MONTREAL, Oct. 16 /CNW Telbec/ - Global Diversified Investment Grade
Income Trust ("Global DIGIT") (TSX: DG.UN) announces that its net asset value
("NAV") per unit as at September 30, 2008, is estimated to be $3.14.
Substantially all of the assets of Global DIGIT consist of three credit
default swaps (the "GD Swaps") and the related collateral, entered into with
MMAI-I Trust ("MMAI"). MMAI, in turn, has entered into three mirror credit
default swaps with Deutsche Bank A.G. (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 ("ABCP").
Since August 13, 2007, MMAI has not rolled over its matured ABCP and has
ceased making payments on such ABCP. Since that date, MMAI has also deposited
all amounts owed to Global DIGIT under the GD Swaps in an escrow account
pursuant to a Standstill Agreement entered into by Global DIGIT and MMAI. On
March 17, 2008, noteholders holding a very large portion of the outstanding
ABCP filed with the Ontario Superior Court of Justice (the "Court") a plan of
compromise and arrangement (the "Plan") pursuant to the Companies' Creditors
Arrangement Act in respect of the ABCP of certain issuer trustees, including
the issuer trustee of MMAI. On June 5, the plan was sanctioned by the Court.
The sanction order of the Court was appealed by certain noteholders holding
ABCP to the Court of Appeal for Ontario and on August 18, the Court of Appeal
dismissed the appeal and upheld the Plan. On September 2, 2008, the judgment
of the Court of Appeal of Ontario was appealed to the Supreme Court of Canada
by dissident noteholders and on September 19, 2008, the Supreme Court of
Canada denied leave to appeal. Consequently, the Pan-Canadian Investors
Committee for Third-Party Structured Asset-Backed Commercial Paper has
commenced the process for implementation of the Plan, with a view to
completing implementation during the month of October 2008.
The NAV calculated as at September 30, 2008 reflects all amounts that
would have been paid by MMAI to Global DIGIT under the GD Swaps under normal
circumstances but which are currently being held in escrow. The unpaid amounts
have been recorded as accounts receivable.
The NAV on a particular date is equal to the aggregate value of the
assets of Global DIGIT, less the aggregate value of its liabilities. The NAV
does not reflect any potential write-down resulting from the interruption of
payments of MMAI to Global DIGIT under the GD Swaps, nor does it reflect any
potential impairment in the value of the assets of Global DIGIT from any
potential restructuring of MMAI debts or the effect of the proposed
Disengagement Transaction announced on December 24, 2007.
Completion of the Disengagement Transaction and the resumption of the
distributions and redemptions depend on the successful implementation of the
Plan and is expected to become effective on the date that the Plan is
implemented. Further to the Disengagement Transaction, funds available to pay
distributions and redemptions would flow directly from the Bank and would no
longer be dependent on MMAI's ability to renew or replace its outstanding
indebtedness or otherwise be subject to any claim by MMAI to withhold payments
to Global DIGIT. Thereafter, funds held in the escrow account under the
Standstill Agreement would be released in full to Global DIGIT. The amounts
which have been accreting in respect of the residual amount that would
otherwise have been payable to Global DIGIT at the maturity date of the GD
Swaps, would also be released to Global DIGIT; such amounts are subject to the
costs of the Disengagement Transaction which cannot presently be assessed.
About Global DIGIT
Global DIGIT provides an economic interest in a mezzanine tranche of
credit default swap in respect of portfolios of synthetic corporate exposures,
mortgage-backed securities, asset-backed securities and structured finance
For further information:
For further information: François Rivard, (514) 879-6405,