Global Diversified Investment Grade Income Trust II - Recent announcements by Standard and Poor's



    MONTREAL, Feb. 4 /CNW Telbec/ - Global Diversified Investment Grade
Income Trust II ("Global DIGIT II") (TSX: GII.UN) announces that, on
January 30, 2008, Standard and Poor's Rating Services placed on credit watch
with a negative outlook or downgraded its ratings on 6,389 classes from U.S.
residential mortgage-backed securities (RMBS) transactions backed by U.S.
first-lien subprime mortgage collateral rated between January 2006 and
June 2007. At the same time, it placed on credit watch with a negative outlook
1,953 ratings from 572 global CDO of asset-backed securities (ABS) and CDO of
CDO transactions.
    Global DIGIT II receives monthly updates as to the composition of the
reference portfolios. As of the most recent update, the portfolio of Global
DIGIT II contained the following securities which were put on credit watch
with negative outlook or downgraded by S&P on January 30th, 2008:

    
    -------------------------------------------------------------------------
                                           Port-    Rating  Rating  Exposure
    Issuer         Series        ISIN      folio    Before    Now    ('000)
    -------------------------------------------------------------------------
                         Downgraded
    ACE
     SECURITIES
     CORP.        2006-HE1   US004421WX73    B          A     CCC   $ 13 913
    BEAR
     STEARNS
     ASSET
     BACKED
     SECURITIES,
     INC.         2006-HE3   US07387UHW45    B          A      B    $  5 963
    Home
     Equity
     Asset
     Trust        2006-4     US437084VV50    B          A+    CCC   $  3 313
    MORGAN
     STANLEY
     Capital I    2006-HE2   US617451FA24    B          A+    CCC   $  3 313
    RESIDENTIAL
     ASSET
     MORTGAGE
     PRODUCTS,
     INC.         2006-NC2   US75156TAH32    B          A+    CCC   $  3 313
    Securitized
     Asset
     Backed
     Receiva-
     bles LLC     2006-OP1   US81375WJM91    B          A-    CCC   $  5 300


                 Placed on credit watch with negative outlook
    BROADWICK
     FUNDING,
     LTD.         2006-1A    US11161RAD44    A         AAA    AAA   $  5 896
    C-Bass Ltd    16A        US12498YAE95    A          A      A    $ 11 329
    IXIS
     ABS CDO
     LTD.         2006-3A    US46603EAA10    A         AAA    AAA   $  5 976
    STATIC
     RESIDENTIAL
     CDO (START)
     2006-B Ltd   2006-B     US85768XAB64    A         AAA    AAA   $ 21 786
    BROADWICK
     FUNDING,
     LTD.         2006-1A    US11161RAF91    B          A      A    $  9 620
    Citius
     Funding Ltd  2006-1     US17305CAD11    B          A      A    $  4 931
    Ivy Lane
     CDO 2006-1   2006-1     US46601QAC24    B         AAA    AAA   $ 31 976
    Nautilus
     CDO          2007-4     US63910JAD72    B          A      A    $  7 691
    STATIC
     RESIDENTIAL
     CDO (START)
     2006-B Ltd   2006-B     US85768XAB64    B         AAA    AAA   $ 16 563
    Alexander
     Park CDO,
     Ltd          2004-1A    US014684AD66    C          A      A    $  1 271
    BROADWICK
     FUNDING,
     LTD.         2006-1A    US11161RAF91    C          A      A    $  5 272
    Duke
     Funding
     VII Ltd      2004-1A    US264403AC01    C         AA     AA    $ 12 702
    Duke
     Funding
     VI Ltd       2004-1     US264407AF46    C         BB     BB    $ 22 238
    FIRST
     FRANKLIN
     MTG LOAN
     ASSET
     BACKED
     CERTIFI-
     CATES        2006-FF17  US32028KAJ51    C         AA-    AA-   $  6 354
    LONG
     HILL,
     LTD.         2006-1A    US54266TAE29    C         BBB-   BBB-  $  5 083
    STATIC
     RESIDENTIAL
     CDO (START)
     2006-B Ltd   2006-B     US85768XAF78    C         BB-    BB-   $ 14 909
    VERTICAL
     CDO
     LTD.         2006-2A    US925338AC98    C         AA     AA    $  3 177
    VERTICAL
     CDO
     LTD.         2006-1A    US925345AE06    C          A      A    $ 10 166
    

    The exposure of Global DIGIT II to each security, as shown in the last
column of the table, does not have protection from a first loss amount. All of
these amounts can be converted on a unit basis by dividing the relevant amount
by the number of outstanding units of Global DIGIT II (10,392,283). Any loss
incurred on these exposures would reduce the accreted value which stood as at
June 30, 2007 at $9.77 as reported in the Management Report on Fund
Performance.
    As the reference portfolios are actively managed, it is possible that the
amounts of the exposure to each security may change.

    About Global DIGIT II

    Global DIGIT II provides an economic interest in an equity tranche of
credit default swap agreements in respect of portfolios of mortgage-backed
securities, asset-backed securities, structured finance securities, synthetic
corporate exposures and other fixed-income securities.




For further information:

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

Organization Profile

Global Diversified Investment Grade Income Trust II

More on this organization


Custom Packages

Browse our custom packages or build your own to meet your unique communications needs.

Start today.

CNW Membership

Fill out a CNW membership form or contact us at 1 (877) 269-7890

Learn about CNW services

Request more information about CNW products and services or call us at 1 (877) 269-7890