Investor Reporting

Paragon Mortgages (No.15) PLC - July 2007

Issuer Paragon Mortgages (No.15) PLC, 51 Homer Road, Solihull, West Midlands, B91 3QJ
Closing Date 19 July 2007
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 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
Current Rating (S&P/Moody’s/Fitch) AAA/Aaa/AAA AAA/Aaa/AAA AAA/Aaa/AAA AAA/Aaa/AAA AA/Aa2/AAA AA/Aa2/AAA BBB+/A2/BBB+
Original Notes $1,000,000,000 £209,500,000 €110,000,000 $150,000,000 £17,000,000 €85,500,000 €110,500,000
GBP Equivalent £492,950,804 £209,500,000 £74,677,529 £73,942,621 £17,000,000 £58,044,807 £75,016,972
Currency Exchange Rates £1 : $2.0286 N/A £1 : €1.4730 £1 : $2.0286 N/A £1 : €1.4730 £1 : €1.4730
Note Denominations $100,000 £50,000 €50,000 $100,000 £50,000 €50,000 €50,000
Initial Margins 0bp 13bp 12bp 11bp 27bp 27bp 55bp
Current Margin 9bp N/A N/A N/A N/A N/A N/A
Step Up Dates June 2012 June 2012 June 2012 June 2012 June 2012 June 2012 June 2012
Step Up Margins 18bp 26bp 24bp 22bp 54bp 54bp 110bp
Optional Redemption Dates June 2011 June 2011 June 2011 June 2011 June 2011 June 2011 June 2011
Principal Determination Dates Last business day of November, February, May and August
Quarterly Interest Payment Dates 15 December, 15 March, 15 June and 15 September
A1 Monthly Interest Payment Date 15thof each month, commencing 15 August 2007
Class A1 Mandatory Transfer Date The Interest Payment Date falling in June 2008 and annually thereafter
Joint Lead Managers ABN AMRO Bank, N.V, London Branch, 250 Bishopsgate, London, EC2Y 4AA
Barclays Bank PLC, 5 The North Colonnade, London, E14 4BB
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 & 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 J.P. Morgan Securities Ltd, 125 London Wall, London, EC2Y 5AJ
Class A1 Conditional Note Purchaser JPMorgan Chase Bank, N.A., London Branch, London, EC2Y 5AJ
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., London Branch, 250 Bishopsgate, London, EC2M 4AA
Currency SWAP Provider Barclays Bank PLC, 5 The North Colonnade, Canary Wharf, London, E14 4BB