MONTREAL, Sept. 26 /CNW Telbec/ - Global Diversified Investment Grade
Income Trust ("Global DIGIT") (TSX: DG.UN) announces that its net asset value
("NAV") per unit as at August 31, 2007 was $7.92 based on an indicative price
received from a large international bank (the "Bank") as of August 28, 2007.
Substantially all of the assets of Global DIGIT are made of three
financial contracts or credit default "swaps", and the related collateral,
entered into with MMAI-I Trust ("MMAI"). MMAI, in turn, has entered into three
mirror credit default swaps with the Bank. MMAI has also entered into three
other swaps with the Bank, in respect of which, and in order to purchase the
necessary collateral, MMAI issued asset-backed commercial paper. Since August
13, 2007, MMAI has been unable to roll over its maturing commercial paper and
has ceased making payments thereon. Since that date, MMAI has also stopped all
payments on its swaps with Global DIGIT.
The NAV calculated as at August 31, 2007 reflects all amounts that would
have been paid by MMAI to Global DIGIT under the swaps under normal
circumstances but which are not currently being paid. The unpaid amounts have
been recorded as accounts receivable. Since the monthly distribution of
$0.0495 per unit which would normally have been made for the month of
September has not been declared or paid, the NAV reflects an increase equal to
the amount ($0.0495 per unit) of this undeclared and unpaid distribution.
The NAV on a particular date is equal to the aggregate value of the
assets of the Trust, less the aggregate value of its liabilities (calculated
in conformity with Generally Accepted Accounting Principles (GAAP)). The NAV
does not reflect any eventual write-down resulting from the interruption of
payments that MMAI is required to make to Global DIGIT under the swaps, nor
does it reflect any potential impairment in the value of the assets of Global
DIGIT from any eventual restructuring of MMAI debts, as it not possible at
present to determine if, when and to what extent such payments to Global DIGIT
under the swaps will resume or the effect of any eventual restructuring of any
such MMAI debts.
About Global DIGIT
Global DIGIT provides an economic interest in a mezzanine tranche of
credit default swap agreements in respect of portfolios of mortgage-backed
securities, asset-backed securities, structured finance securities and
synthetic corporate exposures.
MMAI is a special purpose vehicle rated R-1(high) (short-term) and AAA
(long-term) by DBRS that funds the purchase of eligible assets by issuing
asset-backed commercial paper, extendible commercial paper and floating rate
For further information:
For further information: François Rivard, (514) 879-6405;