Nov 9 - 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.Global Rating Criteria for Structured Finance CDOs