Fitch Affirms MSCI 2004-RR2

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NEW YORK--(BUSINESS WIRE)-- 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 January 2011, approximately 2.76% of the collateral has been downgraded. Currently, 60.7% of the portfolio has a Fitch derived rating below investment grade and 13% has a rating in the 'CCC' category and below, compared to 56% and 13%, respectively, at the last rating action. Additionally, the class A-2 notes have received $15 million in paydowns for a total of $68.1 million in principal repayment 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. 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 characteristics of classes A-2 through J are generally consistent with the ratings assigned below.

For the class K through M notes, 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, the class K through M notes have been affirmed at 'CCCsf', indicating that default is possible.

The Negative Outlook on the class A-2 through H notes reflects the concentration risk of the underlying portfolio. Fitch does not assign Outlooks to classes rated 'CCC' and below.

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 14 CMBS assets from 12 obligors from the 1997-2000 vintages.

Fitch has affirmed the following classes:

--$40,986,089 class A-2 notes at 'AAAsf'; Outlook 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.

The information used to assess these ratings was sourced from the issuer, periodic trustee reports, note valuation reports, and the public domain.

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (Aug. 4, 2011);

--'Global Rating Criteria for Structured Finance CDOs' (Oct. 6, 2011);

--'Global Criteria for Cash Flow Analysis in CDOs' (Sept. 15, 2011).

Applicable Criteria and Related Research:

Global Criteria for Cash Flow Analysis in CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=650717

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=646569

Global Rating Criteria for Structured Finance CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=651560

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.

Fitch RatingsPrimary Surveillance AnalystMatthew McGowan, +1-212-908-0733AnalystFitch, Inc.One State Street PlazaNew York, NY 10004orCommittee ChairpersonKaren Trebach, +1-212-908-0215Senior DirectororMedia Relations:Sandro Scenga, +1-212-908-0278Email: [email protected]

Source: Fitch Ratings

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