ROC Pref III Corp. and Connor, Clark & Lunn ROC Pref Corp. Announcement



    TORONTO, Sept. 26 /CNW/ - ROC Pref III Corp. ("ROC III") and Connor,
Clark & Lunn ROC Pref Corp. ("CC&L ROC" and collectively the "Companies")
announce that the closure of Washington Mutual ("WaMu") by the Office of
Thrift Supervision and naming of the Federal Deposit Insurance Corporation
("FDIC") as receiver is expected to constitute a credit event under the
Companies' credit linked notes ("CLN"). TD Bank is the issuer of the CLN for
ROC III and The Bank of Nova Scotia is the issuer of the CLN for CC&L ROC.
    This credit event is a consequence of the ongoing extremely difficult
conditions facing the United States financial system. Connor, Clark & Lunn is
disappointed with the impact this crisis has had on the performance of the
Companies and is reviewing strategic alternatives for the Companies.
    As disclosed in the prospectuses for the Companies, the credit linked
notes to which the Companies have exposure are unaffected by defaults up to
certain levels. In light of recent events ROC III and CC&L ROC are providing
an update on the number of additional defaults that the Companies can sustain.
Assuming a credit event with respect to WaMu occurs, and taking into account
the potential full impact of the two recent GSE credit events and the Lehman
Brothers Holdings Inc. credit event, it is estimated that ROC III will be able
to sustain approximately 3.4 more credit events (based on the value of the
trading reserve account on the last valuation date, the trading reserve
account is estimated to be equivalent to approximately 0.4 defaults) and still
be able to pay $25.00 per Preferred Share at maturity and continue to pay its
regular quarterly distributions(1). The table below shows the impact of
additional reference company defaults on the amount payable at maturity under
the CLN.

    
    ROC Pref III Corp.

    --------------------------------------------------------------------
    Number of Additional Reference      Estimated Payment at Maturity(1)
         Companies Defaulting
    --------------------------------------------------------------------
                3.0                                 $25.00
                3.4                                 $25.00
                4.0                                 $17.75
                5.0                                  $5.75
             6 or more                               $0.00
    --------------------------------------------------------------------
    

    For CC&L ROC, assuming a credit event with respect to WaMu occurs, and
taking into account the Lehman Brothers Holdings Inc. credit event, it is
estimated that CC&L ROC will be able to sustain approximately 4.4 more credit
events and still be able to pay $25.00 per Preferred Share at maturity and
continue to pay its regular quarterly distributions(2). The table below shows
the impact of additional reference company defaults on the amount payable at
maturity under the CLN.

    
    Connor, Clark & Lunn ROC Pref Corp.
    --------------------------------------------------------------------
    Number of Additional Reference      Estimated Payment at Maturity(2)
         Companies Defaulting
                4.0                                 $25.00
                4.4                                 $25.00
                5.0                                 $15.26
             6 or more                               $0.00
    --------------------------------------------------------------------
    

    Standard & Poor's ("S&P") currently rates the Preferred Shares of ROC III
and CC&L ROC as P-4 (high) and P-2 (high), respectively. As indicated in press
releases issued on September 25, 2008, S&P has placed the Companies on
CreditWatch negative. The impact of this further credit event is expected to
adversely impact the ratings on the Preferred Shares of the Companies.
    ROC Pref III Corp.'s Preferred Shares trade on the Toronto Stock Exchange
under the symbol RPB.PR.A. Connor, Clark & Lunn ROC Pref Corp.'s Preferred
Shares trade on the Toronto Stock Exchange under the symbol RPQ.PR.A.

    
    (1) Based on the last monthly valuation, it is estimated that the trading
        reserve account could purchase subordination equivalent to 0.4
        defaults in ROC III. The recovery rate is fixed at 40% for ROC III.
        Toronto-Dominion Bank has provided notices of credit events in
        respect of Fannie Mae and Freddie Mac ("GSEs"). Connor, Clark & Lunn
        is reviewing and will explore the options, legal and otherwise, that
        are available relating to the delivery of the credit event notices.
        For the purposes of these calculations, the GSEs have been treated as
        credit events.
    (2) Assumes an estimated recovery rate of 40%. The actual recovery rate
        for any particular reference company may vary substantially from the
        indicative 40% recovery rate. CC&L ROC also had exposure to the GSEs,
        however the impact of the conservatorship of the GSEs is expected to
        be minimal because the recovery rate is expected to be quite high.
    

    This document may make forward-looking statements and there are risks
that actual results could differ materially from forecasts, projections or
conclusions in the forward-looking statements. Certain material factors and
assumptions were applied in drawing the conclusions or making the forecasts or
projections in the forward-looking statements and you may find additional
information about such material factors and assumptions and the material
factors that could cause actual results to so differ, in the prospectus for
Company and on an ongoing basis in each Company's management reports of fund
performance. The above information should be considered as background
information only and should not be construed as investment or financial
advice. Further, it should not be construed as an offer or solicitation to buy
or sell securities. Investors should read the prospectus and continuous
disclosure documents available at www.cclcapitalmarkets.com or www.sedar.com,
which further describe the risks and fees and expenses associated with an
investment in the preferred shares of ROC Pref III Corp. and Connor, Clark &
Lunn ROC Pref Corp., and should consult with professional advisors before
making investments decisions.





For further information:

For further information: please visit www.cclcapitalmarkets.com or
contact: Neil Murdoch, President & CEO, Connor, Clark & Lunn Capital Markets
Inc., (416) 364-2839, nmurdoch@cclgroup.com; or Darren Cabral, Vice-President,
Connor, Clark & Lunn Capital Markets Inc., (416) 214-6182 or 1-888-276-2258,
dcabral@cclgroup.com

Organization Profile

Connor, Clark & Lunn Capital Markets Inc.

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