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Rating Action:

Moody's takes action on $209.5 Million of Alt-A RMBS issued by SARM and SAMI from 2002 to 2004

01 Aug 2013

New York, August 01, 2013 -- Moody's Investors Service has confirmed the rating of one tranche and downgraded the ratings of 17 tranches from six transactions backed by Alt-A loans, issued by Structured Asset Mortgage Investments II Trusts and Structured Adjustable Rate Mortgage Loan Trust from 2002 to 2004.

Complete rating actions are as follows:

Issuer: Structured Adjustable Rate Mortgage Loan Trust 2004-3AC

Cl. A2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade

Issuer: Structured Asset Mortgage Investments II Trust 2004-AR2

Cl. I-A, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade

Issuer: Structured Asset Mortgage Investments II Trust 2004-AR3

Cl. I-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade

Cl. I-A-2, Confirmed at A2 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade

Cl. II-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade

Issuer: Structured Asset Mortgage Investments II Trust 2004-AR4

Cl. I-A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A1 (sf) Placed Under Review for Possible Downgrade

Cl. II-A-1, Downgraded to Baa3 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade

Cl. III-A-1, Downgraded to Baa3 (sf); previously on Jul 5, 2012 Downgraded to Baa1 (sf)

Cl. X, Downgraded to B2 (sf); previously on Jul 5, 2012 Confirmed at B1 (sf)

Cl. M, Downgraded to Caa1 (sf); previously on Jul 5, 2012 Downgraded to B3 (sf)

Issuer: Structured Asset Mortgage Investments II Trust 2004-AR8

Cl. A-1, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade

Cl. A-2A, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade

Cl. A-2B, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade

Cl. X-2, Downgraded to Baa1 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade

Issuer: Structured Asset Mortgage Investments Trust 2002-AR2

Cl. A-1, Downgraded to Baa3 (sf); previously on Jun 19, 2013 A2 (sf) Placed Under Review for Possible Downgrade

Cl. A-2, Downgraded to Baa3 (sf); previously on Jun 19, 2013 A3 (sf) Placed Under Review for Possible Downgrade

Cl. A-3, Downgraded to Caa1 (sf); previously on Jul 5, 2012 Downgraded to Ba3 (sf)

Cl. X, Downgraded to B1 (sf); previously on Jul 5, 2012 Downgraded to Ba2 (sf)

RATINGS RATIONALE

The actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectations on the pools. The downgrades reflect the exposure of the affected bonds to tail risk due to the pro-rata pay nature of the transaction. The ratings of these securities are being capped to A3 (sf) or below due to the tail risk.

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

The primary source of assumption uncertainty is the uncertainty in our central macroeconomic forecast and performance volatility due to servicer-related issues. The unemployment rate fell from 8.2% in June 2012 to 7.6% in June 2013. Moody's forecasts an unemployment central range of 7.0% to 8.0% for the 2013 year. Moody's expects house prices to continue to rise in 2013. 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_SF338044

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

Excel: http://www.moodys.com/research/Loss-Projections-on-Alt-A-and-Option-ARM-RMBS-Transactions--PBS_SF237256

For more information please see www.moodys.com.

REGULATORY DISCLOSURES

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.

In conducting surveillance of these credits, Moody's considered performance data contained in servicer and remittance reports. Moody's obtains servicer reports on these transactions on a periodic basis, at least annually.

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

Deepika Kothari
VP - Sr Credit Officer/Manager
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 takes action on $209.5 Million of Alt-A RMBS issued by SARM and SAMI from 2002 to 2004
No Related Data.
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