Pan-Canadian Investors Committee Announces Restructuring Plan for Third-Party ABCP



    TORONTO, Dec. 23 /CNW Telbec/ - The Pan-Canadian Investors Committee for
Third-Party Structured Asset Backed Commercial Paper today announced that an
agreement in principle has been reached regarding a comprehensive
restructuring of the ABCP issued by 20 of the trusts covered by the Montreal
Accord.
    "I am pleased that we were able to build on the momentum achieved leading
up to our December 14 announcement, and that the parties came to a consensus
on a plan which I believe will allow noteholders to increase long-term value,
and significantly decrease risk, of the outstanding ABCP, all well ahead of
the new January 31, 2008 deadline," said Purdy Crawford, Chairman of the
Investors Committee. "I am confident that this plan will provide most holders
of outstanding commercial paper with the opportunity to receive the full
repayment of principal by holding restructured notes to maturity. Importantly,
based on the advice of JPMorgan, the Committee's financial advisor, most of
these notes are expected to be AAA rated. Since the beginning of the
Committee's process, we have had as our objective the creation and
preservation of maximum value for all investors."
    The Investors Committee has approved the agreement in principle. The
restructuring has also been approved in principle by certain of the dealer
bank asset providers as well as by the sponsors of each of the trusts. Certain
other lenders, including several of the large Canadian banks, have indicated
an interest in providing certain credit facilities to support the
restructuring,
    As of August 16, 2007, the date of the Montreal Accord, the 22 trusts
covered by the Accord had approximately $35 billion (face amount) of
outstanding ABCP. The restructuring plan addresses 20 of these conduits.
Skeena Capital Trust successfully completed its restructuring on December 20,
2007. With respect to Devonshire Trust, the only other conduit covered by the
Accord, the Investors Committee is continuing to consider separate
restructuring alternatives and remains in discussions with the sole dealer
bank asset provider to that conduit.
    "After a thorough analysis of a broad range of alternatives, key
stakeholders have agreed to support a comprehensive restructuring proposal
that addresses the fundamental issues which have affected the ABCP," said
Purdy Crawford. "The restructuring reflects compromise and contribution by the
dealer bank asset providers and investors, coupled with the support of margin
lenders in the event that additional collateral is required to support the
structure in the future. In particular, certain of the major investors
represented on our Committee have shown leadership and commitment,
facilitating our restructuring."
    Mr. Crawford added, "This proposal respects the principles we established
for the restructuring: fairness and equity for all investors, value
preservation and market transparency of the underlying assets to promote
liquidity and market confidence in new notes to be issued as part of the
restructuring."
    Mr. Crawford said that while there may be some diminution from the
original ABCP par value in some cases, for the vast majority of the ABCP, the
restructuring gives investors a reasonable expectation of receiving the full
par value over time and substantially reduces the risk that external events
affecting credit markets in general will have an adverse impact on the
restructured notes. Mr. Crawford noted, "I cannot overstate the complexity of
this restructuring, reflecting the value and complex nature of the underlying
assets and the involvement of a number of parties with competing interests.
The result achieved demonstrates the good faith compromise of all these
parties and a balancing of interests. I thank all of the key stakeholders for
their contributions to date. Most importantly, I thank all ABCP investors for
their patience in allowing us to get to this solution. We will do our utmost
to answer investors' questions concerning the restructuring over the coming
weeks and to bring the restructuring to a final implementation in early 2008."

    Description of the Restructuring
    --------------------------------

    The restructuring will (i) extend the maturity of the ABCP to provide for
a maturity similar to that of the underlying assets; (ii) pool certain series
of ABCP which are supported in whole or in part by underlying synthetic
assets; (iii) mitigate the margin call obligations of the existing conduits
with margin call risk and create a structure to address margin calls if they
occur; and (iv) support the liquidity needs of those ABCP holders requiring
it.

    
    Key elements of the restructuring include:

    - A comprehensive and contemporaneous restructuring with distinct
      solutions for (i) ABCP which is supported solely by traditional
      securitized assets (approx. $3 billion); (ii) ABCP which is supported
      by synthetic assets, or a combination of synthetic and traditional
      securitized assets (approx. $26 billion); and (iii) ABCP supported
      primarily by U.S. sub-prime assets (approx $3 billion).

    - The restructuring of substantially all triggers to become more remote
      and transparent spread loss triggers.

    - Margin call facilities will provide an aggregate of approximately
      $14 billion to further enhance the stability of the assets and to
      support assets which may have the need for additional collateral in the
      future.

    - Liquidity arrangements for noteholders who require liquidity following
      the completion of the restructuring.

    - Investment grade ratings for most of the restructured notes, expected
      by the Investors Committee and its advisors to be AAA.

    JPMorgan has advised the Investors Committee that it believes that this
comprehensive restructuring of assets and liabilities increases the long term
value of the securities and significantly reduces the risk of realized losses
due to the inherent risk of the leveraged synthetic assets.
    This press release provides an overview of the restructuring plan, and
will be supplemented with further disclosure in the coming weeks. As an
overview, this description is a summary only and investors are encouraged to
review carefully the more comprehensive disclosure that will follow to address
their specific holdings of ABCP.

    Distinguishing Among the Existing ABCP
    --------------------------------------

    The ABCP subject to the Montreal Accord will be distinguished based upon
the specific type of assets which support the ABCP, as described below.

    Traditional Securitized Trusts (approximately $3 billion)

    The trusts (or where applicable, series of a trust) with ABCP supported
solely by traditional securitized (non-synthetic) assets such as securitized
pools of various loan types (for example, credit card receivables and auto
loans) will be restructured on a series-by-series basis, with each trust or
series maintaining its separate assets. Noteholders will receive floating rate
notes ("TA Tracking Notes") with maturities based upon the maturity of the
underlying assets, but the TA Tracking Notes will amortize and be repaid in
part, from time to time, as assets mature or value can be realized through
asset sales.
    Each series of TA Tracking Notes will have an interest rate based upon
amounts available from their respective traditional securitized assets.
    The trusts (or series of ABCP) included in this category are listed in
Appendix A. The Investors Committee believes these trusts have assets of the
highest credit quality, and DBRS has previously assigned high investment grade
ratings on the credit risk of the underlying assets associated with these
trusts - in the case of R-1(high) rated trusts, ratings of AAA, and in the
case of R-1(middle) trusts, ratings of AA. The Investors Committee expects,
based on advice of its financial advisor, that each of the series of TA
Tracking Notes will receive similar ratings.

    Synthetic Trusts (approximately $26 billion)

    Those trusts (or where applicable, series of a trust) with ABCP supported
solely by "leveraged super senior" (or "LSS") tranches of collateralized debt
obligations, synthetic assets (such as synthetic collateralized debt
obligations) or a combination of LSS, synthetic and traditional securitized
assets ("Pooled Trusts") will pool their assets. In certain cases, the assets
underlying specified series' of ABCP may be excluded prior to the pooling of
the assets.
    Floating rate notes ("Pooled Notes") will be issued to noteholders in
exchange for their existing ABCP, with maturities of the Pooled Notes based
upon the maturities of the underlying pooled assets. Maturity of the Pooled
Notes is expected to be an average of 7 years, subject to the retention of
amortization amounts under the collateral arrangements.
    The trusts (or series of ABCP) included in this category are listed in
Appendix A. The Investors Committee believes these trusts have assets of the
highest credit quality, and DBRS has previously assigned a AAA rating on the
credit risk of the underlying assets associated with the Pooled Trusts.
    In order to enhance liquidity of the Pooled Notes, most investors will
receive a senior and a subordinated Pooled Note in exchange for their existing
ABCP of the Pooled Trusts. Based upon advice from its financial advisor,
JPMorgan, the Investors Committee expects that the senior Pooled Note will
receive AAA ratings, provided however, that the Investors Committee and its
financial advisor, JPMorgan, recognize that such ratings will depend upon a
number of factors, including adverse changes in credit and market conditions
and developing or differing ratings methodologies between now and the issuance
of such senior notes. The subordinated Pooled Note is not expected to be
rated. Those investors participating in "MAP 1" (which is described below)
will receive a single Pooled Note in exchange for their existing ABCP of the
Pooled Trusts or, at their option, separate senior and subordinated Pooled
Notes. The economic value of the combined senior and subordinated Pooled Notes
will be equal to the economic value of a single Pooled Note. Those investors
participating in "MAP 2" (which is also described below) will receive separate
senior and subordinated Pooled Notes. The Pooled Note structure is discussed
further below under the heading "Relative Contribution Analysis".
    In addition, in order to enhance the stability of the assets and to fund
future margin calls on the assets supporting the Pooled Notes, a margin
facility of approximately $14 billion (the "Margin Facility") will be
established. Further details on the Margin Facility are summarized below.
    To facilitate the funding of the Margin Facility, the restructuring plan
provides for the creation of two "Master Asset Partnerships" or "MAPs" which
will issue the Pooled Notes. MAP 1 will include La Caisse de Dépôt et
Placement du Québec, Desjardins Financial Group and several other institutions
represented on the Investors Committee, who have each committed an amount to
fund margin calls for MAP 1, in each case subject to these investors receiving
necessary approvals. Other investors who advise the Investors Committee of
their willingness to commit a proportionate amount to fund margin calls
associated with the pooled assets supporting their Pooled Notes may elect to
participate in MAP 1 subject to their providing evidence satisfactory to the
dealer bank asset providers and other participants in the MAP 1 margin
facility of adequate credit capacity to fulfill these obligations or
availability of suitable collateral to support the commitment. MAP 2 will
include all other holders of Pooled Notes. The commitment of "self-insurance"
of almost $8 billion by selected investors who will participate in MAP 1 is a
substantial contribution to the restructuring, allowing the full benefit of
the Margin Facility provided by other lenders to support the obligations of
MAP 2.
    Based upon interest expressed to date, MAP 1 is expected to include
approximately $15 billion of underlying assets and MAP 2 is expected to
include approximately $11 billion of underlying assets.
    Once established, each of MAP 1 and MAP 2 will be separate from a legal,
risk, economic and governance perspective.

    U.S. Sub-prime Related Trusts (approximately $3 billion)

    A limited number of trusts hold assets which the Investors Committee
believes to be ineligible for participation in the Pooled Trusts because of
uncertainties as to their credit quality and heightened volatility,
principally as a result of exposure to U.S. sub-prime or home equity loan
mortgages. These assets are referred to as "ineligible assets" and may be held
directly or in the form of collateral by certain of the conduits.
    The trusts (and series, where applicable) supported by ineligible assets
are listed and identified in Appendix A to this release. Certain of the series
listed in Appendix A have a mixture of ineligible assets and assets which are
traditional or synthetic. Each of these series which are also supported by
eligible synthetic assets will also participate in the Pooled Trusts to the
extent of their eligible assets.
    The ineligible assets will be restructured on a series-by-series basis,
with each series maintaining its separate exposure to its own ineligible
assets. Noteholders will receive floating rate notes ("IA Tracking Notes")
with maturities based upon the maturity of the underlying assets, but the
notes will amortize and be repaid in part, from time to time, as assets mature
or value can be realized through asset sales. Each series of IA Tracking Notes
will have an interest rate based upon amounts available from its respective
ineligible assets.
    Certain IA Tracking Notes are expected to have a rating commensurate with
the creditworthiness of each of the underlying assets supporting each series
of such notes.

    Additional Background to the Restructuring Plan
    -----------------------------------------------

    Pooled Trusts

    The Pooled Trusts will benefit from other important elements of the
restructuring plan:
    Spread Loss Triggers: The existing conduits that have LSS are generally
exposed to "mark to market" triggers which, if met, would require these
conduits to provide dealer bank asset providers additional collateral. In the
more transparent spread loss methodology, a matrix is built using two directly
observable inputs; credit spreads as determined by a tradable index and the
actual loss experience of the credits in the relevant index.
    The restructuring of the LSS is based upon the movement to these new
triggers to levels which make the likelihood of the delivery of additional
collateral more remote and establishing a transparent, objective means to
assess the need for additional collateral.
    Relative Contribution Analysis: In preparation for the completion of the
restructuring, JPMorgan will be undertaking a relative contribution analysis
in respect of the Pooled Trusts. This relative contribution analysis reflects
that the assets held by the Pooled Trusts would represent differing levels of
relative contribution based upon the precise nature and mix of assets in each
of the existing trusts. In creating the Pooled Trusts, investors will receive
Pooled Notes that reflect the relative contribution of the existing pooled
assets associated with the ABCP held by them in the trusts that are
participating in the Pooled Notes. For those investors who receive senior and
subordinated Pooled Notes, this relative contribution is reflected in the mix
of senior and subordinated notes they receive.
    Pooled Notes: The Pooled Notes will provide for a combination of interest
payable in cash and in kind. The portion of the Pooled Note with interest
payable in cash will be determined based upon the JPMorgan Relative
Contribution Analysis. For those investors in the Pooled Trusts who receive
the senior and subordinated Pooled Notes, the senior note will have cash
interest and the subordinated note will have interest payable in kind.
    Margin Facility: Agreements in principle have been reached for commitments
on more than 90% of the approximately $14 billion of the margin facility and
the Investors Committee has indications of interest for the remainder. The
commitment of self-funding by those investors who will participate in MAP 1 is
a substantial contribution to the restructuring, facilitating the
implementation of third party margin funding facility to be provided to the
investors in MAP 2. In addition, the Investors Committee acknowledges the
significant contribution of certain of the dealer bank asset providers and
other investors towards the establishment of the Margin Facility supporting
MAP 2. Final participation in the Margin Facility is subject to all necessary
approvals for each of the participants.
    In accordance with normal commercial terms, providers of credit
commitments under the Margin Facility, including the self-funding investors,
will be entitled to fees associated with their credit commitments. The final
fees will be based upon market terms at the time of the completion of the
restructuring. If the restructuring were being completed now, the fees would
be approximately 160 bps of the principal amount of the overall margin
commitments.
    Any advances under the Margin Facility will become obligations senior to
the obligations of MAP 1 or MAP 2, and will be entitled to payment on both
principal and interest ahead of the Pooled Notes issued by MAP 1 (in the case
of advances in support of the MAP 1 underlying assets) or MAP 2 (in the case
of advances in support of the MAP 2 underlying assets).

    Costs of the Restructuring
    --------------------------

    The costs of completing the restructuring, including the costs of the
Investors Committee's advisors, rating agencies and service providers and the
costs of the indenture trustees and their advisors, will be fairly allocated
among all of the conduits as part of the restructuring. These costs are not
material in the context of the restructuring.

    Liquidity and Trading of Restructured Notes
    -------------------------------------------

    A number of measures will be established to provide liquidity for the
restructured notes following completion of the restructuring. The Investors
Committee anticipates that the AAA rating expected to be accorded to most of
the restructured notes, together with full transparency of the underlying
assets supporting these notes, will facilitate trading. The Investors
Committee is in discussions with market participants to explore other means to
support the trading and liquidity of the restructured notes and will update
investors early in 2008.

    Approval Process and Implementation
    -----------------------------------

    Definitive legal documentation to implement the restructuring is currently
being prepared.
    The Investors Committee expects that, upon completion of the
restructuring, participating parties will receive comprehensive releases and
all outstanding market disruption liquidity facilities will be cancelled.
    The implementation of the restructuring will be subject to a number of
conditions, including execution of definitive legal documentation,
satisfactory due diligence and receipt of internal approvals by dealer bank
asset providers, receipt of the requisite approvals of holders of ABCP in each
of the trusts (or, in certain cases, series of ABCP of a trust) holding not
less than 2/3 of the aggregate value of ABCP of that trust (or series) as
represented in person or by proxy at a meeting of holders of the trust (or
series). A variety of consents and other approvals will be necessary or
desirable in connection with the restructuring, including certain
governmental, regulatory and court approvals. It is anticipated by the
Committee that the restructuring will be completed in March 2008.
    Any trust (or series of the trust, as applicable) that does not obtain the
requisite noteholder approval will not be eligible to participate in the
restructuring.
    In order to allow holders of ABCP of each trust to make a fully informed
decision about the restructuring, an information package (including a
comprehensive information circular) with all necessary disclosure regarding
the restructuring and its impact on the holders of the ABCP of the particular
trust (or series) will be mailed to all holders of ABCP in advance of the
meeting of their trust called to consider the restructuring.

    Conference call with Media
    --------------------------

    Mr. Purdy Crawford, will host a press briefing for members of the media on
Monday December 24, 2007 at 12:30 p.m. (EDT) to discuss the restructuring
proposal and answer questions.)

    - Access via telephone: 416-340-2217/ 1-866-696-5910 (toll-free). The
      access code is 3247288#.

    - A recording of the telephone press briefing will be archived and
      accessible until Monday December 31, 2007 by dialling 1-416-695-5800 /
      1-800-408-3053 (toll-free). The access code is 3247288#.

    Appendices

    Appendix A - List of trusts by series: Traditional Securitized,
    Synthetic Pooled and U.S. Sub-prime related

    Appendix B - Schematic representing the proposed restructuring is
    attached and available by clicking on the following link:
    ftp://ftp.national.ca/medias/ABCP/. Username: Crawford Password ABCP


                                 Appendix A

    Traditional (by Series)
    -----------------------

                                 Apollo, Series E
                                 Apollo, Series H
                                 Comet, Series E(*)
                                 Comet, Series F
                                 Gemini, Series A
                                 Gemini, Series E
                                 Gemini, Series F
                                 Newshore Canadian Trust, Series A
                                 Newshore Canadian Trust, Series 01-1
                                 Slate, Series A-1
                                 Slate, Series E-1


    Synthetic (by Series)
    ---------------------

                                 Apollo Trust, Series A
                                 Apsley Trust, Series A(*)
                                 Aria Trust, Series A(*)
                                 Aria Trust, Series E
                                 Aurora Trust, Series A
                                 Aurora Trust, Series E(*)
                                 Aurora Trust, Series F(*)
                                 Comet Trust, Series A
                                 Encore Trust, Series A
                                 Encore Trust, Series E
                                 MMAI-I Trust, Series A
                                 Opus Trust, Series A
                                 Opus Trust, Series E
                                 Planet Trust, Series A(*)
                                 Planet Trust, Series E(*)
                                 Planet Trust, Series F
                                 Planet Trust, Series L8
                                 Rocket Trust, Series A(*)
                                 Rocket Trust, Series E
                                 Rocket Trust, Series F
                                 SAT, Series A
                                 SAT, Series E
                                 SAT Series L1
                                 Selkirk Funding Trust, Series A
                                 Silverstone Trust, Series A
                                 SIT III, Series A
                                 SIT III, Series E
                                 Symphony Trust, Series A
                                 Symphony Trust, Series E
                                 Whitehall Trust, Series A

    Additional Information
    ----------------------
    on Portions of those                                 Percentage of
    --------------------                                 -------------
    Series' Above with                                   Series Assets
    ------------------                                   -------------
    Ineligible Assets                                    which are Ineligible
    -----------------                                    --------------------

                                 Apsley Trust, Series A         37.5%
                                 Aria Trust, Series A           10.6%
                                 Aurora Trust, Series E         23.2%
                                 Aurora Trust, Series F          5.6%
                                 Comet Trust, Series E          12.9%
                                 Planet Trust, Series A         44.5%
                                 Planet Trust, Series E          21.3%
                                 Rocket Trust, Series A          13.2%

                                 Ironstone Trust, Series A(xx)  100.0%
                                 Ironstone Trust, Series B(xx)  100.0%

    In connection with the restructuring the allocation of series among the
categories above is subject to change.

    (*)  Note: Those series marked with an asterisk indicate series'
         supported, as to some or all of their respective underlying assets,
         by assets which are considered to be ineligible for participation in
         the pooled trusts. These series may appear in both the list of
         Ineligible Assets and one of the Traditional or Synthetic lists and
         the portion of the face amount of their assets which are constituted
         by ineligible assets is specified in the table.

    (xx) Note: As 100% of the assets underlying the Series A and Series B
         notes issued by the Ironstone Trust have been categorized as
         ineligible, these series have not been listed in either the
         Traditional or Synthetic lists.
    




For further information:

For further information: NATIONAL Public Relations (Media): Toronto:
David Weiner, (416) 848-1633; Montreal: Mark Boutet, (514) 843-2385, Cell:
(514) 944-5393; Ernst & Young Inc.(Investors): Pierre Laporte, (514) 874-4383

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