OREANDA-NEWS. Fitch Ratings has assigned the following ratings and Rating Outlooks to three groups in Morgan Stanley Resecuritization Trust (MSRR) 2015-R4:

Group 2 Securities
--$34,826,000 class 2-A 'BBBsf'; Outlook Stable;
--$5,547,000 Initial Exchangeable class 2-B1 'BBsf'; Outlook Stable;
--$3,826,000 Initial Exchangeable class 2-B2 'Bsf'; Outlook Stable;
--$751,105 Initial Exchangeable class 2-B3 not rated;
--$9,373,000 Subsequent Exchangeable class 2-B4 'Bsf'; Outlook Stable;
--$4,577,105 Subsequent Exchangeable class 2-B5 not rated;
--$10,124,105 Subsequent Exchangeable class 2-B not rated.

Group 3 Securities
--$12,015,000 class 3-A 'BBBsf'; Outlook Stable;
--$1,914,000 Initial Exchangeable class 3-B1 'BBsf'; Outlook Stable;
--$1,320,000 Initial Exchangeable class 3-B2 'Bsf'; Outlook Stable;
--$259,204 Initial Exchangeable class 3-B3 not rated;
--$3,234,000 Subsequent Exchangeable class 3-B4 'Bsf'; Outlook Stable;
--$1,579,204 Subsequent Exchangeable class 3-B5 not rated;
--$3,493,204 Subsequent Exchangeable class 3-B not rated.

Group CB Securities
--$7,461,000 Subsequent Exchangeable class CB-1 'BBsf'; Outlook Stable;
--$5,146,000 Subsequent Exchangeable class CB-2 'Bsf'; Outlook Stable;
--$1,010,309 Subsequent Exchangeable class CB-3 not rated;
--$12,607,000 Subsequent Exchangeable class CB-4 'Bsf'; Outlook Stable;
--$6,156,309 Subsequent Exchangeable class CB-5 not rated;
--$13,617,309 Subsequent Exchangeable class CB not rated.

KEY RATING DRIVERS
MSRR 2015-R4 is composed of five groups, and Fitch is rating eight bonds from two of the groups. In addition, Fitch is also assigning ratings to three classes from the group that is composed of combinations between Group 2 and Group 3 securities. Each group is a resecuritization of an ownership interest in residential mortgage-backed securities. As a resecuritization, the securities will receive their cashflow from the underlying security. The Fitch-rated groups are collateralized with a senior class from an Alt A transaction issued in 2005. Collateral performance has shown improvement over the past few years. The underlying pool has exhibited improvement in the percentage of loans seriously delinquent and has losses to date much lower than similar loans from this vintage.

For the Fitch rated group, interest is paid pro rata and principal is paid sequentially. Realized losses are applied reverse sequentially.

Key rating drivers include the performance of the underlying pool as well as the collateral characteristics, such as sustainable loan-to-value ratio (sLTV), credit score and geographic concentration. For the Fitch rated group, Fitch ran various prepayment speeds and loss timing scenarios in its analysis of the deal structure. This analysis was done to determine that the cash flow to the Fitch rated bonds would not be exposed to losses as a result of potential alternative cashflow timing stress scenarios.

Group 2 represents a 71.44% interest in the WaMu Mortgage Pass-Through Certificates, Series 2005-AR11 Class A1B3 while Group 3 represents a 39.02% interest in the WaMu Mortgage Pass-Through Certificates, Series 2005-AR11 Class A1B2. Based on the collateral composition of the underlying pool, Fitch assumed a base-case scenario expected loss (XL) of 13.76%. In the rating stress scenarios, Fitch assumed a 'BBBsf' XL of 24.69%. Fitch increased the model-expected loss severity on liquidated loans by 10% at each rating scenario to better reflect recent loss severity trends. Fitch ran these loss assumptions through 12 different interest rate, prepayment and timing scenarios and used the most conservative value to determine the required credit enhancement (CE).

Given the payment structure and allocation of losses for WaMu Mortgage Pass-Through Certificates, Series 2005-AR11, both class A1B2 and A1B3 have identical cashflows. The required CE to support a 'BBBsf' rating for both Re-REMIC groups is 22.52%. While the required CE is lower than the expected pool loss for a BBBsf rating stress, this number takes into account the more than 28% CE still outstanding on the underlying bonds and the fact that the A1B3 and A1B2 are senior support classes.

The group CB securities are combinations of similar classes from Group 2 and Group 3. Since both groups are expected to have identical cashflows, combining classes into a permissible CB class does not impact the projected recoveries, it merely results in a larger sized class.

Fitch is assigning the ratings based on underlying pool collateral composition, the results of its cashflow analysis, review of final structure and supporting deal documents. }

RATING SENSITIVITIES
Fitch analyses each bond in a number of different scenarios to determine the likelihood of full principal recovery and timely interest. The scenario analysis incorporates various combinations of the following stressed assumptions: mortgage loss, loss timing, interest rates, prepayments, servicer advancing and loan modifications.

The analysis includes rating stress scenarios from 'CCCsf' to 'AAAsf'. The 'CCCsf' scenario is intended to be the most likely base-case scenario. Rating scenarios above 'CCCsf' are increasingly more stressful and less likely outcomes. Although many variables are adjusted in the stress scenarios, the primary driver of the loss scenarios is the home price forecast assumption. In the 'Bsf' scenario, Fitch assumes home prices decline 10% below their long-term sustainable level. The home price decline assumption is increased by 5% at each higher rating category up to a 35% decline in the 'AAAsf' scenario.

The publication of a RW&Es appendix is not required for this transaction as stated in Fitch's Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions Report dated June 12,2015.

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.