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Paragon Mortgages (No 25) plc: 01 May 2018

After an absence from the market since November 2015, Paragon re-surfaces with a new stand-alone transaction where again the issuer will make payments on the notes from payments of principal and revenue received from a portfolio comprising buy-to-let mortgages originated by Paragon Mortgages (2010) Limited, which will be purchased by the Issuer on the closing date and on any date up to and including the second Principal Determination Date thereafter and which are secured over residential properties located in England and Wales.

The provisional mortgage pool (as at 31 January 2018) consists of buy-to-let loans advanced on 4,498 properties, where the average loan size is £169,144 and the largest is for £2.188mln. Product type (by balance): Fixed (reverting to Libor plus a variable margin) – 43.14%, Fixed (reverting to SVR) – 37.48%, Libor Linked – 17.03%, others – 2.36%. Repayment Method: Interest only (optional switching to repayment) – 91.85%, Repayment – 8.15%. Letting Occupancy – Non-Corporate 76.54%, Corporate – 23.46%. The WA LTV is 70.29% and the WA seasoning is 2.19 years. Regional distribution (by balances): South East (excl. GL) – 36.32%, Greater London – 20.66%, North West – 9.12% and South West – 9.10%.

Significant Investor: On the Closing Date, PFPLC will purchase 37.5% of the aggregate Principal Amount Outstanding of the Class A Notes, approximately 5% of the Class B Notes, approximately 5% of the Class C Notes and all of the Class D Notes, the Class Z Notes, the Class S Notes and the Class S VFN. PFPLC may retain or at a later date sell some or all of those Notes in the secondary market at variable prices. PFPLC may sell those Notes in individually negotiated transactions at variable prices in the secondary market. In holding some or all of such classes of Notes, PFPLC may therefore be able to pass, or hold a sufficient minority to block, certain Noteholder resolutions. Also, on the Closing Date, the Sellers will receive the Residual Certificates as partial consideration for the sale of the Mortgage Portfolio.

CRR/405: Paragon Finance PLC ("PFPLC") as an originator within the meaning of the CRR, the AIFM Regulation and the Solvency II Regulation will retain a material net economic interest of at least 5% in the securitisation (i) in accordance with the text of Article 405(1)(a) of Regulation (EU) No. 575/2013, (ii) in accordance with Article 51(1)(a) of Regulation (EU) No 231/2013; and (iii) in accordance with Article 254(2)(a) of Regulation (EU) 2015/35. As at the Closing Date, such interest will consist of an interest in each class of Notes.

US Risk Retention: The transaction is not intended to involve the retention by a sponsor for purposes of compliance with the final rules promulgated under Section 15G of the Securities Exchange Act of 1934, as amended, but rather it is intended to rely on an exemption provided for in Section 20 of the U.S. Risk Retention Rules regarding non-U.S. transactions.

Compare/contrast: Paragon 24, Precise Mortgage Funding 2018-2B, Tower Bridge Funding No.2