A notable difference between the H-2 and H-infinity smoothing is that the achievable performance in the latter problem might "saturate" as the function of the smoothing lag in the sense that there might exist a finite smoothing lag for which the achievable performance level is the same as for the infinite smoothing lag. In this note, necessary and sufficient conditions under which such a saturation occurs are derived. In particular, it is shown that the H-infinity performance saturates only if the H-infinity norm of the optimal error system is achieved at the infinite frequency, i.e., if the worst case disturbance for the infinite smoothing lag case can be arbitrarily fast and thus in a sense unpredictable.