OREANDA-NEWS. Fitch Ratings has downgraded Paragon Mortgages (No. 11) Plc and Paragon Mortgages (No. 14) Plc, as follows:

Paragon Mortgages (No. 11) Plc
Class A1 (XS0246900756): Short-term rating downgraded to 'F2sf' from 'F1sf'

Paragon Mortgages (No. 14) Plc
Class A1 (US69913FAA57): Short-term rating downgraded to 'F2sf' from 'F1sf'

The rating action follows the downgrade of the Royal Bank of Scotland's (RBS; BBB+/Stable/F2) Short-term rating to 'F2' from 'F1' (Fitch Downgrades Royal Bank of Scotland Group to 'BBB+' Upgrades VR to 'bbb+', 19 May 2015).

KEY RATING DRIVERS
The note tranches were structured to be issued on an annual, revolving basis. Unless noteholders exercised their right to retain the notes, they would be automatically tendered for remarketing. The remarketing bank would then first try to sell the notes in the open market or, if unsuccessful, would require the conditional purchaser to acquire them. Ultimately, the Short-term ratings on these notes reflect the ability of the conditional purchaser to acquire them every year. As a result, the Short-term ratings of these notes are credit-linked to the conditional purchaser.

RBS is the conditional purchaser for both Paragon 11 and 14. Following the downgrade of RBS's Short-term rating, Fitch is downgrading the Short-term ratings of the notes to the same level as RBS.

The Long-term ratings of the notes are unaffected.

RATING SENSITIVITIES
Rating action on RBS's Short-term rating would trigger equivalent rating action on the notes.

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY
Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.

Fitch did not undertake a review of the information provided about the underlying asset pool ahead of the transaction's initial closing. The subsequent performance of the transaction over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.

Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.