Investor Reporting

Paragon Mortgages (No.11) PLC - March 2006

Issuer Paragon Mortgages (No.11) PLC, 51 Homer Road, Solihull, West Midlands, B91 3QJ
Closing Date 23 March 2006
Originators Paragon Mortgages Limited, 51 Homer Road, Solihull, West Midlands, B91 3QJ
Mortgage Trust Limited, 51 Homer Road, Solihull, West Midlands, B91 3QJ
Notes Issued Class A1 Class A2a Class A2b Class B1a Class B1b Class C1b
Original Rating (S&P/Moody’s/Fitch) A-1+/P-1/F1+ AAA/Aaa/AAA AAA/Aaa/AAA AA/Aa2/AA AA/Aa2/AA A/A2/A
Current Rating (S&P/Moody’s/Fitch) AAA/Aaa/AAA AAA/Aaa/AAA AAA/Aaa/AAA AA-/Aa2/AAA AA-/Aa2/AAA A+/A2/A
Original Notes $985,000,000 £149,500,000 €219,700,000 £16,000,000 €82,400,000 €87,500,000
GBP Equivalent £567,281,942 £149,500,000 £150,715,849 £16,000,000 £56,527,018 £60,025,657
Currency Exchange Rates £1 : $1.736 N/A £1 : €1.46 N/A £1 : €1.46 £1 : €1.46
Note Denominations $100,000 £50,000 €50,000 £50,000 €50,000 €50,000
Initial Margins -1bp 12bp 12bp 24bp 24bp 45bp
Current Margins 10bp N/A N/A N/A N/A N/A
Step Up Dates N/A April 2011 April 2011 April 2011 April 2011 April 2011
Step Up Margins TBA 24bp 24bp 48bp 48bp 90bp
Optional Redemption Dates April 2010 April 2010 April 2010 April 2010 April 2010 April 2010
Principal Determination Dates Last business day of June, September, December and March
Quarterly Interest Payment Dates 15 July, 15 October, 15 January, 15 April
A1 Monthly Interest Payment Date 15thof each month, commencing 18thApril 2006
Class A1 Mandatory Transfer Date The Interest Payment Date falling on 15 January 2007 and annually thereafter
Joint Lead Managers Deutsche Bank AG, London, Winchester House, 1 Great Winchester Street, London, EC2N 2DB
The Royal Bank of Scotland PLC, 135 Bishopsgate, London, EC2M 3UR
JP Morgan Securities Ltd, 125 London Wall, London, EC2Y 5AJ
Administrators Paragon Finance PLC, 51 Homer Road, Solihull, West Midlands, B91 3QJ
Mortgage Trust Services PLC, 51 Homer Road, Solihull, West Midlands, B91 3QJ
Trustee Citicorp Trustee Company Limited, Citigroup Centre, 6thFloor, Canada Square, Canary Wharf, London, E14 5LB
Rating Agencies Moody’s Investors Service Limited, One Canada Square, Canary Wharf, London, E14 5FA
Standard & Poors, 20 Canada Square, Canary Wharf, London, E14 5LH
Fitch Ratings Limited, 30 North Colonnade, London, E14 5GN
Principal Paying / Reference Agent/ Citibank, N.A. Citigroup Centre, 21stFloor, Canada Square, Canary Wharf, London, E14 5LB
U.S.Paying Agent Citibank, N.A. 388 Greenwich Street, 14thFloor, New York, N.Y. 10043, U.S.A.
Tender Agent Citibank, N.A. Citigroup Centre, 21stFloor, Canada Square, Canary Wharf, London, E14 5LB
Class A1 Remarketing Agent The Royal Bank of Scotland plc, 135 Bishopsgate, London, EC2M 3UR
Class A1 Conditional Note Purchasers The Royal Bank of Scotland plc, 135 Bishopsgate, London, EC2M 3UR
Deutsche Bank A.G., London Branch, Winchester House, 1 Great Winchester Street, London, EC2N 2DB
Legal Advisors to the Issuer/Administrators Clifford Chance LLP, 10 Upper Bank Street, Canary Wharf, London, E14 5JJ
Legal Advisors to the Lead Manager and Trustee Simmons & Simmons, CityPoint, One Ropemaker Street, London, EC2Y 9SS
Auditors to the Issuer KPMG, One Snowhill, Snowhill Queensway, Birmingham, B4 6GH
Underlying Assets Investment Home Loans
Subordinated Loan Providers Paragon Finance PLC, 51 Homer Road, Solihull, West Midlands, B91 3QJ
Mortgage Trust Services PLC, 51 Homer Road, Solihull, West Midlands, B91 3QJ
Substitute Administrator Homeloan Management Limited, The Pavilions, Bridgwater Road, Bristol, BS13 8AE
Substitute Administrator Facilitator Intertrust Management Limited, 35 Great St. Helen’s, London, EC3A 6AP
Basis Hedge Providers: JP Morgan Chase Bank, 12thFloor, 125 London Wall, London, EC2Y 5AJ
ABN AMRO Bank, N.V., 250 Bishopsgate, London, EC2M 4AA
Currency SWAP Provider Barclays Bank PLC, 5 The North Colonnade, Canary Wharf, London, E14 4BB