Fitch Affirms Morgan Stanley & Co. LLC Re-REMIC Trust 2011-IO
--\$12,098,167 class B at 'AAAsf'; Outlook Stable;
--\$12,098,167 class B-B at 'AAAsf'; Outlook Stable;
--\$70,000,000 class C at 'BBBsf'; Outlook Stable.
Classes A, A-A, A-B, and B-A have paid in full. Class R is not rated.
KEY RATING DRIVERS
The affirmations are based on the performance of the bonds relative to Fitch's 'AAA' and 'BBB' stressed cash flow projections. Actual aggregate cash flows for the underlying transactions have exceeded Fitch's 'AAA' and 'BBB' stressed cash flow projections at issuance.
RATING SENSITIVITIES
Ratings are expected to remain stable as cash flow from the underlying transactions is exceeding Fitch's stressed projections leading to a quicker paydown of the bonds.
Class B is designated as an 'Exchanged' class, while class B-B is designated as an 'Exchangeable'. Each class designated as 'Exchanged' is exchangeable for a combination of the classes designated as 'Exchangeable' as specified in Schedule I of the Offering Memorandum. The class B, B-B, and C certificates are principal-only certificates and are not entitled to receive any distributions of interest.
All classes are privately placed pursuant to rule 144A of the Securities Act of 1933. The certificates represent beneficial ownership interest in the trust, primary assets of which are allocations of 162 U.S. commercial mortgage backed security (CMBS) interest-only certificates, from 147 underlying transactions.
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