DBRS Confirms Ratings of Morgan Stanley Re-Remic Trust 2011-KEY

DBRS has today confirmed the following classes of Morgan Stanley Re-REMIC 2011-KEY as follows. All trends are Stable.

-- Class 1-A at AAA (sf)
-- Class 1-B at A (low) (sf)
-- Class 1-X at A (low) (sf)

This transaction is a resecuritization, collateralized by the beneficial interests in one super-senior commercial mortgage-backed pass-through certificate (CMBS) from an underlying transaction that was securitized in 2007. The Morgan Stanley Re-Remic Trust 2011-KEY resecuritization consists of a senior/subordinate pass-through sequential-pay structure intended to contain any potential transaction-specific losses within the 1-B Class. In addition, there is a notional Class 1-X.

The underlying is a small-balance CMBS transaction, Key Commercial Mortgage Securities Trust 2007-SL1. Although DBRS does not publicly rate the underlying transaction, a detailed level of analysis was performed by using the CREFC IRP files from the latest remittance period.

DBRS analyzed the underlying certificate based on the performance of the underlying loans and the transaction structure. DBRS modeled the transaction independently and, in its review, focused on the larger assets, the specially serviced loans and the loans on the servicer’s watchlist, in an effort to most appropriately model the pivotal loans within the transaction that carry a higher likelihood of default. To simulate realized losses expected on all delinquent loans, including 30-day delinquencies, DBRS either modeled these loans with 100% probability of default and the corresponding loss severity, reflective of debt yield derived by using the most recent loan-level cash flow, or ran a liquidation scenario using a haircut to the latest appraisal to account for additional expenses and/or potential future value decline.

The resulting weighted-average credit enhancement requirements for all the loans in the underlying pool, at each respective rating category, were then compared to the actual credit enhancement provided to the contributed certificate within the underlying CMBS structure. Based on that comparison, the ratings confirmations were appropriate.

The ratings are dependent on the continued performance of the underlying deal.

The ratings do not address the likelihood of additional trust fund expenses.

Notes:
All figures are in U.S. dollars unless otherwise noted.

These ratings are endorsed by DBRS Ratings Limited for use in the European Union.

The applicable methodologies are CMBS Rating Methodology (January 2012) and CMBS North American Surveillance (May 2011), which can be found on our website under Methodologies.

This rating is based on public information.