Fitch Upgrades MSCI 2004-RR2

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

KEY RATING DRIVERS:

Since the last rating action in October 2013, approximately 48.6% of the collateral has been upgraded. Currently, 88.58% of the portfolio has a Fitch-derived rating of investment grade compared to 48.3% at the last rating action; and the balance of the portfolio has a Fitch-derived rating below the 'CCC' category compared to 6.6% at last review. Over this period, the transaction has received $24.7 million in principal paydowns which has resulted in the full repayment of the class C, D and E notes and $2.5 million in paydowns to the class F notes.

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 the 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. The class F through M notes' ratings below reflect the passing rates as well as the concern of potential interest shortfalls and concentration risk 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 six CMBS assets from five obligors from the 1997-2000 vintages.

RATING SENSITIVITIES

The Stable Outlook on the class F through H notes reflects Fitch's expectation that the transaction will continue to delever. The Positive Outlook on the class J through M notes reflects the likelihood of further upgrades should the transaction continue to delever.

Fitch has upgraded the following classes:

--$750,425 class F notes to 'Asf' from 'Bsf'; Outlook Stable;

--$6,930,000 class G notes to 'BBBsf' from 'Bsf'; Outlook to Stable from Negative;

--$3,668,000 class H notes to 'BBBsf' from 'Bsf'; Outlook to Stable from Negative;

--$2,446,000 class J notes to 'Bsf' from 'CCCsf'; assigned Outlook Positive;

--$2,446,000 class K notes to 'Bsf' from 'CCCsf'; assigned Outlook Positive;

--$2,446,000 class L notes to 'Bsf' from 'CCCsf'; assigned Outlook Positive;

--$1,630,000 class M notes to 'Bsf' from 'CCCsf'; assigned Outlook Positive.

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

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (Aug. 4, 2014);

--'Global Rating Criteria for Structured Finance CDOs' (Jul.y 16, 2014).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389

Global Rating Criteria for Structured Finance CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=751136

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=870214

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Contacts

Fitch Ratings
Primary Surveillance Analyst
Dustin Pike
Associate Director
+1-212-612-7875
Fitch Ratings, Inc.
33 Whitehall St.
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
Email: sandro.scenga@fitchratings.com

Contacts

Fitch Ratings
Primary Surveillance Analyst
Dustin Pike
Associate Director
+1-212-612-7875
Fitch Ratings, Inc.
33 Whitehall St.
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
Email: sandro.scenga@fitchratings.com