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 NEW YORK, Aug. 2 /PRNewswire/ -- Fund America Investors Corp. II's $312 million mortgage pass-through certificates, series 1993-C, class F-1 and B are rated "AAA" by Fitch.
 The "AAA" rating indicates Fitch's confidence that the class F-1 certificates will receive at least $217 million in cash on or prior to July 29, 2023 and that the class B certificates will receive at least $95 million on or prior to April 29, 2030. The rating does not address the principal or interest composition of payments to the F-1 and B bonds; only that the above amounts will be distributed by the respective dates above.
 The certificates are supported by the aggregate cash flow from a portfolio of derivative mortgage-backed securities that will be deposited in a trust. The portfolio is composed of FNMA, FHLMC, GNMA securities, Resolution Funding Corp. (RFCO) principal-only stripped securities, whole loan CMOs, and class B certificates from SIST 1993- 1. The types of classes that make up the portfolio are: planned amortization class (PAC) bonds both with and without effective bands, PAC interest-only securities, PAC IOettes (high coupon, small principal) without effective bands, companion IOettes, interest-only strips, and inverse floating rate interest-only securities. The aggregate outstanding principal amount of these bonds is expected to be approximately $137.3 million.
 The "AAA" rating on the F-1 certificates is based on the results of Fitch's cash flow analysis described below and reflects the ratio (63.29 percent) of underlying aggregate principal to the size of the certificates. The "AAA" rating on the B certificates reflects the distribution of $95 million of RFCO principal-only stripped securities to these certificates.
 The ratings of the class F-1 certificates and the class B certificates are determined by analyzing the aggregate cash flow from the securities in the trust using a set of 12 interest rate movement scenarios. The scenarios were developed as part of Fitch's CMO Volatility Rating product (V-Ratings), which measures relative interest rate and prepayment risk of CMO tranches. The cash flow from each scenario indicates how the portfolio will perform in that particular interest rate and prepayment environment. The V-Rating analysis examines the certainty of cash flow regardless of its designation as principal or interest. Since actual interest rates and prepayment speeds rarely follow a single scenario, Fitch chose a wide range of scenarios to capture the varying degrees of risk inherent in the underlying securities.
 The Fitch scenarios range from moderate interest rate movements of 50 basis points (bps) to severe stress scenarios such as sustained instantaneous 300-bp movements and whipsaw scenarios that fluctuate up and down 200 bps.
 To determine a cash flow level of sufficient certainty to warrant a "AAA" rating, Fitch performed a worst-case analysis of the 12 scenarios described above. Fitch determined that the rated amount of $312 million could be paid under any one of the scenarios. The class F-1 and class B certificates maintained sufficient cash flow level under extremely stressful interest rate and prepayment assumptions, such as high levels for London Interbank Offered Rate (LIBOR) and Cost of Funds Index (COFI) and high mortgage prepayments.
 The market risk of these securities, and their effects on the yield of the certificates, depends on the rate of prepayment on the underlying mortgages, the level of LIBOR, and to a lesser extent that of COFI. Varying combinations of these factors will have differing effects on the performance of the securities. The most adverse being a high rate of mortgage prepayment combined with high LIBOR and COFI rates. Fitch's CMO Volatility analysis indicates that the class F-1 certificates are sensitive to these factors and the class B certificates are very sensitive to these factors. However, the V-Rating stress test indicates sufficient stability to meet the rated obligations.
 -0- 8/2/93
 /CONTACT: Jim Nadler, 212-908-0538; Glenn Costello, 212-908-0633; or Brandon Einhorn, 212-908-0672, all of Fitch/

CO: Fund America Investors Corp. II ST: IN: FIN SU: RTG

SH -- NY038 -- 8268 08/02/93 10:19 EDT
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Publication:PR Newswire
Date:Aug 2, 1993

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