Fitch Affirms MSCI 2004-RR2

NEW YORK--()--Fitch Ratings has affirmed 12 classes issued by MSCI 2004-RR2 as a result of stable performance on the underlying portfolio since the last rating action. A complete list of rating actions follows at the end of this release.

Since Fitch's last rating action in December 2011, approximately 22.9% of the underlying collateral has been upgraded. Currently, 55.2% of the portfolio has a Fitch derived rating below investment grade and 15.2% has a rating in the 'CCC' category and below, compared to 60.7% and 13% at the last rating action. Over this time, the class A-2 notes have received $19.7 million for a total of $87.7 million in principal paydowns since issuance.

This transaction was analyzed under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Portfolio Credit Model (PCM) for projecting future default levels for the underlying portfolio. The Rating Loss Rates (RLR) were then compared to the credit enhancement of the classes. Fitch also analyzed the structure's sensitivity to the assets that are distressed, experiencing interest shortfalls, and those with near-term maturities. Additionally, Fitch performed a deterministic scenario where recovery estimate on the distressed collateral was modeled in accordance with the principal waterfall. An asset by asset analysis was then performed for the remaining assets to determine the collateral coverage for the remaining liabilities. Based on this analysis, the credit enhancement for the class A-2 through J notes is consistent with the current rating of the notes.

For the class K through M notes, Fitch analyzed the class' sensitivity to the default of the distressed assets ('CCC' and below). Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class K through M notes have been affirmed at 'CCCsf', indicating that default is possible.

The Stable Outlook on the class A-2 notes reflects Fitch's expectation that the notes will continue to delever. The Negative Outlook on the class B through H notes reflects the risk of adverse selection as the portfolio continues to amortize.

MSCI 2004-RR2 is a static Re-Remic backed by commercial mortgage backed securities (CMBS) B-pieces that closed June 29, 2004. The transaction is collateralized by 13 CMBS assets from 11 obligors from the 1997-2000 vintages.

Fitch has affirmed the following classes:

--$21,324,734 class A-2 notes at 'AAAsf'; Outlook to Stable from Negative;

--$30,164,000 class B notes at 'BBBsf'; Outlook Negative;

--$15,082,000 class C notes at 'BBsf'; Outlook Negative;

--$5,299,000 class D notes at 'BBsf'; Outlook Negative;

--$12,229,000 class E notes at 'Bsf'; Outlook Negative;

--$3,261,000 class F notes at 'Bsf'; Outlook Negative;

--$6,930,000 class G notes at 'Bsf'; Outlook Negative;

--$3,668,000 class H notes at 'Bsf'; Outlook Negative;

--$2,446,000 class J notes at 'CCCsf';

--$2,446,000 class K notes at 'CCCsf';

--$2,446,000 class L notes at 'CCCsf';

--$1,630,000 class M notes at 'CCCsf'.

Additional information is available at 'www.fitchratings.com' . The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings.

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (June 6, 2012);

--'Global Rating Criteria for Structured Finance CDOs' (Oct. 3, 2012).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=679923

Global Rating Criteria for Structured Finance CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=690203

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.

Contacts

Fitch Ratings
Primary Surveillance Analyst
Matthew McGowan, +1 212-908-0733
Analyst
Fitch, Inc.
One State Street Plaza
New York, NY 10004
or
Committee Chairperson
Mary MacNeill, +1 212-908-0785
Managing Director
or
Media Relations:
Sandro Scenga, +1 212-908-0278
Email: sandro.scenga@fitchratings.com

Sharing

Contacts

Fitch Ratings
Primary Surveillance Analyst
Matthew McGowan, +1 212-908-0733
Analyst
Fitch, Inc.
One State Street Plaza
New York, NY 10004
or
Committee Chairperson
Mary MacNeill, +1 212-908-0785
Managing Director
or
Media Relations:
Sandro Scenga, +1 212-908-0278
Email: sandro.scenga@fitchratings.com