New York, May 29, 2009 -- Moody's Investors Service has downgraded the ratings of 133 tranches from
18 Alt-A RMBS transactions issued by Structured Asset Mortgage
Investments Trust. The collateral backing these transactions consists
primarily of first-lien, adjustable-rate, Alt-A
residential mortgage loans. Group II certificates from Structured
Asset Mortgage Investments II Trust 2004-AR5 are backed by pools
of negative amortization, Alt-A mortgage loans.
Moody's methodology for rating securities for more seasoned Alt-A
pools, takes into account the annualized loss rate from last 12
months ("Recent Losses") and the projected loss rate over
next 12 months ("Pipeline Losses"), and then translates
these measures into lifetime losses based on a deal's expected remaining
life. Recent Losses are calculated by assessing cumulative losses
incurred over the past 12-months as a percentage of the average
pool factor in the last year. For Pipeline Losses, Moody's
uses an annualized roll rate of 15%, 30%, 65%
and 90% for loans that are delinquent 60-days, 90+
days, are in foreclosure, and REO respectively. Moody's
then applies deal-specific severity assumptions ranging from 40%
to 55%. The results of these two calculations - Recent
Losses and Pipeline Losses - are weighted to arrive at the lifetime
cumulative loss projection. Additionally, Moody's further
stresses the default rate assumptions for deals with extremely low pool
factors to account for volatility arising from the small number of loans
backing these transactions.
Once expected losses have been determined, Moody's assesses
available credit enhancement from subordination, overcollateralization,
excess spread and any external support (mortgage insurance, pool
policy, etc.). The available enhancement is weighed
against projected future losses to ultimately arrive at an updated rating.
Other methodologies and factors that may have been considered in the process
of rating this issue can also be found at www.moodys.com
in the Credit Policy and Methodologies directory.
Complete rating actions as follows:
Structured Asset Mortgage Investments Tr 2002-AR3
Cl. A-1, Downgraded to Aa2; previously on 9/15/2002
Assigned Aaa
Cl. A-2, Downgraded to Baa1; previously on 11/21/2008
Downgraded to Aa3
Cl. X, Downgraded to Aa2; previously on 9/15/2002 Assigned
Aaa
Cl. B-1, Downgraded to B1; previously on 11/21/2008
Downgraded to Baa1
Cl. B-2, Downgraded to Ca; previously on 11/21/2008
Downgraded to Caa2
Structured Asset Mtge Invest II Tr 2004-AR3
Cl. I-A-1, Downgraded to Aa1; previously
on 6/1/2004 Assigned Aaa
Cl. I-A-3, Downgraded to Aa1; previously
on 6/1/2004 Assigned Aaa
Cl. II-A-1, Downgraded to Aa1; previously
on 6/1/2004 Assigned Aaa
Cl. M, Downgraded to A1; previously on 11/21/2008 Downgraded
to Aa1
Cl. B-1, Downgraded to Baa3; previously on 11/21/2008
Downgraded to A1
Cl. B-2, Downgraded to Caa1; previously on 11/21/2008
Downgraded to Baa3
Cl. B-3, Downgraded to Ca; previously on 11/21/2008
Downgraded to Caa3
Cl. B-4, Downgraded to C; previously on 11/21/2008
Downgraded to Ca
Structured Asset Mtge Invest II Tr 2004-AR4
Cl. M, Downgraded to Aa3; previously on 8/16/2004 Assigned
Aaa
Cl. B-1, Downgraded to Baa1; previously on 11/21/2008
Downgraded to Aa3
Cl. B-2, Downgraded to Ba3; previously on 11/21/2008
Downgraded to Baa1
Cl. B-3, Downgraded to Ca; previously on 11/21/2008
Downgraded to B3
Cl. B-4, Downgraded to C; previously on 11/21/2008
Downgraded to Ca
Structured Asset Mtge Invest II Tr 2004-AR5
Cl. I-A-1, Downgraded to Aa1; previously
on 9/8/2004 Assigned Aaa
Cl. I-A-2, Downgraded to Aa1; previously
on 9/8/2004 Assigned Aaa
Cl. I-X, Downgraded to Aa1; previously on 9/8/2004
Assigned Aaa
Cl. II-A-1, Downgraded to B3; previously
on 11/21/2008 Downgraded to A1
Cl. II-A-2, Downgraded to Ba2; previously
on 11/21/2008 Downgraded to A1
Cl. II-A-3, Downgraded to Ba1; previously
on 11/21/2008 Downgraded to A1
Cl. I-M, Downgraded to A2; previously on 9/8/2004
Assigned Aaa
Cl. I-B-1, Downgraded to Ba1; previously
on 10/6/2008 Downgraded to A1
Cl. I-B-2, Downgraded to Caa3; previously
on 10/6/2008 Downgraded to Ba2
Cl. I-B-3, Downgraded to C; previously
on 10/6/2008 Downgraded to Ca
Cl. II-B-1, Downgraded to Caa1; previously
on 10/6/2008 Downgraded to Baa1
Cl. II-B-2, Downgraded to Ca; previously
on 10/6/2008 Downgraded to B3
Structured Asset Mtge Invest II Tr 2004-AR6
Cl. M, Downgraded to Aa3; previously on 10/8/2004 Assigned
Aaa
Cl. B-1, Downgraded to Baa1; previously on 10/8/2004
Assigned Aa2
Cl. B-2, Downgraded to Ba3; previously on 10/8/2004
Assigned A2
Cl. B-3, Downgraded to Caa3; previously on 10/8/2004
Assigned Baa2
Cl. B-4, Downgraded to Ca; previously on 11/21/2008
Downgraded to B2
Cl. B-5, Downgraded to C; previously on 11/21/2008
Downgraded to Ca
Structured Asset Mtge Invest II Tr 2004-AR7
Cl. A-1A, Downgraded to Aa2; previously on 12/3/2004
Assigned Aaa
Cl. Grantor Trust A-1B, Downgraded to Aa2; previously
on 12/3/2004 Assigned Aaa
Cl. X, Downgraded to Aa2; previously on 12/3/2004 Assigned
Aaa
Cl. M, Downgraded to A1; previously on 11/21/2008 Downgraded
to Aa1
Cl. B-1, Downgraded to Baa3; previously on 11/21/2008
Downgraded to A1
Cl. B-2, Downgraded to Caa1; previously on 11/21/2008
Downgraded to Baa3
Structured Asset Mtge Invest II Tr 2004-AR8
Cl. A-1, Downgraded to Aa2; previously on 1/26/2005
Assigned Aaa
Cl. A-2A, Downgraded to Aa2; previously on 1/26/2005
Assigned Aaa
Cl. A-2B, Downgraded to Aa2; previously on 1/26/2005
Assigned Aaa
Cl. X-1, Downgraded to Aa2; previously on 1/26/2005
Assigned Aaa
Cl. X-2, Downgraded to Aa2; previously on 1/26/2005
Assigned Aaa
Cl. M, Downgraded to A1; previously on 1/26/2005 Assigned
Aaa
Cl. B-1, Downgraded to Baa2; previously on 11/21/2008
Downgraded to Aa3
Cl. B-2, Downgraded to B3; previously on 11/21/2008
Downgraded to Baa1
Cl. B-3, Downgraded to Ca; previously on 11/21/2008
Downgraded to B3
Cl. B-4, Downgraded to C; previously on 11/21/2008
Downgraded to Ca
Structured Asset Mtge Invest II. Tr 2004-AR2
Cl. II-A, Downgraded to Aa1; previously on 5/3/2004
Assigned Aaa
Cl. III-A, Downgraded to Aa2; previously on 5/3/2004
Assigned Aaa
Cl. M, Downgraded to Baa2; previously on 11/21/2008
Downgraded to Aa1
Cl. B-1, Downgraded to B3; previously on 11/21/2008
Downgraded to A1
Cl. B-2, Downgraded to Ca; previously on 11/21/2008
Downgraded to Baa3
Cl. B-3, Downgraded to C; previously on 11/21/2008
Downgraded to Ca
Structured Asset Mtge Invest. II Tr 2003-AR4
Cl. A-1, Downgraded to Aa3; previously on 1/3/2004
Assigned Aaa
Cl. A-2, Downgraded to A1; previously on 1/3/2004
Assigned Aaa
Cl. X, Downgraded to Aa3; previously on 1/3/2004 Assigned
Aaa
Cl. M, Downgraded to Baa1; previously on 11/21/2008
Downgraded to Aa1
Cl. B-1, Downgraded to Ba3; previously on 11/21/2008
Downgraded to A1
Cl. B-2, Downgraded to Caa2; previously on 11/21/2008
Downgraded to Baa3
Cl. B-3, Downgraded to C; previously on 11/21/2008
Downgraded to Caa2
Cl. B-4, Downgraded to C; previously on 11/21/2008
Downgraded to Ca
Structured Asset Mtge Invest. II Tr 2004-AR1
Cl. I-A-1, Downgraded to Aa1; previously
on 3/20/2004 Assigned Aaa
Cl. I-A-3, Downgraded to Aa1; previously
on 3/20/2004 Assigned Aaa
Cl. II-A-1, Downgraded to Aa1; previously
on 3/20/2004 Assigned Aaa
Cl. M, Downgraded to Baa1; previously on 11/21/2008
Downgraded to Aa2
Cl. B-1, Downgraded to Ba2; previously on 11/21/2008
Downgraded to A3
Cl. B-2, Downgraded to Caa2; previously on 11/21/2008
Downgraded to Ba3
Cl. B-3, Downgraded to C; previously on 11/21/2008
Downgraded to Ca
Structured Asset Mtge Investments Tr 2002-AR2
Cl. A-1, Downgraded to Aa2; previously on 5/31/2002
Assigned Aaa
Cl. A-2, Downgraded to Aa1; previously on 5/31/2002
Assigned Aaa
Cl. A-3, Downgraded to Baa2; previously on 5/31/2002
Assigned Aaa
Cl. X, Downgraded to Aa2; previously on 5/31/2002 Assigned
Aaa
Cl. B-1, Downgraded to B1; previously on 11/21/2008
Downgraded to A2
Cl. B-2, Downgraded to Caa3; previously on 11/21/2008
Downgraded to Ba3
Cl. B-3, Downgraded to C; previously on 11/21/2008
Downgraded to Ca
Structured Asset Mtge Investments Tr 2002-AR4
Cl. A-1, Downgraded to A1; previously on 11/5/2002
Assigned Aaa
Cl. A-2, Downgraded to Ba3; previously on 11/21/2008
Downgraded to A1
Cl. X, Downgraded to A1; previously on 11/5/2002 Assigned
Aaa
Cl. B-1, Downgraded to Caa1; previously on 11/21/2008
Downgraded to Baa2
Cl. B-2, Downgraded to Ca; previously on 11/21/2008
Downgraded to B3
Cl. B-3, Downgraded to C; previously on 11/21/2008
Downgraded to Ca
Structured Asset Mtge Investments Tr 2002-AR5
Cl. A-1, Downgraded to Aa2; previously on 1/6/2003
Assigned Aaa
Cl. A-2, Downgraded to Baa1; previously on 11/21/2008
Downgraded to A1
Cl. X, Downgraded to Aa2; previously on 1/6/2003 Assigned
Aaa
Cl. B-1, Downgraded to B1; previously on 10/6/2008
Downgraded to Baa2
Cl. B-2, Downgraded to Ca; previously on 10/6/2008
Downgraded to Caa1
Cl. B-3, Downgraded to C; previously on 10/6/2008
Downgraded to Ca
Structured Asset Mtge Investments Tr 2003-AR1
Cl. A-1, Downgraded to Aa3; previously on 6/14/2003
Assigned Aaa
Cl. A-2, Downgraded to A1; previously on 6/14/2003
Assigned Aaa
Cl. A-3, Downgraded to Aa2; previously on 6/14/2003
Assigned Aaa
Cl. A-3M, Downgraded to Aa2; previously on 6/14/2003
Assigned Aaa
Cl. A-4, Downgraded to A1; previously on 6/14/2003
Assigned Aaa
Cl. A-5, Downgraded to Aa2; previously on 6/14/2003
Assigned Aaa
Cl. X-1, Downgraded to Aa2; previously on 6/14/2003
Assigned Aaa
Cl. M, Downgraded to Baa3; previously on 11/21/2008
Downgraded to Aa2
Cl. B-1, Downgraded to B3; previously on 11/21/2008
Downgraded to A3
Cl. B-2, Downgraded to Ca; previously on 11/21/2008
Downgraded to Ba3
Cl. B-3, Downgraded to C; previously on 11/21/2008
Downgraded to Ca
Cl. B-4, Downgraded to C; previously on 11/21/2008
Downgraded to Ca
Structured Asset Mtge Investments Tr 2003-AR2
Cl. A-1, Downgraded to Aa3; previously on 8/22/2003
Assigned Aaa
Cl. X, Downgraded to Aa3; previously on 8/22/2003 Assigned
Aaa
Cl. M, Downgraded to Baa2; previously on 11/21/2008
Downgraded to Aa3
Cl. B-1, Downgraded to Ba3; previously on 11/21/2008
Downgraded to A3
Cl. B-2, Downgraded to Caa2; previously on 11/21/2008
Downgraded to Ba2
Cl. B-3, Downgraded to C; previously on 11/21/2008
Downgraded to Ca
Cl. B-4, Downgraded to C; previously on 11/21/2008
Downgraded to Ca
Structured Asset Mtge Investments Tr 2003-AR3
Cl. A-1, Downgraded to Aa2; previously on 11/17/2003
Assigned Aaa
Cl. A-2, Downgraded to Aa3; previously on 11/17/2003
Assigned Aaa
Cl. X, Downgraded to Aa2; previously on 11/17/2003 Assigned
Aaa
Cl. M, Downgraded to Baa2; previously on 10/6/2008 Downgraded
to Aa3
Cl. B-1, Downgraded to B3; previously on 10/6/2008
Downgraded to Baa1
Cl. B-2, Downgraded to Ca; previously on 10/6/2008
Downgraded to B3
Structured Asset Mtge Investments Tr 2003-CL1
Cl. I-F1, Downgraded to Aa2; previously on 7/30/2003
Assigned Aaa
Cl. I-I2, Downgraded to A2; previously on 7/30/2003
Assigned Aaa
Cl. I-S1, Downgraded to Aa2; previously on 7/30/2003
Assigned Aaa
Cl. I-PO, Downgraded to Aa2; previously on 7/30/2003
Assigned Aaa
Cl. II-A1, Downgraded to A1; previously on 7/30/2003
Assigned Aaa
Cl. I-B1, Downgraded to A2; previously on 7/30/2003
Assigned Aa2
Cl. I-B2, Downgraded to Baa3; previously on 7/30/2003
Assigned A2
Cl. I-B3, Downgraded to Caa2; previously on 11/21/2008
Downgraded to Ba2
Cl. II-B1, Downgraded to Baa1; previously on
7/30/2003 Assigned Aa2
Cl. II-B2, Downgraded to Ba1; previously on 7/30/2003
Assigned A2
Cl. II-B3, Downgraded to B3; previously on 7/30/2003
Assigned Baa2
Cl. II-B4, Downgraded to Caa2; previously on
7/30/2003 Assigned Ba2
Cl. II-B5, Downgraded to Ca; previously on 7/30/2003
Assigned B2
Structured Asset Mtge. Investment Tr. 2001-4
Cl. A-1, Downgraded to A3; previously on 11/21/2008
Downgraded to A1
Currentl Underlying Rating: Downgraded to A3; previously on
11/21/2008 Downgraded to A1
Financial Guarantor: MBIA Insurance Corporation (Downgraded to B3,
Outlook Developing on 2/18/2009)
Cl. B-1, Downgraded to Ba1; previously on 11/21/2008
Downgraded to Baa1
Cl. B-2, Downgraded to Ca; previously on 11/21/2008
Downgraded to Caa3
A list of these actions including CUSIP identifiers may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF168280
For more information please see www.moodys.com.
New York
John Park
Managing Director
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Karandeep Bains
Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Downgrades Seasoned Alt-A Deals from SAMI