MONTREAL, Nov. 16 /CNW Telbec/ - Global Diversified Investment Grade
Income Trust II ("Global DIGIT II") (TSX: GII.UN) announces that its net asset
value ("NAV") per unit as at October 31, 2007, amounted to $0.74 based on an
indicative price received from Deutsche Bank (the "Bank").
Substantially all of the assets of Global DIGIT II are made of three
financial contracts or credit default "swaps", and the related collateral,
entered into with Silverstone Trust ("Silverstone"). Silverstone, in turn, has
entered into three mirror credit default swaps with the Bank. Silverstone has
also entered into a fourth swap with the Bank, in respect of which, and in
order to purchase the necessary collateral, Silverstone issued asset-backed
commercial paper. Since August 13, 2007, Silverstone has been unable to roll
over its maturing commercial paper and has ceased making payments thereon,
since that date, Silverstone has also stopped all payments on its swaps with
Global DIGIT II.
The NAV calculated as at October 31, 2007 reflects all amounts that would
have been paid by Silverstone to Global DIGIT II under the swaps under normal
circumstances but which are not currently being paid. The unpaid amounts have
been recorded as accounts receivable. Since the monthly distribution of
$0.0687 per unit which would normally have been made for the month of October
has not been declared or paid, the NAV reflects an increase equal to the
amount ($0.0687 per unit) of this undeclared and unpaid distribution.
The NAV on a particular date is equal to the aggregate value of the
assets of the Trust, less the aggregate value of its liabilities (calculated
in conformity with Generally Accepted Accounting Principles (GAAP)). The NAV
does not reflect any eventual write-down resulting from the interruption of
payments that Silverstone is required to make to Global DIGIT II under the
swaps, nor does it reflect any potential impairment in the value of the assets
of Global DIGIT II from any eventual restructuring of Silverstone debts, as it
not possible at present to determine if, when and to what extent such payments
to Global DIGIT II under the swaps will resume or the effect of any eventual
restructuring of any such Silverstone debts.
About the 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, synthetic
corporate exposures and other fixed-income securities.
Silverstone is a special purpose vehicle rated R-1(high) (short-term) and
AAA (long-term) by DBRS that funds the purchase of eligible assets by issuing
asset-backed commercial paper, extendible commercial paper and floating rate
For further information:
For further information: François Rivard, (514) 879-6405;