Global Diversified Investment Grade Income Trust II - Net Asset Value as at September 30, 2008

    MONTREAL, Oct. 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 September 30, 2008, is estimated to be $1.70.
    At inception, Global DIGIT II entered into three credit default swaps
(the "GD II Swaps") with related collateral with Silverstone Trust
("Silverstone"). Silverstone, in turn, entered concurrently into three mirror
credit default swaps with Deutsche Bank A.G. (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 ("ABCP"). Since August 13, 2007, Silverstone has not rolled
over its maturing ABCP and has ceased making payments on such ABCP. Since that
date, Silverstone has also deposited all amounts owed to Global DIGIT II under
the GD II Swaps in an escrow account pursuant to a standstill agreement
entered into by Global DIGIT II and Silverstone. On March 17, 2008,
noteholders holding a very large portion of the outstanding ABCP filed with
the Ontario Superior Court of Justice (the "Court") a plan of compromise and
arrangement (the "Plan") pursuant to the Companies' Creditors Arrangement Act
in respect of the ABCP of certain issuer trustees, including the issuer
trustee of Silverstone. On June 5, the Plan was sanctioned by the Court. The
sanction order of the Court was appealed by certain noteholders holding ABCP
to the Court of Appeal for Ontario and on August 18, the Court of Appeal
dismissed the appeal and upheld the Plan. On September 2, 2008, the judgment
of the Court of Appeal of Ontario was appealed to the Supreme Court of Canada
by dissident noteholders and on September 19, 2008, the Supreme Court of
Canada denied leave to appeal. Consequently, the Pan-Canadian Investors
Committee for Third-Party Structured Asset-Backed Commercial Paper has
commenced the process for implementation of the Plan, with a view to
completing implementation during the month of October 2008.
    The NAV calculated as at September 30, 2008 reflects all amounts that
would have been paid by Silverstone to Global DIGIT II under the GD II Swaps
under normal circumstances but which are currently being held in escrow and
not being paid. The unpaid amounts have been recorded as accounts receivable.
    The NAV on a particular date is equal to the aggregate value of the
assets of Global DIGIT II, less the aggregate value of its liabilities. The
NAV does not reflect any potential write-down resulting from the interruption
of payments of Silverstone to Global DIGIT II under the GD II Swaps, nor does
it reflect any potential impairment in the value of the assets of Global DIGIT
II from any potential restructuring of Silverstone debts or the effect of the
proposed Disengagement Transaction announced on December 24, 2007.
    Completion of the Disengagement Transaction and the resumption of the
distributions and redemptions depend on the successful implementation of the
Plan and is expected to become effective on the date that the Plan is
implemented. Further to the Disengagement Transaction, funds available to pay
distributions and redemptions would flow directly from the Bank and would no
longer be dependent on Silverstone's ability to renew or replace its
outstanding indebtedness or otherwise be subject to any claim by Silverstone
to withhold payments to Global DIGIT II. Thereafter, funds held in the escrow
account under the Standstill Agreement would be released in full to Global
DIGIT II. The amounts which have been accreting in respect of the residual
amount that would otherwise have been payable to Global DIGIT II at the
maturity date of the GD-II Swaps, would also be released to Global DIGIT II;
such amounts are subject to the costs of the Disengagement Transaction which
cannot presently be assessed.

    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;

Organization Profile

Global Diversified Investment Grade Income Trust II

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