DBRS Confirms Revelstoke CDO I Limited Ratings

DBRS Limited (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 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. 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.

Notes:
The related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link to the right under Related Research or by contacting us at info@dbrs.com.

The applicable methodologies are Rating Methodology for CLOs and CDOs of Large Corporate Credit (April 2015) and Canadian Surveillance Methodology for CDOs of Large Corporate Credit (July 2014), which can be found on our website under Methodologies.