Mahogany Notes Series I - Portfolio

From time to time the composition of the Mahogany Notes Series I Portfolio may change due to certain circumstances, which includes:

• a Credit Event in respect of a Portfolio entity, in which case the entity will be removed from the Portfolio (refer to Section 12.2 of the Prospectus); and
• a Succession Event in respect of a Portfolio entity, in which case the entity will be replaced with a successor entity (refer to Section 12.2 of the Prospectus). 

Attached is a summary of the Portfolio.  The table lists the Portfolio entities by name, S&P rating, S&P industry classification and country of incorporation.  The credit ratings of the entities represent Standard & Poor's assessment of each entity's overall financial capacity to meet its financial obligations.

Click here for a summary of the Mahogany Notes Series I Portfolio.