<PAGE>
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 Thirty-nine Weeks Ended September 28, 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 Thirty-nine Weeks Ended September 28, 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 periods ended
September 28, 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 11th day of November 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: __________________________
Denise M. Geran
Financial Services Officer
<PAGE>
Mortgage Securities III Trust A
Statement of Operations
For the Periods Ended September 28, 1997 and September 29, 1996
(Unaudited)
<TABLE>
(Dollar amounts in thousands)
<CAPTION>
Thirteen Weeks Thirty-nine Weeks
Ended Ended
------------------ -------------------
Sep. 28, Sep. 29, Sep. 28, Sep. 29,
1997 1996 1997 1996
-------- -------- -------- --------
<S> <C> <C> <C> <C>
Interest income $ 258 $ 261 $ 681 $ 798
Interest expense 194 237 595 739
-------- -------- -------- --------
Net income (Note 6) $ 64 $ 24 $ 86 $ 59
======== ======== ======== ========
</TABLE>
The accompanying notes are an integral part of these statements
- 1 -
<PAGE>
Mortgage Securities III Trust B
Statement of Operations
For the Periods Ended September 28, 1997 and September 29, 1996
(Unaudited)
<TABLE>
(Dollar amounts in thousands)
<CAPTION>
Thirteen Weeks Thirty-nine Weeks
Ended Ended
------------------ -------------------
Sep. 28, Sep. 29, Sep. 28, Sep. 29,
1997 1996 1997 1996
-------- -------- -------- --------
<S> <C> <C> <C> <C>
Interest income $ 338 $ 404 $1,247 $ 1,271
Interest expense 318 382 1,180 1,214
-------- -------- -------- --------
Net income (Note 6) $ 20 $ 22 $ 67 $ 57
======== ======== ======== ========
</TABLE>
The accompanying notes are an integral part of these statements
- 2 -
<PAGE>
Mortgage Securities III Trust C
Statement of Operations
For the Periods Ended September 28, 1997 and September 29, 1996
(Unaudited)
<TABLE>
(Dollar amounts in thousands)
<CAPTION>
Thirteen Weeks Thirty-nine Weeks
Ended Ended
------------------ -------------------
Sep. 28, Sep. 29, Sep. 28, Sep. 29,
1997 1996 1997 1996
-------- -------- -------- --------
<S> <C> <C> <C> <C>
Interest income $ 285 $ 347 $1,039 $1,116
Interest expense 286 351 1,152 1,138
-------- -------- -------- --------
Net (loss) (Note 6) $ (1) $ (4) $(113) $ (22)
======== ======== ======== ========
</TABLE>
The accompanying notes are an integral part of these statements
- 3 -
<PAGE>
Mortgage Securities III Trust D
Statement of Operations
For the Periods Ended September 28, 1997 and September 29, 1996
(Unaudited)
<TABLE>
(Dollar amounts in thousands)
<CAPTION>
Thirteen Weeks Thirty-nine Weeks
Ended Ended
------------------ -------------------
Sep. 28, Sep. 29, Sep. 28, Sep. 29,
1997 1996 1997 1996
-------- -------- -------- --------
<S> <C> <C> <C> <C>
Interest income $ 295 $ 355 $ 865 $ 1,056
Interest expense 292 344 914 1,055
-------- -------- -------- --------
Net income (loss) $ 3 $ 11 $ (49) $ 1
(Note 6) ======== ======== ======== ========
</TABLE>
The accompanying notes are an integral part of these statements
- 4 -
<PAGE>
Mortgage Securities III Trust E
Statement of Operations
For the Periods Ended September 28, 1997 and September 29, 1996
(Unaudited)
<TABLE>
(Dollar amounts in thousands)
<CAPTION>
Thirteen Weeks Thirty-nine Weeks
Ended Ended
------------------ -------------------
Sep. 28, Sep. 29, Sep. 28, Sep. 29,
1997 1996 1997 1996
-------- -------- -------- --------
<S> <C> <C> <C> <C>
Interest income $ 899 $1,024 $ 3,125 $ 3,272
Interest expense 895 1,213 6,180 3,706
Interest expense to
an affiliate (Note 5) 1 702 696 2,123
-------- -------- -------- --------
Net income (loss) $ 3 $(891) $(3,751) $(2,557)
(Note 6) ======== ======== ======== ========
</TABLE>
The accompanying notes are an integral part of these statements
- 5 -
<PAGE>
Mortgage Securities III Trust F
Statement of Operations
For the Periods Ended September 28, 1997 and September 29, 1996
(Unaudited)
<TABLE>
(Dollar amounts in thousands)
<CAPTION>
Thirteen Weeks Thirty-nine Weeks
Ended Ended
------------------ -------------------
Sep. 28, Sep. 29, Sep. 28, Sep. 29,
1997 1996 1997 1996
-------- -------- -------- --------
<S> <C> <C> <C> <C>
Interest income $ 292 $ 299 $ 828 $ 948
Interest expense 200 382 918 1,065
Interest expense to
an affiliate (Note 5) - 184 180 875
-------- -------- -------- --------
Net income (loss) $ 92 $(267) $(270) $(992)
(Note 6) ======== ======== ======== ========
</TABLE>
The accompanying notes are an integral part of these statements
- 6 -
<PAGE>
Mortgage Securities III Trust A
Balance Sheets
September 28, 1997 and December 29, 1996
<TABLE>
(Dollar amounts in thousands)
<CAPTION>
Sep. 28, Dec. 29,
1997 1996
-------- -------
<S> <C> <C>
ASSETS (Unaudited)
Cash and equivalents:
Trust account $ 1 $ 1
Collection account (Notes 3 and 4) 9,238 769
------- -------
9,239 770
Interest receivable 68 85
Government National and Federal National
Mortgage Association Certificates, net of
unamortized premium of $0 and $35
(Notes 2, 4 and 5) 8,723 10,227
------- -------
TOTAL ASSETS - TRUST A $ 18,030 $11,082
======= =======
LIABILITIES AND OWNER'S BENEFICIAL INTEREST
Interest payable $ 193 $ 305
Collateralized mortgage obligation bonds,
net (Notes 1, 2, 3, 4 and 5) 8,396 10,019
Payable to Beneficial Owner (Note 5) 8,597 -
Owner's Beneficial Interest:
Owner's beneficial interest 1 1
Retained earnings 843 757
-------- --------
Total Owner's Beneficial Interest 844 758
-------- --------
TOTAL LIABILITIES AND EQUITY - TRUST A $ 18,030 $11,082
======== ========
</TABLE>
The accompanying notes are an integral part of these statements
- 7 -
<PAGE>
Mortgage Securities III Trust B
Balance Sheets
September 28, 1997 and December 29, 1996
<TABLE>
(Dollar amounts in thousands)
<CAPTION>
Sep. 28, Dec. 29,
1997 1996
-------- -------
<S> <C> <C>
ASSETS (Unaudited)
Cash and equivalents:
Trust account $ 1 $ 1
Collection account (Notes 3 and 4) 927 897
------- -------
928 898
Interest receivable 109 136
Government National and Federal National
Mortgage Association Certificates, net of
unamortized discount of $0 and $197
(Notes 2, 4 and 5) 15,040 16,652
------- -------
TOTAL ASSETS - TRUST B $16,077 $17,686
======= =======
LIABILITIES AND OWNER'S BENEFICIAL INTEREST
Interest payable $ 316 $ 472
Collateralized mortgage obligation bonds,
net (Notes 1, 2, 3, 4 and 5) 14,050 15,570
Owner's Beneficial Interest:
Owner's beneficial interest 1 1
Retained earnings 1,710 1,643
--------- ---------
Total Owner's Beneficial Interest 1,711 1,644
--------- ---------
TOTAL LIABILITIES AND EQUITY - TRUST B $16,077 $17,686
========= =========
</TABLE>
The accompanying notes are an integral part of these statements
- 8 -
<PAGE>
Mortgage Securities III Trust C
Balance Sheets
September 28, 1997 and December 29, 1996
<TABLE>
(Dollar amounts in thousands)
<CAPTION>
Sep. 28, Dec. 29,
1997 1996
-------- -------
<S> <C> <C>
ASSETS (Unaudited)
Cash and equivalents:
Trust account $ 1 $ 1
Collection account (Notes 3 and 4) 718 900
------- -------
719 901
Interest receivable 92 108
Government National and Federal National
Mortgage Association Certificates, net of
unamortized discount of $0 and $154
(Notes 2, 4 and 5) 12,848 14,182
------- -------
TOTAL ASSETS - TRUST C $13,659 $15,191
======= =======
LIABILITIES AND OWNER'S BENEFICIAL INTEREST
Interest payable $ 285 $ 426
Collateralized mortgage obligation bonds,
net (Notes 1, 2, 3, 4 and 5) 12,673 13,951
Owner's Beneficial Interest:
Owner's beneficial interest 1 1
Retained earnings 700 813
------- ---------
Total Owner's Beneficial Interest 701 814
------- ---------
TOTAL LIABILITIES AND EQUITY - TRUST C $13,659 $15,191
========= =========
</TABLE>
The accompanying notes are an integral part of these statements
- 9 -
<PAGE>
Mortgage Securities III Trust D
Balance Sheets
September 28, 1997 and December 29, 1996
<TABLE>
(Dollar amounts in thousands)
<CAPTION>
Sep. 28, Dec. 29,
1997 1996
-------- -------
<S> <C> <C>
ASSETS (Unaudited)
Cash and equivalents:
Trust account $ 1 $ 1
Collection account (Notes 3 and 4) 286 239
------- -------
287 240
Receivable from beneficial owner 15 45
Interest receivable 96 107
Government National and Federal National
Mortgage Association Certificates, net of
unamortized premium of $0 and $60
(Notes 2, 4 and 5) 13,449 15,095
------- -------
TOTAL ASSETS - TRUST D $13,847 $15,487
========= =========
LIABILITIES AND OWNER'S BENEFICIAL INTEREST
Interest payable $ 95 $ 213
Collateralized mortgage obligation bonds,
net (Notes 1, 2, 3, 4 and 5) 13,398 14,801
Owner's Beneficial Interest:
Owner's beneficial interest 1 1
Retained earnings 353 472
--------- ---------
Total Owner's Beneficial Interest 354 473
--------- ---------
TOTAL LIABILITIES AND EQUITY - TRUST D $13,847 $15,487
========= =========
</TABLE>
The accompanying notes are an integral part of these statements
- 10 -
<PAGE>
Mortgage Securities III Trust E
Balance Sheets
September 28, 1997 and December 29, 1996
<TABLE>
(Dollar amounts in thousands)
<CAPTION>
Sep. 28, Dec. 29,
1997 1996
-------- -------
<S> <C> <C>
ASSETS (Unaudited)
Cash and equivalents:
Trust account $ 1 $ 1
Collection account (Notes 3 and 4) 2,540 2,120
-------- -------
2,541 2,121
Interest receivable 288 336
Government National Mortgage Association
Certificates, net of unamortized discount
of $0 and $339 (Notes 2, 4 and 5) 43,506 47,636
Deferred hedging costs (Note 2) - 320
-------- -------
TOTAL ASSETS - TRUST E $ 46,335 $50,413
========= =========
LIABILITIES AND OWNER'S BENEFICIAL INTEREST
Interest payable $ 895 $ 986
Collateralized mortgage obligation bonds,
net (Notes 1, 2, 3, 4 and 5) 39,785 40,717
Payable to Weyerhaeuser Mortgage Company
(Note 5) - 35,597
Owner's Beneficial Interest:
Owner's beneficial interest 36,294 1
Accumulated deficit (30,639) (26,888)
--------- ---------
Total Owner's Beneficial Interest 5,655 (26,887)
--------- ---------
TOTAL LIABILITIES AND EQUITY - TRUST E $ 46,335 $50,413
========= =========
</TABLE>
The accompanying notes are an integral part of these statements
- 11 -
<PAGE>
Mortgage Securities III Trust F
Balance Sheets
September 28, 1997 and December 29, 1996
<TABLE>
(Dollar amounts in thousands)
<CAPTION>
Sep. 28, Dec. 29,
1997 1996
-------- -------
<S> <C> <C>
ASSETS (Unaudited)
Cash and equivalents:
Trust account $ 1 $ 1
Collection account (Notes 3 and 4) 9,669 648
-------- -------
9,670 649
Interest receivable 78 90
Government National and Federal National
Mortgage Association Certificates, net of
unamortized discount of $0 and $25
(Notes 2, 4 and 5) 10,823 11,949
Deferred hedging costs (Note 2) - 85
-------- -------
TOTAL ASSETS - TRUST F $ 20,571 $12,773
========= =========
LIABILITIES AND OWNER'S BENEFICIAL INTEREST
Interest payable $ 200 $ 304
Collateralized mortgage obligation bonds,
net (Notes 1, 2, 3, 4 and 5) 8,886 9,990
Payable to Weyerhaeuser Mortgage Company
(Note 5) - 9,194
Payable to beneficial owner (Note 5) 9,096 -
Owner's Beneficial Interest:
Owner's beneficial interest 9,375 1
Accumulated deficit (6,986) (6,716)
--------- ---------
Total Owner's Beneficial Interest 2,389 (6,715)
--------- ---------
TOTAL LIABILITIES AND EQUITY - TRUST F $ 20,571 $12,773
========= =========
</TABLE>
The accompanying notes are an integral part of these statements
- 12 -
<PAGE>
Mortgage Securities III Trust A
Statement of Cash Flows
For the Periods Ended September 28, 1997 and September 29, 1996
(Unaudited)
<TABLE>
(Dollar amounts in thousands)
<CAPTION>
Thirty-nine Weeks
Ended
---------------------
Sep. 28, Sep. 29,
1997 1996
-------- -------
<S> <C> <C>
Cash flows provided by operations:
Net income $ 86 $ 59
Non-cash charges to income:
Amortizations 6 -
Write-offs 81 -
Changes in:
Interest receivable 17 10
Receivable from beneficial owner - 1,746
Interest payable (112) (41)
------- -------
Net cash provided by operations 78 1,774
Cash flows from investing activities:
Collections on mortgage backed 1,468 1,014
certificates
Cash flows from financing activities:
Dividends - (1,745)
Payments on collateralized
mortgage obligation bonds (1,674) (1,408)
Debt due beneficial owner 8,597 -
------- -------
Cash flows from financing 6,923 (3,153)
------- -------
Net increase (decrease) in cash and 8,469 (365)
equivalents
Cash and equivalents at beginning of year 770 845
------- -------
Cash and equivalents at end of quarter $ 9,239 $ 480
------- -------
Cash paid during the period for:
Interest $ 631 $ 775
========= =========
</TABLE>
The accompanying notes are an integral part of these statements
- 13 -
<PAGE>
Mortgage Securities III Trust B
Statement of Cash Flows
For the Periods Ended September 28, 1997 and September 29, 1996
(Unaudited)
<TABLE>
(Dollar amounts in thousands)
<CAPTION>
Thirty-nine Weeks
Ended
---------------------
Sep. 28, Sep. 29,
1997 1996
-------- -------
<S> <C> <C>
Cash flows provided by operations:
Net income $ 67 $ 57
Non-cash charges to income:
Amortizations 3 (1)
Write-offs 99 -
Accretion of interest - 938
Changes in:
Interest receivable 27 24
Receivable from beneficial owner - 370
Interest payable (156) 1,183
------- -------
Net cash provided by operations 40 2,571
Cash flows from investing activities:
Collections on mortgage backed 1,809 2,612
certificates
Cash flows from financing activities:
Dividends - (369)
Payments on collateralized
mortgage obligation bonds (1,819) (3,634)
------- -------
Cash flows from financing (1,819) (4,003)
------- -------
Net increase (decrease) in cash and 30 1,180
equivalents
Cash and equivalents at beginning of year 898 1,004
------- -------
Cash and equivalents at end of quarter $ 928 $ 2,184
------- -------
Cash paid during the period for:
Interest $ 674 $ 728
======= =======
</TABLE>
The accompanying notes are an integral part of these statements
- 14 -
<PAGE>
Mortgage Securities III Trust C
Statement of Cash Flows
For the Periods Ended September 28, 1997 and September 29, 1996
(Unaudited)
<TABLE>
(Dollar amounts in thousands)
<CAPTION>
Thirty-nine Weeks
Ended
---------------------
Sep. 28, Sep. 29,
1997 1996
-------- -------
<S> <C> <C>
Cash flows provided by operations:
Net loss $ (113) $ (22)
Non-cash charges to income:
Amortizations 13 25
Write-offs 202 -
Changes in:
Interest receivable 16 19
Receivable from beneficial owner - 236
Interest payable (141) (84)
------- -------
Net cash flows provided by operations (23) 174
Cash flows from investing activities:
Collections on mortgage backed 1,489 3,000
certificates
Cash flows from financing activities:
Dividends - (235)
Payments on collateralized
mortgage obligation bonds (1,648) (2,722)
------ ------
Cash flows from financing (1,648) (2,957)
------- -------
Net increase (decrease) in cash and (182) 217
equivalents
Cash and equivalents at beginning of year 901 1,068
------- -------
Cash and equivalents at end of quarter $ 719 $ 1,285
------- -------
Cash paid during the period for:
Interest $ 744 $ 1,161
========= =========
</TABLE>
The accompanying notes are an integral part of these statements
- 15 -
<PAGE>
Mortgage Securities III Trust D
Statement of Cash Flows
For the Periods Ended September 28, 1997 and September 29, 1996
(Unaudited)
<TABLE>
(Dollar amounts in thousands)
<CAPTION>
Thirty-nine Weeks
Ended
---------------------
Sep. 28, Sep. 29,
1997 1996
-------- -------
<S> <C> <C>
Cash flows provided by operations:
Net loss $ (49) $ 1
Non-cash charges to income:
Amortizations 6 8
Write-offs 154 -
Changes in:
Interest receivable 11 (10)
Receivable from beneficial owner 30 1,622
Interest payable (118) (23)
------- -------
Cash flows provided by operations 34 1,598
Cash flows from investing activities:
Collections on mortgage backed 1,586 1,561
certificates
Cash flows from financing activities:
Dividends (70) (1,667)
Payments on collateralized
mortgage obligation bonds (1,503) (1,610)
------- -------
Cash flows from financing (1,573) (3,277)
------- -------
Net increase (decrease) in cash and 47 (118)
equivalents
Cash and equivalents at beginning of year 240 224
------- -------
Cash and equivalents at end of quarter $ 287 $ 106
------- -------
Cash paid during the period for:
Interest $ 931 $ 1,044
========= =========
</TABLE>
The accompanying notes are an integral part of these statements
- 16 -
<PAGE>
Mortgage Securities III Trust E
Statement of Cash Flows
For the Periods Ended September 28, 1997 and September 29, 1996
(Unaudited)
<TABLE>
(Dollar amounts in thousands)
<CAPTION>
Thirty-nine Weeks
Ended
---------------------
Sep. 28, Sep. 29,
1997 1996
-------- -------
<S> <C> <C>
Cash flows provided by operations:
Net loss $(3,751) $(2,557)
Non-cash charges to income:
Amortizations 349 380
Write-offs 2,713 -
Accretion of interest - 2,597
Changes in:
Interest receivable 48 76
Receivable from beneficial owner - 1,820
Interest payable (91) (119)
Interest payable to Weyerhaeuser
Mortgage Company (Note 5) (18,656) 2,123)
------- -------
Cash flows provided by operations (19,388) 4,320
Cash flows from investing activities:
Collections on mortgage backed 4,469 5,402
certificates
Cash flows from financing:
Contributions 36,293 -
Dividends - (1,820)
Payments on collateralized
mortgage obligation bonds (4,013) (7,913)
Payments to Weyerhaeuser Mortgage Company (16,941) -
Cash flows from financing 15,339 (9,733)
Net increase (decrease) in cash and 420 (11)
equivalents
Cash and equivalents at beginning of year 2,121 2,717
------- -------
Cash and equivalents at end of quarter $ 2,541 $2,706
------- -------
Cash paid during the period for:
Interest $ 1,880 $ 726
========= =========
</TABLE>
The accompanying notes are an integral part of these statements
- 17 -
<PAGE>
Mortgage Securities III Trust F
Statement of Cash Flows
For the Periods Ended September 28, 1997 and September 29, 1996
(Unaudited)
<TABLE>
(Dollar amounts in thousands)
<CAPTION>
Thirty-nine Weeks
Ended
---------------------
Sep. 28, Sep. 29,
1997 1996
-------- -------
<S> <C> <C>
Cash flows provided by operations:
Net loss $ (270) $ (992)
Non-cash charges to income:
Amortizations 71 228
Write-offs 260 -
Accretion of interest - 575
Changes in:
Interest receivable 12 18
Receivable from beneficial owner - 1,937
Interest payable (104) (58)
Interest payable to Weyerhaeuser
Mortgage Company (Note 5) (8,570) 876
------- -------
Cash flows provided by operations (8,601) 2,584
Cash flows from investing activities:
Collections on mortgage backed 1,151 2,304
certificates
Cash flows from financing activities:
Contributions 9,374 -
Dividends - 5,837
Payments on collateralized
mortgage obligation bonds (1,375) (2,340)
Payments to Weyerhaeuser Mortgage Company (624) (7,773)
Debt due beneficial owner 9,096 -
------- -------
Cash flows from financing activities 16,471 (4,276)
Net increase (decrease) in cash and 9,021 612
equivalents
Cash and equivalents at beginning of year 649 685
------- -------
Cash and equivalents at end of quarter $ 9,670 $ 1,297
------- -------
Cash paid during the period for:
Interest $ 441 $ 285
========= =========
</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 Thirty-nine Weeks Ended September 28, 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
Obligation Bonds (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 third 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.
In 1997, the Beneficial Owner elected to write-off the
unamortized discounts and premiums on its GNMA certificates,
FNMA certificates and Bonds and carry these instruments at
par value. In addition, the remaining deferred hedging
costs on Trusts E and F were also written off. This
decision resulted in a net expense of $ 3,509 as shown by
individual Trusts below:
<TABLE>
<CAPTION>
Certificate Def'd Net
Premiums/ Bond Hedging Write-off
(Discounts) Discounts Costs Expense
----------- ---------- ------- -------
<S> <C> <C> <C> <C>
Trust A $ 34 $ 47 $ - $ 81
Trust B (192) 291 - 99
Trust C (145) 347 - 202
Trust D 58 96 - 154
Trust E (319) 2,730 302 2,713
Trust F (23) 205 78 260
---------- ---------- ------- --------
Total $(587) $ 3,716 $ 380 $ 3,509
========== ========== ======= ========
</TABLE>
- 20 -
<PAGE>
Prior to the write-off, Trust A, B, C and D's unamortized
discounts and premiums on the certificates and Bonds were
being amortized using a method approximating the effective
interest method over the estimated life of the instruments.
Trust E and F's unamortized discounts on the certificates
and Bonds were being amortized using an interest method
which computes a constant effective yield over the
contractual life of the certificates. The Trusts elected to
retroactively apply the method of recognizing interest
income and expense established by Financial Accounting
Standards Board Statement No. 91 to Trust E and F, but opted
not to retroactively apply this method to the other Trusts.
Cash and equivalents include cash held in the collection
account and invested in short term investments with
maturities of less than three months.
The amortized cost and estimated market value of investments
in GNMA and FNMA certificates are as follows:
<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 $ 8,723 $ 351 $ - $ 9,074
Trust B 15,040 462 - 15,502
Trust C 12,848 653 - 13,501
Trust D 13,449 502 - 13,951
Trust E 43,506 1,376 - 44,882
Trust F 10,823 329 - 11,152
</TABLE>
Note 3. Collateralized Mortgage Obligation Bonds:
Bonds at September 28, 1997 and December 29, 1996 consist of
the following:
Collateralized Mortgage Obligation Sep. 28, Dec. 29,
Bonds, Trust A: 1997 1996
------- --------
Class 4 - 9.20%, stated maturity
July 1, 2016 (repaid October 1, 1997) $ 8,396 $10,068
Unamortized discount - (49)
------- --------
$ 8,396 $10,019
- 21 -
<PAGE>
Collateralized Mortgage Obligation Sep. 28, Dec. 29,
Bonds, Trust B: 1997 1996
------- --------
Class 3 - 9.00%, stated maturity
April 1, 2010 (repaid April 1, 1997) $ - $ 1,014
Class 4 - 9.00%, stated maturity
October 1, 2016 14,050 14,855
Unamortized discount - (299)
------- --------
$14,050 $15,570
Collateralized Mortgage Obligation
Bonds, Trust C:
Class 4 - 9.00%, stated maturity
January 1, 2017 $12,673 $14,320
Unamortized discount - (369)
------- --------
$12,673 $13,951
Collateralized Mortgage Obligation
Bonds, Trust D:
Class 2 - 8.55%, stated maturity
December 1, 2014 (repaid March 3, 1997) $ - $ 302
Class 3 - 8.60%, stated maturity
March 1, 2017 13,398 14,600
Unamortized discount - (101)
------- --------
$ 13,398 $ 14,801
Collateralized Mortgage Obligation
Bonds, Trust E:
Class 3 - 9.00%, stated maturity
January 1, 2006 (repaid April 1, 1997) $ - $ 2,681
Class 4 - 9.00%, stated maturity
January 1, 2018 39,785 41,117
Unamortized discount - (3,081)
------- --------
$ 39,785 $ 40,717
Collateralized Mortgage Obligation
Bonds, Trust F:
Class 3 - 9.00%, stated maturity
January 1, 2014 (repaid July 1, 1997) $ - $ 1,152
Class 4 - 9.00%, stated maturity
April 1, 2018 (repaid October 1, 1997) 8,886 9,109
Unamortized discount - (271)
------- --------
$ 8,886 $ 9,990
- 22 -
<PAGE>
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.
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).
- 23 -
<PAGE>
Trust D's 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.
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.
<PAGE>
(Beneficial Owner) in March 1997, in anticipation of the
sale of Weyerhaeuser Mortgage Company to an unrelated third
party by Weyerhaeuser Financial Services, Inc. and the
Weyerhaeuser Company. In August 1997, Weyerhaeuser
Financial Services, Inc. contributed capital to Trusts E &
F, increasing beneficial owner's interest.
The Beneficial Owner advanced funds to Trusts A and F during
the third quarter. The funds were repaid during the fourth
quarter. No interest was charded as the advance was treated
as a current payable.
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. Mortgage Securities III will
be responsible for all tax liabilities incurred relating to
the Trusts' operations.
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<TABLE> <S> <C>
<ARTICLE> CT
<MULTIPLIER> 1,000
<S> <C>
<PERIOD-TYPE> 9-MOS
<FISCAL-YEAR-END> DEC-28-1997
<PERIOD-END> SEP-28-1997
<TOTAL-ASSETS> 128,544
0
0
<COMMON> 0
<OTHER-SE> 14,603
<TOTAL-LIABILITY-AND-EQUITY> 128,544
<TOTAL-REVENUES> 7,784
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 0
<EPS-PRIMARY> 0
<EPS-DILUTED> 0
</TABLE>
