Investor Reporting

Paragon Mortgages (No.12) PLC - July 2006

Issuer Paragon Mortgages (No.12) PLC, 51 Homer Road, Solihull, West Midlands, B91 3QJ
Closing Date 20 July 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 A2c Class B1a Class B1b Class C1a Class C1b
Original Rating (S&P/Moody’s/Fitch) A-1+/P-1/F1+ AAA/Aaa/AAA AAA/Aaa/AAA AAA/Aaa/AAA AA/Aa2/AA AA/Aa2/AA A/A2/A A/A2/A
Current Rating (S&P/Moody’s/Fitch) A-2/P-1/F1 AAA/Aaa/AAA AAA/Aaa/AAA AAA/Aaa/AAA A/Aa1/AAA A/Aa1/AAA A-/A2/A A-/A2/A
Original Notes $1,500,000,000 £145,000,000 €245,000,000 $311,000,000 £25,000,000 €126,000,000 £17,000,000 €106,000,000
GBP Equivalent £815,217,391 £145,000,000 £168,965,517 £169,021,739 £25,000,000 £86,896,552 £17,000,000 £73,103,448
Currency Exchange Rates £1 : $1.84 N/A £1 : $1.45 £1 : $1.84 N/A £1 : €1.45 N/A £1 : €1.45
Note Denominations $100,000 £50,000 €50,000 $100,000 £50,000 €50,000 £50,000 €50,000
Initial Margins -2bp 12bp 12bp 11bp 24bp 24bp 46bp 46bp
Reset Margin (15/05/2017– 14/5/2018) 24bp N/A N/A N/A N/A N/A N/A N/A
Step Up Dates May 2012 August 2011 August 2011 August 2011 August 2011 August 2011 August 2011 August 2011
Step Up Margins 24bp 24bp 24bp 22bp 48bp 48bp 92bp 92bp
Optional Redemption Dates August 2010 August 2010 August 2010 August 2010 August 2010 August 2010 August 2010 August 2010
Principal Determination Dates Last business day of October, January, April, and July
Quarterly Interest Payment Dates 15 November, 15 February, 15 May, 15 August,
A1 Monthly Interest Payment Date 15thof each month, commencing 15 August 2006
Class A1 Mandatory Transfer Date The Interest Payment Date falling on 15 May 2007 and annually thereafter
Joint Lead Managers Barclays Bank PLC, 5 The North Colonnade, London, E14 4BB
Deutsche Bank AG, London, Winchester House, 1 Great Winchester Street, London, EC2N 2DB
HSBC Bank plc, 8 Canada Square, London, E14 5HQ
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 & Poor’s, 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 Barclays Bank PLC, 5 The North Colonnade, Canary Wharf, London, E14 4BB
Class A1 Conditional Note Purchaser Sheffield Receivables Corporation, c/o Barclays Bank PLC, 200 Park Avenue, 5thFloor, New York 10166 USA
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, 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