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 Exchange Act of 1934
For the Thirteen Weeks Ended March 30, 1997 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>
Mortgage Securities III Trusts A, B, C, D, E and F
Index to Form 10-Q Filing
For the Thirteen Weeks Ended March 30, 1997
Part I. Financial Information
Item 1. Financial Statements Page No.
Statement of Operations
Trust A 1
Trust B 2
Trust C 3
Trust D 4
Trust E 5
Trust F 6
Balance Sheets
Trust A 7
Trust B 8
Trust C 9
Trust D 10
Trust E 11
Trust F 12
Statement of Cash Flows
Trust A 13
Trust B 14
Trust C 15
Trust D 16
Trust E 17
Trust F 18
Notes to Financial Statements 19
Item 2. Management's Discussion and Analysis of
Financial Condition and Results of
Operations 19
(See Note 1)
Part II. Other Information
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)
<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 29, 1996. 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 thirteen week
period ending March 30, 1997, should not be regarded as necessarily
indicative of the results that may be expected for the year 1997.
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 12th day of May 1997.
MORTGAGE SECURITIES III TRUSTS
A, B, C, D, E AND F
Trusts acting through Wilmington
Trust Company, not in its
capacity, but solely as Owner
Trustee
By: /s/ Denise M. Geran
Denise M. Geran
Financial Services Officer
<PAGE>
Mortgage Securities III Trust A
Statement of Operations
For the Thirteen Weeks Ended March 30, 1997 and March 31, 1996
(Unaudited)
<TABLE>
(Dollar amounts in thousands)
<CAPTION>
Thirteen Weeks Ended
---------------------
Mar. 30, Mar. 31,
1997 1996
--------- ---------
<S> <C> <C>
Interest income $ 233 $ 271
Interest expense 218 255
--------- ---------
Net income (loss)(Note 6) $ 15 $ 16
========= =========
</TABLE>
The accompanying notes are an integral part of these statements.
-1-
<PAGE>
Mortgage Securities III Trust B
Statement of Operations
For the Thirteen Weeks Ended March 30, 1997 and March 31, 1996
(Unaudited)
<TABLE>
(Dollar amounts in thousands)
<CAPTION>
Thirteen Weeks Ended
---------------------
Mar. 30, Mar. 31,
1997 1996
--------- ---------
<S> <C> <C>
Interest income $ 363 $ 436
Interest expense 348 432
--------- ---------
Net income (loss)(Note 6) $ 15 $ 4
========= =========
</TABLE>
The accompanying notes are an integral part of these statements.
-2-
<PAGE>
Mortgage Securities III Trust C
Statement of Operations
For the Thirteen Weeks Ended March 30, 1997 and March 31, 1996
(Unaudited)
<TABLE>
(Dollar amounts in thousands)
<CAPTION>
Thirteen Weeks Ended
---------------------
Mar. 30, Mar. 31,
1997 1996
--------- ---------
<S> <C> <C>
Interest income $ 315 $ 393
Interest expense 325 408
--------- ---------
Net income (loss)(Note 6) $ (10) $ (15)
========= =========
</TABLE>
The accompanying notes are an integral part of these statements.
-3-
<PAGE>
Mortgage Securities III Trust D
Statement of Operations
For the Thirteen Weeks Ended March 30, 1997 and March 31, 1996
(Unaudited)
<TABLE>
(Dollar amounts in thousands)
<CAPTION>
Thirteen Weeks Ended
---------------------
Mar. 30, Mar. 31,
1997 1996
--------- ---------
<S> <C> <C>
Interest income $ 318 $ 346
Interest expense 320 363
--------- ---------
Net income (loss)(Note 6) $ (2) $ (17)
========= =========
</TABLE>
The accompanying notes are an integral part of these statements.
-4-
<PAGE>
Mortgage Securities III Trust E
Statement of Operations
For the Thirteen Weeks Ended March 30, 1997 and March 31, 1996
(Unaudited)
<TABLE>
(Dollar amounts in thousands)
<CAPTION>
Thirteen Weeks Ended
---------------------
Mar. 30, Mar. 31,
1997 1996
--------- ---------
<S> <C> <C>
Interest income $ 978 $ 1,104
Interest expense 1,329 1,245
Interest expense to
affiliate (Note 5) 696 711
--------- ---------
Net income (loss)(Note 6) $ (1,047) $ (852)
========= =========
</TABLE>
The accompanying notes are an integral part of these statements.
-5-
<PAGE>
Mortgage Securities III Trust F
Statement of Operations
For the Thirteen Weeks Ended March 30, 1997 and March 31, 1996
(Unaudited)
<TABLE>
(Dollar amounts in thousands)
<CAPTION>
Thirteen Weeks Ended
---------------------
Mar. 30, Mar. 31,
1997 1996
--------- ---------
<S> <C> <C>
Interest income $ 262 $ 321
Interest expense 292 320
Interest expense to
affiliate (Note 5) 180 346
--------- ---------
Net income (loss)(Note 6) $ (210) $ (345)
========= =========
</TABLE>
The accompanying notes are an integral part of these statements.
-6-
<PAGE>
Mortgage Securities III Trust A
Balance Sheets
March 30, 1997 and December 29, 1996
<TABLE>
(Dollar amounts in thousands)
<CAPTION>
Mar. 30, Dec. 29,
1997 1996
-------- -------
<S> <C> <C>
ASSETS (Unaudited)
Cash and equivalents:
Trust account $ 1 $ 1
Collection account (Notes 3 and 4) 754 769
------- -------
755 770
Interest receivable 79 85
Government National and Federal National
Mortgage Association Certificates, net of
unamortized premium of $34 and $35
(Notes 2, 4 and 5) 9,707 10,227
------- -------
TOTAL ASSETS - TRUST A $ 10,541 $11,082
========= =========
LIABILITIES AND OWNER'S BENEFICIAL INTEREST
Interest payable $ 288 $ 305
Collateralized mortgage obligation bonds,
net (Notes 1, 2, 3, 4 and 5) 9,479 10,019
Owner's Beneficial Interest:
Owner's beneficial interest 1 1
Retained earnings 773 757
--------- ---------
Total Owner's Beneficial Interest 774 758
--------- ---------
TOTAL LIABILITIES AND EQUITY - TRUST A $ 10,541 $11,082
========= =========
</TABLE>
The accompanying notes are an integral part of these balance sheets.
-7-
<PAGE>
Mortgage Securities III Trust B
Balance Sheets
March 30, 1997 and December 29, 1996
<TABLE>
(Dollar amounts in thousands)
<CAPTION>
Mar. 30, Dec. 29,
1997 1996
-------- -------
<S> <C> <C>
ASSETS (Unaudited)
Cash and equivalents:
Trust account $ 1 $ 1
Collection account (Notes 3 and 4) 788 897
------- -------
789 898
Interest receivable 124 136
Government National and Federal National
Mortgage Association Certificates, net of
unamortized discount of $192 and $197
(Notes 2, 4 and 5) 16,233 16,652
------- -------
TOTAL ASSETS - TRUST B $17,146 $17,686
======= =======
LIABILITIES AND OWNER'S BENEFICIAL INTEREST
Interest payable $ 456 $ 472
Collateralized mortgage obligation bonds,
net (Notes 1, 2, 3, 4 and 5) 15,030 15,570
Owner's Beneficial Interest:
Owner's beneficial interest 1 1
Retained earnings 1,659 1,643
--------- ---------
Total Owner's Beneficial Interest 1,660 1,644
--------- ---------
TOTAL LIABILITIES AND EQUITY - TRUST B $17,146 $17,686
========= =========
</TABLE>
The accompanying notes are an integral part of these balance sheets.
-8-
<PAGE>
Mortgage Securities III Trust C
Balance Sheets
March 30, 1997 and December 29, 1996
<TABLE>
(Dollar amounts in thousands)
<CAPTION>
Mar. 30, Dec. 29,
1997 1996
-------- -------
<S> <C> <C>
ASSETS (Unaudited)
Cash and equivalents:
Trust account $ 1 $ 1
Collection account (Notes 3 and 4) 1,126 900
------- -------
1,127 901
Interest receivable 104 108
Government National and Federal National
Mortgage Association Certificates, net of
unamortized discount of $146 and $154
(Notes 2, 4 and 5) 13,370 14,182
------- -------
TOTAL ASSETS - TRUST C $14,601 $15,191
======= =======
LIABILITIES AND OWNER'S BENEFICIAL INTEREST
Interest payable $ 406 $ 426
Collateralized mortgage obligation bonds,
net (Notes 1, 2, 3, 4 and 5) 13,390 13,951
Owner's Beneficial Interest:
Owner's beneficial interest 1 1
Retained earnings 804 813
--------- ---------
Total Owner's Beneficial Interest 805 814
--------- ---------
TOTAL LIABILITIES AND EQUITY - TRUST C $14,601 $15,191
========= =========
</TABLE>
The accompanying notes are an integral part of these balance sheets.
-9-
<PAGE>
Mortgage Securities III Trust D
Balance Sheets
March 30, 1997 and December 29, 1996
<TABLE>
(Dollar amounts in thousands)
<CAPTION>
Mar. 30, Dec. 29,
1997 1996
-------- -------
<S> <C> <C>
ASSETS (Unaudited)
Cash and equivalents:
Trust account $ 1 $ 1
Collection account (Notes 3 and 4) 434 239
------- -------
435 240
Receivable from beneficial owner 55 45
Interest receivable 104 107
Government National and Federal National
Mortgage Association Certificates, net of
unamortized premium of $58 and $60
(Notes 2, 4 and 5) 14,579 15,095
------- -------
TOTAL ASSETS - TRUST D $15,173 $15,487
======= =======
LIABILITIES AND OWNER'S BENEFICIAL INTEREST
Interest payable $ 209 $ 213
Collateralized mortgage obligation bonds,
net (Notes 1, 2, 3, 4 and 5) 14,494 14,801
Owner's Beneficial Interest:
Owner's beneficial interest 1 1
Retained earnings 469 472
--------- ---------
Total Owner's Beneficial Interest 470 473
--------- ---------
TOTAL LIABILITIES AND EQUITY - TRUST D $15,173 $15,487
========= =========
</TABLE>
The accompanying notes are an integral part of these balance sheets.
-10-
<PAGE>
Mortgage Securities III Trust E
Balance Sheets
March 30, 1997 and December 29, 1996
<TABLE>
(Dollar amounts in thousands)
<CAPTION>
Mar. 30, Dec. 29,
1997 1996
-------- -------
<S> <C> <C>
ASSETS (Unaudited)
Cash and equivalents:
Trust account $ 1 $ 1
Collection account (Notes 3 and 4) 2,496 2,120
-------- -------
2,497 2,121
Interest receivable 326 336
Government National and Federal National
Mortgage Association Certificates, net of
unamortized discount of $319 and $339
(Notes 2, 4 and 5) 46,114 47,636
Deferred hedging costs (Note 5) 302 320
-------- -------
TOTAL ASSETS - TRUST E $ 49,239 $50,413
========= =========
LIABILITIES AND OWNER'S BENEFICIAL INTEREST
Interest payable $ 960 $ 986
Collateralized mortgage obligation bonds,
net (Notes 1, 2, 3, 4 and 5) 39,919 40,717
Payable to Weyerhaeuser Mortgage Company
(Note 5) - 35,597
Payable to beneficial owner 36,293 -
Owner's Beneficial Interest:
Owner's beneficial interest 1 1
Accumulated deficit (27,934) (26,888)
--------- ---------
Total Owner's Beneficial Interest (27,933) (26,887)
--------- ---------
TOTAL LIABILITIES AND EQUITY - TRUST E $ 49,239 $50,413
========= =========
</TABLE>
The accompanying notes are an integral part of these balance sheets.
-11-
<PAGE>
Mortgage Securities III Trust F
Balance Sheets
March 30, 1997 and December 29, 1996
<TABLE>
(Dollar amounts in thousands)
<CAPTION>
Mar. 30, Dec. 29,
1997 1996
-------- -------
<S> <C> <C>
ASSETS (Unaudited)
Cash and equivalents:
Trust account $ 1 $ 1
Collection account (Notes 3 and 4) 516 648
-------- -------
517 649
Interest receivable 89 90
Government National and Federal National
Mortgage Association Certificates, net of
unamortized discount of $23 and $25
(Notes 2, 4 and 5) 11,693 11,949
Deferred hedging costs (Note 5) 78 85
-------- -------
TOTAL ASSETS - TRUST F $ 12,377 $12,773
======== ========
LIABILITIES AND OWNER'S BENEFICIAL INTEREST
Interest payable $ 293 $ 304
Collateralized mortgage obligation bonds,
net (Notes 1, 2, 3, 4 and 5) 9,635 9,990
Payable to Weyerhaeuser Mortgage Company
(Note 5) - 9,194
Payable to beneficial owner 9,374 -
Owner's Beneficial Interest:
Owner's beneficial interest 1 1
Accumulated deficit (6,926) (6,716)
--------- ---------
Total Owner's Beneficial Interest (6,925) (6,715)
--------- ---------
TOTAL LIABILITIES AND EQUITY - TRUST F $ 12,377 $12,773
========= =========
</TABLE>
The accompanying notes are an integral part of these balance sheets.
-12-
<PAGE>
Mortgage Securities III Trust A
Statement of Cash Flows
For the Thirteen Weeks Ended March 30, 1997 and March 31, 1996
(Unaudited)
<TABLE>
(Dollar amounts in thousands)
<CAPTION>
Thirteen Weeks Ended
---------------------
Mar. 30, Mar. 31,
1997 1996
-------- -------
<S> <C> <C>
Cash flows provided by operations:
Net income (loss) $ 15 $ 16
Non-cash charges to income:
Amortizations 5 3
Changes in:
Interest receivable 6 9
Interest payable (17) (16)
------- -------
Net cash provided by operations 9 12
Cash flows from investing in the business:
Collections on mortgage backed 519 302
certificates
Cash flows from financing activities:
Payments on collateralized
mortgage obligation bonds (543) (581)
Net increase (decrease) in cash and (15) (267)
equivalents
Cash and equivalents at beginning of year 770 844
------- -------
Cash and equivalents at end of quarter $ 755 $ 577
------- -------
Cash paid during the period for:
Interest $ 232 $ 254
========= =========
</TABLE>
The accompanying notes are an integral part of these statements.
-13-
<PAGE>
Mortgage Securities III Trust B
Statement of Cash Flows
For the Thirteen Weeks Ended March 30, 1997 and March 31, 1996
(Unaudited)
<TABLE>
(Dollar amounts in thousands)
<CAPTION>
Thirteen Weeks Ended
---------------------
Mar. 30, Mar. 31,
1997 1996
-------- -------
<S> <C> <C>
Cash flows provided by operations:
Net income (loss) $ 15 $ 4
Non-cash charges to income:
Amortizations 2 6
Accretion of interest 334 306
Changes in:
Interest receivable 12 7
Interest payable (15) (23)
------- -------
Net cash provided by operations 348 300
Cash flows from investing in the business:
Collections on mortgage backed 424 991
certificates
Cash flows from financing activities:
Payments on collateralized
mortgage obligation bonds (881) (580)
------- -------
Net increase (decrease) in cash and (109) 711
equivalents
Cash and equivalents at beginning of year 898 1,003
------- -------
Cash and equivalents at end of quarter $ 789 $ 1,714
------- -------
Cash paid during the period for:
Interest $ 23 $ 125
======= =======
</TABLE>
The accompanying notes are an integral part of these statements.
-14-
<PAGE>
Mortgage Securities III Trust C
Statement of Cash Flows
For the Thirteen Weeks Ended March 30, 1997 and March 31, 1996
(Unaudited)
<TABLE>
(Dollar amounts in thousands)
<CAPTION>
Thirteen Weeks Ended
---------------------
Mar. 30, Mar. 31,
1997 1996
-------- -------
<S> <C> <C>
Cash flows provided by operations:
Net income (loss) $ (10) $ (15)
Non-cash charges to income:
Amortizations 13 13
Changes in:
Interest receivable 4 15
Interest payable (20) (23)
------- -------
Net cash flows provided by operations (13) (10)
Cash flows from investing in the business:
Collections on mortgage backed 821 1,063
certificates
Cash flows from financing activities:
Payments on collateralized
mortgage obligation bonds (582) (670)
------ ------
Net increase (decrease) in cash and 226 383
equivalents
Cash and equivalents at beginning of year 901 1,068
------- -------
Cash and equivalents at end of quarter $ 1,127 $ 1,451
------- -------
Cash paid during the period for:
Interest $ 322 $ 382
======= =======
</TABLE>
The accompanying notes are an integral part of these statements.
-15-
<PAGE>
Mortgage Securities III Trust D
Statement of Cash Flows
For the Thirteen Weeks Ended March 30, 1997 and March 31, 1996
(Unaudited)
<TABLE>
(Dollar amounts in thousands)
<CAPTION>
Thirteen Weeks Ended
---------------------
Mar. 30, Mar. 31,
1997 1996
-------- -------
<S> <C> <C>
Cash flows provided by operations:
Net income (loss) $ (2) $ (17)
Non-cash changes to income:
Amortizations 7 11
Changes in:
Interest receivable 3 6
Receivable from beneficial owner (10) (22)
Interest payable (4) (96)
------- -------
Cash flows provided by operations (6) (118)
Cash flows from investing in the business:
Collections on mortgage backed 514 840
certificates
Cash flows from financing activities:
Payments on collateralized
mortgage obligation bonds (313) 118
------- -------
Net increase (decrease) in cash and 195 840
equivalents
Cash and equivalents at beginning of year 240 223
------- -------
Cash and equivalents at end of quarter $ 435 $ 1,063
------- -------
Cash paid during the period for:
Interest $ 320 $ 356
======= =======
</TABLE>
The accompanying notes are an integral part of these statements.
-16-
<PAGE>
Mortgage Securities III Trust E
Statement of Cash Flows
For the Thirteen Weeks Ended March 30, 1997 and March 31, 1996
(Unaudited)
<TABLE>
(Dollar amounts in thousands)
<CAPTION>
Thirteen Weeks Ended
---------------------
Mar. 30, Mar. 31,
1997 1996
-------- -------
<S> <C> <C>
Cash flows provided by operations:
Net income (loss) $(1,047) $(852)
Non-cash changes to income:
Amortizations 349 106
Accretion of interest 925 846
Changes in:
Interest receivable 10 32
Interest payable (25) (47)
Interest payable to Weyerhaeuser
Mortgage Company (Note 5) (18,656) 714
------- -------
Cash flows provided by operations 18,444 799
Cash flows from investing in the business:
Collections on mortgage backed 1,543 1,562
certificates
Cash flows from financing:
Payments on collateralized
mortgage obligation bonds (2,075) (2,419)
Payments to Weyerhaeuser Mortgage Company (16,941) -
Debt due Weyerhaeuser Financial
Services, Inc. (Beneficial Owner) 36,293 -
------- ------
Cash flows from financing (17,277) (2,419)
Net increase (decrease) in cash and 376 (58)
equivalents
Cash and equivalents at beginning of year 2,121 2,717
------- -------
Cash and equivalents at end of quarter $ 2,497 $2,659
------- -------
Cash paid during the period for:
Interest $ 60 $ 297
======= =======
</TABLE>
The accompanying notes are an integral part of these statements.
-17-
<PAGE>
Mortgage Securities III Trust F
Statement of Cash Flows
For the Thirteen Weeks Ended March 30, 1997 and March 31, 1996
(Unaudited)
<TABLE>
(Dollar amounts in thousands)
<CAPTION>
Thirteen Weeks Ended
---------------------
Mar. 30, Mar. 31,
1997 1996
-------- -------
<S> <C> <C>
Cash flows provided by operations:
Net income (loss) $ (210) $ (345)
Non-cash changes to income:
Amortizations 71 139
Accretion of interest 205 188
Changes in:
Interest receivable 1 6
Interest payable (11) (10)
Interest payable to Weyerhaeuser
Mortgage Company (Note 5) (8,570) 346
------- -------
Cash flows provided by operations (8,514) 324
Cash flows from investing in the business:
Collections on mortgage backed 257 160
certificates
Cash flows from financing activities:
Payments on collateralized
mortgage obligation bonds (625) (690)
Payment to Weyerhaeuser Mortgage Company (624) -
Debt due Weyerhaeuser Financial
Services, Inc. (Beneficial Owner) 9,374 -
------- -------
Cash flows from financing activities 8,125 (690)
Net increase (decrease) in cash and (132) (206)
equivalents
Cash and equivalents at beginning of year 649 685
------- -------
Cash and equivalents at end of quarter $ 517 $ 479
------- -------
Cash paid during the period for:
Interest $ 26 $ 107
======= =======
</TABLE>
The accompanying notes are an integral part of these statements.
-18-
<PAGE>
Mortgage Securities III Trusts A, B, C, D, E and F
Notes to Financial Statements
For the Thirteen Weeks Ended March 30, 1997
(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>
Date Bonds
Trust Issued Issued
<S> <C> <C>
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 first quarter of 1997 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:
The preparation of financial statements in conformity with
generally accepted accounting principles requires management
to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the
financial statements and the reported amounts of revenues
and expenses during the reporting period. Actual results
could differ from those estimates.
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
-20-
<PAGE>
yield over the contractual life of the certificates.
Hedging costs related to holding GNMA and FNMA certificates
have 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:
-21-
<PAGE>
<TABLE>
<CAPTION>
Gross Gross Estimated
Amortized Unrealized Unrealized Market
Held to Maturity: Cost Gains Losses Value
<S> <C> <C> <C> <C>
Mortgage-backed
Securities
Trust A $ 9,707 $ 547 $ - $ 10,254
Trust B 16,233 704 - 16,937
Trust C 13,370 543 - 13,913
Trust D 14,579 300 - 14,879
Trust E 46,114 387 - 46,501
Trust F 11,693 429 - 12,122
</TABLE>
Note 3. Collateralized Mortgage Obligation Bonds:
Bonds at March 30, 1997 and December 29, 1996 consist of the
following:
Collateralized Mortgage Obligation Mar. 30, Dec. 29,
Bonds, Trust A: 1997 1996
Class 4 - 9.20%, stated maturity
July 1, 2016 $ 9,525 $10,068
Unamortized discount (46) (49)
$ 9,479 $10,019
Collateralized Mortgage Obligation
Bonds, Trust B:
Class 3 - 9.00%, stated maturity
April 1, 2010 $ 133 $ 1,014
Class 4 - 9.00%, stated maturity
October 1, 2016 15,189 14,855
Unamortized discount (292) (299)
$15,030 $15,570
Collateralized Mortgage Obligation
Bonds, Trust C:
Class 4 - 9.00%, stated maturity
January 1, 2017 $13,738 $14,320
Unamortized discount (348) (369)
$13,390 $13,951
-22-
<PAGE>
Collateralized Mortgage Obligation March 30, Dec. 29,
Bonds, Trust D: 1997 1996
Class 2 - 8.55%, stated maturity
December 1, 2014 $ - $ 302
Class 3 - 8.60%, stated maturity
March 1, 2017 14,589 14,600
Unamortized discount (95) (101)
$ 14,494 $ 14,801
Collateralized Mortgage Obligation
Bonds, Trust E:
Class 3 - 9.00%, stated maturity
January 1, 2006 $ 606 $ 2,681
Class 4 - 9.00%, stated maturity
January 1, 2018 42,042 41,117
Unamortized discount (2,729) (3,081)
$ 39,919 $ 40,717
Collateralized Mortgage Obligation
Bonds, Trust F:
Class 3 - 9.00%, stated maturity
January 1, 2014 $ 526 $ 1,152
Class 4 - 9.00%, stated maturity
April 1, 2018 9,314 9,109
Unamortized discount (205) (271)
$ 9,635 $ 9,990
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.
Any such redemption 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.
-24-
<PAGE>
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 accrued
interest at Bank of America's prime rate and compounded
interest annually. Both the principal and interest related
to the Weyerhaeuser Mortgage Company payables were paid off
by Weyerhaeuser Financial Services, Inc. (Beneficial Owner)
in March 1997.
Certain ongoing administrative and accounting functions are
provided by the beneficial owner at no cost to each Trust.
-25-
<PAGE>
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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<ARTICLE> 5
<MULTIPLIER> 1,000
<S> <C>
<PERIOD-TYPE> 3-MOS
<FISCAL-YEAR-END> DEC-28-1997
<PERIOD-END> MAR-30-1997
<CASH> 22
<SECURITIES> 118,637
<RECEIVABLES> 1,244
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 0
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 119,903
<CURRENT-LIABILITIES> 43,327
<BONDS> 101,946
0
0
<COMMON> 1
<OTHER-SE> (25,372)
<TOTAL-LIABILITY-AND-EQUITY> 119,902
<SALES> 0
<TOTAL-REVENUES> 2,469
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 58
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 3,723
<INCOME-PRETAX> (1,312)
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 0
<EPS-PRIMARY> 0
<EPS-DILUTED> 0
</TABLE>
