6
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
(Mark one)
[x] QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended August 31, 1995
or
[ ] TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from ____ to ____
Commission File Number: 33-31337
STRUCTURED ASSET SECURITIES CORPORATION
(Exact name of registrant as specified in its charter)
Delaware 74-
2440850
(State or other jurisdiction of
(I.R.S. Employer
incorporation or organization)
Identification No.)
200 Vesey Street, 20th Floor, New York, NY
10285
(Address of principal executive offices)
(Zip Code)
212-526-5594
(Registrant's telephone number, including area code)
Indicate by check mark whether the Registrant (1) has filed
all 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 ___
Registrant had 1,000 shares of common stock outstanding (all
owned indirectly by Lehman Brothers Holdings Inc.) as of
October 1, 1995.
THE REGISTRANT MEETS THE CONDITIONS SET FORTH IN GENERAL
INSTRUCTION H(1)(a) AND (b) OF FORM 10-Q AND THEREFORE IS
FILING THIS FORM WITH THE REDUCED DISCLOSURE FORMAT
CONTEMPLATED THEREBY.
INDEX
STRUCTURED ASSET SECURITIES CORPORATION
Cover
Index
Page
PART I FINANCIAL INFORMATION
Item 1 - Financial Statements
2 - 10
Item 2 - Management's Discussion and Analysis
of
Financial Condition and Liquidity and
Capital
Resources and Results of Operations
11 - 12
PART II OTHER INFORMATION
Item 1 - Legal Proceedings
13
Item 2 - Changes in Securities
13
Item 3 - Defaults Upon Senior Securities
13
Item 4 - Submission of Matters to a Vote of
Security Holders
13
Item 5 - Other Information
13
Item 6 - Exhibits and Reports on Form 8-K
13
SIGNATURES
14
PART I - FINANCIAL INFORMATION
ITEM I - FINANCIAL STATEMENTS
STRUCTURED ASSET SECURITIES CORPORATION
INDEX to FINANCIAL STATEMENTS
__________
Statements of Operations for the three months
ended August 31, 1995 and 1994
3
Statements of Operations for the nine months ended
August 31, 1995 and eight months ended
August 31, 1994
4
Statements of Financial Condition as of
August 31, 1995 and November 30, 1994
5
Statements of Cash Flows for the nine months ended
August 31, 1995 and eight months ended
August 31, 1994
6
Notes to Financial Statements
7 - 10
STRUCTURED ASSET SECURITIES CORPORATION
STATEMENTS of OPERATIONS
(Unaudited)
Three months ended
August 31, August 31,
1995 1994
Revenues:
Trading $ 4,2 $ 3,
53,378 159,444
Interest 1,553,879 1,047,054
5,807,257 4,206,498
Expenses:
Compensation 7,500 7,500
General and administrative 1,453,666 1,054,753
1,461,166 1,062,253
Income before income taxes 4,346,091 3,144,245
Income tax provision 2,001,374 1,447,925
Net income $ 2, $ 1,6
344,717 96,320
See notes to financial statements.
STRUCTURED ASSET SECURITIES CORPORATION
STATEMENTS of OPERATIONS
(Unaudited)
Nine Eight
Months Months
ended ended
August 31, August 31,
1995 1994
Revenues:
Trading $ 9,79 $ 8,29
3,713 3,264
Interest 6,136,687 4,830,503
15,930,400 13,123,767
Expenses:
Compensation 22,500 20,000
General and administrative 3,992,010 3,289,398
4,014,510 3,309,398
Income before income taxes 11,915,890 9,814,369
Income tax provision 5,487,266 4,519,517
Net income $ 6, $ 5,2
428,624 94,852
See notes to financial statements.
STRUCTURED ASSET SECURITIES CORPORATION
STATEMENTS of FINANCIAL CONDITION
ASSETS
August 31, November
1995 30, 1994
(Unaudited
)
Cash $ 58 $
9,843 111,735
Financial instruments owned, at 151,529,76 12,472,042
fair value 4
Receivables from brokers, dealers
and 569,551 785,775
financial institutions
Receivables from affiliates 103,563 1,029,768
Due from others 1,775,983 1,730,031
Investment in collateralized 170 170
mortgage obligation trusts
Deferred registration costs, net
of
accumulated amortization of 1,708,569 2,052,855
$958,529
and $580,145 in 1995 and 1994,
respectively
$ 156, $ 18
277,443 ,182,376
LIABILITIES and STOCKHOLDER'S EQUITY
Liabilities:
Issuance expenses payable $ $
210,653 421,027
Payables to brokers, dealers
and 966,972 337,999
financial institutions
Payables to affiliates 677,640 12,198
Income taxes payable to - 8,416,262
affiliate
Other liabilities and accrued 2
expenses - 5,401
Total 1,855, 9,212
liabilities 265 ,887
Stockholder's equity:
Common stock, $1 par value;
1,000 shares 1,000 1,000
authorized, issued and
outstanding
Additional paid-in capital 140,962,93 1,938,870
5
Retained earnings 13,45 7,029
8,243 ,619
Total 154,422,1 8,969,
stockholder's equity 78 489
$ 156, $ 18
277,443 ,182,376
See notes to financial statements.
STRUCTURED ASSET SECURITIES CORPORATION
STATEMENTS of CASH FLOWS
(Unaudited)
Nine Eight
Months Months
ended ended
May 31, August 31,
1995 1994
Cash flows from operating
activities:
Net income $ 6,42 $ 5,294,
8,624 852
Adjustments to reconcile net
income to net cash
provided by (used in) operating
activities:
Amortization 378,384 106,655
Effect of changes in operating
assets and liabilities:
Financial instruments owned, (139,057, 69,328,36
at fair value 722) 6
Receivables from brokers,
dealers and financial 216,224 748,917
institutions
Receivables from affiliates 926,205 (121,795)
Due from others (45,952) -
Deferred registration costs (34,098) -
Issuance expenses payable (210,374) 1,062,876
Payables to brokers, dealers 628,973 134,720
and financial institutions
Payables to affiliates 665,442 9,691
Income taxes payable to (8,416,26 4,905,797
affiliate 2)
Other liabilities and accrued (25,401) (53,027)
expenses
Total adjustments (144,974, 76,122,20
581) 0
Net cash provided by (138,545, 81,417,05
(used in) operating activities 957) 2
Cash flows from financing
activities:
Capital contributions by parent 214,046,0 8,638,381
82
Capital distributions to parent (75,022,0 (89,870,2
17) 10)
Cash provided by (used 139,024,0 (81,231,8
in) financing activities 65 29)
Net increase in cash 478,108 185,223
Cash at the beginning of the period 111,735 3,060
Cash at the end of the $ 589, $ 1
period 843 88,283
See notes to financial statements.
1. Organization:
Structured Asset Securities Corporation (the "Company") is a
limited-purpose finance corporation. All of the outstanding
capital stock is owned by Lehman Commercial Paper Inc.
("LCPI"), an indirect wholly owned subsidiary of Lehman
Brothers Holdings Inc. ("Holdings").
The Company's activities consist of the issuance and sale of
debt securities (the "Bonds") collateralized by mortgages
and/or mortgage-backed securities or serving as the depositor
for one or more trusts (the "Trust(s)") which will issue Pass-
through Certificates, representing an undivided interest in
such mortgage collateral.
The Company has filed registration statements on Form S-3 with
the Securities and Exchange Commission (the "Commission")
which permit the Company to issue, from time to time, Bonds
and Pass-through Certificates in principal amount not to
exceed $5.7 billion. The Company has also filed registration
statements on Form S-3 for the issuance of $6 billion
principal amount of Bonds. During the nine months ended
August 31, 1995 the Company issued Structured Asset Securities
Corporation Multiclass Pass-through Certificates, Series 1995-
C1 totaling approximately $394.3 million principal amount,
Structured Asset Securities Corporation Multiclass Pass-
through Certificates, Series 1995-3 totaling approximately
$99.5 million principal amount, Structured Asset Securities
Corporation Mortgage Pass-through Certificates, Series 1995-1
totaling approximately $73.2 million principal amount,
Structured Asset Securities Corporation Multiclass Pass-
Through Certificates, Series 1995-C3 totaling approximately
$322.8 million principal amount, Structured Asset Securities
Corporation Mortgage Pass-Through Certificates, Series 1995-2,
Group II, totaling approximately $74.1 million principal
amount, and Structured Asset Securities Corporation Mortgage
Pass-Through Certificates, Series 1995-2, Group I, totaling
approximately $174.2 million principal amount. As of August
31, 1995, approximately $5.4 billion was available for
issuance under the registration statements referred to above.
The Company has issued Bonds and acted as depositor for
various Trusts which have issued Pass-through Certificates
collateralized by mortgages and/or mortgage securities. The
Company has surrendered to the Trusts all future economic
interests in the Bonds, Pass-through Certificates and related
collateral. According to the terms of the various Trust
agreements, the security holders can look only to the related
collateral for repayment of both principal and interest. In
accordance with generally accepted accounting principles, the
Bonds, Pass-through Certificates, and related collateral have
been removed from the accompanying Statements of Financial
Condition.
During the nine months ended August 31, 1995, LCPI contributed
$214 million in capital to the Company, and the Company made
capital distributions to LCPI of $75 million.
2. Summary of Significant Accounting Policies:
Deferred registration costs:
Deferred registration costs relate to filing fees and other
related costs paid by the Company in connection with filings
for the registration of the securities which were or are to be
issued by the Company. These costs are deferred in
anticipation of future revenues upon the issuance of
securities from the respective shelf that has been
established. Amortization of the costs is based upon the
percentage of issued securities to the respective shelf from
which the securities are issued and is included as a component
of net trading revenue in the accompanying Statements of
Operations.
Financial instruments owned, at fair value:
Financial instruments owned principally represent subordinated
interests in pools of mortgage loans. Financial instruments
owned are valued at market or fair value, as appropriate, with
the related profit (loss) recorded in the Statements of
Operations. Market value is generally based on listed market
prices. If listed market prices are not available, fair value
is determined based on other relevant factors, including
broker or dealer price quotations, and valuation pricing
models which take into account time value and volatility
factors underlying the financial instruments.
All securities transactions are recorded in the accompanying
financial statements on a trade date basis.
Income taxes:
The Company is included in the consolidated U.S. federal
income tax return of Holdings and in combined state and local
returns with other affiliates of Holdings. The Company
computes its income tax provision on a separate return basis
in accordance with the terms of a tax allocation agreement
between Holdings and its subsidiaries. The income tax
provision is greater than that calculated by applying the
statutory federal income tax rate principally due to state and
local taxes.
3. Investment in Collateralized Mortgage Obligation Trusts:
The investment consists of seventeen $10 deposits made with an
owner trustee to establish the Trusts pursuant to deposit
trust agreements.
4. Related Party Transactions:
In connection with the Company's activities, mortgage
collateral is purchased from and recorded at an affiliate's
carrying value, which for such broker/dealer affiliates
represents market value.
Certain directors and officers of the Company are also
directors and officers of Lehman Brothers Inc., LCPI and/or
other affiliates of the Company.
4. Related Party Transactions (continued):
Pursuant to a management agreement (the "Agreement"), the
Company is charged a management fee for various services
rendered on its behalf by LCPI. The Agreement provides for an
allocation of costs based upon the level of activity processed
by LCPI on behalf of the Company. Management fees of
$3,992,010 for the nine months ended August 31, 1995, and
$3,289,234 for the eight months ended August 31, 1994 are
included in general and administrative expenses in the
accompanying Statements of Operations. The Agreement is
renewable each year unless expressly terminated or
renegotiated by the parties.
Compensation expense represents amounts allocated to the
Company by LCPI for compensation paid to certain common
officers and directors of the Company.
Income taxes of $13,903,528 were paid by the Company to LCPI
in accordance with the terms of the Company's tax allocation
agreement during the nine months ended August 31, 1995.
The Company believes that amounts arising through related
party transactions, including the fees referred to above, are
reasonable and approximate the amounts that would have been
recorded if the Company operated as an unaffiliated entity.
5. Financial Instruments with Off-Balance Sheet Risk and
Concentration of Credit Risk:
Certain of the Company's activities are principally conducted
with financial institutions. At August 31, 1995, the Company
had no material individual counterparty concentration of
credit risk, or any financial instruments with off-balance
sheet risk.
6. Fair Value of Financial Instruments:
Statement of Financial Accounting Standards (SFAS) No. 107,
"Disclosures About Fair Value of Financial Instruments",
requires disclosure of the fair values of most on- and off-
balance sheet financial instruments, for which it is
practicable to estimate that fair value. The scope of SFAS
No. 107 excludes certain financial instruments, such as trade
receivables and payables when the carrying value approximates
the fair value, employee benefit obligations and all non-
financial instruments, such as fixed assets. The fair value
of the Company's assets and liabilities which qualify as
financial instruments under SFAS No. 107 approximate the
carrying amounts presented in the Statements of Financial
Condition.
7. Change of Fiscal Year End
During 1994, the Company changed its year-end from December 31
to November 30. Such a change to a non-calendar cycle shifts
certain year-end administrative activities to a time period
that conflicts less with the business needs of Holdings'
institutional customers. In conjunction with the
7. Change of Fiscal Year End (continued)
decision to change its year-end, the Company is reporting its
third quarter 1994 results on the basis of its new fiscal
year.
PART I - FINANCIAL INFORMATION, continued
Item 2 Management's Discussion and Analysis of Financial
Condition and Liquidity and Capital Resources and Results of
Operations
Set forth below is management's discussion and analysis of
financial condition and liquidity and capital resources and
results of operations for the nine months and quarter ended
August 31, 1995 and eight months and quarter ended August 31,
1994.
Financial Condition and Liquidity and Capital Resources
The Company's assets increased from $18.2 million at November
30, 1994 to $156.3 million at August 31, 1995 primarily
related to the increase in financial instruments owned.
Financial instruments owned represent the portion of issued
securities retained by the Company and are carried at market
or fair value, as appropriate.
Stockholder's equity increased from $9.0 million at November
30, 1994 to $154.4 million at August 31, 1995 as a result of
capital contributions from LCPI and income earned during the
nine months ended August 31, 1995. Capital contributions from
LCPI are made to fund securities retained by the Company from
new issuances. The Company continually monitors its capital
position and makes capital distributions to LCPI as excess
funds are realized from securities related transactions.
Operating Results
During the nine months ended August 31, 1995, the Company
issued Structured Asset Securities Corporation Multiclass Pass-
through Certificates, Series 1995-C1 totaling approximately
$394.3 million principal amount, Structured Asset Securities
Corporation Multiclass Pass-through Certificates, Series 1995-
3 totaling approximately $99.5 million principal amount,
Structured Asset Securities Corporation Mortgage Pass-through
Certificates, Series 1995-1 totaling approximately $73.2
million principal amount, Structured Asset Securities
Corporation Multiclass Pass-Through Certificates, Series 1995-
C3 totaling approximately $322.8 million principal amount,
Structured Asset Securities Corporation Mortgage Pass-Through
Certificates, Series 1995-2, Group II, totaling approximately
$74.1 million principal amount, and Structured Asset
Securities Corporation Mortgage Pass-Through Certificates,
Series 1995-2, Group I, totaling approximately $174.2 million
principal amount. During the eight months ended August 31,
1994 the Company issued Structured Asset Securities
Corporation Multiclass Pass-through Certificates, Series 1994-
C1 totaling approximately $421.9 million principal amount, of
which approximately $333.3 million principal amount were
offered pursuant to one of the Company's public registration
statements and $88.6 million principal amount were offered in
a private placement or retained by the Company.
Trading gains totaled $9,793,713 and $4,253,378 for the nine
months and quarter ended August 31, 1995, attributable to the
issuance and sale of securities and valuing financial
instruments owned at market or fair value. Trading gains
totaled $8,293,264 and $3,159,444 for the eight
PART I - FINANCIAL INFORMATION, continued
Item 2 Management's Discussion and Analysis of Financial
Condition and Liquidity and Capital Resources and Results of
Operations
months and quarter ended August 31, 1994, attributable
principally to the issuance and sale of securities and valuing
financial instruments owned at market or fair value.
Interest income increased from $4,830,503 during the eight
months ended August 31, 1994 to $6,136,687 during the nine
months ended August 31, 1995 and increased from $1,047,054
during the quarter ended August 31, 1994 to $1,553,879 during
the quarter ended August 31, 1995. The increases were
principally due to an increase in interest earning securities
owned. Management fees totaled $3,289,234 and $1,054,753
during the eight months and quarter ended August 31, 1994
compared to $3,992,010 and $1,453,666 during the nine months
and quarter ended August 31, 1995. Management fees reflect
the level of operating activities of the Company. Management
fees are included in general and administrative expenses in
the accompanying Statements of Operations.
PART II - OTHER INFORMATION
The following items have been omitted as inapplicable
or not required under general instruction H(2)(a) and
(b) of Form 10-Q:
Item 1 - Legal Proceedings
Item 2 - Changes in Securities
Item 3 - Defaults Upon Senior Securities
Item 4 - Submission of Matters to a Vote of
Security Holders
Item 5 - Other Information
Item 6 - Exhibits and Reports on Form 8-K
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.
STRUCTURED ASSET
SECURITIES
CORPORATION
(Registrant)
Date: October 12, 1995 /S/ Theodore
P. Janulis
Theodore P. Janulis
President
Date: October 12, 1995 /S/ David
Goldfarb
David Goldfarb
Controller
<TABLE> <S> <C>
<ARTICLE> BD
<LEGEND>
This schedule contains summary financial information extracted from the
Statement of Financial Condition at August 31, 1995 (Unaudited) and the
Statement of Operations for the nine months ended August 31, 1995 (Unaudited)
and is qualified in its entirety by reference to such financial statements.
</LEGEND>
<CIK> 0000808851
<NAME> STRUCTURED ASSET SECURITIES CORPORATION
<S> <C>
<PERIOD-TYPE> 9-MOS
<FISCAL-YEAR-END> NOV-30-1995
<PERIOD-START> DEC-01-1994
<PERIOD-END> AUG-31-1995
<CASH> 589,843
<RECEIVABLES> 2,449,097
<SECURITIES-RESALE> 0
<SECURITIES-BORROWED> 0
<INSTRUMENTS-OWNED> 151,529,764
<PP&E> 0
<TOTAL-ASSETS> 156,277,443
<SHORT-TERM> 0
<PAYABLES> 1,855,265
<REPOS-SOLD> 0
<SECURITIES-LOANED> 0
<INSTRUMENTS-SOLD> 0
<LONG-TERM> 0
<COMMON> 1,000
0
0
<OTHER-SE> 154,421,178
<TOTAL-LIABILITY-AND-EQUITY> 156,277,443
<TRADING-REVENUE> 9,793,713
<INTEREST-DIVIDENDS> 6,136,687
<COMMISSIONS> 0
<INVESTMENT-BANKING-REVENUES> 0
<FEE-REVENUE> 0
<INTEREST-EXPENSE> 0
<COMPENSATION> 22,500
<INCOME-PRETAX> 11,915,890
<INCOME-PRE-EXTRAORDINARY> 6,428,624
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 6,428,624
<EPS-PRIMARY> 0
<EPS-DILUTED> 0
</TABLE>
