SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
[x] Quarterly Report Pursuant to Section 13 or 15(d) of
the Securities Exchange Act of 1934
For the Thirty-nine Weeks Ended September 29, 1996 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 33-2253
MORTGAGE SECURITIES III TRUSTS A, B, C, D, E AND F
Delaware Trusts (IRS Employer Identification
No. 91-1314537)
Wilmington, DE 19890
Telephone (302) 651-1730
Securities Registered Pursuant to Section 12(b) of the Act: None
Securities Registered Pursuant to Section 12(g) of the Act: None
Indicate by a 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 .
The Registrant meets the conditions set forth in
General Instruction J(1)(a) and (b) of Form 10-Q and is
therefore, filing this form with the reduced disclosure format.
(PAGE)
Securities and Exchange Commission
Mortgage Securities III Trusts A, B, C, D, E and F
Index to Form 10-Q Filing
For the Thirty-nine Weeks Ended September 29, 1996
(CAPTION)
Part I. Financial Information
(S)
(C)
Item 1. Statement of Operations Trust A 1
Statement of Operations Trust B 2
Statement of Operations Trust C 3
Statement of Operations Trust D 4
Statement of Operations Trust E 5
Statement of Operations Trust F 6
Balance Sheets Trust A 7
Balance Sheets Trust B 8
Balance Sheets Trust C 9
Balance Sheets Trust D
10
Balance Sheets Trust E
11
Balance Sheets Trust F
12
Statement of Cash Flows Trust A
13
Statement of Cash Flows Trust B
14
Statement of Cash Flows Trust C
15
Statement of Cash Flows Trust D
16
Statement of Cash Flows Trust E
17
Statement of Cash Flows Trust F
18
Notes to Financial Statements
19
(/TABLE)
(TABLE)
Item 2. Management's Discussion and Analysis of
Financial Condition and Results of
Operations See pg. 19 (Note 1)
(CAPTION)
Part II. Other Information
(S) (C)
Item 1. Legal Proceedings (Not applicable)
Item 2. Changes in Securities (Not applicable)
Item 3. Default upon Senior Securities (Not applicable)
Item 4. Submission of Matters to a Vote
of Security Holders (Not applicable)
Item 5. Other Information (Not applicable)
(/TABLE)
(PAGE)
The financial information included in this report has been
prepared in conformity with accounting practices and methods
reflected in the financial statements included in Trust A, B,
C, D, E and F's annual reports (Form 10-K) filed with the
Securities and Exchange Commission for the year ended
December 31, 1995. Though not examined by independent
public accountants, the financial information reflects, in
the opinion of management, all adjustments necessary to present
a fair statement of results for the interim period indicated.
The results of operations for the Thirty-nine week period
ending September 29, 1996, should not be regarded as necessarily
indicative of the results that may be expected for the year
1996.
SIGNATURE
Pursuant to the requirements of Section 13 or 15(d) 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 on the 4th day of November 1996.
MORTGAGE SECURITES III TRUSTS
A, B, C, D, E AND F
Trusts acting through
Wilmington Trust Company, not
in its capacity, but solely as
Owner Trustee
Name: John M. Beeson, Jr.
By:_______________________
Title: Vice President
(PAGE)
Mortgage Securities III Trust A
Statement of Operations
For the Thirty-nine Weeks Ended Sept. 29, 1996 and Sept 24,
1995 (Unaudited)
(TABLE)
(Dollar amounts in thousands)
(CAPTION)
Thirteen Thirty-nine
Weeks Ended Weeks Ended
Sept. 29, Sept 24, Sept. 29, Sept.
24, 1996 1995 1996
1995
(S) (C) (C)
(C)
(C)
Interest income $ 261 $ 296 $ 798 $ 921
Interest expense 237 281 739 876
Net income/(loss)(Note 6)$ 45 $ 24 $ 15 $ 59
(/TABLE)
The accompanying notes are an integral part of these statements.
-1-
(PAGE)
Mortgage Securities III Trust B
Statement of Operations
For the Thirty-nine Weeks Ended Sept. 29, 1996 and Sept. 24, 1995
(Unaudited)
(TABLE)
(Dollar amounts in thousands)
(CAPTION)
Thirteen Thirty-nine
Weeks Ended Weeks Ended
Sept. 29, Sept. 24, Sept. 29, Sept
24, 1996 1995 1996
1995
(S) (C) (C) (C) (C)
Interest income $ 404 $ 478 $ 1,271 $ 1,473
Interest expense 382 466 1,214 1,432
Net income/(loss)(Note 6)$ 22 $ 12 $ 57 41
(/TABLE)
The accompanying notes are an integral part of these statements.
-2-
(PAGE)
(TABLE)
Mortgage Securities III Trust C
Statement of Operations
For the Thirty-nine Weeks Ended Sept. 29, 1996 and Sept. 24, 1995
(Unaudited)
(CAPTION)
(Dollar amounts in thousands)
Thirteen Thirty-nine
Weeks Ended Weeks Ended
Sept. 29, Sept. 24, Sept. 29, Sept
24, 1996 1995 1996
1995
(S) (C) (C) (C) (C)
Interest income $ 347 $ 427 $ 1,116 $ 1,317
Interest expense 351 439 1,138 1,343
Net income/(loss)(Note 6) $ (4) $ (12) $ (22) $ (26)
(/TABLE)
The accompanying notes are an integral part of these
statements.
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(PAGE)
Mortgage Securities III Trust D
Statement of Operations
For the Thirty-nine Weeks Ended Sept. 29, 1996 and Sept. 24, 1995
(Unaudited)
(TABLE)
(Dollar amounts in thousands)
(CAPTION)
Thirteen Thirty-nine
Weeks Ended Weeks Ended
Sept. 29, Sept. 24, Sept. 29, Sept.
24, 1996 1995 1996
1995
((S) (C) (C) (C)
(C)
Interest income $ 355 $ 384 $ 1,056 $ 1,180
Interest expense 344 385 1,055 1,170
Net income/(loss) (Note 6) $ 11 $ (1) $ 1 $ 10
(/TABLE)
The accompanying notes are an integral part of these statements.
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(PAGE)
Mortgage Securities III Trust E
Statement of Operations
For the Thirty-nine Weeks Ended Sept. 29, 1996 and Sept. 24,
1995 (Unaudited)
(CAPTION)
(Dollar amounts in thousands)
(TABLE)
Thirteen Thirty-nine
Weeks Ended Weeks Ended
Sept. 29, Sept. 24, Sept. 29, Sept.
24, 1996 1995 1996
1995
(S) (C) (C) (C) (C)
Interest income $ 1,024 $ 1,191 $ 3,272 $ 3,666
Interest expense 1,213 1,312 3,706 4,048
Interest expense to
affiliate (Note 5) 702 695 2,123 2,043
Net income/(loss)(Note 6)$ (891) $ (816) $ (2,557) $(2,425)
(/TABLE)
The accompanying notes are an integral part of these statements.
-5-
(PAGE)
Mortgage Securities III Trust F
Statement of Operations
For the Thirty-nine Weeks Ended Sept. 29, 1996 and Sept. 24, 1995
(Unaudited)
(TABLE)
(Dollar amounts in thousands)
(CAPTION)
Thirteen Thirty-nine
Weeks Ended Weeks Ended
Sept. 29, Sept. 24, Sept. 29, Sept.
24, 1996 1995 1996
1995
(S) (C) (C)
Interest income $ 299 $ 347 $ 948 $ 1,071
Interest expense 382 356 $ 1,065 $ 1,082
Interest expense to
affiliate (Note 5) 184 339 875 994
Net income/(loss)(Note 6) (267) $ (348) $ (992) $(1,005)
(/TABLE)
The accompanying notes are an integral part of these
statements.
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(PAGE)
Mortgage Securities III Trust A
Balance Sheets
September 29, 1996 and December 31, 1995
(TABLE)
(Dollar amounts in thousands)
(CAPTION)
Sept. 29, Dec.
31,
Assets 1996 1995
(Unaudited)
(S) (C) (C)
Cash and equivalents:
Trust account $ 1 $ 1
Collection account (Notes 3 and 4) 479 844
480 845
Receivable from beneficial owner (Note 5) - 1,746
Interest receivable 88 98
Government National and Federal National
Mortgage Association Certificates, net
of unamortized premium of $45 and $41
(Notes 2, 4 and 5) 10,760 11,772
$11,328 $14,461
Liabilities and Owner's Beneficial Interest
Interest payable $ 314 $ 355
Collateralized mortgage obligation bonds,
net (Notes 1, 2, 3, 4 and 5) 10,262 11,667
Owner's Beneficial Interest:
Owner's beneficial interest 1 1
Retained earnings 751 2,438
Total Owner's Beneficial Interest 752 2,439
$11,328 $14,461
(/TABLE)
The accompanying notes are an integral part of these balance
sheets.
-7-
(PAGE)
Mortgage Securities III Trust B
Balance Sheets
September 29, 1996 and December 31, 1995
(TABLE)
(Dollar amounts in thousands)
(CAPTION)
Sept. 29, Dec. 31,
Assets 1996 1995
(Unaudited)
(S) (C) (C)
Cash and equivalents:
Trust account $ 1 $ 1
Collection account (Notes 3 and 4) 2,183 1,003
2,184 1,004
Receivable from beneficial owner (Note 5) - 370
Interest receivable 137 161
Government National and Federal National
Mortgage Association Certificates, net
of unamortized discount of $178 and
$233 (Notes 2, 4 and 5) 17,194 19,751
$19,515 $21,286
Liabilities and Owner's Beneficial Interest
Interest payable $ 1,753 $ 570
Collateralized mortgage obligation bonds,
net (Notes 1, 2, 3, 4 and 5) 16,122 18,763
Owner's Beneficial Interest:
Owner's beneficial interest 1 1
Retained earnings 1,639 1,952
Total Owner's Beneficial Interest 1,640 1,953
$19,515 $21,286
(/TABLE)
The accompanying notes are an integral part of these balance
sheets.
-8-
(PAGE)
Mortgage Securities III Trust C
Balance Sheets
September 29, 1996 and December 31, 1995
(TABLE)
(Dollar amounts in thousands)
(CAPTION)
Sept. 29, Dec. 31,
Assets 1996 1995
(Unaudited)
(S) (C) (C)
Cash and equivalents:
Trust account $ 1 $ 1
Collection account (Notes 3 and 4) 1,284 1,067
1,285 1,068
Receivable from beneficial owner - 236
Interest receivable 119 138
Government National and Federal National
Mortgage Association Certificates, net
of unamortized discount of $159 and
$194 (Notes 2, 4 and 5) 14,757 17,721
$16,161 $19,163
Liabilities and Owner's Beneficial Interest
Interest payable $ 451 $ 535
Collateralized mortgage obligation bonds,
net (Notes 1, 2, 3, 4 and 5) 14,867 17,529
Payable to beneficial owner (Note 5)
Owner's Beneficial Interest:
Owner's beneficial interest 1 1
Retained earnings 842 1,098
Total Owner's Beneficial Interest 843 1,099
$16,161 $19,163
(/TABLE)
The accompanying notes are an integral part of these balance sheets.
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(PAGE)
Mortgage Securities III Trust D
Balance Sheets
September 29, 1996 and December 31, 1995
(TABLE)
(Dollar amounts in thousands)
(CAPTION)
Sept. 29, Dec. 31,
Assets 1996 1995
(Unaudited)
(S) (C) (C)
Cash and equivalents:
Trust account $ 1 $ 1
Collection account (Notes 3 and 4) 105 223
106 224
Receivable from beneficial owner 31 1,653
Interest receivable 134 124
Government National and Federal National
Mortgage Association Certificates, net
of unamortized premium of $87 and
$69 (Notes 2, 4 and 5) 15,555 17,097
$15,826 $19,098
Liabilities and Owner's Beneficial Interest
Interest payable $ 218 $ 241
Collateralized mortgage obligation bonds,
net (Notes 1, 2, 3, 4 and 5) 15,141 16,725
Owner's Beneficial Interest:
Owner's beneficial interest 1 1
Retained earnings 466 2,131
Total Owner's Beneficial Interest 467 2,132
$15,826 $19,098
(/TABLE)
The accompanying notes are an integral part of these balance
sheets.
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(PAGE)
Mortgage Securities III Trust E
Balance Sheets
September 29, 1996 and December 31, 1995
(TABLE)
(Dollar amounts in thousands)
(CAPTION)
Sept. 29, Dec. 31,
Assets 1996 1995
(Unaudited)
(S) (C) (C)
Cash and equivalents:
Trust account $ 1 $ 1
Collection account (Notes 3 and 4) 2,705 2,716
2,706 2,717
Receivable from beneficial owner (158) 1,662
Interest receivable 313 389
Government National and Federal National
Mortgage Association Certificates, net
of unamortized discount of $364
and $488 (Notes 2, 4 and 5) 48,753 54,032
Deferred hedging costs (Note 5) 344 460
$ 51,958 $59,260
Liabilities and Owner's Beneficial Interest
Interest payable $ 1,023 $ 1,143
Collateralized mortgage obligation bonds,
net (Notes 1, 2, 3, 4 and 5) 41,925 46,855
Payable to Weyerhaeuser Mortgage Company
(Note 5) 34,829 32,702
Owner's Beneficial Interest:
Owner's beneficial interest 1 1
Accumulated deficit (25,820) (21,444)
Total Owner's Beneficial Interest (25,819) (21,443)
$ 51,958 $ 59,260
The accompanying notes are an integral part of these balance sheets.
(/TABLE)
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(PAGE)
Mortgage Securities III Trust F
Balance Sheets
September 29, 1996 and December 31, 1995
(TABLE)
(Dollar amounts in thousands)
(CAPTION)
Sept. 29, Dec. 31,
Assets 1996 1995
(Unaudited)
(S) (C) (C)
Cash and equivalents:
Trust account $ 1 $ 1
Collection account (Notes 3 and 4) 1,296 684
1,297 685
Receivable from beneficial owner - 1,937
Interest receivable 93 111
Government National and Federal National
Mortgage Association Certificates, net
of unamortized discount of $19
and $54 (Notes 2, 4 and 5) 12,335 14,604
Deferred hedging costs (Note 5) 10 178
$ 13,735 $ 17,515
Liabilities and Owner's Beneficial Interest
Interest payable $ 331 $ 389
Collateralized mortgage obligation bonds,
net (Notes 1, 2, 3, 4 and 5) 11,006 12,676
Payable to Weyerhaeuser Mortgage Company
(Note 5) 9,001 15,899
Owner's Beneficial Interest:
Owner's beneficial interest 1 1
Accumulated deficit (6,604) (11,450)
Total Owner's Beneficial Interest (6,603) (11,449)
$ 13,735 $ 17,515
(/TABLE)
The accompanying notes are an integral part of these balance sheets.
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(PAGE)
Mortgage Securities III Trust A
Statement of Cash Flows
For the Thirty-nine Weeks Ended Sept. 29, 1996 and Sept. 24, 1995
(Unaudited)
(TABLE)
(Dollar amounts in thousands)
(CAPTION)
Thirty-nine
Weeks Ended
Sept. 29, Sept.
24, 1996
1995
(S) (C) (C)
Cash flows from operations:
Net income/(loss) $ 59 $ 45
Adjustments to reconcile net income
to net cash provided by operations:
Amortization 0 14
Accretion of interest - -
Changes in:
Interest receivable 10 13
Receivable from beneficial owner 1,746 -
Interest payable (41) (52)
Cash flows from operations 1,774 20
Cash flows from investing:
Mortgage backed certificates --
Collections on principal 1,014 1,497
Cash flows from financing:
Dividends Declared (1,745) -
Collateralized mortgage obligation bonds --
Payments on principal (1,408) (1,711)
Cash flows from financing (3,153) (1,711)
Net increase (decrease) in cash and equivalents (365) (194)
Cash and equivalents at beginning of year 845 1,021
Cash and equivalents at end of quarter $ 480 $ 827
Supplemental disclosures:
Cash paid during the period for interest $ 775 $ 919
(/TABLE)
The accompanying notes are an integral part of these statements.
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(PAGE)
Mortgage Securities III Trust B
Statement of Cash Flows
For the Thirty-nine Weeks Ended Sept. 29, 1996 and Sept. 24, 1995
(Unaudited)
(TABLE)
(Dollar amounts in thousands)
(CAPTION)
Thirty-nine
Weeks Ended
Sept. 29, Sept.
24, 1996
1995
(S) (C) (C)
Cash flows from operations:
Net income/(loss) $ 57 $ 41
Adjustments to reconcile net income
to net cash provided by operations:
Amortization (1) (19)
Accretion of interest 938 858
Changes in:
Interest receivable 24 13
Receivable from beneficial owners 370 -
Interest payable 1,183 (59)
Cash flows from operations 2,571 872
Cash flows from investing:
Mortgage backed certificates --
Collections on principal 2,612 2,247
Cash flows from financing:
Dividends Declared (369) -
Collateralized Mortgage Obligation Bonds--
Payments on principal (3,634) (2,746)
Cash flows from financing (4,003) (2,746)
Net increase (decrease) in cash and equivalents 1,180 373
Cash and equivalents at beginning of year 1,004 1,093
Cash and equivalents at end of quarter $ 2,184 $1,466
Supplemental disclosures:
Cash paid during the period for interest $ 298 $ 587
(/TABLE)
The accompanying notes are an integral part of these statements.
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(PAGE)
Mortgage Securities III Trust C
Statement of Cash Flows
For the Thirty-nine Weeks Ended Sept. 29, 1996 and Sept. 24, 1995
(Unaudited)
(TABLE)
(Dollar amounts in thousands)
(CAPTION)
Thirty-nine
Weeks Ended
Sept. 29, Sept.
24, 1996
1995
(S) (C) (C)
Cash flows from operations:
Net loss $ (22) $ (26)
Adjustments to reconcile net income
to net cash provided by operations:
Amortization 25 29
Changes in:
Interest receivable 19 11
Receivable from beneficial owners 236 0
Interest payable (84) (52)
Cash flows from operations 174 (38)
Cash flows from investing:
Mortgage backed certificates --
Collections on principal 3,000 1,924
Cash flows from financing:
Dividends Declared (235) -1
Collateralized mortgage obligation bonds --
Payments on principal (2,722) (1,679)
Cash flows from financing (2,957) (1,679)
Cash and equivalents at end of quarter $ 1,285 $ 1,222
Supplemental disclosures:
Cash paid during the period for interest $ 1,161 $ 1,344
(/TABLE)
The accompanying notes are an integral part of these statements.
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(PAGE)
Mortgage Securities III Trust D
Statement of Cash Flows
For the Thirty-nine Weeks Ended Sept. 29, 1996 and Sept. 24, 1995
(Unaudited)
(TABLE)
(Dollar amounts in thousands)
(CAPTION)
Thirty-nine
Weeks Ended
Sept. 29, Sept.
24, 1996
1995
(S) (C) (C)
Cash flows from operations:
Net income/(loss) $ 1 $ 10
Adjustments to reconcile net income
to net cash provided by operations:
Amortization 8 17
Changes in:
Interest receivable (10) 10
Receivable from beneficial owner 1,622 (63)
Interest payable (23) (17)
Cash flows from operations 1,598 (43)
Cash flows from investing:
Mortgage backed certificates --
Collections on principal 1,561 1,414
Cash flows from financing:
Dividends Declared (1,667) -
Collateralized mortgage obligation bonds --
Payments on principal (1,610) (1,243)
Cash flows from financing (3,277) (1,243)
Net increase (decrease) in cash and equivalents (118) 128
Cash and equivalents at beginning of year 224 279
Cash and equivalents at end of quarter $ 106 $ 407
Supplemental disclosures:
Cash paid during the period for interest $ 1,044 $ 1,178
(/TABLE)
The accompanying notes are an integral part of these statements.
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(PAGE)
Mortgage Securities III Trust E
Statement of Cash Flows
For the Thirty-nine Weeks Ended Sept 29, 1996 and Sept. 24, 1995
(Unaudited)
(TABLE)
(Dollar amounts in thousands)
(CAPTION)
Thirty-nine
Weeks Ended
Sept. 29, Sept.
24, 1996 1995
(S) (C) (C)
Cash flows from operations:
Net loss $ (2,557) $ (2,425)
Adjustments to reconcile net loss to
net cash provided for operations:
Amortization, net 380 334
Accretion of interest 2,597 2,376
Changes in:
Interest receivable 76 30
Receivable from beneficial owners 1,820 -
Interest payable (119) (95)
Interest payable to Weyerhaeuser
Mortgage Company (Note 5) 2,123 2,045
Cash flows from operations 4,320 2,265
Cash flows from investing:
Mortgage backed certificates --
Collections on principal 5,402 4,441
Cash flows from financing:
Dividends Declared (1,820) -
Collateralized mortgage obligation bonds --
Payments on principal (7,913) (6,565)
Cash flows from financing (9,733) (6,565)
Net increase (decrease)in cash and equivalents (11) 141
Cash and equivalents at beginning of year 2,717 2,712
Cash and equivalents at end of quarter $ 2,706 $ 2,853
Supplemental disclosures:
Cash paid during the period for interest $ 726 $ 1,363
(/TABLE)
The accompanying notes are an integral part of these statements.
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(PAGE)
Mortgage Securities III Trust F
Statement of Cash Flows
For the Thirty-nine Weeks Ended Sept. 29, 1996 and Sept. 24, 1995
(Unaudited)
(TABLE)
(Dollar amounts in thousands)
(CAPTION)
Thirty-nine
Weeks Ended
Sept. 29, Sept.
24, 1996
1995
(S) (C) (C)
Cash flows from operations:
Net loss $ (992) $ (1,005)
Adjustments to reconcile net income
to net cash provided by operations:
Amortization, net 228 118
Accretion of interest 575 526
Changes in:
Interest receivable 18 12
Receivable from beneficial owner 1,937 -
Interest payable (58) (55)
Interest payable to Weyerhaeuser
Mortgage Company (Note 5) 876 994
Cash flows from operations 2,584 590
Cash flows from investing:
Mortgage backed certificates --
Collections on principal 2,304 1,612
Cash flows from financing:
Dividends Declared 5,837 -
Payment on Weyerhaeuser Mtg Co. note (7,773) -
Collateralized mortgage obligation bonds --
Payments on principal (2,340) (2,388)
Cash flows from financing (4,276) (2,388)
Net increase (decrease) in cash and equivalents 612 (186)
Cash and equivalents at beginning of year 685 1,237
Cash and equivalents at end of quarter $ 1,297 $ 1,051
Supplemental disclosures:
Cash paid during the period for interest $ 285 $ 479
(/TABLE)
The accompanying notes are an integral part of these statements.
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(PAGE)
Mortgage Securities III Trusts A, B, C, D, E and F
Notes to Financial Statements
For the Thirty-nine Weeks Ended September 29, 1996
(Dollar amounts in thousands)
Note 1. Description of business:
Mortgage Securities III Trusts A, B, C, D, E and F
(the "Trusts") were established under the laws of
Delaware by a trust agreement. Prior to December 27,
1987, the trust agreement was among Mortgage
Securities III Corporation,
Weyerhaeuser Real Estate Company and Wilmington
Trust Company. On December 27, 1987, Weyerhaeuser Real
Estate Company dividended its beneficial interests in
Mortgage Securities III Trusts A, B, C, D, E and F to
Weyerhaeuser Company which in turn contributed its
beneficial interests in the Trusts to Weyerhaeuser
Financial Services, Inc., a wholly-owned subsidiary
of Weyerhaeuser Company. The Trusts were organized
to, and are engaged to raise funds through the
issuance and sale of Collateralized Mortgage Obligation
Bonds collateralized by Government National Mortgage
Association (GNMA) and Federal National Mortgage
Association (FNMA) certificates. The Trusts A, B, C, D,
E and F were established on April 8, 1986 and
commenced business on June 30, 1986, September 30,
1986, December 30, 1986, February 27, 1987, December
22, 1987, and March 30, 1988, respectively.
Each Trust has issued a series of Collateralized
Mortgage Obligations (the "Bonds"). Trust A, B, C, D
and F's Bonds are collateralized by GNMA and FNMA
certificates and Trust E's Bonds are collateralized by
GNMA certificates.
-19-
(PAGE)
(TABLE)
(CAPTION) (S) (C) (C)
Date Bonds
Trust Issued Issued
A June 30, 1986 $100,000
B September 30, 1986 $100,000
C December 30, 1986 $100,000
D February 27, 1987 $75,600
E December 22, 1987 $131,600
F March 30, 1988 $129,250
(/TABLE)
Activity during the third quarter of 1996 consisted of
the collection of principal and interest on the GNMA and
FNMA certificates and disbursement of the required
payment of principal and interest to the bondholders.
Note 2. Accounting policies:
Trust A, B, C and D's GNMA and FNMA certificates
are carried at par value adjusted for any unamortized
premiums or discounts. These premiums and discounts
are amortized using a method approximating the effective
interest method over the estimated life of the
underlying mortgage loans. The Bonds are carried at
par value less unamortized discounts. These
discounts are amortized using a method approximating
the effective interest method over the estimated
life of the Bonds. Due to prepayments on the
underlying mortgage loans, each quarter revisions are
made to the remaining period to maturity of the
certificates and the bonds. The amortization described
above reflects these revisions.
Trust E's GNMA certificates and Trust F's GNMA and
FNMA certificates are carried at par value less
unamortized discounts. These discounts are
amortized using an interest method which computes a
constant effective yield over the contractual life of
the certificates. Hedging costs related to holding
GNMA and FNMA certificates have
-20-
(PAGE)
been deferred and are also being amortized using
the interest method. The Bonds are carried at par value less
unamortized discounts. These discounts are amortized using
an interest method which computes a constant
effective yield over the contractual life of the Bonds.
In December 1986 the Financial Accounting Standards
Board issued Statement No. 91, which establishes a new
method of accounting for nonrefundable fees and costs
associated with purchasing a group of loans and
the method of recognizing interest income and
expense. This statement must be applied prospectively
to all transactions entered into for fiscal years
beginning after December 15, 1987. Retroactive
application with restatement of the financial
statements for all years presented is optional.
Upon evaluation of this accounting statement and the
current method of accounting, the Company elected
to adopt Statement No. 91 prospectively for Trusts E
and F. Under the new standard, all discounts and
hedging costs will be recognized over the contractual
life of the loan as a yield adjustment. The
Company elected not to adopt
Statement No. 91 retroactively for Trusts A, B, C and
D. Since no transactions have been entered into after
the effective date of this statement, the Company
will continue to use its current method, which
approximates the effective interest method, for Trusts
A, B, C and D.
Cash and equivalents include cash held in the
collection account and invested in short term
investments with maturities of less than three months.
All investment securities held by the Trusts
are classified as "held to maturity." The amortized
cost and estimated market value of investments in debt
securities are as follows:
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(PAGE)
(TABLE)
(CAPTION)
Gross Gross Estimated
Amortized Unrealized Unrealized Market
Cost Gains Losses Value
Held to Maturity:
(S) (C) (C) (C) (C)
Mortgage-backed
Securities
Trust A $ 10,760 $ 584 $ - $ 11,344
Trust B 17,194 752 - 17,946
Trust C 14,757 630 - 15,387
Trust D 15,555 338 - 15,893
Trust E 48,753 626 - 49,379
Trust F 12,335 470 - 12,805
(/TABLE)
Note 3. Collateralized Mortgage Obligation Bonds:
Bonds at September 29, 1996 and December 31, 1995
consist of the following:
Collateralized Mortgage Obligation Sept. 29, Dec.31,
Bonds, Trust A: 1996 1995
Class 4 - 9.20%, stated maturity
July 1, 2016 $10,315 $11,724
Unamortized discount (53) (57)
$10,262 $11,667
Collateralized Mortgage Obligation
Bonds, Trust B:
Class 3 - 9.00%, stated maturity
April 1, 2010 $ 1,904 $ 5,538
Class 4 - 9.00%, stated maturity
October 1, 2016 14,528 13,590
Unamortized discount (310) (365)
$16,122 $18,763
Collateralized Mortgage Obligation
Bonds, Trust C:
Class 4 - 9.00%, stated maturity
January 1, 2017 $15,272 $17,994
Unamortized discount (405) (465)
$14,867 $17,529
-22-
(PAGE)
Collateralized Mortgage Obligation Sept. 29, Dec.31,
Bonds, Trust D: 1996 1995
Class 2 - 8.55%, stated maturity
December 1, 2014 $ 627 $2,237
Class 3 - 8.60%, stated maturity
March 1, 2017 14,600 14,600
Unamortized discount (86) (112)
$ 15,141 $16,725
Collateralized Mortgage Obligation
Bonds, Trust E:
Class 3 - 9.00%, stated maturity
January 1, 2006 $ 5,274 $13,186
Class 4 - 9.00%, stated maturity
January 1, 2018 40,212 37,616
Unamortized discount (3,561) (3,947)
$ 41,925 $46,855
Collateralized Mortgage Obligation
Bonds, Trust F:
Class 3 - 9.00%, stated maturity
January 1, 2014 $ 2,396 $ 4,736
Class 4 - 9.00%, stated maturity
April 1, 2018 8,909 8,334
Unamortized discount (299) (394)
$ 11,006 $12,676
The stated maturity is the date such class will be fully
paid, assuming that scheduled interest and principal
payments (with no prepayments) on the certificates are
timely received.
All collections on the certificates pledged as security
for the Bonds will be remitted directly to a collection
account (the "Collection Account") established with the
Trustee and together with the reinvestment earnings
thereon, will be available for application to the
payment of principal and interest on the bonds on the
following payment date.
-23-
(PAGE)
Each Trust's Bonds are subject to a special redemption,
in whole or in part, if, as a result of substantial
payments of principal on the underlying mortgage loans
and/or low reinvestment yields, the Trusts determine that
the amount of cash anticipated to be on deposit in
the Collection Accounts on the next payment date might be
insufficient to make required payments on the Bonds.
Any such redemption would not exceed the principal
amount of Bonds that would otherwise be required to be
paid on the next payment date. As a result, a special
redemption of Bonds will not result in a payment to
bondholders more than two months earlier than the payment
date on which such payment would otherwise have been
received. The Bonds are not otherwise subject to call at
the option of the Trusts except that the Class 2 and
Class 3 Bonds may, in the case of each such class, be
redeemed in whole, but not in part, at the Trusts'
option on any payment date if the aggregate
outstanding principal amount of the Bonds of the class to
be redeemed is less than 10% of its aggregate initial
principal amount.
Trust A, B, C, E and F's Class 4 Bonds may be redeemed
in whole, but not in part, at the Trusts' option on
any payment date on or after July 1, 2001, October 1,
2001, January 1, 2002, January 1, 2003, and April 1,
2003, respectively, if only the Class 4 Bonds are
then outstanding (or on any earlier payment date if
only the Class 4 Bonds are then outstanding and
the current principal amount of Trust A, B, C, E and F's
Class 4 Bonds are less than $10,560, $6,100, $10,500,
$13,160, $12,925, respectively).
Trust D's Class 2 Bonds may be redeemed in whole, but
not in part, at the Trust's option on any payment date
on or after March 1, 1997 and the Class 3 Bonds may be
redeemed in whole, but not in part, at the Trust's
option on any payment date on or after March 1, 2002.
-24-
(PAGE)
Any such redemptions at the option of the Trusts shall be
at a price equal to 100% of the unpaid principal amount of
such Bonds, plus accrued interest.
Note 4. Assets pledged:
Trust A, B, C, D and F's Bonds are collateralized by
the Trusts' GNMA and FNMA certificates and the
Collection Accounts (see Note 3). Trust E's Bonds are
collateralized by the Trust's GNMA certificates and the
Collection Account (see Note 3). Collections on the
certificates are used to meet the quarterly Bond interest
payments and to reduce the outstanding principal balance
on the Bonds.
Note 5. Related parties:
Trusts A, B, C and D purchased from an
affiliate, Weyerhaeuser Mortgage Company, GNMA and FNMA
certificates which were used to collateralize the Bonds.
The purchases were at par value, plus Trust A and D's
purchase premiums and less Trust B and C's purchase
discounts. The purchases were financed with market-rate
short-term debt from this affiliate until proceeds
from the Bond issuance were obtained.
Trust E purchased from an affiliate, Weyerhaeuser
Mortgage Company, GNMA certificates which were used to
collateralize the Bonds. Trust F purchased from
an affiliate, Weyerhaeuser Mortgage Company, GNMA and FNMA
certificates which were used to collateralize the Bonds.
The purchases were at par value, less the purchase
discounts. The purchases were financed with the proceeds
received from the Bond issuances and notes due to
Weyerhaeuser Mortgage Company. The notes will bear
interest at Bank of America's prime rate and interest
shall be compounded annually. The principal balances and
all accrued interest shall be due on each note on
January 1, 2018 ("Maturity"). The principal and
-25-
(PAGE)
accrued interest on the notes are guaranteed by
Weyerhaeuser Financial Services, Inc., to the extent that
residual payments from the GNMA and FNMA certificates are
insufficient to retire the debt and related interest.
Certain ongoing administrative and accounting functions
are provided by the beneficial owner at no cost to each
Trust.
Note 6. Results of operations:
All results of operations will be transferred to
the beneficial owner of the Trusts. The beneficial
owner of the Trusts being Mortgage Securities III
Corporation. Mortgage Securities III will be responsible
for all tax liabilities incurred relating to the Trusts'
operations.
-26-
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
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<S> <C>
<PERIOD-TYPE> 9-MOS
<FISCAL-YEAR-END> DEC-29-1996
<PERIOD-END> SEP-29-1996
<CASH> 8058
<SECURITIES> 0
<RECEIVABLES> 729
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 128523
<CURRENT-LIABILITIES> 0
<BONDS> 109323
0
0
<COMMON> 0
<OTHER-SE> (28720)
<TOTAL-LIABILITY-AND-EQUITY> 128523
<SALES> 0
<TOTAL-REVENUES> 8461
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 0
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 11915
<INCOME-PRETAX> (3454)
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> (3454)
<EPS-PRIMARY> 0
<EPS-DILUTED> 0
</TABLE>
