Restructuring of $33 billion in Third Party ABCP: Executive Summary of the December 23, 2007 Press Release



    TORONTO, Dec. 23 /CNW Telbec/ - The Pan-Canadian Investors Committee for
Third-Party Structured Asset Back Commercial Paper has approved an agreement
in principle to restructure the ABCP issued by 20 trusts (including 43 series)
covered by the Montreal Accord, totalling approximately $33 billion.
    "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 an early
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."
    A number of measures will be established to provide liquidity for the
restructured notes following completion of the restructuring. The Investors
Committee, based on the advice of JPMorgan, the Committee's financial
advisors, expects a AAA rating for most of the restructured notes which,
together with the full transparency of the underlying assets supporting these
notes, will facilitate trading.

    Key Structural Components

    The restructuring will pool each eligible series into one of two master
asset partnerships (see attached diagram). Each selected series will be
restructured on an individual basis.

    
    - Master Asset Partnership 1 ("MAP1"): A pooling of eligible assets
      within series owned by investors who will participate in their pro-rata
      share of the MAP 1 Margin funding facility.
    - Master Asset Partnership 2 ("MAP2"): A pooling of eligible assets
      within series owned by investors who elect not to participate in the
      MAP 1 Margin funding facility. The MAP 2 Margin Funding facility will
      be provided by a group of investors and third party lenders.

    The commitment of self-insurance by those investors who will participate
in MAP1 is a substantial contribution to the restructuring, facilitating the
implementation of the third party margin funding facility to be provided to
the investors in MAP2.
    Leveraged synthetic assets within the eligible series will be restructured
to make the margin call trigger risk more remote, helping to significantly
decrease the probability of future margin calls.
    All of the asset-backed commercial paper will be exchanged for
longer-dated notes that will match the maturity of the underlying reference
assets in the proposed structure. Based on the advice of its financial advisor
JPMorgan, the Committee expects that most of the notes will receive a AAA
rating.
    Series containing exclusively traditional securitized assets will be
restructured on an individual basis, providing tracking notes for the
investors in these series'.
    JPMorgan has advised the 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. Purdy Crawford
stated that, "Since the beginning of the Committee's process, we have had as
our objective the creation and preservation of maximum value for all
investors."
    Margin Funding Facility - A margin funding facility of approximately $14
billion has been arranged through a combination of investors, dealer bank
asset providers, and certain Canadian banks. This is a key component of the
restructuring, greatly reducing the potential for future collateral posting
requirements from investors.
    Timeline - The approval of the restructuring is subject to votes by all
investors, and the Investors Committee anticipates that it will close by
March, 2008. A detailed description of the restructuring will be provided to
all investors, and will include material used by JPMorgan in its analysis.
    A schematic representing the proposed restructuring is attached as
Appendix A and available by clicking on the following link:

    ftp://ftp.national.ca/medias/ABCP/.

    Username: Crawford
    Password: ABCP
    




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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