve Ledger NR PDL 82,54 Non-Monthly Ledgers Issuer 3,332,771 Issuer 1,53 Funding 1 Start-Up Loan Other Seller 1,995,164 24,351,615 Page 16 of 21

19 Class_A Maximum Debit Balance Opening Balance Debit resulting from Loan Losses Debit resulting from Revenue Principal Reallocation Credit Ending Balance Principal Deficiency Ledger and General Reserve 4,518,888,261 Class_Z Maximum Debit Balance Opening Balance Debit resulting from Loan Losses Debit resulting from Revenue Principal Reallocation Credit Ending Balance 1,634,561, 82,54 (82,54) General Reserve Opening Balance Deposit from term advance Deposit from revenue waterfall Deposit from principal receipts Withdrawal for principal payments 1,, Required balance surplus Ending Balance 1,, Page 17 of 21

20 Issuer Waterfall Issuer Revenue Available Funds and Distribution Issuer Revenue Receipts brought forward from prior period Interest amounts paid to the issuer by Funding 1 on the Funding 1 payment date immediately following such issuer calculation date in respect of the term advances under the intercompany loan agreement (including revenue ledger releases) 28,85, ,96 Fees to be paid to the issuer by Funding 1 on the Funding 1 payment date under the terms of the intercompany loan agreement Interest payable on the issuer's bank accounts Other net income of the issuer including amounts received under the issuer swap agreements Other 29 25,374,424 54,59,33 Distribution of Issuer Revenue Receipts Amounts due to any third party creditors of the issuer (other than those referred to elsewhere in this priority of waterfall) Amounts due to the relevant issuer swap providers in accordance with the terms of the relevant issuer swap agreement Interest due on the related series and class (or sub-class) of Class A notes on such monthly payment date Interest due on the related series and class (or sub-class) of Class NR notes on such monthly payment date Annual profit of Issuer Other Due to Issuer 3rd Parties Class A Issuer IRS Class A Interest Class NR Interest Issuer Other 597,595 15,59,158 29,431,373 8,519,674 1,53 Balance to be applied next issuer payment date as issuer revenue receipts Issuer 54,59,33 Mortgage Trust Losses Funding 1 Loss Allocation Seller Loss Allocation 82,54 88,38 Page 18 of 21

21 Funding 1 Available Principal Funds Funding 1 principal amounts brought forward from prior period; Mortgage trust available principal receipts distributed to Funding 1 during the current interest period; All other Funding 1 principal receipts standing to the credit of the cash accumulation ledger to be applied on the Funding 1 Payment for repayment of term advances; The amount, if any, to be credited to the NR Principal Deficiency Sub-Ledger Amounts withdrawn from the General Reserve Ledger Principal Waterfalls 12,17 34,, 82,54 34,94,521 Funding 1 Allocation of Principal Receipts Towards a credit to the General Reserve for monies drawn to make Funding 1 Reserve principal payments in a prior period Repay the principal amounts due (if any) on such Funding 1 payment date on the term AAA advances 34,, Repay the principal amounts due (if any) on such Funding 1 payment date on the term NR advances Towards a credit to the cash accumulation ledger until the balance is equal to Funding 1's cash accumulation liability Other Remainder to be credited to the Funding 1 Principal Ledger 94,521 34,94,521 Issuer Available Principal Funds An amount equal to all principal amounts paid or to be paid by Funding 1 in respect of term advances Issuer Allocation of Principal Receipts Repay the principal amounts due (if any) on such Funding 1 payment date to the relevant issuer swap providers in respect of class A notes Amounts due and payable in respect of principal (if any) on such monthly payment date on the related series of class A notes Amounts due and payable in respect of principal (if any) on such monthly payment date on the related series of class Z notes 34,, 34,, 34,, 34,, Page 19 of 21

22 Glossary GLOSSARY Data reported as "to date" throughout this report refers to the period since inception of Silverstone Finance Trustee Limited in October 28 All defined terms used in this investor report have the meanings given to them in the glossary set out in the Base Prospectus unless otherwise defined herein Arrears Arrears - weighted average Constant Payment Rates Constant Payment Rates (CPR) - Natural Constant Payment Rates (CPR) - Technical Excess spread Expected Principal Payment Dates Geographical Distribution Indexed Loan to Value ratios at origination Mortgage Account Mortgage Collections NR PDL NR / Z notes Product groups Properties in Possession - Possessed Properties in Possession - Property Returned to Borrower Repayment Terms Standard Variable Rates Substitutions True Balance 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 /full month's contractual payment. 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. Accounts not in arrears are excluded from the weighted average table on page 3. The total CPR reported on a monthly/3 month average and annualised basis being the aggregated value of Natural and Technical CPR. Natural CPRs reported reflect the aggregate of scheduled and unscheduled repayments of principal. Technical CPRs reported reflect loans repurchased from the trust Calculated and reported on each interest payment date as all payments lower in priority than any credit to the Class Z PDL, divided by the Funding 1 share. The date when notes are expected to become due and payable. 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. Indexation is applied quarterly on a regional basis to property valuations each January, April, July, October. LTV at origination excludes any fees added at the time of origination. 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. The aggregate amount of scheduled and unscheduled principal and interest collected during the reporting period. The Principal Deficiency Ledger for the term advances corresponding to the Class Z notes. A debit balance on the NR PDL will be eliminated to the extent there are excess revenue receipts available during the period. Any uncured debit balance on the notes appears on page 17. NR / Z notes are unrated notes which are not publicly issued, listed or traded and are held by Nationwide as Seller. The Class Z notes (and corresponding NR term advance) are subordinated to the General Reserve Fund and have been established to provide credit and, given their subordination, yield enhancement to the programme. The Base Prospectus provides that the General Reserve Fund shall not be available to meet any deficit of interest on NR term advances or meet any deficit caused by a debit balance on the NR PDL except on the final Funding 1 payment date. Product groups are reported at an individual loan level (please refer to the definition of ' Mortgage Account' above). Balances and arrears for this entry are taken as of the possession date. Balances and arrears for this entry are taken as of the date the property is returned. 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 2 basis points. The Standard Mortgage Rate is not subject to a cap. Prior to 31 December 212 substituted loans included Further Advances granted 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 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. Page 2 of 21

23 Disclaimer PCS Disclosure All the notes have been awarded a quality label by the Prime Collateralised Securities initiative (PCS). For further information on PCS and the label see <applewebdata://478bd99c b69-9e4c-11689c971dd/ As a condition of being awarded the label, Nationwide has agreed to make the following disclosures. In relation to the representations warranties and undertakings required pursuant to item 5(h)(i), of the PCS Rulebook please refer to the Originator s Certificate and/or Mortgage Sale Agreement. The information and documents required by PCS Eligibility Criteria 3(b)(vii)(A) and disclosed in "General Information - Availability of Documents", paragraphs (a) - (d), page of the Prospectus, shall be made available until the date the last Security is redeemed in full. The transaction documents are also available at Loan level data relating to the pool is also available at the above-mentioned website and is updated monthly. Such information will remain available until the date the last Security is redeemed in full. At the date of the last issuance, a cash flow model for the transaction was made available on the third-party, proprietary services offered by Intex, ABSexchange and ABSnet. Nationwide has not endorsed and does not accept any responsibility for such third-party models. The liability only cash flow model required by the Bank of England Market Notice dated 3 November 21 is available via the Nationwide website: At least one such cash flow model will remain available until the date the last Security is redeemed in full. DISCLAIMER: This document has been prepared by Nationwide Building Society in its capacity as Cash Manager. 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 23/71/EC and/or Part VI of the Final Services and Markets Act 2 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. 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. 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 1% due to rounding. This document is also available for downloading from in Excel format. In the event of any differences in the data between the Excel and PDF formats of the report, the PDF report should always be assumed to be correct. Whilst every attempt is made to keep the format and content of the Excel report the same each month Nationwide Building Society cannot be held responsible for any changes and the implications it may have for any third parties own spreadsheet links and macros. Page 21 of 21