Common use of Stress Testing Clause in Contracts

Stress Testing. Regulation 17(2)(d) − The asset pool is of sufficient quality to give investors’ confidence that in the event of the failure of the Issuer there will be a low risk of default in the timely payment by the owner of claims attaching to the bond We are informed by the Issuer that they monitor their compliance with this standard through: • Ensuring the eligibility criteria are met prior to adding loans to the Asset Pool; • Regulated Covered Bond Forum, the last meeting was held on [date], where the results of the following tests are reviewed: ▪ Asset Capability Model (“ACM”), the RCBC ACM is completed and the results presented on a monthly basis; ▪ Interest Coverage Test (“ICT”), in the context of both the Regulatory Available Capacity per Regulation 17 and on a stressed basis for the Internal Available Capacity which excludes any hedging agreements in relation to the asset pool and the Covered Bonds; ▪ Over collateralisation (“OC”), per Regulation 17 and on a stressed basis per the Santander UK Covered Bond Programme Over−Collateralisation Policy which applies an amortisation speed of the Cover Pool at a rate equivalent to the average of the last three months three month Constant Prepayment Rate multiplied by a factor of 1.25 on a monthly basis to ensure there is enough OC, excluding cash, to pass the Regulatory and Programme tests over a three month period; ▪ Over collateralisation (“OC”), Santander UK stresses the House Price Index (“HPI”) to identify the breaking point at which item A of the Asset Coverage Test (”ACT”) is negatively impacted in such a way that would result in the Adjusted Aggregate Loan Amount (“AALA”) not being sufficient to pass this ACT; and ▪ Asset Percentage (“AP”), Santander UK stresses the AP over a three month time horizon by increasing the haircut by 2.5% to ensure there is sufficient collateral in the Cover Pool to survive any negative review of the AP by a Rating Agency. Eligibility criteria are considered in more detail in section 2.6 below. We have performed the following procedures in respect of the Issuer’s stress testing: The Issuer provided us with the results output from the RCBC ACM for each quarter over the last twelve months to [date]. For the avoidance of doubt we have not independently verified the accuracy of the RCBC ACM. We confirmed that in each instance the results of the 8 scenarios, for each quarter, were recorded as “PASS”, using the following assumptions as disclosed in the RCBC ACM. Data Input Assumption Repossession costs & stressed sale reduction Recovery time from default to sale (months) Delinquency multiplier Roll-to-default multiplier PGD multiplier Peak-to-trough House price decline (over 24 months) HP decline Floor Low CPR step 1 Low CPR step 2 CPR Step month High CPR Low BBR - 3m £ LIBOR spread High BBR - 3m £ LIBOR spread Annual LLP Mortgage Servicing Expenses (% of pool) Stressed AAA RMBS spread over LIBOR Maximum Securitisation/Sale Frequency (months) Maximum Securitisation/Sale Proceeds (£000's) Forced AAA RMBS spread over LIBOR Data Input Assumption Lockout period after forced securitisation/sale (months) Maximum forced Securitisation/Sale proceeds (£000's) GIC spread to Libor Annual senior expenses (% of bonds outstanding) We confirmed the following data inputs from the RCBC ACM dated [date] agreed to the respective support listed below: Data Input Support Securitisation Proceeds Input Current Bank of England Base Rate Base rate published by the Bank of England as at [date] Current 1 month Sterling Libor Bloomberg reports as at [date] Current 3 month Sterling Libor Bloomberg reports as at [date] Most Recent Halifax House Price Index Value (all houses, seasonally adjusted) Halifax House Price Index downloaded as at [date All-time-High Halifax House Price Index Value (all houses, seasonally adjusted) Halifax House Price Index downloaded as at [date] Rating Agency Model Inputs WAFF Fitch Ratings report dated [date] WALS Fitch Ratings report dated [date] Mortgage Spread (over libor post basis swap) Unable to verify Mortgage Spread Step Pre/During Recession (quarterly, %) (multiply RA monthly figure by 3) Unable to verify Mortgage Spread Step Post Recession (quarterly, %) (multiply RA monthly figure by 3) Unable to verify Mortgage Spread ceiling % Unable to verify Loan Data Inputs Possibility of Possessions given Default Spreadsheet ‘name.xlsx’ provided by the Issuer. Delinquency and Roll-to-default data Spreadsheet ‘name.xlsx’ provided by the Issuer. Covered Bond Inputs Currency Bloomberg reports as at [date] Balance Bloomberg reports as at [date] Swap FX rate Transaction swap confirmations for: [list all Series in issuance] Provided by the issuer (together, the “Swap Confirmations”) Legal Final Maturity Swap Confirmations Floating Spread Swap Confirmations Interest payment frequency on Swap Swap Confirmations Next Interest Due Date Swap Confirmations Liquid Asset Holdings Sterling Par Value Spreadsheet ‘name.xlsx’ provided by the Issuer. Maturity date Spreadsheet ‘name.xlsx’ provided by the Issuer. Spread to LIBOR received on Floating Rate Asset or under Swap on Fixed Rate Asset No input to verify Interest payment frequency No input to verify Next interest due date on floating rate assets No input to verify We found that the data inputs agreed to the respective support, [except for x cases/with no exception] in relation to the Covered Bond Inputs.

Stress Testing. Regulation 17(2)(d) − - The asset pool is of sufficient quality to give investors’ confidence that in the event of the failure of the Issuer there will be a low risk of default in the timely payment by the owner of claims attaching to the bond We are informed by the Issuer that they monitor their compliance with this standard through: • Ensuring the eligibility criteria are met prior to adding loans to the Asset Pool; • Regulated Covered Bond Forum, the last meeting was held on [date], where the results of the following tests are reviewed: ▪ Asset Capability Model (“ACM”), the RCBC ACM is completed and the results presented on a monthly basis; ▪ Interest Coverage Test (“ICT”), in the context of both the Regulatory Available Capacity per Regulation 17 and on a stressed basis for the Internal Available Capacity which excludes any hedging agreements in relation to the asset pool and the Covered Bonds; ▪ Over collateralisation (“OC”), per Regulation 17 and on a stressed basis per the Santander UK Covered Bond Programme Over−Collateralisation Over-Collateralisation Policy which applies an amortisation speed of the Cover Pool at a rate equivalent to the average of the last three months three month Constant Prepayment Rate multiplied by a factor of 1.25 on a monthly basis to ensure there is enough OC, excluding cash, to pass the Regulatory and Programme tests over a three month period; ▪ Over collateralisation (“OC”), Santander UK stresses the House Price Index (“HPI”) to identify the breaking point at which item A of the Asset Coverage Test (”ACT”) is negatively impacted in such a way that would result in the Adjusted Aggregate Loan Amount (“AALA”) not being sufficient to pass this ACT; and ▪ Asset Percentage (“AP”), Santander UK stresses the AP over a three month time horizon by increasing the haircut by 2.5% to ensure there is sufficient collateral in the Cover Pool to survive any negative review of the AP by a Rating Agency. Eligibility criteria are considered in more detail in section 2.6 below. We have performed the following procedures in respect of the Issuer’s stress testing: The Issuer provided us with the results output from the RCBC ACM for each quarter over the last twelve months to [date]. For the avoidance of doubt we have not independently verified the accuracy of the RCBC ACM. We confirmed that in each instance the results of the 8 scenarios, for each quarter, were recorded as “PASS”, using the following assumptions as disclosed in the RCBC ACM. Data Input Assumption Repossession costs & stressed sale reduction Recovery time from default to sale (months) Delinquency multiplier Roll-to-default multiplier PGD multiplier Peak-to-trough House price decline (over 24 months) HP decline Floor Low CPR step 1 Low CPR step 2 CPR Step month High CPR Low BBR - 3m £ LIBOR spread High BBR - 3m £ LIBOR spread Annual LLP Mortgage Servicing Expenses (% of pool) Stressed AAA RMBS spread over LIBOR Maximum Securitisation/Sale Frequency (months) Maximum Securitisation/Sale Proceeds (£000's) Forced AAA RMBS spread over LIBOR Data Input Assumption Lockout period after forced securitisation/sale (months) Maximum forced Securitisation/Sale proceeds (£000's) GIC spread to Libor Annual senior expenses (% of bonds outstanding) We confirmed the following data inputs from the RCBC ACM dated [date] agreed to the respective support listed below: Data Input Support Securitisation Proceeds Input Current Bank of England Base Rate Base rate published by the Bank of England as at [date] Current 1 month Sterling Libor Bloomberg reports as at [date] Current 3 month Sterling Libor Bloomberg reports as at [date] Most Recent Halifax House Price Index Value (all houses, seasonally adjusted) Halifax House Price Index downloaded as at [date All-time-High Halifax House Price Index Value (all houses, seasonally adjusted) Halifax House Price Index downloaded as at [date] Rating Agency Model Inputs WAFF Fitch Ratings report dated [date] WALS Fitch Ratings report dated [date] Mortgage Spread (over libor post basis swap) Unable to verify Mortgage Spread Step Pre/During Recession (quarterly, %) (multiply RA monthly figure by 3) Unable to verify Mortgage Spread Step Post Recession (quarterly, %) (multiply RA monthly figure by 3) Unable to verify Mortgage Spread ceiling % Unable to verify Loan Data Inputs Possibility of Possessions given Default Spreadsheet ‘name.xlsx’ provided by the Issuer. Delinquency and Roll-to-default data Spreadsheet ‘name.xlsx’ provided by the Issuer. Covered Bond Inputs Currency Bloomberg reports as at [date] Balance Bloomberg reports as at [date] Swap FX rate Transaction swap confirmations for: [list all Series in issuance] Provided by the issuer (together, the “Swap Confirmations”) Legal Final Maturity Swap Confirmations Floating Spread Swap Confirmations Interest payment frequency on Swap Swap Confirmations Next Interest Due Date Swap Confirmations Liquid Asset Holdings Sterling Par Value Spreadsheet ‘name.xlsx’ provided by the Issuer. Maturity date Spreadsheet ‘name.xlsx’ provided by the Issuer. Spread to LIBOR received on Floating Rate Asset or under Swap on Fixed Rate Asset No input to verify Interest payment frequency No input to verify Next interest due date on floating rate assets No input to verify We found that the data inputs agreed to the respective support, [except for x cases/with no exception] in relation to the Covered Bond Inputs.

Stress Testing. Regulation 17(2)(d) − - The asset pool is of sufficient quality to give investors’ confidence that in the event of the failure of the Issuer there will be a low risk of default in the timely payment by the owner of claims attaching to the bond We are informed by the Issuer that they monitor their compliance with this standard through: •  Ensuring the eligibility criteria are met prior to adding loans to the Asset Pool; •  Regulated Covered Bond Forum, the last meeting was held on [date], where the results of the following tests are reviewed: ▪  Asset Capability Model (“ACM”), the RCBC ACM is completed and the results presented on a monthly basis; ▪  Interest Coverage Test (“ICT”), in the context of both the Regulatory Available Capacity per Regulation 17 and on a stressed basis for the Internal Available Capacity which excludes any hedging agreements in relation to the asset pool and the Covered Bonds; ▪  Over collateralisation (“OC”), per Regulation 17 and on a stressed basis per the Santander UK Covered Bond Programme Over−Collateralisation Over-Collateralisation Policy which applies an amortisation speed of the Cover Pool at a rate equivalent to the average of the last three months three month Constant Prepayment Rate multiplied by a factor of 1.25 on a monthly basis to ensure there is enough OC, excluding cash, to pass the Regulatory and Programme tests over a three month period; ▪  Over collateralisation (“OC”), Santander UK stresses the House Price Index (“HPI”) to identify the breaking point at which item A of the Asset Coverage Test (”ACT”) is negatively impacted in such a way that would result in the Adjusted Aggregate Loan Amount (“AALA”) not being sufficient to pass this ACT; and ▪  Asset Percentage (“AP”), Santander UK stresses the AP over a three month time horizon by increasing the haircut by 2.5% to ensure there is sufficient collateral in the Cover Pool to survive any negative review of the AP by a Rating Agency. Eligibility criteria are considered in more detail in section 2.6 below. We have performed the following procedures in respect of the Issuer’s stress testing: The Issuer provided us with the results output from the RCBC ACM for each quarter over the last twelve months to [date]. For the avoidance of doubt we have not independently verified the accuracy of the RCBC ACM. We confirmed that in each instance the results of the 8 scenarios, for each quarter, were recorded as “PASS”, using the following assumptions as disclosed in the RCBC ACM. Data Input Assumption Repossession costs & stressed sale reduction Recovery time from default to sale (months) Delinquency multiplier Roll-to-default multiplier PGD multiplier Peak-to-trough House price decline (over 24 months) HP decline Floor Low CPR step 1 Low CPR step 2 CPR Step month High CPR Low BBR - 3m £ LIBOR spread High BBR - 3m £ LIBOR spread Annual LLP Mortgage Servicing Expenses (% of pool) Stressed AAA RMBS spread over LIBOR Maximum Securitisation/Sale Frequency (months) Maximum Securitisation/Sale Proceeds (£000's) Forced AAA RMBS spread over LIBOR Data Input Assumption Lockout period after forced securitisation/sale (months) Maximum forced Securitisation/Sale proceeds (£000's) GIC spread to Libor Annual senior expenses (% of bonds outstanding) We confirmed the following data inputs from the RCBC ACM dated [date] agreed to the respective support listed below: Data Input Support Securitisation Proceeds Input Current Bank of England Base Rate Base rate published by the Bank of England as at [date] Current 1 month Sterling Libor Bloomberg reports as at [date] Current 3 month Sterling Libor Bloomberg reports as at [date] Most Recent Halifax House Price Index Value (all houses, seasonally adjusted) Halifax House Price Index downloaded as at [date All-time-High Halifax House Price Index Value (all houses, seasonally adjusted) Halifax House Price Index downloaded as at [date] Rating Agency Model Inputs WAFF Fitch Ratings report dated [date] WALS Fitch Ratings report dated [date] Mortgage Spread (over libor post basis swap) Unable to verify Mortgage Spread Step Pre/During Recession (quarterly, %) (multiply RA monthly figure by 3) Unable to verify Mortgage Spread Step Post Recession (quarterly, %) (multiply RA monthly figure by 3) Unable to verify Mortgage Spread ceiling % Unable to verify Loan Data Inputs Possibility of Possessions given Default Spreadsheet ‘name.xlsx’ provided by the Issuer. Delinquency and Roll-to-default data Spreadsheet ‘name.xlsx’ provided by the Issuer. Covered Bond Inputs Currency Bloomberg reports as at [date] Balance Bloomberg reports as at [date] Swap FX rate Transaction swap confirmations for: [list all Series in issuance] Provided by the issuer (together, the “Swap Confirmations”) Legal Final Maturity Swap Confirmations Floating Spread Swap Confirmations Interest payment frequency on Swap Swap Confirmations Next Interest Due Date Swap Confirmations Liquid Asset Holdings Sterling Par Value Spreadsheet ‘name.xlsx’ provided by the Issuer. Maturity date Spreadsheet ‘name.xlsx’ provided by the Issuer. Spread to LIBOR received on Floating Rate Asset or under Swap on Fixed Rate Asset No input to verify Interest payment frequency No input to verify Next interest due date on floating rate assets No input to verify We found that the data inputs agreed to the respective support, [except for x cases/with no exception] in relation to the Covered Bond Inputs.

Stress Testing. Regulation 17(2)(d) − - The asset pool is of sufficient quality to give investors’ confidence that in the event of the failure of the Issuer there will be a low risk of default in the timely payment by the owner of claims attaching to the bond We are informed by the Issuer that they monitor their compliance with this standard through: • Ensuring the eligibility criteria are met prior to adding loans to the Asset Pool; • Regulated Covered Bond Forum, the last meeting was held on [date], where the results of the following tests are reviewed: ▪ Asset Capability Model (“ACM”), the RCBC ACM is completed and the results presented on a monthly basis; ▪ Interest Coverage Test (“ICT”), in the context of both the Regulatory Available Capacity per Regulation 17 and on a stressed basis for the Internal Available Capacity which excludes any hedging agreements in relation to the asset pool and the Covered Bonds; ▪ Over collateralisation (“OC”), per Regulation 17 and on a stressed basis per the Santander UK Covered Bond Programme Over−Collateralisation Over-Collateralisation Policy which applies an amortisation speed of the Cover Pool at a rate equivalent to the average of the last three months three month Constant Prepayment Rate multiplied by a factor of 1.25 on a monthly basis to ensure there is enough OC, excluding cash, to pass the Regulatory and Programme tests over a three month period; ▪ Over collateralisation (“OC”), Santander UK stresses the House Price Index (“HPI”) to identify the breaking point at which item A of the Asset Coverage Test (”ACT”) is negatively impacted in such a way that would result in the Adjusted Aggregate Loan Amount (“AALA”) not being sufficient to pass this ACT; and ▪ Asset Percentage (“AP”), Santander UK stresses the AP over a three month time horizon by increasing the haircut by 2.5% to ensure there is sufficient collateral in the Cover Pool to survive any negative review of the AP by a Rating Agency. Eligibility criteria are considered in more detail in section 2.6 below. We have performed the following procedures in respect of the Issuer’s stress testing: The Issuer provided us with the results output from the RCBC ACM for each quarter over the last twelve months to [date]. For the avoidance of doubt we have not independently verified the accuracy of the RCBC ACM. We confirmed that in each instance the results of the 8 scenarios, for each quarter, were recorded as “PASS”, using the following assumptions as disclosed in the RCBC ACM. Data Input Assumption Repossession costs & stressed sale reduction Recovery time from default to sale (months) Delinquency multiplier Roll-to-default multiplier PGD multiplier Peak-to-trough House price decline (over 24 months) HP decline Floor Low CPR step 1 Low CPR step 2 CPR Step month High CPR Low BBR - 3m £ LIBOR spread High BBR - 3m £ LIBOR spread Annual LLP Mortgage Servicing Expenses (% of pool) Stressed AAA RMBS spread over LIBOR Maximum Securitisation/Sale Frequency (months) Maximum Securitisation/Sale Proceeds (£000's) Forced AAA RMBS spread over LIBOR Data Input Assumption Lockout period after forced securitisation/sale (months) Maximum forced Securitisation/Sale proceeds (£000's) GIC spread to Libor Annual senior expenses (% of bonds outstanding) We confirmed the following data inputs from the RCBC ACM dated [date] agreed to the respective support listed below: Data Input Support Securitisation Proceeds Input Current Bank of England Base Rate Base rate published by the Bank of England as at [date] Current 1 month Sterling Libor Bloomberg Xxxxxxxx Xxxxx Xxxxxxxxx reports as at [date] Current 3 month Sterling Libor Bloomberg Xxxxxxxx Xxxxx Xxxxxxxxx reports as at [date] Most Recent Halifax House Price Index Value (all houses, seasonally adjusted) Halifax House Price Index downloaded as at [date All-time-High Halifax House Price Index Value (all houses, seasonally adjusted) Halifax House Price Index downloaded as at [date] Rating Agency Model Inputs WAFF Fitch Ratings report dated [date] WALS Fitch Ratings report dated [date] Mortgage Spread (over libor post basis swap) Unable to verify Mortgage Spread Step Pre/During Recession (quarterly, %) (multiply RA monthly figure by 3) Unable to verify Mortgage Spread Step Post Recession (quarterly, %) (multiply RA monthly figure by 3) Unable to verify Mortgage Spread ceiling % Unable to verify Loan Data Inputs Possibility of Possessions given Default Spreadsheet ‘name.xlsx’ provided by the Issuer. Delinquency and Roll-to-default data Spreadsheet ‘name.xlsx’ provided by the Issuer. Covered Bond Inputs Currency Bloomberg reports as at [date] Balance Bloomberg reports as at [date] Swap FX rate Transaction swap confirmations for: [list all Series in issuance] Provided by the issuer (together, the “Swap Confirmations”) Legal Final Maturity Swap Confirmations Floating Spread Swap Confirmations Interest payment frequency on Swap Swap Confirmations Next Interest Due Date Swap Confirmations Liquid Asset Holdings Sterling Par Value Spreadsheet ‘name.xlsx’ provided by the Issuer. Maturity date Spreadsheet ‘name.xlsx’ provided by the Issuer. Spread to LIBOR received on Floating Rate Asset or under Swap on Fixed Rate Asset No input to verify Interest payment frequency No input to verify Next interest due date on floating rate assets No input to verify We found that the data inputs agreed to the respective support, [except for x cases/with no exception] in relation to the Covered Bond Inputs.