Fitch Upgrades 2 & Affirms 13 Classes of Morgan Stanley Capital I 2005-RR6

NEW YORK--()--Fitch Ratings has upgraded two and affirmed 13 classes issued by Morgan Stanley Capital I 2005-RR6 (MSCI 2005-RR6). The upgrades are due to increased credit enhancement and expected near term payoff of the A-3 notes. The affirmations reflect expected losses to an increasingly concentrated underlying pool. A complete list of rating actions follows at the end of this release.

KEY RATING DRIVERS

Since the last rating action in June 2013, approximately 20.7% of the collateral has been downgraded and 9% has been upgraded a weighted average of 1.24 and 2.24 notches, respectively. Currently, 85.1% of the portfolio has a Fitch derived rating below investment grade and 69.9% has a rating in the 'CCC' category and below. This compares to 72% and 40.3%, respectively, at the last rating action. Over this period, the transaction has received $34.8 million in pay downs and has experienced $3.7 million in principal losses.

This transaction was analyzed under the framework described in Fitch's report, 'Global Rating Criteria for Structured Finance CDOs' using the Portfolio Credit Model (PCM) for projecting future default levels for the underlying portfolio. Fitch also analyzed the structure's sensitivity to the assets that are distressed, experiencing interest shortfalls, and those with near-term maturities. Based on this analysis, the credit enhancements for the class A-3 notes is consistent with the rating indicated below.

For classes A-J through F, Fitch analyzed each 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, Fitch has affirmed the class A-J note at 'CCsf' (indicating a probable default). Similarly, Fitch has affirmed classes B through F at 'Csf' (indicating an inevitable default).

The class G notes have experienced principal losses of approximately 76.5% of their original balance while the classes H through N notes have experienced complete principal losses. Thus, the classes G through N notes have been affirmed at 'Dsf'.

RATING SENSITIVITIES

In addition to the sensitivities noted above, the Stable Rating Outlook on the class A-3 notes reflects Fitch's view that the notes will continue to delever and be repaid in full.

MSCI 2005-RR6 is a static collateralized debt obligation (CDO) that closed on Oct. 15, 2005. The current portfolio consists of 34 bonds from 21 CMBS transactions of which 79.5% were issued in 2002 and earlier and 20.5% were issued between 2003 and 2005.

Fitch has taken the following action as indicated:

--$1,104,001 class A-3-FL notes upgraded to 'AAAsf' from 'BBB-sf'; Outlook Stable;

--$2,034,141 class A-3-FX notes upgraded to 'AAAsf' from 'BBB-sf'; Outlook Stable;

--$50,061,000 class A-J notes affirmed at 'CCsf';

--$27,498,000 class B notes affirmed at 'Csf';

--$14,102,000 class C notes affirmed at 'Csf';

--$2,115,000 class D notes affirmed at 'Csf';

--$8,461,000 class E notes affirmed at 'Csf';

--$4,231,000 class F notes affirmed at 'Csf';

--$1,493,209 class G notes affirmed at 'Dsf';

--Class H notes affirmed at 'Dsf';

--Class J notes affirmed at 'Dsf';

--Class K notes affirmed at 'Dsf';

--Class L notes affirmed at 'Dsf';

--Class M notes affirmed at 'Dsf';

--Class N notes affirmed at 'Dsf'.

Fitch does not rate classes O-1, O-2, O-3, O-4, O-5 and O-6. Fitch previously withdrew the ratings on the interest-only class X.

Additional information is available at 'www.fitchratings.com'.

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (May 20, 2014);

--'Global Rating Criteria for Structured Finance CDOs' (Sept. 12, 2013).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=748821

Global Rating Criteria for Structured Finance CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=718027

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=831375

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Contacts

Fitch Ratings
Primary Surveillance Analyst
Sean Gibbs
Associate Director
+1-212-908-0311
Fitch Ratings, Inc., 33 Whitehall Street, New York, NY 10004
or
Committee Chairperson
Mary MacNeill
Managing Director
+1-212-908-0785
or
Media Relations
Sandro Scenga, New York, +1-212-908-0278
sandro.scenga@fitchratings.com

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Contacts

Fitch Ratings
Primary Surveillance Analyst
Sean Gibbs
Associate Director
+1-212-908-0311
Fitch Ratings, Inc., 33 Whitehall Street, New York, NY 10004
or
Committee Chairperson
Mary MacNeill
Managing Director
+1-212-908-0785
or
Media Relations
Sandro Scenga, New York, +1-212-908-0278
sandro.scenga@fitchratings.com