Paragon Mortgages (No 29) plc: 05 November 2023

After a 3 year absence, another stand-alone transaction from Paragon, 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 May 2023) consists of buy-to-let loans advanced on 4,276 properties, where the average loan size is £214,838 and the largest is for £2.276mln. Product type (by balance): Fixed (reverting to SVR) – 100.00%. Repayment Method: Interest only (optional switching to repayment) – 95.22%, Repayment – 4.78%. Letting Occupancy: Professional Landlords - 78.87%, private investor Landlords – 21.13%. The WA LTV is 69.44% and the WA seasoning is 2.86 years. Regional distribution (by balances): South East (excl. GL) – 31.04%, Greater London – 19.61%, North West – 10.21% and South West – 8.98%.
Significant Investor: On the Closing Date, Paragon Bank will purchase all of the Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes, the Class Z Notes, the Class S Notes and the Class S VFN.

UK & EU Risk Retention: Paragon Bank, as an originator, will retain a material net economic interest of at least 5% in the securitisation. As at the Closing Date, such interest will consist of an interest of not less than 5% of the nominal value of each class of Notes in accordance with Article 6(3)(a) of the UK Securitisation Regulation and Article 6(3)(a) of the EU Securitisation Regulation.

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 US Risk Retention Rules regarding non-U.S. transactions.

Compare/contrast: Paragon 28, Polaris 2023-2 plc, Albion No 5 plc