Rating agency DBRS confirms Caisse de dépôt et placement du Québec’s ABCP exposure not a risk to credit profile

In a November 29, 2007 press release, rating agency DBRS confirmed that the exposure of the Caisse de dépôt et placement du Québec (the "Caisse") is not a risk to its credit profile. During a hearing before the Public Finance Committee of the National Assembly of Québec, the Caisse announced that its exposure to third-party ABCP totalled $13.2 billion.

These holdings are part of the ongoing restructuring initiative under the Montréal Accord. Of the $13.2 billion, the Caisse estimates its exposure to U.S. subprime mortgages to be under $1 billion, potentially resulting in a year-end provision of a maximum of $500 million. The remaining $12.2 billion consists of high-quality assets, as confirmed by DBRS and the external advisors to the Crawford Committee.

The report released by DBRS states that, even though the Caisse’s ABCP holdings will impact its returns due to the provision taken on these assets, these holdings remain manageable for the Caisse as a result of three factors:

• The Caisse’s large investment portfolio, totalling $207 billion as at December 31, 2006
• The Caisse’s substantial liquidity position, comprising high-quality fixed income assets, used as backup liquidity for the commercial paper program of Caisse subsidiary CDP Financial
• The Caisse’s asset diversification and the annual returns of 12%–15% recorded since 2002, well above the 7% annual return requirement by depositors, providing the Caisse with a significant cushion against a financial market downturn

In addition, DBRS reported that the Caisse’s debt financing, via its CDP Financial subsidiary, remains fairly low, at less than 4% of net assets, while the overall liquidity needs of depositors are manageable, with contributions to the Caisse expected to exceed withdrawals for some time.

The Caisse and CDP Financial are rated R-1 (high) and AAA, the highest ratings granted by DBRS.

The press release is available from DBRS at www.dbrs.com under "Press Releases".