Global Diversified Investment Grade Income Trust II - Credit Event Notices

MONTREAL, Nov. 21, 2014 /CNW Telbec/ - Global Diversified Investment Grade Income Trust II (the "Trust") announces that it has received from Deutsche Bank AG, Canada Branch ("DB") credit event notices for the reference obligations of the following underlying issuers to the portfolio:

Credit Exposure	Underlying Issuers	Series	Type of Credit Event	Weighting as of October 7, 2014	Exposure as of October 7,  2014^(1)	Exposure as of October 7, 2014 on a per unit basis
C	Ace Securities Corp	2004-HE4	Loss Event	0.18%	$4,949,492	$0.48
C	Ace Securities Corp	2004-RM2	Loss Event	0.02%	$656,531	$0.06
C	CHL Mortgage Pass‑Through Trust 2004‑25	2004-25	Loss Event	0.15%	$4,288,057	$0.41
C	CountrywideAsset Backed Certificates	2004-10	Loss Event	0.05%	$1,459,297	$0.14
C	G‑Star Ltd	2004-4	Loss Event	0.46%	$12,707,643	$1.22
C	HarborView Mortgage Loan Trust Series 2006‑12	2006‑12	Loss Event	0.91%	$25,415,287	$2.45
Total	─	─	─	1.77%	$49,476,307	$4.76

(1)	Exposure means the maximum loss that can be incurred on a single reference obligation in Credit Exposure C.

The exposure of the Trust to Credit Exposure C is $29,006,573 or $2.79 per unit.

Any loss on such reference obligations will reduce the notional amount of Credit Exposure C, thus resulting in a lower redemption price of the units at maturity. For example, the total weighting of the reference obligations under Credit Exposure C for which credit event notices have been received is 1.77% of the notional amount of the portfolio or $4.76 per unit. Based on current weighting, any recovery for an amount less than 41.37% in the aggregate of the notional amount of $4.76 per unit of the affected reference obligations will mean a total loss on Credit Exposure C, being an amount of $2.79 per unit.

Distribution

Moreover, the financial contract allows 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 the Trust and consequently to the Unitholders.  The full impact of the credit events on the future distributions is currently unknown.

Determination of Final Loss

The mechanism of the determination of final loss is such that it may take up to 720 days following the receipt of the credit event notices.

About the Trust

The Trust 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

Louis Arteau : 514-394-7563, http://info.fbn.ca/trusts