Fitch Takes Various Actions on Morgan Stanley Capital I 2005-RR6

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has upgraded one class, downgraded two classes, and affirmed 10 classes issued by Morgan Stanley Capital I 2005-RR6 (MSCI 2005RR6). A complete list of rating actions follows at the end of this press release.

KEY RATING DRIVERS

The upgrade is a result of increased credit enhancement to the notes from principal paydowns. Since the last rating action in May 2014, approximately 20.1% of the collateral has been upgraded and 6.1% has been downgraded. Currently, 83.7% of the portfolio has a Fitch derived rating below investment grade with 64.1% of the portfolio having a rating in the 'CCC' category and below, compared to 85.1% and 69.9%, respectively, at the last rating action. In the same period, the transaction has received $24.6 million in paydowns, which has resulted in the full repayment of the class A-3 notes, and has experienced $9.9 million in principal losses.

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. Additionally, a deterministic analysis was performed 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 below ratings reflect these results as well as the risk of adverse selection as the portfolio continues to amortize. Based on this analysis, the credit enhancements for the class A-J notes is consistent with the rating indicated below.

For classes B through D, 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 classes B through D at 'Csf', indicating default is inevitable.

The class E notes have experienced principal losses of approximately 49.2% of their original balance while the classes F through N have experienced complete principal losses. Therefore, the class E and F notes have been downgraded to 'Dsf' and classes G through N have been affirmed at 'Dsf'.

RATING SENSITIVITIES

In addition to the sensitivities mentioned above, the Stable Rating Outlook on the class A-J notes reflects Fitch's view that the notes will continue to delever.

MSCI 2005-RR6 is a static collateralized debt obligation (CDO) that closed on Oct. 15, 2005. The current portfolio consists of 26 bonds from 18 CMBS transactions of which 93.9% were issued in 2004 and earlier and 6.1% were issued in 2005.

Fitch has upgraded the following class as indicated:

--$28,588,162 Class A-J notes upgraded to 'Bsf' from 'CCsf'; Outlook Stable assigned.

Fitch has downgraded the following classes as indicated:

--$4,297,034 Class E notes downgraded to 'Dsf' from 'Csf';

--$0 Class F notes downgraded to 'Dsf' from 'Csf'.

Fitch has affirmed the following classes as indicated:

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

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

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

--Class G notes at 'Dsf';

--Class H notes at 'Dsf';

--Class J notes at 'Dsf';

--Class K notes at 'Dsf';

--Class L notes at 'Dsf';

--Class M notes at 'Dsf';

--Class N notes at 'Dsf'.

Fitch does not rate classes O1, O2, O3, O4, O5 and O6. 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' (March 31, 2015);

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

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864268

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=984714

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 MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

Fitch Ratings
Primary Surveillance Analyst
Martin Nunnally
Associate Director
+1-212-908-0871
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, +1-212-908-0278
[email protected]

Source: Fitch Ratings

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