Fitch Rates Morgan Stanley Mortgage Re-REMIC Trust 2009-R2
NEW YORK-(Business Wire)-September 29, 2009 - Fitch rates Morgan Stanley Mortgage Re-REMIC Trust 2009-R2 as follows:
— $72,200,000 class 1A1 A 'AAA'; Outlook Stable;
— $48,100,000 class 1A1 A1 'AAA'; Outlook Stable;
— $24,100,000 class 1A1 A2 'AAA'; Outlook Stable;
— $30,000,000 class 2-A 'AAA'; Outlook Stable;
— $21,600,000 class 2-A1 'AAA'; Outlook Stable;
— $8,400,000 class 2-A2 'AAA'; Outlook Stable.
This transaction contains certain classes designated as Initial Exchangeable certificates and others as Exchangeable certificates. Class 1A1-A is an Initial Exchangeable certificate and is exchangeable for the combinations of Exchangeable notes 1A1-A1 and 1A1-A2. Class 2-A is an Initial Exchangeable certificate and is exchangeable for the combinations of Exchangeable notes 2-A1 and 2-A2.
This transaction is a resecuritization of residential mortgage backed securities certificates and consists of two groups. The underlying certificates are backed by conventional Prime first-lien mortgage loans. As a resecuritization, the certificates will receive their cash flow from the underlying classes of certificates. The group-to-bond associations are as follows:
Group 1: 64.23% interest in the J.P. Morgan Mortgage Trust 2006 S1, class 1-A-1. Credit Enhancement for the 1A1-A, 1A1-A1 and 1A1-A2 certificates is provided by the structural support on the underlying transaction and by the 9.94% class 1A1-B bond.
Group 2: 74.08% interest in the Wells Fargo Mortgage Backed Security 2006-2, class I-A-1. Credit Enhancement for the 2-A, 2-A1 and 2-A2 certificates is provided by the structural support on the underlying transaction and by the 16.5% class 2B bond.
The underlying collateral and cash flow structure were analyzed according to Fitch's 'U.S. Residential Mortgage Re-REMIC', 'ResiLogic: U.S. Residential Mortgage Loss Model' and 'U.S. RMBS Cash Flow Analysis' criteria.
Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, 'www.fitchratings.com'. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site.
ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE.
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