<PAGE>
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UNITED STATES SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
X QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES
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EXCHANGE ACT OF 1934
FOR THE QUARTERLY PERIOD ENDED: JUNE 30, 1997
OR
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE
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SECURITIES EXCHANGE ACT OF 1934
FOR THE TRANSITION PERIOD FROM ____________ TO ______________
COMMISSION FILE NUMBER: 33-5539
CMC SECURITIES CORPORATION I
(Exact name of Registrant as specified in its Charter)
NEVADA 75-2449544
(State or other jurisdiction of (I.R.S. Employer
incorporation or organization) Identification No.)
2711 NORTH HASKELL, DALLAS, TEXAS 75204
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (214) 874-2323
The Registrant meets the conditions set forth in General Instruction H(1)(a) and
(b) for Form 10-Q and is therefore filing this Form under the reduced disclosure
format.
Indicate by check mark whether the Registrant (1) has filed all documents and
reports required to be filed by Section 13 or 15(d) of the Securities Exchange
Act of 1934 during the preceding 12 months (or for such shorter period that the
Registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days. YES [X] NO
--- ---
APPLICABLE ONLY TO CORPORATE ISSUERS:
Indicate the number of shares outstanding of each of the issuer's classes of
common stock, as of the last practicable date.
Common Stock ($1.00 par value) 10,000 as of August 1, 1997
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CMC SECURITIES CORPORATION I
FORM 10-Q
FOR THE QUARTER ENDED JUNE 30, 1997
INDEX
PAGE
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PART I. -- FINANCIAL INFORMATION
ITEM 1. Financial Statements
Balance Sheet -- June 30, 1997 and December 31, 1996................ 1
Statement of Operations -- Quarter and Six Months Ended
June 30, 1997 and 1996............................................ 2
Statement of Cash Flows -- Six Months Ended June 30, 1997 and 1996.. 3
Notes to Financial Statements...................................... 4
ITEM 2. Management's Discussion and Analysis of
Financial Condition and Results of Operations............... 6
PART II. -- OTHER INFORMATION
ITEM 6. Exhibits and Reports on Form 8-K............................ 6
SIGNATURES.......................................................... 7
<PAGE>
PART I. -- FINANCIAL INFORMATION
CMC SECURITIES CORPORATION I
BALANCE SHEET
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
ITEM 1. FINANCIAL STATEMENTS
<TABLE>
<CAPTION>
JUNE 30, 1997 DECEMBER 31, 1996
-------------- ------------------
(UNAUDITED)
<S> <C> <C>
ASSETS
Mortgage securities collateral $609,269 $647,407
Cash and cash equivalents 1 1
-------- --------
$609,270 $647,408
======== ========
LIABILITIES
Collateralized mortgage securities $609,269 $647,407
Accrued expenses 35 30
-------- --------
609,304 647,437
-------- --------
STOCKHOLDER'S EQUITY
Common stock - $1 par value,
10,000 shares authorized,
issued and outstanding 10 10
Paid-in capital 81 72
Accumulated deficit (125) (111)
-------- --------
(34) (29)
-------- --------
$609,270 $647,408
======== ========
</TABLE>
See accompanying notes to financial statements.
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<PAGE>
CMC SECURITIES CORPORATION I
STATEMENT OF OPERATIONS
(UNAUDITED)
(IN THOUSANDS)
<TABLE>
<CAPTION>
QUARTER ENDED SIX MONTHS ENDED
JUNE 30 JUNE 30
------------------ ------------------
1997 1996 1997 1996
-------- -------- -------- --------
<S> <C> <C> <C> <C>
Interest income on mortgage
securities collateral $11,555 $12,949 $23,450 $26,390
Interest expense on collateralized
mortgage securities 11,181 12,534 22,700 25,547
------- ------- ------- -------
Net interest income 374 415 750 843
------- ------- ------- -------
Other expenses:
Management fees 2 2 5 5
Professional fees and other 9 2 9 9
Pool insurance 374 415 750 843
------- ------- ------- -------
Total other expenses 385 419 764 857
------- ------- ------- -------
Net loss $ (11) $ (4) $ (14) $ (14)
======= ======= ======= =======
</TABLE>
See accompanying notes to financial statements.
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<PAGE>
CMC SECURITIES CORPORATION I
STATEMENT OF CASH FLOWS
(UNAUDITED)
(IN THOUSANDS)
<TABLE>
<CAPTION>
SIX MONTHS ENDED JUNE 30
--------------------------
1997 1996
------------ ------------
<S> <C> <C>
OPERATING ACTIVITIES:
Net loss $ (14) $ (14)
Noncash item - amortization of
discount and premium (18) (18)
Net change in other assets and
accrued expenses 5 5
-------- --------
Net cash used by
operating activities (27) (27)
-------- --------
INVESTING ACTIVITIES:
Mortgage securities collateral:
Principal collections on collateral 37,763 40,178
Decrease in accrued interest receivable 232 250
Decrease in short-term investments 3 3
-------- --------
Net cash provided by
investing activities 37,998 40,431
-------- --------
FINANCING ACTIVITIES:
Collateralized mortgage securities:
Principal payments on securities (37,763) (40,178)
Decrease in accrued interest payable (217) (235)
Capital contributions 9 9
-------- --------
Net cash used by financing
activities (37,971) (40,404)
-------- --------
Net change in cash and cash equivalents - -
Cash and cash equivalents at beginning
of period 1 1
-------- --------
Cash and cash equivalents at end of
period $ 1 $ 1
======== ========
</TABLE>
See accompanying notes to financial statements.
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<PAGE>
CMC SECURITIES CORPORATION I
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1997
(UNAUDITED)
NOTE A -- BASIS OF PRESENTATION
The accompanying unaudited financial statements have been prepared in accordance
with generally accepted accounting principles for interim financial information
and with the instructions to Form 10-Q and Rule 10-01 of Regulation S-X.
Accordingly, they do not include all of the information and footnotes required
by generally accepted accounting principles for complete financial statements.
In the opinion of management, all adjustments (consisting of normal recurring
accruals) considered necessary for a fair presentation have been included.
Operating results for the quarter and six months ended June 30, 1997 are not
necessarily indicative of the results that may be expected for the calendar year
ending December 31, 1997. For further information refer to the financial
statements and footnotes thereto included in the CMC Securities Corporation I
annual report on Form 10-K for the period ended December 31, 1996.
NOTE B -- DISCLOSURES EGARDING FAIR VALUES OF MORTGAGE SECURITIES COLLATERAL
The estimated fair values of mortgage securities collateral have been determined
by using available market information and appropriate valuation methodologies;
however, considerable judgment is required in interpreting market data to
develop these estimates. In addition, fair values fluctuate on a daily basis.
Accordingly, the estimates presented herein are not necessarily indicative of
the amounts that could be realized in a current market exchange. The use of
different market assumptions and/or estimation methodologies may have a material
effect on the estimated fair value amounts.
The fair values of mortgage securities collateral were estimated using quoted
market prices, when available, including quotes made by Capstead Mortgage
Corporation's lenders in connection with designating collateral for repurchase
arrangements.
The following table summarizes the fair values of mortgage securities collateral
(in thousands):
<TABLE>
<CAPTION>
JUNE 30, 1997 DECEMBER 31, 1996
-------------- ------------------
<S> <C> <C>
Carrying amount $609,269 $647,407
Unrealized gains 9,505 5,620
Unrealized losses (2,930) (7,865)
-------- --------
Fair value $615,844 $645,162
======== ========
</TABLE>
All mortgage securities collateral is held-to-maturity. The maturity of
mortgage securities collateral is directly affected by the rate of principal
prepayments by mortgagors. In addition, upon the redemption of remaining bonds
outstanding pursuant to clean-up calls, released collateral may be sold. Such
sales are deemed maturities under the provisions of Statement of Financial
Accounting Standards No. 115. No such redemptions occurred during the six
months ended June 30, 1997 or 1996.
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<PAGE>
NOTE C -- NET INTEREST INCOME ANALYSIS
The following table summarizes interest income and interest expense and the
average effective interest rates for the periods indicated (dollars in
thousands):
<TABLE>
<CAPTION>
QUARTER ENDED JUNE 30
-------------------------------------
1997 1996
----------------- ------------------
AVERAGE AVERAGE
AMOUNT RATE AMOUNT RATE
-------- ------- ------- -------
<S> <C> <C> <C> <C>
Interest income on mortgage
securities collateral $11,555 7.52% $12,949 7.56%
Interest expense on
collateralized mortgage securities 11,181 7.28 12,534 7.32
------- -------
Net interest income $ 374 $ 415
======= =======
SIX MONTHS ENDED JUNE 30
-------------------------------------
1997 1996
----------------- ------------------
AVERAGE AVERAGE
AMOUNT RATE AMOUNT RATE
-------- ------- ------- -------
Interest income on mortgage
securities collateral $23,450 7.51% $26,390 7.58%
Interest expense on
collateralized mortgage securities 22,700 7.27 25,547 7.34
------- -------
Net interest income $ 750 $ 843
======= =======
</TABLE>
The following table summarizes changes in interest income and interest expense
due to changes in interest rates, versus changes in volume for the quarter and
six months ended June 30, 1997, compared to the same periods in 1996 (in
thousands):
<TABLE>
<CAPTION>
QUARTER ENDED JUNE 30, 1997
------------------------------
RATE* VOLUME* TOTAL
------- --------- ---------
<S> <C> <C> <C>
Interest income on mortgage securities
collateral $ (67) $(1,327) $(1,394)
Interest expense on collateralized
mortgage securities (68) (1,285) (1,353)
----- ------- -------
$ 1 $ (42) $ (41)
===== ======= =======
SIX MONTHS ENDED JUNE 30, 1997
------------------------------
RATE* VOLUME* TOTAL
----- ------- -------
Interest income on mortgage securities
collateral $(252) $(2,688) $(2,940)
Interest expense on collateralized
mortgage securities (245) (2,602) (2,847)
----- ------- -------
$ (7) $ (86) $ (93)
===== ======= =======
</TABLE>
* THE CHANGE IN INTEREST DUE TO BOTH VOLUME AND RATE HAS BEEN ALLOCATED
TO VOLUME AND RATE CHANGES IN PROPORTION TO THE RELATIONSHIP OF THE
ABSOLUTE DOLLAR AMOUNTS OF THE CHANGE IN EACH.
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<PAGE>
ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS
OF OPERATIONS
FINANCIAL CONDITION AND RESULTS OF OPERATIONS
- ---------------------------------------------
CMC Securities Corporation I (the "Company"), was incorporated in Nevada on May
7, 1986 as a special-purpose finance corporation and is a wholly-owned
subsidiary of Capstead Mortgage Corporation ("CMC").
Since inception the Company has issued approximately $1.7 billion of
collateralized mortgage obligations ("CMOs"). The Company has not retained any
investment in the CMOs issued; therefore, no related economic benefit will be
received and no related net income or loss will be recognized. However, in
instances where an affiliate retained investments in these CMOs, the issuances
were accounted for as financings, and accordingly, the collateral and bonds are
reflected on the Company's balance sheet. The Company has not issued any CMOs
during 1997.
The Company's net losses are due to operational costs incurred (management and
professional fees).
LIQUIDITY AND CAPITAL RESOURCES
- -------------------------------
All ongoing CMO expenses of the Company are paid out of the excess cash flows on
the CMOs issued before the residual holders receive their residual interest.
The Company believes that the excess cash flows will be sufficient to pay
ongoing CMO expenses. Cash flow requirements due to ongoing operational costs
are funded by CMC.
PART II. -- OTHER INFORMATION
ITEM 6. EXHIBITS AND REPORTS ON FORM 8-K:
(a) Exhibits:
Exhibit 27 Financial Data Schedule (electronic filing only).
(b) Reports on Form 8-K: None.
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<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.
CMC SECURITIES CORPORATION I
Date: August 1, 1997 By:/s/ RONN K. LYTLE
------------------------------------
Ronn K. Lytle
Chairman and Chief Executive Officer
Date: August 1, 1997 By:/s/ ANDREW F. JACOBS
------------------------------------
Andrew F. Jacobs
Senior Vice President - Control
and Treasurer
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<TABLE> <S> <C>
<PAGE>
<ARTICLE> 5
<LEGEND>
THIS SCHEDULE CONTAINS SUMMARY FINANCIAL INFORMATION EXTRACTED FROM CMC
SECURITIES CORPORATION I'S QUARTERLY REPORT ON FORM 10-Q FOR THE QUARTER ENDED
JUNE 30, 1997 AND IS QUALIFIED IN ITS ENTIRETY BY REFERENCE TO SUCH FINANCIAL
STATEMENTS.
</LEGEND>
<MULTIPLIER> 1,000
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1997
<PERIOD-START> JAN-01-1997
<PERIOD-END> JUN-30-1997
<CASH> 1
<SECURITIES> 0
<RECEIVABLES> 0
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 609,270
<CURRENT-LIABILITIES> 35
<BONDS> 609,269
0
0
<COMMON> 10
<OTHER-SE> (44)
<TOTAL-LIABILITY-AND-EQUITY> 609,270
<SALES> 0
<TOTAL-REVENUES> 23,450
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 764
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 22,700
<INCOME-PRETAX> (14)
<INCOME-TAX> 0
<INCOME-CONTINUING> (14)
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (14)
<EPS-PRIMARY> 0
<EPS-DILUTED> 0
</TABLE>
