Nationwide Building Society has restructured the swaps underlying its covered bond programme to ensure a proportionate share of the cover pool's mortgage interest will be swapped to Sonia, winning approval from Moody's this week.
Nationwide Building Society restructured the asset swaps in its mortgage covered bond programme on July 15.
Now the swaps convert mortgage interest into separate Libor-linked and Sonia-linked cashflows, in proportion with the liabilities. Previously the programme's asset swaps had paid in Libor only.
In a note published on