DBRS Confirms Revelstoke CDO I Limited Ratings

DBRS has today confirmed the ratings of 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.

Since the last rating confirmation, the overall credit quality of the portfolio has experienced further deterioration. The Notes were previously downgraded to CC (sf) or lower in October 2009 due to the poor performance of the underlying securities in the Transaction. 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 Methodology for CLOs and CDOs of Large Corporate Credit and Canadian Surveillance Methodology for CDOs of Large Corporate Credit, which can be found on our website under Methodologies.