Global Diversified Investment Grade Income Trust II - Credit Event Notices
------------------------------------------------------------------------- Exposure($) as of Cre- Weighting Exposure($) November dit Type of as of as of 2009 Expo- Credit November November on a per sure Issuer Series Event 2009 2009(1) unit basis ------------------------------------------------------------------------- A Glacier 2006-4A Failure 0.18% 4,596,516 0.44 Funding CDO to Pay A IXIS ABS CDO 2006-3A Loss 0.24% 5,963,693 0.57 Ltd. Event A STATIC 2006-B Failure 1.05% 23,634,614 2.27 RESIDENTIAL to Pay CDO (Start) 2006-B Ltd. A Straits 2004-1 Failure 1.47% 23,634,614 2.27 Global ABS to Pay CDO 2004-1 ------------------------------------------------------------------------- B Ivy Lane CDO 2006-1 Failure 1.65% 31,976,243 3.07 2006-1 to Pay B STATIC RESID- 2006-B Failure 0.77% 19,579,137 1.88 ENTIAL CDO to Pay (Start) 2006-B Ltd. ------------------------------------------------------------------------- C Duke Funding 2004-1A Failure 0.50% 13,910,943 1.34 VII Ltd. to Pay ------------------------------------------------------------------------- (1) Exposure means that the maximum loss that can be incurred on a single reference obligation in credit exposure A is $23,634,614 or $2.27 per unit, in credit exposure B, $31,976,243 or $3.07 per unit and in credit exposure C, $41,708,143 or $4.01 per unit.
The exposures of Global Digit II to credit exposures A, B and C are respectively of
Any loss on such reference obligations will reduce the notional amount of the affected credit exposure, thus resulting in a lower redemption price of the units at maturity. For example, for credit exposure A, the total weighting of the reference obligations for which a credit event notice has been received is 2.94% of the notional amount of the portfolio. Based on current weighting, any recovery for an amount less than 67.7% in the aggregate of the notional amount of the affected reference obligations will mean a total loss of credit exposure A, being an amount of
Distribution
Moreover, the financial contracts allow DB to withhold the payments corresponding to such defaulted reference obligations, until the final loss is determined, thus resulting in a reduction of the distributions to Global Digit II starting with the first distribution following the distribution scheduled for
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 and synthetic corporate exposures.
For further information: For further information: François Rivard, (514) 879-6405; http://info.fbn.ca/trusts
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