DBRS Confirms Revelstoke CDO I Limited Ratings

DBRS has today confirmed the ratings of various notes issued by Revelstoke CDO I Limited (Revelstoke or the Transaction). The Class A-1 Notes, Class A-2 Notes and Class A-3 Notes issued by Revelstoke have been confirmed at CC (sf), C (sf) and C (sf), respectively.

The Transaction is exposed to pools of U.S. non-prime residential mortgages, as well as other collateralized debt obligations (CDOs) backed by residential mortgages, among other assets. The Class A-1 Notes, Class A-2 Notes and Class A-3 Notes (collectively, the Notes) had approximate initial enhancement levels of 40%, 20% and 9%, respectively.

As a result of poor performance of the Transaction’s underlying securities, the Notes were previously downgraded to CC (sf) or lower. DBRS expects that the Class A-1 Notes will suffer a partial loss of principal, and it is expected that holders of both the Class A-2 Notes and Class A-3 Notes will not receive any return of initial principal over the remaining term of the Transaction.

DBRS will release further updates on www.dbrs.com as appropriate.

Note:
All figures are in Canadian dollars unless otherwise noted.

The applicable methodologies are Rating Canadian Structured Credit Transactions and Canadian Structured Credit Surveillance, which can be found on our website under Methodologies.