Global Diversified Investment Grade Income Trust - Defaults and recovery rates in respect of Chemtura Corporation and Idearc Inc. and recovery rate with respect to General Motors Corporation



    MONTREAL, June 12 /CNW Telbec/ - Global Diversified Investment Grade
Income Trust ("Global DIGIT") (TSX: DG.UN) announced today that Chemtura
Corporation ("Chemtura") (a successor company to Great Lakes Chemicals
Corporation, following a merger in 2005 with Crompton Corporation to form
Chemtura) filed voluntary petitions for relief under Chapter 11 of the United
States Bankruptcy Code on March 18, 2009. In consequence, a bankruptcy credit
event (default) occurred in respect to the Great Lakes Chemicals' reference
obligation. This reference obligation is included in portfolios D-1, E-1 and
F-1 (as indicated in the table below) to which Global DIGIT is exposed and
represents 1% of each such portfolio. The recovery rate for this reference
obligation has been established at 18.25%.
    Subsequent to the Chemtura default, and based on the recovery realized,
the attachment point (subordination level) and detachment point of each
affected portfolio have been lowered by 0.8175%.
    Global DIGIT also had an exposure to the reference obligation of Verizon
Global Funding Corp., a wholly-owned subsidiary of Verizon Communications Inc.
("Verizon"). This subsidiary merged with Verizon on February 1, 2006.
Accordingly, the exposure of Global DIGIT to the Verizon Global Funding
Corp.'s reference obligation became an exposure to Verizon. On November 20,
2006, Verizon spun-off its U.S. print and internet yellow pages directories
publishing operations into a company that was named Idearc Inc. ("Idearc").
Thus a successor event occurred as a consequence of this transfer of assets
and the exposure to the Verizon's reference obligation was split evenly
(50-50%) between Verizon and Idearc.
    Idearc announced that it filed voluntary petitions to reorganize under
Chapter 11 of the United States Bankruptcy Code on March 31, 2009. In
consequence, a bankruptcy credit event (default) occurred in respect of the
Idearc's reference obligation to which Global DIGIT has a 0.50% exposure. This
reference obligation is included in portfolios D-2 to D-4, E-2 to E-4 and F-2
to F-4 and represents 0.50% of each such portfolio. The recovery rate for this
reference obligation has been established at 1.75%.
    Subsequent to the Idearc default, and based on the recovery realized, the
attachment point (subordination level) and the detachment point of each
affected portfolio have been lowered by 0.49125%.
    In addition, further to a press release dated June 3, 2009, Global DIGIT
announced that a default had occurred with respect to the General Motors
Corporation's ("GM") reference obligation. The recovery rate for this
reference obligation has been established at 12.50%.
    Subsequent to the GM default, and based on the recovery realized, the
attachment point (subordination level) and detachment point of each affected
portfolio have been lowered by 0.875% (D-2 to D-5, E-2 to E-5 and F-2 to F-5).
    As a result, the number of additional defaults that Global DIGIT may
sustain in its portfolios before being affected has been reduced. Global DIGIT
will not suffer a loss due to these defaults. The new attachment points
(subordination levels) and detachment points, taking into account all prior
defaults since inception, are detailed in the table below:

    
    -------------------------------------------------------------------------
                              As at June 12, 2009            At Inception

                                  Sub-                      Sub-
               Corporate   ordination                ordination
                    Debt  (Attachment   Detachment  (Attachment   Detachment
    Portfolio   Exposure        Point)       Point)       Point)       Point
    -------------------------------------------------------------------------
                       1         5.89%        7.34%        9.55%       11.00%
                       2         7.77%        9.77%       11.00%       13.00%
    D                  3         7.17%        9.17%       11.00%       13.00%
                       4         5.43%        7.13%        7.85%        9.55%
                       5         6.85%        8.30%        9.55%       11.00%
    -------------------------------------------------------------------------
                       1         7.34%        9.34%       11.00%       13.00%
                       2         6.32%        7.77%        9.55%       11.00%
    E                  3         4.02%        5.72%        7.85%        9.55%
                       4         7.13%        8.58%        9.55%       11.00%
                       5         8.30%       10.30%       11.00%       13.00%
    -------------------------------------------------------------------------
                       1         7.34%        9.34%       11.00%       13.00%
                       2         7.77%        9.77%       11.00%       13.00%
    F                  3         5.72%        7.17%        9.55%       11.00%
                       4         7.13%        8.58%        9.55%       11.00%
                       5         5.15%        6.85%        7.85%        9.55%
    -------------------------------------------------------------------------
    

    About Global DIGIT

    Global DIGIT provides an economic interest in a mezzanine tranche of
credit default swaps in respect of portfolios of synthetic corporate
exposures, mortgage-backed securities, asset-backed securities and structured
finance securities.




For further information:

For further information: François Rivard, (514) 879-6405,
http://info.fbn.ca/trusts

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