SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
------------------
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (date of earliest event reported)
JUNE 25, 1996
BEAR STEARNS MORTGAGE SECURITIES INC.
(Exact name of registrant as specified in charter)
DELAWARE 33-62710 13-3633241
--------------- ----------- ----------------
(State or other (Commission (IRS Employer
jurisdiction of File Number) Identification No.)
incorporation)
245 PARK AVENUE, NEW YORK, NEW YORK 10167
--------------------------------------- --------
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (212) 272-2000
-------------
NOT APPLICABLE
--------------------------------------------------------------
(Former name or former address, if changed since last report.)
<PAGE>
Item 5. OTHER EVENTS.
FILING OF COMPUTATIONAL MATERIALS.
This Current Report on Form 8-K is being filed to file a copy
of the Computational Materials (as defined below) of Bear Stearns & Co., Inc.
(an "Underwriter") in connection with the issuance of the Bear Stearns Mortgage
Securities Inc. Mortgage Pass Through Certificates Series 1996-3. The term
"Computational Materials" shall have the meaning given in the No-Action Letter
of May 20, 1994 issued by the Securities and Exchange Commission to Kidder,
Peabody Acceptance Corporation I, Kidder, Peabody & Co. Incorporated and Kidder
Structured Asset Corporation, as supplemented in the No-Action Letters of May
27, 1994 and February 17, 1995 issued by the SEC to the Public Securities
Association.
Item 7. FINANCIAL STATEMENTS, PRO FORMA FINANCIAL INFORMATION AND
EXHIBITS.
(c) Exhibits:
EXHIBIT NO.
99.1 Computational Materials of Bear,
Stearns & Co. Inc.
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act
of 1934, the registrant has duly caused this report to be signed on its behalf
by the undersigned thereunto duly authorized.
BEAR STEARNS MORTGAGE SECURITIES INC.
-------------------------------------
(Registrant)
Date: JUNE 25, 1996 By: /S/ JOSEPH T. JURKOWSKI, JR.
------------- ---------------------------
Name: Joseph T. Jurkowski, Jr.
Title: Vice President
<PAGE>
EXHIBIT INDEX
EXHIBIT NUMBER DESCRIPTION
- - -------------- ------------
99.1 Computational Materials of Bear, Stearns
& Co. Inc.
EXHIBIT 99.1
STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES AND OTHER INFORMATION
The information contained in the attached materials (the "Information") may
include various forms of performance analysis, security characteristics and
securities pricing estimates for the securities addressed. Please read and
understand this entire statement before utilizing the Information. Should you
receive information that refers to the "Statement Regarding Assumptions and
Other Information", please refer to this statement instead.
The Information is illustrative and is not intended to predict actual results
which may differ substantially from those reflected in the Information.
Performance analysis is based on certain assumptions with respect to significant
factors that may prove not to be assumed. You should understand the assumptions
and evaluate whether they are appropriate for your purposes. Performance results
are based on mathematical models that use inputs to calculate results. As
with all models, results may vary significantly depending upon the value of the
inputs given. Inputs to these models include but are not limited to prepayment
expectations (econometric prepayment models, single expected lifetime
prepayments or a vector of periodic prepayments), interest rate assumptions
(parallel and nonparallel changes for different maturity instruments),
collateral assumptions (actual pool level data, aggregated pool level data,
reported factors or imputed factors), volatility assumptions (historically
observed or implied current) and reported information (paydown factors, rate
resets and trustee statements). Models used in any analysis may be proprietary
making the results difficult for any third party to reproduce. Contact your
registered representative for detailed explanations of any modeling techniques
employed in the Information.
The Information addresses only certain aspects of the applicable security's
characteristics and thus does not provide a complete assessment. As such, the
Information may not reflect the impact of all structural characteristics of the
security, including call events and cash flow priorities at all prepayment
speeds and or interest rates. You should consider whether the behavior of these
securities should be tested at assumptions different from those included in the
Information. The assumptions underlying the Information, including structure and
collateral, may be modified from time to time to reflect changed circumstances.
Any investment decision should be based only on the data in the prospectus and
the prospectus supplement or private placement memorandum (Offering Documents)
and the then current version of the Information. Offering Documents contain data
that is current as of their publication dates and after publication may no
longer be complete or current. The Information is provided solely by Bear
Stearns, not as agent for any issuer, and although it may be based on data
supplied to it by an issuer, the issuer has not participated in its preparation
and makes no representations regarding its accuracy or completeness. Contact
your registered representative for Offering Documents, current Information or
additional materials, including other models for performance analysis, which are
likely to produce different results, and any further explanation regarding the
Information.
Any pricing estimates Bear Stearns has supplied at your request (a)
represent our view, at the time determined, of the investment value of the
securities between the estimated bid and offer levels, the spread between which
may be significant due to market volatility or illiquidity, (b) do not
constitute a bid by any person for any security, (c) may not constitute prices
at which the securities could have been purchased or sold in any market, (d)
have not been confirmed by actual trades, may vary from the value Bear Stearns
assigns any such security while in its inventory, and may not take into account
the size of a position you have in the security, and (e) may have been derived
from matrix pricing that uses data relating to other securities whose prices are
more readily ascertainable to produce a hypothetical price based on the
estimated yield spread relationship between the securities.
General Information: The data underlying the Information has been obtained
from sources that we believe are reliable, but we do not guarantee the accuracy
of the underlying data or computations based thereon. Bear Stearns and/or
individuals thereof may have positions in these securities while the Information
is circulating or during such period may engage in transactions with the issuer
or its affiliates. We act as principal in transactions with you, and
accordingly, you must determine the appropriateness for you of such transactions
and address any legal, tax or accounting considerations applicable to you. Bear
Stearns shall not be a fiduciary or advisor unless we have agreed in writing to
receive compensation specifically to act in such capacities. If you are subject
to ERISA, the Information is being furnished on the condition that it will not
form a primary basis for any investment decision. The Information is not a
solicitation of any transaction in securities which may be made only by
prospectus when required by law, in which event you may obtain such prospectus
from Bear Stearns.
<PAGE>
ICI696-FINAL Class A ( ) PLAIN VAN Pac Not Avail
Orig Bal 45,532,000 Fac 1.00000 Coup 6.820 Mat / /
Wac- 0.000 (0.000) WAM- / (-22758)
Price/Yield View Fact Thru 09/9999 Hist Coupons
Settle Date: 28-Jun-1996 Curve Date 24-Jun-1996 Tranche: A( )
- - ------------------------------------------------------------------------------
Price */v100 prepay losses
0.84 Avg. Life
07/96 1st Prin
12/97 Last Prin
- - -------- ------- ---------
99:30+ 6.400 Yield
0.79 Duration
99:31 6.380 Yield
0.79 Duration
99:31+ 6.360 Yield
0.79 Duration
100:0 6.340 Yield
0.79 Duration
100:0+ 6.321 Yield
0.79 Duration
100:1 6.301 Yield
0.79 Duration
This information should be considered only after reading Bear Stearns'
Statement Regarding Assumptions as to Securities, Pricing Estimates, and Other
Information ("the Statement"), which should be attached. Do not use or rely on
this information if you have not received and reviewed the Statement. You may
obtain a copy of the Statement from your sales representative.
<PAGE>
ICI696-FINAL Class B ( ) PLAIN VAN Pac Not Avail
Orig Bal 28,467,000 Fac 1.00000 Coup 7.240 Mat / /
Wac- 0.000 (0.000) WAM- / (-22758)
Price/Yield View Fact Thru 09/9999 Hist Coupons
Settle Date: 28-Jun-1996 Curve Date 24-Jun-1996 Tranche: B( )
- - ------------------------------------------------------------------------------
Price */v100 prepay losses
2.02 Avg. Life
12/97 1st Prin
12/98 Last Prin
- - -------- ------- ---------
99:23+ 7.230 Yield
1.81 Duration
99:27+ 7.162 Yield
1.81 Duration
99:31+ 7.093 Yield
1.81 Duration
100:3+ 7.025 Yield
1.81 Duration
100:7+ 6.956 Yield
1.82 Duration
100:11+ 6.888 Yield
1.82 Duration
This information should be considered only after reading Bear Stearns'
Statement Regarding Assumptions as to Securities, Pricing Estimates, and Other
Information ("the Statement"), which should be attached. Do not use or rely on
this information if you have not received and reviewed the Statement. You may
obtain a copy of the Statement from your sales representative.
<PAGE>
ICI696-FINAL Class B ( ) PLAIN VAN Pac Not Avail
Orig Bal 28,467,000 Fac 1.00000 Coup 7.240 Mat / /
Wac- 0.000 (0.000) WAM- / (-22758)
Price/Yield View Fact Thru 09/9999 Hist Coupons
Settle Date: 28-Jun-1996 Curve Date 24-Jun-1996 Tranche: B( )
- - ------------------------------------------------------------------------------
Price */v100 prepay losses
2.02 Avg. Life
12/97 1st Prin
12/98 Last Prin
- - -------- ------- ---------
99:3+ 7.576 Yield
1.81 Duration
99:7+ 7.506 Yield
1.81 Duration
99:11+ 7.437 Yield
1.81 Duration
99:15+ 7.368 Yield
1.81 Duration
99:19+ 7.299 Yield
1.81 Duration
This information should be considered only after reading Bear Stearns'
Statement Regarding Assumptions as to Securities, Pricing Estimates, and Other
Information ("the Statement"), which should be attached. Do not use or rely on
this information if you have not received and reviewed the Statement. You may
obtain a copy of the Statement from your sales representative.
<PAGE>
ICI696-FINAL Class C ( ) PLAIN VAN Pac Not Avail
Orig Bal 24,371,000 Fac 1.00000 Coup 7.390 Mat / /
Wac- 0.000 (0.000) WAM- / (-22758)
Price/Yield View Fact Thru 09/9999 Hist Coupons
Settle Date: 28-Jun-1996 Curve Date 24-Jun-1996 Tranche: C( )
- - ------------------------------------------------------------------------------
Price */v100 prepay losses
3.02 Avg. Life
12/98 1st Prin
01/00 Last Prin
- - -------- ------- ---------
99:23+ 7.418 Yield
2.62 Duration
99:27+ 7.370 Yield
2.62 Duration
99:31+ 7.323 Yield
2.62 Duration
100:3+ 7.275 Yield
2.62 Duration
100:7+ 7.228 Yield
2.62 Duration
This information should be considered only after reading Bear Stearns'
Statement Regarding Assumptions as to Securities, Pricing Estimates, and Other
Information ("the Statement"), which should be attached. Do not use or rely on
this information if you have not received and reviewed the Statement. You may
obtain a copy of the Statement from your sales representative.
<PAGE>
ICI696-FINAL Class D ( ) PLAIN VAN Pac Not Avail
Orig Bal 18,604,000 Fac 1.00000 Coup 7.550 Mat / /
Wac- 0.000 (0.000) WAM- / (-22758)
Price/Yield View Fact Thru 09/9999 Hist Coupons
Settle Date: 28-Jun-1996 Curve Date 24-Jun-1996 Tranche: D( )
- - ------------------------------------------------------------------------------
Price */v100 prepay losses
4.00 Avg. Life
01/00 1st Prin
12/00 Last Prin
- - -------- ------- ---------
99:22 7.613 Yield
3.34 Duration
99:26 7.575 Yield
3.34 Duration
99:30 7.538 Yield
3.34 Duration
100:2 7.501 Yield
3.34 Duration
100:6 7.463 Yield
3.34 Duration
This information should be considered only after reading Bear Stearns'
Statement Regarding Assumptions as to Securities, Pricing Estimates, and Other
Information ("the Statement"), which should be attached. Do not use or rely on
this information if you have not received and reviewed the Statement. You may
obtain a copy of the Statement from your sales representative.
<PAGE>
d.2
ICI696-FINAL Class D ( ) PLAIN VAN Pac Not Avail
Orig Bal 18,604,000 Fac 1.00000 Coup 7.550 Mat / /
Wac- 0.000 (0.000) WAM- / (-22758)
Price/Yield View Fact Thru 09/9999 Hist Coupons
Settle Date: 28-Jun-1996 Curve Date 24-Jun-1996 Tranche: D( )
- - ------------------------------------------------------------------------------
Price */v100 prepay losses
4.00 Avg. Life
01/00 1st Prin
12/00 Last Prin
- - -------- ------- ---------
99:4 7.781 Yield
3.33 Duration
99:8 7.744 Yield
3.33 Duration
99:12 7.706 Yield
3.33 Duration
99:16 7.669 Yield
3.33 Duration
99:20 7.631 Yield
3.33 Duration
This information should be considered only after reading Bear Stearns'
Statement Regarding Assumptions as to Securities, Pricing Estimates, and Other
Information ("the Statement"), which should be attached. Do not use or rely on
this information if you have not received and reviewed the Statement. You may
obtain a copy of the Statement from your sales representative.
<PAGE>
ICI696-FINAL Class H ( ) PLAIN VAN Pac Not Avail
Orig Bal 12,175,000 Fac 1.00000 Coup 7.750 Mat / /
Wac- 0.000 (0.000) WAM- / (-22758)
Price/Yield View Fact Thru 09/9999 Hist Coupons
Settle Date: 28-Jun-1996 Curve Date 24-Jun-1996 Tranche: H( )
- - ------------------------------------------------------------------------------
Price */v100 prepay losses
6.89 Avg. Life
09/02 1st Prin
03/04 Last Prin
- - -------- ------- ---------
98:5+ 8.133 Yield
5.13 Duration
98:9+ 8.108 Yield
5.14 Duration
98:13+ 8.083 Yield
5.14 Duration
98:17+ 8.059 Yield
5.14 Duration
98:21+ 8.034 Yield
5.14 Duration
This information should be considered only after reading Bear Stearns'
Statement Regarding Assumptions as to Securities, Pricing Estimates, and Other
Information ("the Statement"), which should be attached. Do not use or rely on
this information if you have not received and reviewed the Statement. You may
obtain a copy of the Statement from your sales representative.
<PAGE>
h.2
ICI696-FINAL Class H( ) PLAIN VAN Pac Not Avail
Orig Bal 12,175,000 Fac 1.00000 Coup 7.750 Mat / /
Wac- 0.000 (0.000) WAM- / (-22758)
Price/Yield View Fact Thru 09/9999 Hist Coupons
Settle Date: 28-Jun-1996 Curve Date 24-Jun-1996 Tranche: H( )
- - ------------------------------------------------------------------------------
Price */v100 prepay losses
6.89 Avg. Life
09/02 1st Prin
03/04 Last Prin
- - -------- ------- ---------
97:16+ 8.263 Yield
5.12 Duration
97:20+ 8.238 Yield
5.13 Duration
97:24+ 8.213 Yield
5.13 Duration
97:28+ 8.188 Yield
5.13 Duration
98:0+ 8.164 Yield
5.13 Duration
This information should be considered only after reading Bear Stearns'
Statement Regarding Assumptions as to Securities, Pricing Estimates, and Other
Information ("the Statement"), which should be attached. Do not use or rely on
this information if you have not received and reviewed the Statement. You may
obtain a copy of the Statement from your sales representative.
<PAGE>
ICI696-FINAL Class J( ) PLAIN VAN Pac Not Avail
Orig Bal 17,149,000 Fac 1.00000 Coup 7.750 Mat / /
Wac- 0.000 (0.000) WAM- / (-22758)
Price/Yield View Fact Thru 09/9999 Hist Coupons
Settle Date: 28-Jun-1996 Curve Date 24-Jun-1996 Tranche: J( )
- - ------------------------------------------------------------------------------
Price */v100 prepay losses
9.90 Avg. Life
03/04 1st Prin
06/09 Last Prin
- - -------- ------- ---------
97:9+ 8.210 Yield
6.59 Duration
97:13+ 8.191 Yield
6.59 Duration
97:17+ 8.172 Yield
6.59 Duration
97:21+ 8.152 Yield
6.60 Duration
97:25+ 8.133 Yield
6.60 Duration
This information should be considered only after reading Bear Stearns'
Statement Regarding Assumptions as to Securities, Pricing Estimates, and Other
Information ("the Statement"), which should be attached. Do not use or rely on
this information if you have not received and reviewed the Statement. You may
obtain a copy of the Statement from your sales representative.
<PAGE>
ICI696-FINAL Class J( ) PLAIN VAN Pac Not Avail
Orig Bal 17,149,000 Fac 1.00000 Coup 7.750 Mat / /
Wac- 0.000 (0.000) WAM- / (-22758)
Price/Yield View Fact Thru 09/9999 Hist Coupons
Settle Date: 28-Jun-1996 Curve Date 24-Jun-1996 Tranche: J( )
- - ------------------------------------------------------------------------------
Price */v100 prepay losses
9.90 Avg. Life
03/04 1st Prin
06/09 Last Prin
- - -------- ------- ---------
96:14+ 8.342 Yield
6.57 Duration
96:18+ 8.322 Yield
6.57 Duration
96:22+ 8.303 Yield
6.57 Duration
96:26+ 8.283 Yield
6.58 Duration
96:30+ 8.264 Yield
6.58 Duration
This information should be considered only after reading Bear Stearns'
Statement Regarding Assumptions as to Securities, Pricing Estimates, and Other
Information ("the Statement"), which should be attached. Do not use or rely on
this information if you have not received and reviewed the Statement. You may
obtain a copy of the Statement from your sales representative.
<PAGE>
ICI696-FINAL Class L( ) PLAIN VAN Pac Not Avail
Orig Bal 16,000,346 Fac 1.00000 Coup 7.750 Mat / /
Wac- 0.000 (0.000) WAM- / (-22758)
Price/Yield View Fact Thru 09/9999 Hist Coupons
Settle Date: 28-Jun-1996 Curve Date 24-Jun-1996 Tranche: L( )
- - ------------------------------------------------------------------------------
Price */v100 prepay losses
10.53 Avg. Life
06/01 1st Prin
03/26 Last Prin
- - -------- ------- ---------
98:19+ 8.009 Yield
6.62 Duration
98:23+ 7.989 Yield
6.62 Duration
98:27+ 7.970 Yield
6.62 Duration
98:31+ 7.952 Yield
6.63 Duration
99:3+ 7.933 Yield
6.63 Duration
This information should be considered only after reading Bear Stearns'
Statement Regarding Assumptions as to Securities, Pricing Estimates, and Other
Information ("the Statement"), which should be attached. Do not use or rely on
this information if you have not received and reviewed the Statement. You may
obtain a copy of the Statement from your sales representative.
<PAGE>
ICI696-FINAL Class L( ) PLAIN VAN Pac Not Avail
Orig Bal 16,000,346 Fac 1.00000 Coup 7.750 Mat / /
Wac- 0.000 (0.000) WAM- / (-22758)
Price/Yield View Fact Thru 09/9999 Hist Coupons
Settle Date: 28-Jun-1996 Curve Date 24-Jun-1996 Tranche: L( )
- - ------------------------------------------------------------------------------
Price */v100 prepay losses
10.53 Avg. Life
06/01 1st Prin
03/26 Last Prin
- - -------- ------- ---------
97:12 8.198 Yield
6.58 Duration
97:16 8.179 Yield
6.58 Duration
97:20 8.160 Yield
6.58 Duration
97:24 8.140 Yield
6.59 Duration
97:28 8.121 Yield
6.59 Duration
This information should be considered only after reading Bear Stearns'
Statement Regarding Assumptions as to Securities, Pricing Estimates, and Other
Information ("the Statement"), which should be attached. Do not use or rely on
this information if you have not received and reviewed the Statement. You may
obtain a copy of the Statement from your sales representative.
<PAGE>
ICI696-FINAL Class LA( ) PLAIN VAN Pac Not Avail
Orig Bal 2,500,000 Fac 1.00000 Coup 7.750 Mat / /
Wac- 0.000 (0.000) WAM- / (-22758)
Price/Yield View Fact Thru 09/9999 Hist Coupons
Settle Date: 28-Jun-1996 Curve Date 24-Jun-1996 Tranche: LA( )
- - ------------------------------------------------------------------------------
Price */v100 prepay losses
10.53 Avg. Life
06/01 1st Prin
03/26 Last Prin
- - -------- ------- ---------
96:24 8.296 Yield
6.56 Duration
96:28 8.276 Yield
6.56 Duration
97:0 8.257 Yield
6.56 Duration
97:4 8.237 Yield
6.57 Duration
97:8 8.218 Yield
6.57 Duration
This information should be considered only after reading Bear Stearns'
Statement Regarding Assumptions as to Securities, Pricing Estimates, and Other
Information ("the Statement"), which should be attached. Do not use or rely on
this information if you have not received and reviewed the Statement. You may
obtain a copy of the Statement from your sales representative.
<PAGE>
ICI696-FINAL Class M( ) PLAIN VAN Pac Not Avail
Orig Bal 9,256,000 Fac 1.00000 Coup 7.750 Mat / /
Wac- 0.000 (0.000) WAM- / (-22758)
Price/Yield View Fact Thru 09/9999 Hist Coupons
Settle Date: 28-Jun-1996 Curve Date 24-Jun-1996 Tranche: M( )
- - ------------------------------------------------------------------------------
Price */v100 prepay losses
17.35 Avg. Life
06/09 1st Prin
03/26 Last Prin
- - -------- ------- ---------
96:14+ 8.217 Yield
8.95 Duration
96:18+ 8.203 Yield
8.96 Duration
96:22+ 8.188 Yield
8.96 Duration
96:26+ 8.174 Yield
8.97 Duration
96:30+ 8.160 Yield
8.98 Duration
This information should be considered only after reading Bear Stearns'
Statement Regarding Assumptions as to Securities, Pricing Estimates, and Other
Information ("the Statement"), which should be attached. Do not use or rely on
this information if you have not received and reviewed the Statement. You may
obtain a copy of the Statement from your sales representative.
<PAGE>
ICI696-FINAL Class M( ) PLAIN VAN Pac Not Avail
Orig Bal 9,256,000 Fac 1.00000 Coup 7.750 Mat / /
Wac- 0.000 (0.000) WAM- / (-22758)
Price/Yield View Fact Thru 09/9999 Hist Coupons
Settle Date: 28-Jun-1996 Curve Date 24-Jun-1996 Tranche: M( )
- - ------------------------------------------------------------------------------
Price */v100 prepay losses
17.35 Avg. Life
06/09 1st Prin
03/26 Last Prin
- - -------- ------- ---------
95:20+ 8.311 Yield
8.91 Duration
95:24+ 8.297 Yield
8.92 Duration
95:28+ 8.282 Yield
8.93 Duration
96:0+ 8.268 Yield
8.93 Duration
96:4+ 8.253 Yield
8.94 Duration
This information should be considered only after reading Bear Stearns'
Statement Regarding Assumptions as to Securities, Pricing Estimates, and Other
Information ("the Statement"), which should be attached. Do not use or rely on
this information if you have not received and reviewed the Statement. You may
obtain a copy of the Statement from your sales representative.
<PAGE>
ICI696-FINAL Class M1( ) AA RATED SUB PLAIN VAN Pac Not Avail
Orig Bal 7,608,134 Fac 1.00000 Coup 7.750 Mat / /
Wac- 0.000 (0.000) WAM- / (-22758)
Price/Yield View Fact Thru 09/9999 Hist Coupons
Settle Date: 28-Jun-1996 Curve Date 24-Jun-1996 Tranche: M1( )
- - ------------------------------------------------------------------------------
Price */v100 prepay losses
11.07 Avg. Life
07/96 1st Prin
03/26 Last Prin
- - -------- ------- ---------
95:28+ 8.418 Yield
6.69 Duration
96:0+ 8.398 Yield
6.69 Duration
96:4+ 8.379 Yield
6.70 Duration
96:8+ 8.360 Yield
6.70 Duration
96:12+ 8.340 Yield
6.71 Duration
This information should be considered only after reading Bear Stearns'
Statement Regarding Assumptions as to Securities, Pricing Estimates, and Other
Information ("the Statement"), which should be attached. Do not use or rely on
this information if you have not received and reviewed the Statement. You may
obtain a copy of the Statement from your sales representative.
