GLOSSARY OF TERMS AND KEY DATA FOR THE INVESTOR REPORTS AND POOL TABLES
Called Securitisations from 31/12/2001 to 15/05/2017 Deal Note Note Repayment Repayment Date Homer Finance (No.3) PLC £21,536,000 31/12/2001 Homeloans (No.1) PLC £22,436,000 31/01/2002 Homeloans (No.2) PLC £44,363,000 28/02/2002 Homeloans (No.3) PLC £96,603,000 31/01/2002 Finance for People (No.1) PLC £69,757,000 28/02/2002 Finance for People (No.2) PLC £74,122,000 31/12/2001 Finance for People (No.3) PLC £246,520,000 31/12/2001 Finance for People (No.4) PLC £82,305,000 30/04/2004 Paragon Mortgages (No.1) PLC £101,270,000 15/04/2004 Paragon Mortgages (No.2) PLC £102,601,000 15/09/2004 Paragon Mortgages (No.3) PLC £238,007,000 08/11/2004 Paragon Auto and Secured Finance (No.1) PLC £194,998,000 15/11/2004 Paragon Personal and Auto Finance (No.1) PLC £251,000,000 15/03/2005 Paragon Personal and Auto Finance (No.2) PLC £244,700,000 15/04/2005 Paragon Mortgages (No.4) PLC £345,925,000 07/07/2005 Paragon Mortgages (No.5) PLC £179,532,000 07/06/2006 Homeloans (No.4) PLC £74,371,000 15/06/2006 First Flexible No.2 plc £154,545,000 03/07/2006 Paragon Mortgages (No.6) PLC £561,658,000 15/09/2006 First Flexible No.1 plc £48,351,000 31/10/2006 First Flexible No.3 plc £111,703,000 01/11/2006 First Flexible No.4 plc £70,430,205 01/04/2014 Paragon Mortgages (No.16) PLC £111,785,000 15/10/2014 Paragon Mortgages (No.17) PLC £134,027,000 08/01/2016 Paragon Mortgages (No.18) PLC £71,875,000 15/12/2016 Paragon Personal and Auto Finance (No.3) PLC £74,028,000 16/01/2017 Paragon Mortgages (No.19) PLC £130,397,000 15/05/2017
Note upgrades for the current Paragon Mortgages Programme
Note Moody’s S&P Fitch Time between Class closing & grade (M/S&P/Fitch) Initial Revised Initial Revised Initial Revised PM7 B A AA A AA- - / 3.2 yrs / 6.2 yrs PM7 B Baa3 Baa1 11.1 yrs / - / - PM9 A Aa2 Aa1 10.0 yrs / - / - PM9 B Baa2 A1 10.0 yrs / - / - PM9 C Baa3 A3 10.0 yrs / - / - PM11 B AA AA+ - / - / 8.1 yrs PM11 B AA+ AAA - / - / 9.0 yrs PM11 A AA AA+ - / 9.2 yrs / - PM11 C BBB A- - / 9.2 yrs / - PM11 B Aa3 Aa2 9.3 yrs / - / - PM11 C A3 A2 9.3 yrs / - / - PM11 A Aa1 Aaa 10.9 yrs / - / - PM11 A Aa+ AAA - / 11.0 yrs / - PM11 B A AA- - / 11.0 yrs / - PM11 C A- A+ - / 11.0 yrs / -
2 Glossary of Terms PSF1 B BBB- A- - / 10.6 yrs / - PSF1 C B BB - / 10.6 yrs / - PSF1 B A A+ - / - / 12.2 yrs PSF1 C BBB BBB+ - / - / 12.2 yrs PSF1 A AA+ AAA - / 12.2 yrs / - PSF1 B A- AA - / 12.2 yrs / - PSF1 C BB AA- - / 12.2 yrs / - PM10 B AA AAA - / - / 4.7 yrs PM10 B AA AA+ - / 5.7 yrs / - PM10 C A- A - / 9.5 yrs / - PM12 B AA AA+ - / - / 8.7 yrs PM12 C BBB A- - / 8.9 yrs / - PM12 B AA+ AAA - / - / 9.7 yrs PM12 A AA+ AAA - / 10.3 yrs / - PM12 B Aa2 Aa1 10.8 yrs / - / - PM13 C BBB BBB+ - / 8.7 yrs / - PM13 B AA AA+ - / - / 9.4 yrs PM13 B A- A+ - / 10.3 yrs / - PM13 C BBB+ A - / 10.3 yrs / - PM13 B AA+ AAA - / - / 10.4 yrs PM14 B A1 Aa3 8.6 yrs / - / - PM14 B A3 A1 8.6 yrs / - / - PM14 AA+ AAA - / - / 9.0 yrs PM15 B AA AA+ - / - / 7.7 yrs PM15 C BBB BBB+ - / - / 7.7 yrs PM15 C BB BBB- - / 8.0 yrs / - PM15 B A+ AA - / 9.4 yrs / - PM15 C BBB- BBB+ - / 9.4 yrs / - PM15 B AA+ AAA - / - / 9.7 yrs PM20 B AA- AA - / - / 2.7 yrs PM21 C A A+ - / 2.1 yrs / - PM21 B Aa2 Aaa 2.5 yrs / - / - PM21 C A1 Aa2 2.5 yrs / - / -
Performance related Note downgrades
Note Moody’s S&P Fitch Time between Class closing & grade (M/S&P/Fitch) Initial Revised Initial Revised Initial Revised PSF1 C BBB BBB- - / 4.6 yrs / - PM15 C A BBB - / - / 4.9 yrs
S&P downgrade 31st July 2009 (PSF1) – following a credit and cashflow review and their views on UK house prices. Fitch downgrade 22nd June 2012 (PM15) – following a review and application of EMEA residential mortgage loss criteria. 3 Glossary of Terms Note upgrades for the current First Flexible Programme
Note Moody’s Fitch S&P Time between Class closing & grade (Moody/Fitch/S&P) Initial Revised Initial Revised Initial Revised FF5 M A A+ - / 4.1 yrs FF5 M A+ AA - / 6.5 yrs FF5 B BBB BBB+ - / 4.1 yrs FF5 M A1 Aa2 9.1 yrs / - / - FF5 B Baa2 A1 9.1 yrs / - / - FF5 M Aa2 Aa1 13.4 yrs / - / - FF5 B A1 Aa1 13.4 yrs / - / - FF7 B AA AAA - / 10.0 yrs
Note downgrades for the current First Flexible Programme
Note Moody’s Fitch S&P Time between Class closing & grade (Moody/Fitch/S&P) Initial Revised Initial Revised Initial Revised FF5 A Aaa Aa1 10.7 yrs / - / - FF6 A AAA AA - / - / 7.5 yrs FF6 A AA AA- - / - / 8.1 yrs FF6 M A BB- - / - / 8.4 yrs FF6 A Aaa Aa1 9.1 yrs / - / -
S&P downgrade 15th July 2011 (FF6) – following a review and application of S&P’s 2010 Counterparty Criteria. S&P downgrade 21st February 2012 (FF6) – following S&P’s Bank Rating actions and their direct link to S&P’s 2010 counterparty criteria. S&P downgrade 6th June 2012 (FF6) – following a review and application of S&P’s new 2011 residential mortgage-backed securities criteria. Moody’s downgrade 21st February 2013 (FF5 and FF6) – Moody’s analysis on operational risk and pension risk. For further details, please refer to the Moody’s press release dated 21st February 2013 on the Investor News section of the website.
4 Glossary of Terms Contents
Current Mortgage Backed Transactions ………………………………………....6- 35
Paragon Mortgages (No.7) PLC Paragon Mortgages (No.8) PLC Paragon Mortgages (No.9) PLC Paragon Mortgages (No.10) PLC Paragon Mortgages (No.11) PLC Paragon Mortgages (No.12) PLC Paragon Mortgages (No.13) PLC Paragon Mortgages (No.14) PLC First Flexible (No.7) PLC Paragon Mortgages (No.15) PLC Paragon Mortgages (No.20) PLC Paragon Mortgages (No.21) PLC Paragon Mortgages (No.22) PLC Paragon Mortgages (No.23) PLC Paragon Mortgages (No.24) PLC
Current Consumer Finance Backed Transactions …………………………….36-51
Paragon Secured Finance (No.1) PLC
5 Glossary of Terms Current Mortgage Backed Transactions (PM7 – PM15, FF7 and PM20 - PM24)
Issuer PM24 PM23 PM22 PM21 PM20 PM15 PM14 FF7 PM13 PM12 PM11 PM10 PM9 PM8 PM7 Closing Date 19 November 2015 23 July 2015 25 March 2015 13 November 2014 17 July 2014 19 July 2007 22 March 2007 25 January 2007 26 October 2006 20 July 2006 23 March 2006 17 November 2005 19 July 2005 27 October 2004 26 May 2004 Lead Managers Merrill Lynch Int/Lloyds/Macquarie/Morgan Stanley/Natixis Lloyds/Macquarie/Morgan Stanley/Natixis Lloyds/Macquarie/Morgan Stanley/Natixis Lloyds/Macquarie/Morgan Stanley/Natixis Lloyds/Macquarie/Morgan Stanley ABN Amro/Barclays/JPM Deutsche/RBS/HSBC Barclays ABN Amro/Barclays/RBS Barclays/Deutsche/HSBC JPM/Deutsche/RBS Barclays/Deutsche JPM/RBS Deutsche/JPM RBS/Barclays Rating Agencies Moody's/Fitch Moody's/Fitch Moody's/Fitch Moody's/S&P Moody's/Fitch Moody's/S&P/Fitch Moody's/S&P/Fitch S&P/Fitch Moody's/S&P/Fitch Moody's/S&P/Fitch Moody's/S&P/Fitch Moody's/S&P/Fitch Moody's/S&P Moody's/S&P/Fitch Moody's/S&P/Fitch GBP Equivalent Note Value £350,110,956 £300,029,022 £300,009,117 £250,000,000 £350,000,000 £1,001,132,732 £1,500,274,892 £268,600,000 £1,500,190,204 £1,500,204,648 £1,000,050,466 £1,000,352,569 £700,000,000 £1,000,000,000 £900,700,464 % of Prefunding 0.00% 5.78% 17.72% 9.38% 8.44% 18.85% 22.81% n/a 27.65% 0.00% 0.00% 0.00% 0.00% 26.99% 23.32% % of AAA Notes 84.74% 87.30% 89.51% 87.16% 91.14% 85.01% 84.99% 97.00% 88.02% 86.54% 86.75% 88.58% 89.20% 90.00% 89.98% % of AA Notes 5.51% 4.93% 4.00% 7.08% 6.86% 7.50% 7.51% 1.50% 7.49% 7.46% 7.25% 4.42% 3.90% N/A N/A % of A Notes 7.25% 5.27% 4.00% 3.24% n/a 7.49% 7.50% 1.50% 4.49% 6.00% 6.00% 7.01% 6.90% 10.00% 10.02% % of Unrated Notes 2.50% 2.50% 2.50% 2.52% 2.00% N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A % of First Loss Fund 2.50% 2.50% 2.50% 2.50% 3.00% 1.90% 1.90% 0.30% 1.90% 1.90% 1.90% 1.86% 1.76% 1.90% 2.20% % of Margin Reserve Fund 0.45% 0.33% 0.36% 0.29% 0.21% 0.62% 0.63% N/A N/A N/A N/A N/A N/A N/A N/A % of Flexible Drawing Facility N/A N/A N/A N/A N/A N/A 0.50% 3.12% 1.00% N/A N/A 0.57% 1.43% 0.50% N/A Minimum Mortgage Rate GBP LIBOR + 4% GBP LIBOR + 4% GBP LIBOR + 4% GBP LIBOR + 4% GBP LIBOR + 4% GBP LIBOR + 1.6% GBP LIBOR + 1.6% GBP LIBOR + 1.8% GBP LIBOR + 1.6% GBP LIBOR + 1.6% GBP LIBOR + 1.6% GBP LIBOR + 1.6% GBP LIBOR + 1.6% GBP LIBOR + 1.6% GBP LIBOR + 1.6% Note Margins: 2a-7 Notes N/A N/A N/A N/A N/A 0.00% 0.00% N/A -0.01% -0.02% -0.01% 0.00% N/A N/A N/A AAA/Aaa/AAA Fast Pay Notes (Sterling) N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 0.11% N/A AAA/Aaa/AAA Fast Pay Notes (Euros) N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 0.11% N/A AAA/Aaa/AAA Fast Pay Notes (Dollars) N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A AAA/Aaa/AAA Slow Pay Notes (Sterling) 1.50% 1.10% 0.80% 0.80% 0.68% 0.13% 0.10% 0.12% 0.12% 0.12% 0.12% 0.16% 0.18% 0.19% 0.21% AAA/Aaa/AAA Slow Pay Notes (Euros) 1.10% 0.70% 0.50% N/A N/A 0.12% 0.10% N/A 0.12% 0.12% 0.12% 0.16% 0.18% 0.18% 0.21% AAA/Aaa/AAA Slow Pay Notes (Dollars) N/A N/A N/A N/A N/A 0.11% 0.10% N/A 0.09% 0.11% N/A N/A 0.18% N/A 0.21% AA/Aa2/AA Notes (Sterling) 2.45% 1.65% 1.35% 1.40% 1.00% 0.27% 0.18% 0.18% 0.20% 0.24% 0.24% 0.27% 0.29% N/A N/A AA/Aa2/AA Notes (Euros) N/A N/A N/A N/A N/A 0.27% 0.18% N/A 0.19% 0.24% 0.24% 0.27% 0.29% N/A N/A AA/Aa2/AA Notes (Dollars) N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A A/A2/A Notes (Sterling) 3.20% 2.20% 1.65% 1.75% N/A N/A 0.38% 0.28% 0.40% 0.46% N/A 0.55% 0.52% 0.65% N/A A/A2/A Notes (Euros) N/A N/A N/A N/A N/A 0.55% 0.38% N/A 0.39% 0.46% 0.45% 0.55% 0.52% 0.60% 0.75% A/A2/A Notes (Dollars) N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 0.75% D Notes (PM20 & PM21, E Notes (PM22 & PM23) and Z Notes (PM24) (Sterling) 3.55% 2.55% 2.00% 2.10% 1.35% N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A Senior Administration Fee 0.15% 0.15% 0.15% 0.15% 0.15% 0.15% 0.05% 0.15% 0.15% 0.15% 0.15% 0.15% 0.15% 0.10% 0.10% Junior Administration Fee 0.15% 0.15% 0.15% 0.15% 0.15% 0.15% 0.25% 0.15% 0.15% 0.15% 0.15% 0.15% 0.15% 0.20% 0.20% Substitute Administrator's Commitment Fee 0.004% / £8,000 0.004% / £8,000 0.004% / £8,000 0.004% / £8,000 0.004% / £8,000 0.004% 0.004% 0.004% 0.004% 0.004% 0.004% 0.004% 0.004% 0.004% 0.004% Optional Redemption Date (and Turbo Date for PM20 & PM21) April 2020 October 2019 June 2019 December 2018 August 2018 June 2011 March 2011 March 2011 October 2010 August 2010 April 2010 December 2009 May 2009 October 2008 May 2008 Step Up Date N/A N/A N/A N/A N/A June 2012 March 2012 March 2012 October 2011 August 2011 April 2011 December 2010 May 2010 October 2010 May 2010 Determination Events to pay down the Subordinate Notes N/A N/A N/A N/A N/A N/A N/A % Class B and C % Class B and C Notes to % Class B and C Notes to % Class B and C Later of i) 5 years from Later of i) 5 years from Later of i) 5 years from Later of i) 5 years from closing Notes to total total Notes equals 23.96% total Notes equals 26.93% Notes to total Notes closing ii) % Class B closing ii) % Class B closing ii) % Class B Notes ii) % Class B Notes to total Notes equals equals 26.51% and C Notes to total and C Notes to total to total Notes equals 20% Notes equals 20.04% 6.03% Notes equals 22.84% Notes equals 21.6% Clean Up Call (20% of the Closing GBP Note Value) (10% for PM20 - PM24) £35,011,096 £30,002,902 £30,000,912 £25,000,000 £35,000,000 £200,226,546 £300,054,978 £53,720,000 £300,038,041 £300,040,930 £200,010,093 £200,070,514 £140,000,000 £200,000,000 £180,140,093 Class A Notes - April 2035 Class A Notes - May 2034 Note Maturity Dates July 2043 January 2043 September 2042 June 2042 November 2041 December 2039 September 2039 September 2033 January 2039 November 2038 October 2041 June 2041 May 2041 Class B Notes - April 2044 Class B Notes - May 2043 Class A1 Note Conditional Purchaser N/A N/A N/A N/A N/A JPM RBS N/A ABN Amro Sheffield Receivables Corp RBS and Deutsche Sheffield Receivables Corp N/A N/A N/A Class A1 Note Annual Mandatory Transfer Dates N/A N/A N/A N/A N/A 16 June 2008 17 December 2007 N/A 15 July 2007 15 May 2007 15 January 2007 15 September 2006 N/A N/A N/A Class A1 Note Maximum Reset Margin 0.09% until June 2012 and 0.10% until March 2012 0.12% until October 2011 0.12% until August 2011 N/A N/A N/A N/A N/A 0.18% thereafter and 0.20% thereafter N/A and 0.24% thereafter and 0.24% thereafter 0.10% 0.09% N/A N/A N/A Provisional Pool Balance £287,398,361 £130,816,463 £154,531,204 £153,124,043 £239,405,320 £677,081,500 £787,288,896 £297,969,550 £592,518,619 £683,290,013 £465,705,238 £657,952,600 £558,877,505 £716,154,769 £557,171,810 Originator PM (2010) Limited PM (2010) Limited PM (2010) Limited PM (2010) Limited PM (2010) Limited & Idem Capital Securities Limited PML/MTL PML/MTL PML/MTL/MTS PML/MTL PML/MTL PML/MTL PML/MTL PML/MTL PML/MTL PML/MTL % of PML at Closing 100.00% 100.00% 100.00% 100.00% 100.00% 47.19% 38.30% 4.07% 57.61% 60.00% 40.75% 49.54% 59.43% 76.43% 91.86% % of MTL at Closing 0.00% 0.00% 0.00% 0.00% 0.00% 52.81% 61.70% 95.93% 42.39% 40.00% 59.25% 50.46% 40.57% 23.57% 8.14% % of Buy to Let Mortgages at Closing 100.00% 100.00% 100.00% 100.00% 100.00% 100% 100% N/A 100% 100% 100% 100% 100% 98.73% 97.92% % of Owner Occupied Mortgages at Closing 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 97.04% 0.00% 0.00% 0.00% 0.00% 0.00% 1.27% 2.08% % of Commercial Mortgages at Closing N/A N/A N/A N/A N/A N/A N/A 2.90% N/A N/A N/A N/A N/A N/A N/A % of Professional Landlords at Closing 41.76% 47.25% 50.17% 48.34% 57.87% 45.19% 47.57% N/A 66.45% 63.30% 53.69% 60.95% 70.56% 81.64% 75.50% % of Private Investor Landlords at Closing 58.24% 52.75% 49.83% 51.66% 42.13% 54.81% 52.43% N/A 33.55% 36.70% 46.31% 39.05% 29.44% 17.08% 22.41% WA LTV at Closing 72.48% 72.67% 72.22% 71.91% 70.79% 79.34% 79.13% 57.12% 78.73% 79.74% 80.53% 78.70% 77.99% 76.45% 76.65% WA ICR at Closing 1.49 1.51 1.53 1.46 1.58 1.53 1.50 N/A 1.82 1.68 1.76 1.73 1.95 2.12 2.01 WA Seasoning at Closing (months) 4.04 2.35 2.00 1.88 14.40 1.33 2.31 132.48 14.70 9.65 9.64 7.68 18.43 24.53 20.02 Arrears > 1 month at Closing 0.00% 0.00% 0.00% 0.00% 0.04% 0.00% 0.15% 7.83% 0.26% 0.28% 0.07% 0.36% 0.36% 0.58% 0.64%
6 Glossary of Terms Note: This document is an aid to understanding the Investor Reports and not a comprehensive list of all Legally Defined Terms held within the agreements of each Securitisation. This document will be updated in line with Investor feedback.
GLOSSARY OF TERMS FOR THE INVESTOR REPORTS ISSUED BY PARAGON FINANCE PLC ON BEHALF OF THE ISSUERS
Current Mortgage Backed Transactions
Issuers Closing Date Originators Quarter Ends for the Issuers
Paragon Mortgages (No.7) PLC “PM7” 26 May 2004 PML and MTL January/April/July/October
Paragon Mortgages (No.8) PLC “PM8” 27 October 2004 PML and MTL March/June/September/December
Paragon Mortgages (No.9) PLC “PM9” 19 July 2005 PML and MTL January/April/July/October
Paragon Mortgages (No.10) PLC “PM10” 17 November 2005 PML and MTL February/May/August/November
Paragon Mortgages (No.11) PLC “PM11” 23 March 2006 PML and MTL June/September/December/March
Paragon Mortgages (No.12) PLC “PM12” 20 July 2006 PML and MTL October/January/April/July
Paragon Mortgages (No.13) PLC “PM13” 26 October 2006 PML and MTL December/March/June/September
First Flexible (No.7) PLC “FF7” 25 January 2007 PML, MTL and February/May/August/November MTS
Paragon Mortgages (No.14) PLC “PM14” 22 March 2007 PML and MTL August/November/February/May
Paragon Mortgages (No.15) PLC “PM15” 19 July 2007 PML and MTL February/May/August/November
Paragon Mortgages (No.20) PLC “PM20” 17 July 2014 PM (2010) and October/January/April/July ICSL
Paragon Mortgages (No.21) PLC “PM21” 13 November 2014 PM (2010) February/May/August/November
Paragon Mortgages (No.22) PLC “PM22” 25 March 2015 PM (2010) May/August/November/February
Paragon Mortgages (No.23) PLC “PM23” 23 July 2015 PM (2010) September/December/March/June
Paragon Mortgages (No.24) PLC “PM24” 19 November 2015 PM (2010) March/June/September/December
Abbreviation for the Originators
PML = Paragon Mortgages Limited PM (2010) = Paragon Mortgages (2010) Limited MTL = Mortgage Trust Limited MTS = Mortgage Trust Services ICSL = Idem Capital Securities Limited 7 Glossary of Terms CURRENT MORTGAGE BACKED TRANSACTIONS: PM7–PM15, PM20-PM24 and FF7
(1) SECURITY LEVEL DATA SECTION – PAGE 1
Paragon Mortgages (No.12) PLC
This performance report is issued by Paragon Finance PLC for and on behalf of Paragon Mortgages (No.12) PLC
N.B. This data fact sheet and its notes can only be a summary of certain features of the bonds and their structure. No representation can be made that the information herein is accurate or complete and no liability is accepted therefor. Reference should be made to the issued documentation for a full description of the bonds and their structure. This data fact sheet and its notes are for information purposes only and are not intended as an offer or invitation with respect to the purchase or sale of any security. Reliance should not be placed on the information herein when making any decision whether to buy, hold or sell bonds (or other securities) or for any other purpose.
FOR FURTHER ASSISTANCE ON THE INVESTOR REPORTS, PLEASE REFER TO THE "INVESTOR TERMS" POSTED ON THE PARAGON WEBSITEhttp://www.paragon-group.co.uk
Summary Transaction Features
Name of Issuer PM12 PLC Originator % at Closing PML 60.00% MTL 40.00% Originator % at the Quarter End PML 65.16% MTL 34.84% Date of Issue 20-Jul-06 Date of Production 20-Aug-14
Security Level Data Senior/Subordinate
Class A1 Notes Class A2a Notes Class A2b Notes Class A2c Notes Class B1a Notes Class B1b Notes Class C1a Notes Class C1b Notes Moody's Rating at Closing P-1/Aaa Aaa Aaa Aaa Aa2 Aa2 A2 A2 Standard & Poor's Rating at Closing A-1+/AAA AAA AAA AAA AA AA A A Fitch Rating at Closing F1+/AAA AAA AAA AAA AA AA A A Current Moody's Rating P-1/Aaa Aaa Aaa Aaa Aa2 Aa2 A2 A2 Current Standard & Poor's Rating A-1/AA+ AA+ AA+ AA+ A A BBB BBB Current Fitch Rating F1/AAA AAA AAA AAA AA AA A A ISIN XS0261644941 XS0261646136 XS0261646565 XS0261647027 XS0261647886 XS0261648850 XS0261650161 XS0261650674 ISIN US69913BAA44 N/A N/A US69913BAB27 N/A N/A N/A N/A Original Issue Amount ('000) $1,500,000 £145,000 € 245,000 $311,000 £25,000 € 126,000 £17,000 € 106,000 Previous Outstanding Note Principal $843,458 £81,534 € 137,765 $174,877 £25,000 € 126,000 £17,000 € 106,000 Current Outstanding Note Principal $833,152 £80,538 € 136,082 $172,740 £25,000 € 126,000 £17,000 € 106,000 Original GBP Equivalent Note Principal £815,217 £145,000 £168,966 £169,022 £25,000 £86,897 £17,000 £73,103 £1,500,205 Previous GBP Equivalent Note Principal £458,401 £81,534 £95,011 £95,042 £25,000 £86,897 £17,000 £73,103 £931,987 Current GBP Equivalent Note Principal £452,800 £80,538 £93,850 £93,881 £25,000 £86,897 £17,000 £73,103 £923,068 Current Pool Factor 0.5554347 0.5554360 0.5554360 0.5554347 1.0000000 1.0000000 1.0000000 1.0000000 Previous Pool Factor 0.5623050 0.5623062 0.5623062 0.5623050 1.0000000 1.0000000 1.0000000 1.0000000 Note Interest Margins: 24 bp 24 bp 24 bp 22 bp 48 bp 48 bp 92 bp 92 bp Current Note Interest Rates: 0.39200% 0.76506% 0.57500% 0.44385% 1.00506% 0.81500% 1.44506% 1.25500% Previous Note Interest Rates: 0.39220% 0.76094% 0.52700% 0.45585% 1.00094% 0.76700% 1.44094% 1.20700% GBP Note Margin 26 bp 24 bp 23 bp 26 bp 48 bp 50 bp 92 bp 97 bp Current GBP Interest Rates 0.78649% 0.76506% 0.75726% 0.78146% 1.00506% 1.02526% 1.44506% 1.49226% 0.88% Previous GBP Interest Rates 0.78237% 0.76094% 0.75314% 0.77734% 1.00094% 1.02114% 1.44094% 1.48814% Optional Redemption (Call) Dates 15-Aug-10 15-Aug-10 15-Aug-10 15-Aug-10 15-Aug-10 15-Aug-10 15-Aug-10 15-Aug-10 Step-up Dates 15-May-12 15-Aug-11 15-Aug-11 15-Aug-11 15-Aug-11 15-Aug-11 15-Aug-11 15-Aug-11 Note Step-Up Margins 24 bp 24 bp 24 bp 22 bp 48 bp 48 bp 92 bp 92 bp GBP Step -Up Margins 26 bp 24 bp 23 bp 26 bp 48 bp 50 bp 92 bp 97 bp
Class B and C Notes as a percentage Class A Notes at issue 15.56% Outstanding Class B and C Notes as a percentage of Outstanding Class A Notes 28.01% Determination Event for Paying Class B and C Notes Class A Notes = £548,103
Class A1 Interest Payment Cycle Monthly Class A2a, A2b, A2c B1a, B1b, C1a and C1b Interest Payment Cycle Quarterly Quarterly Interest Payment Date 15-Aug-14 Previous Quarterly Interest Period (No. of Days) 86 18-Feb-14 14-May-14 Current Quarterly Interest Period (No. of Days) 92 15-May-14 14-Aug-14 Class A1, A2b, A2c, B1b and C1b Interest Calculated on ACTUAL/360 Class A2a, B1a and C1a Interest Calculated on ACTUAL/365 Record Date 01-May-14
PM12 INVESTOR REPORT QUARTER ENDING JULY 2014
a. “Pool Factor” Equals on the first day of the interest period, the principal amount outstanding on all classes of notes (after deducting any principal repayment due on that day) divided by the following for PM7:
Class A1a Notes Class A1b Notes Class A1c Notes Class B1a Notes Class B1b Notes Note Denomination $100,000 £50,000 €500,000 $100,000 €500,000
In respect of PM8, dividing the principal amount outstanding on the first day of the interest period (after deducting any principal repayment due in that day) by the following:
Class A1a Notes Class A1b Notes Class A2a Notes Class A2b Notes Class B1a Notes Class B1b Notes Note Denomination £50,000 €50,000 £50,000 €50,000 £50,000 €50,000
In respect of PM9, dividing the principal amount outstanding on the first day of the interest period (after deducting any principal repayment due in that day) by the following:
Class Aa Notes Clsss Ab Notes Class Ac Notes Class Ba Notes Class Bb Notes Class Ca Notes Class Cb Notes Note Denominations £50,000 €50,000 $100,000 £50,000 €50,000 £50,000 €50,000
In respect of PM10, dividing the principal amount outstanding on the first day of the interest period (after deducting any principal repayment due in that day) by the following:
Class A1 Clsss A2a Class A2b Class B1a Class B1b Class C1a Class C1b Notes Notes Notes Notes Notes Notes Notes Note Denominations $100,000 £50,000 €50,000 £50,000 €50,000 £50,000 €50,000
In respect of PM11, dividing the principal amount outstanding on the first day of the interest period (after deducting any principal repayment due in that day) by the following:
Class A1 Clsss A2a Class A2b Class B1a Class B1b Class C1b Notes Notes Notes Notes Notes Notes Note Denominations $100,000 £50,000 €50,000 £50,000 €50,000 €50,000
In respect of PM12, PM13 and PM14, dividing the principal amount outstanding on the first day of the interest period (after deducting any principal repayment due in that day) by the following:
8 Glossary of Terms Class A1 Clsss A2a Class A2b Class A2c Class B1a Class B1b Class C1a Class C1b Notes Notes Notes Notes Notes Notes Notes Notes Note Denominations $100,000 £50,000 €50,000 $100,000 £50,000 €50,000 £50,000 €50,000
In respect of FF7, dividing the principal amount outstanding on the first day of the interest period (after deducting any principal repayment due in that day) by the following:
Class A Notes Class B Notes Class C Notes Note Denominations £50,000 £50,000 £50,000
In respect of PM15, dividing the principal amount outstanding on the first day of the interest period (after deducting any principal repayment due in that day) by the following:
Class A1 Clsss A2a Class A2b Class A2c Class B1a Class B1b Class C1b Notes Notes Notes Notes Notes Notes Notes Note Denominations $100,000 £50,000 €50,000 $100,000 £50,000 €50,000 €50,000
In respect of PM20, dividing the principal amount outstanding on the first day of the interest period (after deducting any principal repayment due in that day) by the following:
Class A Class B Class D Notes Notes Notes Note Denominations £100,000 £100,000 £100,000
In respect of PM21, dividing the principal amount outstanding on the first day of the interest period (after deducting any principal repayment due in that day) by the following:
Class A Class B Class C Class D Notes Notes Notes Notes Note Denominations £100,000 £100,000 £100,000 £100,000
In respect of PM22, dividing the principal amount outstanding on the first day of the interest period (after deducting any principal repayment due in that day) by the following:
Class A1 Class A2 Class B Class C Class E Notes Notes Notes Notes Notes Note Denominations €100,000 £100,000 £100,000 £100,000 £100,000
In respect of PM23, dividing the principal amount outstanding on the first day of the interest period (after deducting any principal repayment due in that day) by the following:
Class A1 Class A2 Class B Class C Class E Notes Notes Notes Notes Notes Note Denominations €100,000 £100,000 £100,000 £100,000 £100,000
In respect of PM24, dividing the principal amount outstanding on the first day of the interest period (after deducting any principal repayment due in that day) by the following:
Class A1 Class A2 Class B Class C Class Z Notes Notes Notes Notes Notes Note Denominations €100,000 £100,000 £100,000 £100,000 £100,000
b. “Current GBP Interest Rates” For PM7 – PM15, and PM20 - PM24, these relate the GBP interest rates for the reported period i.e. the SPV’s GBP funding margin, which is calculated on a weighted average basis by reference to the GBP equivalent note value on the preceding interest payment date. For FF7, this is the weighted average interest rate on the notes.
c. “Determination Event” Class B and C note holders provide credit coverage for the Class A note holders at the closing date. When the Class A note holders are repaid, the coverage increases. On an interest payment date when the coverage number reaches a pre-determined ratio as defined in the Offering Circular (approximately double the ratio at the closing date), Class B and C note holders are paid pro rata on the next
9 Glossary of Terms succeeding interest payment date, ensuring that the ratio’s between Class B and C notes described in the Offering Circulars are maintained.
For PM7 - 10, Class B and C note holders are repaid on the later of the interest payment date following (i) five years from the closing date and (ii) when Class B/C note coverage number reaches a pre- determined ratio as defined in the Offering Circular, subject to meeting an arrears and PDL test. For PM11 - PM13 and FF7 the Class B and C note holders are repaid on the interest payment date following the point at which Class B/C note coverage reaches a pre-determined ratio, as defined in the Offering Circular, subject to meeting an arrears and PDL test.
The current position is as follows: PM7 - paying down pro rata. PM8 - paying down pro rata. FF7 - paying down sequentially (Class B and Class C notes have reached their minimum limit). PM9 – paying down pro rata. PM10 – paying down pro rata. PM11 - paying down pro rata. PM12 - when the original GBP Equivalent of the deal halves in value, and subject to meeting the >3 months arrears being less than 7.5% and a zero PDL, the Notes will pay down pro rata. PM13 - when the original GBP Equivalent of the deal halves in value, and subject to meeting the >3 months arrears being less than 7.5% and a zero PDL, the Notes will pay down pro rata.
For PM14, PM15, PM20 - PM24 there is no determination event. Class A, Class B, Class C, Class D, Class E and Class Z notes are paid down sequentially. d. “Interest Payment Date” In respect of PM7 - PM15, PM20 - PM24 and FF7 the distribution of interest and principal to the principal paying agent is 15 days following the quarter end (principal determination date). The PM10 Class A1 note interest is paid on the 15th day of each month, commencing on 15th December, 2005. The PM11 Class A1 note interest is paid on the 15th day of each month, commencing on 18th April 2006. The PM12 Class A1 note interest is paid on the 15th day of each month, commencing on 15th August 2006. The PM13 Class A1 note interest is paid on the 15th day of each month, commencing on 15th November 2006. The PM14 Class A1 note interest is paid on the 15th day of each month, commencing on 16th April 2007. The PM15 Class A1 note interest is paid on the 15th day of each month, commencing on 15th August 2007. The PM20 Class A note interest is paid on the 15th day of each month, commencing on 17th November 2014. The PM21 Class A note interest is paid on the 15th day of each month, commencing on 16th March 2015. The PM22 Class A note interest is paid on the 15th day of each month, commencing on 15th June 2015. The PM23 Class A note interest is paid on the 15th day of each month, commencing on 15th October 2015. The PM24 Class A note interest is paid on the 15th day of each month, commencing on 15th April 2016. e. “Record Date” The date on which registered holders of securities are determined for making distributions on the next interest payment date. f. “Principal Determination Date” In respect of PM7 – PM15, PM20 - PM24 and FF7, the last working day of the quarter end when the administrator calculates the principal note repayment and advises the principal paying agent 5 business days later (except PM20 – PM24, where the administrator advises the principal payment agent 2 days prior to the interest payment date).
10 Glossary of Terms (2) PORTFOLIO ASSET MOVEMENTS SECTION – PAGE 2
Mortgages As at Closing Last Quarter This Quarter Additions this Repurchases Current Principal Balance Redemptions and quarter this quarter Outstanding Repayments Current Principal Balance (£'000) 1,500,162 931,987 9,169 250 0 923,068 Accrued Arrears and Interest Sold to Issuer (£'000) 42 0 0 0 0 0
Total (£'000) 1,500,204 931,987 9,169 250 0 923,068
Consumer Loans
Current Principal Balance (£'000) Accrued Arrears and Interest Sold to Issuer (£'000)
Total (£'000)
Credit Enhancement 0 0 0 Pre Funding Reserve 0 0 0 Available Redemption Funds 1 0 0 Unreplenished Losses on Mortgages 0 0 0 Outstanding Note Principal 1,500,205 931,987 923,068
Principal/Revenue Analysis PDD = 31-Jul-14 Principal (£'000) Revenue (£'000) Opening cash balance 0 0 Total principal cash received this period from assets 9,113 Quarterly Interest Income 5,381 Redemption Income 113 Investment Income 40 Swap receipts 0 First Loss Fund Drawings 0 Drawing on the PFPLC/MTS/PM12 Subordinated Loan for Interest Shortfalls 523 Initial income for distribution this period 9,113 6,057 Funding of MTL payment holidays 0 0 Revenue adjustment for payment of Accrued Arrears and Interest Sold at closing 0 0 Accrual from Revenue for potential Losses -74 Final income for distribution this period 9,113 5,983 Revenue payments made or accrued from Revenue Income: 1 Accrued Arrears and Interest not Sold to Issuer 0 2 Trustee Fee/Tender Agent Fees/ Costs and Expenses claimed by the Substitute Administrator, the Remarketing Agent and the A1 Conditional Purchaser -2 3 Senior Administration Fee to PFPLC and MTS/ Out of pocket expenses/ Substitute Administrator Commitment Fee/ Substitute Administrator Facilitator Fee/ Surveillance Fees to Rating Agencies -473 4 (a) Payments to Swap Counterparty 0 4 (b) A1, A2b and A2c Swap Currency Interest -1,277 4 (c) A2a Note Interest -157 5 (a) B1b Swap Currency Interest -225 5 (b) B1a Note Interest -63 6 (a) C1b Swap Currency Interest -275 6 (b) C1a Note Interest -62 7 Unsecured claimants in an amount not exceeding the "Prescribed Part" in The Insolvency Act (Prescribed Part) Order 2003 (as amended from time to time) 0 8 Third Party payments for Corporation Tax and VAT -8 9 PDL Replenishment 56 -56 10 First Loss Fund Replenishment 0 11 Termination Fees to Swap Provider 0 12 Cap/Swap Retention fund 0 13 Junior Administration Fee to PFPLC and MTS -356 14 Surplus income to the Issuer -3,029 Principal payments made from Principal Income: PML Mandatory Further Advances 0 MTL Mandatory Further Advances 0 Discretionary Further Advances -250 A1 Swap Currency repayment -5,601 A2a Note repayment -996 A2b Swap Currency repayment -1,161 A2c Swap Currency repayment -1,161 B1a Note repayment 0 B1b Swap Currency repayment 0 C1a Note repayment 0 C1b Swap Currency repayment 0 Total payments to be made this quarter -9,169 -5,983 Total closing cash balance 0 0
PM12 INVESTOR REPORT QUARTER ENDING JULY 2014
a. “Asset Movement” This section details the scheduled principal from monthly payments, redemptions, repurchases and any write offs of mortgage balances. The “additions” section relates to new assets purchased by the issuer during the quarter in respect of mandatory and discretionary further advances and where applicable, the execution of the pre-funding reserve. For FF7, discretionary further advances are not included in the “additions” as they are not funded by the issuer. This section also reconciles the outstanding assets back to the outstanding notes. For PM7 - PM15, PM20 – PM24 and FF7, 100% notes were raised against the assets on the closing dates.
b. “Principal cash” - The issuer uses the following to redeem the notes: Scheduled monthly principal repayments received from borrowers representing repayment of the loans, overpayments, and redemptions received from borrowers (as opposed to interest costs and fees associated with the loans). Proceeds of realisation of security on default - from the sale of the property, from related security: life policies, mortgage indemnity claims. Repurchase of mortgage loans by the relevant sellers, for breach of warranties, or product conversions. Replenishments to the principal deficiency ledger. Repayment of the spread trap. Funding of MTL payment holidays. Purchased pre-closing arrears collected in the period. Any Pre-Funding Reserve not utilised by the pre-funding reserve execution dates Any Discretionary Further Advance Pre-Funding Reserve not utilised by the earlier of the discretionary further advance pre-funding release date (as determined by Paragon, as Administrator) and the PDD prior to the Call Option Date (PM20 - PM24 only).
less
any discretionary further advances made in the collection period. any mandatory further advances made in the collection period. 11 Glossary of Terms repayments of any drawings made on the flexible drawing facility agreement during the collection period. equals the repayment to note holders.
Please refer to section (5) (e), for an example of the pro rata repayment of the GBP, Euro and US Dollar Class A notes. c. “Revenue Income” - The issuer meets its funding costs and operating expenses from the following: Interest from the borrowers’ monthly payments. Early pre-payment fees. Investment income. First loss fund drawings. Funding of MTL payment holidays. Swap receipts. Proceeds from the realisation of security in default relating to missed interest and fees. Salvage receipts. Drawings made on the subordinated loan to establish the shortfall fund where the issuer has failed the minimum mortgage rate. Scheduled (and unscheduled) releases from the margin reserve fund. equals the revenue ledger balance on the interest payment date.
Please refer to section (5) (f) for more detail with respect to the cash management procedures for the MTL payment holidays.
For transparency on the investor reports, the revenue ledger balance has been broken down into the following categories:
Quarterly interest income: this relates to the quarterly interest generated from the borrowers’ monthly payments.
Redemption income: this relates to early prepayment fees at the redemption of the mortgage plus if applicable, any missed interest and fees.
Investment income: this relates to the proceeds from the placement of cash during the interest period with the appropriate rating, deposited to the issuer’s transaction account and credited to the revenue ledger.
Swap receipts: this relates to swap receipts from the swap counterparties (JP Morgan & ABN Amro) where the quarterly GBP Libor exceeds the swap rate in the underlying swap confirmations in respect of the fixed rate loans in the portfolio.
Scheduled releases from the margin reserve fund drawings: this relates to predetermined scheduled releases from the margin reserve fund ledger to the revenue ledger to run through PM14, PM15, PM20, PM21, PM22, PM23 and PM24’s priority of payments on each interest payment date. For PM14 the margin reserve fund (£9,488,800) has been funded on the closing date by a drawing on the PM14/PFPLC/MTS subordinated loan. For PM15, the margin reserve fund (£6,201,234) has been funded on the closing date and the pre-funding reserve execution date, by drawings on the PM15/PFPLC/MTS subordinated loan. For PM20, the margin reserve fund (£733,202) has been funded on the closing date and the pre-funding reserve execution date, by drawings on the PM20/PFPLC subordinated loan. For PM21, the margin reserve fund (£713,029) has been funded on the closing date and the pre-funding reserve execution date, by drawings on the PM21/PFPLC subordinated loan. For PM22, the margin reserve fund (£1,081,144) has been funded on the closing date and the pre-funding reserve execution date, by drawings on the PM22/PFPLC subordinated loan. For PM23, the margin reserve fund (£993,947) has been funded on the closing date and the pre-funding reserve execution date, by drawings on the PM23/PFPLC subordinated loan. For PM24, the margin reserve fund (£1,578,443) has been funded on the closing date and the pre-funding reserve execution date, by drawings on the PM24/PFPLC subordinated loan.
In addition, for PM21, with respect to Interest Rate Converted Mortgages, where the reduction in the interest charging rate between the reversionary rate and the interest rate on the new
12 Glossary of Terms teaser period, a provision is made in the Margin Reserve Fund (calculated at each month end) by drawing on the PM21/PFPLC Subordinated Loan and crediting the Margin Reserve Fund and then released to the revenue ledger of PM21’s transaction account, on the last working day of each month, on each Interest Payment Date. In addition, for PM22, with respect to Interest Rate Converted Mortgages, where the reduction in the interest charging rate between the reversionary rate and the interest rate on the new teaser period, a provision is made in the Margin Reserve Fund (calculated at each month end) by drawing on the PM22/PFPLC Subordinated Loan and crediting the Margin Reserve Fund and then released to the Revenue Ledger of PM22’s transaction account, on the last working day of each month, on each Interest Payment Date. In addition, for PM23, with respect to Interest Rate Converted Mortgages, where the reduction in the interest charging rate between the reversionary rate and the interest rate on the new teaser period, a provision is made in the Margin Reserve Fund (calculated at each month end) by drawing on the PM23/PFPLC Subordinated Loan and crediting the Margin Reserve Fund and then released to the Revenue Ledger of PM23’s transaction account, on the last working day of each month, on each Interest Payment Date. In addition, for PM24, with respect to Interest Rate Converted Mortgages, where the reduction in the interest charging rate between the reversionary rate and the interest rate on the new teaser period, a provision is made in the Margin Reserve Fund (calculated at each month end) by drawing on the PM24/PFPLC Subordinated Loan and crediting the Margin Reserve Fund and then released to the Revenue Ledger of PM24’s transaction account, on the last working day of each month, on each Interest Payment Date.
First loss fund drawings: to the extent that the issuer has insufficient revenue to meet all of its senior liabilities on each interest payment date, a drawing is made on the first loss fund and credited to the revenue ledger to run through the priority of payments.
Drawings on the subordinated loan for interest shortfalls: this relates to the funds drawn on the subordinated loan as a result of the failure of the minimum mortgage rate test. The weighted average interest rate on each portfolio (along with investment income, redemption fees, and scheduled releases from the margin reserve fund in respect of PM14, PM15, PM20, PM21, PM22, PM23 and PM24) must exceed GBP Libor + 2% (except FF7 which must exceed Libor + 2.2% and PM20, PM21, PM22, PM23 & PM24 which must exceed Libor + 4%). To the extent that each issuer does not achieve this threshold, a cash drawing is made on the subordinated loan to make up for the resultant shortfall. In the underlying documentation, the drawing made on the subordinated loan is credited to the shortfall ledger, then on each interest payment date, is credited to the revenue ledger, however for the purposes of the investor reports, the drawing on the subordinated loan is shown as a credit to the revenue ledger on each interest payment date to then run through the priority of payments. d. “Accrued arrears sold to the issuer” For PM7 – PM14, the arrears and accrued interest on mortgages less than or equal to one month at the closing date were not sold to the issuer. For PM15, PM20 - PM24, none of the accrued interest and arrears were sold to the issuer. Cash received on those mortgages pay off the accrued interest to the relevant sellers at any time during an interest period. This is detailed in part 1 of the section titled “revenue payments made or accrued from revenue income” on page 2 of the investor report. This cash is not available to meet the issuer’s funding costs and operating expenses. e. “Accrual from Revenue for potential Losses” For PM7 – PM15, and PM20 - PM24 an accrual is made from the excess spread that otherwise is payable at the bottom of the priority of payments. The accrual relates to potential losses on receiver of rent cases with LTV’s greater than 100%, where the property is to be sold. On each principal determination date, the administrator calculates the excess spread, and retains from the excess spread, the value of the potential losses in the transaction account. When the property is sold and the loss is crystallised, the accrual is released to the Principal Deficiency Ledger in order to repay the notes on the interest payment date. This is at the Administrator’s discretion, and not an obligation under the Administration Agreement. f. “Pre-closing arrears” In respect of PM7 – PM14, arrears and accrued interest on assets greater than one month’s arrears were purchased by these issuers on the closing dates. Any cash received on those assets in a period are firstly applied to the pre-closing arrears. The effect of the issuer purchasing the pre-closing arrears is diverting
13 Glossary of Terms the revenue derived from pre-closing arrears accounts from revenue to principal, forming part of the available redemption funds to redeem notes on an interest payment date.
For FF7, the pre-closing arrears were purchased by the issuer by drawing on the PFPLC/MTS subordinated loan. Any cash received in respect of the pre-closing arrears forms part of the revenue ledger balance to meet FF7’s funding costs and operating expenses. A diversion is not made to the principal ledger in respect of FF7’s pre-closing arrears. g. “Purpose of the subordinated loans for PM7 – PM15, PM20 - PM24 and FF7” Establishing the first loss fund, funding discretionary and mandatory further advances in situations where the issuer has insufficient principal cash during an interest period (with the exception of FF7 which funds its discretionary further advances from the subordinated loan as they are not funded via principal cash) and establishing the shortfall fund where the minimum mortgage rate hasn't been achieved. In addition, in respect of PM7 – PM15, PM20 - PM24 and FF7 to cancel out a debit balance on the principal deficiency ledger and to bring the first loss fund to the required level and the funding of swap termination fees to the extent revenue cash is insufficient during an interest period. h. “Revenue payments made or accrued from revenue income”
These consist of the following funding and operating costs and expenses on each interest payment date, made in GBP sterling.
Trustee fee / Tender agent fees / Costs and expenses claimed by the Remarketing Agent, the A1 Conditional Purchaser and the Substitute Administrator These relate to trustee and tender agent’s fees and any costs and expenses claimed by the principal paying agent, the Substitute Administrator, the remarketing agent or the conditional purchaser under the PM10 – PM15 A1 note conditional purchase agreements and the PM10 – PM15 remarketing agreements.
Senior Administration Fee to PFPLC and MTS / Out of pocket expenses / Substitute Administrator Commitment Fee / Substitute Administrator Facilitator Fee / Surveillance Fees to Rating Agencies / Corporate Servicer Provider Fee (I) Senior Administration Fees: For PM9 – PM13, FF7 and PM15, PM20 – PM24, the “senior” administration fees are calculated at 0.15% per annum, based on the PML and the MTL mortgage asset balance on the preceding principal determination date. For PM7 and PM8, and PM14, the “senior” fees are calculated at 0.10% and 0.05% per annum, respectively, based on the PML and the MTL mortgage asset balance on the preceding principal determination date.
(II) Substitute Administrator’s Commitment Fees: For PM7 – PM15 and FF7, the substitute administrator’s commitment fees are calculated at 0.004% per annum, based on the PML and the MTL originated asset balance on the preceding principal determination date. For PM20 - PM24, the substitute administrator’s commitment fees are the greater of (a) 0.004% per annum, based on the Paragon Mortgages (2010) Limited originated asset balance during the twelve month period and (b) £8,000 payable annually in advance.
(III) Substitute Administrator Facilitator Fees: For PM20 - PM24, the substitute administrator facilitator fees are payable on the closing date and annually thereafter.
The substitute administrator facilitator was appointed on PM7 – PM13 and PM15 on 30 th January 2013. Please refer to the Moody’s press release dated 21st February 2013 on the Investor News section of the website.
(IV) Surveillance Fees to Rating Agencies: For PM7 – PM13 and PM15, these relate to the annual surveillance fees to the rating Agencies
(V) Corporate Servicer Provider Fee: For PM20, these relate to the annual fee to the Corporate Servicer Provider for providing independent directors to PM20 and PM20 Holdings. For PM21, these relate to the annual fee to the Corporate Servicer Provider for providing independent directors to PM21 and PM21 Holdings.
14 Glossary of Terms For PM22, these relate to the annual fee to the Corporate Servicer Provider for providing independent directors to PM22 and PM22 Holdings. For PM23, these relate to the annual fee to the Corporate Servicer Provider for providing independent directors to PM23 and PM23 Holdings. For PM24, these relate to the annual fee to the Corporate Servicer Provider for providing independent directors to PM24 and PM24 Holdings.
Payments to Swap Counterparties These relate to quarterly swap payments paid to the swap counterparties (JP Morgan, ABN Amro and Macquarie Bank Limited) where the quarterly GBP Libor is less than the swap rate in the underlying swap confirmations in respect of the fixed rate loans in the portfolio.
Payment to Flexible Drawing Facility Provider Commitment Fee For PM9, PM10, PM13, PM14 & FF7, the commitment fees to the flexible drawing facility provider are calculated at 0.12% of the flexible drawing facility at each interest payment date, referenced to the value of the flexible drawing facility. Note: The flexible drawing facilities have been cancelled with the facility provider. For further details, please refer to the statements dated 4th November 2013 and 19th February 2014 on the Investor News section of the website.
Note Interest / Swap Currency Interest These relate to the note interest and swap currency interest payable to each class of note holders on each interest payment date, where all of the payments are referenced to (a) three month GBP Libor plus the agreed note margins and the currency swap margins and (b) the GBP equivalent note value at the previous quarter end. All payments made to the GBP note holders and the currency swap provider are made in GBP sterling on each interest payment date. For example, the A2c currency swap interest is calculated by multiplying the A2c GBP equivalent note balance at the previous interest payment date by the current interest rate (three month GBP Libor + margin), dividing this by 365, then multiplying by the number of days in the current interest period.
For PM12, the A2c currency swap interest on the August 2010 interest payment date equalled:
£109,038,324.02 (A2c GBP equivalent note balance) x 0.82445% (GBP Libor + currency swap margin) / 365 x 91 (number of days in the interest period) = £224,125.89 payment to PM12’s currency swap provider.
In respect of PM10, PM11, PM13 and PM14, the Class A1 Note Conditional Purchasers purchased the Class A1 Notes (in sterling), on the relevant Mandatory Transfer Date (see below).
SPV A1 Note Conditional Purchaser Mandatory Transfer Date
PM10 Sheffield Receivables Corporation 15th September 2016 PM11 Royal Bank of Scotland and Deutsche Bank 17th January 2017 PM13 Royal Bank of Scotland 15th July 2015 PM14 Royal Bank of Scotland 15th December 2016
Each purchase resulted in the termination of the relevant Class A1 currency swap and the commencement of the Sterling cashflows for the Class A1 Notes with effect from the relevant Mandatory Transfer Date.
Subsequently, the PM10 Class A Note Interest / Swap Currency Interest has been reported on the Investor Reports in the following format to reflect the Class A1 sterling cashflows, in accordance with the revenue priority of payments.
Prior to the Interest Payment Date on 15th December 16 From the Interest Payment Date on 15th December 16 A1 and A2b Swap Currency Interest A1 and A2a Note Interest A2a Note Interest A2b Swap Currency Interest
The PM11 Class A Note Interest / Swap Currency Interest has been reported on the Investor Reports in the following format to reflect the Class A1 sterling cashflows, in accordance with the revenue priority of payments.
15 Glossary of Terms Prior to the Interest Payment Date on 18th April 17 From the Interest Payment Date on 18th April 17 A1 and A2b Swap Currency Interest A1 and A2a Note Interest A2a Note Interest A2b Swap Currency Interest
The PM13 Class A Note Interest / Swap Currency Interest has been reported on the Investor Reports in the following format to reflect the Class A1 sterling cashflows, in accordance with the revenue priority of payments.
Prior to the Interest Payment Date on 15th October 15 From the Interest Payment Date on 15th October 15 A1, A2b and A2c Swap Currency Interest A1 and A2a Note Interest A2a Note Interest A2b and A2c Swap Currency Interest
The PM14 Class A Note Interest / Swap Currency Interest has been reported on the Investor Reports in the following format to reflect the Class A1 sterling cashflows, in accordance with the revenue priority of payments.
Prior to the Interest Payment Date on 15th March 17 From the Interest Payment Date on 15th March 17 A1, A2b and A2c Swap Currency Interest A1 and A2a Note Interest A2a Note Interest A2b and A2c Swap Currency Interest
Issuer Profit Amount Payment to the issuer to retain as profit in the transaction account an amount equal to £250.
Unsecured claimants in an amount not exceeding the “Prescribed Part” For PM7 – PM13 and PM15, to the extent not already paid in full over one or more interest payment dates, payment to any unsecured claimants (primarily the Pension Regulator) of the Issuer in respect of full and final settlement of a claim that is due and payable and remains unpaid and does not exceed the amount prescribed as the “prescribed part” in the Insolvency Act Order 2003, were the Issuer to be declared insolvent. For further details, please refer to the Moody’s press release dated 21st February 2013 on the Investor News section of the website. For PM14, FF7 and PM20 - PM24 this is not applicable in the revenue priority of payments.
Third Party payments for Corporation Tax and VAT An accrual is made for VAT and corporation tax payments in the quarter. In addition, an accrual in respect of third party items such as audit and directors fees are made.
Principal Deficiency Ledger Replenishment To the extent that a principal balance remains outstanding on an asset following the completion of the enforcement procedures, such balances are booked to the issuer’s principal deficiency ledger. Provided there is excess revenue available on an interest payment date after making payments in the order of priority, the administrator will cancel out such balance(s) to the principal deficiency ledger by diverting excess revenue to the principal or by drawing on the subordinated loan, to form part of the available redemption funds to redeem the notes on the interest payment date. In situations where a drawing has been made to replenish the principal deficiency ledger, this is credited directly to the principal deficiency ledger and the principal ledger and does not flow through the priority of payments.
Whilst any remaining principal balance following the completion of the enforcement procedures are booked to the issuer’s principal deficiency ledger and repaid to the Note holders in the form of the Available Redemption Funds, the Administrator continues to pursue the borrower for the outstanding balance. Any cash subsequently received from the borrower (where a loss has been recorded to the principal deficiency ledger and formed part of the available redemption funds to repay the Note holders) is credited to the principal ledger and the principal deficiency ledger. A negative entry to the principal deficiency ledger, usually equal to the recovery, is cleared by diverting this into the revenue ledger to flow through the revenue priority of payments.
First Loss Fund Replenishment To the extent that the issuer has insufficient revenue to meet all of its senior liabilities on each interest payment date, a drawing is made on the first loss fund and credited to the revenue ledger to run through the priority of payments. As the first loss fund has to be at the required level in order for the issuer to grant further advances in the next quarter, the first loss fund is replenished back to the required level by drawing on the PFPCL/MTS subordinated loan, or capturing through excess spread in the priority of payments. In situations where a drawing has been made in the first loss 16 Glossary of Terms fund to meet the issuer’s senior liabilities, and is replenished to its required level by drawing on the subordinated loan, this is credited directly to the first loss fund ledger and does not flow through the priority of payments.
Junior Administration Fee to PFPLC and MTS For PM9 – PM13, FF7, PM15 and PM20 – PM24 the “junior” administration fee are calculated at 0.15% per annum, based on the PML and the MTL mortgage asset balance on the preceding principal determination date. For PM7 and PM8, and PM14, the “junior” fee is calculated at 0.20% and 0.25% per annum respectively, based on the PML and the MTL mortgage asset balance on the preceding principal determination date.
Surplus Income to the Issuer To the extent that an excess balance remains on the revenue ledger after making all payments in the order of priority on an interest payment date, the issuer is entitled to receive this balance to pay or provide for payment of any dividends or other distributions to be made by the issuer, such as interest on the fee letter, payment of PFPLC/MTS subordinated loan interest, repayment of the subordinated loan and management charges to PFPLC. For the purposes of the investor reports, this is shown as a combined number (except PM20 – PM24). In respect of PM20 – PM24, the Services Provider Fee, Interest and repayment on the Services Provider Fee are reported above the Surplus Income to the Issuer. The Services Provider Fee is equal to: (a) 0.40% of the Initial amount of Notes issued and (b) the initial amount of expenses of each Issuer, in setting up the transaction. This is paid over a four year period. Interest is charged on this amount at Libor + 4%.
Opening cash balance 0 0 Total principal cash received this period from assets 9,113 Quarterly Interest Income 5,381 Redemption Income 113 Investment Income 40 Swap receipts 0 First Loss Fund Drawings 0 Drawing on the PFPLC/MTS/PM12 Subordinated Loan for Interest Shortfalls 523 Initial income for distribution this period 9,113 6,057 Funding of MTL payment holidays 0 0 Revenue adjustment for payment of Accrued Arrears and Interest Sold at closing 0 0 Accrual from Revenue for potential Losses -74 Final income for distribution this period 9,113 5,983 Revenue payments made or accrued from Revenue Income: 1 Accrued Arrears and Interest not Sold to Issuer 0 2 Trustee Fee/Tender Agent Fees/ Costs and Expenses claimed by the Substitute Administrator, the Remarketing Agent and the A1 Conditional Purchaser -2 3 Senior Administration Fee to PFPLC and MTS/ Out of pocket expenses/ Substitute Administrator Commitment Fee/ Substitute Administrator Facilitator Fee/ Surveillance Fees to Rating Agencies -473 4 (a) Payments to Swap Counterparty 0 4 (b) A1, A2b and A2c Swap Currency Interest -1,277 4 (c) A2a Note Interest -157 5 (a) B1b Swap Currency Interest -225 5 (b) B1a Note Interest -63 6 (a) C1b Swap Currency Interest -275 6 (b) C1a Note Interest -62 7 Unsecured claimants in an amount not exceeding the "Prescribed Part" in The Insolvency Act (Prescribed Part) Order 2003 (as amended from time to time) 0 8 Third Party payments for Corporation Tax and VAT -8 9 PDL Replenishment 56 -56 10 First Loss Fund Replenishment 0 11 Termination Fees to Swap Provider 0 12 Cap/Swap Retention fund 0 13 Junior Administration Fee to PFPLC and MTS -356 14 Surplus income to the Issuer -3,029 Principal payments made from Principal Income: PML Mandatory Further Advances 0 MTL Mandatory Further Advances 0 Discretionary Further Advances -250 A1 Swap Currency repayment -5,601 A2a Note repayment -996 A2b Swap Currency repayment -1,161 A2c Swap Currency repayment -1,161 B1a Note repayment 0 B1b Swap Currency repayment 0 C1a Note repayment 0 C1b Swap Currency repayment 0 Total payments to be made this quarter -9,169 -5,983 Total closing cash balance 0 0
(3) AVAILABLE CREDIT ENHANCEMENT SECTION – PAGE 3
17 Glossary of Terms Available Credit Enhancement
First Loss Fund Analysis First Loss Fund at Closing 28,504 Last Quarter closing First Loss Fund balance 28,504 Drawings this quarter to fund 0 A Note Interest / Currency Swap Interest 0 B Note Interest / Currency Swap Interest 0 C Note Interest / Currency Swap Interest 0 PDL Replenishment 0 Replenishments from excess Revenue cash 0 Replenishments from drawings on the PM12/PFPLC/MTS Subordinated Loan 0 Closing First Loss Fund Balance 28,504
Flexile Drawing Facilty (Not Applicable to PM12) Facility at Closing 0 Drawings used to fund Mandatory Further Advances during the period 0 Closing Flexible Drawing Facility Balance 0
Spread Trap Requirement N/A Build up - prior periods N/A Build up - this period N/A Requirement Outstanding N/A
Principal Deficiency Ledger (PDL) Opening PDL Balance 0 Losses this quarter 56 Total PDL balance 56 PDL replenishment (-) from Revenue income / Recovery (+) to Revenue income -56 Closing PDL Balance 0 Accrual from Revenue for potential Losses 74
Over Collateralisation
Current Principal Balance Outstanding and Accrued Arrears (£'000) 923,068 Outstanding Note Principal (£'000) 923,068
Mandatory and Discretionary Further Advances (FA's) DFA's MFA's (PML) Total Total FA's permitted 240,033 FA's made to last quarter 50,013 6,362 56,375 FA's made this quarter 250 0 250 Total FA's made to date 50,263 6,362 56,625 Remaining permitted FA's 183,408
Cash Flow Interest Coverage Cover Ratio for Class A Notes (at last Interest Payment Date) 3.84 x Cover Ratio for Class A Notes (cumulative) 1.74 x Cover Ratio for Class B Notes (at last Interest Payment Date) 14.15 x Cover Ratio for Class B Notes (cumulative) 6.54 x Cover Ratio for Class C Notes (at last Interest Payment Date) 11.23 x Cover Ratio for Class C Notes (cumulative) 6.15 x
PM12 INVESTOR REPORT QUARTER ENDING JULY 2014
a. “First Loss Fund” A % of the closing date’s GBP equivalent note balance agreed with the rating agency / agencies on the closing date is deposited as cash to the issuer's transaction bank account from the PFPLC subordinated loan, or in respect of PM9, the Mortgage Trust Services PLC and the Paragon Loan Finance (No.2) PLC subordinated loan, or in respect of PM10-PM15 and FF7, the Mortgage Trust Services PLC and the Paragon Finance PLC subordinated loans, or in respect of PM20 - PM24, the PFPLC subordinated loan.
To the extent that the issuer's revenue resources are insufficient on an interest payment date to pay its senior liabilities, a drawing is made on the first loss fund to enable the issuer to make such payments. For PM7- PM15, PM20 - PM24 and FF7, drawings on the first loss fund are allowed to bring the PDL to nil.
To the extent that the issuer has sufficient revenue available in the next interest period, the issuer will use the surplus revenue to bring the first loss fund back to its required amount, or draw on the subordinated loan to bring it back to the required level.
Please refer to section (5) (c) with respect to the first loss fund arrears triggers and the first loss fund liquidity ledger triggers.
b. “Flexible Drawing Facility” Credit Enhancement is also provided by the flexible drawing facilities on PM8, PM9, PM10, PM13, PM14 and FF7. To the extent that there is an insufficient amount of principal cash to fund the MTL redraws (the MTL mortgage conditions allows a customer to overpay on his mortgage and then request to draw it back down again) or the issuers can’t draw on their respective subordinated loans, a request is made to Barclays Bank PLC as the flexible drawing facility provider to fund the redraws in order to mitigate any set off risk with the borrowers. Drawings made in the redraw facility are repaid to Barclays Bank PLC via the available redemption funds calculation on each principal determination date.
For PM9, PM10, PM13, PM14 and FF7, the flexible drawing facilities amortise in line with the amortisation of the flexible mortgages, subject to a minimum floor % imposed by the rating agencies.
PM11, PM12 & PM15 have no flexible drawing facilities. There are no flexible mortgages in PM20 - PM24.
Note: The flexible drawing facilities have been cancelled with the facility provider. For further details, please refer to the statements dated 4th November 2013 and 19th February 2014 on the Investor News section of the website. 18 Glossary of Terms c. “Spread Trap” The spread trap is calculated as a % of the current balance agreed with the rating agency / agencies on the closing date.
To the extent that there is excess revenue after making payments in the order of priority on an interest payment date, the spread trap is built up from excess revenue and diverted to principal to form part of the available redemption funds in redeeming the notes in the next succeeding period in respect of a non-substituting transaction. For all of the Paragon Mortgages transactions, 100% notes were issued against the assets. d. “Principal Deficiency Ledger” To the extent that a principal balance remains outstanding on an asset after completion of the enforcement procedures, such balances are booked to the issuer's principal deficiency ledger. Provided there is excess revenue available on an interest payment date after making payments in the order of priority, the administrator will cancel out such balance(s) to the principal deficiency ledger by (a) diverting excess revenue to principal or (b) drawing on the subordinated loan, to form part of the available redemption funds to redeem the notes on the next succeeding interest payment date. In situations where a drawing has been made to replenish the principal deficiency ledger, this is credited directly to the principal deficiency ledger and the principal ledger and does not flow through the priority of payments. e. “Margin Reserve Fund” For PM14, PM15, PM20, PM21, PM22, PM23 and PM24 a margin reserve fund equal to £9,488,800, £6,201,234, £733,202, £713,029, £1,081,144, £993,947 and £1,578,443 respectively has been incorporated into these transactions to supplement their margins due to the level of discounted rate mortgages within each transaction (and to supplement the carry cost of £29,549,622 pre funding and £3,000,000 discretionary further advance pre funding in PM20, £23,450,573 pre funding and £2,175,000 discretionary further advance pre funding in PM21, £53,164,533 pre funding and £2,610,079 discretionary further advance pre funding in PM22, £17,344,718 pre funding and £1,500,145 discretionary further advance pre funding in PM23 and £1,652,096 discretionary further advance pre funding in PM24). On each interest payment date, predetermined scheduled releases are made from the margin reserve fund ledger to the revenue ledger (between the September 2007 interest payment date to the September 2008 interest payment date for PM14, between the December 2007 interest payment date to the September 2008 interest payment date for PM15, between the November 2014 interest payment date to the August 2018 interest payment date for PM20, between the March 2015 interest payment date to the December 2018 interest payment date for PM21, between the June 2015 interest payment date to the March 2019 interest payment date for PM22, between the October 2015 interest payment date to the July 2019 interest payment date for PM23 and between the April 2016 interest payment date to the January 2020 interest payment date for PM24) to run through PM14, PM15, PM20, PM21, PM22, PM23 and PM24 priority of payments. For PM14, the £9,488,800 margin reserve fund has been funded on the closing date by a drawing on the PM14/PFPLC/MTS subordinated loan. For PM15, the £6,201,234 margin reserve fund has been funded on the closing date and the pre- funding reserve execution date, by drawings on the PM15/PFPLC/MTS subordinated Loan. For PM20, the £733,202 margin reserve fund has been funded on the closing date and the pre-funding reserve execution dates, by drawings on the PM20/PFPLC subordinated Loan. For PM21, the £713,029 margin reserve fund has been funded on the closing date and the pre-funding reserve execution dates, by drawings on the PM21/PFPLC subordinated Loan. For PM22, the £1,081,144 margin reserve fund has been funded on the closing date and the pre-funding reserve execution dates, by drawings on the PM22/PFPLC subordinated Loan. For PM23, the £993,947 margin reserve fund has been funded on the closing date and the pre-funding reserve execution dates, by drawings on the PM23/PFPLC subordinated Loan. For PM24, the £1,578,443 margin reserve fund has been funded on the closing date and the pre-funding reserve execution dates, by drawings on the PM24/PFPLC subordinated Loan.
In addition, for PM21, with respect to Interest Rate Converted Mortgages, where the reduction in the interest charging rate between the reversionary rate and the interest rate for the new teaser period, a provision is made in the Margin Reserve Fund (calculated at each month end) by drawing on the PM21/PFPLC Subordinated Loan and crediting the Margin Reserve Fund and then released to the Revue Ledger of PM21’s transaction account, on the last working day of each month, on each Interest Payment Date. In addition, for PM22, with respect to Interest Rate Converted Mortgages, where the reduction in the interest charging rate between the reversionary rate and the interest rate for the new teaser period, a provision is made in the Margin Reserve Fund (calculated at each month end) by drawing on the
19 Glossary of Terms PM22/PFPLC Subordinated Loan and crediting the Margin Reserve Fund and then released to the Revenue Ledger of PM22’s transaction account, on the last working day of each month, on each Interest Payment Date. In addition, for PM23, with respect to Interest Rate Converted Mortgages, where the reduction in the interest charging rate between the reversionary rate and the interest rate for the new teaser period, a provision is made in the Margin Reserve Fund (calculated at each month end) by drawing on the PM23/PFPLC Subordinated Loan and crediting the Margin Reserve Fund and then released to the Revenue Ledger of PM23’s transaction account, on the last working day of each month, on each Interest Payment Date. In addition, for PM24, with respect to Interest Rate Converted Mortgages, where the reduction in the interest charging rate between the reversionary rate and the interest rate for the new teaser period, a provision is made in the Margin Reserve Fund (calculated at each month end) by drawing on the PM24/PFPLC Subordinated Loan and crediting the Margin Reserve Fund and then released to the Revenue Ledger of PM24’s transaction account, on the last working day of each month, on each Interest Payment Date. f. “Over collateralisation” The result of deducting the value of the assets less the value of the notes equals the over collateralisation. For all of the Paragon Mortgages transactions, 100% notes were issued against the assets. g. “Mandatory Further Advances” Financed out of principal cash received during an interest period, a further advance made to borrowers to fund deferred interest or the release of an advance retained as part of the original mortgage after completing certain works to the property. In addition, drawings under the MTL flexible loan product are also funded out of available principal cash and are defined as mandatory further advances. Mandatory further advances are deducted from the available redemption funds to arrive at the note repayment to the note holders. h. “Discretionary Further Advance” For PM7 – PM15, discretionary further advances, financed out of principal cash provided that the principal deficiency ledger is nil at the previous interest payment date and certain arrears tests are met. Additional tests for PM7 – PM15 include a 1% LTV movement test and that the first loss funds must be at the required levels at the previous interest payment date.
For PM20 - PM24, discretionary further advances, are firstly funded from the Discretionary Further Advance Pre-Funding Reserve Ledger (DFA PFRL) and secondly out of principal cash provided that the principal deficiency ledger is nil at the previous interest payment date and certain arrears tests are met (as in PM7 – PM15 above). In addition, for PM20 – PM24, the Mortgage Condition tests have been replaced with a £30,000,000 (for PM20) and £25,000,000 (for PM21 - PM24) borrower concentration limit for the top 20 landlords, as outlined in the PM20 prospectus (page 180), PM21 prospectus (page 174), PM22 prospectus (page 196), PM23 prospectus (page 195) and PM24 prospectus (page 197).
Discretionary further advances form part of the available redemption funds calculation in determining the note repayment to the note holders (for PM20 - PM24, this is after utilising the Discretionary Further Advance Pre-Funding Reserve).
FF7 discretionary further advances are not funded out of principal cash but from the FF7/PFPLC/MTS subordinated loan and therefore do not form part of the available redemption funds calculation in determining the note repayment to the note holders. i. “Cash flow coverage numbers” Cash flow coverage ratios are calculated as the ratio of revenue cash received during the quarter to note interest payments, in each case net of payments due in priority to the respective class of note. If revenue cash is insufficient to pay any interest on a class of note then a zero will appear in the report.
(4) COLLATERAL LEVEL DATA SECTION – PAGE 4
20 Glossary of Terms Collateral Level Data 31-Jul-14
Original Weighted Average Yield 5.21% Original Weighted Average Note Coupon and Currency Swap Rate 4.85% Original Spread 0.35% Current Weighted Average Yield 2.24% Current Weighted Average Note Coupon and Currency Swap Rate 0.88% Current Spread 1.36% Total Income as a % of the Total Assets 0.64% Stated Maturity - Class A Notes Nov-38 Stated Maturity - Class B Notes Nov-38 Stated Maturity - Class C Notes Nov-38 Original Weighted Average Maturity 21.06 years Current Weighted Average Maturity 13.25 years Quarterly Prepayment Rate 0.98% Life Time Prepayment Rate 6.38%
Delinquency Status No. £'000 Value Enforcements in Progress 1 681 Appointment of a Receiver of Rent 112 18,592 Enforcements Completed 0 0 Aggregate Principal Balance of Repurchased Loans 0 Aggregate Balance of Substituted Loans n/a Principal Losses Agg Loan Principal Losses (during related Collection Period) 56 Cumulative Principal Losses (since closing date) 6,545 Possession Properties Sold Properties Sold by Mortgagee - Outstanding Principal Balance 0 0 Average Number of months in Arrears @ Redemption date 0.00 Average months between Possession & Redemption 0.00 Receiver of Rent Properties Sold Properties Sold by Mortgagee - Outstanding Principal Balance 5 415 Average Number of months in Arrears @ Sale date 0.93
FOR ADDITIONAL INFORMATION ON THE UNDERLYING ASSETS, PLEASE REFER TO THE "POOL TABLES" AND "SUMMARY" SECTIONS POSTED ON THE PARAGON WEBSITE http://www.paragon-group.co.uk
Delinquency Summary No. % £'000 Principal % Performing 6,893 99.64% 918,470 99.50% >1<=2 Months 11 0.16% 2,106 0.23% >2<=3 Months 2 0.03% 162 0.02% >3<=4 Months 2 0.03% 225 0.02% >4<=5 Months 2 0.03% 348 0.04% >5<=6 Months 0 0.00% 0 0.00% >6<=12 Months 3 0.04% 977 0.11% >12 Months 5 0.07% 780 0.08%
Total 6,918 100.00% 923,068 100.00%
Delinquency Summary (Excluding Receiver of Rent and Possession Cases) No. % £'000 Principal % Performing 6,797 99.87% 902,051 99.73% >1<=2 Months 6 0.09% 1,454 0.16% >2<=3 Months 0 0.00% 0 0.00% >3<=4 Months 0 0.00% 0 0.00% >4<=5 Months 1 0.01% 127 0.01% >5<=6 Months 0 0.00% 0 0.00% >6<=12 Months 1 0.01% 680 0.08% >12 Months 1 0.01% 164 0.02%
Total 6,806 100.00% 904,476 100.00%
Delinquency Summary (For Receiver of Rent Cases) No. % £'000 Principal % Performing 96 85.71% 16,419 88.31% >1<=2 Months 5 4.46% 652 3.51% >2<=3 Months 2 1.79% 162 0.87% >3<=4 Months 2 1.79% 225 1.21% >4<=5 Months 1 0.89% 221 1.19% >5<=6 Months 0 0.00% 0 0.00% >6<=12 Months 2 1.79% 297 1.60% >12 Months 4 3.57% 616 3.31%
Total 112 100.00% 18,592 100.00%
Delinquency Summary (For Possession Cases) No. % £'000 Principal % Performing 0 0.00% 0 0.00% >1<=2 Months 0 0.00% 0 0.00% >2<=3 Months 0 0.00% 0 0.00% >3<=4 Months 0 0.00% 0 0.00% >4<=5 Months 0 0.00% 0 0.00% >5<=6 Months 0 0.00% 0 0.00% >6<=12 Months 0 0.00% 0 0.00% >12 Months 0 0.00% 0 0.00%
Total 0 0.00% 0 0.00%
Total Assets 6,918 923,068
Contact Name/Address Tel. E-mail
John Harvey, 51 Homer Road, Solihull, West Midlands, B91 3QJ +44 (0) 121 712 3894 [email protected] Andrew Kitching, 51 Homer Road, Solihull, West Midlands, B91 3QJ +44 (0) 121 712 3896 [email protected] Jimmy Giles, 51 Homer Road, Solihull, West Midlands, B91 3QJ +44 (0) 121 712 2315 [email protected]
PM12 INVESTOR REPORT QUARTER ENDING JULY 2014
a. “Original Weighted Average Yield” The weighted average interest rate charged on the mortgages at the closing date of the transaction, weighted by reference to the customer’s principal balance.
b. “Original Weighted Note Coupon” The weighted average note interest rate and currency swap interest rate, (equal to the GBP funding margin) charged to the issuer at the closing date of the transaction, calculated on a weighted average basis by reference to the GBP equivalent note value on the closing date. FF7 is a sterling deal only transaction.
c. “Original Spread” The result of deducting the weighted average interest rate on the assets from the weighted average GBP funding margin. In PM11 – PM15, there is negative spread caused by the high level of fixed rate loans in the transactions and the increase in GBP Libor. The resultant increase in Libor and the swap receipts from the swap counterparties are not included within the weighted average interest rates charged on the assets.
d. “Current Weighted Average Yield” The weighted average interest rate charged on the mortgages at the relevant quarter end, weighted by reference to the customer’s principal balance.
e. “Current Weighted Note Coupon” The weighted average note interest rate and currency swap interest rate, equal to GBP funding margin charged to the issuer at the start of the quarter, calculated on a weighted average basis by reference to the GBP equivalent note value at the preceding interest payment date. FF7 is a sterling deal only transaction.
f. “Current Spread” The result of deducting the weighted average interest rate on the assets from the weighted average GBP funding margin. In PM11 – PM15 there is negative spread caused by the high level of fixed rate loans in the transactions and the increase in GBP Libor. The resultant increase in Libor and the swap receipts from the swap counterparties are not included within the weighted average interest rates charged on the assets.
g. “Total income as a % of the assets” This measures the total income generated in the period as a percentage of the asset balance at the previous quarter end.
21 Glossary of Terms h. “Stated Maturity” The interest payment date following the assets latest maturity. i. “Originated Weighted Average Maturity” The weighted average remaining term of the assets at the closing date, calculated by reference to the remaining term, and weighted against the customer’s principal balance. j. “Current Weighted Average Maturity” The weighted average remaining term of the assets at the relevant quarter end, calculated by reference to the remaining term and weighted against the customer’s principal balance. k(i). “Quarterly Prepayment Rate” The quarterly prepayment rate calculated by analysing the redemptions and scheduled repayments and then dividing the result by the closing principal balance of the assets at the previous quarter end.
(ii). “Lifetime Prepayment Rate” The lifetime weighted average prepayment since the closing date using the following formula and example:
1 - ( (1- a1) x (1 - a2) x (1 - a3) ...... (1- an)) ^ (4 / n)
Where: a1 = redemption rate for quarter 1 a2 = redemption rate for quarter 2 a3 = redemption rate for quarter 3 an = redemption rate for quarter current n = no of quarters expired including current quarter
^ = to the power
For example, in the first three quarterly redemption rates were seen in a deal: 3.67%, 5.77% and 4.51%
The life time redemption rate is calculated as:
1 - ((1 - 3.67%) x (1 - 5.77%) x (1 - 4.51%)) ^ 4/3
1 – ((0.9633) x (0.9423) x (0.9549)) ^ 4/3
1 – 0.8668 ^ 1.333
1.1736
17.36%
“Delinquency Status” l(i). “Enforcements in progress": assets where the administrator has commenced or has issued proceedings against the borrowers in breach of their mortgage conditions at the relevant quarter end. l(ii). “Appointment of a receiver of rent”: equals the number and value of mortgages where the administrator has appointed a receiver of rent in respect of investment home loans at the relevant quarter end. l(iii). “Enforcements Completed": assets which have been repossessed awaiting the sale of the assets at the relevant quarter end.
Delinquency Status No. £'000 Value Enforcements in Progress 1 681 Appointment of a Receiver of Rent 112 18,592 Enforcements Completed 0 0 m. “Aggregate Principal Balance of Repurchased Loans” loans repurchased by the relevant sellers from the issuer caused by a breach of the security warranties at the relevant quarter end or in respect of
22 Glossary of Terms PM20 – PM24, where a borrower has requested a product conversion. The seller will repurchase these particular loans.
In respect of PM21 – PM24, product conversions are restricted to 10% of the aggregate current balance of the mortgages sold into PM21 – PM24. When the 10% limit is reached, the seller (PM2010) will repurchase the loans from the issuer, in order to effect the conversions. The sale proceeds will form part of the Available Redemption Funds to pay down the respective class of notes.
In respect of PM20, product conversions are not allowed in PM20, so a similar repurchase process, as outlined above, has to take place. n. “Aggregate Balance of Substituted Loans” Assets purchased by the issuer from the use of the pre-funding reserve in respect of PM7, PM8, PM13, PM14, PM15, PM20, PM21, PM22 and PM23. o. “Principal Losses” This relates to any losses made on the disposal of a property following the relevant administrator’s enforcement procedures at the relevant quarter end. In addition, the cumulative losses are also reported. p. “Possession / Receiver of Rent Properties Sold” Properties sold by the relevant administrator are split between: Possession sales Receiver of rent sales
Possession Properties Sold Properties Sold by Mortgagee - Outstanding Principal Balance 0 0 Average Number of months in Arrears @ Redemption date 0.00 Average months between Possession & Redemption 0.00 Receiver of Rent Properties Sold Properties Sold by Mortgagee - Outstanding Principal Balance 5 415 Average Number of months in Arrears @ Sale date 0.93
Possession/Receiver of Rent properties sold by the administrator. The average number of months in arrears at the sale date relates to the number of missed payments at the property sale date. The number of months between the possession to sale measures the time period involved in disposing of the property. q. “Delinquency summary"
"arrears" = missed payments
Performing - assets that are less that or equal to one month in arrears (i.e. missed payments). >1<= 2 months – mortgages that are greater than one in arrears, less than or equal to two months arrears. >2 <= 3 months – assets that are greater than two months arrears, less than or equal to three months arrears. >3 <= 4 months – assets that are greater than three months arrears, less than or equal to four months arrears. >4 <=5 months – assets that are greater than four months arrears, less than or equal to five months arrears. >5 <=6 months – assets that are greater than five months arrears, less than or equal to six months arrears. >6 <=12 months – assets that are greater than six months arrears, less than or equal to twelve months arrears. >12 months - assets that are greater than twelve months in arrears.
The arrears bandings are calculated on payments expected, minus payments received, divided by the monthly payments to put the loan into the relevant arrears band.
Example:
Payments expected: £600 Payments received: NIL Monthly payment: £100 23 Glossary of Terms Arrears Band: 6 months
From here, the arrears band is then linked into the customer’s outstanding principal balance.
Delinquency Summary No. % £'000 Principal % Performing 6,893 99.64% 918,470 99.50% >1<=2 Months 11 0.16% 2,106 0.23% >2<=3 Months 2 0.03% 162 0.02% >3<=4 Months 2 0.03% 225 0.02% >4<=5 Months 2 0.03% 348 0.04% >5<=6 Months 0 0.00% 0 0.00% >6<=12 Months 3 0.04% 977 0.11% >12 Months 5 0.07% 780 0.08%
Total 6,918 100.00% 923,068 100.00%
Delinquency Summary (Excluding Receiver of Rent and Possession Cases) No. % £'000 Principal % Performing 6,797 99.87% 902,051 99.73% >1<=2 Months 6 0.09% 1,454 0.16% >2<=3 Months 0 0.00% 0 0.00% >3<=4 Months 0 0.00% 0 0.00% >4<=5 Months 1 0.01% 127 0.01% >5<=6 Months 0 0.00% 0 0.00% >6<=12 Months 1 0.01% 680 0.08% >12 Months 1 0.01% 164 0.02%
Total 6,806 100.00% 904,476 100.00%
Delinquency Summary (For Receiver of Rent Cases) No. % £'000 Principal % Performing 96 85.71% 16,419 88.31% >1<=2 Months 5 4.46% 652 3.51% >2<=3 Months 2 1.79% 162 0.87% >3<=4 Months 2 1.79% 225 1.21% >4<=5 Months 1 0.89% 221 1.19% >5<=6 Months 0 0.00% 0 0.00% >6<=12 Months 2 1.79% 297 1.60% >12 Months 4 3.57% 616 3.31%
Total 112 100.00% 18,592 100.00%
Delinquency Summary (For Possession Cases) No. % £'000 Principal % Performing 0 0.00% 0 0.00% >1<=2 Months 0 0.00% 0 0.00% >2<=3 Months 0 0.00% 0 0.00% >3<=4 Months 0 0.00% 0 0.00% >4<=5 Months 0 0.00% 0 0.00% >5<=6 Months 0 0.00% 0 0.00% >6<=12 Months 0 0.00% 0 0.00% >12 Months 0 0.00% 0 0.00%
Total 0 0.00% 0 0.00%
Total Assets 6,918 923,068
The delinquency summaries are split into the following categories:
Total outstanding cases (including non receiver of rent, receiver of rent and possession cases) Non receiver of rent cases Receiver of rent cases Possession cases
A receiver of rent is appointed on investment home loan cases usually when the customer is > 2 months in arrears. Receiver of rent is the equivalent of a possession case on an owner occupied mortgage, however, a court order is not required on a buy to let mortgage to take control of the property. The full rental stream from the property is diverted to the receiver, who in turn, passes the rental stream onto the administrator or if the property is vacant, the receiver can sell the property. With respect to the future sales of the properties, each case is assessed on its individual merits. The receiver of rent process allows for a broad range of strategies to be considered for the resolution of any case and allows for these strategies to develop over time as market conditions change.
In the situation where the customer has demonstrated to the administrator that he is in a position to resume full control of the portfolio, certain receiver of rent properties may be handed back to the customer.
(5) STRUCTURAL FEATURES a. “First Loss Fund arrears and loss triggers” The first loss fund credit enhancement levels are dependent on the asset performance during the life of the transaction. To the extent that the balance of mortgages greater than two months arrears equals 3% of the total mortgage balance on a principal determination date, (or in respect of PM20 - PM24 only, the cumulative loss is greater than or equal to 2% of the closing note balance), the first loss fund increases to:
PM7, from 2.20% to 2.90% of the GBP equivalent closing note balance. PM8, from 1.90% to 2.50% of the GBP equivalent closing note balance. PM9, from 1.76% to 2.26% of the GBP equivalent closing note balance. 24 Glossary of Terms PM10, from 1.86% to 2.36% of the GBP equivalent closing note balance. PM11- PM15, from 1.90% to 2.40% of the GBP equivalent closing note balance. PM20, from 3% to 4% of the GBP equivalent closing note balance. PM21, from 2.50% to 4% of the GBP equivalent closing note balance. PM22, from 2.50% to 4% of the GBP equivalent closing note balance. PM23, from 2.50% to 4% of the GBP equivalent closing note balance. PM24, from 2.50% to 4% of the GBP equivalent closing note balance.
Should the arrears hit the 3% level in one quarter and then improve in the next quarter falling below the 3% trigger, the credit enhancement remains at the higher level, through the capture of excess spread or drawing on the subordinated loan. b. “Principal cash used to pay Class A interest / currency swap interest on an interest payment date.” To the extent that the revenue ledger balance is insufficient to meet the SPV’s senior liabilities on an interest payment date (after fully utilising the first loss fund), principal cash can be used to satisfy the senior liabilities. An entry is made to the principal deficiency ledger, equal to the principal cash used to satisfy the senior liabilities.
For PM20 – PM24, to the extent that the revenue ledger balance is insufficient to meet all Class A, B and C note interest and senior liabilities in the revenue priority of payments, on an interest payment date (after fully utilising the liquidity excess amount), then principal cash can be used towards the payment of interest on the Class A, B and C notes and senior liabilities). Please refer to section 5d for the “liquidity excess amount” and the “liquidity amount”. An entry is made to the principal deficiency ledger, equal to the principal cash used to satisfy the payment of interest on the Class A, B and C notes and senior liabilities. c. “Liquidity ledger trigger event” PM9 - PM15 benefits from a liquidity ledger within the first loss fund. Upon a trigger breach, where the >3 months arrears loans hits 7.5% of the portfolio, a liquidity ledger will be established in the first loss fund. The liquidity ledger will be equal to 1.6% of the then current outstanding balance of the notes and it will be established by trapping available excess spread or, if this is not available, by trapping principal through the available redemption funds. The first loss fund is available to cover credit losses on the principal deficiency ledger and has to be maintained at least at a minimum floor of 1% of the principal balance of the notes at the closing date. The amount by which the balance of the first loss fund exceeds the liquidity amount (1.6% of the current note balance) is available to pay interest and senior cost obligations of the issuer and to make up any principal losses on the principal deficiency ledger should there be insufficient spread on the assets to meet these obligations. Once this amount has been fully drawn on and used, the liquidity reserve can only be used to cover interest/swap currency interest on the notes and subject to the following conditions: I. The liquidity reserve can only be used to cover Class B interest if the sum of such payments to cover Class A and B interest and the outstanding principal deficiency ledger does not exceed the outstanding note balance on Class B and Class C notes. II. The liquidity reserve can only be used to cover Class C interest if the sum of such payments to cover Class A, B and C interest and the outstanding principal deficiency ledger does not exceed the outstanding note balance on Class C notes. d. PM20 - PM24 “Liquidity Excess Amount” and “Liquidity Amount” There is no liquidity trigger in PM20 - PM24.
PM21, PM22, PM23 and PM24 Liquidity Amount: Whilst the Class A, B and C notes are outstanding, a liquidity amount will be established in the first loss fund on each principal determination date, equal to 2.50% for PM21, PM22, PM23 and PM24 of the aggregate amount of:
I. The principal outstanding amount of the Class A Notes; II. The principal outstanding amount of the Class B Notes only if the value of the unreplenished PDL does not exceed 50% of the outstanding principal value of the Class B and 100% of the outstanding principal value of the Class C, Class D (PM21), Class E Notes (PM22 & PM23) and Class Z Notes (PM24) or III. The principal outstanding amount of the Class C Notes only if the value of the unreplenished PDL does not exceed 50% of the outstanding principal value of the Class C Notes and 100% 25 Glossary of Terms of the outstanding principal value of the Class D (PM21), Class E Notes (PM22 & PM23) and Class Z Notes (PM24).
PM20 Liquidity Amount: Whilst the Class A and B notes are outstanding, a liquidity amount will be established in the first loss fund on each principal determination date, equal to 3% of the aggregate amount of:
I The principal outstanding amount of the Class A Notes; II The principal outstanding amount of the Class B Notes only if the value of the unreplenished PDL does not exceed 50% of the outstanding principal value of the Class B and 100% of the outstanding principal value of the Class D Notes
If the liquidity amount is not at the Required level, it will be restored by trapping excess Revenue in the priority of payments or, if this is not available, by trapping principal through the Available Redemption Funds. The liquidity amount can only be used to meet PM20 – PM21’s senior cost obligations and the Class A, B and C Note interest, subject to the unreplenished PDL test.
PM20 – PM24 Liquidity Excess Amount: The amount by which the balance of the first loss fund exceeds the liquidity amount (as calculated above) is known as the liquidity excess amount. If on any interest payment date there is insufficient revenue to meet the senior obligations, the liquidity excess amount can be used to meet the interest on the Class A, B and C notes, other senior cost obligations, and to make up any principal losses on the PDL. However, in respect of PM21 – PM24, the interest payable on the Class B and C notes, is subject to a PDL test, such that the Liquidity Excess Amount can’t be used to pay interest on the Class B and C notes if:
I. The value of the unreplenished PDL exceeds 50% of the outstanding principal value of the Class B notes and 100% of the outstanding principal value of the Class C, Class D (PM21), Class E (PM22 & PM23) and Class Z (PM24) Notes or
II. The value of the unreplenished PDL exceeds 50% of the outstanding principal value of the Class C Notes and 100% of the outstanding principal value of the Class D (PM21), Class E (PM22 & PM23) and Class Z Notes (PM24)
In respect of PM20, the liquidity excess amount can be used in the same way as PM21 - PM24, such that the Liquidity Excess Amount can’t be used to pay interest on the Class B notes if:
I. The value of the unreplenished PDL exceeds 50% of the outstanding principal value of the Class B notes and 100% of the outstanding principal value of the Class D Notes
PM20 – PM24 Revenue shortfall (use of principal receipts): In the event that there remains a revenue shortfall after applying the liquidity excess amount (potential interest shortfall), then principal receipts can be applied towards the payment of interest on the Class A, B and C notes and senior expenses (see section 5b).
Principal receipts shall not be used to pay the Class B Note interest: I. If the value of the unreplenished PDL exceeds 50% of the outstanding principal value of the Class B and 100% of the outstanding principal value of the Class C, Class D (PM21), Class E (PM22 & PM23) and Class Z (PM24) Notes and
Principal receipts shall not be used to pay the Class C Note interest: II. If the value of the unreplenished PDL exceeds 50% of the outstanding principal value of the Class C Notes and 100% of the outstanding principal value of the Class D (PM21), Class E (PM22 & PM23) and Class Z (PM24) Notes.
Use of the Liquidity Amount: In the event that there is a revenue shortfall after applying the liquidity excess amount and principal receipts (remaining potential interest shortfall), then the liquidity amount can be applied towards the payment of interest on the Class A, B and C notes and senior expenses.
The liquidity amount shall not be used to pay the Class B Note interest:
26 Glossary of Terms I. If the value of the unreplenished PDL exceeds 50% of the outstanding principal value of the Class B and 100% of the outstanding principal value of the Class C, Class D (PM21), Class E (PM22 & PM23) and Class Z (PM24) Notes and
The liquidity amount shall not be used to pay the Class C Note interest: II. If the value of the unreplenished PDL exceeds 50% of the outstanding principal value of the Class C Notes and 100% of the outstanding principal value of the Class D (PM21), Class E (PM22 & PM23) and Class Z (PM24) Notes e. “Payment holidays” Customers on the Mortgage Trust flexible loan product are allowed to overpay and then “drawdown” on their overpayments at any time (this is committed funding that forms part of the customer’s mortgage conditions), provided that they don’t exceed their loan limit and are not in breach of their mortgage conditions. Failure by MTL to fund any drawdown requests could result in customers “setting off” against their monthly payments.
Example:
Borrower loan limit: £50,000 Overpayments: £10,000 (committed funding that MTL must fund should the customer request to drawdown) Revised mortgage balance: £40,000
In this example, the customer can redraw on the £10,000 overpayment at any time but can’t exceed the £10,000 overpayment. Alternatively, the customer can take payment holidays and counteract the interest due on the monthly payment against the overpayments. In order to reduce overpayments and the resultant committed funding, there is usually a 1% penalty for customers that prepay more than 20% of the original loan amount.
MTL customers can elect to take payment holidays in situations where overpayments are counteracted against the current monthly interest charge.
Example:
Borrower loan limit: £50,000 Overpayments: £10,000 Revised mortgage balance: £40,000 Current monthly payment (on an interest only basis): £200
The customer decides to take a payment holiday on his monthly payment of £200 (calculated on an interest only basis). In this situation, the interest is capitalised and the revised mortgage balance is now at £40,200 and the overpayment reduces by the corresponding amount. In effect, the customer has drawn down £200 without a cash release from MTL to the customer.
Revised mortgage balance
Loan limit: £50,000 Overpayments: £9,800 Revised mortgage balance: £40,200
Funding of payment holidays and ledger entries on the investor report:
Using the above example, as the loan balance has increased by £200 and the issuer is £200 short on revenue, a diversion from the principal ledger to the revenue ledger is required to make up for the interest shortfall / capitalised interest in respect of the payment holiday. Note: Customers flexible loan features have now been cancelled and the corresponding flexible drawing facilities cancelled with the facility provider. For further details, please refer to the statements dated 4th November 2013 and 19th February 2014 on the Investor News section of the website. f. “Repayment of the GBP, Euro and US Dollar Notes” GBP, Euro and US Dollar notes are repaid on each interest payment date, pro rata to the GBP equivalent percentage at the closing date.
27 Glossary of Terms For example in PM12, the Class A1, A2a, A2b and A2c note repayment at the August 2014 interest payment date were calculated as follows:
GBP Equivalent of the Notes GBP Equivalent % Class A1 Notes £815,217,391 62.79575% Class A2a Notes £145,000,000 11.16927% Class A2b Notes £168,965,517 13.01532% Class A2c Notes £169,021,739 13.01965% Total Notes £1,298,204,647
Where: Total available redemption funds equals £8,919,111.43
Available redemption funds for the A1 notes equals: £8,919,111.43 x 62.795% (GBP equivalent percentage of the Class A1 notes at closing) = £5,600,823.23.
Available redemption funds for the A2a notes equals: £8,919,111.43 x 11.169% (GBP equivalent percentage of the Class A2a notes at closing) = £996,199.76.
Available redemption funds for the A2b notes equals: £8,919,111.43 x 13.015% (GBP equivalent percentage of the Class A2a notes at closing) = £1,160,851.09.
Available redemption funds for the A2c notes equals: £8,919,111.43 x 13.019% (GBP equivalent percentage of the Class A2c notes at closing) = £1,161,237.35.
PM12 investor report for the quarter ending July 2014.
Principal payments made from Principal Income: PML Mandatory Further Advances 0 MTL Mandatory Further Advances 0 Discretionary Further Advances -250 A1 Swap Currency repayment -5,601 A2a Note repayment -996 A2b Swap Currency repayment -1,161 A2c Swap Currency repayment -1,161 B1a Note repayment 0 B1b Swap Currency repayment 0 C1a Note repayment 0 C1b Swap Currency repayment 0 Total payments to be made this quarter -9,169 -5,983 Total closing cash balance 0 0
The Class A2a available redemption funds (£996,000) are paid to Citibank as the principal paying agent in sterling on each interest payment date for onward payment to the note holders.
The Class A1 and A2c available redemption funds are paid to the currency swap provider in sterling on each quarterly interest payment date. From here, the currency swap provider, using the fixed US Dollar exchange rate at the closing date, will convert this sterling value into US Dollars. For example, the US Dollar Class A1 note repayment at the August 2014 interest payment date was calculated as follows:
US Dollar Class A1 note repayment equals: £5,600,823.23 (total available redemption funds for the A1 notes) x $1.84 (fixed US Dollar exchange rate at closing) = $10,305,450.
From here, the currency swap provider will make this payment ($10,305,450) to Citibank as the US principal paying agent, who in turn, will pass this onto the Class A1 note holders.
For example, the US Dollar Class A2c note repayment at the August 2014 interest payment date was calculated as follows:
US Dollar Class A2c note repayment equals:
28 Glossary of Terms £1,161,237.35 (total available redemption funds for the A2c notes) x $1.84 (fixed US Dollar exchange rate at closing) = $2,136,663.30.
From here, the currency swap provider will make this payment ($2,136,663.30) to Citibank as the US principal paying agent, who in turn, will pass this onto the Class A2c note holders.
The Class A2b available redemption funds are paid to the currency swap provider in sterling on each quarterly interest payment. From here, the currency swap provider, using the fixed Euro exchange rate at the closing date, will convert this sterling value into Euros. For example, the Euro Class A2b note repayment at the August 2014 interest payment date was calculated as follows:
Euro Class A2b note repayment equals: £1,160,851.09 (total available redemption funds for the A2b notes) x €1.45 (fixed Euro exchange rate at closing) = €1,683,199.
From here, the currency swap provider will make this payment (€1,683,199) to Citibank as the principal paying agent, who in turn, will pass this onto the Class A2b note holders.
For PM22, where the Original Currency Swap provider (or replacement provider) is in place, the same process as outlined in the above example applies. i.e. the GBP and Euro Class A notes are paid on each interest payment date, pro rata to the GBP equivalent of the Class A notes at the closing date. At the Closing date, Class A1 equals 43.50% and Class A2 equals 56.50%, which are the percentages used to apportion the Class A Available Redemption Funds. These percentages remain fixed for the life of PM22, where the Class A Notes are outstanding.
For PM23, where the Original Currency Swap provider (or replacement provider) is in place, the same process as outlined in the above example applies. i.e. the GBP and Euro Class A notes are paid on each interest payment date, pro rata to the GBP equivalent of the Class A notes at the closing date. At the Closing date, Class A1 equals 28% and Class A2 equals 72%, which are the percentages used to apportion the Class A Available Redemption Funds. These percentages remain fixed for the life of PM23, where the Class A Notes are outstanding.
For PM24 (pre-enforcement), where the Original Currency Swap provider (or replacement provider) is in place, the same process as outlined in the above example applies. i.e. the GBP and Euro Class A notes are paid on each interest payment date, pro rata to the GBP equivalent of the Class A notes at the closing date. At the Closing date, Class A1 equals 29.8% and Class A2 equals 70.2%, which are the percentages used to apportion the Class A Available Redemption Funds. These percentages remain fixed for the life of PM24, where the Class A Notes are outstanding.
After apportioning the Class A available redemption funds, the Class A2 available redemption funds are paid to Citibank as the principal paying agent in sterling on each quarterly interest payment date for onward payment to the Class A2 note holders.
After apportioning the Class A available redemption funds, the Class A1 available redemption funds are paid to the currency swap provider (BNP Paribas, the original currency swap provider for PM22 and Lloyds, the original currency swap provider for PM23 and PM24) in sterling on each quarterly interest payment date. From here, the currency swap provider, using the original Euro exchange rate at the closing date (£1:€1.4040 for PM22, £1:€1.4320 for PM23 and £1:€1.4147 for PM24), will convert this sterling value into Euros and then make the payment directly to Citibank as the principal paying agent, who in turn, will pass this onto the Class A1 note holders.
For PM22 - PM24, in the event that there is a termination of the currency swap provider, the original exchange rate (and not the spot, or replacement rate) will be used to calculate the GBP equivalent note value, in order to pro rate the Class A available redemption funds on each Principal Determination Date. For PM22 - PM24, new Euro Bank Accounts (the PM22, PM23 and PM24 Swap Termination Reserve Accounts) will also be opened by the next respective succeeding Interest Payment Date. Once the respective Class A available redemption funds have been apportioned, the respective Class A1 available redemption funds will be exchanged at the spot rate (where no replacement provider has been provided), or at the replacement rate (where a replacement provider has been appointed). The can lead to either a shortfall (where the spot rate, or replacement exchange rate is less than the original exchange rate), or a surplus position (where the spot rate, or replacement exchange rate is more than the original exchange rate) on the respective Class A1 notes available redemption funds.
29 Glossary of Terms In a shortfall situation, interest will accrue on the Principal Liability Outstanding of the respective Class A1 notes (which includes the shortfall). In a surplus position, this is used to pay off any previous shortfalls on the respective Class A1 notes. If there are excess funds, after making up for previous shortfalls on the respective Class A1 notes, they are moved into the respective Swap Termination Reserve Account. These funds will then be used on future Interest Payment Dates to make up for any potential shortfalls on the respective Class A1 notes.
For PM24 (post enforcement and the Trustee has served an Enforcement Notice on PM24), all of the Class A Notes at all times are paid in priority to the other Notes, which includes the principal shortfalls, and any deferred and accrued interest. In order to pro rate the principal on the Class A Notes, note that where the Swap has terminated, either the spot rate, or the replacement rate will be used, to work out the Class A1 GBP Equivalent Note balance, which will distort the apportionment between the Class A1 and A2 Notes. In the situation where the swap has terminated, and the replacement rate or spot rate is lower than the original rate, it will require more principal to pay off the Principal Liability of the Class A1 Notes. In effect the Class B, C and Z Notes will make up for any Class A1 shortfall (principal that otherwise would have been paid to the Junior Notes). In addition, any cash held in the PM24 Swap Termination Reserve Account will form part of the pot of cash to pay the Notes, and not paid directly to the Principal Paying Agent, to repay the Class A1 Notes (as in PM22 and PM23).
Please refer to page 105 - 106 of the PM22, page 105 – 106 of the PM23 and page 107 – 108 of the PM24 Prospectus for Principal priority of Payments, and in particular, the subordination of the Swap Termination Principal shortfall amounts (disclosed as payments to any secured creditors in PM23 and PM24) and the Swap Termination Principal Excess Amounts in respect of the Class A notes. g. “Turbo Repayment” For PM20, if Paragon elects not to call and repay the Class A, B and D notes on or after the optional redemption date falling in August 2018, the excess revenue that otherwise would have been paid to Paragon, such as interest on the subordinated loan, is used to repay the Class A and B note holders i.e. the excess revenue is diverted into the principal ledger and forms part of the Available redemption funds calculation.
For PM21, if Paragon elects not to call and repay the Class A, B, C and D notes on or after the optional redemption date falling in December 2018, the excess revenue that otherwise would have been paid to Paragon, such as interest on the subordinated loan, is used to repay the Class A, B and C note holders i.e. the excess revenue is diverted into the principal ledger and forms part of the Available redemption funds calculation. h. “Margin Step Up” For PM22, there is no Turbo repayment. Instead, if Paragon elects not to call and repay the Class A, B, C and E notes on or after the optional redemption date falling in June 2019, the Note Interest Rate Margin doubles (excluding the Class E Notes).
For PM23, there is no Turbo repayment. Instead, if Paragon elects not to call and repay the Class A, B, C and E notes on or after the optional redemption date falling in October 2019, the Note Interest Rate Margin doubles (excluding the Class E Notes).
For PM24, there is no Turbo repayment. Instead, if Paragon elects not to call and repay the Class A, B, C and Z notes on or after the optional redemption date falling in April 2020, the Note Interest Rate Margin doubles on the Class A Notes and is fixed at 4.40% on the Class B & C Notes (the Class Z Notes remain at the initial note margin). i. “Interest Rate Conversions” For PM21, PM22, PM23 and PM24 only, if a borrower has moved onto the revisionary rate and then requests a new product (a new teaser rate), the new interest rate will inevitably be lower than the revisionary interest rate. Upon a request from the borrower, Paragon may offer another teaser rate to the borrower, for a specific time. The reduction in the interest rate will be funded by the Subordinated Loan. As an example, if the revisionary rate is 5%, and the interest rate for the new teaser period is 3%, PM21, PM22, PM23 and PM24 will draw on the Subordinated Loan, equal to the difference in the rates (2%), for the term of the new teaser period, and then release this on a quarterly basis into the revenue ledger. The Interest Rate Converted Mortgages is restricted to 10% of the current balance of Mortgages in the Mortgage portfolio, and is measured against the current balance at conversion. In addition, there
30 Glossary of Terms are a number of other criteria applicable (see PM21, PM22, PM23 and PM24 Administration Agreement Clause 4.10.2).
(6) QUARTERLY POOL TABLES
The pool tables contains information on the underlying assets split by the originators, Paragon Mortgages (PML), Mortgage Trust (MTL) and the overall combined information as at the relevant quarter end. The overview section within the pool tables are as follows:
PML ORIGINATIONS PRE PML ORIGINATIONS POST MTL OVERALL 1ST JAN 2004 1ST JAN 2004 ORIGINATIONS
AGGREGATE CLOSING BALANCE 1,031,752,911.51 182,334,849.96 483,389,595.84 366,028,465.71 NUMBER OF PROPERTIES 7,649 1,494 3,214 2,941 WEIGHTED AVERAGE LTV 79.69% 78.03% 79.21% 81.15% MINIMUM LTV 0.27% 0.44% 0.27% 4.06% MAXIMUM LTV 95.13% 89.54% 90.00% 95.13% WEIGHTED AVERAGE SEASONING (YEARS) 4.77 7.25 4.24 4.23 MINIMUM SEASONING 4.05 6.72 4.06 4.05 MAXIMUM SEASONING 8.50 8.50 4.85 4.61 WEIGHTED AVERAGE LOAN SIZE 134,887.29 122,044.75 150,401.24 124,457.15 MINIMUM LOAN SIZE 526.16 526.16 1,083.34 20,297.99 MAXIMUM LOAN SIZE 2,613,024.97 1,486,386.38 2,613,024.97 481,582.65 WEIGHTED AVERAGE REMAINING TERM (YEARS) 17.13 15.13 17.53 17.60 MINIMUM REMAINING TERM - - 0.58 0.58 MAXIMUM REMAINING TERM 26.00 23.33 25.92 26.00 % OF PROFESSIONAL LANDLORDS 67.34% 88.39% 77.41% 43.54% % OF PRIVATE INVESTOR LANDLORDS 32.66% 11.61% 22.59% 56.46% % OF OWNER OCCUPIED 0.00% 0.00% 0.00% 0.00% % IN LONDON AND SOUTH EAST 42.35% 32.71% 39.21% 51.29% WEIGHTED AVERAGE RENTAL COVER FOR PROFESSIONAL LANDLORDS 1.68 2.11 1.60 1.41 AGGREGATE CLOSING REDRAW AMOUNT AS AT 30/07/2010 227,950.62 - - 227,950.62 LARGEST DRAWN BALANCE 481,582.65 - - 481,582.65 AVERAGE DRAWN BALANCE 124,457.15 - - 124,457.15 LARGEST POTENTIAL REDRAW AMOUNT 130,000.00 - - 130,000.00 AVERAGE POTENTIAL REDRAW AMOUNT 3,863.57 - - 3,863.57
Aggregate Closing Balance The principal balances of mortgages in the portfolio at the relevant quarter end.
Number of Properties The number of properties in the portfolio at the relevant quarter end.
Weighted Average LTV The weighted average LTV of the mortgages at the latest quarter end which is calculated by dividing the current valuation by the current principal balance of the asset at the quarter end and weighting this by reference to the customer’s principal balance. Valuations are calculated at the mortgage origination date, and are updated when a discretionary further advance is released to the customer.
Weighted Average Seasoning (years) The weighted average period (in years) that assets have been running since year of origination, at the relevant quarter end.
% of Professional Landlords The percentage of principal balances with professional landlords at the relevant quarter end. A professional landlord is defined as a landlord who has three or more buy to let properties and at least twelve months experience within the buy to let market.
% of Private Investor Landlords The percentage of the private investor landlords at the relevant quarter end. A private investor is defined as a landlord who has less than three buy to let properties.
% of Owner Occupied The percentage of principal balances that are owner occupied at the relevant quarter end.
% in London and South East The percentage of principal balances that cover the London and South East regions at the relevant quarter end.
Weighted Average Rental Cover for Professional Landlords
31 Glossary of Terms As part of the initial credit assessment for professional landlords only, this measures a landlord’s ability to cover the monthly interest payment against the monthly rental income at the mortgage origination date. This is calculated at the mortgage origination date by dividing the monthly rental income by the monthly interest due (based on either the Paragon reference rate or charging rate as applicable). The reference rate is based upon long term rates and reviewed by the group’s credit committee on a quarterly basis.
Aggregate Closing Redraw Amount The principal balances drawn by borrowers at the relevant quarter end. This is only available to the Mortgage Trust flexible loan borrowers that allows customers to overpay and redraw this amount, up to an agreed limit.
Average Potential Redraw Amount The average potential redraw amount at the relevant quarter end in respect of the Mortgage Trust flexible mortgages.
The detailed information of the underlying assets is as follows: a. “Loan to value ratio (LTV)” The weighted average LTV of the assets at the relevant quarter end. This is calculated by dividing the current valuation by the current principal balance of the asset at the quarter end and weighting this against the customer’s principal balance. Valuations are calculated at the mortgage origination date, and are updated when a discretionary further advance is released to the customer.
LOAN TO VALUE RATIOS (LTV)
CURRENT PRINCIPAL LOAN TO VALUE RATIOS (%) BALANCE £ % OF TOTAL NUMBER OF MORTGAGES % OF TOTAL
> 0 < = 25 1,234,513.67 0.12% 47 0.61% > 25 < = 50 20,527,061.95 1.99% 224 2.93% > 50 < = 55 9,650,756.04 0.94% 87 1.14% > 55 < = 60 13,556,399.61 1.31% 118 1.54% > 60 < = 65 25,742,129.48 2.49% 199 2.60% > 65 < = 70 48,417,391.04 4.69% 312 4.08% > 70 < = 75 89,556,955.58 8.68% 576 7.53% > 75 < = 80 152,792,180.23 14.81% 989 12.93% > 80 < = 85 259,042,183.92 25.11% 1,780 23.27% > 85 < = 86 264,784,149.31 25.66% 2,044 26.72% > 86 < = 87 132,526,659.63 12.84% 1,151 15.05% > 87 < = 88 10,089,688.95 0.98% 92 1.20% > 88 < = 89 1,712,005.87 0.17% 17 0.22% > 89 < = 90 2,049,489.00 0.20% 12 0.16% > 90 < = 95 - 0.00% - 0.00% > 95 < = 97 71,347.23 0.01% 1 0.01% > 97 < = 100 - 0.00% - 0.00% > 100 - 0.00% - 0.00%
1,031,752,911.51 7,649
AVERAGE LTV WEIGHTED BY PRINCIPAL BALANCE 79.69% b. “Loan to value ratios based on the Nationwide index” The weighted average LTV of the assets based on the Nationwide index valuation. These are updated quarterly at the end of March, June, September and December.
32 Glossary of Terms LOAN TO VALUE RATIOS BASED ON NATIONWIDE INDEX AS AT JUNE 10
CURRENT PRINCIPAL LOAN TO VALUE RATIOS (%) BALANCE £ % OF TOTAL NUMBER OF MORTGAGES % OF TOTAL
> 0 < = 25 1,896,905.19 0.18% 68 0.89% > 25 < = 50 34,855,347.09 3.38% 369 4.82% > 50 < = 55 18,180,761.34 1.76% 164 2.14% > 55 < = 60 32,428,878.71 3.14% 253 3.31% > 60 < = 65 61,204,740.51 5.93% 385 5.03% > 65 < = 70 78,645,987.23 7.62% 498 6.51% > 70 < = 75 132,506,436.97 12.84% 849 11.10% > 75 < = 80 122,677,959.72 11.89% 829 10.84% > 80 < = 85 252,848,182.94 24.51% 1,838 24.03% > 85 < = 86 40,058,517.54 3.88% 317 4.14% > 86 < = 87 43,222,965.80 4.19% 386 5.05% > 87 < = 88 40,780,906.00 3.95% 345 4.51% > 88 < = 89 40,947,818.66 3.97% 339 4.43% > 89 < = 90 32,910,562.59 3.19% 296 3.87% > 90 < = 95 63,912,342.04 6.19% 498 6.51% > 95 < = 97 8,474,234.91 0.82% 56 0.73% > 97 < = 100 2,031,144.06 0.20% 15 0.20% > 100 24,169,220.21 2.34% 144 1.88%
1,031,752,911.51 7,649
AVERAGE LTV WEIGHTED BY PRINCIPAL BALANCE 78.39% c. “Product summary” The current principal balances / number of mortgages split by product at the relevant quarter end – variable rate, fixed rate, Libor rate, capped rate and base rate tracker rate loans.
PRODUCT SUMMARY
CURRENT PRINCIPAL PRODUCT BALANCE £ % OF TOTAL NUMBER OF MORTGAGES % OF TOTAL
Variable 56,643,153.23 5.49% 492 6.43% Fixed 62,178,258.14 6.03% 475 6.21% Libor Linked 912,931,500.14 88.48% 6,682 87.36% Capped - 0.00% - 0.00% Base Rate Tracker - 0.00% - 0.00%
1,031,752,911.51 7,649 d. “Product summary by repayment method” The current principal balances / number of mortgages split by repayment type at the relevant quarter end - interest only/endowment and repayment.
PRODUCT SUMMARY BY REPAYMENT METHOD
CURRENT PRINCIPAL REPAYMENT METHOD BALANCE £ % OF TOTAL NUMBER OF MORTGAGES % OF TOTAL
Interest only / Endowment 982,878,615.86 95.26% 7,080 92.56% Repayment 48,874,295.65 4.74% 569 7.44%
1,031,752,911.51 7,649 e. “Current Principal Balance outstanding” The current principal balances / number of mortgages split by principal balance bands. The weighted average loan size is calculated by dividing the current principal balances by the number of mortgages at the relevant quarter end.
33 Glossary of Terms CURRENT PRINCIPAL BALANCE OUTSTANDING
CURRENT PRINCIPAL CURRENT PRINCIPAL BALANCE (£) BALANCE £ % OF TOTAL NUMBER OF MORTGAGES % OF TOTAL
0.00 to 100,000 227,487,749.68 22.05% 3,172 41.47% 100,000.01 to 200,000 458,847,329.79 44.47% 3,426 44.79% 200,000.01 to 300,000 167,902,226.83 16.27% 705 9.22% 300,000.01 to 400,000 57,582,081.88 5.58% 168 2.20% 400,000.01 to 500,000 28,750,820.92 2.79% 65 0.85% 500,000.01 to 750,000 39,453,746.61 3.82% 67 0.88% 750,000.01 to 1,000,000 22,906,474.24 2.22% 26 0.34% 1,000,000.01 to 1,250,000 10,938,686.23 1.06% 10 0.13% 1,250,000.01 to 1,500,000 4,329,216.38 0.42% 3 0.04% 1,500,000.01 to 1,750,000 3,225,560.00 0.31% 2 0.03% 1,750,000.01 to 2,000,000 5,715,493.98 0.55% 3 0.04% over 2,000,000 4,613,524.97 0.45% 2 0.03%
1,031,752,911.51 7,649
WEIGHTED AVERAGE LOAN SIZE 134,887.29 f. “Property Tenure” The current principal balances / number of mortgages split by tenure at the relevant quarter end – freehold, leasehold and feudal.
PROPERTY TENURE
CURRENT PRINCIPAL TENURE BALANCE £ % OF TOTAL NUMBER OF MORTGAGES % OF TOTAL
Freehold 667,520,961.98 64.70% 4,622 60.43% Leasehold 349,241,118.82 33.85% 2,845 37.19% Feudal 14,990,830.71 1.45% 182 2.38%
1,031,752,911.51 7,649 g. “Seasoning of Mortgages” The current principal balances / number of mortgages split by year of origination, resulting in the weighted average seasoning (months) at the relevant quarter end.
SEASONING OF MORTGAGES BY YEAR
CURRENT PRINCIPAL ORIGINATION YEAR BALANCE £ % OF TOTAL NUMBER OF MORTGAGES % OF TOTAL
1996 - 0.00% - 0.00% 1997 - 0.00% - 0.00% 1998 - 0.00% - 0.00% 1999 - 0.00% - 0.00% 2000 - 0.00% - 0.00% 2001 - 0.00% - 0.00% 2002 36,247,761.99 3.51% 313 4.09% 2003 146,087,087.97 14.16% 1,181 15.44% 2004 - 0.00% - 0.00% 2005 465,109.53 0.05% 2 0.03% 2006 848,952,952.02 82.28% 6,153 80.44%
1,031,752,911.51 7,649
WEIGHTED AVERAGE SEASONING (MONTHS) 57.22 h. “Maturity of Mortgages” The current principal balances / number of mortgages split by the remaining term (years), resulting in the weighted average remaining term to maturity at the relevant quarter end.
MATURITY OF MORTGAGES
CURRENT PRINCIPAL REMAINING TERM (YEARS) BALANCE £ % OF TOTAL NUMBER OF MORTGAGES % OF TOTAL
> 0 < 5 14,416,420.35 1.40% 148 1.93% >= 5 < 10 75,766,022.69 7.34% 618 8.08% >= 10 < 15 138,157,654.15 13.39% 1,037 13.56% >= 15 < 20 327,195,785.73 31.71% 2,418 31.61% >= 20 < 25 456,849,922.41 44.28% 3,275 42.82% >= 25 < 30 19,367,106.18 1.88% 153 2.00% >= 30 - 0.00% - 0.00%
1,031,752,911.51 7,649
WEIGHTED AVERAGE REMAINING TERM TO MATURITY 17.13 34 Glossary of Terms i. “Loan Purpose” The current principal balances / number of mortgages split by loan purpose at the relevant quarter end – house / flat purchase and remortgage.
LOAN PURPOSE
CURRENT PRINCIPAL USE OF PROCEEDS BALANCE £ % OF TOTAL NUMBER OF MORTGAGES % OF TOTAL
House / Flat purchase 495,954,803.14 48.07% 3,916 51.20% Remortgage 535,798,108.37 51.93% 3,733 48.80%
1,031,752,911.51 7,649 j. “Geographical dispersion” The current principal balances / number of mortgages split by geographical region at the relevant quarter end, calculated by reference to the property’s post code.
GEOGRAPHICAL DISPERSION
WEIGHTED CURRENT PRINCIPAL AVERAGE LOAN TO REGION BALANCE £ % OF TOTAL NUMBER OF MORTGAGES % OF TOTAL VALUE
North 38,469,495.02 3.73% 417 5.45% 79.82% North West 120,992,829.36 11.73% 1,064 13.91% 81.04% Yorkshire & Humberside 114,990,208.77 11.15% 1,011 13.22% 79.55% East Midlands 61,514,164.69 5.96% 496 6.48% 80.12% West Midlands 47,971,580.97 4.65% 423 5.53% 79.02% East Anglia 36,587,621.72 3.55% 319 4.17% 81.67% South East (excl. GL) 277,718,053.77 26.92% 1,822 23.82% 80.13% South West 116,068,715.08 11.25% 862 11.27% 80.09% Greater London 159,229,410.18 15.43% 659 8.62% 77.22% Wales 42,345,094.58 4.10% 387 5.06% 80.08% Scotland 14,990,830.71 1.45% 182 2.38% 79.19% Northern Ireland 874,906.66 0.08% 7 0.09% 75.34%
1,031,752,911.51 7,649 79.69% k. “Interest Charging Rate” The current principal balances / number of mortgages split by interest charging rate on the mortgages at the quarter end, resulting in the weighted average yield at the relevant quarter end.
INTEREST CHARGING RATE
CURRENT PRINCIPAL INTEREST RATE BANDS BALANCE £ % OF TOTAL NUMBER OF MORTGAGES % OF TOTAL less than 2.00% 18,191,686.56 1.76% 167 2.18% 2.01% to 2.50% 810,056,028.02 78.51% 6,041 78.98% 2.51% to 3.00% 140,843,086.56 13.65% 954 12.47% 3.01% to 3.50% 188,575.60 0.02% 5 0.07% 3.51% to 4.00% 2,140,262.00 0.21% 23 0.30% 4.01% to 4.50% 19,416,806.75 1.88% 164 2.14% 4.51% to 5.00% 3,430,084.13 0.33% 30 0.39% 5.01% to 5.50% 16,645,164.11 1.61% 106 1.39% 5.51% to 6.00% 13,199,223.48 1.28% 103 1.35% 6.01% to 6.50% 3,580,233.67 0.35% 22 0.29% 6.51% to 7.00% 3,831,753.67 0.37% 32 0.42% 7.01% to 7.50% 214,896.00 0.02% 1 0.01% 7.51% to 8.00% 15,110.96 0.00% 1 0.01% more than 8.00% - 0.00% - 0.00%
1,031,752,911.51 7,649
WEIGHTED AVERAGE INTEREST CHARGING RATE 2.568% l. “Number of month in arrears – non receiver of rent / possession cases” The current principal balances / number of mortgages (excluding receiver or rent and possession cases) split by arrears bands, resulting in the weighted average number of months in arrears at the relevant quarter end.
35 Glossary of Terms NUMBER OF MONTHS IN ARREARS- NON RECEIVER OF RENT / POSSESSION CASES
CURRENT PRINCIPAL NUMBER OF MONTHS BALANCE £ % OF TOTAL NUMBER OF MORTGAGES % OF TOTAL
up to 1 1,002,040,755.85 99.54% 7,467 99.56% > 1 < = 2 3,886,140.74 0.39% 28 0.37% > 2 < = 3 332,963.08 0.03% 2 0.03% > 3 < = 4 135,335.16 0.01% 1 0.01% > 4 < = 5 - 0.00% - 0.00% > 5 < = 6 70,440.60 0.01% 1 0.01% > 6 < = 12 201,717.75 0.02% 1 0.01% more than 12 - 0.00% - 0.00%
1,006,667,353.18 7,500
WEIGHTED AVERAGE NO. OF MONTHS IN ARREARS (FOR ARREARS CASES) 1.033 m. “Number of months in arrears – receiver of rent / possession cases” The current principal balances / number of mortgages (receiver of rent and possession cases only) split by arrears bands, resulting in the weighted average number of months in arrears. A receiver of rent is appointed on investment home loan cases usually when the customer is > 2 months in arrears. Receiver of rent is the equivalent of a possession case on an owner occupied mortgage. The full rental stream from the property is diverted to the receiver, who in turn, passes the rental stream onto the administrator or if the property is vacant, the receiver can sell the property.
NUMBER OF MONTHS IN ARREARS- RECEIVER OF RENT / POSSESSION CASES
CURRENT PRINCIPAL NUMBER OF MONTHS BALANCE £ % OF TOTAL NUMBER OF MORTGAGES % OF TOTAL
up to 1 15,371,017.51 61.27% 91 61.07% > 1 < = 2 169,465.00 0.68% 1 0.67% > 2 < = 3 1,365,314.60 5.44% 10 6.71% > 3 < = 4 106,799.60 0.43% 1 0.67% > 4 < = 5 93,874.00 0.37% 1 0.67% > 5 < = 6 491,691.63 1.96% 3 2.01% > 6 < = 12 2,474,605.73 9.86% 17 11.41% more than 12 5,012,790.26 19.98% 25 16.78%
25,085,558.33 149
WEIGHTED AVERAGE NO. OF MONTHS IN ARREARS (FOR ARREARS CASES) 10.735 n. “Occupancy” The current principal balances / number of mortgages split by occupancy type at the relevant quarter end – owner occupied, professional landlords and private investor landlords.
OCCUPANCY
CURRENT PRINCIPAL OCCUPANCY BALANCE £ % OF TOTAL NUMBER OF MORTGAGES % OF TOTAL
Owner Occupied - 0.00% - 0.00% Professional Landlords 694,748,332.55 67.34% 5,185 67.79% Private Investor Landlords 337,004,578.96 32.66% 2,464 32.21%
1,031,752,911.51 7,649 o. “Investment Home Loan: Occupancy” The current principal balances / number of mortgages split by letting type at the relevant quarter end – corporate and non corporate.
INVESTMENT HOME LOAN : OCCUPANCY
CURRENT PRINCIPAL LETTING TYPE BALANCE £ % OF TOTAL NUMBER OF MORTGAGES % OF TOTAL
Corporate 60,167,062.93 5.83% 446 5.83% Non Corporate 971,585,848.58 94.17% 7,203 94.17%
1,031,752,911.51 7,649
36 Glossary of Terms p. “Interest Coverage Ratio” As part of the initial credit assessment for professional landlords only, this measures a landlord’s ability to cover the monthly interest payment against the monthly rental income at the mortgage origination date. This is calculated at the mortgage origination date by dividing the monthly rental income by the monthly interest due (based on either the Paragon reference rate or charging rate as applicable). The reference rate is based upon long term rates and reviewed by the group’s credit committee on a quarterly basis.
INTEREST COVERAGE RATIO
CURRENT PRINCIPAL ICR BAND BALANCE £ % OF TOTAL NUMBER OF MORTGAGES % OF TOTAL
<1.2 52,499,511.94 7.56% 384 7.41% >=1.2 <1.3 167,112,233.17 24.05% 1,194 23.03% >=1.3 <1.5 186,628,857.87 26.86% 1,421 27.41% >=1.5 <2.0 179,278,742.05 25.80% 1,387 26.75% >=2.0 <2.5 61,059,502.36 8.79% 383 7.39% >=2.5 <3.0 22,818,226.09 3.28% 180 3.47% >=3.0 <3.5 8,176,832.00 1.18% 66 1.27% >=3.5 <4.0 4,603,304.02 0.66% 37 0.71% >=4.0 <4.5 3,267,765.51 0.47% 23 0.44% >=4.5 <5.0 1,446,913.92 0.21% 17 0.33% >=5.0 7,856,443.62 1.13% 93 1.79%
694,748,332.55 5,185
WEIGHTED AVERAGE ICR FOR PROFESSIONAL LANDLORDS 1.68 q. “Number of Properties” The number of properties a landlord has within that SPV, split by current principal balances / number of mortgages at the relevant quarter end.
NUMBER OF PROPERTIES IN PORTFOLIO
CURRENT PRINCIPAL NUMBER OF PROPERTIES BALANCE £ % OF TOTAL NUMBER OF MORTGAGES % OF TOTAL
<3 692,081,242.14 67.08% 5,109 66.79% >=3 <=10 257,021,019.71 24.91% 1,982 25.91% >10 <=20 46,983,897.98 4.55% 354 4.63% >20 <=30 9,599,155.48 0.93% 93 1.22% >30 <=40 17,130,652.79 1.66% 67 0.88% >40 <=50 8,936,943.41 0.87% 44 0.58% >50 - 0.00% - 0.00%
1,031,752,911.51 7,649
The investor reports, pool tables and summary section can all be found on the Paragon website http://www.paragon-group.co.uk/
37 Glossary of Terms Current Consumer Finance Backed Transaction
38 Glossary of Terms Issuer PSF1 Closing Date 15 December 2004 Lead Managers Barclays Capital Rating Agencies S&P/Fitch GBP Equivalent Note Value £300,000,000 % of Prefunding 19.72% % of AAA/Aaa Notes 77.00% % of AA/Aa2 Notes N/A % of A/A2 Notes 14.00% % of BBB/Baa2 Notes 9.00% % of First Loss Fund 4.50% Minimum Mortgage Rate GBP Libor + 4.5% Note Margins: AAA/Aaa Notes (Sterling) 0.20% AAA/Aaa Notes (Euro) N/A AA/Aa2 Notes (Sterling) N/A AA/Aa2 Notes (Euro) N/A A/A2 Notes (Sterling) 0.75% A/A2 Notes (Euro) N/A BBB/Baa2 Notes (Sterling) 1.00% BBB/Baa2 Notes (Euro) N/A Senior Administration Fee 0.15% Junior Administration Fee 0.15% Substitute Administrator's Commitment Fee : Secured loans 0.004% Car Finance contracts N/A Unsecured loans N/A Retail Finance N/A Substitution Period 15/12/04 - 15/11/08 % of Cash limit for Substitutions N/A Optional Redemption Date 15 November 2008 Step Up Date 15 November 2009 Determination Events to pay down the Subordinate Later of i) 5 years from Notes closing ii) % Class B and Class C Notes to total Notes equals 46.1% Clean Up Call (20% of the Closing GBP Note Value) £60,000,000
Note Maturity Dates November 2035 Provisional Pool Balance : Secured loans £241,179,698 Car Finance contracts N/A Unsecured loans N/A Retail Finance N/A Originator PPF % of Secured at Closing 100.00% % of Cars at Closing N/A % of Unsecured at Closing N/A % of Retail at Closing N/A WA LTV at Closing 87.53% % of Secured Limit for Substitutions 100% % of Cars/Retail/Unsecured Limit for Substitutions N/A % of Unsecured Limit for Substitutions N/A % of Unsecured/Retail Limit for Substitutions N/A
39 Glossary of Terms Note: This document is an aid to understanding the investor reports and not a comprehensive list of all legally defined terms held within the agreements of each securitisation. This document will be updated in line with investor feedback.
GLOSSARY OF TERMS FOR THE INVESTOR REPORTS ISSUED BY PARAGON FINANCE PLC ON BEHALF OF THE ISSUERS
Current Consumer Finance Backed Transaction
Issuers Closing Date Originators Quarter Ends for the Issuers
Paragon Secured Finance (No.1) PLC “PSF1” 15 December 2004 PPF January/April/July/October
Abbreviation for the Originators
PPF = Paragon Personal Finance Limited
CURRENT CONSUMER FINANCE TRANSACTIONS – PSF1
40 Glossary of Terms (1) SECURITY LEVEL DATA SECTION – PAGE 1
Paragon Secured Finance (No.1) PLC
This performance report is issued by Paragon Finance PLC for and on behalf of Paragon Secured Finance (No.1) PLC
N.B. This data fact sheet and its notes can only be a summary of certain features of the bonds and their structure. No representation can be made that the information herein is accurate or complete and no liability is accepted therefor. Reference should be made to the issuer documentation for a full description of the bonds and their structure. This data fact sheet and its notes are for information purposes only and are not intended as an offer or invitation with respect to the purchase or sale of any security. Reliance should not be placedon the information herein when making any decision whether to buy, hold or sell bonds (or other securities) or for any other purpose.
FOR FURTHER ASSISTANCE ON THE INVESTOR REPORTS, PLEASE REFER TO THE "INVESTOR TERMS" POSTED ON THE PARAGON WEBSITEhttp://www.paragon-group.co.uk
Summary Transaction Features
Name of Issuer PSF1 PLC Originator % at Closing PPF 100% Originator % at the Quarter End PPF 100% Date of Issue 15-Dec-04 Date of Production 17-Aug-10
Security Level Data Senior/Subordinate
Class A Notes Class B Notes Class C Notes Fitch Rating at Closing AAA A BBB Standard & Poor's Rating at Closing AAA A BBB Current Fitch Rating AAA A BBB Current Standard & Poors Rating AAA A BBB- ISIN XS0208202415 XS0208202688 XS0208202845
Original Issue Amount (£'000) £231,000 £42,000 £27,000 £300,000 Previous Outstanding Note Principal (1) £100,609 £42,000 £27,000 £169,609 Outstanding Note Principal (1) £93,109 £42,000 £27,000 £162,109 Current Pool Factor 0.403070 1.000000 1.000000 Previous Pool Factor 0.435538 1.000000 1.000000 Note Interest Margins: 40 bp 150 bp 200 bp Current Note Interest Rates: 1.09625% 2.19625% 2.69625% 1.62% Previous Note Interest Rates: 1.03938% 2.13938% 2.63938% Optional Redemption (Call) Dates 15-Nov-08 15-Nov-08 15-Nov-08 Step-up Dates 15-Nov-09 15-Nov-09 15-Nov-09 Step-up Margins 40 bp 150 bp 200 bp
Class B & C Notes as a percentage Class A Notes at issue 29.87% Outstanding Class B &C Notes as a percentage of Outstanding Class A Notes 74.11% Determination Event for Paying Class B Notes Class A Notes = £81,000 or the IPD falling in February 2010, whichever is the later Interest Payment Cycle Quarterly Interest Payment Date 16-Aug-10 Previous Interest Period (No. of Days) 91 15-Feb-10 16-May-10 Current Interest Period (No. of Days) 91 17-May-10 15-Aug-10 Interest Calculated on ACTUAL/365 Record Date 02-Aug-10
PSF1 INVESTOR REPORT QUARTER ENDING JULY 2010
a. “Pool Factor” Equals on the first day of the interest period, the principal amount outstanding on all classes of notes (after deducting any principal repayment due on that day) dividing the principal amount outstanding by the following:
Class A Notes Class B Notes Class C Notes Note Denomination £50,000 £50,000 £50,000 b. “Current Note Interest Rates” This is the weighted average note interest rate for the reported period, which is calculated on a weighted average basis by reference to the note value on the preceding interest payment date. c. “Determination Event” Class B and C note holders provide credit coverage for the Class A note holders at the closing date. When the Class A note holders are repaid, the coverage increases. On a date when the coverage number doubles the ratio at the closing date, Class B and C note holders are paid pro rata, ensuring that the ratio between Class B and C notes at the closing date is still maintained.
The Class B and C note holders are repaid on the later of (a) five years from the closing date and (b) when Class B/C note coverage number doubles the ratio at the closing date, subject to meeting a cleared Principal Deficiency Ledger balance and the balance of cases > 3 months arrears being less than 10% of the portfolio balance.
The current position is as follows:
PSF1 - paying down pro rata. d. “Interest Payment Date” The distribution of interest and principal to the principal paying agent is 15 days following the quarter end (principal determination date). e. “Record Date” The date on which registered holders of securities are determined for making distributions on the next interest payment date.
f. “Principal Determination Date” The last working day of the quarter end when the administrator calculates the principal note repayment and advises the principal paying agent 5 business days later.
41 Glossary of Terms (2) PORTFOLIO ASSET MOVEMENTS SECTION – PAGE 2
Asset Movements
Mortgages As at Closing Last Quarter This Quarter Additions this quarter Repurchases this Current Principal Balance Redemptions and quarter Outstanding Repayments Current Principal Balance (£'000) 240,291 169,609 7,556 56 0 162,109 Accrued Arrears and Interest Sold to Issuer (£'000) 542 0 0 0 0 0 0 0 0 0
Total (£'000) 240,833 169,609 7,556 56 0 162,109
Consumer Loans
Current Principal Balance (£'000) Accrued Arrears and Interest Sold to Issuer (£'000)
Total (£'000)
Credit Enhancement 0 0 0 Pre Funding Reserve 59,167 0 0 Principal Cash 0 0 0 Unreplenished Losses on Mortgages 0 0 0 Outstanding Note Principal 300,000 169,609 162,109
Principal/Revenue Analysis PDD = 30/07/2010 Principal (£'000) Revenue (£'000) Opening cash balance 0 0 Total principal cash received this period from assets 5,946 Quarterly Interest Income 3,931 Redemption Income 303 Investment Income 24 Drawing on Sub Loan for Interest Shortfalls Initial income for distribution this period 5,946 4,258 Revenue adjustment for payment of Accrued Arrears and Interest Sold at closing 0 0 Final income for distribution this period 5,946 4,258 Revenue payments made or accrued from Revenue Income: 1 Accrued Arrears and Interest not Sold to Issuer 0 2 Trustee Fee -2 3 Senior Administrator Fee/ Out of Pocket Expenses/ Substitute Administrators Commitment Fee -153 4(i) Payments to Swap Counterparty 0 4(ii) A Note Interest -275 5 B Note Interest -230 6 C Note Interest -181 7 Third Party payments for Corporation Tax and VAT -7 8 PDL Replenishment 1,610 -1,610 9 First Loss Fund Replenishment 0 10 Termination Fees to Swap Provider 0 11 Cap/Swap Retention fund 0 12 Administrator Fee (Junior) -64 13 Surplus income to the Issuer -1,736 Principal payments made from Principal Income: Mandatory Further Advances 0 Discretionary Further Advances -56 Purchase of Furher Assets during the Period 0 A Note repayments -7,500 B Note repayments 0 C Note repayments 0 Total payments to be made this quarter -7,556 -4,258 Total closing cash balance 0 0
PSF1 INVESTOR REPORT QUARTER ENDING JULY 2010
a. “Asset Movement” This section details the scheduled principal from monthly payments and redemption and any write offs of mortgage balances. The “additions” section relates to new assets purchased by the issuer during the quarter and in respect of mandatory and discretionary further advances purchased during the quarter. This section also reconciles the outstanding assets back to the outstanding notes. 100% notes were raised against PSF1’s assets.
b. “Principal Cash” -The issuer uses the following to redeem the notes or to purchase new assets: Scheduled monthly principal repayments received from borrowers representing repayment of the loans (as opposed to interest costs and fees associated with the loans). Proceeds of realisation of security on default - from the sale of the property, from related security: life policies, mortgage indemnity claims. Repurchase of mortgage loans by PPF. Replenishments to the principal deficiency ledger. Pre-closing arrears collected in the period.
less
any discretionary further advances made in the collection period funded out of principal cash. any mandatory further advances made in the collection period funded out of principal cash.
equals the repayment to note holders, or the amount available to purchase new assets in the next Collection Period. As PSF1 is a substituting transaction, loans can be purchased by PSF1 until November 2008, subject to the criteria determined by the rating agencies.
c. “Revenue Income” -The issuer meets its funding costs and operating expenses from the following Interest from the borrowers’ monthly payments. Early pre-payment fees. Accrued interest not sold to the issuer. Investment income. Swap receipts. Proceeds from the realisation of security in default relating to missed interest and fees. Salvage receipts. Drawings made on the subordinated loan to establish the shortfall fund.
equals the revenue ledger balance on the interest payment date.
42 Glossary of Terms For transparency on the investor reports, the revenue ledger balance has been broken down into the following categories:
Quarterly Interest Income: this relates to the quarterly interest generated from the borrowers’ monthly payments.
Redemption Income: this relates to early prepayment fees at the redemption of the mortgage plus if applicable, any arrears of interest and fees.
Investment Income: this relates to the proceeds from the placement of cash during the interest period with the appropriate rating, deposited to the issuer’s transaction account and credited to the revenue ledger.
First Loss Fund Drawings: to the extent that the issuer has insufficient revenue to meet all of its senior liabilities on each interest payment date, a drawing is made on the FLF and credited to the revenue ledger to run through the priority of payments.
Drawings on the Subordinated Loan for interest shortfalls: this relates to the funds drawn on the subordinated loan as a result of the failure of the minimum mortgage rate test. The weighted average interest rate on each portfolio (along with investment income, redemption fees) must exceed GBP Libor + 4.5%. To the extent that each issuer does not achieve this threshold, a cash drawing is made on the subordinated loan to make up for the resultant shortfall. In the underlying documentation, the drawing made on the subordinated loan is credited to the shortfall ledger, then on each interest payment date, is credited to the revenue ledger, however for the purposes of the investor reports, the drawing on the subordinated loan is shown as a credit to the revenue ledger on each interest payment date to then run through the priority of payments. d. “Accrued Arrears Not Sold to the Issuer” Arrears and accrued interest on mortgages less than or equal to one month at the closing date and on each substitution date were retained by PPF and not the issuer. Cash received on those mortgages pay off the accrued interest to PPF at any time during an interest period. This is detailed in part 1 of the section titled “revenue payments made or accrued from revenue income” on page 2 of the investor report. This cash is not available to meet the issuer’s funding costs and operating expenses. e. “Pre-Closing Arrears” Arrears and accrued interest on assets greater than one month’s arrears were purchased by these PSF1 on the closing dates or on any substitution date. Any cash received on those assets in a period are firstly applied to the pre-closing arrears. The effect of the issuer purchasing the pre-closing arrears is diverting the revenue derived from pre-closing arrears accounts from revenue to principal, forming part of the available redemption funds to redeem notes on an interest payment date, or to purchase new assets. f. “Purpose of the PFPLC Subordinated Loan” Establishing the first loss fund, funding discretionary and mandatory further advances in situations where the issuer has insufficient principal cash during an interest period and establishing the shortfall fund where the minimum mortgage rate hasn't been achieved. In addition, to cancel out a debit balance on the principal deficiency ledger and to bring the first loss fund to the required level and the funding of swap termination fees to the extent revenue cash is insufficient during an interest period. g. “Revenue payments made or accrued from revenue income”
These consist of the following funding and operating costs and expenses on each interest payment date, made in GBP sterling.
Trustee fee These relate to the accrual for the relevant period in respect of the trustee fee.
Senior Administration Fee to PFPLC / Out of pocket expenses / Substitute Administrator Commitment Fee For PSF1, the “senior” administration fee is calculated at 0.15% per annum, based on the asset balance on the preceding principal determination date.
43 Glossary of Terms The substitute administrator’s commitment fees are calculated at 0.004% per annum, based on the asset balance on the preceding principal determination date.
Payments to Swap Counterparties These relate to swap payments paid to the swap counterparties where the quarterly GBP Libor is less than the swap rate in the underlying swap confirmations in respect of the fixed rate loans in the portfolio. PSF1 has not currently entered into a swap, however, when the value of the fixed rate mortgages in PSF1 reaches 4% of the portfolio, PSF1 will enter into hedging arrangements with Barclays Bank PLC as the swap counterparty.
Note Interest These relate to the quarterly note interest payable to each class of note holders on each interest payment date, where all of the payments are referenced to (a) three month GBP Libor plus the agreed note margin and (b) the GBP note value at the previous quarter end. All payments made to the GBP note holders are made in GBP sterling on each interest payment date. For example, the Class A note interest is calculated by multiplying the Class A note balance at the previous interest payment date by the current interest rate (three month Libor + margin), dividing this by 365, then multiplying by the number of days in the current interest period.
For PSF1, the Class A note interest on the August 2010 interest payment date equalled:
£100,609,324.20 (Class A GBP note balance) x 1.09625% (GBP Libor + margin) / 365 x 91 (number of days in the interest period) = £274,977.00 payment to PSF1’s principal paying agent (Citibank) for onward payment to the Class A note holders.
Third Party payments for Corporation Tax and VAT An accrual is made for VAT and corporation tax payments in the quarter. In addition, an accrual in respect of third party items such as audit and directors fees are made.
Principal Deficiency Ledger Replenishment To the extent that a principal balance remains outstanding on a PSF1 asset on the earlier of (i) loans falling into the >12 months arrears bucket and (ii) completion of the enforcement procedures, such balances are booked to the issuer's principal deficiency ledger. Provided there is excess revenue available on an interest payment date after making payments in the order of priority, the administrator will cancel out such balance(s) to the principal deficiency ledger by diverting excess revenue to principal or by drawing on the subordinated loan, to form part of the available redemption funds to redeem the notes on the next succeeding interest payment date, or to purchase new assets. In situations where a drawing has been made to replenish the principal deficiency ledger, this is credited directly to the principal deficiency ledger and the principal ledger and does not flow through the priority of payments.
First Loss Fund Replenishment To the extent that the issuer has insufficient revenue to meet all of its senior liabilities on each interest payment date, a drawing is made on the first loss fund and credited to the revenue ledger to run through the priority of payments. As the first loss fund has to be at the required level in order for the issuer to grant further advances in the next quarter, the first loss fund is replenished back to its required level by drawing on the PFPCL subordinated loan, or capturing through excess spread in the priority of payments. In situations where a drawing has been made in the first loss fund to meet the issuer’s senior liabilities, and is replenished to its required level by drawing on the subordinated loan, this is credited directly to the first loss fund ledger and does not flow through the priority of payments.
Junior Administration Fee to PFPLC For PSF1 the “junior” administration fee is calculated at 0.15% per annum based on the asset balance on the preceding principal determination date.
Surplus Income to the Issuer To the extent that an excess balance remains on the revenue ledger after making all payments in the order of priority on an interest payment date, the issuer is entitled to receive this balance to pay or provide for payment of any dividends or other distributions to be made by the issuer, such as interest on the fee letter, payment of PFPLC subordinated loan interest, repayment of the subordinated loan and management charges to PFPLC. For the purposes of the investor reports, this is shown as a combined number.
44 Glossary of Terms Principal/Revenue Analysis PDD = 30/07/2010 Principal (£'000) Revenue (£'000) Opening cash balance 0 0 Total principal cash received this period from assets 5,946 Quarterly Interest Income 3,931 Redemption Income 303 Investment Income 24 Drawing on Sub Loan for Interest Shortfalls Initial income for distribution this period 5,946 4,258 Revenue adjustment for payment of Accrued Arrears and Interest Sold at closing 0 0 Final income for distribution this period 5,946 4,258 Revenue payments made or accrued from Revenue Income: 1 Accrued Arrears and Interest not Sold to Issuer 0 2 Trustee Fee -2 3 Senior Administrator Fee/ Out of Pocket Expenses/ Substitute Administrators Commitment Fee -153 4(i) Payments to Swap Counterparty 0 4(ii) A Note Interest -275 5 B Note Interest -230 6 C Note Interest -181 7 Third Party payments for Corporation Tax and VAT -7 8 PDL Replenishment 1,610 -1,610 9 First Loss Fund Replenishment 0 10 Termination Fees to Swap Provider 0 11 Cap/Swap Retention fund 0 12 Administrator Fee (Junior) -64 13 Surplus income to the Issuer -1,736
(3) AVAILABLE CREDIT ENHANCEMENT SECTION – PAGE 3
Available Credit Enhancement
First Loss Fund Analysis First Loss Fund at Closing 13,500 Last Quarter closing First Loss Fund balance 13,500 Replenishments 0 Drawing this quarter 0 Drawing used to pay 0 A Note Interest 0 B Note Interest 0 C Note Interest 0 PDL Replenishment 0 Closing First Loss Fund Balance 13,500
Spread Trap Requirement n/a Build up - prior periods n/a Build up - this period n/a Requirement Outstanding n/a
Principal Deficiency Ledger (PDL) Opening PDL Balance 0 Movement into the > 12 Month Arrears Band 526 Write off of loans 1,084 Total PDL balance 1,610 PDL replenishment from excess Revenue income -1,610 Closing PDL Balance 0
Over Collateralisation
Current Principal Balance, Outstanding Accrued Arrears and Principal Cash (£'000) 162,109 Outstanding Note Principal (£'000) 162,109
Mandatory and Discretionary Further Advances (FA's) DFA's MFA's Total Total FA's permitted 15,000 5,000 15,000 FA's made to last quarter 7,487 0 7,487 FA's made this quarter 56 0 56 Total FA's made to date 7,543 0 7,543 Remaining permitted FA's 7,457 0
Cash Flow Interest Coverage Cover Ratio for Class A Notes (at last Interest Payment Date) 14.92 x Cover Ratio for Class A Notes (cumulative) 2.87 x Cover Ratio for Class B Notes (at last Interest Payment Date) 16.64 x Cover Ratio for Class B Notes (cumulative) 8.52 x Cover Ratio for Class C Notes (at last Interest Payment Date) 19.88 x Cover Ratio for Class C Notes (cumulative) 11.07 x
PSF1 INVESTOR REPORT QUARTER ENDING JULY 2010
a. “First Loss Fund” A % of the closing date’s GBP equivalent note balance (4.5%) agreed with the rating agency / agencies on the closing date is deposited as cash to the issuer's transaction bank account from the PFPLC subordinated loan.
To the extent that the issuer's revenue resources are insufficient on an interest payment date to pay its senior liabilities, a drawing is made on the first loss fund to enable the issuer to make such payments. Drawings on the first loss fund are allowed to bring the PDL to nil.
To the extent that the issuer has sufficient revenue available in the next interest period, the issuer will use the surplus revenue to bring the first loss fund back to its required amount, or draw on the subordinated loan to bring it back to the required level.
b. “Spread Trap” The spread trap is calculated as a % of the current balance agreed with the rating agency / agencies on the closing date.
To the extent that there is excess revenue after making payments in the order of priority on an interest payment date, the spread trap is built up from excess revenue and diverted to principal to form part of the available redemption funds in redeeming the notes in the next succeeding period in respect of a non-substituting transaction. 100% notes were issued against the assets for PSF1.
The spread trap is not applicable to PSF1. 45 Glossary of Terms
c. “Principal Deficiency Ledger” To the extent that a principal balance remains outstanding on a PSF1 asset on the earlier of (i) loans falling into the >12 months arrears bucket and (ii) completion of the enforcement procedures, such balances are booked to the issuer's principal deficiency ledger. Provided there is excess revenue available on an interest payment date after making payments in the order of priority, the administrator will cancel out such balance(s) to the principal deficiency ledger by (i) diverting excess revenue to principal or (ii) drawing on the subordinated loan, to form part of the available redemption funds to redeem the notes on the next succeeding interest payment date, or to purchase new assets. In situations where a drawing has been made to replenish the principal deficiency ledger, this is credited directly to the principal deficiency ledger and the principal ledger and does not flow through the priority of payments.
d. “Over collateralisation” The result of deducting the value of the assets less the value of the notes equals the over collateralisation. For PSF1 100% notes were issued against the assets.
e. “Mandatory Further Advances” Financed out of principal cash received during an interest period, a further advance made to borrowers to fund deferred interest or the release of an advance retained as part of the original mortgage after completing certain works to the property. Mandatory further advances are deducted from the available redemption funds to arrive at the note repayment to the note holders.
f. “Discretionary Further Advance” Non mandatory further advances, financed out of principal cash provided that the principal deficiency ledger is nil at the previous interest payment date and certain arrears tests are met. Discretionary further advances form part of the available redemption funds calculation in determining the note repayment to the note holders.
g. “Cash flow coverage numbers” Cash flow coverage ratios are calculated as the ratio of revenue cash received during the quarter to note interest payments, in each case net of payments due in priority to the respective class of note. If revenue cash is insufficient to pay any interest on a class of note then a zero will appear in the report.
(4) COLLATERAL LEVEL DATA SECTION – PAGE 4
Collateral Level Data 30-Jul-10
Original Weighted Average Yield 9.46% Original Weighted Average Note Coupon 5.23% Original Spread 4.23% Current Weighted Average Yield 9.53% Current Weighted Average Note Coupon 1.62% Current Spread 7.91% Total Income as a % of the Mortgages 2.51% Stated Maturity - Class A Notes 15/11/2035 Stated Maturity - Class B Notes 15/11/2035 Stated Maturity - Class C Notes 15/11/2035 Original Weighted Average Maturity 15.78 years Current Weighted Average Maturity 13.97 years Quarterly Prepayment Rate 3.51% Life Time Prepayment Rate 29.90%
Delinquency Status No. £'000 Value Enforcements in Progress 894 24,992 Properties repossessed by Paragon 8 255 Aggregate Principal Balance of Repurchased Loans 0 Aggregate Balance of Discretionary Further Advances in the period 56 Principal Losses Agg Loan Principal Losses (during related Collection Period) 1,610 Cumulative Principal Losses (since closing date) 22,631 Cumulative Recoveries 5,995 Possession Properties Sold Properties Sold by Mortgagee 9 Average Number of months in Arrears @ Redemption date 12.37 Average months between Possession & Redemption 4.38
FOR ADDITIONAL INFORMATION ON THE UNDERLYING ASSETS, PLEASE REFER TO THE "POOL TABLES" AND "SUMMARY" SECTIONS POSTED ON THE PARAGONhttp://www.paragon-group.co.uk WEBSITE
Delinquency Summary No. % £'000 Principal % Performing 5,768 86.58% 137,117 84.58% >1<=2 Months 283 4.25% 7,633 4.71% >2<=3 Months 163 2.45% 4,740 2.92% >3<=4 Months 90 1.35% 2,388 1.47% >4<=5 Months 82 1.23% 2,226 1.37% >5<=6 Months 63 0.95% 1,839 1.13% >6<=9 Months 132 1.98% 4,075 2.51% >9<=12 Months 81 1.22% 2,091 1.29% >12 Months 0 0.00% 0 0.00% Total Outstanding Current Principal Balance 6,662 100.00% 162,109 100.00%
Interest Received Versus Interest Due 105.37%
Contact Name/Address Tel. E-mail
John Harvey, St. Catherines Court, Herbert Road, Solihull, West Midlands, B91 3QE +44 (0) 121 712 3894 [email protected] Andrew Kitching, St. Catherines Court, Herbert Road, Solihull, West Midlands, B91 3QE +44 (0) 121 712 3896 [email protected] Jimmy Giles, St. Catherines Court, Herbert Road, Solihull, West Midlands, B91 3QE +44 (0) 121 712 2315 [email protected]
PSF1 INVESTOR REPORT QUARTER ENDING JULY 2010
a. “Original Weighted Average Yield” The weighted average interest rate charged on the mortgages at the closing date of the transaction, weighted by reference to the customer’s principal balance.
b. “Original Weighted Note Coupon” 46 Glossary of Terms The weighted average note interest rate charged to the issuer at the closing date of the transaction, calculated on a weighted average basis by reference to the GBP equivalent note value on the closing date. c. “Original Spread” The result of deducting the weighted average interest rate from the weighted average funding margin. d. “Current Weighted Average Yield” The weighted average interest rate charged on the mortgages at the relevant quarter end, weighted by reference to the customer’s principal balance. e. “Current Weighted Note Coupon” The weighted average interest rate charged to the issuer at the start of the quarter, calculated on a weighted average basis by reference to the GBP equivalent note value on the preceding interest payment date. f. “Current Spread” The result of deducting the current weighted average interest rate from the current weighted funding margin. g. “Total income as a % of the assets” This measures the total revenue generated in the period as a percentage of the asset balance at the previous quarter end. h. “Stated Maturity” The interest payment date following the assets latest maturity. i. “Originated Weighted Average Maturity” The weighted average remaining term of the assets at the closing date, calculated by reference to the remaining term, and weighted against the customer’s principal balance. j. “Current Weighted Average Maturity” The weighted average remaining term of the assets at the relevant quarter end, calculated by reference to the remaining term, and weighted against the customer’s principal balance. k(i). “Quarterly Prepayment Rate” The quarterly prepayment rate calculated by analysing the redemptions and scheduled repayments and then dividing the result by the closing principal balance of the assets at the previous quarter end.
(ii). “Lifetime Prepayment Rate” The lifetime weighted average prepayment since the closing date using the following formula and example: 1 - ( (1- a1) x (1 - a2) x (1 - a3) ...... (1- an)) ^ (4 / n)
Where: a1 = redemption rate for quarter 1 a2 = redemption rate for quarter 2 a3 = redemption rate for quarter 3 an = redemption rate for quarter current n = no of quarters expired including current quarter
^ = to the power
For example, in the first three quarterly redemption rates were seen in a deal: 3.67%, 5.77% and 4.51%
The life time redemption rate is calculated as:
1 - ((1 - 3.67%) x (1 - 5.77%) x (1 - 4.51%)) ^ 4/3
1 - ((0.9633) x (0.9423) x (0.9549)) ^ 4/3
47 Glossary of Terms 1 - 0.8668 ^ 1.333
1.1736
17.36%
“Delinquency Status” l(i). “Enforcements in progress": assets where the administrator has commenced or has issued proceedings against the borrowers in breach of their mortgage conditions at the relevant quarter end.
(ii). “Enforcements Completed”: assets which have been repossessed by Paragon Finance PLC as the administrator awaiting the sale of the assets at the relevant quarter end.
Delinquency Status No. £'000 Value Enforcements in Progress 894 24,992 Properties repossessed by Paragon 8 255 m. “Aggregate Principal Balance of Repurchased Loans” loans repurchased by PPF from the issuer caused by a breach of the security warranties at the relevant quarter end. n. “Aggregate Balance of Substituted Loans” Assets purchased by the Issuer from the use of the pre-funding reserve on the closing date and assets purchased by the issuer to November 2008. o. “Recoveries” After the sale of repossessed properties, borrowers are jointly and severally liable for any outstanding loan balance and to the extent that a balance remains outstanding after completion of the enforcement procedures, PFPLC as the administrator will pursue borrowers for such balances. To the extent that further cash is received from borrowers after PFPLC have written off such loans, the cash is credited to the revenue ledger to run through the priority of payments. p. “Principal Losses” This relates to any losses made on the disposal of a property following the first mortgagees or the administrator’s enforcement procedures at the relevant quarter end. In addition, the cumulative losses are also reported. q. “Possession Properties Sold”
Possession Properties Sold Properties Sold by Mortgagee 9 Average Number of months in Arrears @ Redemption date 12.37 Average months between Possession & Redemption 4.38
Possession properties sold by the administrator. The average number of months in arrears at the sale date relates to the number of missed payments at the property sale date. The number of days between the possession to sale measures the time period involved in disposing of the property. r. "Delinquency summary"
"arrears" = missed payments
Performing - assets that are less that or equal to one month in arrears (i.e. missed payments). >1<= 2 months – mortgages that are greater than one in arrears, less than or equal to two months arrears. >2 <= 3 months – assets that are greater than two months arrears, less than or equal to three months arrears. >3 <= 4 months – assets that are greater than three months arrears, less than or equal to four months arrears. >4 <=5 months – assets that are greater than four months arrears, less than or equal to five months arrears.
48 Glossary of Terms >5 <=6 months – assets that are greater than five months arrears, less than or equal to six months arrears. >6 <=12 months – assets that are greater than six months arrears, less than or equal to twelve months arrears. >12 months - assets that are greater than twelve months in arrears.
The arrears bandings are calculated on payments expected, minus payments received, divided by the monthly payments to put the loan into the relevant arrears band. The arrears band is then linked to the customer’s outstanding principal balance.
Example:
Payments expected: £600 Payments received: NIL Monthly payment: £100 Arrears Band: 6 months
From here, the arrears band is then linked into the customer’s outstanding principal balance.
Delinquency Summary No. % £'000 Principal % Performing 5,768 86.58% 137,117 84.58% >1<=2 Months 283 4.25% 7,633 4.71% >2<=3 Months 163 2.45% 4,740 2.92% >3<=4 Months 90 1.35% 2,388 1.47% >4<=5 Months 82 1.23% 2,226 1.37% >5<=6 Months 63 0.95% 1,839 1.13% >6<=9 Months 132 1.98% 4,075 2.51% >9<=12 Months 81 1.22% 2,091 1.29% >12 Months 0 0.00% 0 0.00% Total Outstanding Current Principal Balance 6,662 100.00% 162,109 100.00%
(5) STRUCTURAL FEATURES a. “First Loss Fund arrears triggers” The first loss fund credit enhancement levels are dependent on the asset performance during the life of the transaction. To the extent that the balance of mortgages greater than three months arrears equals 10% of the total current balance on a principal determination date, the first loss fund increases to:
PSF1, from 4.50% to 5.30% of the GBP equivalent closing note balance.
Should the arrears hit the 10% level in one quarter and then improve in the next quarter falling below the 10% trigger, the credit enhancement remains at the higher level, through the capture of excess spread or drawing on the subordinated loan. b. “Substitution of further assets” PSF1 features a four-year substitution period from 15th December 2004 to 15th November 2008 to purchase further mortgages from PPF.
On each principal determination date, the administrator will analyse the principal ledger balance (inclusive of any credits made to the PDL) to determine the actual value of mortgages that PSF1 can purchase from PPF during the next succeeding collection period (up until the next principal determination date).
PSF1 has the following substitution criteria:
No balance on the principal deficiency ledger. Fully funded first loss fund. £15,000,000 limit on arrears mortgages (greater than 1 month’s arrears). £5,000,000 limit on retention releases. £15,000,000 limit on further advance and retention releases. Meeting substantially the same lending criteria as that of the closing date. Substitution would not result in an adverse change to the current ratings of the notes. Governed by English, Scottish and Northern Irish law. Minimum margin requirement of 4.5% to be met.
49 Glossary of Terms No more than 10% of assets to be greater than 3 months in arrears. (or any such percentage that may be agreed with the rating agencies from time to time) Ratio of interest due from borrowers to interest received from borrowers is 95% or more. (or any such percentage that may be agreed with the rating agencies from time to time) Passing the weighted average foreclosure frequency and loss severity tests within a limit of 0.25% of the closing date’s WAFFS and WALS (or any such percentage that may be agreed with the rating agencies from time to time). Loans sold into PSF1 must have an original final maturity date of 25 years. Mortgages sold into PSF1 must not exceed 30th November 2033.
(6) QUARTERLY POOL TABLES
The pool tables contains information on the underlying assets as at each quarter end. The overview section within the pool tables are as follows:
Second Charged Residential Mortgages Originated by : PARAGON PERSONAL FINANCE LIMITED Key Features
Weighted Average Minimum Maximum Loan to Value Ratio 83.37% 2.14% 136.77% Nationwide Index Loan to Value 84.44% 2.17% 179.85% Halifax Index Loan to Value 89.07% 2.21% 182.79% 1st Mortgagee Loan to Value 60.12% 0.00% 110.69% Current Principal Balance £ 24,333.42 £ 9.39 £ 139,922.80 Seasoning (months) 47.69 0.10 129.61 Annual yield 9.53% 2.21% 16.93% Remaining term (years) 13.97 0.08 23.67
Loan to Value Ratio The weighted average LTV of the assets at the relevant quarter end. This is calculated by dividing the current valuation by the principal balance (including the 1st mortgagee’s principal balance) of the asset at the quarter end and weighting this against the customer’s principal balance (including the 1st mortgagee’s principal balance). Valuations are calculated at the mortgage origination date, and are updated when a discretionary further advance is released to the customer.
Nationwide Index Loan to Value The weighted average LTV of the assets based on the Nationwide index valuation at the previous quarter end. These are updated quarterly, at the end of March, June, September and December.
1st Mortgagee Loan to Value The weighted average LTV of the first mortgagee at the relevant quarter end, which is weighted by reference to the customer’s first charged outstanding balance. This is calculated by dividing the current valuation by the principal balance of the first mortgagee at the relevant quarter end.
Current Principal Balance The weighted average principal balance is calculated by dividing the total principal balances by the number of loans at the relevant quarter end.
Seasoning (months) The weighted average period (in months) that assets have been running since year of origination, at the relevant quarter end.
Annual yield The weighted average interest rate charged on the assets at the relevant quarter end.
Remaining term (years) The weighted average remaining term (in years) on the assets at the relevant quarter end.
The detailed information of the underlying assets is as follows:
50 Glossary of Terms a. “Distribution by loan to value ratios” The distribution of current principal balances by loan to value ratios. This is calculated by dividing the current valuation by the principal balance of the asset at the relevant quarter end and weighting this against the customer’s principal balance. Valuations are calculated at the mortgage origination date, and are updated when a discretionary further advance is released to the customer.
DISTRIBUTION BY LOAN TO VALUE RATIOS
Current Principal Balance % Number %
> 0 < = 25 1,444,032.81 0.89% 150 2.25% > 25 < = 50 11,356,187.19 7.01% 701 10.52% > 50 < = 55 4,492,567.86 2.77% 248 3.72% > 55 < = 60 6,346,054.35 3.91% 299 4.49% > 60 < = 65 7,204,529.08 4.44% 323 4.85% > 65 < = 70 8,097,387.11 5.00% 383 5.75% > 70 < = 75 12,840,704.66 7.92% 527 7.91% > 75 < = 80 15,462,036.64 9.54% 612 9.19% > 80 < = 85 13,678,263.29 8.44% 555 8.33% > 85 < = 90 14,058,880.49 8.67% 608 9.13% > 90 < = 95 17,116,630.83 10.56% 695 10.43% > 95 < = 100 17,163,823.53 10.59% 615 9.23% > 100 32,848,139.51 20.26% 946 14.20%
162,109,237.35 6,662 b. “Distribution by loan to value ratios – Nationwide Index” The distribution of current principal balances by loan to value ratios based on the Nationwide index valuation. These are updated quarterly, at the end of March, June, September and December.
DISTRIBUTION BY LOAN TO VALUE RATIOS- NATIONWIDE INDEX AS AT JUNE 2010
Current Principal Balance % Number %
> 0 < = 25 1,593,402.12 0.98% 179 2.69% > 25 < = 50 12,347,147.02 7.62% 786 11.80% > 50 < = 55 4,956,541.07 3.06% 251 3.77% > 55 < = 60 6,108,509.95 3.77% 297 4.46% > 60 < = 65 6,977,831.05 4.30% 311 4.67% > 65 < = 70 8,639,199.69 5.33% 361 5.42% > 70 < = 75 9,984,263.45 6.16% 417 6.26% > 75 < = 80 13,943,880.90 8.60% 565 8.48% > 80 < = 85 14,635,689.72 9.03% 572 8.59% > 85 < = 90 13,829,310.02 8.53% 530 7.96% > 90 < = 95 13,534,610.78 8.35% 544 8.17% > 95 < = 100 14,755,253.52 9.10% 551 8.27% > 100 40,803,598.06 25.17% 1,298 19.48%
162,109,237.35 6,662 c) “Distribution by current principal balance outstanding” The distribution of assets by current principal balances at the relevant quarter end.
DISTRIBUTION BY CURRENT PRINCIPAL BALANCE OUTSTANDING
Current Principal Balance % Number %
0 to 15,000 18,821,148.86 11.61% 2,205 33.10% 15,000.01 to 30,000 53,479,419.44 32.99% 2,396 35.97% 30,000.01 to 45,000 47,968,340.38 29.59% 1,314 19.72% 45,000.01 to 60,000 29,026,031.82 17.91% 571 8.57% 60,000.01 to 70,000 6,784,400.83 4.19% 106 1.59% 70,000.01 to 80,000 2,909,427.60 1.79% 39 0.59% 80,000.01 to 90,000 1,113,897.29 0.69% 13 0.20% 90,000.01 to 100,000 461,685.26 0.28% 5 0.08% more than 100,000 1,544,885.87 0.95% 13 0.20%
162,109,237.35 6,662 d) “Distribution by annual yield to Issuer” The distribution of assets by interest rate charged to borrowers at the relevant quarter end.
51 Glossary of Terms DISTRIBUTION BY ANNUAL YIELD TO ISSUER
Current Principal Balance % Number %
Under 7.00% 8,299,541.47 5.12% 253 3.80% 7.00% to 7.99% 18,778,189.39 11.58% 555 8.33% 8.00% to 8.99% 31,654,897.84 19.53% 962 14.44% 9.00% to 9.99% 49,452,915.70 30.51% 2,180 32.72% 10.00% to 10.99% 26,847,853.91 16.56% 1,258 18.88% 11.00% to 11.99% 18,620,781.70 11.49% 835 12.53% 12.00% to 12.99% 5,520,393.48 3.41% 410 6.15% 13.00% to 13.99% 1,414,374.86 0.87% 93 1.40% 14.00% to 14.99% 1,430,781.41 0.88% 109 1.64% 15.00% and over 89,507.59 0.06% 7 0.11%
162,109,237.35 6,662 e) “Distribution by remaining term” The distribution of assets by remaining term (in years) at the relevant quarter end.
DISTRIBUTION BY REMAINING TERM
Current Principal Balance % Number %
> 0 < 5 11,418,356.94 7.04% 1,214 18.22% >= 5 < 10 36,818,702.18 22.71% 1,796 26.96% >= 10 < 15 39,845,545.70 24.58% 1,384 20.77% >= 15 < 20 38,984,088.72 24.05% 1,202 18.04% >= 20 < 25 35,042,543.81 21.62% 1,066 16.00% >= 25 < 30 - 0.00% - 0.00%
162,109,237.35 6,662 f) “Distribution by Geographical regions” The distribution of assets split by region at the relevant quarter end, calculated by reference to the property’s post code.
DISTRIBUTION BY GEOGRAPHICAL REGIONS
Current Principal Balance % Number %
North 10,409,308.80 6.42% 433 6.50% North West 18,135,936.10 11.19% 782 11.74% Yorkshire 13,952,791.57 8.61% 603 9.05% East Midlands 11,278,976.51 6.96% 474 7.11% West Midlands 12,788,880.00 7.89% 549 8.24% East Anglia 6,195,934.99 3.82% 267 4.01% South East (exc Greater London) 40,587,714.19 25.04% 1,537 23.07% South West 10,926,702.17 6.74% 411 6.17% Greater London 6,092,600.48 3.76% 227 3.41% Wales 8,590,536.48 5.30% 373 5.60% Scotland 14,297,222.72 8.82% 662 9.94% Nth. Ireland 8,852,633.34 5.46% 344 5.16% Unknown - 0.00% - 0.00%
162,109,237.35 6,662 g) “Distribution by Seasoning” The distribution of assets by year of origination at the relevant quarter end.
52 Glossary of Terms DISTRIBUTION BY SEASONING
Year of Origination Current Principal Balance % Number %
1999 74,308.15 0.05% 4 0.06% 2000 391,580.34 0.24% 60 0.90% 2001 382,193.35 0.24% 31 0.47% 2002 1,677,969.84 1.04% 95 1.43% 2003 4,798,538.01 2.96% 203 3.05% 2004 17,604,725.77 10.86% 704 10.57% 2005 24,717,466.17 15.25% 928 13.93% 2006 36,337,053.88 22.42% 1,338 20.08% 2007 46,131,383.73 28.46% 1,830 27.47% 2008 29,994,018.11 18.50% 1,469 22.05%
162,109,237.35 6,662 h) “Number of month in arrears – original pool” The current principal balances / number of mortgages of PSF1’s original assets from December 2004, split by arrears bands, resulting in the weighted average number of months in arrears at the relevant quarter end.
NUMBER OF MONTHS IN ARREARS - ORIGINAL POOL
Current Principal Balance % Number %
<=1 month 23,787,552.94 83.20% 1,300 86.90% >1 <=2 months 1,486,070.92 5.20% 63 4.21% >2 <=3 months 641,163.93 2.24% 30 2.01% >3 <=4 months 362,273.67 1.27% 12 0.80% >4 <=5 months 625,862.60 2.19% 26 1.74% >5 <=6 months 299,174.82 1.05% 13 0.87% >6 <=9 months 806,050.29 2.82% 31 2.07% >9 <=12 months 582,801.99 2.04% 21 1.40% >12 months - 0.00% - 0.00%
28,590,951.16 1,496
AVERAGE NUMBER OF MONTHS IN ARREARS FOR ARREARS LOANS 4.56 i) “Number of months in arrears – substituted loans” The current principal balances / number of mortgages of substituted assets split by arrears bands, resulting in the weighted average number of months in arrears at the relevant quarter end.
NUMBER OF MONTHS IN ARREARS - SUBSTITUTED LOANS
Current Principal Balance % Number %
<=1 month 113,329,078.91 84.88% 4,468 86.49% >1 <=2 months 6,146,867.08 4.60% 220 4.26% >2 <=3 months 4,099,259.85 3.07% 133 2.57% >3 <=4 months 2,025,487.03 1.52% 78 1.51% >4 <=5 months 1,600,631.06 1.20% 56 1.08% >5 <=6 months 1,540,292.49 1.15% 50 0.97% >6 <=9 months 3,268,885.42 2.45% 101 1.96% >9 <=12 months 1,507,784.35 1.13% 60 1.16% >12 months - 0.00% - 0.00%
133,518,286.19 5,166
AVERAGE NUMBER OF MONTHS IN ARREARS FOR ARREARS LOANS 4.14 j) “Product” The distribution of assets by product type – variable rate and fixed rate at the relevant quarter end.
PRODUCT
Current Principal Balance % Number %
Variable rate 161,699,179.75 99.75% 6,643 99.71% Fixed rate 410,057.60 0.25% 19 0.29%
162,109,237.35 6,662
53 Glossary of Terms k) “Payment Protection Insurance” The distribution of assets by payment protection / no payment protection at the relevant quarter end.
PAYMENT PROTECTION INSURANCE
Current Principal Balance % Number %
With Payment Protection 82,798,539.12 51.08% 3,148 47.25% Without Payment Protection 79,310,698.23 48.92% 3,514 52.75%
162,109,237.35 6,662
The investor reports, pool tables and summary section can all be found on the Paragon website http://www.paragon-group.co.uk/
54 Glossary of Terms