Minibond Series #27 Collateral?

1. Collateral for Series #27 held in HSBC USA NA:
- "Beryl Finance Series 2006-10, ISIN XS0266951804 and ISIN026692281, total USD $114,465,000.".

2. News on the above collateral:
(a) Description of AAA-rating from Fitch on Issuer Date (Sep. 2006):
- "The deal, dubbed Beryl Series 2006-10, and rated AAA by Fitch Ratings, is referenced to a USD 14.31 billion portfolio comprised of a 155 default-swaps with USD 114million in credi-linked notes being structured.... As Lehman is the credit protection buyer, it would look to extend the deal out if spreads go wider, effectively allowing it to pay protection at locked-in cheaper levels than available in the market"
(Note: the Beryl Series 2006-10 refers to the Beryl notes for Minibond Series#27 collteral)
- Portfolio credit risk with an average portfolio quality of 'BBB'/'BBB-' at closing in September 2006

- related links: http://www.iinews.com/site/rss/DW092506.pdf (search for "Beryl")

(b) Fitch downgrade in 7 July 2008:
- Details:
ERYL FINANCE: Fitch Cuts Ratings on Two Note Issues to “B-”
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Fitch Ratings has downgraded two Beryl Finance Series credit linked notes and removed them from Rating Watch Negative, as:

-- US$114.465 million Beryl Finance Series 2006-10 credit linked notes due 2009 and extendable to 2013 (Beryl 2006-
10): downgraded to 'B-' from 'A-', removed from RWN (RWN = Rating Watch Negative)

Since the transactions were placed on RWN on May 22 2008, the portfolio has experienced further negative rating migration
mainly due to the downgrades of 16 entities, resulting in an aggregate 28 notch downgrade, while 10 entities were upgraded
resulting in an aggregate 14 notch upgrade.

Other key drivers of both the transactions' credit risks include:
-- Portfolio credit risk with an average portfolio quality of 'BB+' compared with 'BBB'/'BBB-' at closing in September
2006 and 'BBB-'/'BB+' at the last review in May 2008. Since closing, the percentage of the portfolio rated below
investment grade has increased to 29.35% from 16.13%, with 13.55% of the portfolio in the 'BB' category, 10.00% in the
'B' category and 5.81% in the 'CCC' and below categories;

-- Portfolio migration risk with 6.77% of the portfolio on RWN and 26.45% of the portfolio with a Negative Outlook; and

-- Industry concentration of 46.13% in the three largest industries, made up of 27.74% in Banking & Finance, 11.29%
in Telecommunications and 7.1% in Utilities.

........

- related linke: http://bankrupt.com/TCRAP_Public/080709.mbx