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BEAR STEARNS SECURED INVESTORS TRUST 1993-4 CMOS CL F-1 RATED 'AAA' BY FITCH -- FITCH FINANCIAL WIRE --

 NEW YORK, Aug. 31 /PRNewswire/ -- Bear Stearns Secured Investors Trust 1993-4 $211 million collateralized mortgage obligations, series 1993-4 class F-1, are rated 'AAA' by Fitch.
 The 'AAA' rating indicates Fitch's confidence that the class F-1 bonds will receive at least $211 million in cash by September 25, 2023. The rating does not address the principal or interest composition of payments to the F-1 bonds, only that the amounts above will be distributed by the date above.
 The bonds are supported by the aggregate cash flow from a portfolio of derivative mortgage-backed securities which will be deposited in a trust. The portfolio is composed of FNMA and FHLMC agency securities. The aggregate outstanding principal amount of these bonds is expected to be approximately $183,658,032. The 'AAA' rating on the bonds is based on the results of Fitch's cash flow analysis described below and reflects the high ratio (87 percent) of underlying aggregate principal to the size of the bonds.
 The rating of the class F-1 bonds is determined by analyzing the aggregate cash flow from the securities in the trust using a set of 13 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 to severe stress scenarios such as sustained instantaneous 300 basis point movements and whipsaw scenarios that fluctuate up and down 200 basis points.
 To determine a cash flow level of sufficient certainty to warrant a 'AAA' rating, Fitch performed a worst case analysis of the 13 scenarios described above. Fitch determined that the rated amount of $211 million could be paid under any one of the scenarios. The class F-1 bonds maintained sufficient cash flow levels under extremely stressful interest rate and prepayment assumptions, such as high levels for LIBOR and high mortgage prepayments.
 The securities underlying the trust are made up entirely of agency- backed CMO REMIC securities. These securities were originally issued by FHLMC and FNMA and as such are rated 'AAA'. The types of classes that make up the portfolio are stripped principal-only securities, planned amortization class (PAC) principal-only securities with and without effective prepayment bands, PAC IOettes (high coupon, small principal) without effective bands and inverse floating rate securities. The market risk of these securities, and their effects on the yield of the bonds, is dependent upon the rate of prepayment on the underlying mortgages and upon the level of LIBOR. Varying combinations of these factors will have differing effects on the performance of the securities, the most adverse effect being a high rate of mortgage prepayment combined with high LIBOR rates. Fitch's CMO Volatility analysis indicates that the class F- 1 bonds are sensitive to these factors. However, the V-Rating stress test indicates sufficient stability to meet the rated obligations.
 -0- 8/31/93
 /CONTACT: Brandon Einhorn of Fitch, 212-908-0672/
 (BSC)


CO: Bear Stearns Company ST: New York IN: FIN SU: RTG

LD -- NY065 -- 7678 08/31/93 17:30 EDT
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Publication:PR Newswire
Date:Aug 31, 1993
Words:581
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