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Rating Action:

Moody's downgrades $43.5 Million of Alt-A RMBS issued by miscellaneous issuers from 2002 through 2004

12 Jun 2014

New York, June 12, 2014 -- Moody's Investors Service has downgraded the rating of twelve tranches issued by miscellaneous issuers. The tranches are backed by Alt-A RMBS loans issued in 2002 and 2004.

Complete rating actions are as follows:

Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2002-18

Cl. II-A-1, Downgraded to Ba3 (sf); previously on Aug 28, 2013 Downgraded to Ba1 (sf)

Cl. II-P, Downgraded to Ba3 (sf); previously on Aug 28, 2013 Downgraded to Ba1 (sf)

Cl. II-PP, Downgraded to Ba3 (sf); previously on Aug 28, 2013 Downgraded to Ba2 (sf)

Issuer: Structured Asset Mortgage Investments II Trust 2004-AR2

Cl. II-A, Downgraded to Baa3 (sf); previously on Jul 5, 2012 Downgraded to Baa1 (sf)

Cl. III-A, Downgraded to Baa3 (sf); previously on Jul 5, 2012 Downgraded to Baa1 (sf)

Issuer: Structured Asset Mortgage Investments Trust 2002-AR2

Cl. A-1, Downgraded to Ba2 (sf); previously on Aug 1, 2013 Downgraded to Baa3 (sf)

Cl. A-2, Downgraded to Ba2 (sf); previously on Aug 1, 2013 Downgraded to Baa3 (sf)

Cl. A-3, Downgraded to Caa3 (sf); previously on Aug 1, 2013 Downgraded to Caa1 (sf)

Cl. B-1, Downgraded to C (sf); previously on Jul 5, 2012 Downgraded to Ca (sf)

Cl. X, Downgraded to B3 (sf); previously on Aug 1, 2013 Downgraded to B1 (sf)

Issuer: Structured Asset Mortgage Investments II Trust 2004-AR3

Cl. I-A-2, Downgraded to A3 (sf); previously on Aug 1, 2013 Confirmed at A2 (sf)

Issuer: Structured Asset Mortgage Investments II Trust 2004-AR6

Cl. A-3, Downgraded to Baa3 (sf); previously on Jul 5, 2012 Downgraded to Baa1 (sf)

RATINGS RATIONALE

The rating actions are a result of performance on the underlying pools and reflect Moody's updated loss expectations on the pools. The rating downgrades are due to the weak performance of the underlying collateral.

The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in November 2013. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

Factors that would lead to an upgrade or downgrade of the rating:

Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 6.3% in May 2014 from 7.5% in May 2013. Moody's forecasts an unemployment central range of 6.5% to 7.5% for the 2014 year. Deviations from this central scenario could lead to rating actions in the sector.

House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2014. Lower increases than Moody's expects or decreases could lead to negative rating actions.

Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions.

A list of these actions including CUSIP identifiers may be found at:

Excel: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF370871

A list of updated estimated pre-2005 transactions pool losses is being posted on an ongoing basis for the duration of this review period and may be found at:

Excel: http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_SF237256

For more information please see www.moodys.com.

REGULATORY DISCLOSURES

For further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions of the disclosure form.

Moody's received and took into account one or more third party assessments on the due diligence performed regarding the underlying assets or financial instruments in these transactions and the assessments had a neutral impact on the rating.

The analysis relies on an assessment of collateral characteristics to determine the collateral loss distribution, that is, the function that correlates to an assumption about the likelihood of occurrence to each level of possible losses in the collateral. As a second step, Moody's evaluates each possible collateral loss scenario using a model that replicates the relevant structural features to derive payments and therefore the ultimate potential losses for each rated instrument. The loss a rated instrument incurs in each collateral loss scenario, weighted by assumptions about the likelihood of events in that scenario occurring, results in the expected loss of the rated instrument.

The analysis includes an assessment of collateral characteristics and performance to determine the expected collateral loss or a range of expected collateral losses or cash flows to the rated instruments. As a second step, Moody's estimates expected collateral losses or cash flows using a quantitative tool that takes into account credit enhancement, loss allocation and other structural features, to derive the expected loss for each rated instrument.

In rating this transaction, Moody's used a cash flow model to model cash flow stress scenarios to determine the extent to which investors would receive timely payments of interest and principal in the stress scenarios, given the transaction structure and collateral composition.

As the section on loss and cash flow analysis describes, Moody's quantitative analysis entails an evaluation of scenarios that stress factors contributing to sensitivity of ratings and take into account the likelihood of severe collateral losses or impaired cash flows. Moody's weights the impact on the rated instruments based on its assumptions of the likelihood of the events in such scenarios occurring.

For ratings issued on a program, series or category/class of debt, this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the rating action on the support provider and in relation to each particular rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this rating action, and whose ratings may change as a result of this rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.

Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating.

Samuel G Ukrainsky
Associate Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Bruce D. Fabrikant
Senior Vice President
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's downgrades $43.5 Million of Alt-A RMBS issued by miscellaneous issuers from 2002 through 2004
No Related Data.
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MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY100,000 to approximately JPY550,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

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