DBRS Rates Morgan Stanley Re-REMIC Trust 2013-R4

DBRS, Inc. (DBRS) has today assigned the following rating to the Re-REMIC Pass-Through Certificates, Series 2013-R4 issued by Morgan Stanley Re-REMIC Trust 2013-R4 (the Trust).

-- $6.1 million Class 3-A1* rated at AAA (sf)
-- $302.0 thousand Class 3-A2* rated at AA (sf)
-- $404.0 thousand Class 3-A3* rated at ‘A’ (sf)
-- $6.9 million Class 3-A** rated at ‘A’ (sf)

-- $7.7 million Class 4-A1* rated at AAA (sf)
-- $893.0 thousand Class 4-A2* rated at AA (sf)
-- $714.0 thousand Class 4-A3* rated at ‘A’ (sf)
-- $9.3 million Class 4-A** rated at ‘A’ (sf)

There are four groups in this resecuritization trust. DBRS rates securities from Groups 3 and 4, each consisting of one seasoned senior residential mortgage-backed securities (RMBS). The ratings on the securities reflect the credit enhancement provided by subordination and the quality of the underlying assets. Other than the specified classes above, DBRS does not rate any other securities in this transaction.

Interest and principal payments on the securities will be made on the business day following the latest underlying distribution date (generally the 25th day of each month), commencing in April 2013. Interest payments will be distributed on a sequential basis to the security. Principal payments will be distributed on a sequential basis, until the principal balances have been reduced to zero.

Any losses realized from the underlying security will be allocated in a reverse sequential order, until the principal balances have been reduced to zero.

Each DBRS-rated group is a resecuritization of one seasoned senior RMBS, represented by a real estate mortgage investment conduit (REMIC). The REMICs are backed by pools of seasoned,
prime, first lien, adjustable-rate, one- to four-family residential mortgages.

The ratings assigned to the offered securities address (i) the likelihood of the receipt by security holders of all principal distributions to which such security holders are entitled and (ii) the likelihood of the receipt by security holders of the amount of interest actually received by the trust to the extent payable to each class in accordance with the priorities described in the operative documents (as such interest received by the trust may have been reduced as a result of any interest shortfalls allocated to the related underlying securities, and as such interest entitlement may be further reduced by the allocation of extraordinary trust expenses). The ratings on the Rated Certificates do not address the likelihood of receipt of payment by the Trust of the distributions on the related Deposited Underlying Certificates with respect to the related Underlying Distribution Date in April 2013. For more details on the ratings, please refer to the offering and transaction legal documents.

DBRS ReREMIC Methodology Excerpt:
Since a ReREMIC is a pass-through of interest, principal and losses from the underlying certificates, its interest entitlement is usually capped at the actual interest amount collected on the underlying securities.

In other words, a ReREMIC trust cannot pay out more interest than it receives from its collateral, and sometimes, what is collected on the underlying securities can be as low as zero.

When rating ReREMICs, DBRS is assessing the ability of the trust making the full principal payment by the legal final maturity date of the transaction. These transactions typically define interest rate as the lesser of the bond coupon and the available interest funds. Hence, the DBRS rating does not provide an opinion on the timeliness or amount of interest payments the investor may receive. The trust’s only obligation is to pass through the interest proceeds net of fees from the underlying securities.

Notes:

• denotes Base Certificate.
  ** denotes Exchangeable Certificate.

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

The applicable methodology is RMBS Insight: U.S. Residential Mortgage-Backed Securities Loss Model and Rating Methodology, which can be found on our website under Methodologies.

The Rule 17g-7 Report of Representations and Warranties is hereby incorporated by reference and can be found by clicking on the link or by contacting us at info@dbrs.com.

This rating is endorsed by DBRS Ratings Limited for use in the European Union.