<PAGE>
FFTW FUNDS, INC.
- --------------------------------------------------------------------
Semi-Annual Report
June 30, 1999
- --------------------------------------------------------------------
200 PARK AVENUE
NEW YORK, NY 10166
TELEPHONE 212.681.3000
FACSIMILE 212.681.3250
<PAGE>
FFTW FUNDS, INC.
PRESIDENT'S LETTER
August 24, 1999
Dear Shareholders,
We are pleased to present the Semi-Annual Report of FFTW Funds, Inc.,
for the six months ended June 30, 1999.
FFTW is pleased to invite our clients and their consultants to
participate in quarterly conference calls with senior portfolio managers to
discuss our Funds. These regular calls provide a forum for open discussion on
current market developments and outlook, and FFTW's portfolio strategy. If you
are interested in participating, please call Johanna Lasker at (212) 681-3054
for details.
We appreciate your participation in FFTW Funds. In our continuing effort
to meet your investment needs, we would welcome the opportunity to discuss the
objectives and results of each of our portfolios with you.
Sincerely,
/S/ O. John Olcay
O. John Olcay
Chairman of the Board and President
<PAGE>
FFTW FUNDS, INC.
TABLE OF CONTENTS
<TABLE>
<S> <C>
SCHEDULES OF INVESTMENTS
Money Market Portfolio 1
U.S. Short-Term Portfolio 3
Limited Duration Portfolio 7
Mortgage-Backed Portfolio 9
Global Tactical Exposure Portfolio 15
Worldwide Portfolio 20
Worldwide-Hedged Portfolio 25
International Portfolio 31
Emerging Markets Portfolio 35
International Opportunities Portfolio 40
STATEMENTS OF ASSETS AND LIABILITIES 43
STATEMENTS OF OPERATIONS 48
STATEMENTS OF CHANGES IN NET ASSETS 53
FINANCIAL HIGHLIGHTS 58
NOTES TO FINANCIAL STATEMENTS 68
</TABLE>
<PAGE>
FFTW FUNDS, INC.
MONEY MARKET PORTFOLIO - SCHEDULE OF INVESTMENTS
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT VALUE
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSET-BACKED SECURITY - 2.6%
Ford Credit Auto Owner Trust,
Ser. 1999-A, Class A2
(Cost $678,569) 5.089% 01/18/2000 $ 678,567 $ 678,569
-----------
BANK OBLIGATION - 1.8%
Investors Bank & Trust Company
Cash Sweep
(Cost $470,000) 4.164% 07/01/1999 470,000 470,000
-----------
CERTIFICATES OF DEPOSIT - 27.1%
Bank of Nova Scotia - Yankee 4.910% 08/12/1999 1,000,000 1,000,012
Bayerische Landesbank - Yankee 4.980% 11/19/1999 1,000,000 999,619
CIBC Mortgage Corp. - Yankee 5.220% 09/02/1999 1,000,000 1,000,017
Commerzbank AG - Yankee 5.120% 04/25/2000 1,000,000 995,239
Landesbank Hessen-Thueringen -
Yankee 5.190% 02/26/2000 1,000,000 999,872
Svenska Handlesbanken NY -
Yankee 5.675% 08/09/1999 1,000,000 1,000,621
Westdeutsche Landesbank -
Yankee 5.160% 09/17/1999 1,000,000 1,000,119
-----------
Total (Cost $6,995,499) 6,995,499
-----------
COMMERCIAL PAPER - 71.3%*
Abbey National (North America) 5.038% 08/18/1999 1,000,000 993,340
Banque Caisse Epargne 4.880% 08/03/1999 1,000,000 995,582
Banque General Luxembourg 4.884% 08/05/1999 1,000,000 995,304
Bell Atlantic Network Funding,
Inc. 4.878% 07/02/1999 1,000,000 999,865
CBA (Delaware) Finance 5.057% 11/24/1999 1,000,000 980,005
Deutche Bank AG 4.920% 08/10/1999 1,000,000 994,634
Dollar Thrifty Funding 4.929% 07/07/1999 1,000,000 999,182
Fleet Funding Corp. 4.895% 07/02/1999 1,000,000 999,864
ING America Insurance Holdings 4.861% 07/15/1999 1,075,000 1,072,989
Morgan Guaranty Trust 5.497% 03/06/2000 1,000,000 963,480
Moriarty Ltd. 4.902% 08/16/1999 1,000,000 993,815
Province of Quebec 4.929% 10/14/1999 500,000 492,986
Queens Health Systems 4.931% 08/23/1999 1,000,000 992,831
Repsol International Finance 4.994% 07/15/1999 1,000,000 998,107
Riverwoods Funding Corp. 5.000% 07/14/1999 1,000,000 998,201
Sigma Finance Inc. 4.893% 08/10/1999 1,000,000 994,644
Telstra Corp. 4.959% 08/24/1999 1,000,000 992,650
UBS (Delaware) Finance LLC 4.868% 07/22/1999 1,000,000 997,228
</TABLE>
1
<PAGE>
FFTW FUNDS, INC.
MONEY MARKET PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT VALUE
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMERCIAL PAPER (CONTINUED)
Zeneca Wilmington Inc. 4.879% 07/21/1999 $1,000,000 $ 997,322
-----------
Total (Cost $18,452,029) 18,452,029
-----------
TIME DEPOSIT - 0.4%
Bank of Montreal - Eurodollar
(Cost $100,000) 5.750% 07/01/1999 100,000 100,000
-----------
TOTAL INVESTMENTS - 103.2%
(COST - $26,696,097) 26,696,097
-----------
OTHER ASSETS AND LIABILITIES -
(3.2%) (825,173)
-----------
NET ASSETS - 100.0% $25,870,924
-----------
-----------
</TABLE>
Eurodollar - U.S. dollar denominated time deposits issued by a bank outside the
U.S. with interest and principal paid in dollars.
Yankee - U.S. dollar denominated certificates of deposit issued by non-U.S.
banks in the U.S.
* Interest rate shown represents yield to maturity at date of purchase.
See Notes to Financial Statements.
2
<PAGE>
FFTW FUNDS, INC.
U.S. SHORT-TERM PORTFOLIO - SCHEDULE OF INVESTMENTS
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT VALUE
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSET- AND MORTGAGE-BACKED SECURITIES - 71.0%
Aames Mortgage Trust, Ser.
1997-C, Class A1A (FRN) 5.188% 11/15/2027 $ 199,636 $ 199,349
Advanta Business Corp., Ser.
1998-1, Class A1 5.770% 04/14/2002 149,393 149,409
Advanta Mortage Line Trust,
Ser. 1999-2, Class A1 (FRN) 5.193% 05/25/2029 9,794,602 9,767,819
Amresco Residential Securities
Mortgage Loan Trust, Ser.
1998-2, Class A8 (FRN) 5.078% 05/25/2028 6,435,020 6,417,066
Banc One Home Equity Trust,
Ser. 1999-1, Class A1 6.060% 01/25/2012 12,209,120 12,190,806
BankBoston Home Equity Loan
Trust, Ser. 1998-2, Class A1 6.280% 11/25/2010 6,852,611 6,842,949
Beneficial Mortgage Corp.,
Ser. 1995-1, Class A1 (FRN) 5.138% 03/28/2025 1,382,637 1,382,388
Beneficial Mortgage Corp.,
Ser. 1997-1, Class M (FRN) 5.168% 05/28/2037 3,000,000 2,998,410
Block Mortgage Finance, Inc.,
Ser. 1997-2, Class A6 (FRN) 5.133% 05/25/2027 1,352,888 1,351,373
Budget Fleet Finance Corp.,
Ser. 1994-A, Class A (FRN) 5.561% 04/25/2000 15,000,000 14,994,141
Case Equipment Loan Trust,
Ser. 1998-C, Class A2 5.490% 08/15/2002 13,925,930 13,919,245
Caterpillar Financial Asset
Trust, Ser. 1998-A, Class A2 5.750% 09/25/2001 8,053,431 8,059,229
Chase Manhattan Auto Owner
Trust, Ser. 1996-C, Class A3 5.950% 11/15/2000 1,414,690 1,416,883
Chase Manhattan RV Owner
Trust, Ser. 1997-A, Class A5 6.050% 11/15/2004 6,506,780 6,506,780
CIT Marine Trust, Ser. 1999-A,
Class A2 5.800% 04/15/2010 4,500,000 4,484,340
Citibank Credit Card Master
Trust I, Ser. 1998-7, Class B
(FRN) 5.113% 05/15/2002 15,000,000 14,985,000
Contimortgage Home Equity Loan
Trust, Ser. 1996-1,
Class A8 (FRN) 5.328% 03/15/2027 649,981 649,760
Contimortgage Home Equity Loan
Trust, Ser. 1999-3, Class A1 6.420% 04/25/2014 10,000,000 9,982,813
Copelco Capital Funding Corp.,
Ser. 1998-A, Class A3 5.780% 08/15/2001 7,000,000 7,001,190
Countrywide Home Equity, Ser.
1999-A, Class A CTFS (FRN) 5.308% 04/15/2025 14,771,528 14,741,523
Criimi Mae CMBS Corp., Ser.
1998-1, Class A1 - 144A(a) 5.697% 10/20/2001 11,224,437 11,038,533
EQCC Home Equity Loan Trust,
Ser. 1998-2, Class A1F 6.235% 04/15/2008 5,861,543 5,861,367
FHLMC, Ser. 1587, Class EZ 5.750% 05/15/2007 3,935,300 3,932,230
FHLMC, Ser. 1727, Class E 6.500% 04/15/2018 9,057,075 9,111,780
FNMA, Ser. 1993-54, Class FK
(FRN) 5.694% 04/25/2021 2,113,887 2,128,072
FNMA, Ser. 1993-82, Class C 6.000% 07/25/2015 8,481,072 8,457,834
FNMA, Ser. 1993-163, Class BK 6.150% 11/25/2017 4,475,351 4,466,758
FNMA, Ser. 1993-196, Class E 5.500% 02/25/2007 6,152,833 6,126,868
Ford Credit Auto Owner Trust,
Ser. 1998-B, Class A2 5.800% 10/15/2000 3,469,150 3,474,562
Ford Credit Auto Owner Trust,
Ser. 1998-C, Class A4 5.810% 03/15/2002 5,000,000 5,006,050
GMAC Mortgage Corp. Loan
Trust, Ser. 1998-1, Class A -
144A (FRN)(a) 5.158% 03/15/2024 7,426,693 7,373,314
Green Tree Home Improvement
Loan Trust, Ser. 1998-D,
Class HEA1 5.980% 08/15/2029 6,095,169 6,104,312
Headlands Mortgage Securities,
Inc., Ser. 1997-3, Class C1
(FRN) 5.188% 07/25/2027 79,798 79,744
HFC Revolving Home Equity Loan
Trust, Ser. 1994-2,
Class A1 (FRN) 5.254% 09/20/2014 4,403,017 4,380,825
</TABLE>
3
<PAGE>
FFTW FUNDS, INC.
U.S. SHORT-TERM PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT VALUE
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSET- AND MORTGAGE-BACKED SECURITIES (CONTINUED)
HFC Revolving Home Equity Loan
Trust, Ser. 1996-1,
Class A (FRN) 5.224% 07/20/2017 $ 6,884,073 $ 6,866,175
Keycorp Student Loan Trust,
Ser. 1995-B, Class A (FRN) 5.370% 09/27/2024 6,209,003 6,205,153
Lakeshore Commercial Loan
Master Trust, Ser. 1998-AA,
Class A2 - 144A (FRN)(a) 5.108% 07/25/2004 10,000,000 9,984,375
MBNA Master Credit Card Trust,
Ser. 1994-C, Class B (FRN) 5.450% 03/15/2004 10,000,000 9,982,600
MBNA Master Credit Card Trust,
Ser. 1996-D, Class B (FRN) 5.278% 09/15/2003 10,000,000 9,979,900
Merrill Lynch Mortgage
Investors, Inc., Ser.
1998-FF1,
Class A (FRN) 5.174% 01/20/2028 6,217,985 6,208,534
Metris Master Trust, 1998-1A,
Class B - 144A (FRN)(a) 5.474% 08/20/2005 5,000,000 4,993,750
Newcourt Equipment Trust
Securities, Ser. 1998-1,
Class A2 5.170% 09/20/2000 12,000,000 11,965,680
Norwest Auto Trust, Ser.
1996-A, Class CTFS 6.300% 05/15/2003 10,000,000 10,015,625
Premier Auto Trust, Ser.
1996-3, Class CTFS 6.950% 11/06/2001 5,000,000 5,041,500
Premier Auto Trust, Ser.
1997-2, Class A3 6.130% 09/06/2000 3,377,483 3,382,313
Premier Auto Trust, Ser.
1998-4, Class A2 5.560% 04/08/2001 8,780,303 8,785,572
Providian Home Equity Loan
Trust, Ser. 1999-1, Class A
(FRN) 5.196% 06/25/2005 14,941,434 14,908,750
Rental Car Finance Corp., Ser.
1997-1, Class A1 - 144A(a) 6.250% 06/25/2003 11,650,000 11,588,109
Residential Accredit Loans
Inc., Ser. 1998-QS2, Class A4
(FRN) 5.523% 02/25/2028 5,843,928 5,841,941
Residential Asset
Securitization Trust, Ser.
1997-A4,
Class A9 (FRN) 5.338% 06/25/2027 1,010,540 1,007,761
Residential Asset
Securitization Trust, Ser.
1998-A5, Class A2 6.750% 06/25/2028 7,497,078 7,439,951
Santa Barbara Funding II, Ser.
A, Class 1 (FRN) 5.650% 03/20/2018 197,705 201,539
Saxon Asset Securities Trust,
Ser. 1998-2, Class AV2 6.200% 04/25/2017 13,100,000 13,090,044
Secured Asset Securities
Commercial Mortgage Corp.,
Ser. 1998-3A, Class A1A -
144A (FRN)(a) 5.643% 10/25/1999 5,966,205 5,970,918
Structured Asset Securities
Corp., Ser. 1998-C2A, Class A
- 144A (FRN)(a) 5.083% 12/25/2000 5,222,634 5,214,748
Toyota Auto Lease Trust, Ser.
1998-B, Class A1 5.350% 07/25/2002 10,375,000 10,269,175
Westpac Securitisation Trust,
Ser. 1998-1G, Class A (FRN) 5.140% 07/19/2029 11,795,069 11,762,042
Westpac Securitisation Trust,
Ser. 1999-1G, Class A (FRN) 5.204% 05/19/2030 15,000,000 14,958,000
WFS Financial Owner Trust,
Ser. 1998-B, Class A2 5.777% 01/20/2001 7,225,935 7,228,193
World Omni Automobile Lease,
Ser. 1998-A, Class A4 (FRN) 5.538% 12/15/2004 15,000,000 15,121,875
------------
Total (Cost $434,815,956) 433,596,945
------------
</TABLE>
4
<PAGE>
FFTW FUNDS, INC.
U.S. SHORT-TERM PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT VALUE
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
BANK OBLIGATION - 0.2%
Investors Bank & Trust Company
Cash Sweep
(Cost $1,351,000) 4.164% 07/01/1999 1,351,000 1,351,000
------------
CERTIFICATES OF DEPOSIT - 11.5%
Chase Manhattan Bank 5.365% 05/22/2000 20,000,000 19,995,292
CIBC Mortgage Corp. - Yankee 5.220% 09/02/1999 20,000,000 20,000,341
Landesbank Hessen-Thueringen -
Yankee 5.250% 09/07/1999 15,000,000 15,002,081
Rabobank Nederland NV - Yankee 5.520% 06/07/2000 15,000,000 14,994,605
------------
Total (Cost $69,992,319) 69,992,319
------------
COMMERCIAL PAPER - 3.2%*
Morgan Guaranty Trust 5.497% 03/06/2000 10,000,000 9,605,467
Queens Health Systems 4.931% 08/23/1999 10,000,000 9,876,897
------------
Total (Cost $19,309,531) 19,482,364
------------
CORPORATE OBLIGATIONS - 8.5%
CIT Group Holdings, Inc. (MTN) 5.000% 10/06/2000 15,000,000 14,786,385
FCC National Bank (FRN) 5.030% 04/23/2002 15,000,000 14,995,500
Halifax Building Society Plc
(FRN) 5.096% 09/10/1999 10,000,000 9,988,600
Salomon, Inc. - Eurodollar
(FRN) (MTN) 6.455% 02/14/2000 12,000,000 12,105,000
------------
Total (Cost $52,246,111) 51,875,485
------------
TIME DEPOSITS - 12.0%
Bank of Montreal 5.750% 07/01/1999 33,500,000 33,500,000
Den Danske Bank - Eurodollar 5.813% 07/01/1999 33,500,000 33,500,000
Westdeutsche Landesbank -
Eurodollar 5.875% 07/01/1999 6,500,000 6,500,000
------------
Total (Cost $73,500,000) 73,500,000
------------
U.S. GOVERNMENT OBLIGATION - 0.5%
U.S. Treasury Bill @* (Cost
$2,943,390) 4.700% 11/26/1999 3,000,000 2,941,788
------------
TOTAL INVESTMENTS - 106.9%
(COST - $654,158,307) 652,739,901
------------
OTHER ASSETS AND LIABILITIES -
(6.9%) (42,250,377)
------------
NET ASSETS - 100.0% $610,489,524
------------
------------
</TABLE>
5
<PAGE>
FFTW FUNDS, INC.
U.S. SHORT-TERM PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
Summary of Abbreviations
- ------------------------------------------------------------------------------------------------------------------
<S> <C>
Eurodollar U.S. dollar denominated time deposits issued by a bank outside the U.S. with interest and principal
paid in dollars
FHLMC Federal Home Loan Mortgage Corp.
FNMA Federal National Mortgage Association
FRN Floating Rate Note
MTN Medium-Term Note
Yankee U.S. dollar denominated certificates of deposit issued by non-U.S. banks in the U.S.
</TABLE>
@ Security, or a portion thereof, is held in a margin account as collateral
for open financial futures contracts.
* Interest rate shown represents yield to maturity at date of purchase.
(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, 1999
these securities were valued at $56,163,747 or 9.2% of net assets.
See Notes to Financial Statements.
6
<PAGE>
FFTW FUNDS, INC.
LIMITED DURATION PORTFOLIO - SCHEDULE OF INVESTMENTS
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT VALUE
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
LONG-TERM INVESTMENTS - 124.8%
ASSET- AND MORTGAGE-BACKED SECURITIES - 92.0%
Aames Mortgage Trust, Ser.
1998-B, Class A1A (FRN) 5.153% 06/15/2028 $ 726,998 $ 725,683
Advanta Mortgage Loan Trust,
Ser. 1998-2, Class A13 6.360% 01/25/2025 3,000,000 2,941,380
Allied Capital Commercial
Mortgage Trust, Ser.1998-1,
Class A - 144A(a) 6.310% 09/25/2003 918,687 912,018
BankBoston Marine Asset Backed
Trust, Ser. 1997-2, Class A4 6.410% 10/15/2008 1,398,662 1,400,019
Case Equipment Loan Trust,
Ser. 1998-A, Class A4 5.830% 02/15/2005 4,000,000 3,975,080
Champion Home Equity Loan
Trust, Ser. 1998-1, Class A1
(FRN) 5.403% 09/25/2028 3,244,950 3,190,597
CIT Marine Trust, Series Ser.
1999-A, Class A2 5.800% 04/15/2010 1,250,000 1,245,650
CIT RV Trust, Ser. 1997-A,
Class A4 6.200% 10/16/2006 838,519 840,808
Contimortgage Home Equity Loan
Trust, Ser. 1997-4, Class A5 6.440% 12/15/2012 1,200,000 1,195,980
Contimortgage Home Equity Loan
Trust, Ser. 1998-3, Class A10 5.840% 05/15/2016 4,000,000 3,975,260
Copeico Capital Funding Corp.,
Ser. 1998-A, Class A3 5.780% 08/15/2001 2,000,000 2,000,340
Crimi Mae CMBS Corp., Ser.
1998-1, Class A1 - 144A(a) 5.697% 10/20/2001 863,418 849,118
EQCC Home Equity Line Trust,
Ser. 1999-1, Class A2 (FRN) 5.765% 03/20/2029 2,000,000 1,974,660
FHLMC, Ser. 1873, Class C 7.000% 06/15/2008 964,950 972,684
First Plus Home Loan Trust,
Ser. 1998-1, Class A2 5.970% 11/10/2010 840,813 840,030
FNMA Whole Loan, Ser. 1996-W4,
Class A3 6.719% 12/25/2011 1,000,000 1,003,700
FNMA, Ser. 1993-35, Class G 6.500% 07/25/2006 3,000,000 3,001,830
Ford Credit Auto Owner Trust,
Ser. 1998-C, Class A4 5.810% 03/15/2002 3,000,000 3,003,630
GMAC Mortgage Corp. Loan
Trust, Ser. 1998-1, Class A
(FRN) 5.158% 03/15/2024 1,485,339 1,474,663
GNMA, Ser. 1998, Class F (FRN) 5.500% 07/16/2028 1,637,455 1,640,844
Green Tree Financial Corp.,
Ser. 1997-7, Class M1 7.030% 08/15/2027 1,000,000 987,810
Green Tree Home Equity Loan
Trust, Ser. 1998-A, Class A2 6.040% 06/15/2029 2,000,000 2,004,720
MBNA Master Credit Card Trust,
Ser. 1996-D, Class B (FRN) 5.278% 09/15/2003 3,000,000 2,993,970
Merrill Lynch Mortgage
Investors, Inc., Ser.
1994-M1, Class B (FRN) 8.394% 06/25/2022 613,569 613,784
Navistar Financial Corp. Owner
Trust, Ser. 1997-A, Class A3 6.750% 03/15/2002 3,029,812 3,051,778
Rental Car Finance Corp., Ser.
1997-1, Class A1 - 144A(a) 6.250% 06/25/2003 1,500,000 1,492,031
Saxon Asset Securities Trust,
Ser. 1998-1, Class MF1 7.050% 12/25/2027 2,000,000 1,986,540
Saxon Asset Securities Trust,
Ser. 1998-2, Class AV2 6.200% 06/01/2003 3,501,000 3,498,339
SMS Student Loan Trust, Series
1999-A, Class A1 (FRN) 5.100% 07/28/2006 1,000,000 1,000,910
Structured Asset Securities
Corp., Ser. 1998-9, Class A3
(FRN) 5.183% 08/25/2028 1,500,000 1,503,125
Toyota Auto Lease Trust, Ser.
1998-B, Class A1 5.450% 03/25/2003 3,000,000 2,943,660
Vendee Mortgage Trust, Ser.
1998-1, Class 2A 7.000% 11/15/2014 1,451,239 1,462,515
Westpac Securitisation Trust,
Ser. 1998-1G, Class A (FRN) 5.140% 07/19/2029 3,931,690 3,920,681
World Omni Automobile Lease,
Ser. 1998-A, Class A4 (FRN) 5.538% 12/15/2004 2,000,000 2,016,250
-----------
Total (Cost - $67,155,116) 66,640,087
-----------
</TABLE>
7
<PAGE>
FFTW FUNDS, INC.
LIMITED DURATION PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT VALUE
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
CORPORATE OBLIGATIONS - 4.1%
Associates Corp. North America
Pass-Thru - 144A(a) 6.450% 09/15/2000 $ 500,000 $ 501,303
Banc One Corp. 7.250% 08/01/2002 500,000 510,752
Chase Manhattan Corp. (MTN) 6.450% 03/29/2001 1,000,000 996,975
Metropolitan Life Insurance
Co. - 144A (a) 6.300% 11/01/2003 1,000,000 982,483
-----------
Total (Cost - $3,050,114) 2,991,513
-----------
MORTGAGE (TBAS) - 25.9%
FNMA Dwarf 6.500% 07/19/2014 15,000,000 14,779,680
FNMA Dwarf 6.500% 08/01/2014 4,000,000 3,935,000
-----------
Total (Cost - $18,622,000) 18,714,680
-----------
U.S. GOVERNMENT OBLIGATION - 2.8%
U.S. Treasury Note
(Cost - $2,007,031) 5.750% 06/30/2001 2,000,000 2,008,750
-----------
Total Long Term Investments
(Cost - $90,834,261) 90,355,030
-----------
SHORT-TERM INVESTMENTS - 3.2%
Investors Bank & Trust Company
Cash Sweep 4.164% 07/01/1999 1,915,000 1,915,000
U.S. Treasury Bill @* 4.700% 11/26/1999 450,000 441,268
-----------
Total (Cost - $2,356,509) 2,356,268
-----------
TOTAL INVESTMENTS - 128.0%
(COST - $93,190,770) 92,711,298
-----------
OTHER ASSETS AND LIABILITIES -
(28.0%) (20,291,689)
-----------
NET ASSETS - 100.0% $72,419,609
-----------
-----------
</TABLE>
<TABLE>
<CAPTION>
Summary of Abbreviations
- ---------------------------------------------------------------------------------------------------------------------
<S> <C>
FNMA Federal National Mortgage Association
FRN Floating Rate Note
MTN Medium-Term Note
</TABLE>
* Interest rate shown represents yield to maturity at date of purchase.
@ Security or portion thereof, is held in a margin account as collateral for
open future 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 toqualified institutional buyers. At June 30, 1999
these securities were valued at $4,736,953 or 6.5% of net assets.
See Notes to Financial Statements.
8
<PAGE>
FFTW FUNDS, INC.
MORTGAGE-BACKED PORTFOLIO - SCHEDULE OF INVESTMENTS
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT VALUE
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
LONG-TERM INVESTMENTS - 176.2%
ASSET-BACKED SECURITIES - 35.1%
American Residential Eagle
Certificate Trust,
Ser. 1998-1, Class M1 (FRN) 5.593% 05/25/2028 $19,000,000 $ 18,866,406
Campobello Master Trust, Ser.
1999-1A, Class B (FRN) 5.538% 12/15/2006 4,000,000 3,995,000
Chase Credit Card Master
Trust, Ser. 1997-2, Class A 6.300% 04/15/2003 8,565,000 8,623,156
CIT Group Home Equity Loan
Trust, Ser. 1998-1, Class M1 6.440% 11/15/2027 3,000,000 2,901,480
CIT Group Home Equity Loan
Trust, Ser. 1998-1, Class M2 6.720% 09/15/2027 3,000,000 2,887,560
Citibank Credit Card Master
Trust I, Ser. 1998-7,
Class B (FRN) 5.113% 05/15/2002 35,000,000 34,965,000
Contimortgage Home Equity Loan
Trust, Ser. 1997-3, Class A5 7.010% 08/15/2013 12,055,000 12,093,214
EQCC Home Equity Loan Trust,
Ser. 1997-3, Class A7 6.930% 02/15/2029 10,700,000 10,498,305
Ford Credit Auto Owner Trust,
Ser. 1998-C, Class C 6.300% 04/15/2003 5,500,000 5,437,266
Green Tree Financial Corp.,
Ser. 1997-7, Class M1 7.030% 08/15/2027 6,000,000 5,926,860
Green Tree Financial Corp.,
Ser. 1998-6, Class M2 6.800% 05/01/2028 6,000,000 5,706,840
Green Tree Home Equity Loan
Trust, Ser. 1998-C, Class M1 6.800% 07/15/2029 7,200,000 7,021,296
Green Tree Home Equity Loan
Trust, Ser. 1999-A, Class B1 8.970% 11/15/2027 3,500,000 3,451,875
Household Affinity Credit Card
Master Trust, Ser. 1997-1,
Class B (FRN) 5.268% 08/16/2004 23,500,000 23,382,500
MBNA Master Credit Card Trust,
Ser. 1999-A, Class C 6.650% 07/17/2006 5,000,000 4,981,250
Metris Master Trust, Ser.
1998-1A, Class B - 144A (FRN) 5.474% 08/20/2005 6,000,000 5,992,500
Polaris Commercial Loan Master
Trust, Series 1999-1A, Class
C1 (FRN) 6.794% 06/15/2006 3,000,000 3,000,000
Saxon Asset Securities Trust,
Series 1998-1, Class MF1 7.050% 12/25/2027 3,696,000 3,671,126
Saxon Asset Securities Trust,
Series 1998-2, Class MF1 6.690% 11/01/2005 6,691,000 6,506,596
Secured Lein Home Loan Owner
Trust, Ser. 1998-1A, Class A1
- 144A (FRN) 5.095% 07/15/2010 5,669,325 5,665,781
Westpac Securitisation Trust,
Ser. 1998-1G,
Class A (FRN) 5.140% 07/19/2029 7,863,379 7,841,362
--------------
Total (Cost - $185,520,324) 183,415,373
--------------
</TABLE>
9
<PAGE>
FFTW FUNDS, INC.
MORTGAGE-BACKED PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT VALUE
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS (AGENCY) (CMOS) - 11.4%
FHLMC, Ser. 1415, Class M 6.750% 02/15/2006 $12,692,495 $ 12,745,690
FHLMC, Ser. 1506, Class FD
(FRN) 6.000% 05/15/2008 5,178,413 5,231,621
FHLMC, Ser. 1511, Class L 6.000% 05/15/2008 6,954,794 6,626,945
FHLMC, Ser. 1614, Class K 10.000% 06/15/2020 1,918,790 1,975,108
FHLMC, Ser. 1765-B, Class BA 10.000% 01/15/2017 393,878 396,236
FHLMC, Ser. 1817, Class A 5.900% 03/15/2018 7,222,438 7,205,610
FHLMC, Ser. 2141, Class FC
(FRN) 5.288% 04/15/2019 9,512,297 9,565,471
FNMA Grantor Trust, Ser.
1999-1, Class A2 (FRN) 5.893% 04/28/2029 9,768,822 9,768,822
FNMA, Ser. G1993-10, Class H 5.000% 08/25/2022 4,800,000 4,413,826
FNMA, Ser. 1997-13, Class QA 6.500% 03/18/2009 1,460,271 1,460,678
--------------
Total (Cost - $58,572,951) 59,390,007
--------------
COLLATERALIZED MORTGAGE OBLIGATIONS (NON-AGENCY) (CMOS) - 29.9%
Amresco Residential Securities
Mortgage Loan Trust, Ser.
1998-2, Class M2F 7.040% 06/25/2028 6,250,000 5,947,250
Beneficial Residential
Mortgage Corp., Ser. 1995-1,
Class A1 (FRN) 5.138% 03/28/2025 2,592,500 2,592,034
Beneficial Residential
Mortgage Corp., Ser. 1996-1,
Class A (FRN) 5.098% 04/28/2026 1,138,711 1,137,971
Chase Commercial Mortgage
Securities Corp., Ser.
1997-2, Class C 6.600% 12/19/2007 7,000,000 6,691,650
Chase Commercial Mortgage
Securities Corp., Ser.
1998-1, Class C 6.560% 05/18/2008 5,000,000 4,788,700
Crimi Mae Commercial Mortgage
Trust, Ser. 1998-C1, Class A1
- 144A 7.000% 06/02/2006 6,000,000 5,518,500
Enterprise Commercial
Mortgage, Ser. 1999-1, Class
A1 6.420% 09/15/2008 7,375,234 7,188,548
Enterprise Commercial
Mortgage, Ser. 1999-1, Class
A2 6.900% 04/15/2013 6,000,000 5,817,188
First Union-Chase Commercial
Mortage Trust, Ser. 1999-C1,
Class A1 5.730% 10/15/2035 4,879,481 4,685,180
First Union-Chase Commercial
Mortgage, Ser. 1999-C2, Class
D 7.062% 05/15/2009 2,000,000 1,970,740
GE Residential Capital
Mortgage Services Inc., Ser.
1998-13, Class A12 (FRN) 5.493% 08/25/2028 21,204,521 20,554,814
GMAC Commercial Mortgage
Securities Inc., Ser.
1998-C2, Class A1 6.150% 11/15/2007 4,775,459 4,661,373
LB Commercial Conduit Mortgage
Trust, Ser. 1998-C1, Class AB 6.480% 01/18/2008 13,750,000 13,283,600
MLCC Mortgage Investors, Inc.,
Ser. 1995-B, Class A (FRN) 5.275% 10/15/2020 10,410,265 10,432,439
</TABLE>
10
<PAGE>
FFTW FUNDS, INC.
MORTGAGE-BACKED PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT VALUE
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS (NON-AGENCY) (CMOS) (CONTINUED)
Morgan Stanley Commercial
Capital 1, Ser. 1998-WF2,
Class A1 6.340% 11/15/2007 $22,500,935 $ 22,120,219
Morgan Stanley Commercial
Capital 1, Ser. 1998-WF2,
Class C 6.770% 07/15/2030 6,000,000 5,793,180
Paine Webber Commercial
Mortgage Acceptance Corp.,
Series 1999-C1, Class A1 6.480% 12/15/2007 2,000,000 1,970,000
Prudential Home Mortgage
Securities, Ser. 1993-13,
Class A3 (FRN) 5.775% 04/25/2008 6,080,013 6,096,307
Tribeca Mortgage Fund I,
Series 1999-1, Class A1 (FRN) 5.500% 02/18/2004 20,000,000 19,987,500
Vanderbilt Residential
Mortgage Finance, Ser.
1998-B, Class A6 6.780% 04/07/2010 5,875,000 5,416,045
--------------
Total (Cost - $160,987,472) 156,653,238
--------------
INTEREST ONLY OBLIGATIONS (IOS) - 9.9% (b)*
DLJ Commercial Mortgage Corp.,
Ser. 1998-CG1, Class S (FRN) 8.244% 05/10/2023 6,478,829 5,972,198
FHLMC IO, Ser. 188, Class IO 24.245% 10/01/2027 456,326 731,598
FHLMC IO, Ser. 195, Class IO 13.242%-13.517% 04/01/2028 4,853,593 4,880,278
FHLMC IO, Ser. 2113, Class MI 17.616% 04/15/2024 1,697,840 1,956,320
FHLMC Strip, Ser. 192, Class
IO 13.418%-13.782% 02/01/2028 2,437,827 2,742,218
FHLMC Strip, Ser. 200, Class
IO 13.109% 01/01/2029 3,454,573 3,859,495
FHLMC, Ser. 183, Class IO 11.772% 04/01/2027 1,031,193 989,323
FHLMC, Ser. 202, Class IO 12.385%-13.751% 04/01/2029 1,006,269 1,104,863
FHLMC, Ser. 2090, Class PI 6.500% 05/15/2027 1,301,829 1,530,037
FHR IO, Ser. 2085, Class PI 13.249% 11/15/2026 607,931 681,927
First Union-Lehman Brothers
Commercial Mortgage, Ser.
1997-C1, Class IO (FRN) 10.697%-10.783% 04/18/2027 5,640,904 5,445,209
First Union-Lehman Brothers
Trust, Ser. 1998-C2, Class IO
(FRN) 8.503% 05/18/2028 4,679,389 4,320,752
FNMA IO, Ser. 284, Class 2 16.439% 07/01/2027 160,210 244,414
FNMA IO, Ser. 294, Class 2
(FRN) 16.492%-17.894% 02/01/2028 1,234,313 1,625,452
FNMA IO, Ser. 298, Class 2 12.493%-18.100% 11/01/2027 1,533,050 1,873,730
FNMA IO, Ser. 301, Class 2 11.695%-12.099% 04/01/2029 3,506,520 3,617,632
FNMA IO, Ser. 1992-148, Class
C 0.216%-3.669% 04/25/2019 274,503 176,917
FNMA IO, Ser. 1998-52, Class
PI 6.500% 03/25/2022 716,158 805,821
Prudential Home Mortgage
Securities IO,
Ser. 1994-30, Class A11 12.045%-14.255% 10/25/2024 505,430 90,715
Residential Accredited Loans
Inc., Ser. 1997-QS13, Class
A12 7.250% 12/25/2027 1,776,611 3,633,972
</TABLE>
11
<PAGE>
FFTW FUNDS, INC.
MORTGAGE-BACKED PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT VALUE
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INTEREST ONLY OBLIGATIONS (IOS) (CONTINUED)
Vendee Mortgage Trust IO, Ser.
1996-1, Class 1 IO 6.894%-19.766% 02/15/2026 $ 2,731,784 $ 2,349,426
Vendee Mortgage Trust IO, Ser.
1998-2, Class 1 IO (FRN) 3.215%-15.752% 09/15/2024 391,229 330,624
Vendee Mortgage Trust IO, Ser.
1998-2, Class 1 IO (FRN) 3.908%-16.679% 09/15/2022 1,219,577 1,013,197
Vendee Mortgage Trust IO, Ser.
1998-2, Class 1 IO (FRN) 7.933%-9.841% 06/15/2026 347,351 306,180
Vendee Mortgage Trust IO, Ser.
1998-2, Class 1 IO (FRN) 8.235%-18.079% 09/15/2024 991,681 890,356
Vendee Mortgage Trust IO, Ser.
1998-2, Class 1 IO (FRN) 9.118%-19.331% 06/15/2024 281,991 261,577
Vendee Mortgage Trust IO, Ser.
1998-2, Class 1 IO (FRN) 9.955% 06/15/2028 149,587 162,071
--------------
Total (Cost - $49,466,498) 51,596,302
MORTGAGE POOLS - 0.8%
FHLMC Pool #C16343 7.500% 10/01/2028 651,339 659,455
FNMA Pool #340777 6.500% 03/01/2011 14,393 14,204
FNMA Pool #D82608 7.500% 09/01/2027 1,024,028 1,037,012
FNMA Pool #D83270 7.500% 10/01/2027 2,100,667 2,127,303
GNMA Pool #359157 7.500% 10/15/2023 288,405 292,241
GNMA Pool #000017 8.000% 08/15/2000 2,883 2,919
--------------
Total (Cost - $4,181,185) 4,133,134
--------------
MORTGAGE (TBAS) - 83.3%
FHLMC Gold TBA 6.500% 07/01/2029 38,000,000 36,765,000
FNMA TBA 6.500% 08/01/2029 46,000,000 44,318,125
FNMA Dwarf TBA 6.000% 07/19/2014 33,000,000 31,855,296
FNMA Dwarf TBA 6.500% 07/19/2014 34,000,000 33,500,608
FNMA Dwarf TBA 6.500% 07/01/2029 151,000,000 145,950,862
FNMA Dwarf TBA 7.000% 07/01/2029 29,000,000 28,691,875
FNMA TBA 7.500% 07/01/2029 34,000,000 34,371,892
GNMA TBA 6.500% 07/01/2029 26,000,000 25,049,388
GNMA TBA 8.000% 07/01/2029 54,000,000 55,485,000
--------------
Total (Cost - $435,371,602) 435,988,046
--------------
PRINCIPAL ONLY OBLIGATIONS (POS) - 4.4% (b)*
FNMA PO, Ser. 1993-100, Class
J 7.192%-8.535% 06/25/2023 2,622,073 2,732,684
FNMA PO, Ser. 1993-100, Class
N 7.192%-8.517% 06/25/2023 1,995,411 2,078,343
FNMA PO, Ser. 1993-157, Class
E 5.952%-9.028% 05/25/2022 4,416,256 4,355,631
FNMA PO, Ser. 1993-222, Class
D 4.498% 07/25/2023 2,508,366 2,311,259
FNMA PO, Ser. 1993-235, Class
K 5.241% 09/25/2023 2,592,236 2,232,136
FNMA PO, Ser. 1993, Class PA 6.576%-7.122% 01/25/2021 324,570 298,715
FNMA PO, Ser. 1994-9, Class D 4.152% 11/25/2023 1,643,249 1,530,716
FNMA PO, Ser. 1996-44, Class J 6.740% 06/25/2023 3,511,569 3,330,204
FNMA PO, Ser. 1996-45, Class N 4.651% 06/25/2023 1,554,738 1,466,362
</TABLE>
12
<PAGE>
FFTW FUNDS, INC.
MORTGAGE-BACKED PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT VALUE
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
PRINCIPAL ONLY OBLIGATIONS (POS) (CONTINUED)
FNMA PO, Ser. 1998-26, Class L 5.033% 03/25/2023 $ 3,228,603 $ 2,931,361
--------------
Total (Cost - $24,397,071) 23,267,411
--------------
U.S. GOVERNMENT OBLIGATION - 1.4%
U.S. Treasury Note
(Cost - $7,389,678) 5.500% 05/15/2009 7,660,000 7,480,474
--------------
<CAPTION>
STRIKE CONTRACTS
<S> <C> <C> <C> <C>
LONG OPTIONS - 0.0%
3 month LIBOR cap 8.000% 11/14/2001 22 27,319
3 month LIBOR cap 8.500% 11/14/2002 38 102,901
--------------
Total (Cost $199,150) 130,220
--------------
TOTAL LONG-TERM INVESTMENTS
(COST - $926,085,931) 922,054,205
--------------
<CAPTION>
COUPON FACE
RATE AMOUNT
<S> <C> <C> <C> <C>
SHORT-TERM INVESTMENTS - 18.3%
Asset Portfolio Funding, CP* 5.750% 07/01/1999 22,435,000 22,431,417
Baker Hughes, CP* 5.750% 07/01/1999 10,000,000 9,998,403
Investors Bank & Trust Company
Cash Sweep 4.164% 07/01/1999 18,333,000 18,333,000
Sigma Finance, CP* 5.750% 07/01/1999 25,000,000 24,996,007
U.S. Treasury Bill* 4.529%-4.731% 10/21/1999 11,900,000 11,728,212
U.S. Treasury Bill*@ 4.700%-4.949% 11/26/1999 8,150,000 7,991,857
--------------
Total (Cost $95,486,747) 95,478,896
--------------
TOTAL INVESTMENTS - 194.5%
(COST - $1,021,572,678) 1,017,533,101
--------------
OTHER ASSETS AND LIABILITIES -
(94.5%) (494,466,164)
--------------
NET ASSETS - 100.0% $ 523,066,937
--------------
--------------
</TABLE>
13
<PAGE>
FFTW FUNDS, INC.
MORTGAGE-BACKED PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
Summary of Abbreviations
- --------------------------------------------------------------------------------------------------------------------
<S> <C>
CP Commercial Paper
FHLMC Federal Home Loan Mortgage Corp.
FNMA Federal National Mortgage Association
FRN Floating Rate Note
GNMA Government National Mortgage Association
LIBOR London Interbank Offered Rate
</TABLE>
* Interest rate shown represents yield to maturity at date of purchase.
@ Security or a portion thereof, is held in a margin account to cover open
financial futures contracts.
(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, 1999,
these securities were valued at $17,176,781 or 3.3% of net assets.
(b) Face amount shown represents amortized cost.
See Notes to Financial Statements.
14
<PAGE>
FFTW FUNDS, INC.
GLOBAL TACTICAL EXPOSURE PORTFOLIO - SCHEDULE OF INVESTMENTS
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON
RATE MATURITY FACE AMOUNT (a) VALUE
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
LONG-TERM INVESTMENTS - 87.5%
ASSET- AND MORTGAGE-BACKED SECURITIES - 23.8%
GERMANY - 1.0%
CORE, Ser. 1998-1, Class A-2A
(FRN) 2.759% 01/15/2006 DEM 6,000,000 $ 3,153,985
CORE, Ser. 1999-1, Class A-3A
(FRN) 2.835% 03/17/2009 EUR 1,000,000 1,031,100
---------------
4,185,085
---------------
JAPAN - 1.4%
J-Shop Corp., Ser. II, Class 1
(FRN) 0.640% 01/13/2003 JPY 500,000,000 4,136,334
Oscar Funding Corp., Ser. 4,
Class 2 3.012% 05/10/2004 EUR 1,363,222 1,407,305
---------------
5,543,639
---------------
UNITED KINGDOM - 2.9%
Chester Asset Receivables Deal
3 (FRN) 5.449% 11/17/2003 GBP 1,000,000 1,572,858
Chester Asset Receivables Deal
5 6.625% 03/17/2008 GBP 1,440,000 2,331,996
Chester Asset Receivables Deal
6 5.254% 09/15/2003 GBP 2,000,000 3,151,372
Higher Education Securitised
Investments (The), Ser. 1X,
Class A1(FRN) 5.535% 04/10/2028 GBP 2,948,978 4,629,024
---------------
11,685,250
---------------
UNITED STATES - 18.5%
Aames Mortgage Trust, Ser.
1997-C, Class A1A (FRN) 5.188% 11/15/2027 3,593,452 3,588,278
BankBoston Home Equity Loan
Trust, Ser. 1998-1, Class A1 6.460% 04/25/2012 4,590,043 4,582,871
Beneficial Mortgage Corp.,
Ser. 1997-2, Class A (FRN) 5.038% 09/28/2037 3,391,527 3,379,928
Bombardier Receivables Master
Trust I, Ser. 1997-1, Class A
(FRN) 5.108% 04/15/2004 4,000,000 3,999,600
Capital Credit Card Corp.,
Ser. 1996-1, Class A 5.625% 08/15/2001 DEM 6,000,000 3,288,978
Champion Home Equity Loan
Trust, Ser. 1998-1, Class A1
(FRN) 5.403% 09/25/2028 4,867,425 4,785,896
Chase Credit Card Master
Trust, Ser. 1998-1, Class A3 5.125% 02/15/2005 NLG 5,200,000 2,593,308
Chase Credit Card Master
Trust, Ser. 1998-4, Class A 5.000% 08/15/2008 DEM 3,700,000 1,944,513
Citibank Credit Card Master
Trust I, Ser. 1997-5, Class A 5.750% 07/16/2007 DEM 8,000,000 4,436,040
</TABLE>
15
<PAGE>
FFTW FUNDS, INC.
GLOBAL TACTICAL EXPOSURE PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON
RATE MATURITY FACE AMOUNT (a) VALUE
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
UNITED STATES (CONTINUED)
Citibank Credit Card Master
Trust I, Ser. 1998-7, Class B
(FRN) 5.113% 05/15/2002 9,000,000 $ 8,991,000
Green Tree Home Improvement
Loan Trust, Ser. 1998-D,
Class HEA1 5.980% 08/15/2029 4,266,619 4,273,019
HFC Revolving Home Equity Loan
Trust, Ser. 1996-2, Class A
(FRN) 5.164% 02/20/2018 4,547,913 4,536,908
Lumiere Funding Corp., Ser.
1A, Class 1 5.353% 07/10/2003 1,863,888 1,859,787
MBNA Master Credit Card Trust,
Ser. 1996-D, Class B (FRN) 5.278% 09/15/2003 5,000,000 4,989,950
MCL Auto Loan Funding Corp.,
Ser. 1, Class 1 5.503% 09/10/2003 1,657,446 1,661,178
Newcourt Equipment Trust
Securities, Ser. 1998-1,
Class A2 5.170% 09/20/2000 7,750,000 7,727,835
Novus Home Equity Line of
Credit Trust, Ser. 1999-1,
Class A 5.149% 05/25/2010 7,701,655 7,701,655
---------------
74,340,744
---------------
Total (Cost - $97,510,273) 95,754,718
---------------
CORPORATE OBLIGATIONS - 5.0%
CANADA - 0.4%
GMAC Canada Ltd. 5.125% 12/23/2003 DEM 3,000,000 1,643,397
---------------
SWEDEN - 1.0%
Investor AB 5.250% 06/30/2008 EUR 1,585,004 1,640,345
Swedbank 5.500% 07/01/2008 FRF 13,700,000 2,170,450
---------------
3,810,795
---------------
UNITED KINGDOM - 3.4%
Argyll Group Plc 8.125% 10/04/2002 GBP 808,000 1,335,762
BAT International Finance Plc 4.875% 02/25/2009 EUR 1,042,000 1,013,814
BAT International Finance Plc 5.375% 07/28/2006 DEM 3,100,000 1,636,295
British Gas Plc 8.125% 03/31/2003 GBP 559,000 930,944
Coca-Cola Enterprises Global
Bond 6.750% 03/12/2008 GBP 1,000,000 1,608,483
Gallagher Group Plc 5.875% 08/06/2008 DEM 3,832,000 2,000,484
Glaxo Wellcome Plc 8.750% 12/01/2005 GBP 1,608,000 2,882,895
Safeway Plc 7.500% 03/11/2004 GBP 404,000 665,102
</TABLE>
16
<PAGE>
FFTW FUNDS, INC.
GLOBAL TACTICAL EXPOSURE PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON
RATE MATURITY FACE AMOUNT (a) VALUE
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
UNITED KINGDOM (CONTINUED)
Tesco Plc 7.500% 07/30/2007 GBP 890,000 $ 1,503,676
---------------
13,577,455
---------------
UNITED STATES - 0.2%
General Motors Acceptance
Corp. 4.000% 02/09/2006 EUR 500,000 493,897
John Hancock Global Funding
Corp. 5.375% 06/10/2008 DEM 850,000 451,413
---------------
945,310
---------------
Total (Cost - $21,748,743) 19,976,957
---------------
SOVEREIGN DEBT OBLIGATIONS - 56.2%
CANADA - 3.1%
Canadian Government Bond 5.500% 06/01/2009 CAD 18,080,000 12,277,441
---------------
CROATIA - 0.2%
Croatia Government, Ser. B
(FRN) 5.813% 07/31/2006 885,110 737,916
---------------
DENMARK - 3.7%
Kingdom of Denmark Bond 6.000% 11/15/2009 DKK 65,000,000 9,784,905
Kingdom of Denmark Bond 7.000% 11/10/2024 DKK 31,800,000 5,141,678
---------------
14,926,583
---------------
GERMANY - 28.8%
Bundesobligation 3.750% 08/26/2003 EUR 68,000,000 70,023,474
Bundesrepublic Deutschland
Bond 3.750% 01/04/2009 EUR 31,580,000 30,666,958
Bundesrepublic Deutschland
Bond 4.125% 07/04/2008 EUR 261,951 262,102
Bundesrepublic Deutschland
Bond 4.750% 07/04/2028 EUR 15,000,000 14,023,440
Bundesrepublic Deutschland
Bond 5.250% 01/04/2008 EUR 444,202 480,367
Bundesrepublic Deutschland
Bond 6.250% 01/04/2024 EUR 96 111
---------------
115,456,452
---------------
</TABLE>
17
<PAGE>
FFTW FUNDS, INC.
GLOBAL TACTICAL EXPOSURE PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON
RATE MATURITY FACE AMOUNT (a) VALUE
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ITALY - 9.1%
Buoni Poliennali Del Tes 4.500% 05/01/2009 EUR 36,200,000 $ 36,530,723
---------------
SPAIN - 3.7%
Bonos Y Obligation Del Estado 6.000% 01/31/2008 EUR 13,370,716 15,027,308
---------------
SWEDEN - 3.9%
Kingdom of Sweden Bond 9.000% 04/20/2009 SEK 67,100,000 10,268,984
Swedish Government Bond 8.000% 08/15/2007 SEK 39,100,000 5,529,835
---------------
15,798,819
---------------
UNITED KINGDOM - 3.7%
UK Treasury Bond 6.500% 12/07/2003 GBP 9,100,000 14,964,349
---------------
Total (Cost - $241,721,189) 225,719,591
---------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 2.5%
FNMA Global Bond 6.875% 06/07/2002 GBP 2,500,000 4,042,127
U.S. Treasury Note 5.250% 05/15/2004 6,060,000 5,953,950
---------------
Total (Cost $10,245,344) 9,996,077
---------------
TOTAL LONG-TERM INVESTMENTS
(COST - $371,225,549) 351,447,343
---------------
</TABLE>
18
<PAGE>
FFTW FUNDS, INC.
GLOBAL TACTICAL EXPOSURE PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON
RATE MATURITY FACE AMOUNT (a) VALUE
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
SHORT-TERM INVESTMENTS - 7.8%
Investors Bank & Trust Company
Cash Sweep 4.164% 07/01/1999 1,689,000 $ 1,689,000
U.S. Treasury Bill*@ 4.300%-4.505% 09/16/1999 5,500,000 5,446,001
U.S. Treasury Bill* 4.450% 03/30/2000 25,000,000 24,114,650
---------------
Total (Cost - $31,292,193) 31,249,651
---------------
TOTAL INVESTMENTS - 95.3%
(COST - $402,517,742) 382,696,994
---------------
OTHER ASSETS AND LIABILITIES -
4.7% 18,860,761
---------------
NET ASSETS - 100.0% $ 401,557,755
---------------
---------------
</TABLE>
<TABLE>
<CAPTION>
Summary of Abbreviations
- ---------------------------------------------------------------------------------------------------------------------
<S> <C>
AUD Australian Dollar
CAD Canadian Dollar
DEM Deutsche Mark
DKK Danish Krone
EUR European Monetary Unit
FNMA Federal National Mortgage Association
FRF French Franc
FRN Floating Rate Note
GBP British Pound
JPY Japanese Yen
NLG Netherlands Guilder
SEK Swedish Krona
</TABLE>
* Interest rate shown represents yield to maturity at date of purchase.
@ Security or a portion thereof, is held in a margin account as collateral
for open financial futures contracts.
(a) Face amount shown in U.S. dollars unless otherwise indicated.
See Notes to Financial Statements.
19
<PAGE>
FFTW FUNDS, INC.
WORLDWIDE PORTFOLIO - SCHEDULE OF INVESTMENTS
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (a) VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
LONG-TERM INVESTMENTS - 83.6%
ASSET- AND MORTGAGE-BACKED SECURITIES - 21.3%
GERMANY - 1.3%
CORE, Ser. 1999-1, Class A-3A
(FRN) 2.835% 03/17/2009 EUR 300,000 $ 309,330
CORE, Ser. 1998-1, Class A-2A
(FRN) 2.759% 01/15/2006 DEM 1,000,000 525,664
------------
834,994
------------
JAPAN - 0.3%
Oscar Funding Corp., Ser. 4,
Class 2 (FRN) 3.012% 05/10/2004 EUR 194,746 201,044
UNITED KINGDOM - 3.2%
Chester Asset Receivables Deal
3 (FRN) 5.449% 11/17/2003 GBP 300,000 471,857
Chester Asset Receivables Deal
5 6.625% 03/17/2008 GBP 500,000 809,721
Higher Education Securitised
Investments (The), Ser. 1X,
Class A1(FRN) 5.535% 04/10/2028 GBP 446,815 701,367
------------
1,982,945
------------
UNITED STATES - 16.5%
Advanta Mortgage Loan Trust,
Ser. 1998-2, Class A15 6.250% 06/25/2028 1,000,000 964,590
Block Mortgage Finance, Inc.,
Ser. 1999-1,
Class A7 (FRN) 5.830% 05/01/2016 1,000,000 987,500
Capital Credit Card Corp.,
Ser. 1996-A 5.625% 08/15/2001 DEM 900,000 493,347
Chase Commercial Mortgage
Securities Corp., Ser. 1998-1
Class A2 6.560% 05/18/2008 350,000 342,160
Chase Commercial Mortgage
Securities Corp., Ser.
1998-2, Class A1 6.025% 08/18/2007 481,192 467,805
Citibank Credit Card Master
Trust I, Ser. 1999-1, Class A 5.750% 07/16/2007 DEM 1,300,000 720,857
DLJ Commercial Mortgage Corp.,
Ser. 1998-CG1, Class A1B 6.410% 05/10/2008 750,000 722,183
EQCC Home Equity Loan Trust,
Ser. 1999-1,
Class A2 (FRN) 5.765% 03/20/2029 600,000 592,398
First Union Commercial
Mortgage Trust, Ser. 1999
C-1, Class A1 5.730% 10/15/2035 487,948 468,518
FNMA-Aces, Ser. 1997-M5, Class
C 6.740% 08/25/2007 600,000 601,872
GMAC Commercial Mortgage
Securities Inc.,
Ser. 1998-C2, Class A1 6.150% 11/15/2007 382,037 372,910
</TABLE>
20
<PAGE>
FFTW FUNDS, INC.
WORLDWIDE PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (a) VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
UNITED STATES (CONTINUED)
Green Tree Home Improvement
Loan Trust,
Ser. 1997-E, Class HEA6 6.620% 01/15/2029 600,000 $ 600,744
Maestro Securitisation Corp.,
Ser. 1, Class 1 (FRN) 5.451% 07/10/2005 1,000,000 999,800
Nationslink Funding Corp.,
Ser. 1998-2, Class A2 6.476% 07/20/2008 270,000 262,418
Navistar Finiancial Corp.
Owner Trust, Ser. 1999-A,
Class A4 6.130% 10/15/2005 1,400,000 1,391,688
Paine Webber Mortgage
Acceptance Corp.,
Ser. 1999-C1, Class A1 6.480% 12/15/2007 325,000 320,125
------------
10,308,915
------------
Total (Cost - $13,740,714) 13,327,898
------------
CORPORATE OBLIGATIONS - 9.2%
CANADA - 0.8%
GMAC Canada Ltd. 5.125% 12/23/2003 DEM 900,000 493,019
------------
SWEDEN - 1.0%
Investor AB 5.250% 06/30/2008 EUR 409,033 423,314
Swedbank 5.500% 07/01/2008 FRF 1,500,000 237,641
------------
660,955
------------
UNITED KINGDOM - 2.5%
Argyll Group 8.125% 10/04/2002 GBP 113,000 186,808
Bat International Finance Plc 4.875% 02/25/2009 EUR 148,000 143,997
Bat International Finance Plc 5.375% 07/28/2006 DEM 600,000 316,702
British Gas Plc 8.125% 03/31/2003 GBP 121,000 201,510
Coca-Cola Enterprises Global
Bond 6.750% 03/12/2008 GBP 140,000 225,188
Glaxo Wellcome Plc 8.750% 12/01/2005 GBP 224,000 401,597
Safeway Plc 7.500% 03/11/2004 GBP 56,000 92,192
------------
1,567,994
------------
UNITED STATES - 4.9%
Bank of America Corp. 5.875% 02/15/2009 150,000 137,593
Bank One Corp. (MTN) 5.625% 02/17/2004 400,000 383,360
Commercial Credit Co. 6.500% 08/01/2004 200,000 198,620
</TABLE>
21
<PAGE>
FFTW FUNDS, INC.
WORLDWIDE PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (a) VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
UNITED STATES (CONTINUED)
General Motors Acceptance
Corp. 4.000% 02/09/2006 EUR 275,000 $ 271,643
John Hancock Global Funding
Corp. 5.375% 06/10/2008 DEM 160,000 84,972
Morgan Guaranty Trust (FRN) 5.034% 03/19/2001 2,000,000 1,999,138
------------
3,075,326
------------
Total (Cost - $6,125,904) 5,797,294
------------
SOVEREIGN DEBT OBLIGATIONS - 39.0%
AUSTRALIA - 0.9%
Australian Government Bond 8.750% 08/15/2008 AUD 700,000 541,043
------------
CANADA - 1.9%
Canadian Government Bond 5.500% 06/01/2009 CAD 1,720,000 1,167,987
------------
DENMARK - 2.5%
Kingdom of Denmark Bond 6.000% 11/15/2009 DKK 5,700,000 858,061
Kingdom of Denmark Bond 7.000% 11/10/2024 DKK 4,400,000 711,427
------------
1,569,488
------------
GERMANY - 9.9%
Bundesobligation 3.750% 08/26/2003 EUR 4,200,000 4,324,979
Bundesrepublic Deutschland
Bond 4.750% 07/04/2028 EUR 900,000 841,406
Bundesrepublic Deutschland
Bond 6.250% 01/04/2024 EUR 924,842 1,067,844
------------
6,234,229
------------
ITALY - 4.0%
Buoni Poliennali Del Tes 4.500% 05/01/2009 EUR 2,500,000 2,522,840
------------
JAPAN - 9.0%
Japanese Government Bond 1.800% 06/20/2008 JPY 676,000,000 5,614,180
------------
</TABLE>
22
<PAGE>
FFTW FUNDS, INC.
WORLDWIDE PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (a) VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NETHERLANDS - 3.0%
Bank Nederlandse Gemeenten
(MTN) 6.750% 10/03/2005 NLG 3,540,000 $ 1,859,452
------------
SPAIN - 1.3%
Spanish Government Bond 6.000% 01/31/2008 EUR 722,416 811,921
------------
SWEDEN - 2.9%
Swedish Government Bond 8.000% 08/15/2007 SEK 6,100,000 862,711
Swedish Government Bond 9.000% 04/20/2009 SEK 6,300,000 964,152
------------
1,826,863
------------
UNITED KINGDOM - 3.6%
UK Treasury Bond 6.500% 12/07/2003 GBP 400,000 657,774
UK Treasury Bond 9.000% 10/13/2008 GBP 800,000 1,602,176
------------
2,259,950
------------
Total (Cost - $25,931,639) 24,407,953
------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 14.1%
FNMA Global Bond 6.875% 06/07/2002 GBP 350,000 565,898
U.S. Treasury Bond 6.125% 11/15/2027 170,000 168,406
U.S. Treasury Bond 6.500% 11/15/2026 930,000 962,550
U.S. Treasury Bond 8.125% 08/15/2019 380,000 457,900
U.S. Treasury Note 5.250% 05/15/2004 5,910,000 5,806,575
U.S. Treasury Strip* 6.200%-6.260% 02/15/2019 3,100,000 900,423
------------
Total (Cost - $8,956,062) 8,861,752
------------
TOTAL LONG-TERM INVESTMENTS
(COST - $54,754,319) 52,394,897
------------
SHORT-TERM INVESTMENTS - 23.3%
Investors Bank & Trust Company
Cash Sweep 4.164% 07/01/1999 9,576,000 9,576,000
Morgan Guaranty Trust, CD 4.900% 07/19/1999 2,000,000 2,000,000
Premier Auto Trust, Ser.
1999-2, Class A1 4.940% 01/28/2000 738,166 737,893
U.S. Treasury Bill *@ 4.460%-4.505% 09/16/1999 300,000 297,055
</TABLE>
23
<PAGE>
FFTW FUNDS, INC.
WORLDWIDE PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (a) VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
SHORT-TERM INVESTMENTS (CONTINUED)
Westdeutsche Landesbank,
Eurodollar CD 5.040% 11/18/1999 $ 2,000,000 $ 1,999,892
------------
Total (Cost $14,611,182) 14,610,840
------------
TOTAL INVESTMENTS - 106.9%
(COST - $69,365,501) 67,005,737
------------
OTHER ASSETS AND LIABILITIES -
(6.9%) (4,361,058)
------------
NET ASSETS - 100.0% $ 62,644,679
------------
------------
</TABLE>
<TABLE>
<CAPTION>
Summary of Abbreviations
- ---------------------------------------------------------------------------------------------------------------------
<S> <C>
AUD Australian Dollar
CAD Canadian Dollar
CD Certificates of Deposit
DEM German Deutschemark
DKK Danish Krone
EUR European Monetary Unit
FNMA Federal National Mortgage Association
FRF French Franc
FRN Floating Rate Note
GBP British Pound
JPY Japanese Yen
MTN Medium-Term Note
NLG Netherlands Guilder
SEK Swedish Krona
</TABLE>
Eurodollar CD - U.S. dollar denominated certificates of deposit issued by a bank
outside the U.S., with interest and principal paid in dollars.
(a) Face amount shown in U.S. dollars unless otherwise indicated.
@ Security, or a portion thereof, is held in a margin account as collateral
for open financial futures contracts.
* Interest rate shown represents yeild to maturity at date of purchase.
See Notes to Financial Statements.
24
<PAGE>
FFTW FUNDS, INC.
WORLDWIDE-HEDGED PORTFOLIO - SCHEDULE OF INVESTMENTS
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (a) VALUE
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
LONG-TERM INVESTMENTS - 76.2%
ASSET- AND MORTGAGE-BACKED SECURITIES - 25.2%
GERMANY - 0.9%
CORE, Ser. 1998-1, Class A-2A
(FRN) 2.759% 01/15/2006 DEM 2,500,000 $ 1,314,161
CORE, Ser. 1999-1, Class A-3A
(FRN) 2.835% 03/17/2009 EUR 400,000 412,440
-------------
1,726,601
-------------
JAPAN - 0.3%
Oscar Funding Corp., Ser. 4,
Class 2 (FRN) 3.012% 05/10/2004 EUR 584,238 603,131
-------------
UNITED KINGDOM - 1.5%
Chester Asset Receivables Deal
3 (FRN) 7.917% 11/17/2003 GBP 400,000 629,143
Chester Asset Receivables Deal
5 5.449% 03/17/2008 GBP 500,000 809,721
Higher Education Securitised
Investments (The),
Ser. 1X, Class A1 (FRN) 5.535% 04/10/2028 GBP 804,267 1,262,461
-------------
2,701,325
-------------
UNITED STATES - 22.5%
Advanta Mortgage Loan Trust,
Ser. 1998-2, Class A15 6.250% 06/25/2028 3,000,000 2,893,770
Advanta Mortgage Loan Trust,
Ser. 1998-2, Class A1 6.440% 05/25/2013 2,737,999 2,734,330
BankBoston Home Equity Loan
Trust, Ser. 1998-1, Class A1 6.460% 04/25/2012 2,305,578 2,301,976
Block Mortgage Finance, Inc.
Ser. 1999-1,
Class A7 (FRN) 5.830% 05/01/2016 2,000,000 1,975,000
Capital Credit Card Corp.,
Ser. 1996-A 5.625% 08/15/2001 DEM 2,000,000 1,096,326
Chase Commercial Mortgage
Securities Corp., Ser.
1998-1, Class A2 6.560% 05/18/2008 550,000 537,680
Chase Commercial Mortgage
Securities Corp., Ser.
1998-2, Class A1 6.025% 08/18/2007 769,908 748,489
Chase Credit Card Master
Trust, Ser. 1998, Class 4 5.000% 08/15/2008 DEM 1,600,000 840,870
Citibank Credit Card Master
Trust I, Ser. 1997-5, Class A 5.750% 07/16/2007 DEM 2,900,000 1,608,065
Discover Card Master Trust I,
Ser. 1994-2,
Class A (FRN) 5.350% 10/16/2004 3,000,000 3,014,010
</TABLE>
25
<PAGE>
FFTW FUNDS, INC.
WORLDWIDE-HEDGED PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (a) VALUE
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
UNITED STATES (CONTINUED)
DLJ Commercial Mortgage Corp.,
Ser. 1998-CG1, Class A1B 6.410% 05/10/2008 1,250,000 $ 1,203,638
EQCC Home Equity Line Trust,
Ser. 1999-1,
Class A2 (FRN) 5.765% 03/20/2029 1,700,000 1,678,461
First Union Commercial
Mortgage Trust, Ser. 1999-C1,
Class A1 5.730% 10/15/2035 731,922 702,777
FNMA-Aces, Ser. 1997-M5, Class
C 6.740% 08/25/2007 1,100,000 1,103,432
GMAC Commercial Mortgage
Securities Inc.,
Ser. 1998-C2, Class A1 6.150% 11/15/2007 668,564 652,592
Green Tree Home Improvement
Loan Trust,
Ser. 1997-E, Class HEA6 6.620% 01/15/2029 1,477,000 1,478,831
HFC Revolving Home Equity Loan
Trust, Ser. 1996-1, Class A
(FRN) 5.224% 07/20/2017 2,753,629 2,746,470
Ikon Receivables LLC, Ser.
1999-1, Class A4 6.230% 05/25/2008 2,275,000 2,254,027
Maestro Securitisation Corp.,
Ser. 1, Class 1 (FRN) 5.575% 07/10/2005 3,000,000 2,999,400
MBNA American European
Structure Offering 5.125% 04/19/2008 DEM 2,100,000 1,118,258
MCL Auto Loan Funding Corp.,
Ser. 1, Class 1 (FRN) 5.503% 09/10/2003 828,723 830,589
Nationslink Funding Corp.,
Ser. 1998-2, Class A2 6.476% 07/20/2008 470,000 456,802
Navistar Financial Corp.
Owners Trust, Ser. 1995-B,
Class A3 6.050% 04/15/2002 1,755,998 1,756,578
Navistar Financial Corp.
Owners Trust, Ser. 1999-A,
Class A4 6.130% 10/15/2005 4,200,000 4,175,063
Paine Webber Mortgage
Acceptance Corp.,
Series 1999-C1, Class A1 6.480% 12/15/2007 508,000 500,380
-------------
41,407,814
-------------
Total (Cost - $47,322,832) 46,438,871
-------------
CORPORATE OBLIGATONS - 10.1%
CANADA - 0.4%
GMAC Canada Ltd. 5.125% 12/23/2003 DEM 1,500,000 821,699
-------------
SWEDEN - 1.0%
Investor AB 5.250% 06/30/2008 EUR 971,454 1,005,372
Swedbank 5.500% 07/01/2008 FRF 5,500,000 871,349
-------------
1,876,721
-------------
</TABLE>
26
<PAGE>
FFTW FUNDS, INC.
WORLDWIDE-HEDGED PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (a) VALUE
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
UNITED KINGDOM - 2.9%
Argyll Group 8.125% 10/04/2002 GBP 329,000 $ 543,893
Bat International Finance Plc 4.875% 02/25/2009 EUR 428,000 416,423
Bat International Finance Plc 5.375% 07/28/2006 DEM 1,600,000 844,539
British Gas Plc 8.125% 03/31/2003 GBP 297,000 494,616
Coca-Cola Enterprises Global
Bond 6.750% 03/12/2008 GBP 400,000 643,393
Gallagher Group Plc 5.875% 08/06/2008 DEM 600,000 313,228
Glaxo Wellcome Plc 8.750% 12/01/2005 GBP 649,000 1,163,556
Safeway Plc 7.500% 03/11/2004 GBP 164,000 269,992
Tesco Plc 7.500% 07/30/2007 GBP 365,000 616,676
-------------
5,306,316
-------------
UNITED STATES - 5.8%
Bank of America Corp. 5.875% 02/15/2009 450,000 412,779
Bank One Corp. (MTN) 5.625% 02/17/2004 1,100,000 1,054,241
Commercial Credit Co. 6.500% 08/01/2004 600,000 595,859
Exxon Capital Corp. 6.625% 08/15/2002 1,500,000 1,514,015
General Motors Acceptance
Corp. 4.000% 02/09/2006 EUR 100,000 98,779
John Hancock Global Funding
Corp. 5.375% 06/10/2008 DEM 450,000 238,983
Lumiere Funding Corp. (FRN) 5.353% 07/10/2003 621,296 619,929
Morgan Guaranty Trust Co.
(FRN) 5.034% 03/19/2001 6,000,000 5,997,414
-------------
10,531,999
-------------
Total (Cost - $19,020,250) 18,536,735
-------------
SOVEREIGN DEBT OBLIGATIONS - 26.9%
AUSTRALIA - 0.3%
Australian Government Bond 8.750% 08/15/2008 AUD 650,000 502,397
-------------
CANADA - 1.8%
Canadian Government Bond 5.500% 06/01/2009 CAD 4,970,000 3,374,938
-------------
DENMARK - 2.9%
Kingdom of Denmark Bond 6.000% 11/15/2009 DKK 29,900,000 4,501,056
Kingdom of Denmark Bond 7.000% 11/15/2007 DKK 100,000 15,976
</TABLE>
27
<PAGE>
FFTW FUNDS, INC.
WORLDWIDE-HEDGED PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (a) VALUE
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
DENMARK (CONTINUED)
Kingdom of Denmark Bond 7.000% 11/10/2024 DKK 5,400,000 $ 873,115
-------------
5,390,147
-------------
GERMANY - 1.7%
Bundesrepublic Deutschland
Bond 4.750% 07/04/2028 EUR 2,100,000 1,963,282
Bundesrepublic Deutschland
Bond 6.250% 01/04/2024 EUR 960,976 1,109,565
-------------
3,072,847
-------------
ITALY - 4.2%
Buoni Poliennali Del Tes 4.500% 05/01/2009 EUR 7,600,000 7,669,434
-------------
JAPAN - 9.4%
Japanese Government Bond 1.800% 06/20/2008 JPY 2,079,000,000 17,266,095
-------------
MULTI-NATIONAL - 0.1%
International Bank of
Reconstruction & Development 7.125% 07/30/2007 GBP 160,000 271,334
-------------
SPAIN - 1.8%
Spanish Government Bond 6.000% 01/31/2008 EUR 2,980,419 3,349,684
-------------
SWEDEN - 2.4%
Swedish Government Bond 8.000% 08/15/2007 SEK 4,700,000 664,712
Swedish Government Bond 9.000% 04/20/2009 SEK 24,900,000 3,810,696
-------------
4,475,408
-------------
UNITED KINGDOM - 2.3%
UK Treasury Bond 6.500% 12/07/2003 GBP 2,500,000 4,111,085
-------------
Total (Cost - $52,798,886) 49,483,369
-------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 14.0%
FNMA Global Bond 5.500% 12/07/2003 GBP 120,000 185,507
FNMA Global Bond 6.875% 06/07/2002 GBP 1,000,000 1,616,851
</TABLE>
28
<PAGE>
FFTW FUNDS, INC.
WORLDWIDE-HEDGED PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (a) VALUE
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (CONTINUED)
U.S. Treasury Bond 6.125% 11/15/2027 4,250,000 $ 4,210,156
U.S. Treasury Note 5.250% 05/15/2004 17,440,000 17,134,800
U.S.Treasury Strip* 6.200%-6.260% 02/15/2019 8,970,000 2,605,417
-------------
Total (Cost - $26,137,456) 25,752,731
-------------
TOTAL LONG-TERM INVESTMENTS
(COST - $145,279,424) 140,211,706
-------------
SHORT-TERM INVESTMENTS - 32.3%
Investors Bank & Trust Company
Cash Sweep 4.164% 07/01/1999 31,311,000 31,311,000
Moriarty Ltd., CP* 4.850% 08/12/1999 6,500,000 6,424,690
Morgan Guaranty Trust, CP* 4.900% 07/19/1999 6,000,000 6,000,000
Premier Auto Trust, Ser.
1999-2, Class A1 4.940% 01/28/2000 2,214,499 2,213,679
Revolving Commitment Vehicle,
CP* 4.900% 07/19/1999 6,500,000 6,450,456
U.S. Treasury Bill*@ 4.510% 09/16/1999 1,000,000 990,182
Westdeutsche Landesbank,
Eurodollar CD 5.040% 11/18/1999 6,000,000 5,999,676
-------------
Total (Cost - $59,390,727) 59,389,683
-------------
TOTAL INVESTMENTS - 108.5%
(COST - $204,670,151) $ 199,601,389
-------------
OTHER ASSETS AND LIABILITIES -
(8.5%) (15,642,838)
-------------
NET ASSETS - 100.0% $ 183,958,551
-------------
-------------
</TABLE>
29
<PAGE>
FFTW FUNDS, INC.
WORLDWIDE-HEDGED PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
Summary of Abbreviations
- ---------------------------------------------------------------------------------------------------------------------
<S> <C>
AUD Australian Dollar
CAD Canadian Dollar
CP Commercial Paper
DEM Deutsche Mark
DKK Danish Krone
EUR European Monetary Unit
FNMA Federal National Mortgage Association
FRF French Franc
GBP British Pound
JPY Japanese Yen
MTN Medium-Term Note
SEK Swedish Krona
</TABLE>
Eurodollar CD - U.S. dollar denominated certificates of deposit issued by a bank
outside the U.S., with interest and principal paid in dollars.
(a) Face amount shown in U.S. dollars unless otherwise noted.
* Interest rate shown represents yield to maturity at date of purchase.
@ Security, or a portion thereof, is held in a margin account as collateral
for open financial futures contracts.
See Notes to Financial Statements.
30
<PAGE>
FFTW FUNDS, INC.
INTERNATIONAL PORTFOLIO - SCHEDULE OF INVESTMENTS
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (a) VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
LONG-TERM INVESTMENTS - 52.6%
ASSET- AND MORTGAGE-BACKED SECURITIES - 10.0%
GERMANY - 0.9%
CORE, Ser. 1999-1, Class A-3A
(FRN) 2.835% 03/17/2009 EUR 300,000 $ 309,330
CORE, Ser. 1998-1, Class A-2A
(FRN) 2.759% 01/15/2006 DEM 1,000,000 525,664
-------------
834,994
-------------
JAPAN - 1.1%
J-Shop Corp., Ser. II, Class 1
(FRN) 0.640% 01/13/2003 JPY 100,000,000 827,267
Oscar Funding Corp., Ser. 4,
Class 2 (FRN) 3.012% 05/10/2004 EUR 194,746 201,044
-------------
1,028,311
-------------
UNITED KINGDOM - 0.3%
Chester Asset Receivables Deal
6 (FRN) 5.537% 09/15/2003 GBP 200,000 315,137
-------------
UNITED STATES - 7.7%
BankBoston Home Equity Loan
Trust, Ser. 1998-1, Class A1 6.460% 04/25/2012 918,009 916,574
Chase Credit Card Master
Trust, Ser. 1998-1, Class A 5.125% 02/15/2005 DEM 1,000,000 532,005
Chase Credit Card Master
Trust, Ser. 1998-4, Class A 5.000% 08/15/2008 DEM 600,000 315,326
MBNA American European
Structure Offering 5.125% 04/19/2008 DEM 1,500,000 798,756
MCL Auto Loan Funding Corp.,
Ser. 1, Class 1 (FRN) 5.503% 09/10/2003 828,723 830,589
Novus Home Equity Line of
Credit Trust, Ser. 1999-1,
Class A (FRN) 5.149% 05/25/2010 1,925,414 1,925,414
Providian Home Equity Loan
Trust, Ser. 1999-1, Class A
(FRN) 5.196% 05/06/2025 1,992,191 1,987,833
-------------
7,306,497
-------------
Total (Cost - $9,670,188) 9,484,939
-------------
CORPORATE OBLIGATIONS - 5.1%
CANADA - 1.2%
GMAC Canada Ltd. 5.125% 12/23/2003 DEM 2,100,000 1,150,378
-------------
</TABLE>
31
<PAGE>
FFTW FUNDS, INC.
INTERNATIONAL PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (a) VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
SWEDEN - 0.7%
Investor AB 5.250% 06/30/2008 EUR 306,775 $ 317,486
Swedbank 5.500% 07/01/2008 FRF 2,300,000 364,382
-------------
681,868
-------------
UNITED KINGDOM - 2.7%
Abbey National Treasury
Service 6.500% 03/05/2004 GBP 258,000 409,883
Argyll Group 8.125% 10/04/2002 GBP 134,000 221,525
Bat International Finance Plc 4.875% 02/25/2009 EUR 177,000 172,212
Bat International Finance Plc 5.375% 07/28/2006 DEM 600,000 316,702
British Gas Plc 8.125% 03/31/2003 GBP 110,000 183,191
Coca-Cola Enterprises Global
Bond 6.750% 03/12/2008 GBP 200,000 321,697
Gallagher Group Plc 5.875% 08/06/2008 DEM 200,000 104,409
Glaxo Wellcome Plc 8.750% 12/01/2005 GBP 268,000 480,482
Safeway Plc 7.500% 03/11/2004 GBP 67,000 110,301
Tesco Plc 7.500% 07/30/2007 GBP 151,000 255,118
-------------
2,575,520
-------------
UNITED STATES - 0.5%
General Motors Acceptance
Corp. 4.000% 02/09/2006 EUR 100,000 98,779
John Hancock Global Funding
Corp. 5.375% 06/10/2008 DEM 170,000 90,283
Lumiere Funding Corp. (FRN) 5.353% 07/10/2003 310,648 309,965
-------------
499,027
-------------
Total (Cost - $5,355,419) 4,906,793
-------------
SOVEREIGN DEBT OBLIGATIONS - 35.7%
CANADA - 2.2%
Canadian Government Bond 5.500% 06/01/2009 CAD 3,070,000 2,084,720
-------------
DENMARK - 2.4%
Kingdom of Denmark Bond 6.000% 11/15/2009 DKK 7,200,000 1,083,866
Kingdom of Denmark Bond 7.000% 11/10/2024 DKK 7,500,000 1,212,660
-------------
2,296,526
-------------
</TABLE>
32
<PAGE>
FFTW FUNDS, INC.
INTERNATIONAL PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (a) VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
GERMANY - 8.8%
Bundesobligation 5.000% 11/12/2002 EUR 4,669,378 $ 5,014,875
Bundesrepublic Deutschland
Bond 3.750% 01/04/2009 EUR 1,100,000 1,068,197
Bundesrepublic Deutschland
Bond 4.750% 07/04/2028 EUR 500,000 467,448
Bundesrepublic Deutschland
Bond 5.250% 01/04/2008 EUR 166,053 179,573
Bundesrepublic Deutschland
Bond 6.250% 01/04/2024 EUR 1,449,684 1,673,838
-------------
8,403,931
-------------
ITALY - 2.3%
Buoni Poliennali Del Tes 4.500% 05/01/2009 EUR 2,200,000 2,220,099
-------------
JAPAN - 11.5%
Japanese Government Bond 1.800% 06/20/2008 JPY 1,326,000,000 11,012,430
-------------
SPAIN - 3.5%
Spanish Government Bond 6.000% 01/31/2008 EUR 2,948,565 3,313,885
-------------
SWEDEN - 2.3%
Swedish Government Bond 8.000% 08/15/2007 SEK 7,500,000 1,060,710
Swedish Government Bond 9.000% 04/20/2009 SEK 7,500,000 1,147,800
-------------
2,208,510
-------------
UNITED KINGDOM - 2.7%
UK Treasury Bond 6.500% 12/07/2003 GBP 1,542,000 2,535,719
-------------
Total (Cost - $36,855,071) 34,075,820
-------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 1.8%
FNMA Global Bond 6.875% 06/07/2002 GBP 500,000 808,425
U.S. Treasury Note 5.250% 05/15/2004 890,000 874,425
-------------
Total (Cost - $1,734,203) 1,682,850
-------------
TOTAL LONG-TERM INVESTMENTS
(COST - $53,614,881) 50,150,402
-------------
</TABLE>
33
<PAGE>
FFTW FUNDS, INC.
INTERNATIONAL PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (a) VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
SHORT-TERM INVESTMENTS - 59.5%
ABN-AMRO Finance Co., CP* 4.820% 10/06/1999 2,800,000 $ 2,743,016
Bank of Nova Scotia, Yankee CD 5.020% 10/20/1999 2,000,000 1,999,983
Bayerische Landesbank, Yankee
CD 4.980% 11/19/1999 3,000,000 2,998,857
CBA (Delaware) Finance, CP* 4.930% 11/24/1999 3,000,000 2,924,407
Investors Bank & Trust Company
Cash Sweep 4.164% 07/01/1999 41,412,000 41,412,000
Premier Auto Trust, Ser.
1999-2, Class A1 4.940% 01/28/2000 738,166 737,893
Revolving Commitment Vehicle,
CP* 4.900% 07/19/1999 2,500,000 2,480,944
UBS (Delaware) Finance LLC,
CP* 4.860% 12/23/1999 1,000,000 964,090
U.S. Treasury Bill *@ 4.510% 09/16/1999 500,000 495,091
-------------
Total (Cost $56,756,643) 56,756,281
-------------
TOTAL INVESTMENTS - 112.1%
(COST - $110,371,524) 106,906,683
-------------
OTHER ASSETS AND LIABILITIES -
(12.1%) (11,560,717)
-------------
NET ASSETS - 100.0% $ 95,345,966
-------------
-------------
</TABLE>
<TABLE>
<CAPTION>
Summary of Abbreviations
- ---------------------------------------------------------------------------------------------------------------------
<S> <C>
CAD Canadian Dollar
CP Commercial Paper
DEM German Deutschemark
DKK Danish Krone
EUR European Monetary Unit
FNMA Federal National Mortgage Association
FRF French Franc
FRN Floating Rate Note
GBP British Pound
JPY Japanese Yen
SEK Swedish Krona
</TABLE>
Yankee CD - U.S. dollar denominated certificates of deposit issued by non-U.S.
banks in the U.S.
(a) Face amount shown in U.S. dollars unless otherwise indicated.
* Interest rate shown represents yield to maturity at date of purchase.
@ Security or a portion thereof, is held in a margin account as collateral
for open financial futures contracts.
See Notes to Financial Statements.
34
<PAGE>
FFTW FUNDS, INC.
EMERGING MARKETS PORTFOLIO - SCHEDULE OF INVESTMENTS
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (b) VALUE
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
LONG-TERM INVESTMENTS - 72.4%
CORPORATE OBLIGATIONS - 3.5%
SOUTH KOREA - 1.5%
Pohang Iron & Steel Co. -
Yankee 7.125% 11/01/2006 2,000,000 $ 1,860,000
Pohang Iron & Steel Co. -
Yankee 7.500% 08/01/2002 1,000,000 980,000
------------
2,840,000
------------
THAILAND - 1.2%
Export-Import Bank of Thailand
(FRN) 5.338% 11/20/2000 500,000 495,000
Industrial Finance Corp. 7.375% 01/14/2007 2,000,000 1,811,080
------------
2,306,080
------------
UNITED STATES - 0.8%
Pera Financial Services - 144A
(a) 9.375% 10/15/2002 1,717,000 1,502,375
------------
Total (Cost $6,859,289) 6,648,455
------------
SOVEREIGN DEBT OBLIGATIONS - 68.9%
ARGENTINA - 5.8%
Republic of Argentina (FRN) 6.000% 03/31/2023 4,000,000 2,495,000
Republic of Argentina (MTN) 11.750% 02/12/2007 ARS 5,000,000 4,013,062
Republic of Argentina 11.750% 04/07/2009 5,000,000 4,500,000
------------
11,008,062
------------
BRAZIL - 2.7%
Republic of Brazil 5.000% 04/15/2014 7,769,320 5,011,211
Republic of Brazil 3.000% 04/15/2014 48,558 31,320
------------
5,042,531
------------
BULGARIA - 2.8%
Bulgaria Discount Bond Ser. A
(FRN) 5.875% 07/28/2024 3,750,000 2,540,625
</TABLE>
35
<PAGE>
FFTW FUNDS, INC.
EMERGING MARKETS PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (b) VALUE
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
BULGARIA (CONTINUED)
Bulgaria Government Bond, Ser.
A (FRN) 2.500% 07/28/2012 4,500,000 $ 2,677,500
------------
5,218,125
------------
COLOMBIA - 5.4%
Republic of Colombia 8.375% 02/15/2027 4,000,000 2,800,000
Republic of Colombia 9.750% 04/23/2009 9,000,000 7,425,000
------------
10,225,000
------------
COSTA RICA - 2.6%
Republic of Costa Rica 9.335% 05/15/2009 5,000,000 4,875,000
------------
CROATIA - 0.8%
Croatia Government, Ser. A
(FRN) 5.813% 07/31/2010 1,000,000 795,800
Croatia Government, Ser. B
(FRN) 5.813% 07/31/2006 885,110 737,916
------------
1,533,716
------------
ECUADOR - 3.2%
Republic of Ecuador (FRN) 6.000% 02/28/2025 10,000,000 4,625,000
Republic of Ecuador (FRN) 3.250% 02/27/2015 4,028,395 1,299,157
Republic of Ecuador (FRN) 2.750% 02/27/2015 31,220 10,068
------------
5,934,225
------------
GREECE - 4.2%
Hellenic Republic Bond 8.600% 03/26/2008 GRD 1,700,000,000 6,206,606
Hellenic Republic Bond 11.000% 02/25/2000 GRD 500,000,000 1,619,025
------------
7,825,631
------------
HUNGARY - 2.9%
Hungary Government Bond 16.000% 04/12/2000 HUF 1,300,000,000 5,424,951
------------
MALAYSIA - 1.1%
Malaysia Global Government
Bond 8.750% 06/01/2009 2,000,000 2,006,800
------------
</TABLE>
36
<PAGE>
FFTW FUNDS, INC.
EMERGING MARKETS PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (b) VALUE
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
MEXICO - 6.9%
United Mexican States Par
Bonds, Ser. A 6.250% 12/31/2019 11,000,000 $ 8,112,500
United Mexican States Par
Bonds, Ser. B 6.250% 12/31/2019 6,500,000 4,793,750
------------
12,906,250
------------
MOROCCO - 3.0%
Morocco Reconstruction &
Consolidation, Ser. A (FRN) 5.906% 01/01/2009 7,142,857 5,714,286
------------
NIGERIA - 2.1%
Central Bank of Nigeria Bond+ 6.250% 11/15/2020 6,500,000 3,965,000
------------
PANAMA - 4.9%
Republic of Panama 8.875% 09/30/2027 9,000,000 7,380,000
Republic of Panama 9.375% 04/01/2029 2,000,000 1,902,600
------------
9,282,600
------------
PERU - 3.9%
Peru - Past Due Interest (FRN) 4.500% 03/07/2017 8,000,000 4,910,400
Republic of Peru (FRN) 4.500% 03/07/2017 4,000,000 2,455,200
------------
7,365,600
------------
PHILIPPINE ISLANDS - 3.6%
Republic of Philippines 8.875% 04/15/2008 7,000,000 6,842,500
------------
POLAND - 2.3%
Poland Government Bond 12.000% 06/12/2003 PLN 7,000,000 1,837,411
Poland Government Bond 14.000% 02/12/2000 PLN 10,000,000 2,553,517
------------
4,390,928
------------
RUSSIA - 2.1%
City of Moscow Bond 9.500% 05/31/2000 3,000,000 1,792,500
</TABLE>
37
<PAGE>
FFTW FUNDS, INC.
EMERGING MARKETS PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (b) VALUE
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
RUSSIA (CONTINUED)
Ministry of Finance Russia
Bond 12.750% 06/24/2028 4,000,000 $ 2,240,000
------------
4,032,500
------------
SOUTH KOREA - 1.8%
Korea Development Bank Bond 6.500% 11/15/2002 2,000,000 1,905,000
Republic of Korea 8.875% 04/15/2008 1,500,000 1,566,000
------------
3,471,000
------------
TURKEY - 2.3%
Turkey Treasury Bill 93.220% 05/17/2000 TRL 1,850,000,000 2,256,087
Turkey Treasury Bill 117.380% 08/23/2000 TRL 1,000,000,000 1,013,015
Turkey Treasury Bill 126.250% 02/09/2000 TRL 768,000,000 1,133,401
------------
4,402,503
------------
URUGUAY - 0.6%
Banco Central del Uruguay,
Ser. B 6.750% 02/19/2021 1,250,000 1,087,500
------------
VENEZUELA - 3.9%
Republic of Venezuela (FRN)+ 5.875% 03/31/2020 6,250,000 4,296,875
Republic of Venezuela (FRN) 6.313% 12/18/2007 4,047,600 3,091,557
------------
7,388,432
------------
Total (Cost - $136,517,924) 129,943,140
------------
TOTAL LONG TERM INVESTMENTS
(COST $143,377,213) 136,591,595
------------
SHORT-TERM INVESTMENTS - 24.4%
Investors Bank & Trust Company
Cash Sweep 4.164% 07/01/1999 35,258,000 35,258,000
Korea Electric Power 9.250% 11/17/1999 2,000,000 2,017,600
Poland Treasury Bill 12.100% 04/12/2000 PLN 20,000,000 4,645,770
Turkey Treasury Bill 97.659%-99.835% 07/21/1999 TRL 1,240,000,000 2,819,184
Turkey Treasury Bill 107.790% 10/06/1999 TRL 570,000,000 1,102,677
</TABLE>
38
<PAGE>
FFTW FUNDS, INC.
EMERGING MARKETS PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (b) VALUE
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
SHORT-TERM INVESTMENTS (CONTINUED)
U.S. Treasury Bill @* 4.510% 09/16/1999 250,000 $ 247,546
------------
TOTAL (COST $47,321,830) 46,090,777
------------
TOTAL INVESTMENTS - 96.8%
(COST - $190,699,043) 182,682,372
------------
OTHER ASSETS AND LIABILITIES -
3.2% 5,971,697
------------
NET ASSETS - 100.0% $188,654,069
------------
------------
</TABLE>
<TABLE>
<CAPTION>
Summary of Abbreviations
- ------------------------------------------------------------------------------------------------------------------
<S> <C>
ARS Argentinian Peso
FRN Floating Rate Note
GRD Greek Drachma
HUF Hungarian Forint
MTN Medium-Term Note
PLN Polish Zloty
TRL Turkish Lira
</TABLE>
(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, 1999,
these securities were valued at $1,502,375 or 0.8% of net assets.
(b) Face Amount shown in U.S. Dollars unless otherwise indicated.
@ Security or a portion thereof, is held in a margin account as collateral
for open financial futures contracts.
* Interest rate shown represents yield to maturity at date of purchase.
+ Security issued with detachable warrants. The current value of each warrant
is zero.
See Notes to Financial Statements.
39
<PAGE>
FFTW FUNDS, INC.
INTERNATIONAL OPPORTUNITIES PORTFOLIO - SCHEDULE OF INVESTMENTS
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (a) VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
LONG-TERM INVESTMENTS - 69.4%
ASSET- AND MORTGAGE-BACKED SECURITIES - 13.2%
UNITED STATES - 13.2%
Caterpillar Financial Asset,
Ser. 1997-A, Class A3 6.450% 05/25/2003 264,409 $ 265,292
Chase Credit Card Master
Trust, Ser. 1998, Class A1 5.125% 02/15/2005 DEM 600,000 319,203
MBNA Master Credit Card Trust,
Ser. 1997-G, Class B (FRN) 5.348% 11/15/2006 700,000 698,141
Novus Home Equity Line of
Credit Trust, Ser. 1999-1,
Class A (FRN) 5.149% 05/25/2010 962,707 962,707
Providian Home Equity Loan
Trust, Series 1999-1,
Class A (FRN) 5.196% 05/06/2025 996,096 993,917
------------
Total (Cost - $3,272,414) 3,239,260
------------
SOVEREIGN DEBT OBLIGATIONS - 54.8%
CANADA - 2.7%
Canada Government Bond 5.500% 06/01/2009 CAD 990,000 672,270
------------
DENMARK - 3.6%
Kingdom of Denmark Bond 6.000% 11/15/2009 DKK 5,900,000 888,168
------------
FRANCE - 14.8%
French Government Bond 5.250% 04/25/2008 EUR 3,353,878 3,620,713
------------
GERMANY - 7.9%
Bundesrepublic Deutschland
Bond 5.250% 01/04/2008 EUR 741,464 801,830
Bundesrepublic Deutschland
Bond 6.250% 01/04/2024 EUR 971,454 1,121,663
------------
1,923,493
------------
JAPAN - 17.5%
Japanese Government Bond 1.800% 06/20/2008 JPY 515,000,000 4,277,075
------------
</TABLE>
40
<PAGE>
FFTW FUNDS, INC.
INTERNATIONAL OPPORTUNITIES PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (a) VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
SWEDEN - 2.3%
Swedish Government Bond 9.000% 04/20/2009 SEK 3,700,000 $ 566,248
------------
UNITED KINGDOM - 6.0%
UK Treasury Bond 6.500% 12/07/2003 GBP 900,000 1,479,991
------------
Total (Cost - $14,762,823) 13,427,958
------------
U.S. GOVERNMENT OBLIGATIONS - 1.4%
U.S. Treasury Note
Total (Cost - $342,262) 5.250% 05/15/2004 350,000 343,875
------------
TOTAL LONG-TERM INVESTMENTS
(COST - $18,377,499) 17,011,093
------------
SHORT-TERM INVESTMENTS - 47.7%
ABN-AMRO Finance, Co., CP* 4.820% 10/06/1999 900,000 881,684
Bank of Nova Scotia, Yankee CD 5.020% 10/20/1999 1,000,000 999,992
CBA (Delaware) Finance, CP* 4.930% 11/24/1999 1,000,000 974,802
FNMA Discount Note 4.900% 09/07/1999 1,000,000 988,431
Investors Bank & Trust Company
Cash Sweep 4.164% 07/01/1999 6,780,000 6,780,000
Premier Auto Trust, Ser.
1999-2, Class A1 4.940% 01/28/2000 369,083 368,947
UBS (Delaware) Finance LLC,
CP* 4.860% 12/23/1999 500,000 482,045
U.S. Treasury Bill*@ 4.420%-4.505% 09/16/1999 200,000 198,036
------------
Total (Cost - $11,674,135) 11,673,937
------------
TOTAL INVESTMENTS - 117.1%
(COST - $30,051,634) 28,685,030
------------
OTHER ASSETS AND LIABILITIES -
(17.1%) (4,183,687)
------------
NET ASSETS - 100.0% $ 24,501,343
------------
------------
</TABLE>
41
<PAGE>
FFTW FUNDS, INC.
INTERNATIONAL OPPORTUNITIES PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
Summary of Abbreviations
- ---------------------------------------------------------------------------------------------------------------------
<S> <C>
CAD Canadian Dollar
CP Commercial Paper
DEM German Deutschemark
DKK Danish Krone
EUR European Monetary Unit
FNMA Federal National Mortgage Association
FRN Floating Rate Note
GBP British Pound Sterling
JPY Japanese Yen
SEK Swedish Krona
</TABLE>
Yankee CD - U.S. dollar denominated certificates of deposit issued by non-U.S.
banks in the U.S.
(a) Face Amount shown in U.S. Dollars unless otherwise indicated.
* Interest rate shown represents yield to maturity at date of purchase.
@ Security or portion thereof, is held in a margin account as collateral for
open futures contracts.
See Notes to Financial Statements.
42
<PAGE>
FFTW FUNDS, INC.
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1999 (UNAUDITED) U.S. PORTFOLIOS
<TABLE>
<CAPTION>
MONEY MARKET U.S. SHORT-TERM
PORTFOLIO PORTFOLIO
- --------------------------------------------------------------------------
<S> <C> <C>
ASSETS
- ----------------------------------------
Investments in securities, at value
(Cost - $26,696,097 and
$654,158,307, respectively) $26,696,097 $652,739,901
Cash 482 79
Interest receivable 173,215 2,311,321
Receivable for securities sold - 667,671
Receivable for fund shares sold 208 -
Variation margin receivable - 69,700
Other receivables 939 69,722
------------- ----------------
Total assets 26,870,941 655,858,394
------------- ----------------
LIABILITIES
- ----------------------------------------
Payable for securities purchased 1,000,017 44,796,318
Payable for fund shares purchased - 478,000
Distribution payable - 94,552
------------- ----------------
Total liabilities 1,000,017 45,368,870
------------- ----------------
NET ASSETS $25,870,924 $610,489,524
- ----------------------------------------
------------- ----------------
------------- ----------------
SHARES OUTSTANDING (PAR VALUE $0.001) 25,870,958 63,071,008
- ----------------------------------------
------------- ----------------
------------- ----------------
NET ASSET VALUE PER SHARE $ 1.00 $ 9.68
- ----------------------------------------
------------- ----------------
------------- ----------------
COMPONENTS OF NET ASSETS AS OF JUNE 30,
1999 WERE AS FOLLOWS:
- ----------------------------------------
Paid-in capital $25,870,340 $627,198,729
Undistributed investment income, net - 243,592
Accumulated net realized gain (loss) on
investments, financial futures and
options contracts 584 (15,554,327)
Net unrealized depreciation on
investments and financial futures
contracts - (1,398,470)
------------- ----------------
$25,870,924 $610,489,524
------------- ----------------
------------- ----------------
</TABLE>
See Notes to Financial Statements.
43
<PAGE>
FFTW FUNDS, INC.
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
JUNE 30, 1999 (UNAUDITED) U.S. PORTFOLIOS
<TABLE>
<CAPTION>
LIMITED DURATION MORTGAGE-BACKED
PORTFOLIO PORTFOLIO
- ------------------------------------------------------------------------------
<S> <C> <C>
ASSETS
- ----------------------------------------
Investments in securities, at value
(Cost - $93,200,145 and
$1,021,572,678, respectively) $92,711,298 $1,017,533,101
Cash 434 392
Receivable for securities sold 3,938,625 116,018,093
Interest receivable 437,768 4,025,482
Other receivables 5,420 206,401
----------------- ----------------
Total assets 97,093,545 1,137,783,469
----------------- ----------------
LIABILITIES
- ----------------------------------------
Payable for securities purchased 24,629,281 552,467,195
Payable for fund shares redeemed 13,436 61,141,060
Variation margin payable 31,219 480,279
Distribution payable - 536,072
Accrued expenses and other liabilities - 91,926
----------------- ----------------
Total liabilities 24,673,936 614,716,532
----------------- ----------------
NET ASSETS $72,419,609 $ 523,066,937
- ----------------------------------------
----------------- ----------------
----------------- ----------------
SHARES OUTSTANDING (PAR VALUE $0.001) 7,418,393 53,001,791
- ----------------------------------------
----------------- ----------------
----------------- ----------------
NET ASSET VALUE PER SHARE $ 9.76 $ 9.87
- ----------------------------------------
----------------- ----------------
----------------- ----------------
COMPONENTS OF NET ASSETS AS OF JUNE 30,
1999 WERE AS FOLLOWS:
- ----------------------------------------
Paid-in capital $74,113,202 $ 542,410,429
Undistributed investment income, net - 1,498,565
Accumulated net realized loss on
investments, shorts sales, financial
futures,
and options contracts (1,190,734) (16,839,080)
Net unrealized depreciation on
investments and financial futures
contracts (502,859) (4,002,977)
----------------- ----------------
$72,419,609 $ 523,066,937
----------------- ----------------
----------------- ----------------
</TABLE>
See Notes to Financial Statements.
44
<PAGE>
FFTW FUNDS, INC.
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
JUNE 30, 1999 (UNAUDITED) GLOBAL & INTERNATIONAL PORTFOLIOS
<TABLE>
<CAPTION>
GLOBAL TACTICAL EXPOSURE WORLDWIDE
PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------------------
<S> <C> <C>
ASSETS
- ----------------------------------------
Investments in securities, at value
(Cost - $402,517,742 and
$69,365,501, respectively) $382,696,994 $ 67,005,737
Cash 153 683
Foreign cash (Cost - $4,468,579 and
$1,435,340, respectively) 4,323,019 1,337,662
Interest receivable 6,929,517 896,267
Receivable for securities sold 15,832,568 4,729,692
Receivable on swap contracts 13,245,257 -
Other receivables 71,774 1,407
------------------------- -----------------
Total assets 423,099,282 73,971,448
------------------------- -----------------
LIABILITIES
- ----------------------------------------
Payable for securities purchased 906,450 10,573,176
Payable for fund shares redeemed 14,734,247 -
Variation margin payable 3,667,548 413,371
Net unrealized depreciation of forward
foreign exchange contracts 2,126,456 225,005
Distribution payable 59,508 106,666
Accrued expenses and other liabilities 47,318 8,551
------------------------- -----------------
Total liabilities 21,541,527 11,326,769
------------------------- -----------------
NET ASSETS $401,557,755 $ 62,644,679
- ----------------------------------------
------------------------- -----------------
------------------------- -----------------
SHARES OUTSTANDING (PAR VALUE $0.001) 39,396,423 6,706,530
- ----------------------------------------
------------------------- -----------------
------------------------- -----------------
NET ASSET VALUE PER SHARE $ 10.19 $ 9.34
- ----------------------------------------
------------------------- -----------------
------------------------- -----------------
COMPONENTS OF NET ASSETS AS OF JUNE 30,
1999 WERE AS FOLLOWS:
- ----------------------------------------
Paid-in capital $394,182,554 $ 70,250,972
Undistributed (distributions in excess
of) investment income, net (183,350) 1,633,254
Accumulated net realized gain (loss) on
investments, financial futures
and swap contracts, and foreign
currency-related transactions 33,579,561 (6,394,751)
Net unrealized depreciation on
investments, financial futures
contracts, and
on translation of other assets and
liabilities denominated in foreign
currency (26,021,010) (2,844,796)
------------------------- -----------------
$401,557,755 $ 62,644,679
------------------------- -----------------
------------------------- -----------------
</TABLE>
See Notes to Financial Statements.
45
<PAGE>
FFTW FUNDS, INC.
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
JUNE 30, 1999 (UNAUDITED) GLOBAL & INTERNATIONAL PORTFOLIOS
<TABLE>
<CAPTION>
WORLDWIDE-HEDGED INTERNATIONAL
PORTFOLIO PORTFOLIO
- ----------------------------------------------------------------------------
<S> <C> <C>
ASSETS
- ----------------------------------------
Investments in securities, at value
(Cost - $204,670,151 and
$110,371,524, respectively) $199,601,389 $ 106,906,683
Cash 352 684
Foreign cash (Cost - $783,760 and
$729,783, respectively) 686,553 674,370
Receivable for fund shares sold 87,500 -
Receivable for securities sold 13,391,914 6,553,562
Interest receivable 1,932,671 1,059,253
Net unrealized appreciation of forward
foreign exchange contracts 1,573,740 -
----------------- --------------
Total assets 217,274,119 115,194,552
----------------- --------------
LIABILITIES
- ----------------------------------------
Payable for securities purchased 32,279,451 18,727,770
Payable for fund shares redeemed - 1,814
Variation margin payable 1,003,827 536,260
Net unrealized depreciation of forward
foreign exchange contracts - 575,359
Distribution payable 794 -
Accrued expenses and other liabilities 31,496 7,383
----------------- --------------
Total liabilities 33,315,568 19,848,586
----------------- --------------
NET ASSETS $183,958,551 $ 95,345,966
- ----------------------------------------
----------------- --------------
----------------- --------------
SHARES OUTSTANDING (PAR VALUE $0.001) 16,943,774 10,984,305
- ----------------------------------------
----------------- --------------
----------------- --------------
NET ASSET VALUE PER SHARE $ 10.86 $ 8.68
- ----------------------------------------
----------------- --------------
----------------- --------------
COMPONENTS OF NET ASSETS AS OF JUNE 30,
1999 WERE AS FOLLOWS:
- ----------------------------------------
Paid-in capital $190,110,562 $ 104,411,452
Distributions in excess of investment
income, net (1,122,393) (934,988)
Accumulated net realized loss on
investments, financial futures
contracts
and foreign currency-related
transactions (636,731) (3,444,843)
Net unrealized depreciation on
investments, financial futures
contracts, and
on translation of other assets and
liabilities denominated in foreign
currency (4,392,887) (4,685,655)
----------------- --------------
$183,958,551 $ 95,345,966
----------------- --------------
----------------- --------------
</TABLE>
See Notes to Financial Statements.
46
<PAGE>
FFTW FUNDS, INC.
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
JUNE 30, 1999 (UNAUDITED) GLOBAL & INTERNATIONAL PORTFOLIOS
<TABLE>
<CAPTION>
INTERNATIONAL
EMERGING MARKETS OPPORTUNITIES
PORTFOLIO PORTFOLIO
- ----------------------------------------------------------------------------
<S> <C> <C>
ASSETS
- ----------------------------------------
Investments in securities, at value
(Cost - $190,699,043 and
$30,051,634, respectively) $182,682,372 $28,685,030
Cash 146 360
Foreign cash (Cost - $132,808) 1,703,608 -
Interest receivable 3,121,795 201,228
Receivable for fund shares sold - 2,660,110
Variation margin receivable - 177,906
Net unrealized appreciation of forward
foreign exchange contracts 1,092,201 -
Other receivables 194,741 8,004
----------------- --------------
Total assets 188,794,863 31,732,638
----------------- --------------
LIABILITIES
- ----------------------------------------
Payable to bank - 65,201
Payable for securities purchased - 7,028,524
Variation margin payable 100,313 -
Net unrealized depreciation of forward
foreign exchange contracts - 137,570
Accrued expenses and other liabilities 40,481 -
----------------- --------------
Total liabilities 140,794 7,231,295
----------------- --------------
NET ASSETS $188,654,069 $24,501,343
- ----------------------------------------
----------------- --------------
----------------- --------------
SHARES OUTSTANDING (PAR VALUE $0.001) 25,160,813 2,739,799
- ----------------------------------------
----------------- --------------
----------------- --------------
NET ASSET VALUE PER SHARE $ 7.50 $ 8.94
- ----------------------------------------
----------------- --------------
----------------- --------------
COMPONENTS OF NET ASSETS AS OF JUNE 30,
1999 WERE AS FOLLOWS:
- ----------------------------------------
Paid-in capital $235,525,199 $27,063,828
Distributions in excess of investment
income, net (1,273,559) (532,291)
Accumulated net realized loss on
investments, financial futures
contracts
and foreign currency-related
transactions (38,427,599) (414,411)
Net unrealized depreciation on
investments, financial futures
contracts, and
on translation of other assets and
liabilities denominated in foreign
currency (7,169,972) (1,615,783)
----------------- --------------
$188,654,069 $24,501,343
----------------- --------------
----------------- --------------
</TABLE>
See Notes to Financial Statements.
47
<PAGE>
FFTW FUNDS, INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1999 (UNAUDITED) U.S. PORTFOLIOS
<TABLE>
<CAPTION>
MONEY MARKET U.S. SHORT-TERM
PORTFOLIO PORTFOLIO
- --------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- ----------------------------------------
Interest $658,629 $18,841,225
------------- ----------------
EXPENSES
- ----------------------------------------
Investment advisory fees 13,134 1,042,245
Administration fees 6,544 173,385
Custodian fees 7,041 128,212
Audit fees 9,200 18,725
Transfer agent fees 1,378 19,208
Legal fees 246 6,547
Directors' fees and expenses 594 15,222
Registration fees 997 102,088
Other fees and expenses 3,155 41,715
------------- ----------------
Total operating expenses 42,289 1,547,347
Waiver of investment advisory and
administration fees (9,455) (677,244)
------------- ----------------
Operating expenses, net 32,834 870,103
------------- ----------------
Investment income, net 625,795 17,971,122
------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS,
FINANCIAL FUTURES AND OPTIONS CONTRACTS
- ----------------------------------------
Net realized loss on investments - (3,561,814)
Net realized loss on financial futures
and options contracts - (2,030,701)
Net change in unrealized appreciation
(depreciation) on investments - (137,764)
Net change in unrealized appreciation
(depreciation) on financial
futures contracts - 412,961
------------- ----------------
Net realized and unrealized loss on
investments, financial futures and
options contracts - (5,317,318)
------------- ----------------
Net Increase in Net Assets Resulting
From Operations $625,795 $12,653,804
------------- ----------------
------------- ----------------
</TABLE>
See Notes to Financial Statements.
48
<PAGE>
FFTW FUNDS, INC.
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE SIX MONTHS ENDED JUNE 30, 1999 (UNAUDITED) U.S. PORTFOLIOS
<TABLE>
<CAPTION>
LIMITED DURATION MORTGAGE-BACKED
PORTFOLIO PORTFOLIO
- ------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- ----------------------------------------
Interest $ 2,417,815 $ 25,415,111
----------------- ----------------
EXPENSES
- ----------------------------------------
Investment advisory fees 146,659 1,071,278
Administration fees 20,907 199,141
Custodian fees 19,414 139,257
Audit fees 13,825 23,200
Transfer agent fees 1,719 2,147
Legal fees 775 6,882
Directors' fees and expenses 1,782 15,613
Registration fees 18,192 49,657
Other fees and expenses 7,448 43,996
----------------- ----------------
Total operating expenses 230,721 1,551,171
Waiver of investment advisory fees (104,883) (692,596)
----------------- ----------------
Operating expenses, net 125,838 858,575
----------------- ----------------
Investment income, net 2,291,977 24,556,536
----------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS,
SHORT SALES, FINANCIAL FUTURES AND
OPTIONS CONTRACTS, AND
FOREIGN CURRENCY-RELATED TRANSACTIONS
- ----------------------------------------
Net realized loss on investments (929,158) (19,945,230)
Net realized gain on short sales - 267,932
Net realized gain on financial futures
and options contracts 31,972 2,115,358
Net change in unrealized appreciation
(depreciation) on investments (496,563) (1,926,272)
Net change in unrealized appreciation
(depreciation) on financial futures and
options contracts (25,944) (362,693)
----------------- ----------------
Net realized and unrealized loss on
investments, short sales, financial
futures and options contracts (1,419,693) (19,850,905)
----------------- ----------------
Net Increase in Net Assets Resulting
From Operations $ 872,284 $ 4,705,631
----------------- ----------------
----------------- ----------------
</TABLE>
See Notes to Financial Statements.
49
<PAGE>
FFTW FUNDS, INC.
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE SIX MONTHS ENDED JUNE 30, 1999 (UNAUDITED)
GLOBAL & INTERNATIONAL PORTFOLIOS
<TABLE>
<CAPTION>
GLOBAL TACTICAL EXPOSURE WORLDWIDE
PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- ----------------------------------------
Interest $ 19,497,357 $ 1,660,569
------------- -----------------
EXPENSES
- ----------------------------------------
Investment advisory fees 830,045 131,962
Administration fees 114,219 16,434
Custodian fees 126,927 31,531
Audit fees 18,775 18,775
Legal fees 2,581 627
Directors' fees and expenses 9,386 1,478
Transfer agent fees 2,351 2,694
Registration fees 40,745 3,271
Other fees and expenses 26,719 7,892
------------- -----------------
Total operating expenses 1,171,748 214,664
Waiver of investment advisory fees (611,728) (16,722)
------------- -----------------
Operating expenses, net 560,020 197,942
Interest expense 10,109,309 -
------------- -----------------
Total expenses 10,669,329 197,942
------------- -----------------
Investment income, net 8,828,028 1,462,627
------------- -----------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS,
FINANCIAL FUTURES AND SWAPS CONTRACTS,
AND
FOREIGN CURRENCY-RELATED TRANSACTIONS
- ----------------------------------------
Net realized loss on investments (3,412,395) (785,959)
Net realized loss on financial futures
and swaps contracts 46,607,822 (577,890)
Net realized loss on foreign
currency-related transactions (5,520,978) (433,135)
Net change in unrealized appreciation
(depreciation) on investments (25,459,040) (3,203,079)
Net change in unrealized appreciation
(depreciation) on financial
futures contracts (3,513,028) 189,649
Net change in unrealized appreciation
(depreciation) on translation
of other assets and liabilities
denominated in foreign currency (10,209,792) (1,524,701)
------------- -----------------
Net realized and unrealized loss on
investments, financial futures, swaps
and
options contracts and foreign
currency-related transactions (1,507,411) (6,335,115)
------------- -----------------
Net Increase (Decrease) in Net Assets
Resulting From Operations $ 7,320,617 $ (4,872,488)
------------- -----------------
------------- -----------------
</TABLE>
See Notes to Financial Statements.
50
<PAGE>
FFTW FUNDS, INC.
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE SIX MONTHS ENDED JUNE 30, 1999 (UNAUDITED)
GLOBAL & INTERNATIONAL PORTFOLIOS
<TABLE>
<CAPTION>
WORLDWIDE-HEDGED INTERNATIONAL
PORTFOLIO PORTFOLIO
- ----------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- ----------------------------------------
Interest $ 4,471,316 $ 1,921,290
----------------- --------------
EXPENSES
- ----------------------------------------
Investment advisory fees 360,908 166,555
Administration fees 50,077 20,745
Custodian fees 53,820 33,850
Audit fees 18,775 18,775
Transfer agent fees 3,401 2,832
Legal fees 1,709 803
Directors' fees and expenses 4,113 1,996
Registration fees 29,017 4,541
Other fees and expenses 14,286 8,858
----------------- --------------
Total operating expenses 536,106 258,955
Waiver of investment advisory fees (130,306) (9,122)
----------------- --------------
Operating expenses, net 405,800 249,833
----------------- --------------
Investment income, net 4,065,516 1,671,457
----------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS,
FINANCIAL FUTURES CONTRACTS, AND FOREIGN
CURRENCY-RELATED TRANSACTIONS
- ----------------------------------------
Net realized loss on investments (2,755,812) (1,179,904)
Net realized loss on financial futures
contracts (1,664,240) (628,438)
Net realized gain (loss) on foreign
currency-related transactions 4,053,479 (1,593,944)
Net change in unrealized appreciation
(depreciation) on investments (6,491,990) (3,799,400)
Net change in unrealized appreciation
(depreciation) on financial
futures contracts (27,992) (126,719)
Net change in unrealized appreciation
(depreciation) on other assets
and liabilities denominated in foreign
currency 1,186,612 (2,044,873)
----------------- --------------
Net realized and unrealized loss on
investments, financial futures
contracts, and foreign currency-related
transactions (5,699,943) (9,373,278)
----------------- --------------
Net Increase (Decrease) in Net Assets
Resulting From Operations $(1,634,427) $(7,701,821)
----------------- --------------
----------------- --------------
</TABLE>
See Notes to Financial Statements.
51
<PAGE>
FFTW FUNDS, INC.
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE SIX MONTHS ENDED JUNE 30, 1999 (UNAUDITED)
GLOBAL & INTERNATIONAL PORTFOLIOS
<TABLE>
<CAPTION>
INTERNATIONAL
EMERGING MARKETS OPPORTUNITIES
PORTFOLIO PORTFOLIO
- ----------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- ----------------------------------------
Interest $ 9,436,264 $ 546,082
----------------- --------------
EXPENSES
- ----------------------------------------
Investment advisory fees 593,767 49,048
Administration fees 39,448 6,109
Custodian fees 89,704 19,500
Transfer agent 2,112 180
Legal fees 980 236
Audit fees 18,775 18,725
Directors' fees and expenses 3,706 556
Registration fees 27,781 10,043
Other fees and expenses 15,417 5,582
----------------- --------------
Total Operating expense 791,690 109,979
Waiver of investment advisory - (36,407)
----------------- --------------
Operating expenses, net 791,690 73,572
----------------- --------------
Investment income, net 8,644,574 472,510
----------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON
INVESTMENTS, FINANCIAL FUTURES CONTRACTS
AND FOREIGN
CURRENCY-RELATED TRANSACTIONS
- ----------------------------------------
Net realized loss on investments (12,906,564) (173,254)
Net realized loss on financial futures
contracts - (195,472)
Net realized gain (loss) on foreign
currency-related transactions (3,091,366) 1,800
Net change in unrealized appreciation
(depreciation) on investments 9,518,767 (1,549,632)
Net change in unrealized appreciation
(depreciation) on financial
futures contracts (138,097) (64,466)
Net change in unrealized appreciation
(depreciation) on other assets
and liabilities denominated in foreign
currency 87,314 (621,450)
----------------- --------------
Net realized and unrealized loss on
investments, financial futures
contracts and foreign currency-related
transactions (6,529,946) (2,602,474)
----------------- --------------
Net Increase (Decrease) in Net Assets
Resulting From Operations $ 2,114,628 $(2,129,964)
----------------- --------------
----------------- --------------
</TABLE>
See Notes to Financial Statements.
52
<PAGE>
FFTW FUNDS, INC.
STATEMENTS OF CHANGES IN NET ASSETS
JUNE 30, 1999 (UNAUDITED) U.S. PORTFOLIOS
<TABLE>
<CAPTION>
MONEY MARKET PORTFOLIO U.S. SHORT-TERM PORTFOLIO
------------------------------------- -------------------------------------
SIX MONTHS SIX MONTHS
ENDED JUNE 30, 1999 YEAR ENDED ENDED JUNE 30, 1999 YEAR ENDED
(UNAUDITED) DEC. 31, 1998 (UNAUDITED) DEC. 31, 1998
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
- ------------------------------
Investment income, net $ 625,795 $ 1,530,257 $ 17,971,122 $ 35,014,319
Net realized loss on
investments, financial
futures and options contracts - - (5,592,515) (726,442)
Net change in unrealized
appreciation (depreciation)
on investments and financial
futures - - 275,197 (1,500,109)
-------------------- -------------- -------------------- --------------
Net increase in net assets
resulting from operations - 1,530,257 12,653,804 32,787,768
-------------------- -------------- -------------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
- ------------------------------
From investment income, net 625,795 1,530,257 17,971,122 35,026,323
In excess of investment
income, net - 21,387 - -
-------------------- -------------- -------------------- --------------
Total Distributions 625,795 1,551,644 17,971,122 35,026,323
-------------------- -------------- -------------------- --------------
CAPITAL SHARE TRANSACTIONS,
NET (3,580,493) 3,320,586 (224,559,164) 355,698,913
-------------------- -------------- -------------------- --------------
Total increase (decrease) in
net assets (4,206,288) 3,299,199 (229,876,482) 353,460,358
NET ASSETS
- ------------------------------
Beginning of Year 29,451,417 26,152,218 843,049,831 489,589,473
-------------------- -------------- -------------------- --------------
End of Year $25,245,129 $29,451,417 $ 613,173,349 $843,049,831
-------------------- -------------- -------------------- --------------
-------------------- -------------- -------------------- --------------
UNDISTRIBUTED INVESTMENT
INCOME, NET $ - $ - $ 243,592 $ 243,592
- ------------------------------
</TABLE>
See Notes to Financial Statements.
53
<PAGE>
FFTW FUNDS, INC.
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
JUNE 30, 1999 (UNAUDITED) U.S. PORTFOLIOS
<TABLE>
<CAPTION>
LIMITED DURATION PORTFOLIO MORTGAGE-BACKED PORTFOLIO
------------------------------------- -------------------------------------
SIX MONTHS SIX MONTHS
ENDED JUNE 30, 1999 YEAR ENDED ENDED JUNE 30, 1999 YEAR ENDED
(UNAUDITED) DEC. 31, 1998 (UNAUDITED) DEC. 31, 1998
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
- ------------------------------
Investment income, net $ 2,291,977 $ 4,449,079 $ 24,556,536 $ 53,345,649
Net realized gain (loss) on
investments, short sales, and
financial futures, swaps and
options contracts (897,186) 807,566 (17,561,940) 15,692,844
Net change in unrealized
appreciation (depreciation)
on investments, short sales
and financial futures, swaps
and option contracts and
financial futures contracts (522,507) (68,170) (2,288,965) (8,277,832)
-------------------- -------------- -------------------- --------------
Net increase in net assets
resulting from operations 872,284 5,188,475 4,705,631 60,760,661
-------------------- -------------- -------------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
- ------------------------------
From investment income, net 2,291,977 4,449,079 24,556,536 52,124,492
In excess of investment
income, net - 26,882 - -
From net realized gain on
investments, short sales,
financial futures, swap and
options contracts, and
foreign currency-related
transactions - 1,041,363 - 16,884,432
-------------------- -------------- -------------------- --------------
Total Distributions 2,291,977 5,517,324 24,556,536 69,008,924
-------------------- -------------- -------------------- --------------
CAPITAL SHARE TRANSACTIONS,
NET (15,681,683) 49,820,618 (272,448,767) 168,343,622
-------------------- -------------- -------------------- --------------
Total increase (decrease) in
net assets (17,108,376) 49,491,769 (292,299,672) 160,095,359
NET ASSETS
- ------------------------------
Beginning of Year 89,520,985 40,029,216 815,366,610 655,271,251
-------------------- -------------- -------------------- --------------
End of Year $ 72,419,609 $89,520,985 $ 523,066,938 $815,366,610
-------------------- -------------- -------------------- --------------
-------------------- -------------- -------------------- --------------
UNDISTRIBUTED INVESTMENT
INCOME, NET $ - $ - $ 1,498,565 $ 1,498,565
- ------------------------------
</TABLE>
See Notes to Financial Statements.
54
<PAGE>
FFTW FUNDS, INC.
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
GLOBAL & INTERNATIONAL PORTFOLIOS
<TABLE>
<CAPTION>
GLOBAL TACTICAL EXPOSURE PORTFOLIO WORLDWIDE PORTFOLIO
------------------------------------- -------------------------------------
SIX MONTHS SIX MONTHS
ENDED JUNE 30, 1999 YEAR ENDED ENDED JUNE 30, 1999 YEAR ENDED
(UNAUDITED) DEC. 31, 1998 (UNAUDITED) DEC. 31, 1998
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
FROM OPERATIONS
- ------------------------------
Investment income, net $ 8,828,028 $ 17,207,229 $ 1,462,627 $ 3,964,055
Net realized gain (loss) on
investments, financial
futures and swap contracts,
and foreign currency-related
transactions 37,674,449 (12,347,912) (1,796,984) 6,457,926
Net change in unrealized
appreciation (depreciation)
on investments, financial
futures contracts, and on
translation of assets and
liabilities denominated in
foreign currency (39,181,860) 22,153,203 (4,538,131) 2,451,967
-------------------- -------------- -------------------- --------------
Net increase (decrease) in net
assets resulting from
operations 7,320,617 27,012,520 (4,872,488) 12,873,948
-------------------- -------------- -------------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
- ------------------------------
From investment income, net 9,517,452 17,207,229 1,462,626 3,964,055
In excess of investment
income, net - 74,921 - 2,391
From net realized gain on
investments, financial
futures and swaps contracts,
and foreign currency-related
transactions - - - 648,984
In excess of net realized gain
on investments, financial
futures and swap contracts,
and foreign currency-related
transactions - 2,764,626 - -
-------------------- -------------- -------------------- --------------
Total Distributions 9,517,452 20,046,776 1,462,626 4,615,430
-------------------- -------------- -------------------- --------------
CAPITAL SHARE TRANSACTIONS,
NET (20,211,119) 133,994,685 (672,961) (20,841,508)
-------------------- -------------- -------------------- --------------
Total increase (decrease) in
net assets (22,407,954) 140,960,429 (7,008,075) (12,582,990)
NET ASSETS
- ------------------------------
Beginning of Year 423,965,709 283,005,280 69,652,754 82,235,744
-------------------- -------------- -------------------- --------------
End of Year $401,557,755 $423,965,709 $62,644,679 $ 69,652,754
-------------------- -------------- -------------------- --------------
-------------------- -------------- -------------------- --------------
UNDISTRIBUTED (DISTRIBUTIONS
IN EXCESS OF) INVESTMENT
INCOME, NET $ (183,350) $ 506,074 $ 1,633,254 $ 1,633,253
- ------------------------------
</TABLE>
See Notes to Financial Statements.
55
<PAGE>
FFTW FUNDS, INC.
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
GLOBAL & INTERNATIONAL PORTFOLIOS
<TABLE>
<CAPTION>
WORLDWIDE-HEDGED PORTFOLIO INTERNATIONAL PORTFOLIO
------------------------------------- -------------------------------------
SIX MONTHS SIX MONTHS
ENDED JUNE 30, 1999 YEAR ENDED ENDED JUNE 30, 1999 YEAR ENDED
(UNAUDITED) DEC. 31, 1998 (UNAUDITED) DEC. 31, 1998
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
FROM OPERATIONS
- ------------------------------
Investment income, net $ 4,065,516 $ 7,500,941 $ 1,671,457 $ 3,336,012
Net realized gain (loss) on
investments, financial
futures contracts, and
foreign currency-related
transactions (366,573) 10,263,492 (3,402,286) 7,774,505
Net change in unrealized
appreciation (depreciation)
on investments, financial
futures contracts, and
translation of assets and
liabilities denominated in
foreign currency (5,333,370) (242,936) (5,970,992) 2,505,110
-------------------- -------------- -------------------- --------------
Net increase (decrease) in net
assets resulting from
operations (1,634,427) 17,521,497 (7,701,821) 13,615,627
-------------------- -------------- -------------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
- ------------------------------
From investment income, net 4,065,516 7,500,941 1,671,457 3,336,012
In excess of investment
income, net - 2,012,026 - 3,005,070
From net realized gain on
investments, financial
futures contracts, and
foreign currency-related
transactions - 8,917,381 - 5,026,290
-------------------- -------------- -------------------- --------------
Total Distributions 4,065,516 18,430,348 1,671,457 11,367,372
-------------------- -------------- -------------------- --------------
CAPITAL SHARE TRANSACTIONS,
NET 14,853,959 95,323,789 23,014,372 11,803,979
-------------------- -------------- -------------------- --------------
Total increase in net assets 9,154,016 94,414,938 13,641,094 14,052,234
NET ASSETS
- ------------------------------
Beginning of Year 174,804,535 80,389,597 81,704,872 67,652,638
-------------------- -------------- -------------------- --------------
End of Year $183,958,551 $174,804,535 $95,345,966 $81,704,872
-------------------- -------------- -------------------- --------------
-------------------- -------------- -------------------- --------------
DISTRIBUTIONS IN EXCESS OF
INVESTMENT INCOME, NET $ (1,122,393) $ (1,122,393) $ (934,988) $ (934,988)
- ------------------------------
</TABLE>
See Notes to Financial Statements.
56
<PAGE>
FFTW FUNDS, INC.
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
GLOBAL & INTERNATIONAL PORTFOLIOS
<TABLE>
<CAPTION>
EMERGING MARKETS PORTFOLIO INTERNATIONAL OPPORTUNITIES PORTFOLIO
------------------------------------- ----------------------------------------
SIX MONTHS SIX MONTHS PERIOD FROM
ENDED JUNE 30, 1999 YEAR ENDED ENDED JUNE 30, 1999 OCT. 8, 1998* TO
(UNAUDITED) DEC. 31, 1998 (UNAUDITED) DEC. 31, 1998
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
FROM OPERATIONS
- ------------------------------
Investment income, net $ 8,644,574 $ 16,723,142 $ 472,510 $ 203,910
Net realized loss on
investments, financial
futures contracts and foreign
currency-related transactions (15,997,930) (25,017,053) (366,926) (423,463)
Net change in unrealized
appreciation (depreciation)
on investments financial
futures contracts and on
translation of assets and
liabilities denominated in
foreign currency 9,467,984 (15,139,020) (2,235,548) 619,765
-------------------- -------------- -------------------- -----------------
Net increase (decrease) in net
assets resulting from
operations 2,114,628 (23,432,931) (2,129,964) 400,212
-------------------- -------------- -------------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS
- ------------------------------
From investment income, net 8,642,770 14,481,049 472,510 203,662
In excess of net realized gain
on investments, financial
futures contracts, and
foreign currency-related
transactions - - - 156,561
From capital stock in excess
of par value - 2,252,464 - -
-------------------- -------------- -------------------- -----------------
Total Distributions 8,642,770 16,733,513 472,510 360,223
-------------------- -------------- -------------------- -----------------
CAPITAL SHARE TRANSACTIONS,
NET 30,473,496 93,831,710 1,527,771 25,536,057
-------------------- -------------- -------------------- -----------------
Total increase (decrease) in
net assets 23,945,354 53,665,266 (1,074,703) 25,576,046
NET ASSETS
- ------------------------------
Beginning of Period 164,708,715 111,043,449 25,576,046 -
-------------------- -------------- -------------------- -----------------
End of Period $188,654,069 $164,708,715 $24,501,343 $25,576,046
-------------------- -------------- -------------------- -----------------
-------------------- -------------- -------------------- -----------------
UNDISTRIBUTED (DISTRIBUTIONS
IN
EXCESS OF) INVESTMENT INCOME,
NET $ (1,273,559) $ (1,275,363) $ (532,291) $ (532,291)
- ------------------------------
</TABLE>
* Commencement of Operations.
See Notes to Financial Statements.
57
<PAGE>
FFTW FUNDS, INC.
FINANCIAL HIGHLIGHTS
MONEY MARKET PORTFOLIO
<TABLE>
<CAPTION>
FOR THE YEAR ENDED,
FOR THE SIX MONTHS ---------------------------------------------------------
FOR A SHARE OUTSTANDING ENDED JUNE 30, 1999 DEC. 31, DEC. 31, DEC. 31, DEC. 31, DEC. 31,
THROUGHOUT THE PERIOD: (UNAUDITED) 1998 1997 1996 1995 1994
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
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 0.02* 0.05 0.05 0.05 0.06 0.04
Net realized gain on
investments - - - 0.00** 0.00** 0.00**
-------- --------- --------- --------- --------- ---------
Total from investment
operations 0.02 0.05 0.05 0.05 0.06 0.04
-------- --------- --------- --------- --------- ---------
LESS DISTRIBUTIONS
- -------------------------
From investment income,
net 0.02 0.05 0.05 0.05 0.06 0.04
From net realized gain on
investments - - - 0.00** - -
In excess of net realized
gain on investments - - - - - 0.00**
-------- --------- --------- --------- --------- ---------
Total distributions 0.02 0.05 0.05 0.05 0.06 0.04
-------- --------- --------- --------- --------- ---------
Net asset value, end of
period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- --------- --------- --------- --------- ---------
-------- --------- --------- --------- --------- ---------
TOTAL RETURN 2.39% 5.51% 5.46% 5.18% 5.74% 4.13%
- -------------------------
RATIOS/SUPPLEMENTAL DATA
- -------------------------
Net assets, end of period
(000's) $25,871 $29,451 $26,152 $25,047 $25,870 $22,006
Ratio of operating
expenses to average net
assets (a) 0.25%(b) 0.25% 0.30% 0.40% 0.40% 0.40%
Ratio of investment
income, net to average
net assets (a) 4.77%(b) 5.29% 5.33% 5.05% 5.58% 4.16%
Decrease in above expense
ratios due to waiver of
investment advisory and
administration fees and
reimbursement of other
expenses 0.07%(b) 0.11% 0.16% 0.30% 0.37% 0.64%
</TABLE>
- --------------------------------------------------------------------------------
(a) Net of waivers and reimbursements.
(b) Annualized.
* Calculation done based on average shares outstanding.
** Rounds to less than $.01.
See Notes to Financial Statements.
58
<PAGE>
FFTW FUNDS, INC.
FINANCIAL HIGHLIGHTS (CONTINUED)
U.S. SHORT-TERM PORTFOLIO
<TABLE>
<CAPTION>
FOR THE YEAR ENDED
FOR THE SIX MONTHS -----------------------------------------------------------------
FOR A SHARE OUTSTANDING ENDED JUNE 30, 1999 DEC. 31, DEC. 31, DEC. 31, DEC. 31, DEC. 31,
THROUGHOUT THE PERIOD: (UNAUDITED) 1998 1997 1996 1995 1994
------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
- -------------------------
Net asset value,
beginning of period $ 9.76 $ 9.77 $ 9.85 $ 9.88 $ 9.89 $ 9.98
INCREASE (DECREASE) FROM
INVESTMENT OPERATIONS
- -------------------------
Investment income, net 0.25* 0.54 0.57 0.55 0.56 0.44
Net realized and
unrealized (loss) on
investments, financial
futures and options
contracts, and foreign
currency-related
transactions (0.08) (0.01) (0.08) (0.03) (0.01) (0.08)
---------- --------- --------- --------- --------- ---------
Total from investment
operations 0.17 0.53 0.49 0.52 0.55 0.36
---------- --------- --------- --------- --------- ---------
LESS DISTRIBUTIONS
- -------------------------
From investment income,
net 0.25 0.54 0.57 0.55 0.56 0.45
In excess of investment
income, net - - - - 0.00** 0.00**
---------- --------- --------- --------- --------- ---------
Total distributions 0.25 0.54 0.57 0.55 0.56 0.45
---------- --------- --------- --------- --------- ---------
Net asset value, end of
period $ 9.68 $ 9.76 $ 9.77 $ 9.85 $ 9.88 $ 9.89
---------- --------- --------- --------- --------- ---------
---------- --------- --------- --------- --------- ---------
TOTAL RETURN 1.75% 5.59% 5.09% 5.45% 5.71% 3.71%
- -------------------------
RATIOS/SUPPLEMENTAL DATA
- -------------------------
Net assets, end of period
(000's) $610,490 $ 840,366 $ 486,906 $ 355,257 $ 457,425 $ 290,695
Ratio of operating
expenses to average net
assets, exclusive of
interest expense (a) 0.25%(b) 0.25% 0.25% 0.27% 0.40% 0.40%
Ratio of operating
expenses to average net
assets, inclusive of
interest expense (a) 0.25%(b) 0.25% 0.26% 0.40% 0.51% 0.43%
Ratio of investment
income, net to average
net assets (a) 5.17%(b) 5.48% 5.78% 5.62% 5.64% 4.14%
Decrease in above expense
ratios due to waiver of
investment advisory and
administration fees 0.19%(b) 0.17% 0.18% 0.05% 0.07% 0.08%
</TABLE>
- --------------------------------------------------------------------------------
(a) Net of waivers and reimbursements.
(b) Annualized.
* Calculation done based on average shares outstanding.
** Rounds to less than $0.01.
See Notes to Financial Statements.
59
<PAGE>
FFTW FUNDS, INC.
FINANCIAL HIGHLIGHTS (CONTINUED)
LIMITED DURATION PORTFOLIO
<TABLE>
<CAPTION>
FOR THE YEAR ENDED
FOR THE SIX MONTHS --------------------------------------------------------
FOR A SHARE OUTSTANDING ENDED JUNE 30, 1999 DEC. 31, DEC. 31, DEC. 31, DEC. 31, DEC. 31,
THROUGHOUT THE PERIOD: (UNAUDITED) 1998 1997 1996 1995 1994
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
- -------------------------
Net asset value,
beginning of period $ 9.93 $ 9.93 $ 9.93 $ 10.00 $ 9.55 $ 9.95
INCREASE (DECREASE) FROM
INVESTMENT OPERATIONS
- -------------------------
Investment income, net 0.27* 0.55 0.62 0.55 0.60 0.43
Net realized and
unrealized gain (loss) on
investments, financial
futures contracts and
foreign currency-related
transactions (0.17) 0.11 0.08 (0.04) 0.45 (0.40)
-------- --------- --------- --------- -------- ---------
Total from investment
operations 0.10 0.66 0.70 0.51 1.05 0.03
-------- --------- --------- --------- -------- ---------
LESS DISTRIBUTIONS
- -------------------------
From investment income,
net 0.27 0.55 0.62 0.55 0.60 0.43
In excess of investment
income, net - 0.00** - 0.00** - -
From net realized and
unrealized gain (loss) on
investments, financial
futures contracts and
foreign currency-related
transactions - 0.11 0.08 0.03 - -
-------- --------- --------- --------- -------- ---------
Total distributions 0.27 0.66 0.70 0.58 0.60 0.43
-------- --------- --------- --------- -------- ---------
Net asset value, end of
period $ 9.76 $ 9.93 $ 9.93 $ 9.93 $ 10.00 $ 9.55
-------- --------- --------- --------- -------- ---------
-------- --------- --------- --------- -------- ---------
TOTAL RETURN 1.00% 6.79% 7.21% 5.29% 11.26% 0.29%
- -------------------------
RATIOS/SUPPLEMENTAL DATA
- -------------------------
Net assets, end of period
(000's) $72,420 $89,521 $40,029 $42,100 $ 5,080 $4,338
Ratio of operating
expenses to average net
assets, exclusive of
interest expense (a) 0.30%(b) 0.30% 0.30% 0.31% 0.50% 0.50%
Ratio of operating
expenses to average net
assets, inclusive of
interest expense (a) 0.30%(b) 0.30% 0.60% 0.49% 1.41% 1.74%
Ratio of investment
income, net to average
net assets (a) 5.47%(b) 5.48% 6.10% 5.79% 6.09% 4.43%
Decrease in above expense
ratios due to waiver of
investment advisory fees
and reimbursement of
other expenses 0.25%(b) 0.22% 0.31% 0.15% 0.53% 0.57%
Portfolio Turnover 316% 1,059% 1,292% 1,387% 1,075% 343%
</TABLE>
- --------------------------------------------------------------------------------
(a) Net of waivers and reimbursements.
(b) Annualized.
* Calculation done based on average shares outstanding.
** Rounds to less than $0.01.
See Notes to Financial Statements.
60
<PAGE>
FFTW FUNDS, INC.
FINANCIAL HIGHLIGHTS (CONTINUED)
MORTGAGE-BACKED PORTFOLIO
<TABLE>
<CAPTION>
FOR THE SIX MONTHS ENDED YEAR ENDED YEAR ENDED PERIOD FROM
FOR A SHARE OUTSTANDING JUNE 30, 1999 DEC. 31, DEC. 31, APRIL 20, 1996*
THROUGHOUT THE PERIOD: (UNAUDITED) 1998 1997 TO DEC. 31 1996
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
PER SHARE DATA
- ------------------------------
Net asset value, beginning of
period $ 10.18 $ 10.30 $ 10.16 $ 10.00
INCREASE (DECREASE) FROM
INVESTMENT OPERATIONS
- ------------------------------
Investment income, net 0.35** 0.68 0.68 0.41
Net realized and unrealized
gain on investments, short
sales, and financial futures,
swaps and options contracts (0.31) 0.07 0.32 0.23
---------- ----------- ----------- ----------------
Total from investment
operations 0.04 0.75 1.00 0.64
---------- ----------- ----------- ----------------
LESS DISTRIBUTIONS
- ------------------------------
From investment income, net 0.35 0.65 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, swaps and
options contracts - 0.22 0.18 0.01
---------- ----------- ----------- ----------------
Total distributions 0.35 0.87 0.86 0.48
---------- ----------- ----------- ----------------
Net asset value, end of period $ 9.87 $ 10.18 $ 10.30 $ 10.16
---------- ----------- ----------- ----------------
---------- ----------- ----------- ----------------
TOTAL RETURN 0.34% 7.42% 10.19% 6.54%(c)
- ------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------------
Net assets, end of period
(000's) $523,067 $815,367 $655,271 $220,990
Ratio of operating expenses to
average net assets, exclusive
of interest expense (a) 0.24%(b) 0.23% 0.38% 0.45%(b)
Ratio of operating expenses to
average net assets, inclusive
of interest expense (a) 0.24%(b) 0.37% 0.47% 0.88%(b)
Ratio of investment income,
net to average net assets (a) 6.88%(b) 6.33% 6.07% 7.61%(b)
Decrease in above expense
ratios due to waiver of
investment advisory fees and
reimbursement of other
expenses 0.19%(b) 0.20% 0.07% 0.10%(b)
Portfolio Turnover 405% 843% 3,396% 590%
</TABLE>
- --------------------------------------------------------------------------------
(a) Net of waivers and reimbursements.
(b) Annualized.
(c) Not annualized.
* Commencement of Operations.
** Calculation done using average shares outstanding.
See Notes to Financial Statements.
61
<PAGE>
FFTW FUNDS, INC.
FINANCIAL HIGHLIGHTS (CONTINUED)
GLOBAL TACTICAL EXPOSURE PORTFOLIO
<TABLE>
<CAPTION>
FOR THE YEAR ENDED
FOR THE SIX MONTHS -----------------------------------------------------------------------
FOR A SHARE OUTSTANDING ENDED JUNE 30, 1999 DEC. 31, DEC. 31, DEC. 31, DEC. 31, DEC. 31,
THROUGHOUT THE PERIOD: (UNAUDITED) 1998 1997 1996 1995 1994
------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
- -------------------------
Net asset value,
beginning of period $ 10.25 $ 10.05 $ 9.80 $ 10.19 $ 10.00* $ 10.39
INCREASE (DECREASE) FROM
INVESTMENT OPERATIONS
- -------------------------
Investment income, net 0.22** 0.52** 0.41 0.47 0.19 0.20
Net realized and
unrealized gain (loss) on
investments, financial
futures, swaps and
options contracts, and
foreign currency-related
transactions (0.05) 0.28 0.43 (0.15) 0.19 (0.46)
---------- ---------- ---------- ---------- --------- --------
Total from investment
operations 0.17 0.80 0.84 0.32 0.38 (0.26)
---------- ---------- ---------- ---------- --------- --------
LESS DISTRIBUTIONS
- -------------------------
From investment income,
net 0.23 0.53 0.36 0.47 0.19 0.20
In excess of investment
income, net - 0.00(c) 0.17 - 0.00(c) -
From net realized gain on
investments, financial
futures, swaps and
options contracts, and
foreign currency-related
transactions - - 0.06 0.05 - 0.50
In excess of net realized
gain on investments,
financial futures, swaps
and options contracts,
and foreign
currency-related
transactions - 0.07 - 0.09 - -
From capital stock in
excess of par value - - - 0.10 - -
---------- ---------- ---------- ---------- --------- --------
Total distributions 0.23 0.60 0.59 0.71 0.19 0.70
---------- ---------- ---------- ---------- --------- --------
Net asset value, end of
period $ 10.19 $ 10.25 $ 10.05 $ 9.80 $ 10.19 $ 9.43***
---------- ---------- ---------- ---------- --------- --------
---------- ---------- ---------- ---------- --------- --------
TOTAL RETURN 1.70% 8.20% 8.77% 3.18% 3.80% (2.53%)
- -------------------------
RATIOS/SUPPLEMENTAL DATA
- -------------------------
Net assets, end of period
(000's) $401,558 $ 423,966 $ 283,005 $ 126,645 $34,005 -
Ratio of operating
expenses to average net
assets, exclusive of
interest expense (a) 0.27%(b) 0.27% 0.42% 0.60% 0.60%(b) 0.57%
Ratio of operating
expenses to average net
assets, inclusive of
interest expense (a) 5.14%(b) 5.54% 0.42% 0.60% 0.60%(b) 0.57%
Ratio of investment
income, net to average
net assets (a) 4.25%(b) 5.14% 3.67% 4.65% 6.12%(b) 2.87%
Decrease in above expense
ratios due to waiver of
investment advisory fees
and reimbursement of
other expenses 0.29%(b) 0.30% 0.16% 0.06% 0.17%(b) 0.49%
Portfolio Turnover 138% 766% 712% 784% 764% 1,282%
</TABLE>
- --------------------------------------------------------------------------------
(a) Net of waivers and reimbursements.
(b) Annualized.
(c) Rounds to less than $0.01.
* The portfolio recommenced operations on September 14, 1995.
** Calculations done based on average shares outstanding.
*** 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.
See Notes to Financial Statements.
62
<PAGE>
FFTW FUNDS, INC.
FINANCIAL HIGHLIGHTS (CONTINUED)
WORLDWIDE PORTFOLIO
<TABLE>
<CAPTION>
FOR THE YEAR ENDED
FOR THE SIX MONTHS ---------------------------------------------------------
FOR A SHARE OUTSTANDING ENDED JUNE 30, 1999 DEC. 31, DEC. 31, DEC. 31, DEC. 31, DEC. 31,
THROUGHOUT THE PERIOD: (UNAUDITED) 1998 1997 1996 1995 1994
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
- -------------------------
Net asset value,
beginning of period $ 10.28 $ 9.42 $ 9.64 $ 9.83 $ 9.27 $ 10.02
-------- --------- --------- --------- --------- ---------
INCREASE (DECREASE) FROM
INVESTMENT OPERATIONS
- -------------------------
Investment income, net 0.22* 0.46 0.49 0.53 0.58 0.50
Net realized and
unrealized gain (loss) on
investments, financial
futures contracts and
foreign currency-related
transactions (0.94) 0.96 (0.22) 0.01 0.56 (0.74)
-------- --------- --------- --------- --------- ---------
Total from investment
operations (0.72) 1.42 0.27 0.54 1.14 (0.24)
-------- --------- --------- --------- --------- ---------
LESS DISTRIBUTIONS
- -------------------------
From investment income,
net 0.22 0.46 0.19 0.53 0.30 0.20
In excess of investment
income, net - - 0.11 - - 0.01
From net realized gain on
investments, financial
futures contracts and
foreign currency-related
transactions - 0.10 - 0.09 - -
From capital stock in
excess of par value - - 0.19 0.11 0.28 0.30
-------- --------- --------- --------- --------- ---------
Total distributions 0.22 0.56 0.49 0.73 0.58 0.51
-------- --------- --------- --------- --------- ---------
Net asset value, end of
period $ 9.34 $ 10.28 $ 9.42 $ 9.64 $ 9.83 $ 9.27
-------- --------- --------- --------- --------- ---------
-------- --------- --------- --------- --------- ---------
TOTAL RETURN (7.11%) 15.58% 2.93% 5.77% 12.60% (2.25%)
- -------------------------
RATIOS/SUPPLEMENTAL DATA
- -------------------------
Net assets, end of period
(000's) $62,645 $69,653 $82,236 $74,939 $86,186 $53,721
Ratio of operating
expenses to average net
assets, exclusive of
interest expense (a) 0.60%(b) 0.60% 0.60% 0.60% 0.60% 0.60%
Ratio of operating
expenses to average net
assets, inclusive of
interest expense (a) 0.60%(b) 0.60% 0.60% 0.60% 0.60% 0.63%
Ratio of investment
income, net to average
net assets (a) 4.44%(b) 4.76% 5.21% 5.52% 6.13% 5.11%
Decrease in above expense
ratios due to waiver of
investment advisory fees
and reimbursement of
other expenses 0.05%(b) 0.01% 0.02% 0.05% 0.30% 0.02%
Portfolio Turnover 147% 668% 713% 1,126% 1,401% 1,479%
</TABLE>
- --------------------------------------------------------------------------------
(a) Net of waivers and reimbursements.
(b) Annualized.
* Calculation done based on average shares outstanding.
See Notes to Financial Statements.
63
<PAGE>
FFTW FUNDS, INC.
FINANCIAL HIGHLIGHTS (CONTINUED)
WOLDWIDE-HEDGED PORTFOLIO
<TABLE>
<CAPTION>
FOR THE YEAR ENDED
FOR THE SIX MONTHS -------------------------------------------------------------
FOR A SHARE OUTSTANDING ENDED JUNE 30, 1999 DEC. 31, DEC. 31, DEC. 31, DEC. 31, DEC. 31,
THROUGHOUT THE PERIOD: (UNAUDITED) 1998 1997 1996 1995 1994
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
- -------------------------
Net asset value,
beginning of period $ 11.19 $ 11.23 $ 10.91 $ 10.85 $ 10.41 $ 10.08
INCREASE (DECREASE) FROM
INVESTMENT OPERATIONS
- -------------------------
Investment income, net 0.25* 0.59 0.53 0.62 0.45 0.34
Net realized and
unrealized gain on
investments, financial
futures contracts and
foreign currency-related
transactions (0.33) 0.68 0.80 0.43 0.66 0.43
---------- -------------- --------- --------- --------- --------
Total from investment
operations (0.08) 1.27 1.33 1.05 1.11 0.77
---------- -------------- --------- --------- --------- --------
LESS DISTRIBUTIONS
- -------------------------
From investment income,
net 0.25 0.70 0.59 0.62 0.67 0.44
In excess of investment
income, net - - - 0.37 - 0.00**
From net realized gain on
investments, financial
futures contracts and
foreign currency-related
transactions - 0.61 0.42 - - -
---------- -------------- --------- --------- --------- --------
Total distributions 0.25 1.31 1.01 0.99 0.67 0.44
---------- -------------- --------- --------- --------- --------
Net asset value, end of
period $ 10.86 $ 11.19 $ 11.23 $ 10.91 $ 10.85 $ 10.41
---------- -------------- --------- --------- --------- --------
---------- -------------- --------- --------- --------- --------
TOTAL RETURN (0.76%) 11.53% 12.60% 10.03% 11.00% 7.84%
- -------------------------
RATIOS/SUPPLEMENTAL DATA
- -------------------------
Net assets, end of period
(000's) $183,959 $ 174,805 $80,390 $30,024 $28,255 $ 273
Ratio of operating
expenses to average net
assets, exclusive of
interest expense (a) 0.45%(b) 0.45% 0.45% 0.45% 0.45% 0.60%
Ratio of operating
expenses to average net
assets, inclusive of
interest expense (a) 0.45%(b) 0.45% 0.45% 0.45% 0.45% 0.65%
Ratio of investment
income, net to average
net assets (a) 4.51%(b) 4.85% 5.29% 5.71% 5.84% 4.72%
Decrease in above expense
ratios due to waiver of
investment advisory fees
and reimbursement of
other expenses 0.14%(b) 0.13% 0.20% 0.24% 0.54% 0.17%
Portfolio Turnover 140% 745% 704% 1,087% 500% 1,622%
</TABLE>
- --------------------------------------------------------------------------------
(a) Net of waivers and reimbursements.
(b) Annualized.
* Calculation done based on average shares outstanding.
** Rounds to less than $0.01.
See Notes to Financial Statements.
64
<PAGE>
FFTW FUNDS, INC.
FINANCIAL HIGHLIGHTS (CONTINUED)
INTERNATIONAL PORTFOLIO
<TABLE>
<CAPTION>
FOR THE YEAR ENDED
FOR THE SIX MONTHS --------------------- PERIOD FROM
FOR A SHARE OUTSTANDING ENDED JUNE 30, 1999 DEC. 31, DEC. 31, MAY 9, 1996* TO
THROUGHOUT THE PERIOD: (UNAUDITED) 1998 1997 DEC. 31, 1996
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
PER SHARE DATA
- ------------------------------
Net asset value, beginning of
period $ 9.68 $ 9.50 $ 10.20 $ 10.00
INCREASE (DECREASE) FROM
INVESTMENT OPERATIONS
- ------------------------------
Investment income, net 0.18** 0.48 0.50 0.38
Net realized and unrealized
gain (loss) on investments,
financial futures contracts
and foreign currency-related
transactions (1.00) 1.21 (0.56) 0.28
-------- --------- --------- --------
Total from investment
operations (0.82) 1.69 (0.06) 0.66
-------- --------- --------- --------
LESS DISTRIBUTIONS
- ------------------------------
From investment income, net 0.18 0.45 0.14 0.38
In excess of net investment
income, net - 0.40 - -
From net realized gain on
investments, financial futures
contracts and foreign
currency-related transactions - 0.66 0.14 0.08
From capital stock in excess
of par value - - 0.36 -
-------- --------- --------- --------
Total distributions 0.18 1.51 0.64 0.46
-------- --------- --------- --------
Net asset value, end of period $ 8.68 $ 9.68 $ 9.50 $ 10.20
-------- --------- --------- --------
-------- --------- --------- --------
TOTAL RETURN (8.52%) 18.35% (0.43%) 6.66%(c)
- ------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------------
Net assets, end of period
(000's) $95,346 $81,705 $67,653 $35,746
Ratio of operating expenses to
average net assets (a) 0.60%(b) 0.60% 0.60% 0.60%(b)
Ratio of investment income,
net to average net assets (a) 4.01%(b) 4.56% 5.19% 5.73%(b)
Decrease in above expense
ratios due to waiver of
investment advisory fees 0.02%(b) 0.03% 0.10% 0.32%(b)
Portfolio Turnover 146% 1,049% 809% 539%
</TABLE>
- --------------------------------------------------------------------------------
(a) Net of waivers.
(b) Annualized.
(c) Not annualized.
* Commencement of Operations.
** Calculations done based on average shares outstanding.
See Notes to Financial Statements.
65
<PAGE>
FFTW FUNDS, INC.
FINANCIAL HIGHLIGHTS (CONTINUED)
EMERGING MARKETS PORTFOLIO
<TABLE>
<CAPTION>
FOR THE SIX MONTHS YEAR ENDED PERIOD FROM
FOR A SHARE OUTSTANDING ENDED JUNE 30, 1999 DEC. 31, AUGUST 12, 1997* TO
THROUGHOUT THE PERIOD: (UNAUDITED) 1998 DEC. 31, 1997
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
PER SHARE DATA
- -----------------------------------
Net asset value, beginning of
period $ 7.72 $ 9.59 $ 10.00
INCREASE (DECREASE) FROM
INVESTMENT OPERATIONS
- -----------------------------------
Investment income, net 0.41** 0.88 0.29
Net realized and unrealized (loss)
on investments, financial futures
contracts and foreign
currency-related transactions (0.22) (1.86) (0.41)
---------- ----------- ----------
Total from investment operations 0.19 (0.98) (0.12)
---------- ----------- ----------
LESS DISTRIBUTIONS
- -----------------------------------
From investment income, net 0.41 0.76 0.29
From capital stock in excess of par
value - 0.13 -
---------- ----------- ----------
Total distributions 0.41 0.89 0.29
---------- ----------- ----------
Net asset value, end of period $ 7.50 $ 7.72 $ 9.59
---------- ----------- ----------
---------- ----------- ----------
TOTAL RETURN 2.57% (10.50%) (1.20%) (b)
- -----------------------------------
RATIOS/SUPPLEMENTAL DATA
- -----------------------------------
Net assets, end of period (000's) $188,654 $164,709 $111,043
Ratio of operating expenses to
average net assets, exclusive of
interest expense 1.00%(a) 1.00% 1.03%(a)
Ratio of operating expenses to
average net assets, inclusive of
interest expense 1.00%(a) 1.15% 1.03%(a)
Ratio of investment income, net to
average net assets 10.91%(a) 10.52% 7.87%(a)
Portfolio Turnover 50% 157% 16%
</TABLE>
- --------------------------------------------------------------------------------
(a) Annualized.
(b) Not annualized.
* Commencement of Operations.
** Calculations done based on average shares outstanding.
See Notes to Financial Statements.
66
<PAGE>
FFTW FUNDS, INC.
FINANCIAL HIGHLIGHTS (CONTINUED)
INTERNATIONAL OPPORTUNITIES PORTFOLIO
<TABLE>
<CAPTION>
FOR THE SIX MONTHS ENDED PERIOD FROM
FOR A SHARE OUTSTANDING JUNE 30, 1999 OCTOBER 8, 1998* TO
THROUGHOUT THE PERIOD: (UNAUDITED) DEC. 31, 1998
- ------------------------------------------------------------------------------------------
<S> <C> <C>
PER SHARE DATA
- ----------------------------------------
Net asset value, beginning of period $ 9.94 $ 10.00
INCREASE (DECREASE) FROM
INVESTMENT OPERATIONS
- ----------------------------------------
Investment income, net 0.18** 0.09
Net realized and unrealized loss on
investments, financial futures contracts
and foreign currency-related
transactions (1.00) -
-------- --------
Total from investment operations (0.82) 0.09
-------- --------
LESS DISTRIBUTIONS
- ----------------------------------------
From investment income, net 0.18 0.09
From net realized gain on investments,
financial futures contracts and foreign
currency-related transactions - 0.06
-------- --------
Total distributions 0.18 0.15
-------- --------
Net asset value, end of period $ 8.94 $ 9.94
-------- --------
-------- --------
TOTAL RETURN (8.31%) 0.89%(c)
- ----------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ----------------------------------------
Net assets, end of period (000's) $24,501 $25,576
Ratio of operating expenses to average
net assets (a) 0.60%(b) 0.60%(b)
Ratio of investment income, net to
average net assets (a) 3.85%(b) 3.78%(b)
Decrease in above expense ratios due to
waiver of investment advisory fees 0.30%(b) 0.29%(b)
Portfolio Turnover 66% 238%
</TABLE>
- --------------------------------------------------------------------------------
(a) Net of waivers.
(b) Annualized.
(c) Not annualized.
* Commencement of Operations.
** Calculations done based on average shares outstanding.
See Notes to Financial Statements.
67
<PAGE>
FFTW Funds, Inc.
Notes to Financial Statements
JUNE 30, 1999 (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, ten of which were active as of June 30, 1999. The ten
active Portfolios are: Money Market Portfolio ("Money Market"); U.S. Short-Term
Portfolio ("U.S. Short-Term"); Limited Duration Portfolio ("Limited Duration"),
formerly Stable Return Portfolio; Mortgage-Backed Portfolio ("Mortgage"),
formerly Mortgage Total Return Portfolio; Global Tactical Exposure Portfolio
("Global Tactical Exposure"), formerly International-Hedged Portfolio; Worldwide
Portfolio ("Worldwide"); Worldwide-Hedged Portfolio ("Worldwide-Hedged");
International Portfolio ("International"); Emerging Markets Portfolio ("Emerging
Markets"); and International Opportunities Portfolio ("International
Opportunities"). International Opportunities commenced operations on October 8,
1998. The Fund is managed by Fischer Francis Trees & Watts, Inc. (the
"Investment Adviser"). The Portfolio name changes were effective on September
11, 1998.
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, Global Tactical Exposure 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, Global Tactical Exposure
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.
68
<PAGE>
FFTW FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
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.
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 U.S. 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 U.S. 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.
69
<PAGE>
FFTW FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
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, Limited Duration, Mortgage,
Global Tactical Exposure, International, Emerging Markets and International
Opportunities.
From time to time, the Investment Adviser has agreed to waive its investment
advisory fee and reimburse the Portfolios for any expenses (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.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
CURRENT INVESTMENT CURRENT
INVESTMENT ADVISORY EXPENSE
PORTFOLIO ADVISORY FEE FEE PER AGREEMENT CAP
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
Money Market 0.10% 0.10% 0.25%
U.S. Short-Term 0.15% 0.30% 0.25%
Limited Duration 0.15% 0.35% 0.30%
Mortgage 0.11% 0.30% 0.25%
Global Tactical Exposure 0.11% 0.40% 0.30%
Worldwide 0.40% 0.40% 0.60%
Worldwide-Hedged 0.26% 0.40% 0.45%
International 0.40% 0.40% 0.60%
Emerging Markets 0.75% 0.75% 1.50%
International Opportunities 0.40% 0.40% 0.60%
</TABLE>
Directors who are not employees of the Investment Adviser receive an annual
retainer of $35,000 payable quarterly. Directors' fees of $52,500 (including
$17,500 in fees paid to an Advisory Director) were allocated among the
Portfolios and paid for the six months ended June 30, 1999. On May 29, 1998,
Investors Capital Services, Inc. became a wholly-owned subsidiary of Investors
Bank & 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
Portfolios and on transactions entered into by the Portfolios during the year.
Fees paid to IBT by the Portfolios are reflected as accounting and custody fees
in the statement of operations.
As of June 30, 1999, the Investment Adviser had discretionary investment
advisory agreements with shareholders of the Fund that represent 76% of the
Fund's total net assets and therefore, the investment adviser may be deemed a
control person.
70
<PAGE>
FFTW FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
3. INVESTMENT ADVISORY AGREEMENTS AND AFFILIATED TRANSACTIONS (CONTINUED)
The cost of investments for Federal income tax purposes and the components of
net realized appreciation on investments at June 30, 1999, for each of the
Portfolios were as follows:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------
UNREALIZED UNREALIZED
PORTFOLIO APPRECIATION DEPRECIATION NET COST
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
U.S. Short-Term $ 77,326 $ 1,495,732 $ (1,418,406) $ 654,158,307
Limited Duration 116,611 605,458 (488,847) 93,200,145
Mortgage 8,554,282 12,593,859 (4,039,577) 1,021,572,678
Global Tactical Exposure 137,900 19,958,648 (19,820,748) 402,517,742
Worldwide 65,434 2,425,198 (2,359,764) 69,365,501
Worldwide-Hedged 80,950 5,149.712 (5,068,762) 204,670,151
International 4,166 3,469,007 (3,464,841) 110,371,524
Emerging Markets 3,192,805 11,209,476 (8,016,671) 190,699,043
International Opportunities 1,613 1,368,217 (1,366,604) 30,051,634
</TABLE>
4. INVESTMENT TRANSACTIONS
Purchase cost and proceeds from sales of investment securities (including U.S.
Government securities), other than short-term investments, for the year ended,
June 30, 1999 for each of the Portfolios were as follows:
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
PURCHASE COST OF PROCEEDS FROM SALES OF
PORTFOLIO* INVESTMENT SECURITIES INVESTMENT SECURITIES
- ------------------------------------------------------------------------------------------
<S> <C> <C>
Limited Duration $ 365,328,787 $ 380,148,080
Mortgage 5,758,531,104 5,391,228,214
Global Tactical Exposure 680,228,857 549,599,672
Worldwide 129,115,244 100,505,327
Worldwide-Hedged 345,260,021 266,975,615
International 145,848,940 130,531,493
Emerging Markets 169,328,438 79,509,283
International Opportunities 57,651,725 64,896,527
</TABLE>
* Long Transactions unless otherwise indicated
Mortgage (the "Portfolio") is engaged in short-selling which obligates the
Portfolio to replace the security borrowed by purchasing the security at current
market value. The Portfolio would incur a loss if the price of the security
increases between the date of the short sale and the date on which the Portfolio
replaces the borrowed security. The Portfolio would realize a gain if the price
of the security declines between those dates. Until the Portfolio replaces the
borrowed security, the Fund will maintain daily, a segregated account with a
broker and/or custodian, of cash and/or liquid securities sufficient to cover
its short position. At June 30, 1999, there were no securities sold short
outstanding.
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
71
<PAGE>
FFTW FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
5. FORWARD FOREIGN EXCHANGE CONTRACTS (CONTINUED)
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 counter party 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, 1999, Global Tactical Exposure had outstanding forward foreign
exchange contracts, both to purchase and sell foreign currencies as follows:
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------
UNREALIZED
CONTRACT COST/ APPRECIATION
AMOUNT PROCEEDS VALUE (DEPRECIATION)
- -------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
FORWARD FOREIGN EXCHANGE BUY CONTRACTS
- ----------------------------------------------
Australian Dollar closing
54,985,180 8/24/99 $ 36,383,929 $ 36,368,394 $ (15,535)
15,237,087 British Pound closing 8/24/99 24,651,321 24,035,237 (616,084)
Canadian Dollar closing
77,925,320 8/24/99 53,028,782 52,982,849 (45,933)
European Monetary Unit closing
115,030,268 8/24/99 122,931,406 119,097,956 (3,833,450)
12,404,143,346 Japanese Yen closing 8/24/99 103,972,259 103,456,949 (515,310)
219,819,018 Swedish Krona closing 8/24/99 26,185,229 26,005,570 (179,659)
FORWARD FOREIGN EXCHANGE SELL CONTRACTS
- ----------------------------------------------
12,025,707 British Pound closing 8/24/99 19,472,927 18,969,552 503,375
Canadian Dollar closing
52,996,196 8/24/99 36,078,319 36,033,082 45,237
49,747,825 Danish Krone closing 8/24/99 7,160,020 6,924,647 235,373
European Monetary Unit closing
100,530,802 8/24/99 105,275,673 104,092,608 1,183,065
480,344,000 Japanese Yen closing 8/24/99 4,000,000 4,006,317 (6,317)
62,460,698 Swedish Krona closing 8/24/99 7,490,011 7,389,379 100,632
55,750,001 Swiss Franc closing 8/24/99 37,125,506 36,107,356 1,018,150
---------------
$(2,126,456)
---------------
---------------
</TABLE>
72
<PAGE>
FFTW FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
5. FORWARD FOREIGN EXCHANGE CONTRACTS (CONTINUED)
At June 30, 1999, Worldwide had outstanding forward foreign exchange contracts,
both to purchase and sell foreign currencies as follows:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
UNREALIZED
CONTRACT COST/ APPRECIATION
AMOUNT PROCEEDS VALUE (DEPRECIATION)
- -----------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
FORWARD FOREIGN EXCHANGE BUY CONTRACTS
- ----------------------------------------------------------------
3,800,000 Australian Dollar closing 8/24/99 $ 2,510,824 $ 2,513,403 $ 2,579
6,149,924 Canadian Dollar closing 8/24/99 4,190,498 4,181,446 (9,052)
14,264,472 European Monetary Unit closing 8/24/99 15,153,977 14,769,454 (384,523)
1,303,393,789 Japanese Yen closing 8/24/99 10,910,759 10,870,976 (39,783)
17,426,325 Swedish Krona closing 8/24/99 2,076,826 2,061,612 (15,214)
FORWARD FOREIGN EXCHANGE SELL CONTRACTS
- ----------------------------------------------------------------
400,000.00 Australian Dollar closing 8/24/99 269,800 264,569 5,231
1,504,464 British Pound closing 8/24/99 2,429,949 2,373,166 56,783
4,222,036 Canadian Dollar closing 8/24/99 2,872,827 2,870,639 2,188
6,597,085 Danish Krone closing 8/24/99 949,494 918,218 31,213
5,248,345 European Monetary Unit closing 8/24/99 5,475,793 5,434,294 41,499
10,788,793 Swedish Krona closing 8/24/99 1,293,744 1,276,362 17,382
3,899,999 Swiss Franc closing 8/24/99 2,592,587 2,525,895 66,692
---------------
$(225,005)
---------------
---------------
</TABLE>
73
<PAGE>
FFTW FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
5. FORWARD FOREIGN EXCHANGE CONTRACTS (CONTINUED)
At June 30, 1999, Worldwide-Hedged had outstanding forward foreign exchange
contracts, both to purchase and sell foreign currencies as follows:
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
UNREALIZED
CONTRACT COST/ APPRECIATION
AMOUNT PROCEEDS VALUE (DEPRECIATION)
- ----------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
FORWARD FOREIGN EXCHANGE BUY CONTRACTS
- ---------------------------------------------------------------
10,850,000 Australian Dollar closing 8/24/99 $ 7,169,315 $ 7,176,426 $ 7,111
549,405 British Pound closing 8/24/99 879,048 866,641 (12,407)
11,734,738 Canadian Dollar closing 8/24/99 7,950,000 7,978,662 28,662
10,150,566 European Monetary Unit closing 8/24/99 10,757,087 10,508,569 (248,518)
1,844,175,710 Japanese Yen closing 8/24/99 15,486,933 15,381,376 (105,557)
40,437,943 Swedish Krona closing 8/24/99 4,817,046 4,783,989 (33,057)
FORWARD FOREIGN EXCHANGE SELL CONTRACTS
- ---------------------------------------------------------------
1,050,000 Australian Dollar closing 8/24/99 708,225 694,493 13,732
8,913,347 British Pound closing 8/24/99 14,418,615 14,060,063 358,552
12,474,977 Canadian Dollar closing 8/24/99 8,488,926 8,481,965 6,961
44,320,081 Danish Krone closing 8/24/99 6,378,826 6,169,133 209,693
32,442,782 European Monetary Unit closing 8/24/99 34,725,396 33,592,229 1,133,167
217,799,850 Japanese Yen closing 8/24/99 16,065,336 16,105,981 (40,645)
39,511,059 Swedish Krona closing 8/24/99 4,737,991 4,674,334 63,657
11,300,000 Swiss Franc closing 8/24/99 7,511,010 7,318,621 192,389
---------------
$1,573,740
---------------
---------------
</TABLE>
74
<PAGE>
FFTW FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
5. FORWARD FOREIGN EXCHANGE CONTRACTS (CONTINUED)
At June 30, 1999, International had outstanding forward foreign exchange
contracts, both to purchase and sell foreign currencies as follows:
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
UNREALIZED
CONTRACT COST/ APPRECIATION
AMOUNT PROCEEDS VALUE (DEPRECIATION)
- ----------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
FORWARD FOREIGN EXCHANGE BUY CONTRACTS
- ---------------------------------------------------------------
6,612,667 Australian Dollar $ 4,386,456 $ 4,373,762 $ (12,694)
2,434,019 British Pound closing 8/24/99 3,937,877 3,839,462 (98,415)
9,692,339 Canadian Dollar closing 8/24/99 6,607,047 6,589,998 (17,049)
19,978,802 European Monetary Unit closing 8/24/99 21,389,209 20,686,244 (702,965)
2,359,960,487 Japanese Yen closing 8/24/99 19,736,503 19,683,058 (53,445)
24,114,527 Swedish Krona closing 8/24/99 2,872,790 2,852,856 (19,934)
FORWARD FOREIGN EXCHANGE SELL CONTRACTS
- ---------------------------------------------------------------
1,876,772 British Pound closing 8/24/99 3,031,617 2,960,452 71,165
6,752,559 Canadian Dollar closing 8/24/99 4,593,359 4,591,188 2,171
6,207,212 Danish Krone closing 8/24/99 893,381 864,013 29,368
2,941,524 European Monetary Unit closing 8/24/99 3,103,820 3,045,742 58,078
264,200,165 Japanese Yen closing 8/24/99 2,254,268 2,203,566 50,702
7,831,339 Swedish Krona closing 8/24/99 939,100 926,483 12,617
5,749,999 Swiss Franc closing 8/24/99 3,829,118 3,724,076 105,042
---------------
$(575,359)
---------------
---------------
</TABLE>
75
<PAGE>
FFTW FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
5. FORWARD FOREIGN EXCHANGE CONTRACTS (CONTINUED)
At June 30, 1999, Emerging Markets had outstanding forward foreign exchange
contracts, both to purchase and sell foreign currencies as follows:
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------
UNREALIZED
CONTRACT COST/ APPRECIATION
AMOUNT PROCEEDS VALUE (DEPRECIATION)
- ---------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
FORWARD FOREIGN EXCHANGE BUY CONTRACTS
- ----------------------------------------------------------------
5455000 Argentinean Peso closing 6/26/00 $5,000,000 $4,982,190 $ (17,810)
300,000,000 Czech Republic Koruna closing 7/14/99 8,543,536 8,506,472 (37,064)
4,380,561 European Monetary Unit closing 7/21/99 5,060,051 4,523,942 (536,109)
15,608,741 German Deutschemark closing 7/14/99 8,914,187 8,237,487 (676,700)
1,600,000,000 Greek Drachma closing 7/21/99 5,402,157 5,070,062 (332,095)
25,680,000,000 Indonesian Rupiah closing 7/6/99 3,000,000 3,713,666 713,666
10,247,000 Israeli Shekel closing 7/19/99 2,500,000 2,504,603 4,603
234,000,000 Phillipine Peso closing 7/7/99 6,013,072 6,153,361 140,289
50,000,000 South African Rand closing 7/13/99 7,089,987 8,264,691 1,174,704
FORWARD FOREIGN EXCHANGE SELL CONTRACTS
- ----------------------------------------------------------------
300,000,000 Czech Republic Koruna closing 7/14/99 8,914,187 8,506,471 407,716
4,565,168 European Monetary Unit closing 7/21/99 5,402,157 4,714,591 687,566
15,608,741 German Deutschemark closing 7/14/99 8,765,682 8,237,487 528,195
1,600,000,000 Greek Drachma closing 7/21/99 5,060,051 5,070,062 (10,011)
50,000,000 South African Rand closing 7/13/99 7,309,942 8,264,691 (954,749)
---------------
$1,092,199
---------------
---------------
</TABLE>
76
<PAGE>
FFTW FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
5. FORWARD FOREIGN EXCHANGE CONTRACTS (CONTINUED)
At June 30, 1999, International Opportunities had outstanding forward foreign
exchange contracts, both to purchase and sell foreign currencies as follows:
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------
UNREALIZED
CONTRACT COST/ APPRECIATION
AMOUNT PROCEEDS VALUE (DEPRECIATION)
- ---------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
FORWARD FOREIGN EXCHANGE BUY CONTRACTS
- ----------------------------------------------------------------
2,200,000.00 Australian Dollar closing 8/24/99 $1,458,323 $1,455,128 $ (3,195)
745,557 British Pound closing 8/24/99 1,206,199 1,176,054 (30,145)
2,917,195 Canadian Dollar closing 8/24/99 1,987,331 1,983,454 (3,877)
6,055,969 European Monetary Unit closing 8/24/99 6,491,971 6,270,532 (221,439)
630,101,452 Japanese Yen closing 8/24/99 5,276,685 5,255,158 (21,527)
5,979,374 Swedish Krona closing 8/24/99 712,108 707,387 (4,721)
FORWARD FOREIGN EXCHANGE SELL CONTRACTS
- ----------------------------------------------------------------
531,004 British Pound closing 8/24/99 857,964 837,615 20,349
2,168,450 Canadian Dollar closing 8/24/99 1,475,058 1,474,369 689
3,250,241 Danish Krone closing 8/24/99 467,795 452,417 15,378
3,192,483 European Monetary Unit closing 8/24/99 3,375,830 3,305,592 70,238
119,263,000 Japanese Yen closing 8/24/99 1,000,000 994,715 5,285
2,049,998 Swiss Franc closing 8/24/99 1,363,108 1,327,713 35,395
---------------
$(137,570)
---------------
---------------
</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, 1999, no Portfolio had an
outstanding purchase or sale of foreign currency on the spot markets.
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, 1999, the Portfolios placed U.S. Treasury Bills, other liquid securities or
cash in
77
<PAGE>
FFTW FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
6. FINANCIAL FUTURES CONTRACTS (CONTINUED)
segregated accounts for the benefit of the futures clearing broker at the
Portfolio's custodian with respect to their financial futures contracts as
follows:
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
JUNE 30, 1999
PORFOLIO COLLATERAL VALUE
- ---------------------------------------------------------------------
<S> <C>
U.S. Short-Term $2,941,788
Limited Duration 441,268
Mortgage 7,991,857
Global Tactical Exposure 5,446,001
Worldwide 297,055
Worldwide-Hedged 990,182
International 495,091
Emerging Markets 247,546
International Opportunities 198,036
</TABLE>
As of June 30, 1999, U.S. Short-Term had the following open financial futures
contracts:
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------
VALUE UNREALIZED
COVERED BY APPRECIATION
CONTRACTS CONTRACTS (DEPRECIATION)
- ----------------------------------------------------------------------------------
<C> <S> <C> <C>
LONG FUTURES CONTRACTS:
- -----------------------------------------------
323 June 2000 EuroDollars $ 75,937,300 $ 67,004
SHORT FUTURES CONTRACTS:
- -----------------------------------------------
280 September 1999 EuroDollars (66,216,500) (47,068)
---------------
$ 19,936
---------------
---------------
</TABLE>
As of June 30, 1999, Limited Duration had the following open financial futures
contracts:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------
VALUE
COVERED BY UNREALIZED
CONTRACTS CONTRACTS (DEPRECIATION)
- -----------------------------------------------------------------------------------------------
<C> <S> <C> <C>
SHORT FUTURES CONTRACTS:
- ------------------------------------------------------------
54 September 1999 2-Year U.S. Treasury Notes $ (11,228,625) $(23,387)
---------------
---------------
</TABLE>
78
<PAGE>
FFTW FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
6. FINANCIAL FUTURES CONTRACTS (CONTINUED)
As of June 30, 1999, Mortgage had the following open financial futures
contracts:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------
VALUE UNREALIZED
COVERED BY APPRECIATION
CONTRACTS CONTRACTS (DEPRECIATION)
- -----------------------------------------------------------------------------------------------
<C> <S> <C> <C>
SHORT FUTURES CONTRACTS:
- ------------------------------------------------------------
562 September 1999 5-Year U.S. Treasury Notes $ (61,258,000) $126,111
147 September 1999 10-Year U.S. Treasury Notes (16,344,563) (89,511)
---------------
$ 36,600
---------------
---------------
</TABLE>
As of June 30, 1999, Global Tactical Exposure had the following open financial
futures contracts:
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------
VALUE UNREALIZED
COVERED BY APPRECIATION
CONTRACTS CONTRACTS (DEPRECIATION)
- ----------------------------------------------------------------------------------------------
<C> <S> <C> <C>
LONG FUTURES CONTRACTS:
- ------------------------------------------------------------
84 September 1999 TSE Japanese Gov't. 10-Year Bonds $ 89,816,347 $(3,506,205)
67 September 1999 British Long Gilts 21,061,495 (900,622)
SHORT FUTURES CONTRACTS:
- ------------------------------------------------------------
333 September 1999 Euro Bundes 37,911,456 1,117,933
---------------
$(3,288,894)
---------------
---------------
</TABLE>
As of June 30, 1999, Worldwide had the following open financial futures
contracts:
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------
VALUE UNREALIZED
COVERED BY APPRECIATION
CONTRACTS CONTRACTS (DEPRECIATION)
- ---------------------------------------------------------------------------------------------
<C> <S> <C> <C>
LONG FUTURES CONTRACTS:
- ------------------------------------------------------------
2 September 1999 TSE Japanese Gov't 10-Year Bonds $ 2,138,484 $(83,482)
15 September 1999 U.S. Long Bonds 1,738,594 6,479
5 September 1999 Euro Bundes 535,378 41,983
SHORT FUTURES CONTRACTS:
- ------------------------------------------------------------
7 September 1999 British Long Gilts 1,228,587 46,161
---------------
$ 11,141
---------------
---------------
</TABLE>
79
<PAGE>
FFTW FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
6. FINANCIAL FUTURES CONTRACTS (CONTINUED)
As of June 30, 1999, Worldwide-Hedged had the following open financial futures
contracts:
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------
VALUE UNREALIZED
COVERED BY APPRECIATION
CONTRACTS CONTRACTS (DEPRECIATION)
- ----------------------------------------------------------------------------------------------
<C> <S> <C> <C>
LONG FUTURES CONTRACTS:
- ------------------------------------------------------------
4 September 1999 TSE Japanese Gov't. 10-Year Bonds $ 4,276,969 $(166,962)
71 September 1999 U.S. Long Bonds 8,229,344 (25,191)
203 September 1999 Euro Bobl 22,437,173 (447,666)
23 September 1999 British Long Gilts 4,036,787 (175,734)
4 September 1999 Euro Bundes 455,393 (6,519)
---------------
$(822,072)
---------------
---------------
</TABLE>
As of June 30, 1999, International had the following open financial futures
contracts:
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------
VALUE UNREALIZED
COVERED BY APPRECIATION
CONTRACTS CONTRACTS (DEPRECIATION)
- ---------------------------------------------------------------------------------------------
<C> <S> <C> <C>
LONG FUTURES CONTRACTS:
- ------------------------------------------------------------
4 September 1999 TSE Japanese Gov't. 10-Year Bonds $ 4,276,969 $(166,962)
88 September 1999 Euro Bobl 9,726,459 (277,451)
19 September 1999 British Long Gilts 3,334,737 (140,666)
19 September 1999 Euro Bundes 2,163,116 (30,876)
---------------
$(615,955)
---------------
---------------
</TABLE>
As of June 30, 1999, Emerging Markets had the following open financial futures
contracts:
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------
VALUE UNREALIZED
COVERED BY APPRECIATION
CONTRACTS CONTRACTS (DEPRECIATION)
- ---------------------------------------------------------------------------------------------
<C> <S> <C> <C>
SHORT FUTURES CONTRACTS:
- ------------------------------------------------------------
70 September 1999 U.S. Long Bonds $ 8,113,438 $ (83,517)
34 September 1999 U.S. 10-Year Notes 3,780,375 (41,628)
11 September 1999 U.S. 5-Year Notes 1,199,000 (12,952)
---------------
$(138,097)
---------------
---------------
</TABLE>
80
<PAGE>
FFTW FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
6. FINANCIAL FUTURES CONTRACTS (CONTINUED)
As of June 30, 1999, International Opportunities had the following open
financial futures contracts:
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------
VALUE UNREALIZED
COVERED BY APPRECIATION
CONTRACTS CONTRACTS (DEPRECIATION)
- ---------------------------------------------------------------------------------------------
<C> <S> <C> <C>
LONG FUTURES CONTRACTS:
- ------------------------------------------------------------
7 September 1999 British Gilt $ 1,228,477 $(50,154)
13 September 1999 Euro Bobl 1,436,863 (14,169)
15 September 1999 Euro Bundes 1,707,723 (24,341)
---------------
$(88,664)
---------------
---------------
</TABLE>
7. CAPITAL STOCK TRANSACTIONS
As of June 30, 1999, 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:
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1999 (UNAUDITED) DECEMBER 31, 1998
--------------------------- ---------------------------
SHARES AMOUNT SHARES AMOUNT
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold 131,800 $ 131,800 13,249,156 $ 13,249,156
Shares issued related to
reinvestment of dividends 623,692 623,692 1,547,822 1,547,822
----------- -------------- ----------- --------------
755,492 755,492 14,796,978 14,796,978
Shares redeemed 4,335,985 4,335,985 11,476,392 11,476,392
----------- -------------- ----------- --------------
Net increase (decrease) (3,580,493 ) $ (3,580,493 ) 3,320,586 $ 3,320,586
----------- -------------- ----------- --------------
----------- -------------- ----------- --------------
</TABLE>
Transactions in capital stock for U.S. Short-Term were as follows for the
periods indicated:
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1999 (UNAUDITED) DECEMBER 31, 1998
--------------------------- ---------------------------
SHARES AMOUNT SHARES AMOUNT
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold 320,203,037 $3,114,805,574 883,180,967 $8,636,306,700
Shares issued related to
reinvestment of dividends 1,834,176 17,837,345 3,557,660 34,776,941
----------- -------------- ----------- --------------
322,037,213 3,132,642,919 886,738,627 8,671,083,641
Shares redeemed 345,052,386 3,357,202,083 850,486,394 8,315,384,728
----------- -------------- ----------- --------------
Net increase (decrease) (23,015,173) $(224,559,164 ) 36,252,233 $ 355,698,913
----------- -------------- ----------- --------------
----------- -------------- ----------- --------------
</TABLE>
81
<PAGE>
FFTW FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
7. CAPITAL STOCK TRANSACTIONS (CONTINUED)
Transactions in capital stock for Limited Duration were as follows for the
periods indicated:
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1999 (UNAUDITED) DECEMBER 31, 1998
--------------------------- ---------------------------
SHARES AMOUNT SHARES AMOUNT
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold 4,042,982 $ 40,123,592 10,680,290 $ 106,723,144
Shares issued related to
reinvestment of dividends 232,236 2,291,994 545,455 5,446,193
----------- -------------- ----------- --------------
4,275,218 42,415,586 11,225,745 112,169,337
Shares redeemed 5,868,812 58,097,269 6,243,321 62,348,719
----------- -------------- ----------- --------------
Net increase (decrease) (1,593,594 ) $ (15,681,683 ) 4,982,424 $ 49,820,618
----------- -------------- ----------- --------------
----------- -------------- ----------- --------------
</TABLE>
Transactions in capital stock for Mortgage were as follows for the periods
indicated:
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1999 (UNAUDITED) DECEMBER 31, 1998
-------------------------- ------------------------
SHARES AMOUNT SHARES AMOUNT
- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold - $ - 39,025,398 $403,050,000
Shares issued related to
reinvestment of dividends 2,321,889 23,391,108 6,638,891 68,466,878
----------- ------------- ---------- ------------
2,321,889 23,391,108 45,664,289 471,516,878
Shares redeemed 29,405,479 295,839,875 29,176,443 303,173,256
----------- ------------- ---------- ------------
Net increase (decrease) (27,083,590) $(272,448,767) 16,487,846 $168,343,622
----------- ------------- ---------- ------------
----------- ------------- ---------- ------------
</TABLE>
Transactions in capital stock for Global Tactical Exposure were as follows for
the periods indicated:
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------
SIX MONTHS ENDED
JUNE 30, 1999 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1998
------------------------ ------------------------
SHARES AMOUNT SHARES AMOUNT
- ----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold 3,417,969 $35,000,000 13,695,844 $139,000,000
Shares issued related to
reinvestment of dividends 915,325 9,362,070 1,972,986 20,020,277
---------- ------------ ---------- ------------
4,333,294 44,362,070 15,668,830 159,020,277
Shares redeemed 6,307,839 64,573,189 2,457,580 25,025,592
---------- ------------ ---------- ------------
Net increase (decrease) (1,974,545) $(20,211,119) 13,211,250 $133,994,685
---------- ------------ ---------- ------------
---------- ------------ ---------- ------------
</TABLE>
82
<PAGE>
FFTW FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
7. CAPITAL STOCK TRANSACTIONS (CONTINUED)
Transactions in capital stock for Worldwide were as follows for the periods
indicated:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SIX MONTHS ENDED
JUNE 30, 1999 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1998
---------------------- ------------------------
SHARES AMOUNT SHARES AMOUNT
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold 182,243 $1,778,400 1,355,632 $13,503,235
Shares issued related to
reinvestment of dividends 84,423 822,945 351,950 3,437,295
--------- ----------- ---------- ------------
266,667 2,601,345 1,707,582 16,940,530
Shares redeemed 334,696 3,274,306 3,666,125 37,782,038
--------- ----------- ---------- ------------
Net increase (decrease) (68,030 ) $ (672,961 ) (1,958,543) $(20,841,508)
--------- ----------- ---------- ------------
--------- ----------- ---------- ------------
</TABLE>
Transactions in capital stock for Worldwide-Hedged were as follows for the
periods indicated:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
SIX MONTHS ENDED
JUNE 30, 1999 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1998
---------------------- ------------------------
SHARES AMOUNT SHARES AMOUNT
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold 1,798,059 $20,025,268 8,577,164 $97,208,680
Shares issued related to
reinvestment of dividends 366,747 4,061,729 1,624,885 18,421,804
--------- ----------- ---------- ------------
2,164,806 24,086,997 10,202,049 115,630,484
Shares redeemed 840,965 9,233,038 1,740,289 20,306,695
--------- ----------- ---------- ------------
Net increase (decrease) 1,323,841 $14,853,959 8,461,760 $95,323,789
--------- ----------- ---------- ------------
--------- ----------- ---------- ------------
</TABLE>
Transactions in capital stock for International were as follows for the periods
indicated:
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
SIX MONTHS ENDED
JUNE 30, 1999 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1998
---------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold 2,828,100 $25,617,378 4,369,703 $43,727,753
Shares issued related to
reinvestment of dividends 184,765 1,670,593 1,164,157 11,290,681
--------- ----------- --------- -----------
3,012,865 27,287,971 5,533,860 55,018,434
Shares redeemed 466,342 4,273,599 4,220,805 43,214,455
--------- ----------- --------- -----------
Net increase (decrease) 2,546,523 $23,014,372 1,313,055 $11,803,979
--------- ----------- --------- -----------
--------- ----------- --------- -----------
</TABLE>
83
<PAGE>
FFTW FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
7. CAPITAL STOCK TRANSACTIONS (CONTINUED)
Transactions in capital stock for Emerging Markets were as follows for the
periods indicated:
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1999 (UNAUDITED) DECEMBER 31, 1998
--------------------------- ---------------------------
SHARES AMOUNT SHARES AMOUNT
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold 6,319,176 $ 49,100,000 8,316,238 $ 81,000,000
Shares issued related to
reinvestment of dividends 1,145,532 8,604,682 2,032,162 16,696,296
----------- -------------- ----------- --------------
7,464,708 57,704,682 10,348,400 97,696,296
Shares redeemed 3,652,984 27,231,186 576,713 3,864,586
----------- -------------- ----------- --------------
Net increase (decrease) 3,811,724 $ 30,473,496 9,771,687 $ 93,831,710
----------- -------------- ----------- --------------
----------- -------------- ----------- --------------
</TABLE>
Transactions in capital stock for International Opportunities were as follows
for the periods indicated:
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------
PERIOD FROM
SIX MONTHS ENDED OCTOBER 8, 1998* TO
JUNE 30, 1999 (UNAUDITED) DECEMBER 31, 1998
--------------------------- ---------------------------
SHARES AMOUNT SHARES AMOUNT
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold 213,522 $ 2,005,266 2,537,825 $ 25,175,844
Shares issued related to
reinvestment of dividends 50,632 472,505 36,432 360,224
----------- -------------- ----------- --------------
264,154 2,477,771 2,574,257 25,536,067
Shares redeemed 98,611 950,000 1 10
----------- -------------- ----------- --------------
Net increase (decrease) 165,543 $ 1,527,771 2,574,256 $ 25,536,057
----------- -------------- ----------- --------------
----------- -------------- ----------- --------------
</TABLE>
* Commencement of Operations
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.
84
<PAGE>
FFTW FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
8. REPURCHASE AND REVERSE REPURCHASE AGREEMENTS (CONTINUED)
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. 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-the-counter markets.
The risk associated with purchasing an option is limited to the premium paid
whether or not the option is exercised. In addition, each Portfolio bears the
risk of a change in the market value of the underlying securities should the
counterparty to an option contract failed to perform.
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 a Portfolio writes an option, the premium received by such 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 options 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.
A summary of put and call options written by U.S. Short-Term for the six months
ended June 30, 1999 is as follows:
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------
CALLS PUTS
-------------------- --------------------
# OF # OF
CONTRACTS PREMIUMS CONTRACTS PREMIUMS
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
OUTSTANDING, BEGINNING OF YEAR - $ - - $ -
OPTIONS WRITTEN
- -----------------------------------------
U.S. Treasury 250 76,725 250 264,225
OPTIONS CLOSED
- -----------------------------------------
U.S. Treasury 250 76,725 250 264,225
--- -------- --- --------
OUTSTANDING, END OF YEAR - $ - - $ -
--- -------- --- --------
--- -------- --- --------
</TABLE>
Net realized loss on written options transactions for the six months ended June
30, 1999 was $157,943.
85
<PAGE>
FFTW FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
9. OPTIONS TRANSACTIONS (CONTINUED)
A summary of put and call options written by Mortgage for the six months ended
June 30, 1999 is as follows:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
CALLS PUTS
-------------------- --------------------
# OF # OF
CONTRACTS PREMIUMS CONTRACTS PREMIUMS
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C>
OUTSTANDING, BEGINNING OF YEAR - $ - - $ -
OPTIONS WRITTEN
- -----------------------------------------
U.S. Treasury 16 115,422 - -
FNMA 46 115,000 - -
OPTIONS CLOSED
- -----------------------------------------
U.S. Treasury 16 115,422 - -
FNMA 46 115,000 - -
-- --
-------- ---
OUTSTANDING, END OF YEAR - $ - - $ -
-- --
-- --
-------- ---
-------- ---
</TABLE>
Net realized loss on written options transactions for the six months ended June
30, 1999 was $422.
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
one of the parties to comply with the terms of the swap contract. The loss
incurred by the failure of a counter-party 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 Fund considers the creditworthiness of each
counter-party to a swap contract in evaluating overall potential risk.
Additionally, risks may arise from unanticipated movements in interest rates or
in the value of the underlying securities or indices related to swap contract.
Global Tactical Exposure entered into a swap agreement pursuant to which this
Portfolio agrees to pay the return of a specified global index in exchange for
an interest payment based on the London Interbank Offered Rate (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").
Global Tactical Exposure 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 investments). Income received based on
LIBOR is recorded as interest income.
86
<PAGE>
FFTW FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
10. SWAP TRANSACTIONS (CONTINUED)
At June 30, 1999, Global Tactical Exposure had one outstanding swap contract
with Morgan Guaranty Trust Company of New York broken down into seven components
with the following terms:
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
NOTIONAL TERMINATION PAYMENTS MADE PAYMENTS RECEIVED
AMOUNT DATE BY THE PORTFOLIO BY THE PORFOLIO
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 90,000,000 8/4/99 % change in JP Morgan Index LIBOR minus .26%
51,000,000 8/4/99 % change in JP Morgan Index LIBOR minus .27%
12,000,000 8/4/99 % change in JP Morgan Index LIBOR minus .28%
19,000,000 8/4/99 % change in JP Morgan Index LIBOR minus .29%
36,600,000 4/5/00 % change in JP Morgan Index LIBOR minus .28%
35,000,000 11/3/00 % change in JP Morgan Index LIBOR minus .26%
183,000,000 11/3/00 % change in JP Morgan Index LIBOR minus .28%
</TABLE>
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. Given
certain operational efficiencies it is impractical to specify individual
securities to be used for segregation purposes. Therefore, the Fund'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 segregated settled assets.
12. SUBSEQUENT EVENTS
YEAR 2000 ISSUES
The Fund could be adversely affected if the computer systems used by Investors
Bank & Trust (IBT) and the Fund's other service providers do not properly
process and calculate date-related information from and after January 1, 2000.
All of the Fund's service providers are working to avoid year 2000-related
problems in their systems and to obtain assurances from other service providers
that they are taking similar steps. In addition, issuers of securities in which
the Fund invests may be adversely affected by Year 2000-related problems. This
could have an impact on the value of the Fund's investments and its share price.
87
<PAGE>
OFFICERS & DIRECTORS AND OTHER PERTINENT INFORMATION
- --------------------------------------------------------------------------------
OFFICERS AND DIRECTORS
Stephen P. Casper
DIRECTOR OF THE FUND
John C. Head III
DIRECTOR OF THE FUND
Lawrence B. Krause
DIRECTOR OF THE FUND
Onder John Olcay
CHAIRMAN OF THE BOARD AND
PRESIDENT OF THE FUND
William E. Vastardis
SECRETARY AND TREASURER OF THE FUND
Carla E. Dearing
ASSISTANT TREASURER OF THE FUND
INVESTMENT ADVISER
Fischer Francis Trees & Watts, Inc.
200 Park Avenue
New York, NY 10166
SUB-ADVISER
Fischer Francis Trees & Watts
3 Royal Court
The Royal Exchange
London, EC3V 3RA
ADMINISTRATOR
Investors Capital Services, Inc.
600 Fifth Avenue
New York, NY 10020
DISTRIBUTOR
AMT Capital Securities, LLC
399 Park Avenue, 37th floor
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
1775 Eye Street, N.W.
Washington, D.C. 20006-2401
INDEPENDENT AUDITORS
Ernst & Young LLP
787 Seventh Avenue
New York, NY 10019
- --------------------------------------------------------------------------------
