UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
____
FORM
10-K
FOR ANNUAL AND TRANSITION REPORTS
PURSUANT TO SECTIONS
13 OR 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934
(Mark
One)
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x
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ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934
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For the fiscal year ended December 31, 2007
or
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o
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TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
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For the transition period from ________ to ________
Commission File Number of issuing entity: 333-135656-03,
001-33605
STRATS(SM) Trust for AMBAC Financial Group, Inc. Securities, Series
2007-1
______________________________________________________
(Exact name of issuing entity as specified in its charter)
Commission File Number of depositor and sponsor: 333-131889,
001-31818
Synthetic Fixed-Income Securities, Inc.
______________________________________________________
(Exact name of depositor and sponsor as specified in its
charter)
Delaware
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52-2316339
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(State or other jurisdiction of incorporation
or organization)
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(I.R.S. Employer Identification No.)
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301 South College Street, Charlotte, North
Carolina
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28288
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(Address of principal executive offices)
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(Zip Code)
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Registrant's telephone number, including area code: (704)
715-8400
Securities registered pursuant to Section 12(b) of the
Act:
Title of each class
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Name of Registered exchange on which
registered
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STRATS(SM) Certificates, Series 2007-1
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New York Stock Exchange ("NYSE")
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1
Securities registered pursuant to Section 12(g) of
the Act:
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None
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Indicate by check mark if the registrant is a well-known seasoned
issuer, as defined in Rule 405 of the Securities Act.
Yes
o
No
x
Indicate by check mark if the registrant is not required
to file reports pursuant to Section 13 or Section 15(d) of the Act.
Yes
o
No
x
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
o
Indicate by check mark if disclosure of
delinquent filers pursuant to Item 405 of Regulation S-K is not contained
herein, and will not be contained, to the best of registrant's knowledge, in definitive
proxy or information statements incorporated by reference in Part III of this
Form 10-K or any amendment to this Form 10-K.
Not applicable.
Indicate by check mark whether the
registrant is large accelerated filer, an accelerated filer or a non-accelerated filer.
See the definition of "accelerated filer and large accelerated filer" in Rule 12b-2 of
the Exchange Act. (check one):
Large accelerated filer
o
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Accelerated filer
o
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Non- accelerated filer
x
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Indicate by check mark whether the
registrant is a shell company (as defined in Rule 12b-2 of the
Act).
Yes
o
No
x
State the aggregate market
value of the voting and non-voting common equity held by non-affiliates computed by
reference to the price at which the common equity was last sold, or the average bid and
asked price of such common equity, as of the last business day of the registrant's most
recently completed second fiscal quarter:
The registrant has no
voting stock or class of common stock that is held by
non-affiliates.
DOCUMENTS INCORPORATED
BY REFERENCE
The following documents are
incorporated by reference into Part IV of this Annual Report: The distribution
reports to security holders filed on Form 10-D during the fiscal year, in lieu of
reports on Form 10-Q, which include the reports filed on Form 10-D listed in
Item 15(a) hereto.
Introductory
Note
Synthetic Fixed-Income
Securities, Inc. (the "Depositor") is the Depositor in respect of the STRATS(SM) Trust
for AMBAC Financial Group, Inc. Securities, Series 2007-1 (the "Trust"), a common law
trust formed pursuant to the Base Trust Agreement, dated as of September 8, 2006,
between the Depositor and U.S. Bank Trust National Association, as trustee (the
"Trustee"), as supplemented by the STRATS(SM) Certificates Series Supplement 2007-1
(the "Series Supplement") dated as of July 16, 2007 in respect of the Trust. The
Trust's assets consist solely of notes issued by News Corporation. The Certificates do
not represent obligations of or interests in the Depositor or the
Trustee.
Pursuant to staff
administrative positions established in Corporate Asset Backed Corporation (available
August 9, 1995), the Trust is not required to respond to various items of
Form 10-K. Such items are designated herein as "Not Applicable." Distribution
reports detailing receipts and distributions by the Trust are filed after each
distribution date on Form 10-D in lieu of reports on Form 10-Q. AMBAC
Financial Group, Inc., the issuer of the underlying securities, is subject to the
information reporting requirements of the Securities Exchange Act of 1934
(the
1
"Exchange Act"). For
information on AMBAC Financial Group, Inc. please see its periodic and current reports
filed with the Securities and Exchange Commission (the "Commission") under its Exchange
Act file number, 001-10777. The Commission maintains a site on the World Wide Web at
"http://www.sec.gov" at which users can view and download copies of reports, proxy and
information statements and other information filed electronically through the
Electronic Data Gathering, Analysis and Retrieval system, or "EDGAR." Periodic and
current reports and other information required to be filed pursuant to the Exchange Act
by AMBAC Financial Group, Inc. may be accessed on this site. You can request copies of
these documents, upon payment of a duplicating fee, by writing to the SEC. The public
may read and copy any materials filed with the Commission at the Commission's Public
Reference Room at 100 F Street, NE, Washington, DC 20549. The public may obtain
information on the operation of the Public Reference Room by calling the Commission at
1-800-SEC-0330. Please call the SEC at (800) SEC-0330 for further
information on the operation of the SEC's public reference rooms. In addition, such
reports and other information can be inspected at the offices of the New York Stock
Exchange at 20 Broad Street, New York, New York 10005. Neither Synthetic Fixed-Income
Securities, Inc. nor the Trustee has participated in the preparation of such reporting
documents, or made any due diligence investigation with respect to the information
provided therein. Neither Synthetic Fixed-Income Securities, Inc. nor the Trustee has
verified the accuracy or completeness of such documents or reports. There can be no
assurance that events affecting the issuer of the underlying securities or the
underlying securities themselves have not occurred or have not yet been publicly
disclosed which would affect the accuracy or completeness of the publicly available
documents described above.
2
PART
I
The following Items have
been omitted in accordance with General Instruction J to Form
10-K:
Item 1.
Business.
Item 1A. Risk
Factors.
Item 2.
Properties.
Item 3. Legal
Proceedings.
Item 4. Submission of
Matters to a Vote of Security Holders.
Item 1B. Unresolved
Staff Comments
.
Not
Applicable
PART
II
The following Items have
been omitted in accordance with General Instruction J to Form
10-K:
Item 5. Market for
Registrant's Common Equity, Related Stockholder Matters and Issuer Purchases of Equity
Securities.
Item 6. Selected Financial
Data.
Item 7. Management's
Discussion and Analysis of Financial Condition and Results of
Operations.
Item 7A. Quantitative and
Qualitative Disclosures About Market Risk.
Item 8. Financial
Statements and Supplementary Data.
Item 9. Changes in and
Disagreements With Accountants on Accounting and Financial
Disclosure.
Item 9A. Controls and
Procedures.
Item 9B. Other
Information
.
None
PART
III
The following Items have
been omitted in accordance with General Instruction J to Form
10-K:
Item 10. Directors and
Executive Officers of the Registrant.
Item 11. Executive
Compensation.
Item 12. Security Ownership
of Certain Beneficial Owners and Management and Related Stock
Matters.
Item 13. Certain
Relationships and Related Transactions.
Item 14. Principal
Accounting Fees and Services.
3
SUBSTITUTE INFORMATION
PROVIDED IN ACCORDANCE WITH GENERAL INSTRUCTION J(2) TO FORM
10-K.
Item 1112(b) of Regulation AB.
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Significant Obligors of Pool Assets (Financial
Information).
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The primary asset of the issuing entity is the
underlying securities, $37,500,000 of 6.15% corporate bonds due
February 15, 2037 issued by AMBAC Financial Group, Inc. The issuer of
the underlying securities, therefore, may be considered a significant
obligor. The issuer of the underlying securities is subject to the
information reporting requirements of the Securities Exchange Act of
1934 (the "Exchange Act"). For information on the issuer of the
underlying securities please see its periodic and current reports filed
with the Securities and Exchange Commission (the "Commission") under
its Exchange Act file number, 001-10777.
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Item 1114(b)(2) of Regulation AB.
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Credit Enhancement and Other Support, Except for
Certain Derivatives
Instruments (Information Regarding Significant
Enhancement
Providers Financial Information).
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Based on the standards set forth in Item 1114(b)(2)
of Regulation AB, no information is required in response to this
Item.
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Item 1115(b) of Regulation AB.
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Certain Derivatives Instruments (Financial
Information).
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Based on the standards set forth in Item 1115(b) of
Regulation AB, no information is required in response to this
Item.
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Item 1117 of Regulation AB.
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Legal Proceedings.
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Based on the standards set forth in Item 1117 of
Regulation AB no information is required in response to this
Item.
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Item 1119 of Regulation AB.
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Affiliations and Certain Relationships and Related
Transactions.
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Based on the standards set forth in Item 1119 of
Regulation AB, no information is required in response to this
Item.
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Item 1122 of Regulation AB.
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Compliance with Applicable Servicing
Criteria
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U.S. Bank Trust National Association has been identified by the
registrant as a party participating in the servicing function with respect to the pool
assets held by STRATS(SM) Trust for AMBAC Financial Group, Inc. Securities, Series
2007-1. U.S. Bank Trust National Association has completed a report on an assessment of
compliance with the servicing criteria applicable (the "Report on Assessment") as of
March 28, 2008 and for a period beginning January 1, 2007 through and including
December 31, 2007, which Report on Assessment is attached as an exhibit to this
Form 10-K. In addition, U.S. Bank Trust National Association has provided an
attestation report (the "Attestation Report") by a registered independent public
accounting firm regarding its related Report on Assessment. The Attestation Report is
attached as an exhibit to this Form 10-K. Neither the Report on Assessment or the
related Attestation Report has identified any material instances of noncompliance with
the servicing criteria described in the Report on Assessment as being applicable to
U.S. Bank Trust National Association.
Item 1123 of Regulation AB.
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Servicer Compliance Statement.
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U.S. Bank Trust National Association has provided a
statement of compliance (the "Compliance Statement") for the period
from and including January 1, 2007 through and including
December 31, 2007, which has been signed by an authorized officer
of U.S. Bank Trust National Association. The Compliance Statement of
U.S. Bank Trust National Association is attached as an exhibit to this
Form 10-K.
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4
PART
IV
Item 15. Exhibits,
Financial Statement
Schedules
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(a)
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The following documents have been filed as part of this
report.
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1.
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Trustee's Distribution Statements documented on
Form 10-D of STRATS(SM) Trust for AMBAC Financial
Group, Inc. Securities, Series 2007-1 to the certificateholders for the
period from January 1, 2007 through and including December 31, 2007
have been filed with the Securities and Exchange Commission and are
hereby incorporated by reference. Filing dates are listed
below:
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Trust Description
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Distribution Date
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Filed on
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STRATS(SM) Trust for AMBAC Financial Group, Inc.
Securities, Series 2007-1
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August 15, 2007
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August 29, 2007
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2.
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None
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3.
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Exhibits
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31.1 – Certification by Director of the Registrant
pursuant to 15 U.S.C. Section 7241, as adopted pursuant to
Section 302 of the Sarbanes-Oxley Act of 2002.
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33.1 – Report on Assessment of Compliance with
Servicing Criteria for U.S. Bank Trust National Association for the
period from and including January 1, 2007 through and including
December 31, 2007.
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34.1 – Attestation Report of Ernst & Young LLP
on Assessment of Compliance with Servicing Criteria relating to U.S.
Bank Trust National Association.
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35.1 – Servicer Compliance Statement of U.S. Bank
Trust National Association for the period from and including January 1,
2007 through and including December 31, 2007.
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99.1 - Registrant's Current Report on Form 10-D filed
with the Securities and Exchange Commission on August 29, 2007, as
further described in Item 15(a)(1) above, is incorporated herein by
reference.
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(b)
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See Item 15(a) above.
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(c)
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Not Applicable.
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5
SIGNATURE
Pursuant to the
requirements of Section 13 or 15 (d) 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.
Synthetic Fixed-Income
Securities, Inc.,
as Depositor for the
Trust
By:
/s/ James
Whang
Name: James
Whang
Title: Director
(senior officer in charge
of the securitizations of the depositor)
Dated: March 28,
2008
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EXHIBIT
INDEX
Exhibit Number in this Form 10-K
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Description of Exhibits
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31.1
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Certification by Director of the Registrant pursuant to
15 U.S.C. Section 7241, as adopted pursuant to Section 302 of
the Sarbanes-Oxley Act of 2002.
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33.1
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Report on Assessment of Compliance with Servicing
Criteria for U.S. Bank Trust National Association for the period from
and including January 1, 2007 through and including December 31,
2007.
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34.1
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Attestation Report of Ernst & Young LLP on
Assessment of Compliance with Servicing Criteria relating to U.S. Bank
Trust National Association.
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35.1
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Servicer Compliance Statement of U.S. Bank Trust
National Association for the period from and including January 1, 2007
through and including December 31, 2007.
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99.1
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Registrant's Current Report on Form 10-D filed with the
Securities and Exchange Commission on August 29, 2007, as further
described in Item 15(a)(1) above, is incorporated herein by
reference.
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