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FITCH ASSIGNS V-RATINGS TO $2.35 BILLION KIDDER CMO REMICS -- FITCH FINANCIAL WIRE --

 FITCH ASSIGNS V-RATINGS TO $2.35 BILLION KIDDER CMO REMICS
 -- FITCH FINANCIAL WIRE --
 NEW YORK, Sept. 14 /PRNewswire/ -- Fitch assigns V-Ratings to three CMO REMICs underwritten by Kidder, Peabody & Co. These deals have an original principal amount of $2.35 billion. The issues are FHLMC 1332, FNMA 1992-125, and FNMA 1992-G38. The V-Ratings of individual tranches in each of the deals are listed below. This raises the total number of rated deals to 461, encompassing 7177 tranches and over $207 billion in original principal.
 An interesting example of how Fitch's V-Ratings model captures relative volatility can be seen in tranche 'J' of FNMA 1992-125. While this PAC class has a shorter duration than similar successors, it exhibits more volatility due to its positioning within the deal's payment schedule. This can be attributed to the relative instability of its payment window when stressed by the Fitch interest rate scenarios. In contrast, the longer duration PAC's have greater effective structural protection to better endure the stress scenarios.
 Fitch V-Ratings offer a common, independent framework for evaluating CMO performance under twelve divergent interest rate scenarios. The ratings, scaled V1 through V5, provide a relative measure of each tranche's total return, price and cash flow variability given changing interest rates. Securities rated V1, V2, or V3 perform predictably over a range of interest rate scenarios and indicate low to moderate market volatility. Those securities rated V4 or V5 have the potential for greater market volatility and may perform less predictably under stressful interest rate scenarios.
 V-Ratings are available on Bloomberg by pressing "FVR" and "GO", Telerate beginning on page 26300 and Knight Ridder Money Center beginning on page 5300.
 FHLMC 1332
 A V1 B V1 BA V1 C V1 CA V1
 D V2 E V3 EA V1 F V3 FA V3
 G V4 H V4 I V4 J V4 KA V1
 KB V1 KC V1 KD V2 KE V3 L V3
 MA V2 MB V4 MC V4 MD V2 ME V2
 MF V3 N V4 O V2 OA V2 OB V4
 OC V2 OD V5 PA V2 PB V5 PC V2
 PD V5 Q V4 S V3 T V5 U V3
 V V5 W V2 X V4 Z V5 ZA V3
 R V5
 FNMA 92-125
 A V1 B V1 C V1 D V2 E V3
 G V3 H V3 J V4 K V3 L V3
 M V2 N V2 O V4 PP V2 F V3
 S V5 FA V2 SA V3 FB V2 SB V5
 FD V2 SD V4 FE V3 SE V5 FG V2
 SG V5 FH V2 SQ V4
 FNMA 92-G38
 A V3 AB V3 F V3 S V5 SA V5
 C V4 D V5 DA V4 E V4 VA V1
 VB V1 VC V1 VD V2 VE V3 GZ V5
 Z V5 IO V4
 -0- 9/14/92
 /CONTACT: Michael Salm, 212-908-0539, or Henry Wilson, 212-908-0617, both of Fitch/ CO: Kidder, Peabody & Co. ST: New York IN: FIN SU: RTG


KD -- NY083 -- 9341 09/14/92 17:39 EDT
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Copyright 1992 Gale, Cengage Learning. All rights reserved.

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Date:Sep 14, 1992
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