Global Diversified Investment Grade Income Trust II - Credit Event Notices

MONTREAL, Nov. 26 /CNW Telbec/ - Global Diversified Investment Grade Income Trust II ("Global DIGIT II") (TSX GII.UN) announces that it has received from Deutsche Bank AG, Canada Branch ("DB") credit event notices for the reference obligations of the following issuers:

    
    -------------------------------------------------------------------------
                                                                  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 $23,634,614 (0.95%), $31,976,243 (1.25%) and $41,708,143 (1.50%).

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 $2.27 per unit. For credit exposure B, the affected reference obligations represent 2.42% of the notional amount of the portfolio. Based on current weighting, any recovery for an amount less than 48% of the aggregate notional amount of the affected reference obligations will mean a total loss of credit exposure B, being an amount of $3.07 per unit. For credit exposure C, a total loss on the affected reference obligation would mean a loss of $1.34 per unit. Accordingly, further to these credit event notices, the aggregate maximum potential loss would be $6.69 and the maximum redemption price, $2.66.

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 December 15, 2009. The full impact of the credit events on the future distributions is currently unknown.

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.

SOURCE Global Diversified Investment Grade Income Trust II

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

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Global Diversified Investment Grade Income Trust II

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