FFTW FUNDS, INC.
Semi-Annual Report
June 30, 1998
- -------------------------------------------------------------------------------
200 PARK AVENUE
NEW YORK, NY 10166
TELEPHONE 212.681.3000
FACSIMILE 212.681.3250
August 28, 1998
Dear Shareholder:
We are pleased to present the Semi-Annual Report for the six-month period ended
June 30, 1998. The FFTW Funds, Inc. continues to enjoy strong growth in its nine
Portfolios, each reflecting a specific strategy to meet the objectives of our
investors.
As a result of our continuing success, FFTW Funds, Inc. is in the process of
registering a number of new Portfolios for introduction later this year. The new
Portfolios represent unique investment strategies offered by Fischer Francis
Trees & Watts, the investment adviser, but not previously available to the
clients of FFTW Funds, Inc. The expanded offering will provide greater
flexibility for meeting our clients' investment objectives.
We greatly appreciate your participation in the FFTW Funds. We welcome the
opportunity to discuss the objectives and results of our funds in a continuing
effort to meet your investment needs. Please do not hesitate to contact us with
questions or comments regarding this report, or for assistance in general.
Yours sincerely,
O. John Olcay
Chairman of the Board and Chief Executive Officer
FFTW Funds, Inc.
FFTW Funds, Inc.
President's Letter
Overviews - U.S. Portfolios 1
Performance - U.S. Portfolios 2
Overviews - Global and International Portfolios 5
Performance - Global and International Portfolios 7
Schedules of Investments
Money Market Portfolio 12
U.S. Short-Term Portfolio 13
Stable Return Portfolio 15
Mortgage Total Return Portfolio 17
Worldwide Portfolio 21
Worldwide-Hedged Portfolio 23
International Portfolio 25
International-Hedged Portfolio 26
Emerging Markets Portfolio 28
Statements of Assets and Liabilities 31
Statements of Operations 36
Statements of Changes in Net Assets 41
Financial Highlights 46
Notes to Financial Statements 55
FFTW Funds, Inc.
Table of Contents
Money Market Portfolio Stable Return Portfolio
U.S. Short-Term Portfolio Mortgage Total Return Portfolio
Market Review
Bond markets performed well in the first quarter as interest rates trended
lower in the major markets. U.S. rates fell sharply early in the quarter
but retraced much of their decline. U.S. growth remained strong and
employment was at record levels, but inflation expectations remained
subdued. Corporate securities were the best performing investment grade
sector, enjoying a good technical environment as investors searched for
additional yield for their portfolios.
In the mortgage market, lower bond yields early in the quarter continued to
result in higher-than-anticipated prepayments that caused significant
uncertainty among investors in the sector. Interest-only securities were the
worst performing sub-sector as a result of this uncertainty about
prepayments. Overall the sector returned 1.63%, lagging behind both the
Treasury and corporate sectors in the U.S.
In the second quarter, major world bond markets performed well as interest rates
trended lower in Europe, Japan, and the U.S. However, turmoil continued to
dominate the Asian markets. U.S. rates were bound within a 40 basis point
range and ended the period near their lowest levels in the quarter. U.S.
economic growth and labor markets remained strong, while inflation
expectations, despite some modest increases in price indicators, remained
low.
Portfolio Overviews
Each of the U.S. Portfolios outperformed its benchmark for the first half of
1998, as indicated in the performance information commencing on page 2. The
Portfolios maintained a long duration exposure relative to their respective
benchmarks throughout the first quarter that detracted somewhat from
overall performance. However, the Money Market, U.S. Short-Term, and Stable
Return Portfolios each held overweighted positions in asset-backed
securities, the contribution of which off-set the effect of the longer
duration positions.
Money Market, U.S. Short-Term, and Stable Return Portfolios continued to
maintain a long duration exposure as the yield curve flattened throughout
the second quarter. The result was a modest positive impact on the returns
of the Portfolios. Corporate bond holdings were increased to an
overweighted position and the continued overweighting in asset-backed
securities continued to provide a positive effect on the Portfolios'
relative performance.
Because of widening swap spreads combined with higher volatility and prepayment
fears, the Mortgage Total Return Portfolio was neutral on the mortgage
basis during the first quarter. The Treasury market rally in the second
quarter led to mortgage prepayment fears that caused the mortgage market
to weaken later in the quarter. Higher coupon pass-throughs and
interest-only securities underperformed for most of the quarter.
Collateralized mortgage-backed securities positions underperformed
Treasuries during the quarter, detracting from the Portfolio's return.
While there was no fundamental credit deterioration in the mortgage
sector, U.S. corporate bond spreads widened significantly causing a
spillover into mortgage credit.
Outlook
The effects of the Asian economic downturns are beginning to be felt in the U.S.
economy. The trade deficit is ballooning and may get worse as imports form
Asia pick up. Statistics on the manufacturing sector are showing persistent
signs of weakness. Although consumption and labor markets remain strong, the
trend towards lower rates in the U.S. should continue.
FFTW Funds, Inc.
Overviews - U.S. Portfolios
June 30, 1998 (Unaudited)
Money Market Portfolio seeks to attain current income, liquidity, and the
maintenance of a stable net asset value per share through investments in high
quality, short-term obligations.
Yield Information for the 7-day period ended June 30, 1998:
Effective
Yield Yield
Money Market Portfolio 5.38% 5.52%
IBC's Money Fund Report Averages(TM)-All Taxable 4.99% 5.10%
U.S. Short-Term Portfolio seeks to attain a high level of total return as may
be consistent with the preservation of capital and to maintain liquidity by
investing primarily in high-quality fixed income securities with an average
U.S. dollar-weighted duration of less than one year. U.S. Short-Term is not a
money market fund and its shares are not guaranteed by the U.S. Government.
Average Annual Total Return for the periods ended June 30, 1998:
Since
One Year 5 Years Inception*
U.S. Short-Term Portfolio 5.25% 4.86% 5.19%
IBC's Money Fund Report Averages(TM)-All Taxable* 5.16% 4.63% 4.89%
* U.S. Short Term Portfolio commenced operations on December 6, 1989. The
Portfolio invests in longer term maturities than the benchmark and, therefore,
presents greater risks of NAV fluctuation.
FFTW Funds, Inc.
Performance - U.S. Portfolios (continued)
June 30, 1998 (Unaudited)
Stable Return Portfolio seeks to maintain a stable level of total return as may
be consistent with the preservation of capital by investing primarily in
high-quality debt securities with an average U.S. dollar-weighted duration of
less than three years and by using interest rate hedging as a stabilizing
technique.
Average Annual Total Return for the periods ended June 30, 1998:
One Since
Year Inception*
Stable Return Portfolio 6.96% 5.80%
Merrill Lynch 1-2.99 Year Treasury
Index 6.80% 5.65%
* Stable Return Portfolio commenced operations on July 26, 1993.
FFTW Funds, Inc.
Performance - U.S. Portfolios (continued)
June 30, 1998 (Unaudited)
Mortgage Total Return Portfolio seeks to attain a high level of total return as
may be consistent with the preservation of capital by investing primarily in
mortgage-related securities, maintaining an average U.S. dollar-weighted
duration in the range of two to six years.
Average Annual Total Return for the periods ended June 30, 1998:
One Since
Year Inception*
Mortgage Total Return Portfolio 9.03% 9.46%
Lehman Mortgage-Backed Securities Index 8.92% 8.64%
* Mortgage Total Return Portfolio commenced operations on April 29, 1996.
FFTW Funds, Inc.
Overviews - Global & International Portfolios
June 30, 1998 (Unaudited)
Worldwide Portfolio International Portfolio
Worldwide-Hedged Portfolio International-Hedged Portfolio
Emerging Markets Portfolio
Market Review
Bond markets across the board performed well in the first quarter as interest
rates trended lower in the major markets. U.S. rates fell sharply early in
the quarter but retraced much of their decline while German rates were
lower by 30-40 basis points. In Japan, recessionary conditions persisted
and policy makers struggled to develop an effective remedy, resulting in
continued low interest rates.
In currency markets, the major currencies exhibited no major trends during the
quarter; the dollar edged higher against the mark and ended the period much
where it began relative to the yen. The yen appreciated early in the year
amid hopes for fiscal reforms, but the currency suffered later in the quarter
due to the fear that these hopes would not be realized.
In the second quarter, turmoil continued to dominate the Asian markets. U.S.
rates were bound within a 40 basis point range, as were German yields, and
ended the period near their lowest levels for the quarter. In Japan,
recessionary conditions worsened as the magnitude of the country's banking
crisis became obvious. Interest rates continued to fall with the five-year
Japanese Government Bond reaching a low of 80 basis points before rebounding.
Currency markets were dominated by the slide of the yen versus all major
currencies. The dollar/yen exchange rate fell to 145 and was only
stabilized by intervention in the foreign exchange market. The
deutschemark remained relatively stable versus the U.S. dollar.
Portfolio Overviews
Each of Worldwide, Worldwide-Hedged, International, and International-Hedged
Portfolios regained their edge relative to their respective benchmarks in
the second quarter after struggling in the first quarter, as shown in the
performance information provided on page 7.
In the first quarter, the advantages of an overweighting of European bonds were
offset by an underweighted position in Japanese yen versus the U.S. dollar
and deutsche mark in the early part of the quarter. Worldwide and
Worldwide-Hedge also saw a detraction from returns from an overweighting in
U.S. duration positions.
Initially in the second quarter, the Portfolios were underweighted in European
duration as stronger domestic demand in Germany suggested a possible
need for the Bundesbank to increase interest rates. The Portfolios'
exposure was subsequently increased to an overweight allocation
following the release of excellent inflation data and signs of a
slowdown in economic growth. The overweighting contributed to second
quarter returns as did an underweighting in U.K. gilts.
The Portfolios maintained an underweight position in the Japanese yen during
much of the second quarter. This position was reduced following intervention
to support the yen by Japanese and U.S. authorities, which added
significantly to the Portfolios' returns during the quarter.
The International-Hedged Portfolio is used exclusively by FFTW for the portion
of its client base that seeks the incremental return that a limited exposure
to the international market may bring. The International-Hedged Portfolio
significantly outperformed its benchmark utilizing a strategy that involves
investing the Portfolio in a diversified international portfolio but
swapping the return of the JP Morgan Global Government Bond Index, (Non-U.S.
Unhedged) ("Bond Index") in exchange for a LIBOR-based payment to the
Portfolio. The success of the strategy is measured relative to the JP Morgan
3-Month Eurodeposit Index ("Index").
The Emerging Markets Portfolio had a strong first quarter and then struggled in
the second quarter as the strategy of maintaining a high yield on the
external debt portion of the Portfolio detracted from returns. Since June
30, the Portfolio has declined approximately 18.5%, due to the collapse of
the Russian currency markets and the spillover to other emerging markets.
Added pressure on commodity prices in Latin American markets has also
contributed to declines in emerging market debt instruments.
FFTW Funds, Inc.
Overviews - Global and International Portfolios (continued)
June 30, 1998 (Unaudited)
Outlook
While the trend toward lower interest rates in the U.S. is expected to continue
due to the effects of the Asian economic downturns and persistent signs of
manufacturing sector weakness, the economic fundamentals point to stronger
growth in Europe. However, the effect of a significant Asian slowdown may
appear in Europe as well. Monetary policies should remain on hold in the
near term, keeping volatility comparatively low.
Japanese rates are likely to move higher in response to new fiscal initiatives.
Problems within the Japanese banking system most likely will continue
to weaken the yen. Emerging market debt and currencies will remain
volatile due to the continuing lack of liquidity and the credit crisis
in Russia.
With respect to the emerging markets, European real yields are seen as the most
attractive in the local market universe, and Asian currency volatility
appears to be too high relative to prospective returns. Maintaining a high
yield on the external debt portion of the Portfolio is expected to be a
significant contributor to performance in the future. We are reducing
exposure to local currencies in anticipation of continuing pressures on
these currencies. We will look for opportunities in the local debt market
once forced liquidation pressures allow the markets to stabilize.
FFTW Funds, Inc.
Performance - Global and International Portfolios
June 30, 1998 (Unaudited)
Worldwide Portfolio seeks to attain a high level of total return as may be
consistent with the preservation of capital by investing primarily in
high-quality fixed income securities from bond markets worldwide, denominated in
both U.S. dollars and foreign currencies, with an average U.S.
dollar-weighted duration of less than eight years.
Average Annual Total Return for the periods ended June 30, 1998:
One Since
Year 5 Years Inception*
Worldwide Portfolio 6.83% 5.47% 7.55%
JP Morgan Global Government Bond Index (Unhedged) 5.87% 6.62% 7.70%
* Worldwide Portfolio commenced operations on April 15, 1992.
FFTW Funds, Inc.
Performance - Global and International Portfolios (continued)
June 30, 1998 (Unaudited)
Worldwide-Hedged Portfolio seeks to attain a high level of total return as may
be consistent with the preservation of capital by investing primarily in
high-quality fixed income securities from bond markets worldwide, denominated in
both U.S. dollars and foreign currencies, with an average U.S. dollar-weighted
duration of less than eight years and by actively utilizing currency hedging
techniques.
Average Annual Total Return for the periods ended June 30, 1998:
One Since
Year 5 Years Inception*
Worldwide-Hedged Portfolio 13.00% 10.27% 10.63%
Customized Benchmark* 11.96% 7.53% 8.07%
* Customized Benchmark May 19, 1992 (commencement of operations of the
Portfolio) through July 31, 1994 - JP Morgan Global Government Bond Index
(Hedged); August 1, 1994 through June 30, 1995 - IBC's Money Fund Report
Averages(TM)-All Taxable; July 1, 1995 to present - JP Morgan Global Government
Bond Index (Hedged). For the period between August 1, 1994 and June 30, 1995,
the Worldwide-Hedged. Portfolio was invested in cash or short-term instruments
due to its small size. Consequently, the Portfolio's performance is compared to
this Customized Benchmark. FFTW Funds, Inc.
Performance - Global and International Portfolios (continued)
June 30, 1998 (Unaudited)
International Portfolio seeks to attain a high level of total return as may be
consistent with the preservation of capital by investing primarily in
high-quality fixed income securities from bond markets worldwide, denominated in
foreign currencies, with an average U.S. dollar-weighted duration of less than
eight years.
Average Annual Total Return for the periods ended June 30, 1998:
One Since
Year Inception*
International Portfolio 5.14% 4.01%
JP Morgan Global Government Bond Index (Non-U.S. Unhedged) 2.28% 2.64%
* International Portfolio commenced operations on May 9, 1996.
FFTW Funds, Inc.
Performance - Global and International Portfolios (continued)
June 30, 1998 (Unaudited)
International-Hedged Portfolio seeks to attain a high level of total return as
may be consistent with the preservation of capital by investing primarily in
high-quality fixed income securities from bond markets worldwide, denominated in
foreign currencies, with an average U.S. dollar-weighted duration of less than
eight years and by actively utilizing currency hedging techniques.
Average Annual Total Return for the periods ended June 30, 1998:
Since
One Recommencement
Year of Operations*
International-Hedged Portfolio 7.52% 6.79%
JP Morgan 3-Month Eurodeposit Index 5.97% 5.92%
* The Portfolio redeemed all of its assets on December 30, 1994, and began
selling shares again on September 14, 1995. The total return (on an annualized
basis) from its original inception of March 25, 1993 through December 30, 1994,
was 5.39%, versus the JP Morgan Global Government Bond Index (Non-U.S. Hedged),
which had an annualized return of 2.98% for the same period, and the JP Morgan
3-Month Eurodeposit Index, which had an annualized return of 4.05% for the same
period. The return stated is for the period commencing September 14, 1995.
FFTW Funds, Inc.
Performance - Global and International Portfolios (continued)
June 30, 1998 (Unaudited)
Emerging Markets Portfolio seeks to attain a high level of total return as may
be consistent with the preservation of capital by investing primarily in fixed
income securities from bond markets in emerging markets countries, denominated
in local currencies or currencies of OECD countries, with an average U.S.
dollar-weighted duration of less than eight years.
Average Annual Total Return for the periods ended June 30, 1998:
Since
Inception*
Emerging Markets Portfolio (2.47%)
JP Morgan Emerging Local Markets Index Plus (6.80%)
* Emerging Markets Portfolio commenced operations on August 12,1997.
FFTW Funds, Inc.
Money Market Portfolio - Schedule of Investments
June 30, 1998 (Unaudited)
<TABLE>
<S> <C> <C>
Face
Amount Value
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Asset- and Mortgage-Backed Securities - 7.4%
Ford Credit Auto Owner Trust, Ser. 1998-B, Class A1, 6.680% due 05/15/99 $932,875 $932,875
Triangle Funding Ltd, Ser. 1997-1, Class 1, 5.773% due 11/15/98 1,000,000 1,000,000
----------------
Total (Cost - $1,932,875) 1,932,875
----------------
Bank Obligations - 63.5%
Abbey National Euro CD, 5.600% due 08/20/98 1,100,000 1,100,000
Bank of Montreal Time Deposit, 5.750% due 07/01/98 1,000,000 1,000,000
Bank of Nova Scotia Yankee CD, 5.689% due 02/25/99 1,000,000 999,812
Bank of Scotland Euro CD, 5.595% due 09/14/98 1,000,000 999,870
Barclays de Zoete Wedd Yankee CD, 5.550% due 07/20/98 1,100,000 1,100,000
Bayerische Vereinsbank Yankee CD, 5.604% due 10/08/98 1,000,000 999,955
Bayerische Landesbank Yankee CD, 5.615% due 09/16/98 1,000,000 1,000,021
Canadian Imperial Bank CD, 5.600% due 09/30/98 1,000,000 1,000,193
Deutsche Bank Yankee CD, 5.573% due 07/9/98 1,000,000 1,000,004
Federal Home Loan Discount Note, 5.542% due 09/23/98 500,000 486,502
Investors Bank & Trust Cash Sweep, 5.625% due 08/03/98 1,135,000 1,135,000
Nations Bank Time Deposit, 5.750% due 07/01/98 700,000 700,000
Natwest Yankee CD, 5.735% due 05/07/99 1,000,000 999,875
Rabo Bank Yankee CD, 5.550% due 07/28/98 1,000,000 999,992
Republic National Bank New York Time Deposit, 5.750% due 07/01/98 1,000,000 1,000,000
Westdeutsche Landesbank Time Deposit, 5.562% due 07/01/98 1,000,000 1,000,000
Suedwestdeutsche Lande Euro CD, 5.594% due 09/11/98 1,000,000 1,000,020
----------------
Total (Cost - $16,521,244) 16,521,244
----------------
Commercial Paper - 28.0%*
Bankers Trust, 5.579% due 08/12/98 1,100,000 1,084,567
Ford Motor Credit Corp., 5.599% due 07/24/98 1,000,000 986,123
General Electric Capital Corp., 5.606% due 07/22/98 1,100,000 1,088,193
JP Morgan & Co., Inc., 5.500% due 08/24/98 1,100,000 1,084,875
Province of Quebec, 5.591% due 08/24/98 1,100,000 1,072,775
Queens Health, 5.577% due 08/06/98 1,000,000 986,200
Shell Finance, 5.633% due 07/15/98 1,000,000 989,611
----------------
Total (Cost - $7,292,344) 7,292,344
----------------
Total Investments - 98.9% (Cost - $25,746,463) 25,746,463
----------------
Other Assets and Liabilities - 1.1% 285,432
----------------
Net Assets - 100.0% $ 26,031,895
================
</TABLE>
Summary of Abbreviations
CD Certificate of Deposit
* Interest rate shown represents yield to maturity at date of purchase.
See Notes to Financial Statements.
FFTW Funds, Inc.
U.S. Short-Term Portfolio - Schedule of Investments
June 30, 1998 (Unaudited)
<TABLE>
<S> <C> <C>
Face
Amount Value
- ----------------------------------------------------------------------------------------------------------------------
Asset- and Mortgage-Backed Securities - 87.2%
Aames Mortgage Trust (FRN), Ser. 1997-C, Class A1A, 5.888% due 11/15/27 $401,537 $ 399,967
Aames Mortgage Trust (FRN), Ser. 1997-C, Class A1F, 5.808% due 05/15/12 5,840,079 5,838,853
Aames Mortgage Trust (FRN), Ser. 1998-A, Class A1A, 5.878% due 03/15/28 12,669,336 12,660,341
Advanta Equipment Receivables, Ser. 1998-1, Class A1, 5.770% due 12/15/06 8,000,000 8,003,680
Amresco Residential Securities, Ser. 1998-2, Class A8, 5.811% due 05/25/28 10,000,000 9,982,031
Beneficial Mortgage Corp. (FRN), Ser. 1995-1, Class A1, 5.868% due 03/28/25 1,675,972 1,677,715
Beneficial Mortgage Corp. (FRN), Ser. 1997-1, Class M, 5.898% due 05/28/37 3,000,000 3,004,890
Block Mortgage Finance, Inc. (FRN), Ser. 1997-2, Class A6, 5.858% due 05/25/27 2,304,445 2,308,316
Champion Home Equity Loan Trust, Ser. 1997-2, Class A1, 6.590% due 11/25/10 7,194,585 7,197,607
Chase Manhattan Auto Owner Trust, Ser. 1996-C, Class A3, 5.950% due 11/15/00 5,000,000 5,005,850
Citibank Credit Card Master Trust I (FRN), Ser. 1998-7, Class B, 5.781% due 05/15/02 15,000,000 14,953,125
Contimortgage Home Equity Loan Trust (FRN), Ser. 1996-1, Class A8, 5.996% due 03/15/27 1,051,854 1,060,879
Contimortgage Home Equity Loan Trust (FRN), Ser. 1997-3, Class A10, 5.866% due 08/15/28 5,617,759 5,625,905
Criimi Mae Corp., (144A) Ser. 1998-1, Class A1, 5.697% due 10/20/01 (a) 13,000,000 12,870,000
Delta Funding Home Equity Loan Trust, Ser. 1996-1, Class A3, 7.030% due 02/25/11 8,592,722 8,635,686
Discover Card Trust, Ser. 1991-F, Class A, 7.850% due 11/21/00 5,000,000 5,019,200
EQCC Home Equity Loan Trust (FRN), Ser. 1997-3, Class A10, 5.831% due 11/15/28 10,006,163 10,012,067
EQCC Home Equity Loan Trust, Ser. 1996-4, Class A3, 6.260% due 11/15/06 4,847,817 4,858,531
Excelsior Master Trust (144A) (FRN), Ser 1998-1A, Class C1, 6.468% due 03/15/06 (a) 3,000,000 3,000,000
FHLMC, Ser. 1561, Class ZA, 6.000% due 01/15/05 10,441,151 10,442,613
First Chicago Master Trust II (FRN), Ser. 1996-R, Class A, 5.726% due 07/15/01 8,000,000 8,000,560
First Chicago Master Trust II (FRN), Ser. 1996-S, Class A, 5.781% due 08/15/04 15,000,000 15,022,350
FNMA (FRN), Ser. 1993-54, Class FK, 6.288% due 04/25/21 3,326,713 3,355,422
FNMA, Ser. 1994-93, Class PC, 7.000% due 05/25/13 476,195 474,533
Ford Credit Auto Owner Trust, Ser. 1997-B, Class A2, 5.950% due 01/15/00 6,000,000 6,006,540
Ford Credit Auto Owner Trust, Ser. 1998-B, Class A2, 5.800% due 10/15/00 8,000,000 7,995,600
GE Capital Mortgage Services, Inc., Ser. 1997-HE3, Class A1, 6.530% due 12/25/10 4,475,708 4,470,650
GMAC Home Equity Loan Trust, (144A) Ser. 1998-1, Class A, 5.826% due 03/15/24 (a) 8,000,000 8,000,000
Greentree Financial Corp., Ser. 1997-3, Class A2, 6.490% due 07/15/28 5,187,720 5,206,862
Headlands Mortgage Securities, Inc. (FRN), Ser. 1997-3, Class C1, 5.938% due 07/25/27 1,036,160 1,033,622
HFC Home Equity Loan (FRN), Ser. 1992-1, Class A1, 5.930% due 05/20/07 1,090,292 1,085,658
HFC Home Equity Loan (FRN), Ser. 1992-1, Class A2, 6.068% due 05/20/07 661,440 661,500
HFC Home Equity Loan (FRN), Ser. 1992-2, Class A2, 6.048% due 10/20/07 6,318,892 6,320,598
HFC Home Equity Loan (FRN), Ser. 1993-1, Class A1, 5.880% due 05/20/08 4,224,525 4,220,554
HFC Revolving Home Equity Loan Trust (FRN), Ser. 1994-2, Class A1, 5.886% due 09/20/14 7,312,154 7,291,534
HFC Revolving Home Equity Loan Trust (FRN), Ser. 1996-1, Class A, 5.856% due 07/20/17 11,176,123 11,187,522
Keycorp Student Loan Trust, Ser. 1995-B, Class A, 5.886% due 09/27/24 7,912,848 7,913,007
MBNA Master Credit Card Trust, Ser. 1993-3, Class A, 5.400% due 09/15/00 8,658,746 8,633,030
MBNA Master Credit Card Trust, Ser. 1994-C, Class B, 6.138% due 03/15/04 10,000,000 10,030,700
Merrill Lynch Mortgage Investors, Inc. (FRN), Ser. 1993-F, Class A2, 6.038% due 09/15/23 1,758,367 1,844,633
Merrill Lynch Mortgage Investors, Inc. (FRN), Ser. 1998-FF1, Class A, 5.806% due 01/20/28 9,853,892 9,853,892
Money Store Home Equity Trust, Ser. 1996-D, Class A3, 6.295% due 11/15/11 5,691,078 5,691,590
Oakwood Mortgage Investors, Inc. (FRN), Ser. 1997-A, Class A1, 5.736% due 05/15/27 144,214 144,229
People's Bank Credit Card Master Trust (FRN), Ser. 1996-1, Class A, 5.806% due 11/15/04 10,000,000 10,019,100
Premier Auto Trust, Ser. 1995-1, Class A6, 8.050% due 04/04/00 4,413,297 4,436,599
Premier Auto Trust, Ser. 1995-2, Class A6, 7.200% due 10/04/99 2,881,026 2,887,767
Premier Auto Trust, Ser. 1995-2, Class CTFS, 7.350% due 06/04/01 7,000,000 7,021,910
Premier Auto Trust, Ser. 1997-1, Class A2, 5.900% due 04/06/00 5,320,094 5,323,819
Premier Auto Trust, Ser. 1997-2, Class A3, 6.130% due 09/06/00 6,500,000 6,516,055
Providian Master Trust (FRN), Ser. 1997-3, Class A, 5.766% due 12/15/05 10,000,000 10,008,200
Residential Accredit Loans, Inc., Ser. 1998-QS2, Class A4, 6.248% due 02/25/28 9,380,262 9,383,921
Residential Asset Securities Corp., Ser. 1998-KS1, Class AI1, 6.940% due 02/25/11 7,225,678 7,240,491
Residential Asset Securitization Trust, Ser. 1997-A4, Class A9, 6.088% due 06/25/27 6,665,809 6,660,810
</TABLE>
FFTW Funds, Inc.
U.S. Short-Term Portfolio - Schedule of Investments (continued)
June 30, 1998 (Unaudited)
<TABLE>
<S> <C> <C>
Face
Amount Value
- ----------------------------------------------------------------------------------------------------------------
Asset- and Mortgage-Backed Securities - (continued)
Residential Funding Mtg. Sec. I, Ser. 1993-S41, Class A1, 6.844% due 09/25/23 $445,493 $445,012
Santa Barbara Funding II (FRN), Ser. A, Class 1, 6.338% due 03/20/18 301,955 304,291
Sears Credit Card Master Trust, Ser. 1995-4, Class B, 6.350% due 01/15/03 8,000,000 8,024,720
Signet Credit Card Master Trust, Ser. 1993-1, Class A, 5.200% due 02/15/02 5,350,000 5,343,794
Standard Credit Card Master Trust, Ser. 1991-3, Class B, 9.250% due 09/07/98 7,150,000 7,258,180
Standard Credit Card Master Trust, Ser. 1991-6, Class A, 7.875% due 11/07/98 3,705,000 3,732,343
Structured Asset Securities Corp. (144A) (FRN), Ser. 1998-C2A, Class A, 5.826% due
12/25/00 (a) 7,534,060 7,534,060
Westpac Securitisation Trust (FRN), Ser. 1998-1G, Class A, 5.805% due 07/19/29 10,000,000 10,000,000
WFS Financial Owner Trust, Ser. 1998-B, Class A2, 5.777% due 01/20/01 12,000,000 11,880,000
-----------------
Total (Cost - $391,309,885) 391,022,914
-----------------
Bank Obligations - 1.1%
Investors Bank & Trust Cash Sweep, 5.625% due 08/03/98 4,757,000 4,757,000
-----------------
(Cost - $4,757,000)
Corporate Obligations - 4.9%
Salomon, Inc. (FRN), 6.988% due 02/14/00 12,000,000 12,192,000
JP Morgan Co., Inc. (FRN), 5.649% due 2/25/00 10,000,000 9,989,300
-----------------
Total (Cost - $22,177,748) 22,181,300
-----------------
Commercial Paper - 2.4%*
Bank of Nova Scotia, 5.490% due 08/19/98 11,000,000 10,917,803
-----------------
(Cost - $10,917,803)
Foreign Obligations - 3.2%
Arkaig Finance Co. BV (FRN), 5.748% due 03/19/99 4,500,000 4,499,631
Halifax Building Society (FRN), 5.688% due 09/10/99 10,000,000 10,004,500
-----------------
Total (Cost - $14,503,423) 14,504,131
-----------------
U.S. Government Obligations - 4.4%
U.S. Treasury Bill, 5.039% due 12/10/98*@ 3,000,000 2,931,552
U.S. Treasury Bond, 6.500% due 11/15/26 14,950,000 16,566,494
-----------------
Total (Cost - $19,497,648) 19,498,046
-----------------
Total Investments - 103.2% (Cost - $463,163,507) 462,881,194
-----------------
Other Assets and Liabilities - (3.2%) (14,218,850)
-----------------
Net Assets - 100.0% $ 448,662,344
=================
</TABLE>
Summary of Abbreviations
FRN Floating Rate Note
* Interest rate shown represents yield to maturity at date of purchase.
@ Security or a portion thereof is held in a margin account to cover financial
futures contracts.
(a) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At June 30, 1998,
these securities were valued at $31,534,060 or 7.0% of net assets.
See Notes to Financial Statements.
FFTW Funds, Inc.
Stable Return - Schedule of Investments
June 30, 1998 (Unaudited)
<TABLE>
<S> <C> <C>
Face
Amount Value
- ---------------------------------------------------------------------------------------------------------------
Long-Term Investments - 103.6%
Asset- and Mortgage-Backed Securities - 64.2%
Advanta Equipment Receivables, Ser 1998-1, Class A2, 5.820% due 12/15/06 $ 2,000,000 $ 2,000,279
Allied Capital Commercial Mortgage Trust, (144A) Ser. 1998-1, Class A, 6.310% due
09/25/03 (a) 1,634,999 1,626,753
BankBoston Marine Asset Backed Trust, Ser. 1997-2, Class A4, 6.410% due 10/15/08 1,500,000 1,518,690
Bear Stearns Mortgage Securities, Inc., Ser. 1996-4, Class AI4, 7.350% due 09/25/27 109,520 109,272
Centrex Auto Trust, (144A) Ser. 1996-B, Class CTFS, 6.600% due 09/15/04 (a) 500,000 506,406
CIT RV Trust, Ser. 1997-A, Class A4, 6.200% due 10/16/06 1,250,000 1,253,688
Citicorp Mortgage Securities, Inc., Ser. 1993-7, Class A2, 7.000% due 08/25/21 651,727 652,157
Contimortgage Home Equity Loan Trust, Ser. 1997-4, Class A5, 6.440% due 12/15/12 1,200,000 1,209,612
Criimi Mae, (144A) Ser. 1998-1, Class A1, 5.697% due 10/20/01 (a) 1,000,000 990,000
EQCC Home Equity Loan Trust (FRN), Ser. 1997-3, Class A10, 5.831% due 11/15/28 1,539,410 1,540,318
EQCC Home Equity Loan Trust, Ser. 1998-1, Class A2F, 6.136% due 04/15/09 2,000,000 2,001,680
FHLMC, Ser. 1625, Class DA, 5.500% due 07/15/04 864,913 863,330
FHLMC, Ser. 1733, Class PD, 7.250% due 01/15/17 500,000 502,805
First Plus Home Loan Trust, Ser. 1998-1, Class A2, 5.970% due 11/10/10 1,000,000 998,290
FNMA Dwarf (TBA), 6.500% due 07/01/13 5,000,000 5,028,095
FNMA Whole Loan, Ser. 1996-W4, Class A3, 6.719% due 12/25/11 1,000,000 1,011,275
GNMA (FRN), Ser. 1998, 6.156% due 07/30/28 2,000,000 2,022,500
Merrill Lynch Mortgage Investors, Inc., Ser. 1994-M1, Class B, 8.161% due 06/25/22 1,000,000 1,011,430
Navistar Financial Corp. Owner Trust, Ser. 1997-A, Class A3, 6.750% due 03/15/02 1,000,000 1,013,100
Norwest Asset Securities Corp., Ser. 1997-6, Class A11, 7.500% due 05/25/27 1,000,000 1,009,095
Rental Car Finance Corp., (144A) Ser. 1997-1, Class A1, 6.250% due 06/25/03 (a) 1,500,000 1,506,094
Residential Accredit Loans, Inc., Ser. 1996-QS2, Class A3, 7.050% due 03/25/19 778,409 777,910
Residential Asset Securitization Trust, Ser. 1996-A5, Class A3, 7.750% due 09/25/26 77,774 77,586
Residential Funding Mortgage Sec. I, Ser. 1996-S20, Class A1, 7.100% due 09/25/26 872,066 875,519
Saxon Asset Securities Trust, Ser. 1998-2, Class AV2, 6.200% due 04/25/17 2,000,000 2,000,000
Southern Pacific Secured Assets Corp., Ser. 1998-2, Class A2, 6.280% due 07/25/98 1,000,000 999,844
Vendee Mortgage Trust, 1998-1, Class 2A, 7.000% due 11/15/14 1,911,443 1,929,078
--------------
Total (Cost - $34,996,761) 35,034,806
--------------
Corporate Obligations - 12.9%
Associates Corp. (144A), 6.450% due 09/15/00 (a) 500,000 504,600
Banc One Corp, 7.25% due 08/01/02 500,000 519,566
Chase Manhattan Corp., 6.450% due 03/29/01 1,000,000 1,007,347
FNMA (MTN), 5.820% due 10/18/99 5,000,000 5,007,740
--------------
Total (Cost - $7,028,277) 7,039,253
--------------
Foreign Obligations - 0.4%
Industrial Financial Corp. (144A), 6.875% due 04/01/03 (a) 250,000 215,373
--------------
(Cost - $241,667)
U.S. Government Obligations - 26.1%
U.S. Treasury Bond, 6.500% due 11/15/26 2,240,000 2,487,800
U.S. Treasury Note, 5.375% due 01/31/00 2,000,000 1,995,000
</TABLE>
FFTW Funds, Inc.
Stable Return Portfolio - Schedule of Investments (continued)
June 30, 1998 (Unaudited)
<TABLE>
<S> <C> <C>
Face
Amount Value
- ----------------------------------------------------------------------------------------------
U.S. Government Obligations - (continued)
U.S. Treasury Note, 5.500% due 05/31/00 $ 2,500,000 $2,500,000
U.S. Treasury Note, 5.500% due 05/31/03 2,000,000 2,000,000
U.S. Treasury Note, 5.625% due 05/15/01 1,750,000 1,756,015
U.S. Treasury Note, 5.750% due 04/30/03 3,500,000 3,533,905
---------------
Total (Cost - $14,247,962) 14,272,720
---------------
Total Long-Term Investments (Cost - $56,514,667) 56,562,152
---------------
Short-Term Investments - 11.2%
Bank of Montreal Time Deposit, 5.750% due 07/01/98 1,500,000 1,500,000
Investors Bank & Trust Cash Sweep, 5.625% due 08/03/98 2,655,000 2,655,000
Republic National Bank New York Time Deposit, 5.750% due 07/01/98 1,500,000 1,500,000
U.S. Treasury Bill, 5.039% due 12/10/98 *@ 500,000 488,592
---------------
Total (Cost - $6,143,526) 6,143,592
---------------
Total Investments - 114.8% (Cost - $62,658,193) 62,705,744
---------------
Other Assets and Liabilities - (14.8%) (8,088,886)
---------------
Net Assets - 100.0% $ 54,616,858
===============
</TABLE>
Summary of Abbreviations
FRN Floating Rate Note
MTN Medium-Term Note
TBA To Be Announced
* Interest rate shown represents yield to maturity at date of purchase.
@ Security or a portion thereof is held in a margin account to cover financial
futures contracts.
(a) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At June 30, 1998,
these securities were valued at $5,349,226 or 9.8% of net assets.
See Notes to Financial Statements.
FFTW Funds, Inc.
Mortgage Total Return Portfolio - Schedule of Investments
June 30, 1998 (Unaudited)
<TABLE>
<S> <C> <C>
Face
Amount Value
- -------------------------------------------------------------------------------------------------------------------
Long-Term Investments - 167.2%
To Be Announced Mortgage Pools (TBAs) - 62.5%
FNMA Dwarf (TBA), 6.000% due 07/01/13 $ 100,000,000 $ 98,874,400
FNMA (TBA), 6.500% due 07/01/98 16,000,000 15,929,872
FNMA (TBA), 6.500% due 08/01/98 212,000,000 210,871,948
FNMA (TBA), 8.500% due 07/01/98 27,000,000 28,181,250
GNMA (TBA), 8.000% due 07/01/98 235,000,000 243,371,875
--------------
Total (Cost - $597,704,687) 597,229,345
--------------
Mortgage Pools - 0.1%
FNMA, 6.500% due 03/01/11 19,800 19,920
GNMA, 8.000% due 08/15/00 7,137 7,277
GNMA, 7.500% due 10/15/23 371,824 382,773
--------------
Total (Cost - $399,310) 409,970
--------------
Interest Only Obligations (IOs) - 3.6%*(b)
DLJ Commercial Mortgage Corp., Ser. 1998-CG1, Class S, 8.244% due 05/10/23 6,998,799 6,966,280
FHLMC IO, Ser. 188, 14.833% due 10/01/27 1,426,973 1,194,336
First Union-Lehman Brothers Bank of America IO, Ser. 1998-C2, Class IO, 8.503% due
05/18/28 5,054,970 5,088,140
FNMA IO, Ser. 1992-148 Class 2, (2.163% - 3.669%) due 04/25/19 560,480 439,207
FNMA IO, Ser. 294, Class 2, (13.144% - 13.245%) due 02/01/28 8,545,337 7,506,166
Prudential Home Mortgage Sec. IO, Ser. 1994-30, Class A11, (12.045% - 14.2255%) due
10/25/24 718,509 438,062
Structured Asset Securities Corp. IO, Ser. 1996-CFL, Class X1, 1.3792% due 02/25/28 3,570,499 3,586,039
Structured Asset Securities Corp. IO, Ser. 1996-CFL, Class X2, (8.455% - 13.572%) due
02/25/28 1,700,898 1,898,253
Vendee Mortgage Trust IO, Ser. 1996-1, Class 1IO, (6.809% - 10.907%) due 02/15/26 2,677,556 3,153,637
Vendee Mortgage Trust IO, Ser. 1992-2, Class IO, (3.908% - 8.422%) due 09/15/22 1,438,701 1,659,222
Vendee Mortgage Trust IO, Ser. 1994-2A, Class 3IO, (9.118% - 12.327%) due 06/15/24 277,557 270,170
Vendee Mortgage Trust IO, Ser. 1994-3A, Class 1IO, (8.235% - 11.555%) due 09/15/24 943,621 1,302,605
Vendee Mortgage Trust IO, Ser. 1994-3B, Class 2IO, (3.215% - 6.915%) due 06/15/24 468,652 574,150
Vendee Mortgage Trust IO, Ser. 1996-2, Class 1IO, (7.933% - 9.841% due 06/15/26 363,839 378,374
--------------
Total (Cost - $34,703,779) 34,454,642
--------------
Principal Only Obligations (POs) - 8.5%*(b)
FHLMC PO, Ser. 1597, Class E, 6.638% due 07/15/23 3,971,918 4,175,573
FHLMC PO, Ser. 183, Class PO, 4.666% due 04/01/27 2,678,525 2,786,661
FHLMC PO, Ser. 1907, Class LP, 5.617% due 06/15/20 4,819,125 5,222,186
FHLMC PO, Ser. 192, Class PO, 4.851%% due 02/01/28 2,690,123 2,749,172
FHLMC PO, Ser. 1969, Class U, 5.694% due 11/15/07 2,172,734 2,595,735
FHLMC PO, Ser. 2003, Class PC, 6.530% due 02/17/27 13,777,187 14,157,590
FNMA PO, Ser. 1990-73, Class K, (7.114% - 7.659%) due 07/25/20 7,710,062 7,991,262
FNMA PO, Ser. 1993-100, Class J, (7.192% - 8.535%) due 06/25/23 2,273,322 2,482,626
FNMA PO, Ser. 1993-100, Class L, 7.459% due 06/25/23 1,815,807 1,961,930
FNMA PO, Ser. 1993-100, Class M, (7.945% - 8.376%) due 06/25/23 1,946,765 2,128,694
FNMA PO, Ser. 1993-100, Class N, (7.192% - 8.517%) due 06/25/23 1,731,153 1,888,161
FNMA PO, Ser. 1993-111, Class B, (6.548% - 9.167%) due 12/25/20 6,058,510 6,553,950
FNMA PO, Ser. 1993-128, Class C, (7.032% - 7.387%) due 07/28/23 11,852,734 12,247,207
FNMA PO, Ser. 1993-157, Class E, (6.938% - 9.028%) due 05/25/22 5,469,092 6,037,040
FNMA PO, Ser. 1993-159, Class PA, (6.576% - 7.122%) due 01/25/21 623,827 632,835
FNMA PO, Ser. 1998-15, Class N, 5.798% due 08/25/21 3,753,643 3,814,235
FNMA PO, Ser. 254, Class 1, 5.163% due 01/01/24 3,497,771 3,655,978
--------------
Total (Cost - $76,842,300) 81,080,835
--------------
</TABLE>
FFTW Funds, Inc.
Mortgage Total Return Portfolio - Schedule of Investments (continued)
June 30, 1998 (Unaudited)
<TABLE>
<S> <C> <C>
Face
Amount Value
- ----------------------------------------------------------------------------------------------------------------------
Collaterized Mortgage Obligations (CMOs) - 41.3%
Chase Commercial Mortgage Securities Corp., 1998-1 Class A, 5.810% due 05/18/08 $10,000,000 $10,000,000
CTS Adjustable Rate Mortgage Trust, Ser. 1995-1 Class A, 6.298% due 05/25/26 2,913,679 2,936,443
Countrywide Mortgage Backed Securities, Inc. (FRN), Ser. 1993-D, Class A15, 4.425% due
01/25/09 4,010,473 3,195,219
Countrywide Funding Corp., Ser. 1994-10, Class A1, 6.000% due 05/25/09 1,161,828 1,158,784
CS First Boston Mortgage Securities Corp., Ser. 1997-C2, Class A3, 6.550%
due 11/17/07 5,000,000 5,124,750
CS First Boston Mortgage Securities Corp., Ser. 1998-C1, Class A1B, 6.480% due 05/17/08 5,000,000 5,099,219
Criimi Mae Corp., Ser. 1998-1, Class C, 6.701% due 05/20/08 7,000,000 6,991,250
DLJ Mortgage Acceptance Corp., (144A) Ser. 1995-CF2, Class A3, 7.050%
due 12/17/27 (a) 8,500,000 8,762,969
DLJ Commercial Mortgage Corp., Ser. 1998-CF1, Class A1B, 6.410% due 02/15/08 8,000,000 8,108,320
DLJ Commercial Mortgage Corp., Ser. 1998-CG1, Class A1B, 6.410% due 05/10/08 5,000,000 5,059,375
FHLMC, Ser. 1415, Class M, 6.750% due 02/15/06 14,200,000 14,343,761
FHLMC, Ser. 1458, Class D, 6.250% due 04/15/03 13,149 13,122
FHLMC, Ser. 1511, Class L, 6.000% due 05/15/08 10,484,167 10,168,172
FHLMC, Ser. 1614, Class K, 10.000% due 06/15/20 2,980,707 3,101,348
FHLMC (FRN), Ser. 1615, Class SB, 3.964% due 11/15/08 4,025,900 3,428,895
FHLMC (FRN), Ser. 1695, Class AB, 6.088% due 01/15/24 14,361,905 14,412,646
FHLMC, Ser. 1765-B, Class BA, 10.000% due 01/15/17 2,954,421 3,041,481
FNMA, Ser. G93-10, Class H, 5.000% due 08/25/22 4,800,000 4,390,128
FNMA (FRN), Ser. 1993-156, Class FA, 6.088% due 05/25/16 13,086,689 13,106,149
FNMA (FRN), Ser. G93-40, Class FA, 6.188% due 12/25/23 12,532,400 12,634,389
FNMA (FRN), Ser. 1994-17, Class F, 6.288% due 02/25/09 33,235,254 33,523,237
FNMA (FRN), Ser. X-89B, Class F, 6.138% due 03/25/09 12,049,352 12,102,948
FNMA, Ser. 1997-13, Class QA, 6.500% due 03/18/09 5,125,600 5,134,928
FNMA (FRN), Ser. 1997-17, Class FB, 6.188% due 02/18/25 6,540,000 6,569,548
GMAC Commercial Mortgage Securities, Inc., Ser. 1997-C2, Class A3, 6.566% due 11/15/07 7,000,000 7,172,340
GNMA (FRN), Ser. 1998, Class 17, 6.156% due 7/30/28 20,000,000 20,225,000
GS Mortgage Securities Corp., (144A) Ser. 1998-GS1, Class A, 5.798 due 02/13/00 (a) 4,995,086 4,995,086
LB Commercial Conduit Mortgage Trust Ser. 1998-C1, Class A3, 6.480% due 01/18/08 11,250,000 11,452,163
Merrill Lynch Mortgage Investors, Inc. (FRN), Ser. 1998-F, Class A2, 6.038% due 09/15/23 9,853,892 9,853,892
MLCC Mortgage Investors, Inc. (FRN), Ser. 1995-B, Class A, 6.088% due 10/15/20 13,589,684 13,677,337
Mid-America Finance, Inc., Ser. 1998-1, Class A, 6.376% due 09/01/05 13,250,000 13,146,484
Paine Webber Mortgage Acceptance Corp. (FRN), Ser. 1994-6, Class A9, 3.925% due
04/25/09 1,900,000 1,354,344
Prudential Home Mortgage Securities (FRN), Ser. 1993-13, Class A3, 6.338% due 04/25/08 12,497,495 12,522,740
Prudential Home Mortgage Securities, Ser. 1994-15, Class A3, 6.800% due 05/25/24 33,173 33,063
Residential Funding Mortgage Securities I, Ser. 1993-S36, Class A3, 5.065% due 10/25/08 265,949 264,864
Resolution Trust Corp. (FRN), Ser. 1993-C3, Class A3, 6.438% due 12/25/24 566,660 566,748
Southern Pacific Secured Assets Corp. Ser. 1997-4, Class A1, 5.891% due 01/25/28 9,145,792 9,142,408
Structured Asset Securities Corp. (144A) (FRN), Ser. 1998-C2A, Class A, 5.826% due
12/25/00 (a) 34,845,027 34,845,027
Structured Asset Securities Corp., (144A) Ser. 1998-C2A, Class D, 6.256 due 01/25/01 (a) 9,843,915 9,843,915
Structured Asset Securities Corp., Ser. 1998-4, Class A2, 5.896% due 06/25/28 38,000,000 37,039,360
Wells Fargo, Ser. 1998 WF2, Class C, 6.770% due 7/15/30 6,000,000 6,105,938
Westpac Securitization Trust, Ser. 1998-1G, Class A, 5.805% due 07/19/29 10,000,000 10,000,000
--------------
Total (Cost - $392,865,066) 394,647,790
--------------
</TABLE>
FFTW Funds, Inc.
Mortgage Total Return Portfolio - Schedule of Investments (continued)
June 30, 1998 (Unaudited)
<TABLE>
<S> <C> <C>
Face
Amount Value
- ---------------------------------------------------------------------------------------------------------------------------------
Asset-Backed Securities -39.0%
- ---------------------------------------------------------------------------------------------------------------------------------
Aames Mortgage Trust (FRN), Ser. 1998-A, Class A1A, 5.878% due 03/15/28 $4,872,822 $4,869,362
American Eagle (FRN), Ser. 1998-1, Class M1, 6.16% due 05/25/28 19,000,000 19,000,000
Amresco Residential Securities Mortgage Loan (FRN), Ser. 1997-3, Class A10,
5.838% due 07/25/27 23,203,895 23,231,508
Amresco Residential Securities Mortgage Loan, Ser. 1998-2, Class M2F, 7.040%
due 06/25/28 6,250,000 6,306,152
Beneficial Mortgage Corp. (FRN), Ser. 1995-1, Class A1, 5.868% due 03/28/25 5,586,673 5,592,483
Beneficial Mortgage Corp. (FRN), Ser. 1996-1, Class A, 5.828% due 04/28/26 10,856,078 10,858,584
Beneficial Mortgage Corp. (FRN), Ser. 1997-2, Class A, 5.768% due 09/28/37 11,813,027 11,506,822
Carco Auto Loan Master Trust (FRN), Ser. 1995-1, Class A, 5.836% due 06/15/00 15,000,000 15,000,750
Chase Commercial Mortgage Securities Corp., (144A) Ser. 1998-1, Class C,
6.560% due 05/18/08 (a) 5,000,000 5,050,000
Citibank Credit Card Master Trust I (FRN), Ser. 1997-10, Class B, 5.816% due
11/15/01 32,000,000 31,999,040
Citibank Credit Card Master Trust I (FRN), Ser. 1998-7, Class B, 5.781% due
05/15/02 35,000,000 34,890,625
Contimortgage Home Equity Loan Trust, Ser. 1997-3, Class A5, 7.010% due 08/15/13 12,055,000 12,265,239
Criimi Mae Re Remic, (144A) Ser. 1998-C1, Class A1, 7.000% due 06/02/06 (a) 6,000,000 5,977,500
EQCC Home Equity Loan Trust, Ser. 1997-3, Class A7, 6.930% due 02/15/29 10,700,000 10,966,002
Excelsior Master Trust (144A) (FRN), Ser. 1998-1A, Class C1, 6.468% due
03/15/06 (a) 3,962,000 3,962,000
First Chicago Master Trust II, Ser. 1995-M, Class A, 5.896% due 12/15/03 15,000,000 15,082,200
First Chicago Master Trust II (FRN), Ser. 1996-S, Class A, 5.781% due 08/15/04 30,000,000 30,044,700
First USA Credit Card Master Trust, Ser. 1994-6, Class A, 5.975% due 10/15/03 7,100,000 7,123,217
GMAC Home Equity Loan Trust (144A) (FRN), Ser. 1998-1, Class A, 5.826% due
03/15/24 (a) 21,500,000 21,500,000
Green Tree Home Equity Loan Trust 1998-C, Class M1, 6.800% due 07/15/29 7,200,000 7,261,875
Homart, Class A1, 6.625% due 12/29/98 10,862,614 10,862,614
Mellon Bank Home Equity Loan Trust (FRN), Ser. 1996-1, Class A1, 5.878% due
04/15/26 14,126,453 14,119,955
Nationsbank Commercial Loan Master Trust (144A), Ser. 1997-1, Class A, 5.798%
due 09/20/02 11,000,000 11,013,860
Residential Funding Mortgage Securities I (FRN), Ser. 1997-HS2, Class A, 5.811%
due 09/20/22 19,542,436 19,526,411
Residential Asset Securities Corp., Ser. 1997-KS3, Class AI1, 5.743% due
08/25/27 2,840,569 2,836,847
Saxon Asset Securities, Ser. 1998-2, Class MF1, 6.690% due 12/25/27
11,691,000 11,694,653
Signet Home Equity Loan Corp. Trust (FRN), Ser. 1995-A, Class A, 5.919% due
06/20/04 8,717,585 8,740,861
Vanderbilt Mortgage Finance, Ser. 1997-B, Class 2A1, 5.892% due 11/07/12 5,031,448 5,052,680
Vanderbilt Mortgage Finance, Ser. 1998-B, Class 1A6, 6.780% due 07/07/28 5,875,000 5,841,035
--------------
Total (Cost - $371,885,741) 372,176,976
--------------
U.S. Treasury Securities - 12.2%
U.S. Treasury Note, 5.500% due 03/31/03 19,500,000 19,487,813
U.S. Treasury Note, 6.625% due 05/15/07 50,500,000 54,271,693
U.S. Treasury Note, 5.500% due 02/15/08 15,000,000 14,995,305
U.S. Treasury Bond, 6.625% due 02/15/27 25,000,000 28,242,175
--------------
Total (Cost - $115,508,237) 116,996,986
--------------
Total Long-Term Investments (Cost - $1,589,909,120) 1,596,996,544
--------------
</TABLE>
FFTW Funds, Inc.
Mortgage Total Return Portfolio - Schedule of Investments (continued)
June 30, 1998 (Unaudited)
<TABLE>
<S> <C> <C>
Face
Amount Value
- -----------------------------------------------------------------------------------
Short Term Investments - 5.0%
Investors Bank & Trust Cash Sweep, 5.625% due 8/3/98 $39,813,000 $39,813,000
U.S. Treasury Bill, 4.897% due 9/24/98* 4,000,000 3,953,439
U.S. Treasury Bill, 5.039% due 12/10/98* 4,550,000 4,446,187
---------------
Total (Cost - $48,211,180) 48,212,626
---------------
Long Options - 0.0% Contracts
3 month LIBOR cap at 8.000%, Expiring 11/14/01 22 11,704
3 month LIBOR cap at 8.500%, Expiring 11/14/02 38 26,667
---------------
Total (Cost - 199,150) 38,371
---------------
Total Investments - 172.2% (Cost - $1,638,319,450) 1,645,247,541
---------------
Other Assets and Liabilities - (72.2%) (689,929,717)
---------------
Net Assets - 100.0% $955,317,824
===============
</TABLE>
Summary of Abbreviations
FRN Floating Rate Note
LIBOR London Interbank Offered Rate
TBA To Be Announced
* Interest rate shown represents yield to maturity at date of purchase.
(a) Security exempt from registration under Rule 144A of Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At June 30, 1998,
these securities were valued at $94,936,497 or 9.9% of assets.
(b) Face amount represents amortized cost.
FFTW Funds, Inc.
Worldwide Portfolio - Schedule of Investments
June 30, 1998 (Unaudited)
<TABLE>
<S> <C> <C> <C>
Face
Amount (a) Value
- ------------------------------------------------------------------------------------------------------------
Long-Term Investments - 67.7%
Australia - 0.7%
Australian Government, 10.000% due 02/15/06
(Cost - $655,068) AUD 770,000 $ 609,809
--------------
Denmark - 4.2%
Kingdom of Denmark, 7.000% due 11/15/07 DKK 8,000,000 1,340,312
Kingdom of Denmark, 7.000% due 11/10/24 DKK 13,400,000 2,365,515
--------------
Total (Cost - $3,378,517) 3,705,827
--------------
Germany - 4.5%
Deutsche Pfandbriefe Hypobank, 5.625% due 02/07/03 DEM 2,300,000 1,330,525
Deutschland Republic, 6.500% due 07/04/27 DEM 2,250,000 1,454,949
Euro Credit Card, 5.250% due 08/06/18 DEM 2,000,000 1,104,350
--------------
Total (Cost - $3,802,441) 3,889,824
--------------
Japan - 7.8%
Government of Japan (157), 4.500% due 06/20/03
(Cost - $6,815,045) JPY 804,000,000 6,752,796
--------------
Netherlands - 2.2%
Bank Nederlandse Gemeenten, 6.750% due 10/03/05
(Cost - $2,185,831) NLG 3,540,000 1,937,269
--------------
Sweden - 1.1%
Swedish Government, 8.000% due 08/15/07
(Cost - $906,495) SEK 6,100,000 933,855
--------------
United Kingdom - 1.7%
The Higher Education Securitised Investments (FRN), Ser. 1X, Class A1, 7.833%
due 04/10/28 GBP 876,653 1,464,567
--------------
(Cost - $1,462,082)
United States - 45.5%
Capital Credit Card Corp., Ser. 96-A, 5.625% due 08/15/01 3,300,000 1,889,128
Chester Asset Receivables Deal 5, 6.625% due 03/17/08 500,000 839,602
Citibank Credit Card Master Trust I, Ser. A, 5.750% due 07/16/07 3,700,000 2,145,993
CS First Boston Mortgage Securities Corp., Ser. 1998-C1, Class A1B, 6.480%
due 05/17/08 750,000 763,477
Discover Card Master Trust I (FRN), Ser. 1994-2, Class A, 6.006% due 10/16/04 3,000,000 3,024,480
DLJ Commercial Mortgage Corp., Ser. 1998-CG1, Class A1B, 6.410% due 05/10/08 750,000 758,906
FHLMC, Ser. 1985, Class PA, 6.250% due 11/17/04 654,150 652,913
FNMA (FRN)(MTN), 5.442% due 02/17/99 5,000,000 5,000,650
Ford Credit Auto Owner Trust, Ser. 1998-B, Class A1, 5.615% due 05/15/99 3,696,136 3,696,136
Key Auto Finance Trust, Ser. 1997-2, Class A1, 5.835% due 01/05/99 461,256 461,312
U.S. Treasury Bond, 6.500% due 11/15/26 1,340,000 1,488,238
U.S. Treasury Bond, 6.875% due 08/15/25 4,640,000 5,375,148
U.S. Treasury Bond, 8.125% due 08/15/19 2,460,000 3,174,938
U.S. Treasury Note, 5.500% due 05/31/03 8,100,000 8,100,000
U.S. Treasury Note, 5.625% due 05/15/08 2,200,000 2,230,250
--------------
Total (Cost - $39,187,139) 39,601,171
--------------
</TABLE>
FFTW Funds, Inc.
Worldwide Portfolio - Schedule of Investments (continued)
June 30, 1998 (Unaudited)
<TABLE>
<S> <C> <C>
Total Long-Term Investments (Cost - $58,392,618) $ 58,895,118
------------------
Short-Term Investments - 38.2%
Abbey National Euro CD, 5.520% due 05/18/98 $ 3,000,000 3,000,000
Bank of Austria Yankee CD, 5.710% due 06/07/99 3,000,000 2,998,202
Barclays Bank Euro CD, 5.560% due 08/28/98 2,000,000 2,000,048
Investors Bank & Trust Cash Sweep, 5.625% due 08/03/98 18,933,000 18,933,000
JP Morgan Co., Inc., 5.500% due 08/24/98 5,000,000 4,958,750
U.S. Treasury Bill, 4.148% due 07/09/98*@ 700,000 699,274
U.S. Treasury Bill, 5.221% due 01/07/99* 700,000 681,362
------------------
Total (Cost - $33,270,587) 33,270,636
------------------
Total Investments - 105.9% (Cost - $91,663,205) 92,165,754
------------------
Other Assets and Liabilities - (5.9%) (5,118,731)
------------------
Net Assets - 100.0% $ 87,047,023
==================
</TABLE>
Summary of Abbreviations AUD Australian Dollar CD Certificate of Deposit DEM
German Deutschemark DKK Danish Krone FRN Floating Rate Note GBP Great British
Pound JPY Japanese Yen MTN Medium Term Note NLG Netherlands Guilder SEK Swedish
Krona
* Interest rate shown represents yield to maturity at date of purchase.
@ Security or a portion thereof is held in a margin account to cover financial
futures contracts.
(a) Face amount shown in U.S. dollars unless otherwise indicated.
See Notes to Financial Statements.
FFTW Funds, Inc.
Worldwide Portfolio - Schedule of Investments (continued)
June 30, 1998 (Unaudited)
<TABLE>
<S> <C> <C> <C>
Face
Amount (a) Value
- -----------------------------------------------------------------------------------------------------------------
Long-Term Investments - 51.8%
Australia - 0.3%
Australian Government, 10.000% due 02/15/06
Total (Cost - $604,019) AUD 710,000 $ 562,294
--------------
Denmark - 4.6%
Kingdom of Denmark, 7.000% due 11/15/07 DKK 30,000,000 5,026,170
Kingdom of Denmark, 7.000% due 11/10/24 DKK 16,200,000 2,859,802
--------------
Total (Cost - $7,581,822) 7,885,972
--------------
Germany - 2.1%
Deutsche Pfandbriefe Hypobank, 5.625% due 02/07/03 DEM 2,000,000 1,156,978
Deutschland Republic, 6.500% due 07/04/27 DEM 1,100,000 711,308
Euro Credit Card, 5.250% due 08/06/18 DEM 3,000,000 1,656,525
--------------
Total (Cost - $3,506,577) 3,524,811
--------------
Japan - 7.8%
Government of Japan (157), 4.500% due 06/20/03
(Cost - $13,375,798) JPY 1,578,000,000 13,253,622
--------------
Sweden - 0.4%
Swedish Government, 8.000% due 08/15/07
(Cost - $698,448) SEK 4,700,000 719,528
--------------
United Kingdom - 0.9%
United Kingdom Treasury, 7.250% due 12/07/07
(Cost - $1,462,082) GBP 876,653 1,464,567
--------------
United States - 35.7%
BA Credit Card Corp., 6.000% due 10/15/03 3,500,000 2,040,225
Capital Credit Card Corp., Ser. 96-A, 5.625% due 08/15/01 2,800,000 1,602,896
Chester Asset Receivables Deal 5, 6.625% due 03/17/08 500,000 839,602
Citibank Credit Card Master Trust I, Ser. A, 5.750% due 07/16/07 2,900,000 1,681,994
CS First Boston Mortgage Securitities Corp., Ser. 1998-C1, Class A1B, 6.480% due
05/17/08 1,250,000 1,272,461
Discover Card Master Trust I (FRN), Ser. 1994-2, Class A, 6.006% due 10/16/04 3,000,000 3,024,480
DLJ Commercial Mortgage Corp., Ser. 1998-CG1, Class A1B, 6.410% due 05/10/08 1,250,000 1,264,844
Exxon Capital Corp., 6.625% due 08/15/02 1,500,000 1,546,266
FNMA (FRN)(MTN), 5.442% due 02/17/99 5,000,000 5,000,650
Ford Credit Auto Owner Trust, Ser. 1998-B, Class A1, 5.615% due 05/15/99 1,392,273 1,392,273
Key Auto Finance Trust, Ser. 1997-2, Class A1, 5.835% due 01/05/99 230,628 230,656
Navistar Financial Corp. Owner Trust, Ser. 1995-B, Class A3, 6.050% due 04/15/02 5,095,553 5,104,521
Premier Auto Trust, Ser. 1995-2, Class A6, 7.200% due 10/04/99 2,881,026 2,887,767
U.S. Treasury Bond, 6.500% due 11/15/26 2,690,000 2,987,581
U.S. Treasury Bond, 6.875% due 08/15/25 6,500,000 7,529,841
U.S. Treasury Note, 5.500% due 05/31/03 15,700,000 15,700,000
U.S. Treasury Note, 5.625% due 05/15/08 4,030,000 4,085,413
WFS Financial Owner Trust, Ser. 1997-B, Class A2, 6.050% due 07/20/00 2,855,575 2,859,173
--------------
Total (Cost - $60,560,367) 61,050,643
--------------
Total Long-Term Investments (Cost - $87,789,113) 88,461,437
--------------
</TABLE>
FFTW Funds, Inc.
Worldwide-Hedged Portfolio - Schedule of Investments (continued)
June 30, 1998 (Unaudited)
<TABLE>
<S> <C> <C>
Face
Amount (a) Value
- ---------------------------------------------------------------------------------------------
Short-Term Investments - 55.0%
Abbey National Euro CD, 5.520% due 05/18/98 $ 5,000,000 $ 5,000,000
Bank of Austria Yankee CD, 5.710% due 06/07/99 5,000,000 4,997,003
Barclays Bank Euro CD, 5.56% due 08/28/98 5,000,000 5,000,121
Investors Bank & Trust Cash Sweep, 5.625% due 08/03/98 68,424,000 68,424,000
JP Morgan Co., Inc., 5.500% due 08/24/98 5,000,000 4,958,750
Suedwestdeutsche Lande Euro CD, 5.58% due 09/11/98 3,000,000 3,000,076
U.S. Treasury Bill, 5.221% due 01/07/99* 1,300,000 1,265,386
U.S. Treasury Bill, 4.148% due 07/09/98*@ 1,300,000 1,298,652
------------------
Total (Cost - $93,943,914) 93,943,988
------------------
Total Investments - 106.8% (Cost - $181,733,027) 182,405,425
------------------
Other Assets and Liabilities - (6.8%) (11,530,272)
------------------
Net Assets - 100.0% $170,875,153
==================
</TABLE>
Summary of Abbreviations AUD Australian Dollar CD Certificate of Deposit CP
Commercial Paper DEM German Deutschemark DKK Danish Krone FRN Floating Rate Note
GBP Great British Pound JPY Japanese Yen MTN Medium Term Note SEK Swedish Krona
* Interest rate shown represents yield to maturity at date of purchase.
@ Security or a portion thereof is held in a margin account to cover financial
futures contracts.
(a) Face amount shown in U.S. dollars unless otherwise indicated.
See Notes to Financial Statements.
FFTW Funds, Inc.
International Portfolio - Schedule of Investments
June 30, 1998 (Unaudited)
<TABLE>
<S> <C> <C> <C>
Face
Amount (a) Value
- ----------------------------------------------------------------------------------------
Long-Term Investments - 37.5%
Australia - 0.9%
Australian Government, 10.000% due 02/15/06 AUD 830,000 $ 657,327
---------------
(Cost - $706,121)
Denmark - 5.2%
Kingdom of Denmark, 7.000% due 11/10/24 DKK 22,600,000 3,989,601
---------------
(Cost - $3,618,113)
Japan - 15.4%
Government of Japan (157), 4.500% due 06/20/03 JPY 1,410,000,000 11,842,590
---------------
(Cost - $11,951,758)
Sweden - 1.5%
Swedish Government, 8.000% due 08/15/07 SEK 7,500,000 1,148,183
---------------
(Cost - $1,110,513)
United States - 14.5%
U.S. Treasury Bond, 6.500% due 11/15/26 2,550,000 2,832,094
U.S. Treasury Bond, 6.875% due 08/15/25 1,280,000 1,482,800
U.S. Treasury Note, 5.500% due 05/31/03 3,750,000 3,750,000
U.S. Treasury Note, 5.625% due 05/15/08 3,000,000 3,041,250
U.S. Treasury Note, 6.625% due 05/15/07 80,000 85,975
---------------
Total (Cost - $11,105,261) 11,192,119
---------------
Total Long-Term Investments (Cost - $28,491,766) 28,829,820
---------------
Short-Term Investments - 79.2%
Bank of Austria Yankee CD, 5.710% due 06/07/99 3,000,000 2,998,202
Barclays Bank Euro CD, 5.560% due 08/28/98 2,000,000 2,000,048
Investors Bank & Trust Cash Sweep, 5.625% due 08/03/98 54,193,000 54,193,000
U.S. Treasury Bill, 5.221% due 01/07/99* 900,000 876,036
U.S. Treasury Bill, 4.148% due 07/09/98*@ 900,000 899,067
---------------
Total (Cost - $60,966,301) 60,966,353
---------------
Total Investments - 116.7% (Cost - $89,458,067) 89,796,173
- ---------------
Other Assets and Liabilities - (16.7%) (12,820,333)
---------------
Net Assets - 100.0% $ 76,975,840
===============
</TABLE>
Summary of Abbreviations
AUD Australian Dollar
CD Certificate of Deposit
DKK Danish Krone
JPY Japanese Yen
SEK Sweden
* Interest rate shown represents yield to maturity at date of purchase.
@ Security or a portion thereof is held in a margin account to cover financial
futures contracts.
(a) Face amount shown in U.S. dollars unless otherwise indicated.
See Notes to Financial Statements.
FFTW Funds, Inc.
International-Hedged Portfolio - Schedule of Investments
June 30, 1998 (Unaudited)
<TABLE>
<S> <C> <C> <C>
Face
Amount (a) Value
- ----------------------------------------------------------------------------------------------------------------
Long-Term Investments - 76.8%
Australia - 1.1%
Australian Government, 10.000% due 02/15/06 AUD 4,520,000 $ 3,579,673
-----------------
(Cost - $3,845,324)
Denmark - 12.5%
Kingdom of Denmark, 7.000% due 11/15/07 DKK 145,000,000 24,293,155
Kingdom of Denmark, 7.000% due 11/10/24 DKK 95,400,000 16,841,057
-----------------
Total (Cost - $39,313,511) 41,134,212
-----------------
Germany - 1.2%
Bundesibligation Series 117, 5.125% due 11/21/00 DEM 1,000 567
Euro Credit Card, 5.250% due 08/06/18 DEM 7,000,000 3,865,224
-----------------
Total (Cost - $3,943,696) 3,865,791
-----------------
Spain - 0.0%
Bonos y Obligaciones del Estado, 12.250% due 03/25/00 ESP 120,000 888
-----------------
(Cost - $999)
Sweden - 1.8%
Swedish Government, 8.000% due 08/15/07 SEK 39,100,000 5,985,858
-----------------
(Cost - $5,810,489)
United Kingdom - 1.8%
The Higher Education Securitised Investments (FRN), Ser. 1X, Class A1,
7.833% due 04/10/28 GBP 3,506,612 5,858,269
-----------------
(Cost - $5,848,328)
United States - 58.4%
Aames Mortgage Trust (FRN), Ser. 1997-C, Class A1A, 5.888% due 11/15/27 7,227,674 7,199,486
Beneficial Mortgage Corp. (FRN), Ser. 1997-2, Class A, 5.768% due 09/28/37 5,481,528 5,479,445
Bombardier Receivables Master Trust I (FRN), Ser. 1997-1, Class A, 5.776%
due 04/15/04 4,000,000 4,005,200
Capital Credit Card Corp., Ser. 96-A, 5.625% due 08/15/01 11,700,000 6,697,817
Capital One Master Trust (FRN), Ser. 1996-2, Class A, 5.756% due 02/15/05 8,000,000 8,005,040
Case Equipment Loan Trust, Ser. 1997-A, Class A2, 6.000% due 03/15/04 1,107,587 1,108,418
Chester Asset Receivables Deal 5, 6.625% due 03/17/08 1,400,000 2,350,886
Citibank Credit Card Master Trust I (FRN), Ser. 1998-7, Class B, 5.781%
due 05/15/02 9,000,000 8,971,875
Contimortgage Home Equity Loan Trust , Ser. 1998-1, Class A3, 6.220%
due 01/15/13 3,000,000 3,008,580
Croatia Government (FRN), Ser. B, 6.500% due 07/31/06 1,571,562 1,415,663
Discover Card Master Trust I (FRN), Ser. 1994-2, Class A, 6.006% due 10/16/04 8,000,000 8,065,280
Discover Card Trust, Ser. 1993-A, Class A, 6.250% due 08/16/00 2,666,667 2,661,653
Ford Credit Auto Owner Trust, Ser. 1998-B, Class A1, 5.615% due 05/15/99 6,784,545 6,784,545
HFC Revolving Home Equity Loan Trust (FRN), Ser. 1996-2, Class A, 5.796%
due 02/20/18 7,654,642 7,652,116
Key Auto Finance Trust, Ser. 1997-2, Class A1, 5.835% due 01/05/99 554,028 554,095
MBNA Master Credit Card Trust (FRN), Ser. 1993-1, Class A, 5.988% due 03/15/00 1,500,000 1,500,450
Peoples Bank Credit Card Master Trust (FRN), 5.806% due 11/15/04 8,000,000 8,015,280
</TABLE>
FFTW Funds, Inc.
International-Hedged Portfolio - Schedule of Investments
June 30, 1998 (Unaudited)
<TABLE>
<S> <C> <C>
Face
Amount (a) Value
- --------------------------------------------------------------------------------------------------------------
United States (continued)
Triangle Funding, Ltd. (144A) (FRN), Ser. 1997-1X, Class 1, 5.660% due
11/15/98 (b) $ 1,000,000 $ 1,000,000
U.S. Treasury Bond, 6.500% due 11/15/26 15,650,000 17,381,281
U.S. Treasury Bond, 6.875% due 08/15/25 8,030,000 9,302,249
U.S. Treasury Note, 5.500% due 05/31/03 31,000,000 31,000,000
U.S. Treasury Note, 5.625% due 05/15/08 12,640,000 12,813,800
U.S. Treasury Note, 5.875% due 10/31/98 20,000,000 20,031,240
-----------------
Total (Cost - $233,438,708) 175,004,399
-----------------
Total Long-Term Investments (Cost - $244,403,288) 235,429,090
-----------------
Short-Term Investments - 27.7%
Bank of Austria Yankee CD, 5.710% due 06/07/99 12,000,000 11,992,807
Bankers Trust CP, 5.579% due 08/12/98* 8,000,000 7,948,760
General Electric Capital Corp. Discount Note, 5.606% due 07/22/98* 11,000,000 10,964,580
Investors Bank & Trust Cash Sweep, 5.625% due 08/03/98 39,403,000 39,403,000
Deutsche Bank Yankee CD 5.59% due 07/09/98 8,000,000 7,999,243
U.S. Treasury Bill, 5.221% due 01/07/99* 6,600,000 6,424,266
U.S. Treasury Bill, 4.148% due 07/09/98*@ 6,600,000 6,593,156
-----------------
Total Short-Term Investments (Cost - $91,325,351) 91,325,812
-----------------
Total Investments - 99.2% (Cost - $324,764,059) 326,754,902
-----------------
Other Assets and Liabilities - 0.8% 2,850,565
-----------------
Net Assets - 100.0% $329,605,467
=================
</TABLE>
Summary of Abbreviations AUD Australian Dollar CD Certificate of Deposit CP
Commercial Paper DEM German Deutschemark DKK Danish Krone ESP Spanish Peseta FRN
Floating Rate Note GBP Great British Pound SEK Swedish Krona
* Interest rate shown represents yield to maturity at date of purchase.
@ Security or a portion thereof is held in a margin account to cover financial
futures contracts.
(a) Face amount shown in U.S. dollars unless otherwise indicated.
(b) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At June 30, 1998,
these securities were valued at $1,000,000 or 0.3% of net assets.
See Notes to Financial Statements.
FFTW Funds, Inc.
Emerging Markets Portfolio - Schedule of Investments
June 30, 1998 (Unaudited)
<TABLE>
<S> <C> <C> <C>
Face
Amount (a) Value
- -------------------------------------------------------------------------------------------
Long-Term Investments - 94.8%
Argentina - 6.1%
Republic of Argentina (FRN), 6.625% due 03/31/05 ARP 2,137,500 $ 1,886,343
Republic of Argentina 8.750% due 07/10/02 10,600,000 9,504,326
-----------------
Total (Cost - $11,693,502) 11,390,669
-----------------
Brazil - 11.2%
Republic of Brazil - IDU, Ser. A, 6.813% due 01/1/01 9,100,000 8,645,000
Republic of Brazil Discount Zl (FRN), 6.625% due 10/15/98 7,250,000 5,582,500
Republic of Brazil, 8.000% due 04/15/14 9,165,659 6,736,759
-----------------
Total (Cost - $21,918,206) 20,964,259
-----------------
Bulgaria - 4.2%
Bulgaria Discount Bond (FRN), Ser. A, 6.563% due 07/28/24 6,250,000 4,773,750
Bulgaria Government, 2.250% due 07/28/12 4,500,000 3,031,875
-----------------
Total (Cost - $7,885,611) 7,805,625
-----------------
Colombia - 2.1%
Republic of Colombia, 8.375% due 02/15/27 2,500,000 2,118,750
Republic of Colombia, 8.625% due 04/01/08 2,000,000 1,890,000
-----------------
Total (Cost - $4,296,903) 4,008,750
-----------------
Croatia - 1.0%
Croatia Government (FRN), Ser. A, 6.500% due 07/31/10 1,000,000 863,900
Croatia Government (FRN), Ser. B, 6.500% due 07/31/06 924,448 832,743
-----------------
Total (Cost - $1,758,911) 1,696,643
-----------------
Ecuador - 4.6%
Ecuador - Bearer - PDI, 6.875% due 02/27/15 2,225,340 1,276,789
Ecuador - Registered PDI, 6.625% due 08/28/98 1,669,005 957,592
Ecuador Discount Bond (FRN), 6.625% due 02/28/25 9,250,000 6,428,750
-----------------
Total (Cost - $9,508,884) 8,663,131
-----------------
Greece - 2.1%
Hellenic Republic, 11.000% due 02/25/00 GRD 500,000,000 1,651,868
Hellenic Republic, 8.800% due 06/19/07 GRD 650,000,000 2,255,804
-----------------
Total (Cost - $3,857,753) 3,907,672
-----------------
Hungary - 3.1%
Hungarian Government Bond, 16.500% due 04/12/99 HUF 410,000,000 1,871,511
Hungary Government Bond, 21.500% due 10/03/98 HUF 340,000,000 1,568,310
Republic of Hungary, 19.500% due 01/12/99 HUF 500,000,000 2,310,454
-----------------
Total (Cost - $6,121,663) 5,750,275
-----------------
Mexico - 9.6%
Mexican Unibonds, 6.000% due 09/26/02 MXN 17,503,830 1,828,890
United Mexican States, 6.250% due 12/31/19 19,500,000 16,136,250
-----------------
Total (Cost - $18,826,836) 17,965,140
-----------------
</TABLE>
FFTW Funds, Inc.
Emerging Markets Portfolio - Schedule of Investments (continued)
June 30, 1998 (Unaudited)
<TABLE>
<S> <C> <C>
Face
Amount (a) Value
- ----------------------------------------------------------------------------------------------------
Morocco - 3.4%
Morocco (FRN), Ser. A, 6.563% due 01/01/09 7,500,000 $ 6,393,750
-----------------
(Cost - $6,592,289)
Nigeria - 2.9%
Central Bank of Nigeria, 6.250% due 11/15/20 7,500,000 5,381,250
-----------------
(Cost - $5,284,417) 5,381,250
-----------------
Panama - 3.6%
Panama - Int. Reduction Bond (FRN), Ser. 18 yr, 3.750% due 07/17/14 3,500,000 2,598,750
Panama (Republic of), 8.875% due 09/30/27 4,500,000 4,230,000
-----------------
Total (Cost - $7,069,161) 6,828,750
-----------------
Peru - 2.0%
Peru - Past Due Interest, 4.000% due 03/07/17 6,000,000 3,697,800
-----------------
(Cost - $3,978,822)
The Philippines - 1.4%
Bangko Sentral Philipinas, 8.600% due 06/15/27 3,000,000 2,580,000
-----------------
(Cost - $2,529,238)
Poland - 3.0%
Poland - Global Registered Par, 3.000% due 10/27/24 1,650,000 1,086,938
Poland Government Bond, 12.000% due 06/12/01 PLZ 9,500,000 2,320,132
Poland Government Brady Bond, 12.000% due 06/12/03 PLZ 9,000,000 2,190,271
-----------------
Total (Cost - $5,466,665) 5,597,341
-----------------
Russia - 12.1%
City of Moscow, 9.500% due 05/31/00 13,750,000 12,031,250
Ministry of Finance Russia, 10.000% due 06/26/07 4,300,000 3,106,750
Ministry of Finance Russia, 12.750% due 06/24/28 8,300,000 7,366,250
-----------------
Total (Cost - $24,561,345) 22,504,250
-----------------
South Africa - 3.8%
Republic of South Africa, 12.500% due 12/12/06 ZAR 48,500,000 7,174,215
-----------------
(Cost - $9,500,301)
South Korea - 10.4%
Korea Development Bank, 6.500% due 11/15/02 2,000,000 1,722,500
Korea Development Bank, 8.875% due 04/15/03 13,000,000 12,106,250
Korea Development Bank, 8.875% due 04/15/08 6,250,000 5,617,188
-----------------
Total (Cost - $20,196,278) 19,445,938
-----------------
Supra National - 0.7%
International Financial Corp. Structured Note, 20.000% due 04/06/99 2,000,000 1,373,750
-----------------
(Cost - $1,948,401)
Turkey - 1.5%
Pera Financial Services (144A), 9.375% due 10/15/02 (b) 3,000,000 2,703,750
-----------------
(Cost - $2,919,792)
Uruguay - 0.6%
Banco Central del Uruguay, Series B, 6.750% due 02/19/21 1,250,000 1,175,000
-----------------
(Cost - $1,151,427)
</TABLE>
FFTW Funds, Inc.
Emerging Markets Portfolio - Schedule of Investments (continued)
June 30, 1998 (Unaudited)
<TABLE>
<S> <C> <C>
Face
Amount (a) Value
- -------------------------------------------------------------------------------------
Venezuela - 5.4%
Republic of Venezuela (FRN), 6.625% due 12/18/07 904,762 $736,250
Republic of Venezuela Ser. A (FRN), 6.625% due 03/31/07 5,357,125 4,486,592
Venezuela (FRN), Series B, 6.813% due 03/31/07 5,999,980 4,949,984
-------------
Total (Cost - $10,693,509) 10,172,826
-------------
Warrants - 0.0% Shares
-----------
Central Bank of Nigeria Warrants Exp. 11/15/20 4,000 -
United Mexican States Warrants due 06/30/03 1,250,000 -
-------------
Total (Cost - $0) -
-------------
Total Long-Term Investments (Cost - $187,759,914) 177,180,784
-------------
Face*
Short-Term Investments - 13.1% Amount (a)
-----------
Mexico - 1.9%
Mexican Cetes due 05/06/99 MXN 21,036,160 1,938,989
Mexican Cetes due 03/11/99 MXN 17,500,000 1,670,517
-------------
Total (Cost - $3,819,456) 3,609,506
-------------
Poland - 2.5%*
Polish Treasury Bill 20.95% due 09/23/98 (c) PLZ 5,000,000 1,367,293
Polish Treasury Bill 20.75% due 01/20/99 (c) PLZ 8,000,000 2,054,327
Polish Treasury Bill 20.83% due 09/16/98 (c) PLZ 4,300,000 1,180,747
-------------
Total (Cost - $4,583,822) 4,602,367
-------------
Thailand - 1.1%
Thai Farmers Bank CD, 10.050% due 12/28/98 THB 100,000,000 2,095,093
(Cost - $2,127,821)
United States - 7.6%
Barclays Bank Euro CD, 5.560% due 08/28/98 2,000,000 2,000,048
Investors Bank & Trust Cash Sweep, 5.625% due 08/03/98 10,772,000 10,772,000
U.S. Treasury Bill, 5.039% due 12/10/98*@ 400,000 390,874
U.S. Treasury Bill, 4.148% due 07/09/98*@ 900,000 899,067
-------------
Total (Cost - $14,061,856) 14,061,989
-------------
Total Short-Term Investments (Cost - $24,592,955) 24,368,955
-------------
Total Investments - 107.9% (Cost - $212,352,869) 201,549,739
-------------
Other Assets and Liabilities - (7.9%) (14,716,045)
-------------
Net Assets - 100.0% $186,833,694
=============
</TABLE>
Summary of Abbreviations ARP Argentine Peso CD Certificate of Deposit FRN
Floating Rate Note GRD Greek Drachma HUF Hungarian Forint MXN Mexican Peso PLZ
Polish Zloty THB Thai Baht ZAR South African Rand
* Interest rate shown represents yield to maturity at date of purchase.
@ Security or a portion thereof is held in a margin account to cover financial
futures contracts.
(a) Face amount shown in U.S. dollars unless otherwise indicated.
(b) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At June 30, 1998,
these securities were valued at $2,703,750 or 1.4% of net assets.
(c) Zero coupon security.
See Notes to Financial Statements.
FFTW Funds, Inc.
Statements of Assets and Liabilities
June 30, 1998 (Unaudited)
<TABLE>
<S> <C> <C>
Money Market U.S. Short-Term
Portfolio Portfolio
- ---------------------------------------------------------------------------------------------------
Assets
Investments in securities, at value (Cost - $25,746,463 and
$463,163,507, respectively) $25,746,463 $462,881,194
Cash 442 343
Interest receivable 287,667 1,946,107
Receivable for securities sold - -
Variation margin receivable - 215
Prepaid organizational costs 5,905 -
Other assets 13,612 16,079
------------ ---------------
Total assets 26,054,089 464,843,938
------------ ---------------
Liabilities
Payable for securities purchased - 16,170,577
Accrued expenses and other liabilities 22,194 11,017
------------ ---------------
Total liabilities 22,194 16,181,594
------------ ---------------
Net Assets $26,031,895 $448,662,344
============ ===============
Shares Outstanding (par value $0.001) 26,010,542 45,955,983
============ ===============
Net Asset Value Per Share $1.00 $9.76
============ ===============
Components of Net Assets as of June 30, 1998 were as follows:
Capital stock at par value ($0.001) $26,011 $45,956
Capital stock in excess of par value 25,984,531 458,173,716
Undistributed investment income, net - 255,606
Accumulated net realized gain (loss) on investments, financial futures
and options contracts, and foreign currency-related transactions 21,353 (9,637,169)
Net unrealized (depreciation) on investments, financial futures
contracts, and on translation of other assets and liabilities
denominated in foreign currency - (175,765)
------------ ---------------
$26,031,895 $448,662,344
============ ===============
</TABLE>
See Notes to Financial Statements.
FFTW Funds, Inc.
Statements of Assets and Liabilities
June 30, 1998 (Unaudited)
U.S. Portfolios
<TABLE>
<S> <C> <C>
Stable Return Mortgage Total
Portfolio Return Portfolio
- ----------------------------------------------------------------------------------------------------------------------
Assets
Investments in securities, at value (Cost - $62,658,193 and
$1,638,319,450, respectively) $62,705,744 $1,645,247,541
Cash 841 577,276
Interest receivable 396,288 6,099,588
Other receivables 2,759 146,296
------------- ----------------
Total assets 63,105,632 1,652,070,701
------------- ----------------
Liabilities
Payable for securities purchased 8,456,304 619,468,019
Payable for fund shares redeemed - 74,700,000
Unrealized depreciation on swap - 2,481,272
Variation margin payable 2,797 55,984
Accrued expenses and other liabilities 29,673 47,602
------------- ----------------
Total liabilities 8,488,774 696,752,877
------------- ----------------
Net Assets $54,616,858 $955,317,824
============= ================
Shares Outstanding (par value $0.001) 5,488,265 92,378,024
============= ================
Net Asset Value Per Share $9.95 $10.34
============= ================
Components of Net Assets as of June 30, 1998 were as follows:
Capital stock at par value ($0.001) $5,488 $92,378
Capital stock in excess of par value 54,744,148 945,207,047
Undistributed (distributions in excess of) investment income, net 9,921 (5,591,823)
Accumulated net realized gain (loss) on investments, short sales,
financial futures, options and swap contracts and foreign currency-related
transactions (185,170) 11,365,562
Net unrealized appreciation on investments, short sales, financial
futures, options and swap contracts, and on translation of other
assets and liabilities denominated in foreign currency 42,471 4,244,660
------------- ----------------
$54,616,858 $955,317,824
============= ================
</TABLE>
See Notes to Financial Statements.
FFTW Funds, Inc.
Statements of Assets and Liabilities (continued)
June 30, 1998 (Unaudited)
Global & International Portfolios
<TABLE>
<S> <C> <C>
Worldwide Worldwide-Hedged
Portfolio Portfolio
- -----------------------------------------------------------------------------------------------------
Assets
Investments in securities, at value (Cost - $91,663,205 and
$181,733,027, respectively) $92,165,754 $182,405,425
Cash 996 291
Foreign cash (Cost - $2,045,141 and $1,087,586, respectively) 1,925,496 1,034,468
Receivable for securities sold 5,576,902 13,293,581
Interest receivable 1,086,495 1,636,061
Net unrealized appreciation of forward foreign exchange contracts - 449,922
Variation margin receivable 10,976 37,624
Other assets 2,307 -
------------- ----------------
Total assets 100,768,926 198,857,372
------------- ----------------
Liabilities
Payable for securities purchased 13,074,502 27,945,226
Net unrealized depreciation of forward foreign exchange contracts 540,357 -
Distributions payable 80,984 -
Accrued expenses and other liabilities 26,060 36,993
------------- ----------------
Total liabilities 13,721,903 27,982,219
------------- ----------------
Net Assets $87,047,023 $170,875,153
============= ================
Shares Outstanding (par value $0.001) 9,169,020 14,899,888
============= ================
Net Asset Value Per Share $9.49 $11.47
============= ================
Components of Net Assets as of June 30, 1998 were as follows:
Capital stock at par value ($0.001) $9,169 $14,899
Capital stock in excess of par value 95,815,556 167,391,184
Distributions in excess of investment income, net (18,120) (300,387)
Accumulated net realized gain (loss) on investments, financial futures
and options contracts and foreign currency-related transactions (8,519,218) 2,555,015
Net unrealized appreciation (depreciation) on investments, financial futures and
options contracts and translation of other assets and
liabilities denominated in foreign currency (240,364) 1,214,442
------------- ----------------
$87,047,023 $170,875,153
============= ================
</TABLE>
See Notes to Financial Statements.
FFTW Funds, Inc.
Statements of Assets and Liabilities (continued)
June 30, 1998 (Unaudited)
Global & International Portfolios
<TABLE>
<S> <C> <C>
International International-Hedged
Portfolio Portfolio
- ---------------------------------------------------------------------------------------------------------
Assets
Investments in securities, at value (Cost - $89,458,067 and
$324,764,059, respectively) $89,796,173 $326,754,902
Cash 723 958
Foreign cash (Cost - $487,648 and $2,004,228, respectively) 439,595 1,698,994
Swap contract receivable - 2,267,513
Interest receivable 675,804 4,262,950
Variation margin receivable 3,391 34,786
Receivable for securities sold 3,799,940 10,555,110
Other assets 1,915 5,285
------------- --------------------
Total assets 94,717,541 345,580,498
------------- --------------------
Liabilities
Payable for fund shares redeemed 16,604,726 5,500,000
Payable for securities purchased - 6,424,266
Variance margin payable 29,054 149,038
Net unrealized depreciation of forward foreign exchange contracts 1,085,501 3,847,620
Accrued expenses and other liabilities 22,420 54,107
------------- --------------------
Total liabilities 17,741,701 15,975,031
------------- --------------------
Net Assets $76,975,840 $329,605,467
============= ====================
Shares Outstanding (par value $0.001) 8,113,294 32,650,067
============= ====================
Net Asset Value Per Share $9.49 $10.10
============= ====================
Components of Net Assets as of June 30, 1998 were as follows:
Capital stock at par value ($0.001) $8,113 $32,650
Capital stock in excess of par value 78,281,637 325,193,035
Undistributed investment income, net 232,458 13,313,170
Accumulated net realized gain (loss) on investments, financial futures
and swap contracts, and foreign currency-related transactions (844,581) (6,934,169)
Net unrealized (depreciation) on investments, financial futures and
swap contracts, and on translation of other assets and liabilities
denominated in foreign currency (701,787) (1,999,219)
------------- --------------------
$76,975,840 $329,605,467
============= ====================
</TABLE>
See Notes to Financial Statements.
FFTW Funds, Inc.
Statements of Assets and Liabilities (continued)
June 30, 1998 (Unaudited)
Global & International Portfolios
<TABLE>
<S> <C> <C>
Emerging Markets
Portfolio
- -------------------------------------------------------------------------------------------------------------
Assets
Investments in securities, at value (Cost - $212,352,869) $201,549,739
Cash 761
Foreign cash (Cost - $1,803,308) 1,735,045
Receivable for securities sold 4,563,546
Interest receivable 3,947,700
Net unrealized appreciation of forward foreign exchange contracts 714,689
Other assets 16,922
----------------
Total assets 212,528,402
----------------
Liabilities
Payable for reverse repurchase agreements 17,726,248
Payable for securities purchased 7,760,637
Variation margin payable 177,187
Accrued expenses and other liabilities 30,636
----------------
Total liabilities 25,694,708
----------------
Net Assets $186,833,694
================
Shares Outstanding (par value $0.001) 20,673,085
================
Net Asset Value Per Share $9.04
================
Components of Net Assets as of June 30, 1998 were as follows:
Capital stock at par value ($0.001) $20,673
Capital stock in excess of par value 201,833,989
Undistributed investment income, net 63,424
Accumulated net realized (loss) on investments, financial futures contracts and foreign
currency-related transactions (3,884,576)
Net unrealized (depreciation) on investments, financial futures contracts and translation of
other assets and liabilities denominated in foreign currency (11,199,816)
----------------
$186,833,694
================
</TABLE>
See Notes to Financial Statements.
FFTW Funds, Inc.
Statements of Operations
June 30, 1998 (Unaudited)
U.S. Portfolios
<TABLE>
<S> <C> <C>
Money Market U.S. Short-Term
Portfolio Portfolio
- -------------------------------------------------------------------------------------------------
Investment Income
Interest $723,166 $14,648,445
------------ ---------------
Expenses
Investment advisory fees 12,819 738,784
Administration fees 6,701 127,796
Custodian fees 10,016 108,726
Audit fees 8,047 15,036
Shareholder recordkeeping fees 1,955 22,591
Legal fees 191 4,370
Registration fees 310 44,194
Directors' fees and expenses 191 2,552
Amortization of organizational expenses 8,858 -
Other fees and expenses 1,588 9,629
------------ ---------------
Total operating expenses 50,676 1,073,678
Waiver of investment advisory and administration fees (18,626) (458,088)
------------ ---------------
Operating expenses, net 32,050 615,590
Interest expense - 1,417
------------ ---------------
Total expenses 32,050 617,007
------------ ---------------
Investment income, net 691,116 14,031,438
------------ ---------------
Net Realized and Unrealized Gain (Loss) on Investments,
Financial Futures and Options Contracts, and
Foreign Currency-Related Transactions
Net realized (loss) on investments - (708,872)
Net realized (loss) on financial futures and options contracts - (266,152)
Net realized gain on foreign currency transactions 573,235
Net unrealized appreciation on investments - 2,379
Net unrealized (depreciation) on financial futures and options
contracts - (4,583)
Net unrealized (depreciation) on other assets and liabilities
denominated in foreign currency - (3)
------------ ---------------
Net realized and unrealized (loss) on investments, financial futures
and options contracts, and foreign currency-related transactions - (403,996)
------------ ---------------
Net Increase in Net Assets Resulting From Operations $691,116 $13,627,442
============ ===============
</TABLE>
See Notes to Financial Statements.
FFTW Funds, Inc.
Statements of Operations (continued)
For the Six Months Ended June 30, 1998 (Unaudited)
U.S. Portfolios
<TABLE>
<S> <C> <C>
Stable Return Mortgage Total
Portfolio Return Portfolio
- -----------------------------------------------------------------------------------------------
Investment Income
Interest $ 1,795,071 $ 26,320,517
------------- ----------------
Expenses
Investment advisory fees 102,749 1,208,340
Administration fees 14,659 214,573
Custodian fees 17,400 166,845
Audit fees 10,458 20,519
Shareholder recordkeeping fees 937 2,610
Legal fees 431 7,314
Registration fees 2,802 135,444
Directors' fees 510 5,154
Other fees and expenses 2,017 17,197
------------- ----------------
Total operating expenses 151,963 1,777,996
Waiver of investment advisory fees (60,785) (795,235)
------------- ----------------
Operating expenses, net 91,178 982,761
Interest expense - 18,831
------------- ----------------
Total expense 91,178 1,001,592
Investment income, net 1,703,893 25,318,925
------------- ----------------
Net Realized and Unrealized Gain
(Loss) on Investments, Short Sales, Financial
Futures and Options Contracts, and Foreign
Currency-Related Transactions
Net realized gain (loss) on investments (155,598) 6,189,456
Net realized gain (loss) on financial futures, options and swap
contracts 13,218 (869,320)
Net unrealized (depreciation) on investments (45,520) (863,896)
Net unrealized appreciation (depreciation) on financial futures,
options and swap contracts 164 (1,455,264)
Net unrealized appreciation on translation of other assets
and liabilities denominated in foreign currency 9 -
------------- ----------------
Net realized and unrealized gain (loss) on investments,
short sales, financial
futures, options and swap contracts
and foreign currency-related transactions (187,727) 3,000,976
------------- ----------------
Net Increase in Net Assets Resulting From Operations $1,516,166 $28,319,901
============= ================
</TABLE>
See Notes to Financial Statements.
FFTW Funds, Inc.
Statements of Operations (continued)
For the Six Months Ended June 30, 1998 (Unaudited)
Global & International Portfolios
<TABLE>
<S> <C> <C>
Worldwide Worldwide-Hedged
Portfolio Portfolio
- ----------------------------------------------------------------------------------------------------
Investment Income
Interest $2,382,558 $3,578,850
------------ ----------------
Expenses
Investment advisory fees 164,952 263,423
Administration fees 21,546 34,368
Custodian fees 38,564 42,139
Audit fees 14,058 14,942
Shareholder recordkeeping fees 4,261 -
Legal fees 631 1,274
Registration fees 2,632 19,583
Directors' fees and expenses 607 656
Other fees and expenses 6,412 5,487
------------ ----------------
Total operating expenses 253,663 381,872
Waiver of investment advisory fees - (97,204)
------------ ----------------
Operating expenses, net 253,663 284,668
------------ ----------------
Investment income, net 2,128,895 3,294,182
------------ ----------------
Net Realized and Unrealized Gain
(Loss) on Investments, Financial
Futures and Options Contracts and Foreign
Currency-Related Transactions
Net realized gain on investments 980,098 453,468
Net realized gain on financial futures and option contracts 530,843 738,962
Net realized gain (loss) on foreign currency-related transactions (1,339,091) 1,789,946
Net unrealized (depreciation) on investments (93,836) (3,586)
Net unrealized appreciation on financial futures and options contracts 57,568 454,987
Net unrealized appreciation (depreciation) on translation of other
assets and liabilities denominated in foreign currency 554,536 (420,378)
------------ ----------------
Net realized and unrealized gain on investments, financial futures
and options contracts and foreign currency-related transactions 690,118 3,013,399
------------ ----------------
Net Increase in Net Assets Resulting From Operations $2,819,013 $6,307,581
============ ================
</TABLE>
See Notes to Financial Statements.
FFTW Funds, Inc.
Statements of Operations (continued)
For the Six Months Ended June 30, 1998 (Unaudited)
Global & International Portfolios
<TABLE>
<S> <C> <C>
International International-Hedged
Portfolio Portfolio
- -----------------------------------------------------------------------------------------------------
Investment Income
Interest $1,889,849 $17,339,258
------------- --------------------
Expenses
Investment advisory fees 126,998 620,042
Administration fees 16,535 114,171
Custodian fees 27,072 104,293
Audit fees 13,558 15,265
Legal fees 549 2,452
Shareholder recordkeeping fees 1,772 2,308
Registration fees 12,877 46,077
Directors' fees and expenses 418 2,196
Other fees and expenses 1,974 12,712
------------- --------------------
Total operating expenses 201,753 919,516
Waiver of investment advisory fees - (461,869)
------------- --------------------
Operating expenses, net 201,753 457,647
Interest expense - 8,491,345
------------- --------------------
Total expenses 201,753 8,948,992
------------- --------------------
Investment income, net 1,688,096 8,390,266
------------- --------------------
Net Realized and Unrealized Gain
(Loss) on Investments, Financial
Futures and Swap Contracts, and Foreign
Currency-Related Transactions
Net realized gain on investments 307,951 627,501
Net realized gain on financial futures, options and swap contracts 722,593 6,483,504
Net realized (loss) on foreign currency-related transactions (1,653,872) (12,294,218)
Net unrealized appreciation on investments 279,711 621,011
Net unrealized appreciation on financial futures contracts 26,543 225,263
Net unrealized appreciation on other assets and liabilities
denominated in foreign currency 211,732 6,146,860
------------- --------------------
Net realized and unrealized gain (loss) on investments,
financial futures and
swap contracts, and foreign currency-related
transactions (105,342) 1,809,921
------------- --------------------
Net Increase in Net Assets Resulting From Operations $1,582,754 $10,200,187
============= ====================
</TABLE>
See Notes to Financial Statements.
FFTW Funds, Inc.
Statements of Operations (continued)
For the Six Months Ended June 30, 1998 (Unaudited)
Global & International Portfolios
Emerging Markets
Portfolio
- --------------------------------------------------------------------------
Investment Income
Interest $8,263,397
----------------
Expenses
Investment advisory fees 592,378
Administration fees 41,016
Custodian fees 117,539
Shareholder recordkeeping fees 1,905
Legal fees 1,518
Audit fees 14,843
Registration fees 40,244
Directors' fees and expenses 908
Other fees and expenses 3,608
----------------
Total operating expenses 813,959
Interest expense 67,233
- ----------------
Total Expenses 881,192
- ----------------
Investment income, net 7,382,205
- ----------------
Net Realized and Unrealized Gain
(Loss) on Investments, Financial
Futures Contracts and Foreign
Currency-Related Transactions
Net realized (loss) on investments (2,322,323)
Net realized (loss) on financial futures contracts (1,040,882)
Net realized gain on foreign currency-related transactions 472,125
Net unrealized (depreciation) on investments (9,189,226)
Net unrealized (depreciation) on financial futures contracts (603,824)
Net unrealized appreciation on other assets and liabilities
denominated in foreign currency 92,170
----------------
Net realized and unrealized (loss) on investments, financial
futures contracts and foreign currency-related transactions (12,591,960)
----------------
Net (Decrease) in Net Assets Resulting From Operations $(5,209,755)
===============
See Notes to Financial Statements.
FFTW Funds, Inc.
Statements of Changes in Net Assets
For the Six Months Ended June 30, 1998 (unaudited)
U.S. Portfolios
<TABLE>
<S> <C> <C> <C> <C>
Money Market Portfolio U.S. Short-Term Portfolio
----------------------------- -------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
June 30, 1998 December 31, June 30, 1998 December 31,
(unaudited) 1997 (unaudited) 1997
- ------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net
Assets From Operations
Investment income, net $691,116 $1,364,266 $14,031,438 $28,250,430
Net realized (loss) on investments, financial futures
and options contracts, and foreign currency-related transactions - - (401,789) (2,683,825)
Net unrealized (depreciation) on investments, financial
futures and options
contracts, and translation of other assets and liabilities
denominated in foreign currency - - (2,207) (650,756)
---------------- ------------ ---------------- --------------
Net increase in net assets resulting from operations 691,116 1,364,266 13,627,442 24,915,849
---------------- ------------ ---------------- --------------
Distributions to Shareholders
From investment income, net 691,116 1,364,266 14,031,438 28,250,430
---------------- ------------ ---------------- --------------
Capital Share Transactions, Net (120,323) 1,105,195 (37,839,308) 134,983,515
---------------- ------------ ---------------- --------------
Total increase (decrease) in net assets (120,323) 1,105,195 (38,243,304) 131,648,934
Net Assets
Beginning of period 26,152,218 25,047,023 486,905,648 355,256,714
---------------- ------------ ---------------- --------------
End of Period $26,031,895 $26,152,218 $448,662,344 $486,905,648
================ ============ ================ ==============
Undistributed Investment Income, Net $- $- $255,606 $255,606
</TABLE>
See Notes to Financial Statements.
FFTW Funds, Inc.
Statements of Changes in Net Assets (continued)
U.S. Portfolios
<TABLE>
<S> <C> <C> <C> <C>
Stable Return Portfolio Mortgage Total Return Portfolio
------------------------------ -------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
June 30, 1998 December 31, June 30, 1998 December 31,
(unaudited) 1997 (unaudited) 1997
- ---------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net
Assets From Operations
Investment income, net $1,703,893 $1,842,069 $25,318,925 $34,046,985
Net realized gain (loss) on investments, short sales,
financial futures, options and swap contracts,
and foreign currency-related transactions (142,380) 230,294 5,320,136 15,173,200
Net unrealized appreciation (depreciation)
on investments, short sales, financial futures,
options and swap contracts, and translation of other
assets and liabilities denominated in foreign currency (45,347) (30,291) (2,319,160) 6,106,558
---------------- ------------- ---------------- --------------
Net increase in net assets resulting from operations 1,516,166 2,042,072 28,319,901 55,326,743
---------------- ------------- ---------------- --------------
Distributions to Shareholders
From investment income, net 1,703,893 1,842,069 25,140,617 34,046,985
In excess of investment income, net - - - 2,828,370
From net realized gain on investments, short sales,
financial futures, options and swap contracts,
and foreign currency-related transactions - 306,625 - 11,071,301
---------------- ------------- ---------------- --------------
Total Distributions 1,703,893 2,148,694 25,140,617 47,946,656
---------------- ------------- ---------------- --------------
Capital Share Transactions, Net 14,775,369 (1,964,623) 296,867,289 426,901,375
---------------- ------------- ---------------- --------------
Total increase (decrease) in net assets 14,587,642 (2,071,245) 300,046,573 434,281,462
Net Assets
Beginning of Period 40,029,216 42,100,461 655,271,251 220,989,789
---------------- ------------- ---------------- --------------
End of Period $54,616,858 $40,029,216 $955,317,824 $655,271,251
================ ============= ================ ==============
Undistributed/(Distributions in excess of)
Investment Income, Net $9,921 $9,921 $(5,591,823) $(5,770,131)
</TABLE>
See Notes to Financial Statements.
FFTW Funds, Inc.
Statements of Changes in Net Assets (continued)
Global & International Portfolios
<TABLE>
<S> <C> <C> <C> <C>
Worldwide Portfolio Worldwide-Hedged Portfolio
------------------------------ ------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
June 30, 1998 December 31, June 30, 1998 December 31,
(unaudited) 1997 (unaudited) 1997
- -------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets
From Operations
Investment income, net $2,128,895 $4,228,741 $3,294,182 $3,044,893
Net realized gain (loss) on investments,
financial futures and options contracts, and
foreign currency-related transactions 171,850 (1,031,547) 2,982,376 3,039,184
Net unrealized appreciation (depreciation) on
investments, financial futures and options contracts,
and on translation of assets and liabilities
denominated in foreign currency 518,268 (838,965) 31,023 1,027,009
---------------- ------------- ---------------- -------------
Net increase in net assets resulting
from operations 2,819,013 2,358,229 6,307,581 7,111,086
---------------- ------------- ---------------- -------------
Distributions to Shareholders
From investment income, net 2,128,895 1 ,610,613 3,294,182 3,044,893
In excess of investment income, net - 932,993 - -
From net realized gain on investments,
financial futures and options contracts, and foreign
currency-related transactions - - - 2,913,718
From capital stock in excess of par value - 1,685,135 - -
---------------- ------------- ---------------- -------------
Total Distributions 2,128,895 4,228,741 3,294,182 5,958,611
---------------- ------------- ---------------- -------------
Capital Share Transactions, Net 4,121,161 9,166,819 87,472,157 49,213,465
---------------- ------------- ---------------- -------------
Total increase in net assets 4,811,279 7,296,307 90,485,556 50,365,940
Net Assets
Beginning of Period 82,235,744 74,939,437 80,389,597 30,023,657
---------------- ------------- ---------------- -------------
End of Period $87,047,023 $82,235,744 $170,875,153 $80,389,597
================ ============= ================ =============
Distributions in excess of Investment Income, Net $(18,120) $(18,120) $(300,387) $(300,387)
</TABLE>
See Notes to Financial Statements.
FFTW Funds, Inc.
Statements of Changes in Net Assets (continued)
Global & International Portfolios
<TABLE>
<S> <C> <C> <C> <C>
International Hedged
International Portfolio Portfolio
------------------------------ -------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
June 30, 1998 December 31, June 30, 1998 December 31,
(unaudited) 1997 (unaudited) 1997
- ------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets
From Operations
Investment income, net $1,688,096 $2,364,672 $8,390,266 $7,523,838
Net realized gain (loss) on investments,
financial futures and swap contracts, and
foreign currency-related transactions (623,328) (950,583) (5,183,213) 17,520,704
Net unrealized appreciation (depreciation) on
investments, financial futures and swap
contracts, and translation of assets and
liabilities denominated in foreign currency 517,986 (1,333,639) 6,993,134 (8,314,428)
---------------- ------------- ---------------- --------------
Net increase in net assets resulting
from operations 1,582,754 80,450 10,200,187 16,730,114
---------------- ------------- ---------------- --------------
Distributions to Shareholders
From investment income, net 1,688,096 643,069 8,426,697 7,523,838
In excess of investment income, net - - - 3,539,829
From net realized gain on investments,
financial futures and swap contracts, and
foreign currency-related transactions - 1,002,367 - 1,697,755
From capital stock in excess of par value - 1,721,603 - -
---------------- ------------- ---------------- --------------
Total Distributions 1,688,096 3,367,039 8,426,697 12,761,422
---------------- ------------- ---------------- --------------
Capital Share Transactions, Net 9,428,544 35,193,290 44,826,697 152,391,477
---------------- ------------- ---------------- --------------
Total increase in net assets 9,323,202 31,906,701 46,600,187 156,360,169
Net Assets
Beginning of period 67,652,638 35,745,937 283,005,280 126,645,111
---------------- ------------- ---------------- --------------
End of Period $76,975,840 $67,652,638 $329,605,467 $283,005,280
================ ============= ================ ==============
Undistributed Investment Income, Net $232,458 $232,458 $13,313,170 $13,349,601
</TABLE>
See Notes to Financial Statements.
FFTW Funds, Inc.
Statements of Changes in Net Assets (continued)
Global & International Portfolios
<TABLE>
<S> <C> <C>
Emerging
Markets Portfolio
- ----------------------------------------------------------------------------------------------------
Six Months Ended Period Ended
June 30, 1998 December 31,
(unaudited) 1997*
- ----------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets
From Operations
Investment income, net $7,382,205 $2,004,815
Net realized (loss) on investments, financial futures contracts, and
foreign currency-related transactions (2,891,080) (930,072)
Net unrealized (depreciation) on investments, financial futures
contracts, and translation of assets and liabilities denominated in
foreign currency (9,700,880) (1,498,936)
---------------- --------------
Net decrease in net assets resulting from operations (5,209,755) (424,193)
---------------- --------------
Distributions to Shareholders
From investment income, net 7,382,205 2,004,815
---------------- --------------
Capital Share Transactions, Net 88,382,205 113,472,457
---------------- --------------
Total increase in net assets 75,790,245 111,043,449
Net Assets
Beginning of Period 111,043,449 -
---------------- --------------
End of Period $186,833,694 $111,043,449
================ ==============
Undistributed Investment Income, Net $63,424 $63,424
</TABLE>
*The portfolio commenced operations on August 12, 1997.
See Notes to Financial Statements.
FFTW Funds, Inc.
Financial Highlights
June 30, 1998 (Unaudited) Money Market Portfolios
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Six months
ended For the Year Ended
For a share outstanding June 30, 1998 ---------------------------------------------------
throughout the period: (unaudited) Period From
December 31, December 31, December 31, December 31, Nov. 1, 1993* to
1997 1996 1995 1994 Dec. 31, 1993
- --------------------------------------------------------------------------------------------------------------------------
Per Share Data
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
Increase (Decrease) From
Investment Operations
Investment income, net 0.03 0.05 0.05 0.06 0.04 0.00**
Net realized gain on investments - - 0.00** 0.00** 0.00** -
-------------- ------------ ------------ ------------ ------------ ----------------
Total from investment operations 0.03 0.05 0.05 0.06 0.04 0.00
-------------- ------------ ------------ ------------ ------------ ----------------
Less Distributions
From investment income, net 0.03 0.05 0.05 0.06 0.04 0.00**
From net realized gain on investments - - 0.00** - - -
In excess of net realized gain on
investments - - - - 0.00** -
-------------- ------------ ------------ ------------ ------------ ----------------
Total distributions 0.03 0.05 0.05 0.06 0.04 0.00
-------------- ------------ ------------ ------------ ------------ ----------------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
============== ============ ============ ============ ============ ================
Total Return 2.71% (c) 5.46% 5.18% 5.74% 4.13% 0.44% (c)
Ratios/Supplemental Data
Net assets, end of period (000's) $ 26,032 $ 26,152 $ 25,047 $ 25,870 $ 22,006 $ 2,336
Ratio of operating expenses to average
net assets (a) 0.25% (b) 0.30% 0.40% 0.40% 0.40% 0.40% (b)
Ratio of investment income, net to
average net assets 5.39% (b) 5.33% 5.05% 5.58% 4.16% 2.67% (b)
Decrease in above expense ratios due
to waiver of investment advisory and
administration fees and reimburse-
ment of other expenses 0.15% (b) 0.16% 0.30% 0.37% 0.64% 25.54% (b)
</TABLE>
- -------------------------------------------------------------------------------
(a) Net of waivers and reimbursements
(b) Annualized.
(c) Not annualized.
* Commencement of Operations
** Rounds to less than $.01
FFTW Funds, Inc.
Financial Highlights
June 30, 1998 (Unaudited)
U.S. Short-Term Portfolio
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Six months
For a share outstanding ended For the Year Ended
throughout the period: June 30, 1998 ----------------------------------------------------------------
(unaudited) December 31, December 31, December 31, December 31, December 31,
1997 1996 1995 1994 1993
- ---------------------------------------------------------------------------------------------------------------------
Per Share Data
Net asset value, beginning of period $ 9.77 $ 9.85 $ 9.88 $ 9.89 $ 9.98 $ 10.00
------------- ------------ ------------ ------------ ------------ ------------
Increase (Decrease) From
Investment Operations
Investment income, net 0.28 0.57 0.55 0.56 0.44 0.32
Net realized and unrealized (loss) on
investments, financial futures and
options contracts, and foreign
currency-related transactions (0.01) (0.08) (0.03) (0.01) (0.08) (0.03)
------------- ------------ ------------ ------------ ------------ ------------
Total from investment operations 0.27 0.49 0.52 0.55 0.36 0.29
------------- ------------ ------------ ------------ ------------ ------------
Less Distributions
From investment income, net 0.28 0.57 0.55 0.56 0.45 0.31
In excess of investment income, net - - - 0.00* 0.00* -
------------- ------------ ------------ ------------ ------------ ------------
Total distributions 0.28 0.57 0.55 0.56 0.45 0.31
------------- ------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 9.76 $ 9.77 $ 9.85 $ 9.88 $ 9.89 $ 9.98
============= ============ ============ ============ ============ ============
Total Return 2.77% (c) 5.09% 5.45% 5.71% 3.71% 2.88%
Ratios/Supplemental Data
Net assets, end of period (000's) $ 448,662 $ 486,906 $ 355,257 $ 457,425 $ 290,695 $ 417,728
Ratio of operating expenses to
average net assets, exclusive of
interest expense (a) 0.25% (b) 0.25% 0.27% 0.40% 0.40% 0.40%
Ratio of operating expenses to
average net assets, inclusive of
interest expense (a) 0.25% (b) 0.26% 0.40% 0.51% 0.43% 0.48%
Ratio of investment income, net to
average net assets 5.70% (b) 5.78% 5.62% 5.64% 4.14% 3.28%
Decrease in above expense ratios
due to waiver of investment
advisory and administration fees 0.19% (b) 0.18% 0.05% 0.07% 0.08% 0.03%
</TABLE>
- -------------------------------------------------------------------------------
(a) Net of waivers and reimbursements (b) Annualized. (c) Not annualized *
Rounds to less than $0.01
FFTW Funds, Inc.
Financial Highlights (continued)
June 30, 1998 (Unaudited)
Stable Return Portfolio
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Six months Period From
ended For the Year Ended July 26, 1993* to
June 30, 1998 --------------------------------------------------- Dec. 31, 1993
(unaudited)
For a share outstanding December 31, December 31, December 31, December 31,
throughout the period: 1997 1996 1995 1994
- ------------------------------------------------------------------------------------------------------------------------
Per Share Data
Net asset value, beginning of period $9.93 $9.93 $10.00 $9.55 $9.95 $10.00
Increase (Decrease) From
Investment Operations
Investment income, net 0.28 0.62 0.55 0.60 0.43 0.14
Net realized and unrealized gain
(loss) on investments, financial
futures and options contracts and
foreign currency-related
transactions 0.02 0.08 (0.04) 0.45 (0.40) 0.05
------------- ------------ ------------ ------------ ------------ -----------------
Total from investment operations 0.30 0.70 0.51 1.05 0.03 0.19
------------- ------------ ------------ ------------ ------------ -----------------
Less Distributions
From investment income, net 0.28 0.62 0.55 0.60 0.43 0.14
In excess of investment income, net - - 0.00** - - -
From net realized gain on
investments, financial futures and
options contracts and foreign
currency-related transactions - 0.08 0.03 - - 0.03
In excess of net realized gain on
investments, financial futures and
options contracts and foreign
currency-related transactions - - - - - 0.07
------------- ------------ ------------ ------------ ------------ -----------------
Total distributions 0.28 0.70 0.58 0.60 0.43 0.24
------------- ------------ ------------ ------------ ------------ -----------------
Net asset value, end of period $9.95 $9.93 $9.93 $10.00 $9.55 $9.95
============= ============ ============ ============ ============ =================
Total Return 3.02% (c) 7.21% 5.29% 11.26% 0.29% 1.78% (c)
Ratios/Supplemental Data
Net assets, end of period (000's) $54,617 $40,029 $42,100 $5,080 $4,338 $3,482
Ratio of operating expenses to
average net assets, exclusive of
interest expense (a) 0.30% (b) 0.30% 0.31% 0.50% 0.50% 0.50% (b)
Ratio of operating expenses to
average net assets, inclusive of
interest expense (a) 0.30% (b) 0.60% 0.49% 1.41% 1.74% 0.50% (b)
Ratio of investment income, net to
average net assets 5.60% (b) 6.10% 5.79% 6.09% 4.43% 3.68% (b)
Decrease in above expense ratios
due to waiver of investment
advisory fees and reimbursement of
other expenses 0.20% (b) 0.31% 0.15% 0.53% 0.57% 1.46% (b)
Portfolio turnover 548% 1,292% 1,387% 1,075% 343% 1,841%
</TABLE>
- -------------------------------------------------------------------------------
(a) Net of waivers and reimbursements (b) Annualized (c) Not annualized *
Commencement of Operations ** Rounds to less than $.01
FFTW Funds, Inc.
Financial Highlights (continued)
Mortgate Total Return Portfolio
<TABLE>
<S> <C> <C> <C>
Six months
ended Year Ended Period From
For a share outstanding June 30, 1998 December 31, April 20, 1996*
throughout the period: (unaudited) 1997 to Dec. 31, 1996
- --------------------------------------------------------------------------------------------------------------------
Per Share Data
Net asset value, beginning of period $10.30 $10.16 $10.00
Increase (Decrease) From
Investment Operations
Investment income, net 0.36 0.68 0.41
Net realized and unrealized gain on investments, short sales, and
financial futures, options and swap contracts 0.01 0.32 0.23
------------- ------------ ----------------
Total from investment operations 0.37 1.00 0.64
------------- ------------ ----------------
Less Distributions
From investment income, net 0.33 0.63 0.41
In excess of investment income, net - 0.05 0.06
From net realized gain on investments, short sales, and financial
futures, options and swap contracts - 0.18 0.01
------------- ------------ ----------------
Total distributions 0.33 0.86 0.48
------------- ------------ ----------------
Net asset value, end of period $10.34 $10.30 $10.16
============= ============ ================
Total Return 3.63% (c) 10.19% 6.54% (c)
Ratios/Supplemental Data
Net assets, end of period (000's) $955,376 $655,271 $220,990
Ratio of operating expenses to average net assets, exclusive of interest
expense (a) 0.25% (b) 0.38% 0.45% (b)
Ratio of operating expenses to average net assets, inclusive of interest
expense (a) 0.25% (b) 0.47% 0.88% (b)
Ratio of investment income, net to average net assets 6.35% (b) 6.07% 7.61% (b)
Decrease in above expense ratios due to waiver of investment advisory
fees and reimbursement of other expenses 0.20% (b) 0.07% 0.10% (b)
Portfolio turnover 463% 3,396% 590%
</TABLE>
- -------------------------------------------------------------------------------
(a) Net of waivers and reimbursements
(b) Annualized
(c) Not annualized
* Commencement of Operations
FFTW Funds, Inc.
Financial Highlights (continued)
Worldwide Portfolio
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Six months
ended For the Year Ended
June 30, 1998 ----------------------------------------------------------------
(unaudited)
For a share outstanding December 31, December 31, December 31, December 31, December 31,
throughout the period: 1997 1996 1995 1994 1993
- -------------------------------------------------------------------------------------------------------------------
Per Share Data
Net asset value, beginning of period $9.42 $9.64 $9.83 $9.27 $10.02 $9.98
------------- ------------ ------------ ------------ ------------ ------------
Increase (Decrease) From
Investment Operations
Investment income, net 0.24 0.49 0.53 0.58 0.50 0.45
Net realized and unrealized gain
(loss) on investments, financial
futures and options contracts and
foreign currency-related
transactions 0.07 (0.22) 0.01 0.56 (0.74) 1.04
------------- ------------ ------------ ------------ ------------ ------------
Total from investment operations 0.31 0.27 0.54 1.14 (0.24) 1.49
------------- ------------ ------------ ------------ ------------ ------------
Less Distributions
From investment income, net 0.24 0.19 0.53 0.30 0.20 0.45
In excess of investment income, net - 0.11 - - 0.01 -
From net realized gain on
investments, financial futures and
options contracts and foreign
currency-related transactions - - 0.09 - - 0.87
In excess of net realized gain on
investments, financial futures and
options contracts and foreign
currency-related transactions - - - - - 0.13
From capital stock in excess of par
value - 0.19 0.11 0.28 0.30 -
------------- ------------ ------------ ------------ ------------ ------------
Total distributions 0.24 0.49 0.73 0.58 0.51 1.45
------------- ------------ ------------ ------------ ------------ ------------
Net asset value, end of period $9.49 $9.42 $9.64 $9.83 $9.27 $10.02
============= ============ ============ ============ ============ ============
Total Return 3.29% (c) 2.93% 5.77% 12.60% (2.25%) 15.86%
Ratios/Supplemental Data
Net assets, end of period (000's) $ 87,047 $ 82,236 $ 74,939 $ 86,186 $ 53,721 $ 217,163
Ratio of operating expenses to
average net assets, exclusive of
interest expense (a) 0.60% (b) 0.60% 0.60% 0.60% 0.60% 0.59%
Ratio of operating expenses to
average net assets, inclusive of
interest expense (a) 0.60% (b) 0.60% 0.60% 0.60% 0.63% 0.86%
Ratio of investment income, net to
average net assets 5.03% (b) 5.21% 5.52% 6.13% 5.11% 4.48%
Decrease in above expense ratios
due to waiver of investment
advisory fees and reimbursement of
other expenses - 0.02% 0.05% 0.30% 0.02% -
Portfolio Turnover 372% 713% 1,126% 1,401% 1,479% 1,245%
</TABLE>
- -------------------------------------------------------------------------------
(a) Net of waivers and reimbursements
(b) Annualized (c) Not annualized
FFTW Funds, Inc.
Financial Highlights (continued)
Worldwide-Hedged Portfolio
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Six months ended
June 30, 1998 For the Year Ended
(unaudited) ----------------------------------------------------------------
For a share outstanding December 31, December 31, December 31, December 31, December 31,
throughout the period: 1997 1996 1995 1994 1993
- ---------------------------------------------------------------------------------------------------------------------
Per Share Data
Net asset value, beginning of
period $11.23 $10.91 $10.85 $10.41 $10.08 $9.85
---------------- ------------ ------------ ------------ ------------ ------------
Increase (Decrease) From
Investment Operations
Investment income, net 0.28 0.53 0.62 0.45 0.34 0.45
Net realized and unrealized gain on
investments, financial futures and
options contracts and foreign
currency-related transactions 0.24 0.80 0.43 0.66 0.43 0.76
---------------- ------------ ------------ ------------ ------------ ------------
Total from investment operations 0.52 1.33 1.05 1.11 0.77 1.21
---------------- ------------ ------------ ------------ ------------ ------------
Less Distributions
From investment income, net 0.28 0.59 0.62 0.67 0.44 0.45
In excess of investment income,
net - - 0.37 - 0.00* -
From net realized gain on
investments, financial futures and
options contracts and foreign
currency-related transactions - 0.42 - - - 0.53
---------------- ------------ ------------ ------------ ------------ ------------
Total distributions 0.28 1.01 0.99 0.67 0.44 0.98
---------------- ------------ ------------ ------------ ------------ ------------
Net asset value, end of period $11.47 $11.23 $10.91 $10.85 $10.41 $10.08
================ ============ ============ ============ ============ ============
Total Return 4.73% (c) 12.60% 10.03% 11.00% 7.84% 12.89%
Ratios/Supplemental Data
Net assets, end of period (000's) $170,875 $ 80,390 $30,024 $28,255 $273 $41,138
Ratio of operating expenses to
average net assets, exclusive of
interest expense (a) 0.44% (b) 0.45% 0.45% 0.45% 0.60% 0.60%
Ratio of operating expenses to
average net assets, inclusive of
interest expense (a) 0.44% (b) 0.45% 0.45% 0.45% 0.65% 0.86%
Ratio of investment income, net to
average net assets 5.06% (b) 5.29% 5.71% 5.84% 4.72% 4.49%
Decrease in above expense ratios
due to waiver of investment
advisory fees and reimbursement
of other expenses 0.15% (b) 0.20% 0.24% 0.54% 0.17% 0.09%
Portfolio Turnover 498% 704% 1,087% 500% 1,622% 1,254%
</TABLE>
- -------------------------------------------------------------------------------
(a) Net of waivers and reimbursements
(b) Annualized
(c) Not annualized
* Rounds to less than $0.01
FFTW Funds, Inc.
Financial Highlights (continued)
International Portfolio
<TABLE>
<S> <C> <C> <C>
Six months
ended Year Ended Period From
For a share outstanding June 30, 1998 December 31, May 9, 1996* to
throughout the period: (unaudited) 1997 December 31, 1996
- -----------------------------------------------------------------------------------------------------------------------
Per Share Data
Net asset value, beginning of period $9.50 $10.20 $10.00
Increase (Decrease) From
Investment Operations
Investment income, net 0.24 0.50 0.38
Net realized and unrealized gain (loss) on investments, financial futures
contracts and foreign currency-related transactions (0.01) (0.56) 0.28
------------- ------------ -----------------
Total from investment operations 0.23 (0.06) 0.66
------------- ------------ -----------------
Less Distributions
From investment income, net 0.24 0.14 0.38
From net realized gain on investments, financial futures contracts and
foreign currency-related transactions - 0.14 -
From capital stock in excess of par value - 0.36 0.08
------------- ------------ -----------------
Total distributions 0.24 0.64 0.46
------------- ------------ -----------------
Net asset value, end of period $9.49 $9.50 $10.20
============= ============ =================
Total Return 2.42% (c) (0.43%) 6.66% (c)
Ratios/Supplemental Data
Net assets, end of period (000's) $76,976 $67,653 $35,746
Ratio of operating expenses to average net assets (a) 0.60% (b) 0.60% 0.60% (b)
Ratio of investment income, net to average net assets 5.02% (b) 5.19% 5.73% (b)
Decrease in above expense ratios due to waiver of investment advisory fees - 0.10% 0.32% (b)
Portfolio turnover 643% 809% 539%
</TABLE>
- -------------------------------------------------------------------------------
(a) Net of waivers
(b) Annualized
(c) Not annualized
* Commencement of Operations
FFTW Funds, Inc.
Financial Highlights (continued)
International-Hedged Portfolio
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Six months Period from
ended For the Year Ended March 25, 1993* to
June 30, 1998 ---------------------------------------------------- Dec. 31, 1993
(unaudited)
For a share outstanding December 31, December 31, December 31, December 31,
throughout the period: 1997 1996 1995 1994
- -------------------------------------------------------------------------------------------------------------------------------
Per Share Data
Net asset value, beginning of period $10.05 $9.80 $10.19 $10.00*** $10.39 $10.00
Increase (Decrease) From
Investment Operations
Investment income, net 0.20 0.41 0.47 0.19 0.20 0.44
Net realized and unrealized gain
(loss) on investments, financial
futures and swap contracts, and
foreign currency-related
transactions 0.12 0.43 (0.15) 0.19 (0.46) 0.78
------------- ------------ ------------ ------------- ------------ ------------------
Total from investment operations 0.32 0.84 0.32 0.38 (0.26) 1.22
------------- ------------ ------------ ------------- ------------ ------------------
Less Distributions
From investment income, net 0.27 0.36 0.47 0.19 0.20 0.44
In excess of investment income, net - 0.17 - 0.00 (c) - -
From net realized gain on
investments, options and financial
futures and swap contracts, and
foreign currency-related
transactions - 0.06 0.05 - - -
In excess of net realized gain on investments
financial futures, options and
swap contracts, and foreign currency-related
transactions - - 0.09 - 0.50 0.39
From capital stock in excess of par value - - 0.10 - - -
------------- ------------ ------------ ------------- ------------ ------------------
Total distributions 0.27 0.59 0.71 0.19 0.70 0.83
------------- ------------ ------------ ------------- ------------ ------------------
Net asset value, end of period $10.10 $10.05 $9.80 $10.19 $9.43** $10.39
============= ============ ============ ============= ============ ==================
Total Return 3.14% (d) 8.77% 3.18% 13.45% (2.53%) 16.37% (b)
Ratios/Supplemental Data
Net assets, end of period $329,605 $283,005 $126,645 $ 34,005 - $17,867
Ratio of operating expenses to
average net assets, exclusive of
interest expense (a) 0.30% (b) 0.42% 0.60% 0.60% (b) 0.57% 0.60% (b)
Ratio of operating expenses to
average net assets, inclusive of
interest expense (a) 5.81% (b) - - - - -
Ratio of investment income, net to
average net assets 5.44% (b) 3.67% 4.65% 6.12% (b) 2.87% 5.86% (b)
Decrease in above ratios due to
waiver of investment advisory fees
and reimbursement of other
expenses 0.30% (b) 0.16% 0.06% 0.17% (b) 0.49% 0.28% (b)
Portfolio turnover 411% 712% 784% 764% 1,282% 855%
</TABLE>
- -------------------------------------------------------------------------------
(a) Net of waivers and reimbursements (b) Annualized (c) Rounds to less than
$0.01 * Commencement of Operations
** Represents net asset value per share at December 30, 1994. The Portfolio was
fully liquidated on December 30, 1994 based on this net asset value
*** The Portfolio recommenced operations on September 14, 1995 (d) Not
annualized FFTW Funds, Inc.
Financial Highlights (continued)
Emerging Markets Portfolio
<TABLE>
<S> <C> <C>
Six months
ended Period From
For a share outstanding June 30, 1998 August 12, 1997*
throughout the period: (unaudited) to Dec. 31 1997
- ----------------------------------------------------------------------------------------------------------------------------
Per Share Data
Net asset value, beginning of period $9.59 $10.00
Increase (Decrease) From
Investment Operations
Investment income, net 0.44 0.29
Net realized and unrealized (loss) on investments, financial futures contracts
and foreign
currency-related transactions (0.55) (0.41)
---------------- ----------------
Total from investment operations (0.11) (0.12)
---------------- ----------------
Less Distributions
From investment income, net 0.44 0.29
---------------- ----------------
Net asset value, end of period $9.04 $9.59
================ ================
Total Return (1.29%) (b) (1.20%) (b)
Ratios/Supplemental Data
Net assets, end of period $186,834 $111,043
Ratio of operating expenses to average net assets, exclusive of interest expense (a) 1.04% (a) 1.03% (a)
Ratio of operating expenses to average net assets, inclusive of interest expense (a) 1.13% (a) 1.03% (a)
Ratio of investment income, net to average net assets 9.46% (a) 7.87% (a)
Portfolio turnover 72% 16%
</TABLE>
- -------------------------------------------------------------------------------
(a) Annualized
(b) Not annualized
* Commencement of Operations
FFTW Funds, Inc.
Notes to Financial Statements
June 30,1 998 (Unaudited)
1. Organization
FFTW Funds, Inc. (the "Fund") was organized as a Maryland corporation on
February 23, 1989 and is registered under the Investment Company Act of 1940,
as amended, as an open-end, management investment company. The Fund currently
has thirteen Portfolios, nine of which were active as of June 30, 1998. The
nine active Portfolios are: Money Market Portfolio ("Money Market"); U.S.
Short-Term Portfolio ("U.S. Short-Term"); Stable Return Portfolio ("Stable
Return"); Mortgage Total Return Portfolio ("Mortgage"); Worldwide Portfolio
("Worldwide"); Worldwide-Hedged Portfolio ("Worldwide-Hedged"); International
Portfolio ("International"); International-Hedged Portfolio
("International-Hedged"); and Emerging Markets Portfolio ("Emerging Markets").
The Fund is managed by Fischer Francis Trees & Watts, Inc. (the "Investment
Adviser").
2. Summary of Significant Accounting Policies
Net Asset Value
The net asset value per share ("NAV") of each Portfolio is determined by adding
the value of all of the assets of the Portfolio, subtracting all of the
Portfolio's liabilities, dividing by the number of shares outstanding and
adjusting to the nearest cent. The NAV is calculated by the Fund's Accounting
Agent as of 4:00 p.m. Eastern time on each Business Day (as that term is defined
in the Fund's registration statement) for each Portfolio, other than Money
Market, Mortgage, International-Hedged and Emerging Markets. The NAV of Money
Market is calculated by the Fund's Accounting Agent as of 12:00 p.m. Eastern
time on each Business Day. The NAV of Mortgage, International-Hedged and
Emerging Markets is calculated by the Fund's Accounting Agent as of 4:00 p.m.
Eastern time on the last Business Day of each month, on any other Business Days
in which the Investment Adviser approves a purchase, and on each Business Day
for which a redemption order has been placed.
Securities
All securities transactions are recorded on a trade date basis. Interest income
and expense are recorded on the accrual basis. The Fund amortizes discount or
premium on a daily basis to interest income. The Fund uses the specific
identification method for determining gain or loss on sales of securities.
Valuation
Except for Money Market, all investments are valued daily at their market price,
which results in unrealized gains or losses. Readily marketable fixed-income
securities are valued on the basis of prices provided by a pricing service when
such prices are believed by the Investment Adviser to reflect the fair value of
such securities. Securities traded on an exchange are valued at their last sales
price on that exchange. Securities for which over-the-counter market quotations
are available are valued at the latest bid price (asked price for short sales).
Time deposits and repurchase agreements are generally valued at their cost plus
accrued interest. Securities for which market quotations are not readily
available will be valued in good faith by methods approved by the Board of
Directors. Securities with maturities less than 60 days are valued at amortized
cost, which approximates market value, unless this method does not represent
fair value.
All investments in Money Market are valued daily using the amortized cost
valuation method which approximates market value and is consistent with Rule
2a-7 of the Investment Company Act of 1940.
Expenses
Expenses directly attributed to each Portfolio in the Fund are charged to that
Portfolio's operations; expenses which are applicable to all Portfolios are
allocated among them.
Income Tax
There is no provision for Federal income or excise tax since each Portfolio
distributes all of its taxable income and qualifies or intends to qualify as a
regulated investment company ("RIC") by complying with the requirements of
Subchapter M of the Internal Revenue Code applicable to RICs.
FFTW Funds, Inc.
Notes to Financial Statements (continued)
June 30, 1998 (Unaudited)
2. Summary of Significant Accounting Policies (continued)
Dividends to Shareholders
It is the policy of the Portfolios, other than Mortgage, to declare dividends
daily from net investment income. Mortgage declares dividends monthly from net
investment income on the last Business Day of each month. Dividends are paid in
cash or reinvested monthly for all Portfolios. Distributions from net capital
gains of each Portfolio, if any, are normally declared and paid annually, but
each Portfolio may make distributions on a more frequent basis to comply with
the distribution requirements of the Internal Revenue Code. To the extent that a
net realized capital gain can be reduced by a capital loss carryover, such gain
may not be distributed.
Dividends from net investment income and distributions from realized gains from
investment transactions have been determined in accordance with Federal income
tax regulations and may differ from net investment income and realized gains
recorded by a Portfolio for financial reporting purposes. Differences result
primarily from foreign currency transactions and timing differences related to
recognition of income, and gains and losses from investment transactions. To the
extent that those differences which are permanent in nature result in
overdistributions to shareholders, amounts are reclassified within the capital
accounts based on their federal tax basis treatment. Temporary differences do
not require reclassification. Dividends and distributions which exceed net
investment income and net realized capital gains for financial reporting
purposes but not for tax purposes are reported as distributions in excess of net
investment income and net realized capital gains, respectively. To the extent
that they exceed net investment income and net realized gains for tax purposes,
they are reported as distributions of capital stock in excess of par.
Currency Translation
Assets and liabilities denominated in foreign currencies and commitments under
forward foreign exchange contracts are translated into U.S. dollars at the mean
of the quoted bid and asked prices of such currencies against the U.S. dollar.
Purchases and sales of portfolio securities are translated at the rates of
exchange prevailing when such securities were acquired or sold. Income and
expenses are translated at exchange rates prevailing when accrued. The
Portfolios do not isolate that portion of the results of operations resulting
from changes in foreign exchange rates on investments from the fluctuations
arising from changes in market prices of securities held. Such fluctuations are
included with the net realized and unrealized gain or loss from investments.
Reported net realized gains or losses on foreign currency-related transactions
arise from sales of foreign currency, currency gains or losses realized between
the trade and settlement dates on securities transactions, and the difference
between the amounts of dividends, interest, and foreign withholding taxes
recorded on the Portfolio's books, and the U.S. dollar equivalent of the amounts
actually received. Net unrealized appreciation or depreciation on other assets
and liabilities denominated in foreign currency arise from changes in the value
of assets and liabilities other than investments in securities at fiscal year
end, resulting from changes in the exchange rates.
Estimates
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures in the financial statements.
Actual results could differ from those estimates.
3. Investment Advisory Agreements and Affiliated Transactions
The Fund's Board of Directors has approved investment advisory agreements (the
"Agreements") with the Investment Adviser. The investment advisory fees to be
paid to the Investment Adviser are computed daily at annual rates set forth
below. The fees are payable quarterly for U.S. Short-Term, Worldwide, and
Worldwide-Hedged, and monthly for Money Market, Stable Return, Mortgage,
International, International-Hedged and Emerging Markets.
From time to time, the Investment Adviser has agreed to waive its investment
advisory fee and reimburse the Portfolios for any expense (exclusive of
interest, taxes, brokerage commissions and other extraordinary expenses) in
excess of certain specified amounts. The table below summarizes the current
investment advisory fee arrangement (reflecting certain waivers), the investment
advisory fee per the Agreements and the current expense cap as percentages of
average daily net assets. All waiver and expense cap agreements are in effect
until further notice.
FFTW Funds, Inc.
Notes to Financial Statements (continued)
June 30, 1998 (Unaudited)
3. Investment Advisory Agreements and Affiliated Transactions (continued)
Current Investment Current
Investment Advisory Expense
Portfolio Advisory Fee Fee per Agreement Cap
- -------------------- ------------ ----------------- -------
Money Market 0.10% 0.10% 0.25%
U.S. Short-Term 0.15% 0.30% 0.25%
Stable Return 0.15% 0.35% 0.30%
Mortgage 0.10% 0.30% 0.25%
Worldwide 0.40% 0.40% 0.60%
Worldwide-Hedged 0.25% 0.40% 0.45%
International 0.40% 0.40% 0.60%
International-Hedged 0.10% 0.40% 0.30%
Emerging Markets 0.75% 0.75% 1.50%
Directors' fees of $12,000 were allocated among the Portfolios and paid for the
six months ended June 30, 1998 to Directors who are not employees of the
Investment Adviser. Directors who are not employees of the Investment Adviser
receive an annual retainer of $20,000, payable quarterly and $1,000 per meeting
attended.
On May 29, 1998, Investors Capital Services, Inc. became a wholly-owned
subsidiary of Investors Bank and Trust Company (IBT), which is a wholly-owned
subsidiary of Investors Financial Services Co., Inc. IBT serves as the Funds'
custodian and accounting agent. Fees paid for services rendered by IBT are based
upon assets of the Funds and on transactions entered into by the Funds during
the year. Fees paid to IBT by the Funds are reflected as accounting and custody
fees in the statement of operations.
As of June 30, 1998, the Investment Adviser had discretionary investment
advisory agreements with shareholders of the Fund that represent 79.9% of the
Fund's total net assets and therefore, may be deemed a control person.
4. Investment Transactions
Purchase cost and proceeds from sales of investment securities (including U.S.
Government securities), other than short-term investments, for the six months
ended June 30, 1998 for each of the Portfolios were as follows:
Purchase Cost of Proceeds from Sales of
Portfolio Investment Securities Investment Securities
- -------------------- --------------------- ----------------------
U.S. Short-Term $2,167,982,497 $2,058,437,433
Stable Return 358,233,762 346,769,727
Mortgage 6,758,900,234 6,246,387,601
Worldwide 217,308,389 218,388,016
Worldwide-Hedged 334,914,955 303,454,326
International 28,715,358 186,005,712
International-Hedged 959,416,008 1,004,561,308
Emerging Markets 211,106,462 96,531,331
The components of net unrealized appreciation (depreciation) of investments for
federal income tax purposes at June 30, 1998 for each of the Portfolios were as
follows:
Unrealized Unrealized
Portfolio Appreciation Depreciation Net
- -------------------- ------------ ------------ --------------
U.S. Short-Term $351,459 $633,772 $(282,313)
Stable Return 104,970 57,419 47,551
Mortgage 9,640,812 2,712,722 6,928,091
Worldwide 889,145 386,596 502,549
Worldwide-Hedged 887,959 215,561 672,398
International 496,066 157,960 338,106
International-Hedged 2,582,737 591,894 1,990,843
Emerging Markets 591,668 11,394,798 (10,803,130)
The cost of securities owned by each Portfolio at June 30, 1998 for Federal tax
purposes was substantially the same as for financial statement purposes.
FFTW Funds, Inc.
Notes to Financial Statements (continued)
June 30, 1998 (Unaudited)
5. Forward Foreign Exchange Contracts
Each Portfolio, except Money Market, may enter into forward foreign exchange
contracts in order to hedge its exposure to changes in foreign currency exchange
rates on its foreign currency denominated portfolio holdings. A forward foreign
exchange contract is a commitment to purchase or sell a foreign currency at a
future date at a negotiated forward rate. The gain or loss arising from the
difference between the original contracts and the closing of such contracts is
included in net realized gains or losses on foreign currency-related
transactions. Fluctuations in the value of forward foreign exchange contracts
are recorded for book purposes as unrealized gains or losses by the Portfolio.
The Portfolio's custodian will place and maintain cash not available for
investment, U.S. Government securities, or other appropriate liquid,
unencumbered securities in a separate account of the Portfolio having a value
equal to the aggregate amount of the Portfolio's commitments under certain open
forward foreign exchange contracts. Risks may arise from the potential inability
of a counterparty to meet the terms of a contract and from unanticipated
movements in the value of a foreign currency relative to the U.S.
dollar.
At June 30, 1998, Worldwide had outstanding forward foreign exchange contracts,
both to purchase and sell foreign currencies as follows:
<TABLE>
<S> <C> <C> <C>
- -------------------------------------------------------------------------------
Unrealized
Contract Cost/ Appreciation
Amount Proceeds Value (Depreciation)
- -----------------------------------------------------------------------------------------
Forward Foreign Exchange Buy Contracts
6,238,087 Australian Dollar closing 8/25/98 $ 3,828,207 $ 3,875,674 $ 47,467
10,229,214 Canadian Dollar closing 8/25/98 7,056,168 6,968,430 (87,738)
33,451,499 French Franc closing 8/25/98 5,630,712 5,551,078 (79,634)
24,237,911 German Deutschemark closing 8/25/98 13,725,792 13,476,792 (249,000)
3,944,158 Great British Pound closing 8/25/98 6,422,420 6,565,801 143,381
17,581,001,167 Italian Lira closing 8/25/98 10,065,555 9,903,436 (162,119)
3,466,978 Japanese Yen closing 8/25/98 25,596,908 25,063,327 (533,581)
850,000 Netherlands Guilder closing 8/25/98 423,877 419,406 (4,471)
1,550,000 New Zealand Dollar closing 8/25/98 824,968 802,791 (22,177)
789,918,532 Spanish Peseta closing 8/25/98 5,248,628 5,171,020 (77,608)
21,656,310 Swedish Krona closing 8/25/98 2,729,589 2,720,845 (8,744)
Forward Foreign Exchange Sell Contracts
6,147,199 Australian Dollar closing 8/25/98 3,675,253 3,819,205 (143,952)
6,951,597 Canadian Dollar closing 8/25/98 4,840,279 4,735,625 104,654
13,847,131 Danish Krone closing 8/25/98 2,046,107 2,019,710 26,397
21,997,893 German Deutschemark closing 8/25/98 12,403,888 12,231,295 172,593
3,160,000 Great British Pound closing 8/25/98 5,174,603 5,260,421 (85,818)
1,807,762,768 Japanese Yen closing 8/25/98 13,472,794 13,144,428 328,366
1,703,696 New Zealand Dollar closing 8/25/98 906,366 882,394 23,972
7,900,000 Swiss Franc closing 8/25/98 5,307,753 5,240,098 67,655
--------------
$(540,357)
==============
</TABLE>
FFTW Funds, Inc.
Notes to Financial Statements (continued)
June 30, 1998 (Unaudited)
5. Forward Foreign Exchange Contracts (continued)
At June 30, 1998, Worldwide-Hedged had outstanding forward foreign exchange
contracts, both to purchase and sell foreign currencies as follows:
<TABLE>
<S> <C> <C> <C>
- -------------------------------------------------------------------------------
Unrealized
Contract Cost/ Appreciation
Amount Proceeds Value (Depreciation)
- -----------------------------------------------------------------------------------------
Forward Foreign Exchange Buy Contracts
12,489,790 Australian Dollar closing 8/25/98 $ 7,668,919 $ 7,759,807 $ 90,888
12,551,958 Canadian Dollar closing 8/25/98 8,649,178 8,550,749 (98,429)
26,450,889 German Deutschemark closing 8/25/98 14,943,910 14,707,254 (236,654)
2,780,000 Great British Pound closing 8/25/98 4,520,903 4,627,838 106,935
14,999,014,852 Italian Lira closing 8/25/98 8,587,304 8,448,994 (138,310)
3,408,442,946 Japanese Yen closing 8/25/98 24,983,063 24,783,137 (199,926)
2,600,000 New Zealand Dollar closing 8/25/98 1,403,890 1,346,616 (57,274)
613,699,998 Spanish Peseta closing 8/25/98 4,077,741 4,017,446 (60,295)
38,355,152 Swedish Krona closing 8/25/98 4,834,332 4,818,846 (15,486)
Forward Foreign Exchange Sell Contracts
13,561,966 Australian Dollar closing 8/25/98 8,135,943 8,425,941 (289,998)
12,792,870 Canadian Dollar closing 8/25/98 8,907,295 8,714,866 192,429
52,582,270 Danish Krone closing 8/25/98 7,769,764 7,669,525 100,239
50,599,438 German Deutschemark closing 8/25/98 28,590,339 28,134,360 455,979
7,177,280 Great British Pound closing 8/25/98 11,741,123 11,947,946 (206,823)
3,317,133,087 Japanese Yen closing 8/25/98 24,733,302 24,119,214 614,088
2,674,537 New Zealand Dollar closing 8/25/98 1,422,853 1,385,221 37,632
6,896,712 Swedish Krona closing 8/25/98 899,063 866,486 32,577
14,272,050 Swiss Franc closing 8/25/98 9,589,052 9,466,702 122,350
--------------
$449,922
==============
</TABLE>
FFTW Funds, Inc.
Notes to Financial Statements (continued)
June 30, 1998 (Unaudited)
5. Forward Foreign Exchange Contracts (continued)
At June 30, 1998, International had outstanding forward foreign exchange
contracts, both to purchase and sell foreign currencies as follows:
<TABLE>
<S> <C> <C> <C>
- -------------------------------------------------------------------------------
Unrealized
Contract Cost/ Appreciation
Amount Proceeds Value (Depreciation)
- ---------------------------------------------------------------------------------------
Forward Foreign Exchange Buy Contracts
7,378,409 Australian Dollar closing 8/25/98 $ 4,523,902$ 4,584,146 $ 60,244
13,923,117 Canadian Dollar closing 8/25/98 9,603,750 9,484,822 (118,928)
57,459,006 French Franc closing 8/25/98 9,671,768 9,534,982 (136,786)
47,642,220 German Deutschemark closing 8/25/98 27,006,010 26,490,084 (515,926)
7,109,739 Great British Pound closing 8/25/98 11,578,877 11,835,511 256,634
21,615,556,407 Italian Lira closing 8/25/98 12,375,437 12,176,114 (199,323)
4,273,117,599 Japanese Yen closing 8/25/98 31,843,512 31,070,274 (773,238)
7,188,790 Netherlands Guilder closing 8/25/98 3,584,895 3,547,084 (37,811)
1,200,000 New Zealand Dollar closing 8/25/98 638,700 621,515 (17,185)
981,109,483 Spanish Peseta closing 8/25/98 6,519,000 6,422,608 (96,392)
27,630,443 Swedish Krona closing 8/25/98 3,507,533 3,471,420 (36,113)
Forward Foreign Exchange Sell Contracts
6,839,391 Australian Dollar closing 8/25/98 4,084,637 4,249,259 (164,622)
8,775,637 Canadian Dollar closing 8/25/98 6,111,461 5,978,213 133,248
14,219,110 Danish Krone closing 8/25/98 2,101,072 2,073,966 27,106
22,199,627 German Deutschemark closing 8/25/98 12,507,645 12,343,463 164,182
3,540,000 Great British Pound closing 8/25/98 5,811,533 5,893,003 (81,470)
1,990,528,425 Japanese Yen closing 8/25/98 14,849,744 14,473,336 376,408
1,347,112 New Zealand Dollar Closing 8/25/98 716,664 697,709 18,955
8,484,950 Swiss Franc closing 8/25/98 5,683,613 5,628,097 55,516
--------------
$(1,085,501)
</TABLE>
FFTW Funds, Inc.
Notes to Financial Statements (continued)
June 30, 1998 (Unaudited)
5. Forward Foreign Exchange Contracts (continued)
At June 30, 1998, International-Hedged had outstanding forward foreign exchange
contracts, both to purchase and sell foreign currencies as follows:
<TABLE>
<S> <C> <C> <C>
- -------------------------------------------------------------------------------
Unrealized
Contract Cost/ Appreciation
Amount Proceeds Value (Depreciation)
- --------------------------------------------------------------------------------------------
Forward Foreign Exchange Buy Contracts
62,468,794 Australian Dollar closing 8/25/98 $ 38,415,503 $ 38,811,363 $ 395,860
73,346,158 Canadian Dollar closing 8/25/98 50,617,199 49,965,481 (651,718)
242,630,209 French Franc closing 8/25/98 40,840,649 40,263,046 (577,603)
186,516,149 German Deutschemark closing 8/25/98 105,514,932 103,706,933 (1,807,999)
30,990,428 Great British Pound closing 8/25/98 50,452,699 51,589,455 1,136,756
102,210,870,575 Italian Lira closing 8/25/98 58,518,232 57,575,718 (942,514)
25,056,635,693 Japanese Yen closing 8/25/98 185,987,626 182,189,355 (3,798,271)
67,824,949 Netherlands Guilder closing 8/25/98 33,822,844 33,466,104 (356,740)
9,250,000 New Zealand Dollar closing 8/25/98 4,923,613 4,790,848 (132,765)
5,914,885,684 Spanish Peseta closing 8/25/98 39,301,566 38,720,442 (581,124)
190,835,566 Swedish Krona closing 8/25/98 24,143,772 23,976,104 (167,668)
Forward Foreign Exchange Sell Contracts
58,640,292 Australian Dollar closing 8/25/98 35,270,840 36,432,745 (1,161,905)
50,493,709 Canadian Dollar closing 8/25/98 35,144,454 34,397,746 746,708
61,200,000 Swiss Franc closing 8/25/98 41,098,138 40,594,176 503,962
143,817,446 German Deutschemark closing 8/25/98 81,045,410 79,965,548 1,079,862
24,860,000 Great British Pound closing 8/25/98 40,708,494 41,384,193 (675,699)
14,623,894,337 Japanese Yen closing 8/25/98 108,973,332 106,331,829 2,641,503
9,088,370 New Zealand Dollar closing 8/25/98 4,835,013 4,707,134 127,879
196,113,902 Danish Krone closing 8/25/98 28,978,567 28,604,711 373,856
--------------
$(3,847,620)
==============
</TABLE>
FFTW Funds, Inc.
Notes to Financial Statements (continued)
June 30, 1998 (Unaudited)
5. Forward Foreign Exchange Contracts (continued)
At June 30, 1998, Emerging Markets had outstanding forward foreign exchange
contracts, both to purchase and sell foreign currencies as follows:
<TABLE>
<S> <C> <C> <C>
- -------------------------------------------------------------------------------
Unrealized
Contract Cost/ Appreciation
Amount Proceeds Value (Depreciation)
- -------------------------------------------------------------------------------------------
Forward Foreign Exchange Buy Contracts
8,136,150,000 Colombia Peso closing 8/25/98 $ 5,500,000 $ 5,559,167 $ 59,167
374,596,000 Czech Koruna closing 8/25/98 11,109,112 11,250,184 141,072
20,075,768 German Deutschemark closing 8/25/98 11,150,621 11,140,215 (10,406)
1,222,195,000 Great British Pound closing 8/25/98 3,905,373 4,018,506 113,133
19,800,000 Malaysian Ringgit closing 8/25/98 5,000,000 4,657,910 (342,090)
210,000,000 Philippines Peso closing 8/25/98 5,160,349 4,966,144 (194,205)
202,750,000 Thai Baht closing 8/25/98 5,000,000 4,652,897 (347,103)
4,689,400,000 Turkish Lira closing 8/25/98 11,000,000 12,323,534 1,323,534
3,454,968 European Currency Unit closing 8/25/98 3,859,302 3,811,517 (47,785)
Forward Foreign Exchange Sell Contracts
374,596,000 Czech Koruna closing 8/25/98 11,150,621 11,250,184 (99,563)
48,384,978 German Deutschemark closing 8/25/98 27,128,055 26,882,322 245,733
1,222,195,000 Great British Pound closing 8/25/98 3,859,302 4,018,506 (159,204)
2,040,000,000 Japanese Yen closing 8/25/98 15,000,000 14,846,887 153,113
110,050,000 Thai Baht closing 8/25/98 2,253,737 2,375,900 (122,163)
2,594,750,000 Turkish Lira closing 8/25/98 5,727,925 6,801,249 (1,073,324)
3,438,806 European Currency Unit closing 8/25/98 3,905,373 3,793,688 111,685
47,500,000 South African Rand closing 8/25/98 8,959,728 7,996,633 963,095
--------------
$ 714,689
==============
</TABLE>
Each Portfolio, other than Money Market, may enter into foreign currency
transactions on the spot markets in order to pay for foreign investment
purchases or to convert to U.S. dollars the proceeds from foreign investment
sales or coupon interest receipts. At June 30, 1998, no Portfolio had an
outstanding purchase or sale of foreign currency on the spot markets.
FFTW Funds, Inc.
Notes to Financial Statements (continued)
June 30, 1998 (Unaudited)
6. Financial Futures Contracts
Each Portfolio, other than Money Market, may enter into financial futures
contracts to hedge its interest rate and foreign currency risk. A Portfolio is
exposed to market risk as a result of changes in the value of the underlying
financial instruments.
Investments in financial futures contracts require the Portfolio to "mark to
market" open financial futures contracts on a daily basis, which reflects the
change in the market value of the contract at the close of each day's trading.
Accordingly, variation margin is paid or received to reflect daily unrealized
gains or losses. When the contracts are closed, the Portfolio recognizes a
realized gain or loss equal to the difference between the value of the contract
at the time it was opened and the time it was closed. These investments require
initial margin deposits which consist of cash or eligible securities. At June
30, 1998, the Portfolios placed U.S. Treasury Bills or other liquid securities
or cash in segregated accounts for the benefit of the broker at the Portfolio's
custodian with respect to their financial futures contracts as follows:
June 30,1998
Portfolio Collateral Value
- --------------------- ----------------
U.S. Short-Term $2,931,552
Stable Return 488,592
Mortgage Total Return 2,638,397
Worldwide 699,274
Worldwide-Hedged 1,248,704
International 899,067
International-Hedged 6,593,156
Emerging Markets 1,270,397
As of June 30, 1998, U.S. Short-Term had the following open financial futures
contracts:
- -------------------------------------------------------------------------------
Value Unrealized
Covered by Appreciation
Contracts Contracts (Depreciation)
- ------------------------------------------------------------------------------
Long Futures Contracts:
310 September '98 Euro Dollars $ 73,086,375 $ 13,764
448 December '98 Euro Dollars 105,582,400 103,966
Short Futures Contracts:
65 September '98 2 Year U.S. Treasury Notes 13,544,375 (14,232)
--------------
$103,498
==============
As of June 30, 1998, Stable Return had the following open financial futures
contracts:
- ------------------------------------------------------------------------------
Value
Covered by Unrealized
Contracts Contracts (Depreciation)
- ------------------------------------------------------------------------------
Short Futures Contracts:
9 September '98 CBT 5 Year Treasury Notes $987,188 $(2,077)
14 September '98 2 Year U.S. Treasury Notes 2,917,250 (2,578)
--------------
$(5,089)
==============
FFTW Funds, Inc.
Notes to Financial Statements (continued)
June 30, 1998 (Unaudited)
6. Financial Futures Contracts (continued)
As of June 30, 1998, Mortgage had the following open financial futures
contracts:
- -------------------------------------------------------------------------------
Value Unrealized
Covered by Appreciation
Contracts Contracts (Depreciation)
- -------------------------------------------------------------------------------
Long Futures Contracts:
189 September '98 5 Year Treasury Notes $ 20,730,938 $ 24,770
Short Futures Contracts:
148 September '98 2 Year Treasury Notes 30,839,500 (44,766)
327 September '98 10 Year Treasury Notes 37,226,906 (142,831)
18 September '98 U.S. Long Bonds 2,224,688 (39,336)
--------------
$(202,163)
==============
As of June 30, 1998, Worldwide had the following open financial futures
contracts:
- -------------------------------------------------------------------------------
Value Unrealized
Covered by Appreciation
Contracts Contracts (Depreciation)
- -------------------------------------------------------------------------------
Long Futures Contracts:
69 September '98 LIFFE Deutsche Bundes $10,357,456 $47,860
97 September '98 Deutsche MED Bundes 14,199,022 45,317
25 September '98 CBT 5 Year U.S. Treasury Notes 2,742,188 11,133
27 September '98 LIFFE Long Gilt 4,899,828 (4,861)
2 September '98 TSE Japanese 10 Year Bond 1,913,620 (19,468)
57 September '98 10 Year U.S. Treasury Notes 6,489,094 35,752
27 September '98 U.S. Treasury Bonds 3,337,031 49,489
--------------
$165,222
==============
As of June 30, 1998, Worldwide-Hedged had the following open financial futures
contracts:
- -------------------------------------------------------------------------------
Value Unrealized
Covered by Appreciation
Contracts Contracts (Depreciation)
- -------------------------------------------------------------------------------
Long Futures Contracts:
100 September '98 10 Year U.S. Treasury Notes $11,384,375 $62,721
24 September '98 CBT 5 Year U.S. Treasury Notes 2,632,500 10,553
207 September '98 Deutsche Bundes 31,072,367 180,790
156 September '98 Deutsche MED Bundes 22,835,541 70,092
53 September '98 LIFFE Long Gilt 9,618,181 (11,920)
1 September '98 TSE Japanese Gov't. 10 Year Bond 956,810 (9,734)
130 September '98 U.S. Treasury Bonds 16,067,188 237,991
--------------
$540,493
==============
FFTW Funds, Inc.
Notes to Financial Statements (continued)
June 30, 1998 (Unaudited)
6. Financial Futures Contracts (continued)
As of June 30, 1998, International had the following open financial futures
contracts:
- -------------------------------------------------------------------------------
Value Unrealized
Covered by Appreciation
Contracts Contracts (Depreciation)
- -------------------------------------------------------------------------------
Long Futures Contracts:
276 September '98 Deutsche MED Bundes $41,079,542 $227,805
44 September '98 LIFFE Long Gilt 7,984,905 (16,640)
4 September '98 TSE Japanese Gov't. 10 Year Bond 3,827,241 (38,935)
--------------
$172,230
==============
As of June 30, 1998, International-Hedged had the following
open financial futures contracts:
- -------------------------------------------------------------------------------
Value Unrealized
Covered by Appreciation
Contracts Contracts (Depreciation)
- ------------------------------------------------------------------------------
Long Futures Contracts:
483 September '98 Deutsche Bundes $72,502,189 $440,761
908 September '98 Deutsche MED Bundes 132,914,556 363,806
188 September '98 LIFFE Long Gilt 34,117,321 (23,569)
33 September '98 TSE Japanese Gov't. 10 Year Bond 31,574,735 (321,220)
15 September '98 U.S. Treasury Bonds 1,853,906 28,510
--------------
$488,288
==============
As of June 30, 1998, Emerging Markets had the following open financial futures
contracts:
- -------------------------------------------------------------------------------
Value Unrealized
Covered by Appreciation
Contracts Contracts (Depreciation)
- ------------------------------------------------------------------------------
Short Futures Contracts:
138 September '98 CBT 5 Year U.S. Treasury Notes $15,136,875 $(62,226)
246 September '98 10 Year U.S. Treasury Notes 28,005,562 (157,635)
397 September '98 U.S. Treasury Bonds 49,066,719 (793,122)
--------------
$ (1,012,983)
==============
FFTW Funds, Inc.
Notes to Financial Statements (continued)
June 30, 1998 (Unaudited)
7. Capital Stock Transactions
As of June 30, 1998, there were 5,000,000,000 shares of $0.001 par value capital
stock authorized.
Transactions in capital stock for Money Market were as follows for the periods
indicated:
- -------------------------------------------------------------------------------
Six Months Ended Year Ended
June 30, 1998 December 31, 1997
- -------------------------------------------------------------------------------
Shares Amount Shares Amount
- -------------------------------------------------------------------------------
Shares sold 975,184 $975,184 809,659 $809,659
Shares issued related to
reinvestment of dividends 690,263 690,263 1,363,118 1,363,118
- --------------------------------------------------------------------------------
1,665,447 1,665,447 2,172,777 2,172,777
Shares redeemed 1,785,770 1,785,770 1,067,582 1,067,582
- --------------------------------------------------------------------------------
Net increase (decrease) (120,323) $(120,323) 1,105,195 $1,105,195
- --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
Transactions in capital stock for U.S. Short-Term were as follows for the
periods indicated:
<TABLE>
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
Six Months Ended Year Ended
June 30, 1998 December 31, 1997
- -------------------------------------------------------------------------------
Shares Amount Shares Amount
- -----------------------------------------------------------------------------------
Shares sold 392,795,691 $ 3,838,188,029 635,311,236 $ 6,237,574,780
Shares issued related to
reinvestment of dividends 1,436,276 14,031,450 2,789,536 27,377,336
- -----------------------------------------------------------------------------------
394,231,967 3,852,219,479 638,100,772 6,264,952,116
Shares redeemed 398,109,932 3,890,058,787 624,333,180 6,129,968,601
- -----------------------------------------------------------------------------------
Net increase (decrease) (3,877,965) $(37,839,308) 13,767,592 $134,983,515
- -----------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------
</TABLE>
Transactions in capital stock for Stable Return were as follows for the periods
indicated:
- ------------------------------------------------------------------------------
Six Months Ended Year Ended
June 30, 1998 December 31, 1997
- -------------------------------------------------------------------------------
Shares Amount Shares Amount
- -------------------------------------------------------------------------------
Shares sold 3,926,160 $39,302,834 3,788,291 $37,880,900
Shares issued related to
reinvestment of dividends 171,049 1,701,254 215,997 2,148,047
- --------------------------------------------------------------------------------
4,097,209 41,004,088 4,004,288 40,028,947
Shares redeemed 2,638,506 26,228,719 4,216,188 41,993,570
- ----------------------------------------------------------------------------
Net increase (decrease) 1,458,702 $14,775,369 (211,900) $(1,964,623)
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
FFTW Funds, Inc.
Notes to Financial Statements (continued)
June 30, 1998 (Unaudited)
7. Capital Stock Transactions (continued)
Transactions in capital stock for Mortgage were as follows for the periods
indicated:
- -------------------------------------------------------------------------------
Six Months Ended Year Ended
June 30, 1998 December 31, 1997
- -----------------------------------------------------------------------------
Shares Amount Shares Amount
- -----------------------------------------------------------------------------
Shares sold 34,911,537 $ 360,250,00073,900,117 $ 762,614,676
Shares issued related to
reinvestment of dividends 2,430,725 25,105,689 4,663,202 47,946,656
- -----------------------------------------------------------------------------
37,342,262 385,355,689 78,563,319 810,561,332
Shares redeemed 8,561,773 88,488,400 36,721,484 383,659,957
- -----------------------------------------------------------------------------
Net increase 28,780,489 $296,867,289 41,841,835 $426,901,375
- -----------------------------------------------------------------------------
- -----------------------------------------------------------------------------
Transactions in capital stock for Worldwide were as follows for the periods
indicated:
- -----------------------------------------------------------------------------
Six Months Ended Year Ended
June 30, 1998 December 31, 1997
- -----------------------------------------------------------------------------
Shares Amount Shares Amount
- -----------------------------------------------------------------------------
Shares sold 491,075 $4,647,035 1,920,788 $18,112,235
Shares issued related to
reinvestment of dividends 171,462 1,620,384 343,250 3,210,931
- -----------------------------------------------------------------------------
662,537 6,267,418 2,264,038 21,323,166
Shares redeemed 226,620 2,146,257 1,304,053 12,156,347
- -----------------------------------------------------------------------------
Net increase 435,917 $4,121,161 959,985 $9,166,819
- -----------------------------------------------------------------------------
- -----------------------------------------------------------------------------
Transactions in capital stock for Worldwide-Hedged were as follows for the
periods indicated:
- -----------------------------------------------------------------------------
Six Months Ended Year Ended
June 30, 1998 December 31, 1997
- -----------------------------------------------------------------------------
Shares Amount Shares Amount
- -----------------------------------------------------------------------------
Shares sold 7,968,720 $90,047,511 3,982,279 $44,433,183
Shares issued related to
reinvestment of dividends 289,058 3,285,643 530,286 5,958,627
- -----------------------------------------------------------------------------
8,257,778 93,333,154 4,512,565 50,391,810
Shares redeemed 516,062 5,860,997 105,402 1,178,345
- -----------------------------------------------------------------------------
Net increase 7,741,715 $87,472,157 4,407,163 $49,213,465
- -----------------------------------------------------------------------------
- -----------------------------------------------------------------------------
FFTW Funds, Inc.
Notes to Financial Statements (continued)
June 30, 1998 (Unaudited)
7. Capital Stock Transactions (continued)
Transactions in capital stock for International were as follows for the periods
indicated:
- -------------------------------------------------------------------------------
Six Months Ended Year Ended
June 30, 1998 December 31, 1997
- -------------------------------------------------------------------------------
Shares Amount Shares Amount
- -------------------------------------------------------------------------------
Shares sold 2,419,789 $ 23,108,473 3,289,389 $ 32,040,188
Shares issued related to
reinvestment of dividends 175,360 1,665,069 351,087 3,365,604
- -------------------------------------------------------------------------------
2,595,149 24,773,541 3,640,476 35,405,792
Shares redeemed 1,606,582 15,344,997 21,837 212,502
- -------------------------------------------------------------------------------
Net increase 988,567 $9,428,544 3,618,639 $35,193,290
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
Transactions in capital stock for International-Hedged were as follows for the
periods indicated:
- -------------------------------------------------------------------------------
Six Months Ended Year Ended
June 30, 1998 December 31, 1997
- -------------------------------------------------------------------------------
Shares Amount Shares Amount
- -------------------------------------------------------------------------------
Shares sold 4,404,914 $44,000,000 21,516,017 $216,244,172
Shares issued related to
reinvestment of dividends 840,739 8,426,697 1,252,355 12,577,383
- -------------------------------------------------------------------------------
5,245,653 52,426,697 22,768,372 228,821,555
Shares redeemed 755,305 7,600,000 7,532,876 76,430,078
- -------------------------------------------------------------------------------
Net increase 4,490,348 $44,826,697 15,235,496 $152,391,477
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
Transactions in capital stock for Emerging Markets were as follows for the
periods indicated:
- -------------------------------------------------------------------------------
Six Months Ended Period from August 12, 1997* to
June 30, 1998 December 31, 1997
- -------------------------------------------------------------------------------
Shares Amount Shares Amount
- -------------------------------------------------------------------------------
Shares sold 8,316,238 $81,000,000 12,811,892 $125,300,000
Shares issued related to
reinvestment of dividends 779,445 7,382,205 197,299 1,903,314
- --------------------------------------------------------------------------------
9,095,683 88,382,205 13,009,191 127,203,314
Shares redeemed - - 1,431,789 13,730,857
- --------------------------------------------------------------------------------
Net increase 9,095,683 $88,382,205 11,577,402 $113,472,457
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
- ------------------
* Commencement of Operations
FFTW Funds, Inc.
Notes to Financial Statements (continued)
June 30, 1998 (Unaudited)
8. Repurchase and Reverse Repurchase Agreements
Each Portfolio may enter into repurchase agreements under which a bank or
securities firm that is a primary or reporting dealer in U.S. Government
securities agrees, upon entering into the contract, to sell U.S. Government
securities to a Portfolio and repurchase such securities from such Portfolio at
a mutually agreed upon price and date. U.S. Short-Term, Worldwide, and
Worldwide-Hedged may only invest up to 25% of their assets in repurchase
agreements. Securities purchased subject to repurchase agreements must have an
aggregate market value greater than or equal to the repurchase price plus
accrued interest at all times. If the value of the underlying securities falls
below the value of the repurchase price plus accrued interest, the Portfolio
will require the seller to deposit additional collateral by the next business
day. If the request for additional collateral is not met, or the seller defaults
on its repurchase obligation, such Portfolio maintains the right to sell the
underlying securities at market value and may claim any resulting loss against
the seller.
Each Portfolio is also permitted to enter into reverse repurchase agreements
under which a primary or reporting dealer in U.S. Government securities
purchases U.S. Government securities from a Portfolio and such Portfolio agrees
to repurchase the securities at an agreed upon price and date. Reverse
repurchase agreements for U.S. Short-Term, Worldwide, and Worldwide-Hedged may
not exceed 25% of the Portfolio's total assets. When a Portfolio engages in
reverse repurchase transactions, the Portfolio will maintain, in a segregated
account with its custodian, cash or securities equal in value to those subject
to the reverse repurchase agreement.
For the six months ended June 30, 1998, the following Portfolios had an average
amount of reverse repurchase agreements outstanding and daily weighted average
interest rate as shown:
Average Average
Portfolio Balance Rate
- ------------------------------------
U.S. Short-Term $ 56,353 5.00%
Mortgage 696,063 5.46%
Emerging Markets 3,326,147 4.08%
Each Portfolio will engage in repurchase and reverse repurchase transactions
with parties selected on the basis of such party's creditworthiness.
9. Options Transactions
For hedging purposes, each Portfolio other than Money Market, may purchase and
write (sell) put and call options on U.S. and foreign government securities and
foreign currencies that are traded on U.S. and foreign securities exchanges and
over-thecounter markets.
The risk with purchasing an option is that the Portfolio pays a premium whether
or not the option is exercised. Additionally, the Portfolio bears the risk of
loss of premium and change in market value should the counterparty not perform
under the contract.
Put and call options purchased are accounted for in the same manner as portfolio
securities. The cost of securities acquired through the exercise of call options
is increased by the premiums paid. The proceeds from securities sold through the
exercise of put options are decreased by the premiums paid.
When the Portfolio writes an option, the premium received by the Portfolio is
recorded as a liability and is subsequently adjusted to the current market value
of the option written. Premiums received from writing options which expire
unexercised are recorded by the Portfolio on the expiration date as realized
gains from option transactions. The difference between the premium and the
amount paid on effecting a closing purchase transaction, including brokerage
commissions, also is treated as a realized gain, or if the premium is less than
the amount paid for the closing purchase transaction, as a realized loss.
If a call option is exercised, the premium is added to the proceeds from the
sale of the underlying security or currency in determining whether the Portfolio
has a realized gain or loss. If a put option is exercised, the premium reduces
the cost basis of the security or currency purchased by the Portfolio. In
writing an option, the Portfolio bears the market risk of an unfavorable change
in the price of the security or currency underlying the written option. Exercise
of an option written by the Portfolio could result in the Portfolio selling or
buying a security or currency at a price different from the current market
value. FFTW Funds, Inc.
Notes to Financial Statements (continued)
June 30, 1998 (Unaudited)
9. Options Transactions (continued)
A summary of put and call options written by U. S. Short-Term for the six months
ended June 30, 1998 is as follows:
Calls Puts
------------------ ------------------
# of # of
Contracts Premiums Contracts Premiums
- ----------------------------------------------------------------------
Outstanding, beginning of period - $- - $-
Options written
US Treasury 817 424,847 817 298,128
Options Closed
US Treasury 817 424,847 817 298,128
- ----------------------------------------------------------------------
Outstanding end of period $- $-
- ----------------------------------------------------------------------
- ----------------------------------------------------------------------
Net realized loss on written options transactions for the six months ended June
30, 1998 was $25,410.
A summary of put and call options written by Stable Return for the six months
ended June 30, 1998 is as follows:
Calls Puts
------------------ ------------------
# of # of
Contracts Premiums Contracts Premiums
- ----------------------------------------------------------------------
Outstanding, beginning of period - $- - $-
Options written
US Treasury 95 40,890 95 48,421
Options Closed
US Treasury 95 40,890 95 48,421
- ----------------------------------------------------------------------
Outstanding end of period - $- - $-
- ----------------------------------------------------------------------
- ----------------------------------------------------------------------
Net realized gain on written options transactions for the six months ended June
30, 1998 was $23,153
A summary of put and call options written by Worldwide Portfolio for the six
months ended June 30, 1998 is as follows:
Calls Puts
------------------ ------------------
# of # of
Contracts Premiums Contracts Premiums
- ----------------------------------------------------------------------
Outstanding, beginning of period - $- - $-
Options written
US Treasury 30 15,301 30 21,551
Options Closed
US Treasury 30 15,301 30 21,551
- ----------------------------------------------------------------------
Outstanding end of period - $- - $-
- ----------------------------------------------------------------------
- ----------------------------------------------------------------------
Net realized gain on written options transactions for the six months ended June
30, 1998 was $10,734.
A summary of put and call options written by Worldwide-Hedged for the six months
ended June 30, 1998 is as follows:
Calls Puts
------------------ ------------------
# of # of
Contracts Premiums Contracts Premiums
- ----------------------------------------------------------------------
Outstanding, beginning of period - $- - $-
Options written
US Treasury 55 28,051 55 39,505
Options Closed
US Treasury 55 28,051 55 39,505
- ----------------------------------------------------------------------
Outstanding end of period - $- - $-
- ----------------------------------------------------------------------
- ----------------------------------------------------------------------
FFTW Funds, Inc.
Notes to Financial Statements (continued)
June 30, 1998 (Unaudited)
Net realized gain on written options transactions for the six months ended June
30, 1998 was $19,854.
10. Swap Transactions
A swap is an agreement that obligates two parties to exchange a series of cash
flows at specified intervals based upon or calculated by reference to changes in
specified prices or rates for a specified amount of an underlying asset. The
payment flows are usually netted against each other, with the difference being
paid by one party to the other. Risks may arise as a result of the failure of
another party to the swap contract to comply with the terms of the swap
contract. The loss incurred by the failure of a counterparty generally is
limited to the net payment to be received by a Portfolio, and/or the termination
value at the end of the contract. Therefore, the Portfolio considers the
creditworthiness of each counterparty to a swap contract in evaluating potential
credit risk. Additionally, risks may arise from unanticipated movements in
interest rates or in the value of the underlying securities or indices.
Mortgage entered into an interest rate swap contract pursuant to which the
Portfolio receives payments based on changes in the London Interbank Offered
Rate (LIBOR) applied to a notional amount and makes fixed rate payments based on
the same notional amount. The swap contracts are designed to enhance the total
return of the Portfolio.
The Portfolio records a net receivable or payable and interest for the amount
expected to be received or paid in the period. Fluctuations in the value of
interest rate swap contracts are recorded for financial statement purposes as
unrealized appreciation (depreciation) on investments.
As of June 30, 1998, Mortgage had entered into the following interest rate swap
contract:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------
Swap Notional Termination Payments Made Payments Received Unrealized
Counterparty Amount Date by the Portfolio by the Portfolio (Depreciation)
- --------------------------------------------------------------------------------------------
Morgan Guaranty $25,000,000 August 3, 1999 6.678% 3 month Libor $(2,481,272)
Trust Company
</TABLE>
International-Hedged entered into a swap agreement pursuant to which the
Portfolio agrees to pay the return of a specified global index in exchange for
an interest payment based on LIBOR. The effect of such is to hedge the market
exposure imbedded in the Portfolio for a current market interest return, plus
(or minus) any incremental return achieved in excess of the index return. This
type of transaction also serves to hedge currency exposure. The index used
pursuant to this hedging technique is the JP Morgan Non-U.S. Traded Total Return
Government Bond Index (Unhedged) ("JP Morgan Index").
The Portfolio records a net receivable or payable on a daily basis for the
amount expected to be received or paid in the period. Income paid or received on
the JP Morgan Index is broken down into an interest expense component (recorded
as an offset to interest income) and a capital component (recorded as net
realized gain or loss on investment). Income received based on LIBOR is recorded
as interest income.
At June 30, 1998, International-Hedged had the following outstanding swap
contracts with Morgan Guaranty Trust Company of New York with the following
terms:
- -------------------------------------------------------------------------------
Notional Termination Payments Made Payments Received
Amount Date by the Portfolio by the Portfolio
- --------------------------------------------------------------------------
$21,600,000.00 4/5/00 % change in JP Morgan Index LIBOR minus .28%
108,000,000.00 11/4/98 % change in JP Morgan Index LIBOR minus .26%
90,000,000.00 7/31/99 % change in JP Morgan Index LIBOR minus .26%
31,000,000.00 8/4/99 % change in JP Morgan Index LIBOR minus .27%
29,000,000.00 8/4/99 % change in JP Morgan Index LIBOR minus .29%
20,000,000.00 8/4/99 % change in JP Morgan Index LIBOR minus .27%
13,000,000.00 8/4/99 % change in JP Morgan Index LIBOR minus .29%
12,000,000.00 8/4/99 % change in JP Morgan Index LIBOR minus .28%
FFTW Funds, Inc.
Notes to Financial Statements (continued)
June 30, 1998 (Unaudited)
11. Segregation of Assets
It is the policy of each of the Fund's Portfolios to have its custodian
segregate certain assets to cover portfolio transactions which are deemed to
create leverage under Section 18(f) of the Investment Company Act of 1940.
Except for Money Market, the Portfolios turn over assets on a frequent basis
which would make it impractical to specify individual securities to be used for
segregation purposes. Therefore, the Portfolio's custodian has been instructed
to segregate all assets on a settled basis. The Portfolios will not enter into
transactions deemed to create leverage in excess of each Portfolio's ability to
segregate up to 100% of its settled assets.
12. Subsequent Events
Developments in Russia
As of June 30, 1998, the Fund held securities issued by Russian corporations and
governmental organizations that comprised 12.1% of its portfolio. Subsequent to
June 30, 1998, the Russian economy has experienced a number of unfavorable
economic events including the Russian government's moratorium on debt repayment
and a significant devaluation of its currency, the Ruble. These events have
resulted in restricted trading markets and uncertain valuations of securities
issued by Russian entities, including issuers of securities held by the Fund. A
reasonable estimate of the Russian economy's impact to the Fund's portfolio
cannot be made. Valuations of securities held by the Fund are being valued in
accordance with its valuation policies described in Footnote 1.
FFTW Funds, Inc.
Notes to Financial Statements (continued)
June 30, 1998 (Unaudited)
OFFICERS & DIRECTORS AND OTHER PERTINENT INFORMATION
OFFICERS AND DIRECTORS Investment Adviser
Fischer Francis Trees & Watts, Inc.
Stephen P. Casper 200 Park Avenue
Director of the Fund New York, NY 10166
John C Head III Sub-Adviser
Director of the Fund Fischer Francis Trees & Watts
3 Royal Court
Lawrence B. Krause The Royal Exchange
Director of the Fund London, EC3V 3RA
Onder John Olcay Administrator
Chairman of the Board and Investors Capital Services, Inc.
President of the Fund 600 Fifth Avenue
New York, NY 10020
William E. Vastardis
Secretary and Treasurer of the Fund Distributor
AMT Capital Securities, L.L.C.
Carla E. Dearing 399 Park Avenue, 37th Floor
Assistant Treasurer of the Fund New York, NY 10022
Custodian and Fund Accounting Agent
Investors Bank & Trust Company
200 Clarendon St.
Boston, MA 02116
Transfer and Dividend Disbursing Agent
Investors Bank & Trust Company
200 Clarendon St.
Boston, MA 02116
Legal Counsel
Dechert Price & Rhoads
1500 K Street, N.W.
Washington, D.C. 20005-1208
Independent Auditors
Ernst & Young LLP
787 Seventh Avenue
New York, NY 10019
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 10
<NAME> MONEY MARKET PORTFOLIO
<MULTIPLIER> 1,000
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1998
<PERIOD-END> JUN-30-1998
<INVESTMENTS-AT-COST> 25746
<INVESTMENTS-AT-VALUE> 25746
<RECEIVABLES> 288
<ASSETS-OTHER> 20
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 26054
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 22
<TOTAL-LIABILITIES> 22
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 26011
<SHARES-COMMON-STOCK> 26011
<SHARES-COMMON-PRIOR> 26131
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 21
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 26032
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 723
<OTHER-INCOME> 0
<EXPENSES-NET> (32)
<NET-INVESTMENT-INCOME> 691
<REALIZED-GAINS-CURRENT> 0
<APPREC-INCREASE-CURRENT> 0
<NET-CHANGE-FROM-OPS> 691
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 691
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 975
<NUMBER-OF-SHARES-REDEEMED> (1786)
<SHARES-REINVESTED> 690
<NET-CHANGE-IN-ASSETS> (120)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 21
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 13
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 51
<AVERAGE-NET-ASSETS> 28851
<PER-SHARE-NAV-BEGIN> 1.00
<PER-SHARE-NII> 0.03
<PER-SHARE-GAIN-APPREC> .00
<PER-SHARE-DIVIDEND> 0.03
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 1.00
<EXPENSE-RATIO> .25
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 1
<NAME> U.S. SHORT-TERM PORTFOLIO
<MULTIPLIER> 1,000
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1998
<PERIOD-END> JUN-30-1998
<INVESTMENTS-AT-COST> 463164
<INVESTMENTS-AT-VALUE> 462881
<RECEIVABLES> 1947
<ASSETS-OTHER> 16
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 464844
<PAYABLE-FOR-SECURITIES> 16171
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 11
<TOTAL-LIABILITIES> 16182
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 458174
<SHARES-COMMON-STOCK> 46
<SHARES-COMMON-PRIOR> 49834
<ACCUMULATED-NII-CURRENT> 255
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (9637)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (176)
<NET-ASSETS> 448662
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 14648
<OTHER-INCOME> 0
<EXPENSES-NET> (617)
<NET-INVESTMENT-INCOME> 14031
<REALIZED-GAINS-CURRENT> (402)
<APPREC-INCREASE-CURRENT> (2)
<NET-CHANGE-FROM-OPS> 13627
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (14031)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 392796
<NUMBER-OF-SHARES-REDEEMED> 398110
<SHARES-REINVESTED> 1436
<NET-CHANGE-IN-ASSETS> (38243)
<ACCUMULATED-NII-PRIOR> 255
<ACCUMULATED-GAINS-PRIOR> (9235)
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 739
<INTEREST-EXPENSE> 1
<GROSS-EXPENSE> 1074
<AVERAGE-NET-ASSETS> 496389
<PER-SHARE-NAV-BEGIN> 9.77
<PER-SHARE-NII> 0.28
<PER-SHARE-GAIN-APPREC> (0.01)
<PER-SHARE-DIVIDEND> (0.28)
<PER-SHARE-DISTRIBUTIONS> .00
<RETURNS-OF-CAPITAL> .00
<PER-SHARE-NAV-END> 9.76
<EXPENSE-RATIO> .25
<AVG-DEBT-OUTSTANDING> 56
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 5
<NAME> STABLE RETURN PORTFOLIO
<MULTIPLIER> 1,000
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1998
<PERIOD-END> JUN-30-1998
<INVESTMENTS-AT-COST> 62658
<INVESTMENTS-AT-VALUE> 62706
<RECEIVABLES> 399
<ASSETS-OTHER> 1
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 63106
<PAYABLE-FOR-SECURITIES> 8456
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<OTHER-ITEMS-LIABILITIES> 33
<TOTAL-LIABILITIES> 8489
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 54744
<SHARES-COMMON-STOCK> 6
<SHARES-COMMON-PRIOR> 4030
<ACCUMULATED-NII-CURRENT> 10
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (185)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 42
<NET-ASSETS> 54617
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 1795
<OTHER-INCOME> 0
<EXPENSES-NET> 91
<NET-INVESTMENT-INCOME> 1704
<REALIZED-GAINS-CURRENT> (142)
<APPREC-INCREASE-CURRENT> (46)
<NET-CHANGE-FROM-OPS> 1516
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<NUMBER-OF-SHARES-SOLD> 3926
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<SHARES-REINVESTED> 171
<NET-CHANGE-IN-ASSETS> 14588
<ACCUMULATED-NII-PRIOR> 10
<ACCUMULATED-GAINS-PRIOR> (43)
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
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<GROSS-EXPENSE> 152
<AVERAGE-NET-ASSETS> 61371
<PER-SHARE-NAV-BEGIN> 9.93
<PER-SHARE-NII> .28
<PER-SHARE-GAIN-APPREC> .02
<PER-SHARE-DIVIDEND> (0.28)
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<PER-SHARE-NAV-END> 9.95
<EXPENSE-RATIO> .30
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 8
<NAME> MORTGAGE TOTAL RETURN PORTFOLIO
<MULTIPLIER> 1,000
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1998
<PERIOD-END> JUN-30-1998
<INVESTMENTS-AT-COST> 1638319
<INVESTMENTS-AT-VALUE> 1645248
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<TOTAL-ASSETS> 1652071
<PAYABLE-FOR-SECURITIES> 619468
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<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 945207
<SHARES-COMMON-STOCK> 92
<SHARES-COMMON-PRIOR> 63598
<ACCUMULATED-NII-CURRENT> (5592)
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 11366
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 4245
<NET-ASSETS> 955318
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 26321
<OTHER-INCOME> 0
<EXPENSES-NET> (1002)
<NET-INVESTMENT-INCOME> 25319
<REALIZED-GAINS-CURRENT> 5320
<APPREC-INCREASE-CURRENT> (2319)
<NET-CHANGE-FROM-OPS> 28320
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 25141
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 34912
<NUMBER-OF-SHARES-REDEEMED> (8561)
<SHARES-REINVESTED> 2431
<NET-CHANGE-IN-ASSETS> 0
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 6045
<OVERDISTRIB-NII-PRIOR> (5770)
<OVERDIST-NET-GAINS-PRIOR> 0
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<GROSS-EXPENSE> 1778
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<PER-SHARE-NAV-BEGIN> 10.30
<PER-SHARE-NII> .36
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<PER-SHARE-NAV-END> 10.34
<EXPENSE-RATIO> 0.25
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 2
<NAME> WORLDWIDE PORTFOLIO
<MULTIPLIER> 1,000
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1998
<PERIOD-END> JUN-30-1998
<INVESTMENTS-AT-COST> 91663
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<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 95815
<SHARES-COMMON-STOCK> 9
<SHARES-COMMON-PRIOR> 8733
<ACCUMULATED-NII-CURRENT> (18)
<OVERDISTRIBUTION-NII> (18)
<ACCUMULATED-NET-GAINS> (8519)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (240)
<NET-ASSETS> 87047
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 2383
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<EXPENSES-NET> (254)
<NET-INVESTMENT-INCOME> 2129
<REALIZED-GAINS-CURRENT> 172
<APPREC-INCREASE-CURRENT> 518
<NET-CHANGE-FROM-OPS> 2819
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (2129)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 491
<NUMBER-OF-SHARES-REDEEMED> (227)
<SHARES-REINVESTED> 171
<NET-CHANGE-IN-ASSETS> 4811
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> (8691)
<OVERDISTRIB-NII-PRIOR> (18)
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<GROSS-EXPENSE> 254
<AVERAGE-NET-ASSETS> 85278
<PER-SHARE-NAV-BEGIN> 9.42
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<PER-SHARE-NAV-END> 9.49
<EXPENSE-RATIO> 0.60
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 3
<NAME> WORLDWIDE-HEDGED PORTFOLIO
<MULTIPLIER> 1,000
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1998
<PERIOD-END> JUN-30-1998
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<SHARES-COMMON-STOCK> 15
<SHARES-COMMON-PRIOR> 7158
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<OVERDISTRIBUTION-NII> (300)
<ACCUMULATED-NET-GAINS> 2555
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<ACCUM-APPREC-OR-DEPREC> 1214
<NET-ASSETS> 170875
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<NET-INVESTMENT-INCOME> 3294
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<NUMBER-OF-SHARES-SOLD> 7969
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<NET-CHANGE-IN-ASSETS> 90485
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<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 9
<NAME> INTERNATIONAL PORTFOLIO
<MULTIPLIER> 1,000
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1998
<PERIOD-END> JUN-30-1998
<INVESTMENTS-AT-COST> 89458
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<ACCUMULATED-NET-GAINS> (844)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (702)
<NET-ASSETS> 76976
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 1890
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<EXPENSES-NET> 202
<NET-INVESTMENT-INCOME> 1688
<REALIZED-GAINS-CURRENT> (623)
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<NUMBER-OF-SHARES-SOLD> 2420
<NUMBER-OF-SHARES-REDEEMED> (1607)
<SHARES-REINVESTED> 175
<NET-CHANGE-IN-ASSETS> 9323
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<GROSS-EXPENSE> 127
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<PER-SHARE-NAV-BEGIN> 9.50
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<EXPENSE-RATIO> .60
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 4
<NAME> INTERNATIONAL-HEDGED PORTFOLIO
<MULTIPLIER> 1,000
<S> <C>
<PERIOD-TYPE> 06-MOS
<FISCAL-YEAR-END> DEC-31-1998
<PERIOD-END> JUN-30-1998
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<ACCUMULATED-NET-GAINS> (6934)
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<ACCUM-APPREC-OR-DEPREC> (1999)
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<NET-INVESTMENT-INCOME> 8390
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<SHARES-REINVESTED> 8427
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<PER-SHARE-NAV-BEGIN> 10.05
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<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 11
<NAME> EMERGING MARKETS PORTFOLIO
<MULTIPLIER> 1,000
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1998
<PERIOD-END> JUN-30-1998
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<ACCUM-APPREC-OR-DEPREC> (11200)
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</TABLE>
