<PAGE>
FFTW FUNDS, INC.
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Semi-Annual Report
June 30, 2000
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200 PARK AVENUE
NEW YORK, NY 10166
TELEPHONE 212.681.3000
FACSIMILE 212.681.3250
<PAGE>
FFTW FUNDS, INC.
PRESIDENT'S LETTER
August 23, 2000
Dear Shareholder,
We are pleased to present the Semi-Annual Report of FFTW Funds, Inc.,
for the six months ended June 30, 2000.
In our continued effort to provide easy access to our funds, FFTW Funds
Worldwide-Hedged Portfolio and International Portfolio are available through
Fidelity (800 - 544-6666). In addition, the Limited Duration and International
Portfolios are available through the Charles Schwab & Co., Inc. Mutual Fund
Marketplace (800 - 225-8570).
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 Orlena Yee at (212) 681-3009 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/John Olcay
O. John Olcay
Chairman of the Board and President
<PAGE>
FFTW FUNDS, INC.
TABLE OF CONTENTS
<TABLE>
<S> <C>
SCHEDULES OF INVESTMENTS
U.S. Short-Term Portfolio 1
Limited Duration Portfolio 4
Mortgage-Backed Portfolio 6
Global Tactical Exposure Portfolio 11
Worldwide Portfolio 15
Worldwide-Hedged Portfolio 21
International Portfolio 27
Emerging Markets Portfolio 32
STATEMENTS OF ASSETS AND LIABILITIES 36
STATEMENTS OF OPERATIONS 39
STATEMENTS OF CHANGES IN NET ASSETS 42
FINANCIAL HIGHLIGHTS 47
NOTES TO FINANCIAL STATEMENTS 55
</TABLE>
<PAGE>
FFTW FUNDS, INC.
U.S. SHORT-TERM PORTFOLIO - SCHEDULE OF INVESTMENTS
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT VALUE
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSET- AND MORTGAGE-BACKED SECURITIES (NON-AGENCY) - 87.5%
Aames Mortgage Trust,
Ser. 1998-B, Class A1A (FRN) 6.816% 06/15/2028 $ 6,583,230 $ 6,522,599
Advanta Mortgage Loan Trust,
Ser. 1999-2, Class A1 (FRN) 6.788% 05/25/2029 4,803,205 4,801,043
AFC Home Equity Loan Trust,
Ser. 1999-2, Class 2A (FRN) 6.860% 06/24/2029 1,593,635 1,593,954
Amresco Residential Securities
Mortgage Loan Trust,
Ser. 1998-2, Class A8 (FRN) 6.806% 05/25/2028 2,394,731 2,392,096
Banc One Home Equity Trust,
Ser. 1999-1, Class A1 6.060% 01/25/2012 5,468,135 5,408,587
BankBoston Home Equity Loan
Trust, Ser. 1998-2, Class A1 6.280% 11/25/2010 2,450,869 2,436,556
Bayview Financial Acquisition
Trust, Ser. 2000-B, Class M1
(FRN) - 144A+/+ 7.230% 04/25/2030 14,113,085 14,073,392
Beneficial Mortgage Corp.,
Ser. 1995-1, Class A1 (FRN) 6.831% 03/28/2025 352,516 352,516
Block Mortgage Finance Inc.,
Ser. 1997-2, Class A6 (FRN) 6.820% 05/25/2027 771,397 770,163
Capital Auto Receivables Asset
Trust, Ser. 1999-2, Class A2 6.060% 06/15/2002 15,000,000 14,952,600
Carco Auto Loan Master Trust,
Ser. 2000-A, Class A (FRN) 6.623% 03/15/2005 4,800,000 4,800,864
CIT Equipment Collateral,
Ser. 2000-1, Class A3 (FRN) 6.749% 01/20/2004 15,000,000 14,904,900
CIT Marine Trust,
Ser. 1999-A, Class A2 5.800% 04/15/2010 4,500,000 4,331,205
Citibank Credit Card Master
Trust I, Ser. 1996-1,
Class A 0.000% 02/07/2003 17,000,000 16,289,740
Contimortgage Home Equity Loan
Trust, Ser. 1996-1, Class A8
(FRN) 6.991% 03/15/2027 447,012 446,673
Contimortgage Home Equity Loan
Trust, Ser. 1999-3, Class A1 6.420% 04/25/2014 5,337,201 5,300,962
Countrywide Home Equity,
Ser. 1999-A, Class CTFS (FRN) 6.843% 04/15/2025 12,142,185 12,167,805
Discover Card Master Trust I,
Ser. 1996-2, Class A (FRN) 6.871% 07/18/2005 12,000,000 12,040,680
Felco Funding II LLC,
Ser. 2000-1, Class A3 -
144A+/+ 7.585% 06/15/2004 17,000,000 17,026,562
Ford Credit Auto Owner Trust,
Ser. 2000-B, Class A2 6.820% 08/15/2002 15,000,000 14,963,850
Gracechurch Card Funding Plc,
Ser. 1, Class A (FRN) 6.831% 11/15/2004 11,000,000 11,010,312
HFC Revolving Home Equity Loan
Trust, Ser. 1994-2, Class A1
(FRN) 6.881% 09/20/2014 2,868,975 2,869,462
HFC Revolving Home Equity Loan
Trust, Ser. 1996-1, Class A
(FRN) 6.851% 07/20/2017 4,568,062 4,561,255
Household Automotive Trust IV,
Ser. 2000-1, Class A2 6.850% 03/17/2003 9,000,000 8,979,930
Leaf Master Trust I,
Ser. 1999-1, Class A1
(FRN) - 144A +/+ 7.020% 11/15/2004 9,000,000 9,002,813
MBNA Master Credit Card Trust,
Ser. 1994-C, Class B (FRN) 7.075% 03/15/2004 10,000,000 10,001,500
MBNA Master Credit Card Trust,
Ser. 1996-D, Class B (FRN) 6.941% 09/15/2003 5,000,000 4,999,600
MBNA Master Credit Card Trust,
Ser. 1999-H, Class A (FRN) 6.491% 09/15/2006 13,000,000 13,042,900
Merrill Lynch Mortgage
Investors, Inc.,
Ser. 1998-FF1, Class A (FRN) 6.801% 01/20/2028 1,234,656 1,233,458
Metris Master Trust,
Ser. 1998-1A, Class B
(FRN) - 144A+/+ 7.059% 08/20/2005 5,000,000 4,983,984
Morgan Stanley Aircraft
Finance, Ser. 2, Class A3
(FRN) - 144A+/+ 7.171% 03/15/2025 16,000,000 16,000,000
Norwest Integrated Structured
Assets, Inc., Ser. 1999-2,
Class 1A1 (FRN) 7.051% 09/25/2029 15,078,256 15,030,307
Providian Home Equity Loan
Trust, Ser. 1999-1, Class A
(FRN) 6.900% 06/25/2025 10,730,050 10,732,839
</TABLE>
1
<PAGE>
FFTW FUNDS, INC.
U.S. SHORT-TERM PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
ASSET- AND MORTGAGE-BACKED SECURITIES (NON-AGENCY) (CONTINUED)
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT VALUE
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Rental Car Finance Corp.,
Ser. 1997-1, Class A1 -
144A+/+ 6.250% 06/25/2003 $11,650,000 $ 11,586,289
Residential Accredit Loans,
Inc., Ser. 1998-QS2,
Class A4 (FRN) 7.210% 02/25/2028 4,003,972 4,018,306
Residential Asset
Securitization Trust,
Ser. 1997-A4, Class A9 (FRN) 7.025% 06/25/2027 309,658 309,801
Residential Asset
Securitization Trust,
Ser. 1998-A5, Class A2 6.750% 06/25/2028 5,958,854 5,888,658
Santa Barbara Funding II,
Ser. A, Class 1 (FRN) 6.838% 03/20/2018 148,244 149,779
Saxon Asset Securities Trust,
Ser. 1998-2, Class AV2 6.200% 04/25/2017 141,387 140,300
Sears Credit Account Master
Trust, Ser. 1998-1, Class A 5.800% 08/15/2005 18,150,000 17,993,366
Structured Asset Securities
Corp., Ser. 1998-C2A,
Class A (FRN) - 144A+/+ 6.780% 12/25/2000 1,948,650 1,947,344
Toyota Auto Lease Trust,
Ser. 1998-B, Class A1 5.350% 07/25/2002 13,375,000 13,305,450
Toyota Auto Receivables Owner
Trust, Ser. 2000-A, Class A2 7.120% 12/15/2002 10,000,000 9,989,844
World Omni Automobile Lease,
Ser. 1998-A, Class A4 (FRN) 7.201% 12/15/2004 19,000,000 19,007,600
------------
Total (Cost - $353,166,001) 352,361,844
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BANK OBLIGATION - 1.8%
Investors Bank & Trust Company
Cash Sweep (Cost -
$7,383,000) 6.000% 07/03/2000 7,383,000 7,383,000
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U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS - 9.8%
FHLMC, Ser. 1587, Class EZ 5.750% 05/15/2007 1,249,131 1,244,172
FHLMC, Ser. 1727, Class E 6.500% 04/15/2018 7,412,522 7,386,578
FHLMC, Ser. T-19, Class A
(FRN) 6.780% 02/25/2029 3,714,354 3,711,754
FNMA, Ser. 1993-163, Class BK 6.150% 11/25/2017 313,072 311,685
FNMA, Ser. 1993-196, Class E 5.500% 02/25/2007 1,852,246 1,840,984
FNMA, Ser. 1993-54, Class FK
(FRN) 7.256% 04/25/2021 1,561,899 1,572,208
GNMA, Ser. 1996-19, Class C 7.500% 03/20/2022 2,915,615 2,909,944
SLMA Student Loan Trust,
Ser. 2000-2, Class CTFS (FRN) 6.856% 04/25/2017 20,290,000 20,220,000
------------
Total (Cost - $39,359,784) 39,197,325
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U.S. GOVERNMENT TREASURY OBLIGATION - 0.5%
U.S. Treasury Bill (Cost -
$1,958,839)*@ 6.247% 11/02/2000 2,000,000 1,960,350
------------
TOTAL INVESTMENTS - 99.6%
(COST - $401,867,624) 400,902,519
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OTHER ASSETS, NET OF
LIABILITIES - 0.4% 1,790,287
------------
NET ASSETS - 100.0% $402,692,806
============
</TABLE>
2
<PAGE>
FFTW FUNDS, INC.
U.S. SHORT-TERM PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
Summary of Abbreviations
------------------------
<S> <C>
FHLMC Federal Home Loan Mortgage Corp.
FNMA Federal National Mortgage Association
FRN Floating Rate Note
GNMA Government National Mortgage
Association
SLMA Student Loan Mortgage Association
</TABLE>
+/+ Security exempt from registration under Rule 144A or Section 4(2) of
Securities Act of 1933. This security may be sold in transactions exempt
from registration, normally to qualified institutional buyers. At June 30,
2000, these securities were valued at $74,620,384, or 18.5% of net assets.
* 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.
3
<PAGE>
FFTW FUNDS, INC.
LIMITED DURATION PORTFOLIO - SCHEDULE OF INVESTMENTS
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT VALUE
---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
LONG-TERM INVESTMENTS - 92.7%
ASSET- AND MORTGAGE-BACKED SECURITIES (NON-AGENCY) - 34.9%
Aames Mortgage Trust, Ser.
1998-B, Class A1A (FRN) 6.816% 06/15/2028 $ 313,487 $ 310,600
Advanta Equipment Receivables
Trust, Ser. 2000-1, Class A3 7.405% 02/15/2007 3,000,000 2,987,344
Advanta Mortgage Loan Trust,
Ser. 1998-1, Class A6 6.430% 03/25/2028 2,500,000 2,371,450
Advanta Mortgage Loan Trust,
Ser. 1998-2, Class A13 6.360% 01/25/2025 3,000,000 2,860,740
Allied Capital Commercial
Mortgage Trust, Ser. 1998-1,
Class A - 144A+/+ 6.310% 09/25/2003 424,890 415,924
Arcadia Automobile Receivables
Trust, Ser. 1998-B, Class A5 6.060% 06/15/2006 3,000,000 2,927,970
CIT Marine Trust, Ser. 1999-A,
Class A2 5.800% 04/15/2010 1,250,000 1,203,112
CIT RV Trust, Ser. 1997-A,
Class A4 6.200% 10/16/2006 70,120 70,087
Contimortgage Home Equity Loan
Trust, Ser. 1998-3,
Class A10 5.840% 05/15/2016 4,000,000 3,937,680
Felco Funding II LLC, Ser.
2000-1, Class A3 - 144A+/+ 7.585% 06/15/2004 4,000,000 4,006,250
Green Tree Home Equity Loan
Trust, Ser. 1998-A, Class A2 6.040% 06/15/2029 566,733 565,525
Green Tree Home Equity Loan
Trust, Ser. 1999-A, Class B1 8.970% 11/15/2027 1,750,000 1,740,708
Norwest Asset Securities
Corp., Ser. 1999-16,
Class A1 6.000% 06/25/2029 4,000,000 3,937,440
Rental Car Finance Corp., Ser.
1997-1, Class A1 - 144A+/+ 6.250% 06/25/2003 1,500,000 1,491,797
Saxon Asset Securities Trust,
Ser. 1998-1, Class MF1 7.050% 12/25/2027 2,000,000 1,937,440
Sears Credit Account Master
Trust, Ser. 1999-2, Class A 6.350% 02/16/2007 3,000,000 2,955,600
-----------
Total (Cost - $34,081,997) 33,719,667
-----------
U.S. GOVERNMENT AGENCY AND TREASURY OBLIGATIONS - 28.5%
FHLMC Global Bond 5.750% 07/15/2003 2,600,000 2,511,499
U.S. Treasury Note 6.000% 08/15/2004 3,500,000 3,467,188
U.S. Treasury Note 6.375% 04/30/2002 14,800,000 14,781,500
U.S. Treasury Note 6.500% 02/28/2002 1,100,000 1,100,000
U.S. Treasury Note 6.500% 03/31/2002 2,400,000 2,400,751
U.S. Treasury Note 6.625% 05/31/2002 3,250,000 3,262,188
-----------
Total (Cost - $27,448,355) 27,523,126
-----------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS - 29.3%
FHLMC Pool #292264 6.500% 12/01/2002 52,352 49,166
FHLMC Pool #B00462 9.500% 03/01/2002 496,450 504,589
FHLMC, Ser. 1869, Class TF
(FRN) 7.288% 07/15/2023 235,190 235,363
FHLMC, Ser. 1873, Class C 7.000% 06/15/2008 473,927 473,297
FHLMC, Ser. 2034, Class PC 6.000% 11/15/2018 5,300,000 5,216,419
FNMA, Ser. 1992-177, Class CB 7.500% 02/25/2021 5,207,000 5,200,569
FNMA, Ser. 1993-35, Class G 6.500% 07/25/2006 3,746,056 3,720,321
FNMA, Ser. 1994-13, Class PE 5.800% 12/25/2006 1,455,435 1,446,703
FNMA, Ser. 1994-79, Class B 7.000% 12/25/2019 1,669,704 1,661,422
FNMA, Ser. 1996-70, Class PD 6.250% 07/25/2018 6,000,000 5,938,500
FNMA, Ser. 1997-39, Class PB 7.250% 01/20/2019 3,000,000 2,996,040
</TABLE>
4
<PAGE>
FFTW FUNDS, INC.
LIMITED DURATION PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
OBLIGATIONS (CONTINUED)
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT VALUE
---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Vendee Mortgage Trust, Ser.
1998-1, Class 2A 7.000% 11/15/2014 $ 882,437 $ 881,184
-----------
Total (Cost - $28,501,059) 28,323,573
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Total Long-Term Investments
(Cost - $90,031,411) 89,566,366
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SHORT-TERM INVESTMENTS - 10.0%
Den Norske Bank ASA, CP* 6.769% 08/21/2000 2,000,000 1,981,158
Gillette Co., CP* 6.907% 07/05/2000 4,000,000 3,996,933
Investors Bank & Trust Company
Cash Sweep 6.250% 07/03/2000 1,250,000 1,250,000
New York Times, CP* 6.568% 07/05/2000 2,000,000 1,998,556
U.S. Treasury Bill@* 6.247% 11/02/2000 400,000 392,070
-----------
Total (Cost - $9,618,415) 9,618,717
-----------
TOTAL INVESTMENTS - 102.7%
(COST - $99,649,826) 99,185,083
-----------
LIABILITIES, NET OF OTHER
ASSETS - (2.7%) (2,607,822)
-----------
NET ASSETS - 100.0% $96,577,261
===========
</TABLE>
<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
Vendee Veterans Administration
+/+ Security exempt from registration under Rule 144A or
Section 4(2) of Securities Act of 1933. This security may be
sold in transactions exempt from registration, normally to
qualified institutional buyers. At June 30, 2000, these
securities were valued at $5,913,971, or 6.1% of net assets.
* 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.
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
FFTW FUNDS, INC.
MORTGAGE-BACKED PORTFOLIO - SCHEDULE OF INVESTMENTS
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
LONG-TERM INVESTMENTS - 151.1%
ASSET-BACKED SECURITIES - 20.1%
Advanta Mortgage Loan Trust,
Ser. 1997-1, Class B1A (FRN) 7.638% 05/25/2027 $ 4,477,344 $ 4,472,867
American Residential Eagle
Certificate Trust,
Ser. 1998-1, Class M1 (FRN) 7.320% 05/25/2028 6,000,000 6,000,937
Chase Credit Card Master
Trust, Ser. 1997-2, Class A 6.300% 04/15/2003 8,565,000 8,558,748
CIT Group Home Equity Loan
Trust, Ser. 1998-1, Class M1 6.440% 11/15/2027 4,000,000 3,768,720
Deutsche Floorplan Receivables
Master Trust, Ser. 2000-1,
Class C (FRN) 7.651% 04/15/2005 4,750,000 4,754,453
EQCC Home Equity Loan Trust,
Ser. 1997-3, Class A7 6.930% 02/15/2029 10,700,000 10,065,918
Saxon Asset Securities Trust,
Ser. 1998-1, Class MF1 7.050% 12/25/2027 3,696,000 3,580,389
Saxon Asset Securities Trust,
Ser. 1998-2, Class MF1 6.690% 11/01/2005 6,691,000 6,325,337
Tribeca Mortgage Fund I,
Ser. 1999-1, Class A1 (FRN) 7.261% 02/18/2004 10,000,000 9,990,000
Westpac Securitisation Trust,
Ser. 1998-1G, Class A (FRN) 6.423% 07/19/2029 5,670,116 5,653,106
-------------
Total (Cost - $64,568,679) 63,170,475
-------------
COLLATERALIZED MORTGAGE OBLIGATIONS (AGENCY) (CMOS) - 16.1%
FHLMC, Ser. 1506, Class FD
(FRN) 7.688% 05/15/2008 3,377,088 3,418,268
FHLMC, Ser. 1511, Class L 6.000% 05/15/2008 6,229,228 5,790,566
FHLMC, Ser. 1614, Class K 10.000% 06/15/2020 1,089,497 1,105,482
FHLMC, Ser. 2141, Class FC
(FRN) 6.951% 04/15/2019 8,066,501 7,874,115
FHLMC, Ser. 42, Class C 9.000% 06/15/2020 4,321,167 4,445,833
FNMA Grantor Trust,
Ser. 1999-20, Class A2 (FRN) 7.451% 04/28/2029 8,353,411 8,386,657
FNMA, Ser. G1993-10, Class H 5.000% 08/25/2022 4,800,000 4,412,078
GNMA, Ser. 1999-27, Class FE
(FRN) 7.050% 08/16/2029 4,058,857 4,043,559
SLMA Student Loan Trust,
Ser. 2000-2, Class CTFS (FRN) 6.856% 04/25/2017 11,000,000 10,962,050
-------------
Total (Cost - $50,082,886) 50,438,608
-------------
COLLATERALIZED MORTGAGE OBLIGATIONS (NON-AGENCY) (CMOS) - 34.0%
Beneficial Residential
Mortgage Corp., Ser. 1995-1,
Class A1 (FRN) 6.831% 03/28/2025 661,024 661,024
Beneficial Residential
Mortgage Corp., Ser. 1996-1,
Class A (FRN) 6.791% 04/28/2026 2,112,167 2,111,871
Chase Commercial Mortgage
Securities Corp.,
Ser. 1997-2, Class C 6.600% 12/19/2007 7,000,000 6,519,114
Chase Commercial Mortgage
Securities Corp.,
Ser. 1998-1 Class A2 6.560% 05/18/2008 11,700,000 11,128,396
</TABLE>
6
<PAGE>
FFTW FUNDS, INC.
MORTGAGE-BACKED PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
COLLATERALIZED MORTGAGE OBLIGATIONS (NON-AGENCY) (CMOS) (CONTINUED)
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Chase Commercial Mortgage
Securities Corp.,
Ser. 1998-1, Class C 6.560% 05/18/2008 $ 5,000,000 $ 4,642,915
Enterprise Commercial Mortgage
Co., Ser. 1999-1, Class A1 6.420% 09/15/2008 6,845,567 6,534,779
Enterprise Commercial Mortgage
Co., Ser. 1999-1, Class A2 6.900% 04/15/2013 7,000,000 6,593,125
Enterprise Mortgage Acceptance
Co., Ser. 2000-1,
Class A1 - 144A+/+ 7.920% 08/15/2009 1,974,744 1,973,980
First Union National Bank
Commercial Mortgage,
Ser. 2000-C1, Class A1 7.739% 07/15/2009 1,987,309 2,022,005
First Union-Chase Commercial
Mortgage Trust,
Ser. 1999-C1, Class A1 5.730% 10/15/2035 4,549,433 4,285,921
First Union-Lehman Brothers
Commercial Mortgage,
Ser. 1997-C2, Class A3 6.650% 06/18/2008 5,300,000 5,059,656
GE Residential Capital
Mortgage Services Inc.,
Ser. 1998-13, Class A12 (FRN) 7.051% 08/25/2028 7,322,101 7,102,218
MLCC Mortgage Investors, Inc.,
Ser. 1995-B, Class A (FRN) 7.051% 10/15/2020 10,938,221 10,972,566
Morgan Stanley Commercial
Capital 1, Ser. 1998-WF2,
Class A1 6.340% 11/15/2007 8,704,863 8,416,645
Morgan Stanley Commercial
Capital 1, Ser. 1998-WF2,
Class C 6.770% 07/15/2030 6,000,000 5,630,640
Norwest Asset Securities
Corporation, Ser. 1999-27,
Class A1 6.750% 12/25/2014 5,871,829 5,663,261
PNC Mortgage Acceptance Corp.,
Ser. 2000-C1, Class 7.520% 06/15/2008 3,200,000 3,189,000
Prudential Home Mortgage
Securities, Ser. 1993-13,
Class A3 (FRN) 7.338% 04/25/2008 3,671,668 3,682,096
Residential Funding Mortgage
Securitization I,
Ser. 1999-S20, Class A1 6.500% 09/25/2014 11,053,815 10,556,835
-------------
Total (Cost - $109,637,920) 106,746,047
-------------
INTEREST ONLY OBLIGATIONS (IOS) - 11.7% (A)*
DLJ Commercial Mortgage Corp.,
Ser. 1998-CG1, Class S 8.244% 05/10/2023 5,869,430 5,474,793
Enterprise Mortgage Acceptance
Co, Ser. 1998-1,
Class IO - 144A+/+ 14.106% 01/15/2023 1,846,173 1,935,257
Enterprise Mortgage Acceptance
Co, Ser. 2000-1,
Class IO - 144A+/+ 11.740% 11/15/2019 789,871 802,501
FHLMC Strip, Ser. 203,
Class IO 10.744% 05/01/2029 1,962,864 1,979,429
FHLMC, Ser. 188, Class IO 12.375 - 24.245% 10/01/2027 573,913 920,430
</TABLE>
7
<PAGE>
FFTW FUNDS, INC.
MORTGAGE-BACKED PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
INTEREST ONLY OBLIGATIONS (IOS) (CONTINUED)
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FHLMC, Ser. 195, Class IO 11.765% - 13.668% 04/01/2028 $ 2,242,755 $ 2,527,714
FHLMC, Ser. 202, Class IO 12.533% 04/01/2029 193,261 193,051
FHLMC, Ser. 206, Class IO 12.853% 12/15/2029 757,568 717,743
FHLMC, Ser. 2085, Class PI 13.249% 11/15/2026 510,419 556,593
FHLMC, Ser. 2113, Class MI 17.616% 04/15/2024 1,299,847 1,504,713
First Union-Lehman Brothers -
Bank of America,
Ser. 1998-C2, Class IO 8.503% 05/18/2028 4,275,895 3,918,356
First Union-Lehman Brothers
Commercial Mortgage,
Ser. 1997-C1, Class IO 10.697% 04/18/2027 3,491,780 3,295,741
FNMA Strip, Ser. 303,
Class IO (FRN) 7.500% 11/01/2029 478,158 473,808
FNMA, Ser. 1998-52, Class PI 16.242% 03/25/2022 516,089 583,187
FNMA, Ser. 1999-5, Class PU 8.663% 04/25/2018 214,555 213,318
FNMA, Ser. 231, Class 2 10.249% 07/01/2023 2,026,063 2,069,369
Morgan Stanley Commercial
Capital 1, Ser. 1998-HF1,
Class X 2.509% 02/15/2018 1,351,067 1,347,985
Prudential Home Mortgage
Securities, Ser. 1994-30,
Class A11 12.045 - 14.255% 10/25/2024 394,194 125,984
Residential Accredited Loans
Inc., Ser. 1997-QS13,
Class A12 43.701% 12/25/2027 1,288,320 3,109,378
Vendee Mortgage Trust,
Ser. 1992-2, Class IO (FRN) 3.091% - 16.679% 09/15/2022 906,634 961,378
Vendee Mortgage Trust,
Ser. 1994-2, Class 3 IO (FRN) 9.118% - 19.331% 06/15/2024 241,030 224,951
Vendee Mortgage Trust,
Ser. 1994-3A, Class 1 IO
(FRN) 8.235% - 18.080% 09/15/2024 806,196 806,196
Vendee Mortgage Trust,
Ser. 1994-3B, Class 2 IO
(FRN) 3.215% - 15.752% 09/15/2024 301,434 360,150
Vendee Mortgage Trust,
Ser. 1996-1, Class 1 IO 6.809% - 19.766% 02/15/2026 2,335,950 2,225,873
Vendee Mortgage Trust,
Ser. 1996-2, Class 1 IO (FRN) 7.933% - 9.841% 06/15/2026 303,196 276,332
Vendee Mortgage Trust,
Ser. 1998-2, Class 1 IO (FRN) 9.955% 06/15/2028 129,205 142,900
-------------
Total (Cost - $35,105,867) 36,747,130
-------------
MORTGAGE POOLS - 1.3%
FNMA Pool #303975 10.000% 11/01/2018 3,741,536 3,976,651
FNMA Pool #340777 6.500% 03/01/2011 10,458 10,127
GNMA Pool #359157 7.500% 10/15/2023 217,202 216,698
-------------
Total (Cost - $4,206,745) 4,203,476
-------------
MORTGAGE (TBAS) - 61.9%
FHLMC Gold TBA 6.500% 08/16/2029 22,000,000 20,762,500
FHLMC Gold TBA 7.500% 07/14/2029 1,000,000 986,562
FNMA TBA 6.500% 07/19/2014 13,000,000 12,528,750
</TABLE>
8
<PAGE>
FFTW FUNDS, INC.
MORTGAGE-BACKED PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
MORTGAGE (TBAS) (CONTINUED)
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FNMA TBA 6.500% 08/01/2030 $55,000,000 $ 51,785,910
FNMA TBA 7.500% 07/01/2029 38,000,000 37,430,000
FNMA TBA 8.500% 07/01/2030 16,000,000 16,284,992
GNMA TBA 7.500% 07/01/2030 23,000,000 22,827,500
GNMA TBA 8.000% 07/01/2029 31,000,000 31,319,672
-------------
Total (Cost - $193,054,688) 193,925,886
-------------
PRINCIPAL ONLY OBLIGATIONS (POS) - 2.6% (A)*
FNMA, Ser. 1993-157, Class E 5.952% - 9.028% 05/25/2022 2,978,840 2,944,509
FNMA, Ser. 1993-222, Class D 4.498% 07/25/2023 2,308,519 1,943,273
FNMA, Ser. 1994-9, Class D 4.152% 11/25/2023 1,701,340 1,463,050
FNMA, Ser. 1996-45, Class N 4.651% 06/25/2023 1,765,276 1,655,132
-------------
Total (Cost - $8,753,975) 8,005,964
-------------
U.S. GOVERNMENT TREASURY OBLIGATION - 3.3%
U.S. Treasury Note (Cost -
$10,186,716) 6.500% 02/15/2010 9,910,000 10,247,564
-------------
<CAPTION>
STRIKE EXPIRATION CONTRACTS
------ ---------- ---------
LONG OPTIONS - 0.1%
<S> <C> <C> <C> <C>
3 Month LIBOR cap 8.000% 11/14/2001 22 25,195
3 Month LIBOR cap 8.500% 11/14/2002 38 92,539
U.S. Treasury, Sept. 2000
10-Year 97 08/19/2000 66 123,750
-------------
Total (Cost - $244,894) 241,484
-------------
TOTAL LONG-TERM INVESTMENTS
(COST - $475,842,370) 473,726,634
-------------
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT
------ -------- ------
SHORT-TERM INVESTMENTS - 9.4%
<S> <C> <C> <C> <C>
Gillette Co., CP* 6.907% 07/05/2000 $ 7,500,000 7,494,250
Investors Bank & Trust Company
Cash Sweep 6.250% 07/03/2000 10,085,000 10,085,000
Morgan Stanley Dean Witter &
Co., CP 6.850% 07/05/2000 10,000,000 9,992,389
</TABLE>
9
<PAGE>
FFTW FUNDS, INC.
MORTGAGE-BACKED PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
SHORT-TERM INVESTMENTS (CONTINUED)
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
U.S. Treasury Bill* 6.079% 10/26/2000 $ 1,000,000 $ 981,600
U.S. Treasury Bill@* 6.247% 11/02/2000 1,050,000 1,029,184
-------------
Total (Cost - $29,580,464) 29,582,423
-------------
TOTAL INVESTMENTS - 160.5%
(COST - $505,422,834) 503,309,057
-------------
LIABILITIES, NET OF OTHER
ASSETS - (60.5%) (189,794,572)
-------------
NET ASSETS - 100.0% $ 313,514,485
=============
SECURITIES SOLD SHORT
FNMA Global Bond (proceeds
$20,002,611) 7.125% 02/15/2005 $20,000,000 $ 20,108,280
FNMA Global Bond (proceeds
$631,951) 7.250% 01/15/2010 630,000 637,312
-------------
Total Securities Sold Short
(Proceeds $20,834,562) $ 20,745,592
=============
</TABLE>
<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
SLMA Student Loan Mortgage Association
To Be Announced - Security is subject to delayed
TBA delivery.
Vendee Veterans Administration
</TABLE>
* Interest rate shown represents yield to maturity at date of purchase.
(a) Face amount shown represents amortized cost.
+/+ Security exempt from registration under Rule 144A or Section 4(2) of
Securities Act of 1933. This security may be sold in transactions exempt
from registration, normally to qualified institutional buyers. At June 30,
2000, these securities were valued at $4,711,738, or 1.5% of net assets.
@ Security, or a portion thereof, is held in a margin account as collateral
for open financial futures contracts.
See Notes to Financial Statements.
10
<PAGE>
FFTW FUNDS, INC.
GLOBAL TACTICAL EXPOSURE PORTFOLIO - SCHEDULE OF INVESTMENTS
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (A) VALUE
-----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
LONG-TERM INVESTMENTS - 91.1%
ASSET- AND MORTGAGE-BACKED SECURITIES - 13.8%
JAPAN - 6.9%
Card Loan Investment
Opportunities, Ser. 1, Class
1 (FRN) 4.717% 09/28/2003 EUR 1,350,002 $ 1,295,541
J-Shop Corp., Ser. II, Class 1
(FRN) 1.041% 01/13/2003 JPY 500,000,000 4,737,663
Oscar Funding Corp., Ser. 4,
Class 2 (FRN) 4.672% 05/10/2004 EUR 1,366,154 1,311,827
Oscar Funding Corp., Ser. 5,
Class 1 (FRN) 6.925% 11/10/2004 562,653 562,766
------------
7,907,797
------------
NETHERLANDS - 0.4%
European Mortgage Securities
B.V., Ser. III, Class A2
(FRN) 5.875% 09/29/2049 EUR 500,000 471,153
------------
UNITED KINGDOM - 0.2%
Hexagon Funding Ltd., Ser. 1X,
Class 2 (FRN) 3.918% 01/26/2004 EUR 263,282 254,761
------------
UNITED STATES - 6.3%
Capital Credit Card Corp.,
Ser. 1996, Class A 5.625% 08/15/2001 DEM 6,000,000 2,948,976
Chase Credit Card Master
Trust, Ser. 1998-1, Class A 5.125% 02/15/2005 EUR 2,359,657 2,205,534
Chase Credit Card Master
Trust, Ser. 1998-4, Class A 5.000% 08/15/2008 DEM 1,300,000 596,792
Citibank Credit Card Master
Trust, Ser. 1999-6, Class A -
144A+/+ 4.500% 08/25/2004 EUR 700,000 640,958
GMAC Swift Trust, Ser. 1999-1
- 144A+/+ 5.000% 01/18/2005 EUR 1,000,000 926,344
------------
7,318,604
------------
Total (Cost - $17,660,541) 15,952,315
------------
CORPORATE OBLIGATIONS - 9.0%
PORTUGAL - 0.6%
Caixa Geral de Depositos
Finance (MTN) 6.250% 10/12/2009 EUR 790,000 742,869
------------
SPAIN - 0.5%
BSCH Issuance Ltd. 5.125% 07/06/2009 EUR 660,000 573,785
------------
</TABLE>
11
<PAGE>
FFTW FUNDS, INC.
GLOBAL TACTICAL EXPOSURE PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
SWEDEN - 1.1%
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (A) VALUE
-----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Birka Energi AB (MTN) 6.375% 11/03/2006 EUR 270,000 $ 258,676
Investor AB 5.250% 06/30/2008 EUR 1,085,004 1,013,239
------------
1,271,915
------------
UNITED KINGDOM - 6.4%
Coca-Cola Enterprises Great
Britain (MTN) 6.750% 03/12/2008 GBP 500,000 738,367
Glaxo Wellcome Plc 8.750% 12/01/2005 GBP 608,000 1,002,345
Hilton Group Finance Plc (MTN) 5.000% 07/27/2004 EUR 1,085,000 994,889
Imperial Tobacco Finance (MTN) 6.375% 09/27/2006 EUR 1,000,000 936,020
Lloyds TSB Bank Plc (MTN) 6.000% 06/07/2004 GBP 570,000 845,881
OTE Plc - 144A+/+ 6.125% 02/07/2007 EUR 2,000,000 1,881,736
Pearson Plc 6.125% 02/01/2007 EUR 1,000,000 939,573
------------
7,338,811
------------
UNITED STATES - 0.4%
Clear Channel Communications,
Inc. - 144A+/+ 6.500% 07/07/2005 EUR 500,000 476,354
------------
Total (Cost - $11,357,257) 10,403,734
------------
SOVEREIGN DEBT OBLIGATIONS - 66.6%
CANADA - 3.7%
Canadian Government Bond 5.000% 09/01/2004 CAD 6,550,000 4,265,105
------------
CROATIA - 0.7%
Croatian Government Bond, Ser.
B (FRN) 7.063% 07/31/2006 845,771 800,311
------------
DENMARK - 4.8%
Kingdom of Denmark Bond 6.000% 11/15/2009 DKK 23,720,000 3,108,814
Kingdom of Denmark Bond 7.000% 11/10/2024 DKK 16,800,000 2,480,604
------------
5,589,418
------------
GERMANY - 21.3%
Bundesrepublic Deutschland
Bond 4.125% 07/04/2008 EUR 261,951 233,781
</TABLE>
12
<PAGE>
FFTW FUNDS, INC.
GLOBAL TACTICAL EXPOSURE PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
GERMANY (CONTINUED)
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (A) VALUE
-----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Bundesrepublic Deutschland
Bond 4.750% 07/04/2028 EUR 2,500,000 $ 2,143,237
Bundesrepublic Deutschland
Bond 5.375% 01/04/2010 EUR 14,160,000 13,704,147
Bundesrepublic Deutschland
Bond, Ser. 99 4.500% 07/04/2009 EUR 1,000,000 910,571
Bundesschatzanweisungen, Ser.
99 3.000% 03/16/2001 EUR 8,000,000 7,576,624
------------
24,568,360
------------
ITALY - 3.5%
Buoni Pollennali del Tesoro 4.500% 05/01/2009 EUR 4,500,000 4,000,720
------------
JAPAN - 24.8%
Japanese Government Bond 1.500% 06/22/2009 JPY 648,000,000 6,018,624
Japanese Government Bond 1.700% 03/22/2010 JPY 1,447,000,000 13,559,837
Japanese Government Bond 1.800% 06/20/2008 JPY 935,000,000 8,988,155
------------
28,566,616
------------
SPAIN - 0.3%
Spanish Government Bond 6.000% 01/31/2008 EUR 370,716 366,423
------------
SWEDEN - 4.5%
Swedish Government Bond 8.000% 08/15/2007 SEK 39,100,000 5,155,765
------------
UNITED KINGDOM - 3.0%
UK Treasury Bond 5.750% 12/07/2009 GBP 1,100,000 1,734,922
UK Treasury Note 6.500% 12/07/2003 GBP 1,100,000 1,697,367
------------
3,432,289
------------
Total (Cost - $78,803,268) 76,745,007
------------
U.S. TREASURY OBLIGATION - 1.7%
U.S. Treasury Note
(Cost - $1,943,635) 6.500% 02/15/2010 1,900,000 1,964,720
------------
TOTAL LONG-TERM INVESTMENTS
(COST - $109,764,701) 105,065,776
------------
</TABLE>
13
<PAGE>
FFTW FUNDS, INC.
GLOBAL TACTICAL EXPOSURE PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
SHORT-TERM INVESTMENTS - 12.6%
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (A) VALUE
-----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Den Norske Bank ASA, CP 6.650% 08/21/2000 4,000,000 $ 3,962,317
Investors Bank & Trust Company
Cash Sweep 6.250% 07/03/2000 6,895,000 6,895,000
U.S. Treasury Bill@* 6.330% 10/19/2000 3,800,000 3,734,450
------------
Total (Cost - $14,586,779) 14,591,767
------------
TOTAL INVESTMENTS - 103.7%
(COST - $124,351,480) 119,657,543
------------
LIABILITIES, NET OF OTHER
ASSETS - (3.7%) (4,315,554)
------------
NET ASSETS - 100.0% $115,341,989
============
</TABLE>
<TABLE>
<CAPTION>
Summary of Abbreviations
------------------------
<S> <C>
CAD Canadian Dollar
CP Commercial Paper
DEM German Deutschemark
DKK Danish Krone
EUR European Monetary Unit (Euro)
FRN Floating Rate Note
GBP Great British Pound
JPY Japanese Yen
MTN Medium-Term Note
SEK Swedish Krona
</TABLE>
(a) Face amount shown in U.S. dollars unless otherwise indicated.
+/+ Security exempt from registration under Rule 144A or Section 4(2) of
Securities Act of 1933. This security may be sold in transactions exempt
from registration, normally to qualified institutional buyers. At June 30,
2000, these securities were valued at $3,925,392, or 3.4% of net assets.
@ 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.
See Notes to Financial Statements.
14
<PAGE>
FFTW FUNDS, INC.
WORLDWIDE PORTFOLIO - SCHEDULE OF INVESTMENTS
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (A) VALUE
----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
LONG-TERM INVESTMENTS - 97.6%
ASSET- AND MORTGAGE-BACKED SECURITIES - 12.9%
GERMANY - 0.2%
CORE, Ser. 1999-1X,
Class A-3A (FRN) 3.666% 03/17/2009 EUR 283,312 $ 271,231
------------
JAPAN - 4.3%
Card Loan Investment
Opportunities, Ser. 1,
Class 1 (FRN) 4.717% 09/28/2003 EUR 266,667 255,909
J-Shop Corp., Ser. II,
Class 1 (FRN) 1.041% 01/13/2003 JPY 200,000,000 1,895,065
Lumiere Funding Corp., Ser.
1A, Class 1
(FRN) - 144A+/+ 7.035% 07/10/2003 95,756 95,624
Lumiere Funding Corp., Ser.
1X, Class 1 (FRN) 7.035% 07/10/2003 191,512 191,589
Maestro Securitisation Corp.,
Ser. 1, Class 1 (FRN) 7.045% 07/10/2005 725,169 725,895
Oscar Funding Corp., Ser. 2,
Class 1 (FRN) 6.975% 08/10/2003 252,462 252,664
Oscar Funding Corp., Ser. 3,
Class 1 (FRN) 7.235% 12/10/2003 1,177,200 1,180,614
Oscar Funding Corp., Ser. 4,
Class 2 (FRN) 4.672% 05/10/2004 EUR 178,194 171,108
Oscar Funding Corp., Ser. 5,
Class 1 (FRN) 6.925% 11/10/2004 EUR 401,895 401,975
Soleil Funding Corp., Ser. 1,
Class 1 (FRN) 7.385% 08/10/2004 280,213 281,614
------------
5,452,057
------------
UNITED KINGDOM - 0.9%
Chester Asset Receivables Deal
5 6.625% 03/17/2008 GBP 300,000 449,244
Hexagon Funding Ltd., Ser. 1X,
Class 2 (FRN) 3.918% 01/26/2004 EUR 65,820 63,690
Higher Education Securitised
Investments (The), Ser. 1X,
Class A1 (FRN) 5.856% 04/10/2028 GBP 387,071 584,521
------------
1,097,455
------------
UNITED STATES - 7.5%
Amethyst Funding Corp., Ser.
2, Class 1 (FRN) 6.971% 01/02/2004 968,347 968,153
Block Mortgage Finance Inc.,
Ser. 1999-1, Class A7 (FRN) 5.830% 04/25/2016 1,000,000 983,180
Capital Credit Card Corp.,
Ser. 1996, Class A 5.625% 08/15/2001 DEM 900,000 442,346
Carco Auto Loan Master Trust,
Ser. 2000-A, Class A (FRN) 6.623% 03/15/2005 300,000 300,054
Chase Commercial Mortgage
Securities Corp., Ser. 1998-1
Class A2 6.560% 05/18/2008 350,000 332,901
Chase Commercial Mortgage
Securities Corp., Ser.
1998-2, Class A1 6.025% 08/18/2007 448,612 427,104
</TABLE>
15
<PAGE>
FFTW FUNDS, INC.
WORLDWIDE PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
UNITED STATES (CONTINUED)
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (A) VALUE
----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Citibank Credit Card Master
Trust I, Ser. 1997-5,
Class A 5.750% 07/16/2007 DEM 1,300,000 $ 632,663
Citibank Credit Card Master
Trust, Ser. 1999-6,
Class A - 144A+/+ 4.500% 08/25/2004 EUR 600,000 549,393
DLJ Commercial Mortgage Corp.,
Ser. 1998-CG1, Class A1B 6.410% 05/10/2008 750,000 704,839
EQCC Home Equity Loan Trust,
Ser. 1999-1, Class A2F 5.765% 06/20/2015 600,000 588,180
First Union Commercial
Mortgage Trust, Ser. 1999-C1,
Class A1 5.730% 10/15/2035 454,943 428,592
GMAC Swift Trust, Ser. 1999-1
- 144A+/+ 5.000% 01/18/2005 EUR 600,000 555,806
MCL Auto Loan Funding Corp.,
Ser. 1, Class 1 (FRN) 7.185% 09/10/2003 421,096 422,149
Nationslink Funding Corp.,
Ser. 1998-2, Class A2 6.476% 07/20/2008 270,000 254,150
Navistar Financial Corp.
Owners Trust, Ser. 1999-A,
Class A4 6.130% 10/15/2005 1,400,000 1,373,078
New South Home Equity Trust,
Ser. 1999-2, Class A4 (FRN) 7.590% 04/25/2030 500,000 486,172
------------
9,448,760
------------
Total (Cost - $17,080,582) 16,269,503
------------
CORPORATE OBLIGATIONS - 6.4%
FRANCE - 0.2%
Suez Lyonnaise des Eaux SA 5.875% 10/13/2009 EUR 300,000 278,105
------------
PORTUGAL - 0.1%
Caixa Geral de Depositos
Finance (MTN) 6.250% 10/12/2009 EUR 150,000 141,051
------------
SPAIN - 0.1%
BSCH Issuance Ltd. 5.125% 07/06/2009 EUR 130,000 113,018
------------
SWEDEN - 0.5%
Birka Energi AB (MTN) 6.375% 11/03/2006 EUR 220,000 210,773
Investor AB 5.250% 06/30/2008 EUR 409,033 381,978
------------
592,751
------------
UNITED KINGDOM - 2.2%
Coca-Cola Enterprises Great
Britain (MTN) 6.750% 03/12/2008 GBP 140,000 206,743
</TABLE>
16
<PAGE>
FFTW FUNDS, INC.
WORLDWIDE PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
UNITED KINGDOM (CONTINUED)
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (A) VALUE
----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Glaxo Wellcome Plc 8.750% 12/01/2005 GBP 224,000 $ 369,285
Hilton Group Finance Plc (MTN) 5.000% 07/27/2004 EUR 283,000 259,496
Imperial Tobacco Finance (MTN) 6.375% 09/27/2006 EUR 1,000,000 936,020
OTE Plc - 144A+/+ 6.125% 02/07/2007 EUR 220,000 206,991
Pearson Plc 6.125% 02/01/2007 EUR 500,000 469,787
Vodafone AirTouch Plc 5.750% 10/27/2006 EUR 300,000 279,113
------------
2,727,435
------------
UNITED STATES - 3.3%
Bank of America Corp. 7.800% 02/15/2010 150,000 149,207
Chase Manhattan Corp. 7.875% 06/15/2010 200,000 199,860
CIT Group Holdings, Inc. 7.375% 03/15/2003 210,000 207,258
Commercial Credit Co. 6.500% 08/01/2004 250,000 241,805
Ford Motor Credit Co. 7.500% 06/15/2003 160,000 159,290
Ford Motor Credit Co. 7.875% 06/15/2010 250,000 249,655
Harrahs Operating Co., Inc. 7.500% 01/15/2009 270,000 250,427
Household Finance Corp. 8.000% 05/09/2005 400,000 402,960
Lockheed Martin Corp. 8.200% 12/01/2009 150,000 151,426
Morgan Stanley Dean Witter &
Co. 7.750% 06/15/2005 760,000 759,012
Southern California Edison Co. 7.625% 01/15/2010 300,000 300,880
Target Corp. 7.500% 02/15/2005 440,000 437,536
Walmart Stores, Inc. 6.875% 08/10/2009 400,000 391,144
Wells Fargo Co. 7.200% 05/01/2003 190,000 189,107
------------
4,089,567
------------
Total (Cost - $8,204,005) 7,941,927
------------
SOVEREIGN DEBT OBLIGATIONS - 45.6%
CANADA - 0.3%
Canadian Government Bond 5.500% 06/01/2010 CAD 660,000 434,476
------------
DENMARK - 2.3%
Kingdom of Denmark Bond 6.000% 11/15/2009 DKK 16,830,000 2,205,790
Kingdom of Denmark Bond 7.000% 11/10/2024 DKK 4,400,000 649,682
------------
2,855,472
------------
</TABLE>
17
<PAGE>
FFTW FUNDS, INC.
WORLDWIDE PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
FRANCE - 11.2%
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (A) VALUE
----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
France O.A.T. 6.000% 10/25/2025 EUR 800,000 $ 803,723
French Treasury Note 5.000% 07/12/2005 EUR 14,000,000 13,339,410
------------
14,143,133
------------
GERMANY - 14.7%
Bundesobligation, Ser. 135 5.000% 05/20/2005 EUR 7,000,000 6,707,540
Bundesrepublic Deutschland
Bond 4.750% 07/04/2028 EUR 100,000 85,730
Bundesrepublic Deutschland
Bond 5.375% 01/04/2010 EUR 12,070,000 11,681,430
------------
18,474,700
------------
JAPAN - 8.6%
Japanese Government Bond 1.700% 03/22/2010 JPY 900,000,000 8,433,900
Japanese Government Bond 1.800% 06/20/2008 JPY 252,000,000 2,422,476
------------
10,856,376
------------
MULTI-NATIONAL - 5.8%
European Investment Bank 5.500% 12/07/2009 GBP 118,000 169,064
Inter-American Development
Bank 6.375% 10/22/2007 5,200,000 4,985,100
Inter-American Development
Bank 7.375% 01/15/2010 1,220,000 1,240,396
International Bank for
Reconstruction & Development,
Ser. 791 5.500% 05/14/2003 AUD 1,600,000 941,915
------------
7,336,475
------------
NETHERLANDS - 1.3%
Bank Nederlandse Gemeenten
(MTN) 6.750% 10/03/2005 NLG 3,540,000 1,613,964
------------
SWEDEN - 0.6%
Swedish Government Bond 8.000% 08/15/2007 SEK 6,100,000 804,352
------------
UNITED KINGDOM - 0.8%
UK Treasury Bond 5.750% 12/07/2009 GBP 600,000 946,321
------------
Total (Cost - $58,250,331) 57,465,269
------------
</TABLE>
18
<PAGE>
FFTW FUNDS, INC.
WORLDWIDE PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
U.S. GOVERNMENT AGENCY AND TREASURY OBLIGATIONS - 32.7%
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (A) VALUE
----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FHLMC Global Note 7.000% 03/15/2010 9,100,000 $ 9,023,333
FNMA Global Bond 6.375% 06/15/2009 3,040,000 2,880,914
FNMA Global Bond 7.250% 01/15/2010 23,050,000 23,238,180
U.S. Treasury Bond 6.125% 08/15/2029 2,500,000 2,526,563
U.S. Treasury Note 6.000% 08/15/2009 3,030,000 3,005,381
U.S. Treasury Note 6.750% 05/15/2005 550,000 562,891
------------
Total (Cost - $41,091,242) 41,237,262
------------
TOTAL LONG-TERM INVESTMENTS
(COST - $124,626,160) 122,913,961
------------
SHORT-TERM INVESTMENTS - 3.2%
Investors Bank & Trust Company
Cash Sweep 6.250% 07/03/2000 3,457,000 3,457,000
U.S. Treasury Bill@* 6.330% 10/19/2000 600,000 589,650
------------
Total (Cost - $4,045,862) 4,046,650
------------
TOTAL INVESTMENTS - 100.8%
(COST - $128,672,022) 126,960,611
------------
LIABILITIES, NET OF OTHER
ASSETS - (0.8%) (982,161)
------------
NET ASSETS - 100.0% $125,978,450
============
</TABLE>
19
<PAGE>
FFTW FUNDS, INC.
WORLDWIDE PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
Summary of Abbreviations
------------------------
<S> <C>
AUD Australian Dollar
CAD Canadian Dollar
DEM German Deutschemark
DKK Danish Krone
EUR European Monetary Unit (Euro)
FHLMC Federal Home Loan Mortgage Corp.
FNMA Federal National Mortgage Association
FRN Floating Rate Note
GBP Great British Pound
JPY Japanese Yen
MTN Medium-Term Note
NLG Netherlands Guilder
SEK Swedish Krona
</TABLE>
(a) Face amount shown in U.S. dollars unless otherwise indicated.
+/+ Security exempt from registration under Rule 144A or Section 4(2) of
Securities Act of 1933. This security may be sold in transactions exempt
from registration, normally to qualified institutional buyers. At June 30,
2000, these securities were valued at $1,407,814, or 1.1% of net assets.
@ 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.
See Notes to Financial Statements.
20
<PAGE>
FFTW FUNDS, INC.
WORLDWIDE-HEDGED PORTFOLIO - SCHEDULE OF INVESTMENTS
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (A) VALUE
--------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
LONG-TERM INVESTMENTS - 101.6%
ASSET- AND MORTGAGE-BACKED SECURITIES - 22.2%
GERMANY - 0.2%
CORE, Ser. 1999-1X, Class A-3A
(FRN) 3.666% 03/17/2009 EUR 377,750 $ 361,642
------------
JAPAN - 6.6%
Card Loan Investment
Opportunities, Ser. 1, Class
1 (FRN) 4.717% 09/28/2003 EUR 886,668 850,899
J-Shop Corp., Ser. II, Class 1
(FRN) 1.041% 01/13/2003 JPY 300,000,000 2,842,598
Lumiere Funding Corp., Ser.
1A, Class 1 (FRN) - 144A+/+ 7.035% 07/10/2003 383,024 382,497
Lumiere Funding Corp., Ser.
1X, Class 1 (FRN) 7.035% 07/10/2003 1,340,584 1,341,120
Maestro Securitisation Corp.,
Ser. 1, Class 1 (FRN) 7.045% 07/10/2005 2,175,508 2,177,684
Oscar Funding Corp., Ser. 1,
Class 1 (FRN) 6.741% 03/10/2003 593,592 593,711
Oscar Funding Corp., Ser. 2,
Class 1 (FRN) 6.975% 08/10/2003 462,847 463,217
Oscar Funding Corp., Ser. 3,
Class 1 (FRN) 7.235% 12/10/2003 686,700 688,691
Oscar Funding Corp., Ser. 4,
Class 2 (FRN) 4.672% 05/10/2004 EUR 596,980 570,360
Oscar Funding Corp., Ser. 5,
Class 1 (FRN) 6.925% 11/10/2004 1,044,927 1,045,136
Oscar Funding Corp., Ser. 5,
Class 2 (FRN) 4.532% 11/10/2004 EUR 426,015 408,502
R Funding Corp., Ser. 1X,
Class 1 (FRN) 7.191% 02/02/2004 1,309,613 1,312,494
Soleil Funding Corp., Ser. 1,
Class 1 (FRN) 7.385% 08/10/2004 910,693 915,246
------------
13,592,155
------------
NETHERLANDS - 0.2%
European Mortgage Securities
B.V., Ser. III, Class A2
(FRN) 5.875% 09/29/2049 EUR 500,000 471,153
------------
UNITED KINGDOM - 1.3%
Chester Asset Receivables Deal
5 6.625% 03/17/2008 GBP 1,000,000 1,497,479
Hexagon Funding Ltd., Ser. 1X,
Class 2 (FRN) 3.918% 01/26/2004 EUR 65,820 63,690
Higher Education Securitised
Investments (The), Ser. 1X,
Class A1 (FRN) 5.856% 04/10/2028 GBP 696,729 1,052,138
------------
2,613,307
------------
UNITED STATES - 13.9%
Amethyst Funding Corp., Ser.
2, Class 1 (FRN) 6.971% 01/02/2004 1,452,520 1,452,229
BankBoston Home Equity Loan
Trust, Ser. 1998-1, Class A1 6.460% 04/25/2012 306,739 305,285
</TABLE>
21
<PAGE>
FFTW FUNDS, INC.
WORLDWIDE-HEDGED PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
UNITED STATES (CONTINUED)
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (A) VALUE
--------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Block Mortgage Finance Inc.,
Ser. 1999-1, Class A7 (FRN) 5.830% 04/25/2016 2,000,000 $ 1,966,360
Capital Credit Card Corp.,
Ser. 1996, Class A 5.625% 08/15/2001 DEM 2,000,000 982,985
Carco Auto Loan Master Trust,
Ser. 2000-A, Class A (FRN) 6.623% 03/15/2005 700,000 700,126
Chase Commercial Mortgage
Securities Corp., Ser. 1998-1
Class A2 6.560% 05/18/2008 550,000 523,130
Chase Commercial Mortgage
Securities Corp., Ser.
1998-2, Class A1 6.025% 08/18/2007 717,779 683,366
Citibank Credit Card Master
Trust I, Ser. 1997-5, Class A 5.750% 07/16/2007 DEM 2,400,000 1,167,985
Citibank Credit Card Master
Trust, Ser. 1999-6, Class A -
144A+/+ 4.500% 08/25/2004 EUR 1,600,000 1,465,047
Discover Card Master Trust I,
Ser. 1994-2, Class A (FRN) 7.001% 10/16/2004 3,000,000 3,011,700
DLJ Commercial Mortgage Corp.,
Ser. 1998-CG1, Class A1B 6.410% 05/10/2008 1,250,000 1,174,731
EQCC Home Equity Loan Trust,
Ser. 1999-1, Class A2F 5.765% 06/20/2015 3,700,000 3,627,110
First Union Commercial
Mortgage Trust, Ser. 1999-C1,
Class A1 5.730% 10/15/2035 682,415 642,888
HFC Revolving Home Equity Loan
Trust, Ser. 1996-1, Class A
(FRN) 6.851% 07/20/2017 1,827,225 1,824,502
Ikon Receivables LLC, Ser.
1999-1, Class A4 6.230% 05/25/2008 2,275,000 2,214,215
MBNA American European
Structure Offering, Ser.
1998, Class B 5.125% 04/19/2008 DEM 1,100,000 511,229
MCL Auto Loan Funding Corp.,
Ser. 1, Class 1 (FRN) 7.185% 09/10/2003 421,096 422,149
Nationslink Funding Corp.,
Ser. 1998-2, Class A2 6.476% 07/20/2008 470,000 442,409
Navistar Financial Corp.
Owners Trust, Ser. 1999-A,
Class A4 6.130% 10/15/2005 4,200,000 4,119,235
New South Home Equity Trust,
Ser. 1999-2, Class A4 (FRN) 7.590% 04/25/2030 1,500,000 1,458,516
------------
28,695,197
------------
Total (Cost - $47,689,408) 45,733,454
------------
CORPORATE OBLIGATIONS - 9.2%
FRANCE - 0.2%
Suez Lyonnaise des Eaux SA 5.875% 10/13/2009 EUR 500,000 463,509
------------
PORTUGAL - 0.2%
Caixa Geral de Depositos
Finance (MTN) 6.250% 10/12/2009 EUR 440,000 413,750
------------
</TABLE>
22
<PAGE>
FFTW FUNDS, INC.
WORLDWIDE-HEDGED PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
SPAIN - 0.2%
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (A) VALUE
--------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
BSCH Issuance Ltd. 5.125% 07/06/2009 EUR 370,000 $ 321,667
------------
SWEDEN - 0.7%
Birka Energi AB (MTN) 6.375% 11/03/2006 EUR 490,000 469,449
Investor AB 5.250% 06/30/2008 EUR 971,454 907,199
------------
1,376,648
------------
UNITED KINGDOM - 3.4%
Coca-Cola Enterprises Great
Britain (MTN) 6.750% 03/12/2008 GBP 400,000 590,694
Enterprise Oil Plc 7.250% 07/08/2009 GBP 265,000 392,336
Gallagher Group Plc 5.875% 08/06/2008 DEM 600,000 275,482
Glaxo Wellcome Plc 8.750% 12/01/2005 GBP 649,000 1,069,937
Hilton Group Finance Plc (MTN) 5.000% 07/27/2004 EUR 813,000 745,479
Imperial Tobacco Finance (MTN) 6.375% 09/27/2006 EUR 1,800,000 1,684,836
Lloyds TSB Bank Plc (MTN) 6.000% 06/07/2004 GBP 270,000 400,681
OTE Plc - 144A+/+ 6.125% 02/07/2007 EUR 370,000 348,121
Pearson Plc 6.125% 02/01/2007 EUR 1,000,000 939,573
Vodafone AirTouch Plc 5.750% 10/27/2006 EUR 600,000 558,227
------------
7,005,366
------------
UNITED STATES - 4.5%
Bank of America Corp. 7.800% 02/15/2010 400,000 397,884
Chase Manhattan Corp. 7.875% 06/15/2010 700,000 699,509
CIT Group Holdings, Inc. 7.375% 03/15/2003 376,000 371,090
Commercial Credit Co. 6.500% 08/01/2004 750,000 725,416
Exxon Capital Corp. 6.625% 08/15/2002 1,500,000 1,488,033
Ford Motor Credit Co. 7.500% 06/15/2003 460,000 457,959
Ford Motor Credit Co. 7.875% 06/15/2010 750,000 748,964
Harrahs Operating Co., Inc. 7.500% 01/15/2009 500,000 463,754
Household Finance Corp. 8.000% 05/09/2005 900,000 906,660
Lockheed Martin Corp. 8.200% 12/01/2009 500,000 504,752
Southern California Edison Co. 7.625% 01/15/2010 600,000 601,760
Target Corp. 7.500% 02/15/2005 740,000 735,856
Walmart Stores, Inc. 6.875% 08/10/2009 800,000 782,288
</TABLE>
23
<PAGE>
FFTW FUNDS, INC.
WORLDWIDE-HEDGED PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
UNITED STATES (CONTINUED)
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (A) VALUE
--------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Wells Fargo Co. 7.200% 05/01/2003 430,000 $ 427,979
------------
9,311,904
------------
Total (Cost - $19,758,461) 18,892,844
------------
SOVEREIGN DEBT OBLIGATIONS - 40.1%
DENMARK - 2.4%
Kingdom of Denmark Bond 6.000% 11/15/2009 DKK 30,610,000 4,011,838
Kingdom of Denmark Bond 7.000% 11/15/2007 DKK 100,000 13,835
Kingdom of Denmark Bond 7.000% 11/10/2024 DKK 5,400,000 797,337
------------
4,823,010
------------
FRANCE - 4.4%
France O.A.T. 6.000% 10/25/2025 EUR 500,000 502,327
French Treasury Note 5.000% 07/12/2005 EUR 9,000,000 8,575,335
------------
9,077,662
------------
GERMANY - 13.9%
Bundesobligation, Ser. 135 5.000% 05/20/2005 EUR 12,000,000 11,498,640
Bundesrepublic Deutschland
Bond 4.750% 07/04/2028 EUR 2,800,000 2,400,426
Bundesrepublic Deutschland
Bond 5.375% 01/04/2010 EUR 15,200,000 14,710,666
------------
28,609,732
------------
JAPAN - 8.6%
Japanese Government Bond 1.500% 06/22/2009 JPY 501,000,000 4,653,288
Japanese Government Bond 1.700% 03/22/2010 JPY 1,401,000,000 13,128,771
------------
17,782,059
------------
MULTI-NATIONAL - 7.1%
European Investment Bank 5.500% 12/07/2009 GBP 24,000 34,386
Inter-American Development
Bank 6.375% 10/22/2007 11,300,000 10,833,005
Inter-American Development
Bank 7.375% 01/15/2010 2,660,000 2,704,470
International Bank for
Reconstruction & Development
(MTN) 7.125% 07/30/2007 GBP 160,000 252,195
</TABLE>
24
<PAGE>
FFTW FUNDS, INC.
WORLDWIDE-HEDGED PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
MULTI-NATIONAL (CONTINUED)
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (A) VALUE
--------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
International Bank for
Reconstruction & Development,
Ser. 791 5.500% 05/14/2003 AUD 1,400,000 $ 824,176
------------
14,648,232
------------
SPAIN - 1.4%
Spanish Government Bond 6.000% 01/31/2008 EUR 2,980,419 2,945,903
------------
SWEDEN - 0.7%
Swedish Government Bond 8.000% 08/15/2007 SEK 4,700,000 619,747
Swedish Government Bond 9.000% 04/20/2009 SEK 5,600,000 802,368
------------
1,422,115
------------
UNITED KINGDOM - 1.6%
UK Treasury Bond 5.750% 12/07/2009 GBP 1,900,000 2,996,684
UK Treasury Note 6.500% 12/07/2003 GBP 200,000 308,612
------------
3,305,296
------------
Total (Cost - $83,412,435) 82,614,009
------------
U.S. GOVERNMENT AGENCY AND TREASURY OBLIGATIONS - 30.1%
FHLMC Global Note 7.000% 03/15/2010 7,300,000 7,238,498
FNMA Global Bond 6.375% 06/15/2009 9,930,000 9,410,353
FNMA Global Bond 7.250% 01/15/2010 32,750,000 33,017,371
U.S. Treasury Bond 6.125% 11/15/2027 11,370,000 11,334,469
U.S. Treasury Note 6.750% 05/15/2005 1,050,000 1,074,610
------------
Total (Cost - $61,619,098) 62,075,301
------------
TOTAL LONG-TERM INVESTMENTS
(COST - $212,479,402) 209,315,608
------------
</TABLE>
25
<PAGE>
FFTW FUNDS, INC.
WORLDWIDE-HEDGED PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
SHORT-TERM INVESTMENT -- 0.5%
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (A) VALUE
--------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
U.S. Treasury Bill@* 6.330% 10/19/2000 1,100,000 $ 1,081,025
------------
Total (Cost - $1,079,581)
TOTAL INVESTMENTS - 102.1%
(COST - $213,558,983) 210,396,633
LIABILITIES, NET OF OTHER
ASSETS - (2.1%) (4,301,527)
------------
NET ASSETS - 100.0% $206,095,106
============
</TABLE>
<TABLE>
<CAPTION>
Summary of Abbreviations
------------------------
<S> <C>
AUD Australian Dollar
DEM German Deutschemark
DKK Danish Krone
EUR European Monetary Unit (Euro)
FHLMC Federal Home Loan Mortgage Corp.
FNMA Federal National Mortgage Association
FRN Floating Rate Note
GBP Great British Pound
JPY Japanese Yen
MTN Medium-Term Note
SEK Swedish Krona
</TABLE>
(a) Face amount shown in U.S. dollars unless otherwise indicated.
+/+ Security exempt from registration under Rule 144A or Section 4(2) of
Securities Act of 1933. This security may be sold in transactions exempt
from registration, normally to qualified institutional buyers. At June 30,
2000, this security was valued at $2,195,665, or 1.1% of net assets.
@ 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.
See Notes to Financial Statements.
26
<PAGE>
FFTW FUNDS, INC.
INTERNATIONAL PORTFOLIO - SCHEDULE OF INVESTMENTS
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (A) VALUE
------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
LONG-TERM INVESTMENTS - 90.8%
ASSET- AND MORTGAGE-BACKED SECURITIES - 13.9%
GERMANY - 0.2%
CORE, Ser. 1999-1X, Class A-3A
(FRN) 3.666% 03/17/2009 EUR 283,312 $ 271,231
------------
JAPAN - 6.2%
Card Loan Investment
Opportunities, Ser. 1, Class
1 (FRN) 4.717% 09/28/2003 EUR 433,334 415,853
J-Shop Corp., Ser. II, Class 1
(FRN) 1.041% 01/13/2003 JPY 200,000,000 1,895,065
Lumiere Funding Corp., Ser.
1A, Class 1 (FRN) - 144A+/+ 7.035% 07/10/2003 191,512 191,248
Lumiere Funding Corp., Ser.
1X, Class 1 (FRN) 7.035% 07/10/2003 622,414 622,663
Maestro Securitisation Corp.,
Ser. 1, Class 1 (FRN) 7.045% 07/10/2005 725,169 725,895
Oscar Funding Corp., Ser. 2,
Class 1 (FRN) 6.975% 08/10/2003 210,385 210,553
Oscar Funding Corp., Ser. 3,
Class 1 (FRN) 7.235% 12/10/2003 294,300 295,153
Oscar Funding Corp., Ser. 4,
Class 2 (FRN) 4.672% 05/10/2004 EUR 356,388 342,216
Oscar Funding Corp., Ser. 5,
Class 1 (FRN) 6.925% 11/10/2004 EUR 482,274 482,370
Oscar Funding Corp., Ser. 5,
Class 2 (FRN) 4.532% 11/10/2004 EUR 241,137 231,224
R Funding Corp., Ser. 1X,
Class 1 (FRN) 7.191% 02/02/2004 654,807 656,247
Soleil Funding Corp., Ser. 1,
Class 1 (FRN) 7.385% 08/10/2004 630,480 633,632
------------
6,702,119
------------
UNITED KINGDOM - 0.6%
Chester Asset Receivables Deal
5 6.625% 03/17/2008 GBP 200,000 299,496
Chester Asset Receivables Deal
6, Ser. UK98-2 (FRN) 6.126% 09/15/2003 GBP 200,000 302,733
Hexagon Funding Ltd., Ser. 1X,
Class 2 (FRN) 3.918% 01/26/2004 EUR 65,820 63,690
------------
665,919
------------
UNITED STATES - 6.9%
Amethyst Funding Corp., Ser.
2, Class 1 (FRN) 6.971% 01/02/2004 968,347 968,153
BankBoston Home Equity Loan
Trust, Ser. 1998-1,
Class A1 6.460% 04/25/2012 122,134 121,555
Chase Credit Card Master
Trust, Ser. 1998-1, Class A 5.125% 02/15/2005 DEM 511,292 477,896
Chase Credit Card Master
Trust, Ser. 1998-4, Class A 5.000% 08/15/2008 DEM 600,000 275,443
Citibank Credit Card Master
Trust, Ser. 1999-6,
Class A - 144A+/+ 4.500% 08/25/2004 EUR 600,000 549,393
GMAC Swift Trust, Ser. 1999-1
- 144A+/+ 5.000% 01/18/2005 EUR 700,000 648,441
MBNA American European
Structure Offering, Ser.
1998, Class B 5.125% 04/19/2008 DEM 500,000 232,378
</TABLE>
27
<PAGE>
FFTW FUNDS, INC.
INTERNATIONAL PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
UNITED STATES (CONTINUED)
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (A) VALUE
------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
MBNA American European
Structure Offering, Ser. 6 4.375% 08/19/2004 EUR 1,000,000 $ 913,449
MCL Auto Loan Funding Corp.,
Ser. 1, Class 1 (FRN) 7.185% 09/10/2003 421,096 422,149
Novus Home Equity Line of
Credit Trust, Ser. 1999-1,
Class A (FRN) 6.840% 05/25/2010 1,423,921 1,423,465
Providian Home Equity Loan
Trust, Ser. 1999-1,
Class A (FRN) 6.900% 06/25/2025 1,430,673 1,431,045
------------
7,463,367
------------
Total (Cost - $15,644,785) 15,102,636
------------
CORPORATE OBLIGATIONS - 6.2%
FRANCE - 0.4%
Suez Lyonnaise des Eaux SA 5.875% 10/13/2009 EUR 450,000 417,158
------------
PORTUGAL - 0.4%
Caixa Geral de Depositos
Finance (MTN) 6.250% 10/12/2009 EUR 420,000 394,943
------------
SPAIN - 0.3%
BSCH Issuance Ltd. 5.125% 07/06/2009 EUR 350,000 304,280
------------
SWEDEN - 0.5%
Birka Energi AB (MTN) 6.375% 11/03/2006 EUR 250,000 239,515
Investor AB 5.250% 06/30/2008 EUR 306,775 286,484
------------
525,999
------------
UNITED KINGDOM - 4.2%
Coca-Cola Enterprises Great
Britain (MTN) 6.750% 03/12/2008 GBP 200,000 295,347
Enterprise Oil Plc 7.250% 07/08/2009 GBP 440,000 651,426
Glaxo Wellcome Plc 8.750% 12/01/2005 GBP 268,000 441,823
Hilton Group Finance Plc (MTN) 5.000% 07/27/2004 EUR 775,000 710,635
Imperial Tobacco Finance (MTN) 6.375% 09/27/2006 EUR 700,000 655,214
Lloyds TSB Bank Plc (MTN) 6.000% 06/07/2004 GBP 280,000 415,521
National Westminster Bank
(MTN) 6.000% 01/21/2010 EUR 230,000 212,080
OTE Plc - 144A+/+ 6.125% 02/07/2007 EUR 500,000 470,434
Pearson Plc 6.125% 02/01/2007 EUR 500,000 469,786
</TABLE>
28
<PAGE>
FFTW FUNDS, INC.
INTERNATIONAL PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
UNITED KINGDOM (CONTINUED)
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (A) VALUE
------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Vodafone AirTouch Plc 5.750% 10/27/2006 EUR 200,000 $ 186,076
------------
4,508,342
------------
UNITED STATES - 0.4%
Clear Channel Communications,
Inc. - 144A+/+ 6.500% 07/07/2005 EUR 500,000 476,354
------------
Total (Cost - $7,114,205) 6,627,076
------------
SOVEREIGN DEBT OBLIGATIONS - 68.5%
CANADA - 3.6%
Canadian Government Bond 5.000% 09/01/2004 CAD 6,000,000 3,906,966
------------
DENMARK - 2.5%
Kingdom of Denmark Bond 6.000% 11/15/2009 DKK 12,250,000 1,605,522
Kingdom of Denmark Bond 7.000% 11/10/2024 DKK 7,500,000 1,107,413
------------
2,712,935
------------
FRANCE - 9.6%
France O.A.T. 6.000% 10/25/2025 EUR 900,000 904,189
Government of France 5.500% 04/25/2010 EUR 9,900,000 9,569,894
------------
10,474,083
------------
GERMANY - 22.3%
Bundesobligation 5.000% 11/12/2002 EUR 552,843 530,275
Bundesobligation, Ser. 134 4.250% 02/18/2005 EUR 18,300,000 16,966,863
Bundesrepublic Deutschland
Bond 4.750% 07/04/2028 EUR 3,700,000 3,171,992
Bundesrepublic Deutschland
Bond 5.375% 01/04/2010 EUR 3,700,000 3,580,886
------------
24,250,016
------------
JAPAN - 25.1%
Japanese Government Bond 1.500% 06/22/2009 JPY 693,000,000 6,436,584
Japanese Government Bond 1.700% 03/22/2010 JPY 614,000,000 5,753,794
</TABLE>
29
<PAGE>
FFTW FUNDS, INC.
INTERNATIONAL PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
JAPAN (CONTINUED)
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (A) VALUE
------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Japanese Government Bond 1.800% 06/20/2008 JPY 1,566,000,000 $ 15,053,958
------------
27,244,336
------------
MULTI-NATIONAL - 0.9%
European Investment Bank 5.500% 12/07/2009 GBP 656,000 939,881
------------
SPAIN - 1.8%
Spanish Government Bond 6.000% 01/31/2008 EUR 2,000,000 1,976,838
------------
SWEDEN - 0.9%
Swedish Government Bond 8.000% 08/15/2007 SEK 7,500,000 988,958
------------
UNITED KINGDOM - 1.8%
Bank of Scotland (MTN) 5.500% 07/27/2009 EUR 360,000 323,012
UK Treasury Note 6.500% 12/07/2003 GBP 1,042,000 1,607,870
------------
1,930,882
------------
Total (Cost - $75,156,169) 74,424,895
------------
U.S. GOVERNMENT AGENCY AND TREASURY OBLIGATIONS - 2.2%
FNMA Global Bond 6.875% 06/07/2002 GBP 500,000 762,475
U.S. Treasury Note 6.500% 02/15/2010 1,550,000 1,602,798
------------
Total (Cost - $2,443,897) 2,365,273
------------
TOTAL LONG-TERM INVESTMENTS
(COST - $100,359,056) 98,519,880
------------
SHORT-TERM INVESTMENTS - 20.5%
Bank of Montreal, Yankee CD 6.620% 07/31/2000 400,000 400,000
Banque et Caisse D'Epargne de
L'Etat, CP* 6.090% 07/10/2000 3,000,000 2,995,433
Bayerische Hypo-Und
Vereinsbank, Yankee CD 6.660% 08/10/2000 4,000,000 4,000,044
Investors Bank & Trust Company
Cash Sweep 6.250% 07/03/2000 11,118,000 11,118,000
Landesbank Baden-Wurttemberg,
Yankee CD 6.660% 08/21/2000 3,000,000 3,000,027
</TABLE>
30
<PAGE>
FFTW FUNDS, INC.
INTERNATIONAL PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
SHORT-TERM INVESTMENTS (CONTINUED)
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (A) VALUE
------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
U.S. Treasury Bill@* 6.330% 10/19/2000 750,000 $ 737,062
------------
Total (Cost - $22,249,581) 22,250,566
------------
TOTAL INVESTMENTS - 111.3%
(COST - $122,608,637) 120,770,446
------------
LIABILITIES, NET OF OTHER
ASSETS - (11.3%) (12,213,249)
------------
NET ASSETS - 100.0% $108,557,197
============
</TABLE>
<TABLE>
<CAPTION>
Summary of Abbreviations
------------------------
<S> <C>
CAD Canadian Dollar
CP Commercial Paper
DEM German Deutschemark
DKK Danish Krone
EUR European Monetary Unit (Euro)
FNMA Federal National Mortgage Association
FRN Floating Rate Note
GBP Great British Pound
JPY Japanese Yen
MTN Medium-Term Note
SEK Swedish Krona
Yankee CD U.S. dollar denominated certificates of deposit issued
by non-U.S. banks in the U.S.
</TABLE>
(a) Face amount shown in U.S. dollars unless otherwise indicated.
+/+ Security exempt from registration under Rule 144A or Section 4(2) of
Securities Act of 1933. This security may be sold in transactions exempt
from registration, normally to qualified institutional buyers. At June 30,
2000, these securities were valued at $2,335,870, or 2.2% of net assets.
* 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.
31
<PAGE>
FFTW FUNDS, INC.
EMERGING MARKETS PORTFOLIO - SCHEDULE OF INVESTMENTS
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (A) VALUE
-------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
LONG-TERM INVESTMENTS - 95.0%
CORPORATE OBLIGATIONS - 9.9%
MALAYSIA - 4.7%
Petroliam Nasional Berhad
(Petronas), Ser. REGS 7.125% 10/18/2006 3,000,000 $ 2,868,918
Tenaga Nasional Berhad, Ser.
ITC (Eurodollar) 7.625% 04/29/2007 1,000,000 971,257
-----------
3,840,175
-----------
SOUTH KOREA - 4.6%
Pohang Iron & Steel Co. -
Yankee 7.125% 11/01/2006 4,000,000 3,740,172
-----------
THAILAND - 0.6%
Export-Import Bank of Thailand
(FRN) 7.275% 11/20/2000 500,000 497,200
-----------
Total (Cost - $8,009,330) 8,077,547
-----------
SOVEREIGN DEBT OBLIGATIONS - 85.1%
ARGENTINA - 8.8%
Republic of Argentina 11.750% 06/15/2015 2,124,000 1,922,220
Republic of Argentina (FRN) 7.875% 03/31/2023 1,700,000 1,368,500
Republic of Argentina (MTN) 11.750% 02/12/2007 ARS 2,500,000 2,056,661
Republic of Argentina, Ser.
BGL5 11.375% 01/30/2017 2,000,000 1,790,000
-----------
7,137,381
-----------
BRAZIL - 9.8%
Republic of Brazil 8.000% 04/15/2014 4,925,640 3,614,435
Republic of Brazil, Ser. 18YR
(FRN) 7.438% 04/15/2012 2,500,000 1,845,090
Republic of Brazil, Ser. L 11.625% 04/15/2004 2,500,000 2,525,000
-----------
7,984,525
-----------
BULGARIA - 9.5%
Bulgaria Discount Bond, Ser. A
(FRN) 7.063% 07/28/2024 3,000,000 2,399,652
Bulgaria Government Bond, Ser.
A (FRN) 2.750% 07/28/2012 4,000,000 2,940,000
</TABLE>
32
<PAGE>
FFTW FUNDS, INC.
EMERGING MARKETS PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
BULGARIA (CONTINUED)
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (A) VALUE
-------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Bulgaria Government Bond, Ser.
PDI (FRN) 7.063% 07/28/2011 3,000,000 $ 2,366,400
-----------
7,706,052
-----------
MALAYSIA - 3.8%
Malaysia Global Government
Bond 8.750% 06/01/2009 3,000,000 3,082,647
-----------
MEXICO - 10.0%
United Mexican States 11.375% 09/15/2016 3,000,000 3,435,000
United Mexican States Par
Bond, Ser. B 6.250% 12/31/2019 2,500,000 2,068,750
United Mexican States, Ser. XW 10.375% 02/17/2009 2,500,000 2,650,000
-----------
8,153,750
-----------
MOROCCO - 1.9%
Morocco Reconstruction &
Consolidation, Ser. A (FRN) 7.750% 01/01/2009 1,774,436 1,588,120
-----------
RUSSIA - 9.8%
Russian Federation Bond,
Eurodollar 12.750% 06/24/2028 5,000,000 4,281,500
Russian Federation Bond, Ser.
REGS - Eurodollar 11.750% 06/10/2003 4,000,000 3,704,000
-----------
7,985,500
-----------
SOUTH AFRICA - 9.3%
Republic of South Africa -
Yankee 8.500% 06/23/2017 2,500,000 2,212,500
Republic of South Africa
Global Bond, Eurodollar 9.125% 05/19/2009 5,500,000 5,390,000
-----------
7,602,500
-----------
SOUTH KOREA - 3.8%
Republic of Korea 8.875% 04/15/2008 3,000,000 3,108,750
-----------
TURKEY - 9.1%
Republic of Turkey 11.875% 11/05/2004 2,000,000 2,062,600
Republic of Turkey 11.875% 01/15/2030 2,500,000 2,678,250
</TABLE>
33
<PAGE>
FFTW FUNDS, INC.
EMERGING MARKETS PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
TURKEY (CONTINUED)
<CAPTION>
COUPON FACE
RATE MATURITY AMOUNT (A) VALUE
-------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Republic of Turkey 12.375% 06/15/2009 2,500,000 $ 2,656,250
-----------
7,397,100
-----------
URUGUAY - 1.3%
Banco Central del Uruguay,
Ser. B 6.750% 02/19/2021 1,250,000 1,087,500
-----------
VENEZUELA - 8.0%
Republic of Venezuela 9.250% 09/15/2027 3,000,000 1,976,250
Republic of Venezuela, Ser. DL
(FRN) 7.875% 12/18/2007 2,142,825 1,738,474
Republic of Venezuela, Ser.
W-A (FRN)# 7.375% 03/31/2020 4,044,625 2,790,000
-----------
6,504,724
-----------
Total (Cost - $64,616,662) 69,338,549
-----------
<CAPTION>
WARRANTS - 0.0% STRIKE EXPIRATION SHARES
--------------- ------ ---------- ------
<S> <C> <C> <C> <C>
NIGERIA - 0.0%
Central Bank of Nigeria (Cost
- $0) 0.000% 11/15/2020 3,000 0
-----------
TOTAL LONG-TERM INVESTMENTS
(COST - $72,625,992) 77,416,096
-----------
<CAPTION>
COUPON FACE
SHORT-TERM INVESTMENT - 2.3% RATE MATURITY AMOUNT (A)
---------------------------- ------ -------- ----------
<S> <C> <C> <C> <C>
Investors Bank & Trust Company
Cash Sweep 6.250% 07/03/2000 1,875,000 1,875,000
-----------
Total (Cost - $1,875,000)
-----------
TOTAL INVESTMENTS - 97.3%
(COST - $74,500,992) 79,291,096
-----------
OTHER ASSETS, NET OF
LIABILITIES - 2.7% 2,202,402
-----------
NET ASSETS - 100.0% $81,493,498
===========
</TABLE>
34
<PAGE>
FFTW FUNDS, INC.
EMERGING MARKETS PORTFOLIO - SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
Summary of Abbreviations
------------------------
<S> <C>
ARS Argentinian Peso
FRN Floating Rate Note
MTN Medium-Term Note
Eurodollar U.S. dollar denominated security issued outside the U.S.
with interest and principal paid in U.S. dollars.
Yankee U.S. dollar denominated bonds issued by non-U.S. companies
in the U.S.
</TABLE>
(a) Face amount shown in U.S. dollars unless otherwise indicated.
# Security is issued with detachable warrants. The current value of each
warrant is zero.
See Notes to Financial Statements.
35
<PAGE>
FFTW FUNDS, INC.
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2000 (UNAUDITED) U.S. PORTFOLIOS
<TABLE>
<CAPTION>
U.S. SHORT-TERM LIMITED DURATION MORTGAGE-BACKED
PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------------------------------------
<S> <C> <C> <C>
ASSETS
-----------------------------------
Investments in securities, at value
(Cost - $401,867,624, $99,649,826
and $505,422,834, respectively) $400,902,519 $99,185,083 $503,309,057
Cash 442 - 512
Receivable for securities sold 62,750 8,574 91,914,421
Receivable for fund shares sold - - 10,000,000
Receivable from Investment Adviser 140,954 - -
Interest receivable 1,744,685 700,721 2,308,817
Variation margin receivable - 937 -
Other receivables 2,733 16,038 49,481
------------ ----------- ------------
Total assets 402,854,083 99,911,353 607,582,288
------------ ----------- ------------
LIABILITIES
-----------------------------------
Payable for securities purchased - 3,282,109 272,707,716
Securities sold short, at value
(proceeds $20,634,562) - - 20,745,592
Variation margin payable 723 - 3,558
Interest payable on securities sold
short - - 604,332
Distribution payable 1,134 - -
Due to bank - 37,773 -
Payable to Investment Adviser - 501 4,360
Accrued expenses and other
liabilities 159,420 13,709 2,245
------------ ----------- ------------
Total liabilities 161,277 3,334,092 294,067,803
------------ ----------- ------------
NET ASSETS $402,692,806 $96,577,261 $313,514,485
---------- ============ =========== ============
SHARES OUTSTANDING (PAR VALUE
$0.001) 41,722,705 9,992,352 32,567,615
----------------------------------- ============ =========== ============
NET ASSET VALUE PER SHARE $ 9.65 $ 9.67 $ 9.63
------------------------- ============ =========== ============
COMPONENTS OF NET ASSETS AS OF JUNE
30, 2000 WERE AS FOLLOWS:
-----------------------------------
Paid-in capital $421,162,449 $99,220,160 $343,255,840
Undistributed (distributions in
excess of) investment income, net 279,097 - (224,949)
Accumulated net realized loss on
investments, short sales and
financial futures and options
contracts (17,680,301) (2,143,652) (27,437,744)
Net unrealized depreciation on
investments, short sales and
financial futures and options
contracts (1,068,439) (499,247) (2,078,662)
------------ ----------- ------------
$402,692,806 $96,577,261 $313,514,485
============ =========== ============
</TABLE>
See Notes to Financial Statements.
36
<PAGE>
FFTW FUNDS, INC.
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
JUNE 30, 2000 (UNAUDITED) GLOBAL & INTERNATIONAL PORTFOLIOS
<TABLE>
<CAPTION>
GLOBAL TACTICAL WORLDWIDE WORLDWIDE-HEGDED
EXPOSURE PORTFOLIO PORTFOLIO PORTFOLIO
-----------------------------------------------------------------------------------------
<S> <C> <C> <C>
ASSETS
-----------------------------------
Investments in securities, at value
(Cost - $124,351,480, $128,672,022
and $213,558,983, respectively) $119,657,543 $126,960,611 $210,396,633
Cash 988 410 -
Cash on deposit at broker 2,924,718 303,000 475,000
Foreign cash (Cost - $1,201,835,
$1,316,064 and $1,097,961,
respectively) 1,155,619 1,274,720 1,105,556
Receivable for securities sold 28,354,023 33,789,124 37,191,622
Receivable from Investment Adviser - 50,605 82,680
Interest receivable 2,265,737 3,178,057 4,323,782
Net unrealized appreciation of
forward foreign exchange contracts 849,300 818,280 45,782
Other receivables 4,807 18,672 3,739
------------ ------------ ------------
Total assets 155,212,735 166,393,479 253,624,794
------------ ------------ ------------
LIABILITIES
-----------------------------------
Payable for securities purchased 35,371,312 38,959,743 42,656,638
Variation margin payable 907,117 741,585 903,102
Net unrealized depreciation of
forward foreign exchange contracts 858,636 533,886 3,805,193
Distribution payable - 120,197 1,623
Unrealized depreciation on swap
contract 2,725,146 - -
Due to bank - - 46,591
Payable to Investment Adviser 1,374 - -
Accrued expenses and other
liabilities 7,161 59,618 116,541
------------ ------------ ------------
Total liabilities 39,870,746 40,415,029 47,529,688
------------ ------------ ------------
NET ASSETS $115,341,989 $125,978,450 $206,095,106
---------- ============ ============ ============
SHARES OUTSTANDING (PAR VALUE
$0.001) 11,819,551 14,213,767 19,308,431
----------------------------------- ============ ============ ============
NET ASSET VALUE PER SHARE $ 9.76 $ 8.86 $ 10.67
------------------------- ============ ============ ============
COMPONENTS OF NET ASSETS AS OF JUNE
30, 2000 WERE AS FOLLOWS:
-----------------------------------
Paid-in capital $115,718,671 $137,443,270 $215,164,376
Undistributed investment income,
net 13,733,654 146,385 375,953
Accumulated net realized loss on
investments, financial futures and
swap contracts and foreign
currency-related transactions (6,644,066) (10,106,514) (2,568,056)
Net unrealized depreciation on
investments, financial futures and
swap contracts and translation of
other assets and liabilities
denominated in foreign currency (7,466,270) (1,504,691) (6,877,167)
------------ ------------ ------------
$115,341,989 $125,978,450 $206,095,106
============ ============ ============
</TABLE>
See Notes to Financial Statements.
37
<PAGE>
FFTW FUNDS, INC.
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
JUNE 30, 2000 (UNAUDITED) GLOBAL & INTERNATIONAL PORTFOLIOS
<TABLE>
<CAPTION>
INTERNATIONAL EMERGING MARKETS
PORTFOLIO PORTFOLIO
-------------------------------------------------------------------------
<S> <C> <C>
ASSETS
----------------------------------------
Investments in securities, at value
(Cost - $122,608,637 and $74,500,992,
respectively) $120,770,446 $ 79,291,096
Cash 71 500
Cash on deposit at broker 265,584 270,210
Foreign cash (Cost - $781,145 and
$268,821, respectively) 787,761 383,534
Receivable for securities sold 19,935,960 -
Receivable for fund shares sold 9,392 -
Interest receivable 1,805,301 1,575,560
Net unrealized appreciation of forward
foreign exchange contracts 1,878,153 153,116
Other receivables 23,689 13,435
------------ ------------
Total assets 145,476,357 81,687,451
------------ ------------
LIABILITIES
----------------------------------------
Payable for securities purchased 34,728,027 -
Variation margin payable 670,416 -
Net unrealized depreciation of forward
foreign exchange contracts 1,502,687 31,326
Distribution payable 6,296 -
Payable to Investment Adviser 5,703 7,763
Accrued taxes - 106,489
Accrued expenses and other liabilities 6,031 48,375
------------ ------------
Total liabilities 36,919,160 193,953
------------ ------------
NET ASSETS $108,557,197 $ 81,493,498
---------- ============ ============
SHARES OUTSTANDING (PAR VALUE $0.001) 13,005,711 10,641,064
------------------------------------ ============ ============
NET ASSET VALUE PER SHARE $ 8.35 $ 7.66
------------------------- ============ ============
COMPONENTS OF NET ASSETS AS OF JUNE 30,
2000 WERE AS FOLLOWS:
----------------------------------------
Paid-in capital $118,274,753 $121,134,711
Distributions in excess of investment
income, net (1,051,888) (2,864,693)
Accumulated net realized loss on
investments, financial futures and swap
contracts and foreign currency-related
transactions (7,275,766) (41,803,149)
Net unrealized appreciation
(depreciation) on investments,
financial futures contracts and
translation of other assets and
liabilities denominated in foreign
currency (1,389,902) 5,026,629
------------ ------------
$108,557,197 $ 81,493,498
============ ============
</TABLE>
See Notes to Financial Statements.
38
<PAGE>
FFTW FUNDS, INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2000 (UNAUDITED) U.S. PORTFOLIOS
<TABLE>
<CAPTION>
U.S. SHORT-TERM LIMITED DURATION MORTGAGE-BACKED
PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME
-----------------------------------
Interest $16,886,742 $2,941,699 $11,528,296
----------- ---------- -----------
EXPENSES
-----------------------------------
Investment advisory fees 813,879 156,192 452,385
Administration fees 149,596 23,312 79,782
Audit fees 50,529 7,719 26,302
Legal fees 7,705 1,177 4,011
Custodian fees 99,481 22,111 75,923
Transfer agent fees 15,714 482 989
Registration fees 3,842 7,986 2,910
Directors' fees and expenses 31,120 4,754 16,199
Other fees and expenses 38,203 8,621 24,363
----------- ---------- -----------
Total operating expenses 1,210,069 232,354 682,864
Waiver of investment advisory fees (488,690) (98,517) (304,292)
Waiver of administration fees (34,809) - -
----------- ---------- -----------
Less Allocations (523,499) (98,517) (304,292)
----------- ---------- -----------
Operating expenses, net 686,570 133,837 378,572
----------- ---------- -----------
Investment income, net 16,200,172 2,807,862 11,149,724
----------- ---------- -----------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS,
SHORT SALES AND FINANCIAL FUTURES
AND OPTIONS CONTRACTS
-----------------------------------
Net realized loss on investments (346,623) (355,284) (3,629,618)
Net realized loss on short sales - - (219,124)
Net realized gain (loss) on
financial futures and options
contracts (362,625) (38,784) 699,850
Net change in unrealized
appreciation on investments 644,120 449,177 5,468,617
Net change in unrealized
depreciation on short sales - - (111,030)
Net change in unrealized
appreciation (depreciation) on
financial futures and
options contracts 179,286 (34,504) (519,414)
----------- ---------- -----------
Net realized and unrealized gain on
investments, short sales and
financial futures and options
contracts 114,158 20,605 1,689,281
----------- ---------- -----------
Net Increase in Net Assets
Resulting from Operations $16,314,330 $2,828,467 $12,839,005
=========== ========== ===========
</TABLE>
See Notes to Financial Statements.
39
<PAGE>
FFTW FUNDS, INC.
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE SIX MONTHS ENDED JUNE 30, 2000 (UNAUDITED)
GLOBAL & INTERNATIONAL PORTFOLIOS
<TABLE>
<CAPTION>
GLOBAL TACTICAL WORLDWIDE WORLDWIDE-HEGDED
EXPOSURE PORTFOLIO PORTFOLIO PORTFOLIO
-----------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME
-----------------------------------
Interest $ 6,050,592 $ 2,815,277 $ 5,846,399
----------- ----------- -----------
EXPENSES
-----------------------------------
Investment advisory fees 240,605 187,059 394,807
Administration fees 32,017 23,126 51,365
Audit fees 10,607 7,562 16,721
Legal fees 1,618 1,153 2,550
Custodian fees 65,552 45,838 76,502
Transfer agent fees 1,432 3,180 3,994
Registration fees 3,297 2,792 5,092
Directors' fees and expenses 6,532 4,658 10,298
Other fees and expenses 12,947 5,697 13,276
----------- ----------- -----------
Total operating expenses 374,607 281,065 574,605
Waiver of investment advisory fees (190,952) (1,120) (130,414)
----------- ----------- -----------
Operating expenses, net 183,655 279,945 444,191
Interest Expense 2,496,096 - -
----------- ----------- -----------
Total expenses 2,679,751 279,945 444,191
----------- ----------- -----------
Investment income, net 3,370,841 2,535,332 5,402,208
----------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS,
FINANCIAL FUTURES AND SWAP
CONTRACTS AND
FOREIGN CURRENCY-RELATED
TRANSACTIONS
-----------------------------------
Net realized loss on investments (4,552,803) (1,610,505) (4,240,112)
Net realized gain on financial
futures and swap contracts 10,728,196 943,340 1,664,498
Net realized gain (loss) on foreign
currency-related transactions (8,904,473) (2,798,492) 6,656,903
Net change in unrealized
appreciation on investments 183,672 1,181,094 2,493,320
Net change in unrealized
depreciation on financial futures
and swap contracts (3,415,053) (304,285) (591,719)
Net change in unrealized
appreciation (depreciation) on
translation of other assets and
liabilities denominated in foreign
currency 1,958,072 386,793 (4,220,134)
----------- ----------- -----------
Net realized and unrealized gain
(loss) on investments, financial
futures and swap contracts and
foreign currency-related
transactions (4,002,389) (2,202,055) 1,762,756
----------- ----------- -----------
Net Increase (Decrease) in Net
Assets Resulting from Operations $ (631,548) $ 333,277 $ 7,164,964
=========== =========== ===========
</TABLE>
See Notes to Financial Statements.
40
<PAGE>
FFTW FUNDS, INC.
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE SIX MONTHS ENDED JUNE 30, 2000 (UNAUDITED)
GLOBAL & INTERNATIONAL PORTFOLIOS
<TABLE>
<CAPTION>
INTERNATIONAL EMERGING MARKETS
PORTFOLIO PORTFOLIO
-------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
----------------------------------------
Interest (net of tax expense of $0 and
$31,641, respectively) $ 2,898,445 $ 5,077,524
----------- -----------
EXPENSES
----------------------------------------
Investment advisory fees 205,861 328,036
Administration fees 26,934 23,708
Audit fees 8,849 17,962
Legal fees 1,349 1,214
Custodian fees 47,956 76,089
Transfer agent fees 3,362 1,487
Registration fees 1,578 1,739
Directors' fees and expenses 5,450 5,904
Other fees and expenses 7,067 19,148
----------- -----------
Total operating expenses 308,406 475,287
Waiver of investment advisory fees (393) -
----------- -----------
Operating expenses, net 308,013 475,287
----------- -----------
Investment income, net 2,590,432 4,602,237
----------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS,
FINANCIAL FUTURES AND SWAP CONTRACTS AND
FOREIGN CURRENCY-RELATED TRANSACTIONS
----------------------------------------
Net realized loss on investments (1,302,004) (5,405,350)
Net realized gain (loss) on financial
futures and swap contracts 286,289 (653,875)
Net realized loss on foreign
currency-related transactions (4,933,143) (1,039,870)
Net change in unrealized appreciation on
investments 761,466 5,809,578
Net change in unrealized appreciation on
financial futures contracts 90,276 684,816
Net change in unrealized appreciation
(depreciation) on translation of other
assets and liabilities denominated in
foreign currency 928,586 (223,062)
----------- -----------
Net realized and unrealized loss on
investments, financial futures and swap
contracts and foreign currency-related
transactions (4,168,530) (827,763)
----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations $(1,578,098) $ 3,774,474
=========== ===========
</TABLE>
See Notes to Financial Statements.
41
<PAGE>
FFTW FUNDS, INC.
STATEMENTS OF CHANGES IN NET ASSETS
U.S. PORTFOLIOS
<TABLE>
<CAPTION>
U.S. SHORT-TERM PORTFOLIO LIMITED DURATION PORTFOLIO
---------------------------- ----------------------------
SIX MONTHS SIX MONTHS
ENDED ENDED
JUNE 30, 2000 YEAR ENDED JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DEC. 31, 1999 (UNAUDITED) DEC. 31, 1999
------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
------------------------------
Investment income, net $ 16,200,172 $ 33,728,992 $ 2,807,862 $ 4,970,725
Net realized loss on
investments and financial
futures contracts (709,248) (6,973,700) (394,068) (1,473,969)
Net change in unrealized
appreciation (depreciation)
on investments and financial
futures contracts 823,406 (218,178) 414,673 (933,568)
------------- ------------- ------------ ------------
Net increase in net assets
resulting from operations 16,314,330 26,537,114 2,828,467 2,563,188
------------- ------------- ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS
------------------------------
From investment income, net 16,200,208 33,728,992 2,807,862 4,970,725
------------- ------------- ------------ ------------
Total Distributions 16,200,208 33,728,992 2,807,862 4,970,725
------------- ------------- ------------ ------------
CAPITAL SHARE TRANSACTIONS,
NET (247,868,256) (182,727,188) (3,548,341) 12,991,549
------------------------------ ------------- ------------- ------------ ------------
Total increase (decrease) in
net assets (247,754,134) (189,919,066) (3,527,736) 10,584,012
NET ASSETS
------------------------------
Beginning of Period 650,446,940 840,366,006 100,104,997 89,520,985
------------- ------------- ------------ ------------
End of Period $402,692,806 $ 650,446,940 $ 96,577,261 $100,104,997
============= ============= ============ ============
UNDISTRIBUTED INVESTMENT
INCOME, NET $ 279,097 $ 279,133 $ - $ -
------------------------------
</TABLE>
See Notes to Financial Statements.
42
<PAGE>
FFTW FUNDS, INC.
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
U.S. PORTFOLIOS
<TABLE>
<CAPTION>
MORTGAGE-BACKED PORTFOLIO
----------------------------
SIX MONTHS
ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DEC. 31, 1999
----------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
----------------------------------------
Investment income, net $ 11,149,724 $ 36,992,426
Net realized loss on investments, short
sales and financial futures and options
contracts (3,148,892) (21,132,605)
Net change in unrealized appreciation
(depreciation) on investments, short
sales and financial futures and options
contracts 4,838,173 (5,202,823)
------------ -------------
Net increase in net assets resulting
from operations 12,839,005 10,656,998
------------ -------------
DISTRIBUTIONS TO SHAREHOLDERS
----------------------------------------
From investment income, net 12,977,503 39,460,236
From net realized gain on investments,
short sales and financial futures and
options contracts - 1,307,032
------------ -------------
Total Distributions 12,977,503 40,767,268
------------ -------------
CAPITAL SHARE TRANSACTIONS, NET 15,387,785 (486,991,142)
------------------------------ ------------ -------------
Total increase (decrease) in net assets 15,249,287 (517,101,412)
NET ASSETS
----------------------------------------
Beginning of Period 298,265,198 815,366,610
------------ -------------
End of Period $313,514,485 $ 298,265,198
============ =============
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS
OF) INVESTMENT INCOME, NET $ (224,949) $ 1,602,830
----------------------------------------
</TABLE>
See Notes to Financial Statements.
43
<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 ENDED
JUNE 30, 2000 YEAR ENDED JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DEC. 31, 1999 (UNAUDITED) DEC. 31, 1999
-------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
------------------------------
Investment income, net $ 3,370,841 $ 17,371,897 $ 2,535,332 $ 3,033,333
Net realized loss on
investments, financial
futures and swap contracts
and foreign currency-related
transactions (2,729,080) 13,269,015 (3,465,657) (2,206,357)
Net change in unrealized
appreciation (depreciation)
on investments, financial
futures and swap contracts
and on translation of assets
and liabilities denominated
in foreign currency (1,273,309) (19,353,811) 1,263,602 (4,461,628)
------------ -------------- ------------ -----------
Net increase (decrease) in net
assets resulting from
operations (631,548) 11,287,101 333,277 (3,634,652)
------------ -------------- ------------ -----------
DISTRIBUTIONS TO SHAREHOLDERS
------------------------------
From investment income, net 3,370,841 17,233,430 2,535,332 4,356,934
------------ -------------- ------------ -----------
Total Distributions 3,370,841 17,233,430 2,535,332 4,356,934
------------ -------------- ------------ -----------
CAPITAL SHARE TRANSACTIONS,
NET (12,399,492) (286,275,510) 59,599,419 6,919,918
------------------------------ ------------ -------------- ------------ -----------
Total increase (decrease) in
net assets (16,401,881) (292,221,839) 57,397,364 (1,071,668)
NET ASSETS
------------------------------
Beginning of Period 131,743,870 423,965,709 68,581,086 69,652,754
------------ -------------- ------------ -----------
End of Period $115,341,989 $ 131,743,870 $125,978,450 $68,581,086
============ ============== ============ ===========
UNDISTRIBUTED INVESTMENT
INCOME, NET $ 13,733,654 $ 13,733,654 $ 146,385 $ 146,385
------------------------------
</TABLE>
See Notes to Financial Statements.
44
<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 ENDED
JUNE 30, 2000 YEAR ENDED JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DEC. 31, 1999 (UNAUDITED) DEC. 31, 1999
------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
------------------------------
Investment income, net $ 5,402,208 $ 8,716,264 $ 2,590,432 $ 3,828,509
Net realized (gain) loss on
investments, financial
futures contracts and foreign
currency-related transactions 4,081,289 (3,581,013) (5,948,858) (4,810,658)
Net change in unrealized
appreciation (depreciation)
on investments, financial
futures contracts and on
translation of assets and
liabilities denominated in
foreign currency (2,318,533) (5,499,117) 1,780,328 (4,455,567)
------------ ------------ ------------ ------------
Net increase (decrease) in net
assets resulting from
operations 7,164,964 (363,866) (1,578,098) (5,437,716)
------------ ------------ ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS
------------------------------
From investment income, net 5,403,923 9,960,603 2,590,432 3,828,509
From net realized gain on
investments, financial
futures contracts and foreign
currency-related transactions - 53,774 - -
------------ ------------ ------------ ------------
Total Distributions 5,403,923 10,014,377 2,590,432 3,828,509
------------ ------------ ------------ ------------
CAPITAL SHARE TRANSACTIONS,
NET 22,798,934 17,108,839 9,161,879 31,125,201
------------------------------ ------------ ------------ ------------ ------------
Total increase in net assets 24,559,975 6,730,596 4,993,349 21,858,976
NET ASSETS
------------------------------
Beginning of Period 181,535,131 174,804,535 103,563,848 81,704,872
------------ ------------ ------------ ------------
End of Period $206,095,106 $181,535,131 $108,557,197 $103,563,848
============ ============ ============ ============
UNDISTRIBUTED (DISTRIBUTIONS
IN EXCESS OF) INVESTMENT
INCOME, NET $ 375,953 $ 377,668 $ (1,051,888) $ (1,051,888)
----------------------
</TABLE>
See Notes to Financial Statements.
45
<PAGE>
FFTW FUNDS, INC.
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
GLOBAL & INTERNATIONAL PORTFOLIOS
<TABLE>
<CAPTION>
EMERGING MARKETS PORTFOLIO
----------------------------------
SIX MONTHS
ENDED JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DEC. 31, 1999
----------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
----------------------------------------
Investment income, net $ 4,602,237 $ 19,107,924
Net realized loss on investments,
financial futures and swap contracts
and foreign currency-related
transactions (7,099,095) (17,573,691)
Net change in unrealized appreciation on
investments, financial futures
contracts and on translation of assets
and liabilities denominated in foreign
currency 6,271,332 15,393,253
------------ ------------
Net increase in net assets resulting
from operations 3,774,474 16,927,486
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS
----------------------------------------
From investment income, net 4,602,237 19,648,340
------------ ------------
Total Distributions 4,602,237 19,648,340
------------ ------------
CAPITAL SHARE TRANSACTIONS, NET (46,097,763) (33,568,837)
------------------------------ ------------ ------------
Total decrease in net assets (46,925,526) (36,289,691)
NET ASSETS
----------------------------------------
Beginning of Period 128,419,024 164,708,715
------------ ------------
End of Period $ 81,493,498 $128,419,024
============ ============
DISTRIBUTIONS IN EXCESS OF INVESTMENT
INCOME, NET $ (2,864,693) $ (2,864,693)
----------------------------------------
</TABLE>
See Notes to Financial Statements.
46
<PAGE>
FFTW FUNDS, INC.
FINANCIAL HIGHLIGHTS
U.S. SHORT-TERM PORTFOLIO
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS FOR THE YEAR ENDED,
ENDED ----------------------------------------------------------
FOR A SHARE OUTSTANDING JUNE 30, 2000 DEC. 31, DEC. 31, DEC. 31, DEC. 31, DEC. 31,
THROUGHOUT THE PERIOD: (UNAUDITED) 1999 1998 1997 1996 1995
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
-------------------------
Net asset value,
beginning of period $ 9.65 $ 9.76 $ 9.77 $ 9.85 $ 9.88 $ 9.89
INCREASE (DECREASE) FROM
INVESTMENT OPERATIONS
-------------------------
Investment income, net 0.29 * 0.51 * 0.54 0.57 0.55 0.56
Net realized and
unrealized loss on
investments, and
financial futures
contracts and foreign
currency related
transactions - (0.11) (0.01) (0.08) (0.03) (0.01)
-------- -------- -------- -------- -------- --------
Total from investment
operations 0.29 0.40 0.53 0.49 0.52 0.55
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS
-------------------------
From investment income,
net 0.29 0.51 0.54 0.57 0.55 0.56
In excess of investment
income, net - - - - - 0.00 **
-------- -------- -------- -------- -------- --------
Total distributions 0.29 0.51 0.54 0.57 0.55 0.56
-------- -------- -------- -------- -------- --------
Net asset value, end of
period $ 9.65 $ 9.65 $ 9.76 $ 9.77 $ 9.85 $ 9.88
======== ======== ======== ======== ======== ========
TOTAL RETURN 3.04% 4.26% 5.59% 5.09% 5.45% 5.71%
-------------------------
RATIOS/SUPPLEMENTAL DATA
-------------------------
Net assets, end of period
(000's) $402,693 $650,447 $840,366 $486,906 $355,257 $457,425
Ratio of operating
expenses to average net
assets, exclusive of
interest expense (a) 0.25%(b) 0.25% 0.25% 0.25% 0.27% 0.40%
Ratio of operating
expenses to average net
assets, inclusive of
interest expense (a) 0.25%(b) 0.25% 0.25% 0.26% 0.40% 0.51%
Ratio of investment
income, net to average
net assets (a) 5.97%(b) 5.29% 5.48% 5.78% 5.62% 5.64%
Decrease in above expense
ratios due to waiver of
investment advisory and
administration fees 0.19%(b) 0.18% 0.17% 0.18% 0.05% 0.07%
</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.
47
<PAGE>
FFTW FUNDS, INC.
FINANCIAL HIGHLIGHTS (CONTINUED)
LIMITED DURATION PORTFOLIO
<TABLE>
<CAPTION>
FOR THE SIX FOR THE YEAR ENDED
MONTHS ENDED --------------------------------------------------
FOR A SHARE OUTSTANDING JUNE 30, 2000 DEC. 31, DEC. 31, DEC. 31, DEC. 31, DEC. 31,
THROUGHOUT THE PERIOD: (UNAUDITED) 1999 1998 1997 1996 1995
---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
-------------------------
Net asset value,
beginning of period $ 9.66 $ 9.93 $ 9.93 $ 9.93 $ 10.00 $ 9.55
INCREASE (DECREASE) FROM
INVESTMENT OPERATIONS
-------------------------
Investment income, net 0.30 0.55 * 0.55 0.62 0.55 0.60
Net realized and
unrealized gain (loss)
on investments, and
financial futures
contracts and foreign
currency related
transactions 0.01 (0.27) 0.11 0.08 (0.04) 0.45
------- -------- ------- ------- ------- -------
Total from investment
operations 0.31 0.28 0.66 0.70 0.51 1.05
------- -------- ------- ------- ------- -------
LESS DISTRIBUTIONS
-------------------------
From investment income,
net 0.30 0.55 0.55 0.62 0.55 0.60
In excess of investment
income, net - - 0.00 ** - 0.00 ** -
From net realized gain on
investments, and
financial futures
contracts and foreign
currency related
transactions - - 0.11 0.08 0.03 -
------- -------- ------- ------- ------- -------
Total distributions 0.30 0.55 0.66 0.70 0.58 0.60
------- -------- ------- ------- ------- -------
Net asset value, end of
period $ 9.67 $ 9.66 $ 9.93 $ 9.93 $ 9.93 $ 10.00
======= ======== ======= ======= ======= =======
TOTAL RETURN 3.28% 2.88% 6.79% 7.21% 5.29% 11.26%
-------------------------
RATIOS/SUPPLEMENTAL DATA
-------------------------
Net assets, end of period
(000's) $96,577 $100,105 $89,521 $40,029 $42,100 $ 5,080
Ratio of operating
expenses to average net
assets, exclusive of
interest expense (a) 0.30% (b) 0.30% 0.30% 0.30% 0.31% 0.50%
Ratio of operating
expenses to average net
assets, inclusive of
interest expense (a) 0.30% (b) 0.30% 0.30% 0.60% 0.49% 1.41%
Ratio of investment
income, net to average
net assets (a) 6.29% (b) 5.60% 5.48% 6.10% 5.79% 6.09%
Decrease in above expense
ratios due to waiver of
investment advisory
fees and reimbursement
of other expenses 0.22% (b) 0.24% 0.22% 0.31% 0.15% 0.53%
Portfolio Turnover 239% 823% 1,059% 1,292% 1,387% 1,075%
</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.
48
<PAGE>
FFTW FUNDS, INC.
FINANCIAL HIGHLIGHTS (CONTINUED)
MORTGAGE-BACKED PORTFOLIO
<TABLE>
<CAPTION>
FOR THE SIX FOR THE YEAR ENDED,
MONTHS ENDED ------------------------------- PERIOD FROM
FOR A SHARE OUTSTANDING JUNE 30, 2000 DEC. 31, DEC. 31, DEC. 31, APRIL 20, 1996* TO
THROUGHOUT THE PERIOD: (UNAUDITED) 1999 1998 1997 DECEMBER 31, 1996
-----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
-------------------------
Net asset value,
beginning of period $ 9.64 $ 10.18 $ 10.30 $ 10.16 $ 10.00
INCREASE (DECREASE) FROM
INVESTMENT OPERATIONS
-------------------------
Investment income, net 0.35 ** 0.61 ** 0.68 0.68 0.41
Net realized and
unrealized gain (loss)
on investments, short
sales, financial
futures and options
contracts 0.06 (0.49) 0.07 0.32 0.23
-------- -------- -------- -------- --------
Total from investment
operations 0.41 0.12 0.75 1.00 0.64
-------- -------- -------- -------- --------
LESS DISTRIBUTIONS
-------------------------
From investment income,
net 0.42 0.64 0.65 0.63 0.41
In excess of investment
income, net - - - 0.05 0.06
From net realized gain on
investments, short
sales, financial
futures and options
contracts - 0.02 0.22 0.18 0.01
-------- -------- -------- -------- --------
Total distributions 0.42 0.66 0.87 0.86 0.48
-------- -------- -------- -------- --------
Net asset value, end of
period $ 9.63 $ 9.64 $ 10.18 $ 10.30 $ 10.16
======== ======== ======== ======== ========
TOTAL RETURN 4.32% 1.21% 7.42% 10.19% 6.54% (c)
-------------------------
RATIOS/SUPPLEMENTAL DATA
-------------------------
Net assets, end of period
(000's) $313,514 $298,265 $815,367 $655,271 $220,990
Ratio of operating
expenses to average net
assets, exclusive of
interest expense (a) 0.25% (b) 0.24% 0.23% 0.38% 0.45% (b)
Ratio of operating
expenses to average net
assets, inclusive of
interest expense (a) 0.25% (b) 0.24% 0.37% 0.47% 0.88% (b)
Ratio of investment
income, net to average
net assets (a) 7.39% (b) 6.10% 6.33% 6.07% 7.61% (b)
Decrease in above expense
ratios due to waiver of
investment advisory
fees and reimbursement
of other expenses 0.20% (b) 0.20% 0.20% 0.07% 0.10% (b)
Portfolio Turnover 520% 745% 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.
49
<PAGE>
FFTW FUNDS, INC.
FINANCIAL HIGHLIGHTS (CONTINUED)
GLOBAL TACTICAL EXPOSURE PORTFOLIO
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS FOR THE YEAR ENDED,
ENDED ---------------------------------------------- PERIOD FROM
FOR A SHARE OUTSTANDING JUNE 30, 2000 DEC. 31, DEC. 31, DEC. 31, DEC. 31, SEPTEMBER 14, 1995*
THROUGHOUT THE PERIOD: (UNAUDITED) 1999 1998 1997 1996 TO DEC. 31, 1995
-----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
-------------------------
Net asset value,
beginning of period $ 10.08 $ 10.25 $ 10.05 $ 9.80 $ 10.19 $ 10.00
INCREASE (DECREASE) FROM
INVESTMENT OPERATIONS
-------------------------
Investment income, net 0.28 ** 0.46 ** 0.52 ** 0.41 0.47 0.19
Net realized and
unrealized gain (loss)
on investments, swap
contracts, financial
futures and foreign
currency related
transactions (0.32) (0.17) 0.28 0.43 (0.15) 0.19
-------- -------- -------- -------- -------- -------
Total from investment
operations (0.04) 0.29 0.80 0.84 0.32 0.38
-------- -------- -------- -------- -------- -------
LESS DISTRIBUTIONS
-------------------------
From investment income,
net 0.28 0.46 0.53 0.36 0.47 0.19
In excess of investment
income, net - - 0.00(c) 0.17 - 0.00(c)
From net realized gain on
investments, and
foreign currency
related transactions - - - 0.06 0.05 -
In excess of net realized
gain on investments,
and foreign currency
related transactions - - 0.07 - 0.09 -
From capital stock in
excess of par value - - - - 0.10 -
-------- -------- -------- -------- -------- -------
Total distributions 0.28 0.46 0.60 0.59 0.71 0.19
-------- -------- -------- -------- -------- -------
Net asset value, end of
period $ 9.76 $ 10.08 $ 10.25 $ 10.05 $ 9.80 $ 10.19
======== ======== ======== ======== ======== =======
TOTAL RETURN (0.43%) 2.90% 8.20% 8.77% 3.18% 3.80%(b)
-------------------------
RATIOS/SUPPLEMENTAL DATA
-------------------------
Net assets, end of period
(000's) $115,342 $131,744 $423,966 $283,805 $126,645 $34,005
Ratio of operating
expenses to average net
assets, exclusive of
interest expense (a) 0.30%(b) 0.28% 0.27% 0.42% 0.60% 0.60%(b)
Ratio of operating
expenses to average net
assets, inclusive of
interest expense (a) 4.15%(b) 4.89% 5.54% 0.42% 0.60% 0.60%(b)
Ratio of investment
income, net to average
net assets (a) 5.60%(b) 4.51% 5.14% 3.67% 4.65% 6.12%(b)
Decrease in above expense
ratios due to waiver of
investment advisory
fees and reimbursement
of other expenses 0.32%(b) 0.30% 0.30% 0.16% 0.06% 0.17%(b)
Portfolio Turnover 404% 413% 766% 712% 784% 764%
</TABLE>
--------------------------------------------------------------------------------
(a) Net of waivers and reimbursements.
(b) Annualized.
(c) Rounds to less than $0.01.
* The portfolio recommenced operations on September 14, 1995.
** Calculation done based on average shares outstanding.
See Notes to Financial Statements.
50
<PAGE>
FFTW FUNDS, INC.
FINANCIAL HIGHLIGHTS (CONTINUED)
WORLDWIDE PORTFOLIO
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS FOR THE YEAR ENDED,
ENDED ------------------------------------------------
FOR A SHARE OUTSTANDING JUNE 30, 2000 DEC. 31, DEC. 31, DEC. 31, DEC. 31, DEC. 31,
THROUGHOUT THE PERIOD: (UNAUDITED) 1999 1998 1997 1996 1995
------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
-------------------------
Net asset value,
beginning of period $ 9.12 $ 10.28 $ 9.42 $ 9.64 $ 9.83 $ 9.27
-------- ------- ------- ------- ------- -------
INCREASE (DECREASE) FROM
INVESTMENT OPERATIONS
-------------------------
Investment income, net 0.24 * 0.43 * 0.46 0.49 0.53 0.58
Net realized and
unrealized gain (loss)
on investments, and
financial futures
contracts and foreign
currency related
transactions (0.26) (0.98) 0.96 (0.22) 0.01 0.56
-------- ------- ------- ------- ------- -------
Total from investment
operations (0.02) (0.55) 1.42 0.27 0.54 1.14
-------- ------- ------- ------- ------- -------
LESS DISTRIBUTIONS
-------------------------
From investment income,
net 0.24 0.61 0.46 0.19 0.53 0.30
In excess of investment
income, net - - - 0.11 - -
From net realized gain on
investments, and
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
-------- ------- ------- ------- ------- -------
Total distributions 0.24 0.61 0.56 0.49 0.73 0.58
-------- ------- ------- ------- ------- -------
Net asset value, end of
period $ 8.86 $ 9.12 $ 10.28 $ 9.42 $ 9.64 $ 9.83
======== ======= ======= ======= ======= =======
TOTAL RETURN (0.20%) (5.38%) 15.58% 2.93% 5.77% 12.60%
-------------------------
RATIOS/SUPPLEMENTAL DATA
-------------------------
Net assets, end of period
(000's) $125,978 $68,581 $69,653 $82,236 $74,939 $86,186
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% 0.60%
Ratio of investment
income, net to average
net assets (a) 5.42%(b) 4.51% 4.76% 5.21% 5.52% 6.13%
Decrease in above expense
ratios due to waiver of
investment advisory
fees and reimbursement
of other expenses 0.00% **(b 0.03% 0.01% 0.02% 0.05% 0.30%
Portfolio Turnover 330% 390% 668% 713% 1,126% 1,401%
</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.
51
<PAGE>
FFTW FUNDS, INC.
FINANCIAL HIGHLIGHTS (CONTINUED)
WORLDWIDE-HEDGED PORTFOLIO
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS FOR THE YEAR ENDED,
ENDED ----------------------------------------------------
FOR A SHARE OUTSTANDING JUNE 30, 2000 DEC. 31, DEC. 31, DEC. 31, DEC. 31, DEC. 31,
THROUGHOUT THE PERIOD: (UNAUDITED) 1999 1998 1997 1996 1995
----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
-------------------------
Net asset value,
beginning of period $ 10.58 $ 11.19 $ 11.23 $ 10.91 $ 10.85 $ 10.41
INCREASE (DECREASE) FROM
INVESTMENT OPERATIONS
-------------------------
Investment income, net 0.29 * 0.51 * 0.59 0.53 0.62 0.45
Net realized and
unrealized gain (loss)
on investments, and
financial futures
contracts and foreign
currency related
transactions 0.09 (0.53) 0.68 0.80 0.43 0.66
-------- -------- -------- ------- ------- -------
Total from investment
operations 0.38 (0.02) 1.27 1.33 1.05 1.11
-------- -------- -------- ------- ------- -------
LESS DISTRIBUTIONS
-------------------------
From investment income,
net 0.29 0.59 0.70 0.59 0.62 0.67
In excess of investment
income, net - - - - 0.37 -
In excess of net realized
gain on investments,
and financial futures
contracts and foreign
currency related
transactions - 0.00 ** 0.61 0.42 - -
-------- -------- -------- ------- ------- -------
Total distributions 0.29 0.59 1.31 1.01 0.99 0.67
-------- -------- -------- ------- ------- -------
Net asset value, end of
period $ 10.67 $ 10.58 $ 11.19 $ 11.23 $ 10.91 $ 10.85
======== ======== ======== ======= ======= =======
TOTAL RETURN 3.62% (0.19%) 11.53% 12.60% 10.03% 11.00%
-------------------------
RATIOS/SUPPLEMENTAL DATA
-------------------------
Net assets, end of period
(000's) $206,095 $181,535 $174,805 $80,390 $30,024 $28,255
Ratio of operating
expenses to average net
assets, exclusive of
interest expense (a) 0.45%(b) 0.45% 0.45% 0.45% 0.45% 0.45%
Ratio of operating
expenses to average net
assets, inclusive of
interest expense (a) 0.45%(b) 0.45% 0.45% 0.45% 0.45% 0.45%
Ratio of investment
income, net to average
net assets (a) 5.47%(b) 4.70% 4.85% 5.29% 5.71% 5.84%
Decrease in above expense
ratios due to waiver of
investment advisory
fees and reimbursement
of other expenses 0.13%(b) 0.14% 0.13% 0.20% 0.24% 0.54%
Portfolio Turnover 330% 404% 745% 704% 1,087% 500%
</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.
52
<PAGE>
FFTW FUNDS, INC.
FINANCIAL HIGHLIGHTS (CONTINUED)
INTERNATIONAL PORTFOLIO
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS FOR THE YEAR ENDED,
ENDED ------------------------------ PERIOD FROM
FOR A SHARE OUTSTANDING JUNE 30, 2000 DEC. 31, DEC. 31, DEC. 31, MAY 9, 1996* TO
THROUGHOUT THE PERIOD: (UNAUDITED) 1999 1998 1997 DECEMBER 31, 1996
-------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
-------------------------
Net asset value,
beginning of period $ 8.70 $ 9.68 $ 9.50 $ 10.20 $ 10.00
INCREASE (DECREASE) FROM
INVESTMENT OPERATIONS
-------------------------
Investment income, net 0.21 ** 0.37 ** 0.48 0.50 0.38
Net realized and
unrealized gain (loss)
on investments, and
financial futures
contracts and foreign
currency related
transactions (0.35) (0.98) 1.21 (0.56) 0.28
-------- -------- ------- ------- -------
Total from investment
operations (0.14) (0.61) 1.69 (0.06) 0.66
-------- -------- ------- ------- -------
LESS DISTRIBUTIONS
-------------------------
From investment income,
net 0.21 0.37 0.45 0.14 0.38
In excess of investment
income, net - - 0.40 - -
From net realized gain on
investments, and
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 0.21 0.37 1.51 0.64 0.46
-------- -------- ------- ------- -------
Net asset value, end of
period $ 8.35 $ 8.70 $ 9.68 $ 9.50 $ 10.20
======== ======== ======= ======= =======
TOTAL RETURN (1.58%) (6.34%) 18.35% (0.43%) 6.66%(c)
-------------------------
RATIOS/SUPPLEMENTAL DATA
-------------------------
Net assets, end of period
(000's) $108,557 $103,564 $81,705 $67,653 $35,746
Ratio of operating
expenses to average net
assets, exclusive of
interest expense (a) 0.60%(b) 0.60% 0.60% 0.60% 0.60%(b)
Ratio of operating
expenses to average net
assets, inclusive of
interest expense (a) 0.60%(b) 0.60% 0.60% 0.60% 0.60%(b)
Ratio of investment
income, net to average
net assets (a) 5.03%(b) 4.13% 4.56% 5.19% 5.73%(b)
Decrease in above expense
ratios due to waiver of
investment advisory
fees 0.00% #(b 0.00% # 0.03% 0.10% 0.32%(b)
Portfolio Turnover 405% 569% 1,049% 809% 539%
</TABLE>
--------------------------------------------------------------------------------
(a) Net of waivers and reimbursements.
(b) Annualized.
(c) Not Annualized.
* Commencement of Operations.
** Calculation done based on average shares outstanding.
# Rounds to less than 0.01%.
See Notes to Financial Statements.
53
<PAGE>
FFTW FUNDS, INC.
FINANCIAL HIGHLIGHTS (CONTINUED)
EMERGING MARKETS PORTFOLIO
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS
ENDED YEAR ENDED YEAR ENDED PERIOD FROM
FOR A SHARE OUTSTANDING JUNE 30, 2000 DEC. 31, DEC. 31, AUGUST 12, 1997* TO
THROUGHOUT THE PERIOD: (UNAUDITED) 1999 1998 DECEMBER 31, 1997
----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
PER SHARE DATA
------------------------------
Net asset value, beginning of
period $ 7.68 $ 7.72 $ 9.59 $ 10.00
INCREASE (DECREASE) FROM
INVESTMENT OPERATIONS
------------------------------
Investment income, net 0.40 ** 0.78 ** 0.88 0.29
Net realized and unrealized
gain (loss) on investments,
financial futures and swap
contracts and foreign
currency related
transactions (0.02) 0.05 (1.86) (0.41)
------- -------- -------- --------
Total from investment
operations 0.38 0.83 (0.98) (0.12)
------- -------- -------- --------
LESS DISTRIBUTIONS
------------------------------
From investment income, net 0.40 0.87 0.76 0.29
From capital stock in excess
of par value - - 0.13 -
------- -------- -------- --------
Total distributions 0.40 0.87 0.89 0.29
------- -------- -------- --------
Net asset value, end of period $ 7.66 $ 7.68 $ 7.72 $ 9.59
======= ======== ======== ========
TOTAL RETURN 4.67% 11.73% (10.50%) (1.20%) (b)
RATIOS/SUPPLEMENTAL DATA
------------------------------
Net assets, end of period
(000's) $81,493 $128,419 $164,709 $111,043
Ratio of operating expenses to
average net assets,
exclusive of interest
expense 1.09%(a) 1.01% 1.00% 1.03%(a)
Ratio of operating expenses to
average net assets,
inclusive of interest
expense 1.09%(a) 1.07% 1.15% 1.03%(a)
Ratio of investment income,
net to average net assets 10.52%(a) 10.44% 10.52% 7.87%(a)
Portfolio Turnover 99% 137% 157% 16%
</TABLE>
--------------------------------------------------------------------------------
(a) Annualized.
(b) Not annualized.
* Commencement of Operations.
** Calculations done based on average shares outstanding.
See Notes to Financial Statements.
54
<PAGE>
FFTW Funds, Inc.
Notes to Financial Statements
JUNE 30, 2000 (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
twenty-one Portfolios, eight of which were active as of June 30, 2000. The eight
active Portfolios are: U.S. Short-Term Portfolio ("U.S. Short-Term"); Limited
Duration Portfolio ("Limited Duration"); Mortgage-Backed Portfolio ("Mortgage");
Global Tactical Exposure Portfolio ("Global Tactical Exposure"); Worldwide
Portfolio ("Worldwide"); Worldwide-Hedged Portfolio ("Worldwide-Hedged");
International Portfolio ("International"); and Emerging Markets Portfolio
("Emerging Markets"). The Fund is managed by Fischer Francis Trees & Watts, Inc.
(the "Investment Adviser").
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
NET ASSET VALUE
The net asset value per share ("NAV") of each Portfolio is determined by adding
the value of all of the assets of the Portfolio, subtracting all of the
Portfolio's liabilities, dividing by the number of shares outstanding and
adjusting to the nearest cent. The NAV is calculated by the Fund's Accounting
Agent as of 4:00 p.m. Eastern time on each Business Day (as that term is defined
in the Fund's registration statement) for each Portfolio, other than Mortgage,
Global Tactical Exposure and Emerging Markets. 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 using the interest method on a daily basis to interest income. The Fund
uses the specific identification method for determining gain or loss on sales of
securities.
VALUATION
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 and
other financial instruments 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.
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 based on their relative net asset values.
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.
55
<PAGE>
FFTW FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
DIVIDENDS TO SHAREHOLDERS
It is the policy of the Portfolios, other than Mortgage, Global Tactical
Exposure and Emerging Markets, to declare dividends daily from net investment
income. Mortgage, Global Tactical Exposure and Emerging Markets declare
dividends monthly from net investment income on the last Business Day of each
month. Prior to June 1, 2000, it was also the policy of Global Tactical Exposure
and Emerging Markets to declare dividends daily from net investment income.
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 the treatment of 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.
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
56
<PAGE>
FFTW FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
3. INVESTMENT ADVISORY AGREEMENTS AND AFFILIATED TRANSACTIONS (CONTINUED)
set forth below. The fees are payable quarterly for U.S. Short-Term and
Worldwide, and monthly for Limited Duration, Mortgage, Global Tactical Exposure,
Worldwide-Hedged, International, and Emerging Markets.
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>
-----------------------------------------------------------------------------
INVESTMENT CURRENT CURRENT
ADVISORY INVESTMENT EXPENSE
PORTFOLIO FEE PER AGREEMENT ADVISORY FEE CAP
-----------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. Short-Term 0.30% 0.15% 0.25%
Limited Duration 0.35% 0.15% 0.30%
Mortgage 0.30% 0.10% 0.25%
Global Tactical Exposure 0.40% 0.10% 0.30%
Worldwide 0.40% 0.40% 0.60%
Worldwide-Hedged 0.40% 0.26% 0.45%
International 0.40% 0.40% 0.60%
Emerging Markets 0.75% 0.75% 1.50%
</TABLE>
Directors who are not employees of the Investment Advisor receive an annual
retainer of $35,000 payable quarterly. On November 22, 1999, the directors
established the position of lead independent director. The lead independent
director will act as spokesperson for the remaining independent directors. The
lead independent director shall receive additional compensation of $8,750 on an
annual basis, which shall be payable quarterly. Directors' fees of $74,375 were
allocated among the Portfolios and paid for the six months ended June 30, 2000.
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, 2000, the Investment Adviser had discretionary investment
advisory agreements with shareholders of the Fund that represent 63.87% of the
Fund's total net assets and therefore, the investment adviser may be deemed a
control person.
57
<PAGE>
FFTW FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
4. INVESTMENT TRANSACTIONS
The cost of investments for Federal income tax purposes and the components of
net unrealized appreciation (depreciation) on investments at June 30, 2000, for
each of the Portfolios were as follows:
<TABLE>
-------------------------------------------------------------------------------------
UNREALIZED UNREALIZED TAX
PORTFOLIO APPRECIATION DEPRECIATION NET COST
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
U.S. Short-Term $ 286,715 $1,251,820 $ (965,105) $401,867,624
Limited Duration 161,160 625,903 (464,743) 99,649,826
Mortgage 6,873,600 8,987,377 (2,113,777) 505,422,834
Global Tactical Exposure 1,105,818 5,799,755 (4,693,937) 124,351,480
Worldwide 521,483 2,232,894 (1,711,411) 128,672,022
Worldwide-Hedged 1,500,661 4,663,011 (3,162,350) 213,558,983
International 1,148,733 2,986,924 (1,838,191) 122,608,637
Emerging Markets 404,134 5,194,238 (4,790,104) 74,500,992
</TABLE>
Purchase costs and proceeds from sales of investment securities (including U.S.
Government securities), other than short-term investments, for the six months
ended, June 30, 2000 for each of the Portfolios were as follows:
<TABLE>
--------------------------------------------------------------------------------------------------
PURCHASE COST OF PROCEEDS FROM SALES OF
PORTFOLIO INVESTMENT SECURITIES INVESTMENT SECURITIES
--------------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. Short-Term $ 463,418,643 $ 436,102,791
Limited Duration 212,610,009 228,541,188
Mortgage 1,846,417,490 1,870,337,473
Mortgage-Backed (short sale transactions*) 607,816,185 628,231,623
Global Tactical Exposure 461,995,061 462,549,173
Worldwide 311,451,588 242,218,938
Worldwide-Hedged 607,360,551 543,591,937
International 356,665,304 303,946,616
Emerging Markets 65,701,138 98,337,342
</TABLE>
* Securities sold but not yet purchased.
Mortgage is engaged in short-selling which obligates Mortgage to borrow the
security then replace the security borrowed by purchasing the security at
current market value. Mortgage would incur a loss if the price of the security
increases between the date of the short sale and the date on which Mortgage
purchases the security to cover the short sale. Mortgage would realize a gain if
the price of the security declines between those dates. While Mortgage has a
borrowed security, Mortgage will maintain daily, a segregated account with a
broker and/or custodian, of cash
58
<PAGE>
FFTW FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
4. INVESTMENT TRANSACTIONS (CONTINUED)
and/or liquid securities sufficient to cover its short position. At June 30,
2000, the Fund held the following short positions:
<TABLE>
-------------------------------------------------------------------------------------------------------
FACE
PORTFOLIO RATE MATURITY AMOUNT VALUE
-------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
SECURITIES SOLD SHORT
-------------------------------------------------------------------------------------------------------
FNMA Global Bond (proceeds $20,002,611) 7.125% 02/15/2005 $20,000,000 $20,108,280
FNMA Global Bond (proceeds $631,951) 7.250% 01/15/2010 630,000 637,312
-----------
Total Securities Sold Short (Proceeds $20,634,562) $20,745,592
===========
</TABLE>
5. FORWARD FOREIGN EXCHANGE CONTRACTS
Each Portfolio 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 with counterparties which the
Portfolio's Investment Advisor has deemed creditworthy. A forward foreign
exchange contract is a commitment to purchase or sell a foreign currency at a
future date at a negotiated forward rate. These contracts are valued daily, and
the Portfolio's net equity therein, representing unrealized gain or loss on the
contracts as measured by the difference between the forward foreign exchange
rate at the dates of entry into the contracts and the forward rates at the
reporting date, is included in the statement of assets and liabilities and in
the statement of operations as unrealized gains and losses. Realized 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 in the statement of operations. The Portfolio's
custodian will place and maintain cash not available for investment, U.S.
Government securities, or other appropriate liquid, unencumbered securities in a
separate account of the Portfolio having a value equal to the aggregate amount
of the Portfolio's commitments under certain open forward foreign exchange
contracts. Risks may arise from the potential inability of a counterparty to
meet the terms of a contract and from unanticipated movements in the value of a
foreign currency relative to the U.S. dollar.
59
<PAGE>
FFTW FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
5. FORWARD FOREIGN EXCHANGE CONTRACTS (CONTINUED)
At June 30, 2000, Global Tactical Exposure had outstanding forward foreign
exchange contracts, both to purchase and sell foreign currencies as follows:
<TABLE>
---------------------------------------------------------------------------------------
UNREALIZED
CONTRACT COST/ APPRECIATION
AMOUNT PROCEEDS VALUE (DEPRECIATION)
---------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
FORWARD FOREIGN EXCHANGE BUY CONTRACTS
---------------------------------------------------------------------------------------
Australian Dollar closing
8,825,180 8/30/00 $ 5,255,338 $ 5,306,693 $ 51,355
British Pound Sterling closing
3,335,950 8/30/00 5,069,687 5,057,197 (12,490)
Canadian Dollar closing
10,783,397 8/30/00 7,244,575 7,291,202 46,627
45,878,643 Euro closing 8/30/00 42,787,325 44,153,506 1,366,181
3,902,972,009 Japanese Yen closing 8/30/00 37,140,385 37,316,079 175,694
FORWARD FOREIGN EXCHANGE SELL CONTRACTS
---------------------------------------------------------------------------------------
British Pound Sterling closing
1,154,071 8/30/00 1,774,310 1,749,536 24,774
Canadian Dollar closing
10,107,554 8/30/00 6,854,903 6,834,231 20,672
24,992,717 Danish Krone closing 8/30/00 3,072,245 3,221,323 (149,078)
47,333,479 Euro closing 8/30/00 43,968,144 45,518,105 (1,549,961)
984,966,860 Japanese Yen closing 8/30/00 9,400,000 9,417,208 (17,208)
21,360,580 Swedish Krona closing 8/30/00 2,381,182 2,448,379 (67,197)
-----------
$ (110,631)
===========
</TABLE>
<TABLE>
---------------------------------------------------------------------------------------------------------------------------------
CONTRACT CURRENCY TO COST/ CONTRACT CURRENCY TO COST/
AMOUNT DELIVER PROCEEDS VALUE AMOUNT RECEIVE PROCEEDS VALUE
---------------------------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C> <C> <C> <C>
FORWARD CROSS CURRENCY CONTRACTS
---------------------------------------------------------------------------------------------------------------------------------
45,800,000 Swedish Krona $ 5,234,339 $ 5,249,659 45,720,903 Norwegian Krone $ 5,234,339 $ 5,350,954
closing 8/30/00 closing 8/30/00
<C> <C>
CONTRACT UNREALIZED
AMOUNT APPRECIATION
-------------------------------------------------
FORWARD CR
----------
45,800,000 $101,295
</TABLE>
60
<PAGE>
FFTW FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
5. FORWARD FOREIGN EXCHANGE CONTRACTS (CONTINUED)
At June 30, 2000, Worldwide had outstanding forward foreign exchange contracts,
both to purchase and sell foreign currencies as follows:
<TABLE>
-------------------------------------------------------------------------------------------------------------
UNREALIZED
CONTRACT COST/ APPRECIATION
AMOUNT PROCEEDS VALUE (DEPRECIATION)
-------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
FORWARD FOREIGN EXCHANGE BUY CONTRACTS
-------------------------------------------------------------------------------------------------------------
3,400,000 Australian Dollar closing 8/30/00 $ 2,029,105 $ 2,044,463 $ 15,358
1,903,219 British Pound Sterling closing 8/30/00 2,864,799 2,885,220 20,421
4,265,938 Canadian Dollar closing 8/30/00 2,891,350 2,884,417 (6,933)
58,999,338 Euro closing 8/30/00 54,891,161 56,747,140 1,855,979
1,841,512,353 Japanese Yen closing 8/30/00 17,482,219 17,606,588 124,369
4,175,203 Swedish Krona closing 8/30/00 465,349 478,567 13,218
FORWARD FOREIGN EXCHANGE SELL CONTRACTS
-------------------------------------------------------------------------------------------------------------
691,678 Australian Dollar closing 8/30/00 409,252 415,915 (6,663)
2,189,541 Canadian Dollar closing 8/30/00 1,484,938 1,480,460 4,478
14,772,787 Danish Krone closing 8/30/00 1,815,954 1,904,071 (88,117)
68,493,878 Euro closing 8/30/00 64,222,687 65,873,789 (1,651,102)
594,551,846 Japanese Yen closing 8/30/00 5,648,492 5,684,474 (35,982)
-----------
$ 245,026
===========
</TABLE>
<TABLE>
----------------------------------------------------------------------------------------------------------------------------
CONTRACT CURRENCY TO COST/ CONTRACT CURRENCY TO COST/
AMOUNT DELIVER PROCEEDS VALUE AMOUNT RECEIVE PROCEEDS VALUE
----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
FORWARD CROSS CURRENCY CONTRACTS
----------------------------------------------------------------------------------------------------------------------------
17,800,000 Swedish Krona $2,034,306 $2,040,260 17,769,259 Norwegian Krone $2,034,306 $2,079,628
closing 8/30/00 closing 8/30/00
<S> <C>
--------------------------------------------------------------------------
CONTRACT UNREALIZED
AMOUNT APPRECIATION
---------------------------------------------------------------------------------------------------
FORWARD CR
----------
17,800,000 $39,368
</TABLE>
61
<PAGE>
FFTW FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
5. FORWARD FOREIGN EXCHANGE CONTRACTS (CONTINUED)
At June 30, 2000, Worldwide-Hedged had outstanding forward foreign exchange
contracts, both to purchase and sell foreign currencies as follows:
<TABLE>
-----------------------------------------------------------------------------------------
UNREALIZED
CONTRACT COST/ APPRECIATION
AMOUNT PROCEEDS VALUE (DEPRECIATION)
-----------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
FORWARD FOREIGN EXCHANGE BUY CONTRACTS
-----------------------------------------------------------------------------------------
Australian Dollar closing
6,300,000 8/30/00 $ 3,758,160 $ 3,788,270 $ 30,110
British Pound Sterling closing
2,001,990 8/30/00 3,003,986 3,034,955 30,969
Canadian Dollar closing
13,628,894 8/30/00 9,221,225 9,215,187 (6,038)
54,715,777 Euro closing 8/30/00 50,689,427 52,642,280 1,952,853
866,588,000 Japanese Yen closing 8/30/00 8,500,000 8,285,395 (214,605)
FORWARD FOREIGN EXCHANGE SELL CONTRACTS
-----------------------------------------------------------------------------------------
Australian Dollar closing
1,400,000 8/30/00 828,352 841,838 (13,486)
British Pound Sterling closing
8,083,540 8/30/00 12,427,917 12,254,396 173,521
Canadian Dollar closing
13,711,728 8/30/00 9,299,239 9,271,196 28,043
45,576,420 Danish Krone closing 8/30/00 5,602,510 5,874,365 (271,855)
127,641,890 Euro closing 8/30/00 117,431,589 122,780,734 (5,349,145)
1,892,712,984 Japanese Yen closing 8/30/00 17,948,200 18,096,114 (147,914)
12,288,145 Swedish Krona closing 8/30/00 1,369,827 1,408,484 (38,657)
-----------
$(3,826,204)
===========
</TABLE>
<TABLE>
-----------------------------------------------------------------------------------------------------------------------------
CONTRACT CURRENCY TO COST/ CONTRACT CURRENCY TO COST/
AMOUNT DELIVER PROCEEDS VALUE AMOUNT RECEIVE PROCEEDS VALUE
-----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
FORWARD CROSS CURRENCY CONTRACTS
-----------------------------------------------------------------------------------------------------------------------------
30,200,000 Swedish Krona $3,451,464 $3,461,565 30,147,844 Norwegian Krone $3,451,464 $3,528,358
closing 8/30/00 closing 8/30/00
<S> <C>
----------------------------------------------------------------------------------------------------------------------------
CONTRACT UNREALIZED
AMOUNT APPRECIATION
----------------------------------------------------------------------------------------------------------------------------- ----
--------
FORWARD CR
----------
30,200,000 $66,793
</TABLE>
62
<PAGE>
FFTW FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
5. FORWARD FOREIGN EXCHANGE CONTRACTS (CONTINUED)
At June 30, 2000, International had outstanding forward foreign exchange
contracts, both to purchase and sell foreign currencies as follows:
<TABLE>
---------------------------------------------------------------------------------------
UNREALIZED
CONTRACT COST/ APPRECIATION
AMOUNT PROCEEDS VALUE (DEPRECIATION)
---------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
FORWARD FOREIGN EXCHANGE BUY CONTRACTS
---------------------------------------------------------------------------------------
Australian Dollar closing
5,512,667 8/30/00 $ 3,281,384 $ 3,314,837 $ 33,453
British Pound Sterling closing
1,989,296 8/30/00 3,016,746 3,015,710 (1,036)
Canadian Dollar closing
6,701,055 8/30/00 4,501,399 4,530,924 29,525
47,741,255 Euro closing 8/30/00 43,833,282 45,945,316 2,112,034
3,750,302,462 Japanese Yen closing 8/30/00 35,553,370 35,856,414 303,044
10,690,377 Swedish Krona closing 8/30/00 1,182,564 1,225,346 42,782
FORWARD FOREIGN EXCHANGE SELL CONTRACTS
---------------------------------------------------------------------------------------
Canadian Dollar closing
6,383,395 8/30/00 4,289,916 4,316,138 (26,222)
8,640,923 Danish Krone closing 8/30/00 1,046,117 1,113,732 (67,615)
48,325,448 Euro closing 8/30/00 44,402,465 46,487,055 (2,084,590)
696,228,693 Japanese Yen closing 8/30/00 6,644,246 6,656,600 (12,354)
-----------
$ 329,021
===========
</TABLE>
<TABLE>
----------------------------------------------------------------------------------------------------------------------------
CONTRACT CURRENCY TO COST/ CONTRACT CURRENCY TO COST/
AMOUNT DELIVER PROCEEDS VALUE AMOUNT RECEIVE PROCEEDS VALUE
----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
FORWARD CROSS CURRENCY CONTRACTS
----------------------------------------------------------------------------------------------------------------------------
21,000,000 Swedish Krona $2,400,024 $2,407,049 20,963,733 Norwegian Krone $2,400,024 $2,453,494
closing 8/30/00 closing 8/30/00
<S> <C>
----------------------------------------------------------------------------------------------------------------------------
CONTRACT UNREALIZED
AMOUNT APPRECIATION
---------------------------------------------------------------------------------------------------------------------------- -----
-------
FORWARD CR
----------
21,000,000 $46,445
</TABLE>
63
<PAGE>
FFTW FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
5. FORWARD FOREIGN EXCHANGE CONTRACTS (CONTINUED)
At June 30, 2000, Emerging Markets had outstanding forward foreign exchange
contracts, both to purchase and sell foreign currencies as follows:
<TABLE>
-----------------------------------------------------------------------------------------------------------
UNREALIZED
CONTRACT COST/ APPRECIATION
AMOUNT PROCEEDS VALUE (DEPRECIATION)
-----------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
FORWARD FOREIGN EXCHANGE BUY CONTRACTS
-----------------------------------------------------------------------------------------------------------
5,871,000 Brazilian Real closing 1/00/00 $3,000,000 $3,250,231 $ 250,231
1,588,500,000 Chilean Peso closing 1/00/00 3,000,000 2,949,368 (50,632)
2,200,000,000 Republic of Korea Won closing 8/08/00 1,983,412 1,971,644 (11,768)
FORWARD FOREIGN EXCHANGE SELL CONTRACTS
-----------------------------------------------------------------------------------------------------------
5,871,000 Brazilian Real closing 7/05/00 3,146,303 3,250,231 (103,928)
1,588,500,000 Chilean Peso closing 7/12/00 3,006,814 2,949,368 57,446
2,200,000,000 Republic of Korea Won closing 8/08/00 1,952,085 1,971,644 (19,559)
---------
$ 121,790
=========
</TABLE>
Each Portfolio may enter into foreign currency transactions on the spot markets
(foreign currency translations that settle in two days) 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, 2000, no
Portfolio had an outstanding purchase or sale of foreign currency on the spot
markets.
6. FINANCIAL FUTURES CONTRACTS
Each Portfolio may enter into financial futures contracts with counterparties,
which the Portfolio's Investment Advisor has deemed creditworthy, to hedge its
interest rate and foreign currency risk. Hedging theoretically reduces market
risk, and exposure exists to the extent there is a related imperfect
correlation. The use of futures contracts involves the risk of imperfect
correlation in movement in the price of futures contracts, interest rates
compared to the underlying hedged assets.
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, 2000, the Portfolios placed U.S. Treasury Bills, other liquid securities or
cash in
64
<PAGE>
FFTW FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000 (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>
--------------------------------------------------------------------
JUNE 30, 2000
PORTFOLIO COLLATERAL VALUE
--------------------------------------------------------------------
<S> <C>
U.S. Short-Term $1,960,350
Limited Duration 392,070
Mortgage 1,029,184
Global Tactical Exposure 3,734,450
Worldwide 589,650
Worldwide-Hedged 1,081,025
International 737,062
</TABLE>
As of June 30, 2000, US. Short-Term had the following open financial futures
contracts:
<TABLE>
-----------------------------------------------------------------------------
NOTIONAL UNREALIZED
VALUE OF APPRECIATION
CONTRACTS CONTRACTS (DEPRECIATION)
-----------------------------------------------------------------------------
<C> <S> <C> <C>
LONG FUTURES CONTRACTS:
-----------------------------------------------------------------------------
300 July 2000 Eurodollars $70,021,875 $ 150,348
168 March 2001 Eurodollars 39,015,900 1,245
78 June 2001 Eurodollars 18,111,600 98,039
SHORT FUTURES CONTRACTS:
-----------------------------------------------------------------------------
300 August 2000 Eurodollars 69,945,000 (196,527)
93 September 2000 Eurodollars 21,637,613 (100,495)
40 December 2000 Eurodollars 9,287,500 (43,223)
14 September 2001 Eurodollars 3,250,800 (9,703)
10 December 2001 Eurodollars 2,321,000 (6,681)
184 March 2002 Eurodollars 42,736,300 3,663
---------
$(103,334)
=========
</TABLE>
65
<PAGE>
FFTW FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
6. FINANCIAL FUTURES CONTRACTS (CONTINUED)
As of June 30, 2000, Limited Duration had the following open financial futures
contracts:
<TABLE>
----------------------------------------------------------------------------
NOTIONAL UNREALIZED
VALUE OF APPRECIATION
CONTRACTS CONTRACTS (DEPRECIATION)
----------------------------------------------------------------------------
<C> <S> <C> <C>
LONG FUTURES CONTRACTS:
----------------------------------------------------------------------------
September 2000 5-Year U.S. Treasury
24 Notes $2,376,375 $ 22,391
SHORT FUTURES CONTRACTS:
----------------------------------------------------------------------------
September 2000 2-Year U.S. Treasury
18 Notes 3,570,750 (27,381)
27 September 2000 Eurodollars 6,281,888 (29,514)
--------
$(34,504)
========
</TABLE>
As of June 30, 2000, Mortgage had the following open financial futures
contracts:
<TABLE>
-----------------------------------------------------------------------------
NOTIONAL UNREALIZED
VALUE OF APPRECIATION
CONTRACTS CONTRACTS (DEPRECIATION)
-----------------------------------------------------------------------------
<C> <S> <C> <C>
LONG FUTURES CONTRACTS:
-----------------------------------------------------------------------------
September 2000 10-Year U.S.
138 Treasury Notes $13,590,844 $317,260
SHORT FUTURES CONTRACTS:
-----------------------------------------------------------------------------
September 2000 2-Year U.S. Treasury
58 Notes 11,505,750 (84,605)
September 2000 5-Year U.S. Treasury
119 Notes 11,782,860 (86,510)
--------
$146,145
========
</TABLE>
As of June 30, 2000, Global Tactical Exposure had the following open financial
futures contracts:
<TABLE>
---------------------------------------------------------------------------------------------
NOTIONAL UNREALIZED
VALUE OF APPRECIATION
CONTRACTS CONTRACTS (DEPRECIATION)
---------------------------------------------------------------------------------------------
<C> <S> <C> <C>
LONG FUTURES CONTRACTS:
---------------------------------------------------------------------------------------------
53 September 2000 Euro Bundes $5,242,836 $(34,235)
SHORT FUTURES CONTRACTS:
---------------------------------------------------------------------------------------------
25 September 2000 British Long Gilts 4,280,303 21,215
--------
$(13,020)
========
</TABLE>
66
<PAGE>
FFTW FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
6. FINANCIAL FUTURES CONTRACTS (CONTINUED)
As of June 30, 2000, Worldwide had the following open financial futures
contracts:
<TABLE>
-----------------------------------------------------------------------------
NOTIONAL UNREALIZED
VALUE OF APPRECIATION
CONTRACTS CONTRACTS (DEPRECIATION)
-----------------------------------------------------------------------------
<C> <S> <C> <C>
LONG FUTURES CONTRACTS:
-----------------------------------------------------------------------------
25 September 2000 Euro Bundes $ 2,626,750 $ (18,121)
68 September 2000 U.S. Long Bonds 6,619,375 97,995
SHORT FUTURES CONTRACTS:
-----------------------------------------------------------------------------
September 2000 10-Year U.S.
201 Treasury Notes 19,795,359 (154,779)
3 September 2000 British Long Gilts 341,220 2,543
148 September 2000 Euro BOBL 15,276,560 (40,378)
---------
$(112,740)
=========
</TABLE>
As of June 30, 2000, Worldwide-Hedged had the following open financial futures
contracts:
<TABLE>
-----------------------------------------------------------------------------
NOTIONAL UNREALIZED
VALUE OF APPRECIATION
CONTRACTS CONTRACTS (DEPRECIATION)
-----------------------------------------------------------------------------
<C> <S> <C> <C>
LONG FUTURES CONTRACTS:
-----------------------------------------------------------------------------
5 September 2000 Euro Bundes $ 503,653 $ (3,624)
SHORT FUTURES CONTRACTS:
-----------------------------------------------------------------------------
September 2000 10-Year U.S.
202 Treasury Notes 19,893,844 (142,301)
27 September 2000 British Long Gilts 4,650,111 22,885
84 September 2000 Euro BOBL 8,312,383 (5,095)
---------
$(128,135)
=========
</TABLE>
As of June 30, 2000, International had the following open financial futures
contracts:
<TABLE>
--------------------------------------------------------------------------
NOTIONAL
VALUE OF UNREALIZED
CONTRACTS CONTRACTS APPRECIATION
--------------------------------------------------------------------------
<C> <S> <C> <C>
SHORT FUTURES CONTRACTS:
--------------------------------------------------------------------------
7 September 2000 British Long Gilts $1,204,277 $5,793
------
</TABLE>
67
<PAGE>
FFTW FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
7. CAPITAL STOCK TRANSACTIONS
As of June 30, 2000, there were 5,000,000,000 shares of $0.001 par value capital
stock authorized.
Transactions in capital stock for U.S. Short-Term were as follows for the
periods indicated:
<TABLE>
-----------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2000 (UNAUDITED) DECEMBER 31, 1999
---------------------------- ---------------------------
SHARES AMOUNT SHARES AMOUNT
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold 209,463,195 $2,019,812,157 604,668,913 $5,863,374,459
Shares issued related to
reinvestment of dividends 1,649,485 15,906,170 3,459,023 33,530,633
------------ -------------- ----------- --------------
211,112,680 2,035,718,327 608,127,936 5,896,905,092
Shares redeemed 236,800,694 2,283,586,583 626,803,398 6,079,632,280
------------ -------------- ----------- --------------
Net decrease (25,688,014) $(247,868,256) (18,675,462) $ (182,727,188)
============ ============== =========== ==============
</TABLE>
Transactions in capital stock for Limited Duration were as follows for the
periods indicated:
<TABLE>
-------------------------------------------------------------------------------
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
----------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT
-------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold 2,587,990 $24,919,554 9,005,840 $88,352,801
Shares issued related to
reinvestment of dividends 291,280 2,806,552 505,491 4,941,241
---------- ----------- --------- -----------
2,879,270 27,726,106 9,511,331 93,294,042
Shares redeemed 3,248,433 31,274,447 8,161,803 80,302,493
---------- ----------- --------- -----------
Net increase (decrease) (369,163) $(3,548,341) 1,349,528 $12,991,549
========== =========== ========= ===========
</TABLE>
Transactions in capital stock for Mortgage were as follows for the periods
indicated:
<TABLE>
-----------------------------------------------------------------------------------
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
----------------------- --------------------------
SHARES AMOUNT SHARES AMOUNT
-----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold 2,614,052 $25,000,000 - $ -
Shares issued related to
reinvestment of dividends 1,357,445 12,982,177 3,855,269 38,275,178
---------- ----------- ----------- -------------
3,971,497 37,982,177 3,855,269 38,275,178
Shares redeemed 2,343,817 22,594,392 53,000,715 525,266,320
---------- ----------- ----------- -------------
Net increase (decrease) 1,627,680 $15,387,785 (49,145,446) $(486,991,142)
========== =========== =========== =============
</TABLE>
68
<PAGE>
FFTW FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
7. CAPITAL STOCK TRANSACTIONS (CONTINUED)
Transactions in capital stock for Global Tactical Exposure were as follows for
the periods indicated:
<TABLE>
------------------------------------------------------------------------------------
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
------------------------ --------------------------
SHARES AMOUNT SHARES AMOUNT
------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold - - 3,712,375 $ 38,000,000
Shares issued related to
reinvestment of dividends 338,957 3,334,306 1,663,328 16,960,963
---------- ------------ ----------- -------------
338,957 3,334,306 5,375,703 54,960,963
Shares redeemed 1,587,452 15,733,798 33,678,625 341,236,473
---------- ------------ ----------- -------------
Net decrease (1,248,495) $(12,399,492) (28,302,922) $(286,275,510)
========== ============ =========== =============
</TABLE>
Transactions in capital stock for Worldwide were as follows for the periods
indicated:
<TABLE>
------------------------------------------------------------------------------
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
---------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT
------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold 7,017,398 $62,547,313 839,957 $ 7,922,263
Shares issued related to
reinvestment of dividends 205,694 1,816,258 268,901 2,541,613
--------- ----------- --------- -----------
7,223,092 64,363,571 1,108,858 10,463,876
Shares redeemed 529,163 4,764,152 363,580 3,543,958
--------- ----------- --------- -----------
Net increase 6,693,929 $59,599,419 745,278 $ 6,919,918
========= =========== ========= ===========
</TABLE>
Transactions in capital stock for Worldwide-Hedged were as follows for the
periods indicated:
<TABLE>
------------------------------------------------------------------------------
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
---------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT
------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold 2,137,598 $22,604,939 4,423,094 $48,206,643
Shares issued related to
reinvestment of dividends 501,844 5,324,463 917,109 9,937,225
--------- ----------- --------- -----------
2,639,442 27,929,402 5,340,203 58,143,868
Shares redeemed 482,503 5,130,468 3,808,644 41,035,029
--------- ----------- --------- -----------
Net increase 2,156,939 $22,798,934 1,531,559 $17,108,839
========= =========== ========= ===========
</TABLE>
69
<PAGE>
FFTW FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
7. CAPITAL STOCK TRANSACTIONS (CONTINUED)
Transactions in capital stock for International were as follows for the periods
indicated:
<TABLE>
------------------------------------------------------------------------------
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
---------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT
------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold 1,071,535 $8,967,752 3,963,200 $35,606,252
Shares issued related to
reinvestment of dividends 309,594 2,577,465 429,515 3,827,646
--------- ----------- --------- -----------
1,381,129 11,545,217 4,392,715 39,433,898
Shares redeemed 279,963 2,383,338 925,952 8,308,697
--------- ----------- --------- -----------
Net increase 1,101,166 $9,161,879 3,466,763 $31,125,201
========= =========== ========= ===========
</TABLE>
Transactions in capital stock for Emerging Markets were as follows for the
periods indicated:
<TABLE>
----------------------------------------------------------------------------------
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
------------------------ ------------------------
SHARES AMOUNT SHARES AMOUNT
----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold - - 9,878,273 $ 75,900,000
Shares issued related to
reinvestment of dividends 603,307 4,602,237 2,568,485 19,223,364
---------- ------------ ---------- ------------
603,307 4,602,237 12,446,758 95,123,364
Shares redeemed 6,679,842 50,700,000 17,078,248 128,692,201
---------- ------------ ---------- ------------
Net decrease (6,076,535) $(46,097,763) (4,631,490) $(33,568,837)
========== ============ ========== ============
</TABLE>
8. REPURCHASE AND REVERSE REPURCHASE AGREEMENTS
Each Portfolio may enter into repurchase agreements under which a bank or
securities firm which the Portfolio's Investment Adviser has deemed creditworthy
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. Reverse repurchase agreements involve the risk that the market
value of the securities purchased with the proceeds from the sale of securities
received by the Portfolio may decline below the price of the securities that the
Portfolio is obligated to repurchase. 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. When a Portfolio
engages in reverse repurchase transactions, the Portfolio will maintain, in a
segregated account with its custodian, cash or securities
70
<PAGE>
FFTW FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
8. REPURCHASE AND REVERSE REPURCHASE AGREEMENTS (CONTINUED)
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 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 fail to perform.
Put and call options purchased are accounted for in the same manner as portfolio
securities. Investments in option contracts require the Portfolio to "mark to
market" option contracts on a daily basis which reflects the change in the
market value of the contracts at the close of each day's trading. 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
purchased 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 written 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 written 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.
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 include a possibility that no liquid
market exists for these obligations, the counterparty may default on its
obligation, or unfavorable changes may exist in the value of underlying
securities or indices related to a 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.
Global Tactical Exposure entered into a swap agreement under which it 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 the swap 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").
71
<PAGE>
FFTW FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
10. SWAP TRANSACTIONS (CONTINUED)
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. Cash
paid or received is based on the monthly change of the JP Morgan Index. The
Index consists of 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.
At June 30, 2000, Global Tactical Exposure had one outstanding swap contract
with Morgan Guaranty Trust Company of New York broken down into four components
with the following terms:
<TABLE>
--------------------------------------------------------------------------------------------------
NOTIONAL TERMINATION PAYMENTS MADE PAYMENTS RECEIVED
AMOUNT DATE BY THE PORTFOLIO BY THE PORTFOLIO
--------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
$35,000,000 11/3/00 % change in JP Morgan Index LIBOR minus .28%
25,000,000 11/3/00 % change in JP Morgan Index LIBOR minus .26%
40,000,000 11/3/00 % change in JP Morgan Index LIBOR minus .28%
15,000,000 2/2/02 % change in JP Morgan Index LIBOR minus .27%
</TABLE>
11. INTEREST ONLY AND PRINCIPAL ONLY SECURITIES
Stripped mortgage-backed securities are derivative multi-class mortgage
securities structured so that one class receives most, if not all, of the
principal from the mortgage assets ("POs"), while the other class receives most,
if not all, of the interest ("IOs"). POs do not pay interest, its return is
solely based on payment of principal at maturity. If the underlying mortgage
assets experience greater than anticipated prepayments of principal, a portfolio
may fail to fully recoup its initial investment in an IO. The fair market value
of these securities is unusually volatile in response to changes in interest
rates. Mortgage invests in IO and PO securities whose issuers are deemed
creditworthy by the Investment Adviser.
12. 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 except for the initial margin of
futures contracts. 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.
72
<PAGE>
FFTW FUNDS, INC.
SHAREHOLDERS MEETING RESULTS (UNAUDITED)
A special meeting of the shareholders of FFTW Funds, Inc. was held on
November 19, 1999. The results of votes taken among shareholders on proposals
are listed below.
FOR THE WORLDWIDE PORTFOLIO AND THE WORLDWIDE-HEDGED PORTFOLIO
PROPOSAL 1
To approve revised Advisory Agreements between the Fund on behalf of the
Portfolios and Fischer Francis Trees & Watts, Inc. (the "Investment
Adviser").
<TABLE>
<CAPTION>
PASS/FAIL
---------
<S> <C>
WORLDWIDE PORTFOLIO Fail
WORLDWIDE-HEDGED PORTFOLIO Pass
</TABLE>
PROPOSAL 2
To approve revised Sub-Advisory Agreements between the Investment Adviser
on behalf of the Portfolios and Fischer Francis Trees and Watts (the
"Investment Sub-Adviser").
<TABLE>
<CAPTION>
PASS/FAIL
---------
<S> <C>
WORLDWIDE PORTFOLIO Fail
WORLDWIDE-HEDGED PORTFOLIO Pass
</TABLE>
PROPOSAL 3
To reclassify, revise or eliminate certain fundamental investment
restrictions of the Portfolios.
PROPOSAL 3A: Repurchase Agreements
Proposed that this fundamental restriction be reclassified as a
non-fundamental restriction: "The Portfolio may not enter into repurchase
agreements if, as a result thereof, more than 25% of its total assets
would be subject to repurchase agreements."
<TABLE>
<CAPTION>
PASS/FAIL
---------
<S> <C>
WORLDWIDE PORTFOLIO Pass
WORLDWIDE-HEDGED PORTFOLIO Pass
</TABLE>
PROPOSAL 3B: Purchasing or Selling of Commodities
Proposed Text: "Each Portfolio may not purchase or sell physical
commodities or related commodity contracts."
<TABLE>
<CAPTION>
PASS/FAIL
---------
<S> <C>
WORLDWIDE PORTFOLIO Pass
WORLDWIDE-HEDGED PORTFOLIO Pass
</TABLE>
73
<PAGE>
FFTW FUNDS, INC.
SHAREHOLDERS MEETING RESULTS (UNAUDITED) (CONTINUED)
FOR THE U.S. SHORT-TERM PORTFOLIO
PROPOSAL 1
To approve a revised Advisory Agreements between the Fund on behalf of
the Portfolio and Fischer Francis Trees and Watts, Inc. (the "Investment
Adviser");
<TABLE>
<CAPTION>
PASS/FAIL
---------
<S> <C>
U.S. SHORT-TERM PORTFOLIO Fail
</TABLE>
PROPOSAL 2
To reclassify, revise or eliminate certain fundamental investment
restrictions of the Portfolio;
PROPOSAL 2A: Diversification
Proposed Text: "The Portfolio may not invest more than 5% of its total
assets in the securities of any issuer (other than securities issued by
the U.S. Government, its agencies and instrumentalitites, and repurchase
agreements), or purchase of more than 10% of the voting securities of any
one issuer, with respect to 75% of the Portfolio's assets."
<TABLE>
<CAPTION>
PASS/FAIL
---------
<S> <C>
U.S. SHORT-TERM PORTFOLIO Pass
</TABLE>
PROPOSAL 2B: Repurchase Agreements
Proposed that this fundamental restriction be reclassified as a
non-fundamental restriction: "The Portfolio may not enter into repurchase
agreements if, as a result thereof, more than 25% of its total assets
would be subject to repurchase agreements."
<TABLE>
<CAPTION>
PASS/FAIL
---------
<S> <C>
U.S. SHORT-TERM PORTFOLIO Pass
</TABLE>
PROPOSAL 2C: Industry Concentration
Proposed Text: "The Portfolio may not invest more than 25% of its total
assets in the securities of any industry (other than U.S. Government
Securities, the banking industry and the finance industry). For purposes
of this test, finance will be deemed to include all asset-backed
securities."
<TABLE>
<CAPTION>
PASS/FAIL
---------
<S> <C>
U.S. SHORT-TERM PORTFOLIO Pass
</TABLE>
PROPOSAL 2D: Purchasing or Selling of Commodities
Proposed Text: "Each Portfolio may not purchase or sell physical
commodities or related commodity contracts."
<TABLE>
<CAPTION>
PASS/FAIL
---------
<S> <C>
U.S. SHORT-TERM PORTFOLIO Pass
</TABLE>
74
<PAGE>
FFTW FUNDS, INC.
SHAREHOLDERS MEETING RESULTS (UNAUDITED) (CONTINUED)
FOR ALL ACTIVE PORTFOLIOS:
PROPOSAL 1
To elect the following Directors of the Fund*:
Stephen P. Casper
Saul H. Hymans
Andrea Redmond
<TABLE>
<CAPTION>
PASS/FAIL
---------
<S> <C>
U.S. SHORT-TERM PORTFOLIO Pass
LIMITED DURATION PORTFOLIO Pass
MORTGAGE-BACKED PORTFOLIO Pass
GLOBAL TACTICAL EXPOSURE PORTFOLIO Pass
WORLDWIDE PORTFOLIO Pass
WORLDWIDE-HEDGED PORTFOLIO Pass
INTERNATIONAL PORTFOLIO Pass
EMERGING MARKETS PORTFOLIO Pass
</TABLE>
*Additionally, the following individuals will continue to serve as Directors of
the Fund:
John C Head III
Lawrence B. Krause
Onder John Olcay
PROPOSAL 2
To reclassify, revise, or eliminate certain fundamental investment
restrictions of the Portfolios;
PROPOSAL 2A: Borrowing Money
Proposed Text: "Portfolios may not borrow money, except in conformity
with the limits set forth in the 1940 Act; notwithstanding the foregoing,
short-term credits necessary for settlement of securities of transactions
are not considered borrowings."
<TABLE>
<CAPTION>
PASS/FAIL
---------
<S> <C>
U.S. SHORT-TERM PORTFOLIO Pass
LIMITED DURATION PORTFOLIO Fail
MORTGAGE-BACKED PORTFOLIO Pass
GLOBAL TACTICAL EXPOSURE PORTFOLIO Pass
WORLDWIDE PORTFOLIO Pass
WORLDWIDE-HEDGED PORTFOLIO Pass
INTERNATIONAL PORTFOLIO Fail
EMERGING MARKETS PORTFOLIO Fail
</TABLE>
75
<PAGE>
FFTW FUNDS, INC.
SHAREHOLDERS MEETING RESULTS (UNAUDITED) (CONTINUED)
PROPOSAL 2B: Issuing Senior Securities
Proposed text: "Portfolios may not issue senior securities, except to the
extent permitted under the 1940 Act."
<TABLE>
<CAPTION>
PASS/FAIL
---------
<S> <C>
U.S. SHORT-TERM PORTFOLIO Pass
LIMITED DURATION PORTFOLIO Fail
MORTGAGE-BACKED PORTFOLIO Pass
GLOBAL TACTICAL EXPOSURE PORTFOLIO Pass
WORLDWIDE PORTFOLIO Pass
WORLDWIDE-HEDGED PORTFOLIO Pass
INTERNATIONAL PORTFOLIO Fail
EMERGING MARKETS PORTFOLIO Fail
</TABLE>
PROPOSAL 2C: Purchasing Securities on Margin
Proposed that this fundamental restriction be reclassified as a
non-fundamental restriction: "Portfolios may not purchase securities on
margin (although deposits referred to as "margin" will be made in
connection with investments in futures contracts, as explained above, and
a Portfolio may obtain such short-term credits as may be necessary for
the clearance of purchases and sales of securities)."
<TABLE>
<CAPTION>
PASS/FAIL
---------
<S> <C>
U.S. SHORT-TERM PORTFOLIO Pass
LIMITED DURATION PORTFOLIO Fail
MORTGAGE-BACKED PORTFOLIO Pass
GLOBAL TACTICAL EXPOSURE PORTFOLIO Pass
WORLDWIDE PORTFOLIO Pass
WORLDWIDE-HEDGED PORTFOLIO Pass
INTERNATIONAL PORTFOLIO Fail
EMERGING MARKETS PORTFOLIO Fail
</TABLE>
PROPOSAL 2D: Making Short Sales of Securities
Proposed that this fundamental restriction be eliminated: "Portfolios may
not make short sales of securities (does not include options, futures,
options on futures or forward currency contracts)."
<TABLE>
<CAPTION>
PASS/FAIL
---------
<S> <C>
U.S. SHORT-TERM PORTFOLIO Pass
LIMITED DURATION PORTFOLIO Fail
GLOBAL TACTICAL EXPOSURE PORTFOLIO Pass
WORLDWIDE PORTFOLIO Pass
WORLDWIDE-HEDGED PORTFOLIO Pass
INTERNATIONAL PORTFOLIO Fail
EMERGING MARKETS PORTFOLIO Fail
</TABLE>
76
<PAGE>
FFTW FUNDS, INC.
SHAREHOLDERS MEETING RESULTS (UNAUDITED) (CONTINUED)
PROPOSAL 2E: Investing for Control
Proposed that this fundamental restriction be reclassified as a
non-fundamental restriction: "Portfolios may not invest in companies for
the purpose of exercising control or management."
<TABLE>
<CAPTION>
PASS/FAIL
---------
<S> <C>
U.S. SHORT-TERM PORTFOLIO Pass
LIMITED DURATION PORTFOLIO Fail
MORTGAGE-BACKED PORTFOLIO Pass
GLOBAL TACTICAL EXPOSURE PORTFOLIO Pass
WORLDWIDE PORTFOLIO Pass
WORLDWIDE-HEDGED PORTFOLIO Pass
INTERNATIONAL PORTFOLIO Fail
EMERGING MARKETS PORTFOLIO Pass
</TABLE>
PROPOSAL 2F: Investing in Issuers in which Fund Management Invests
Proposed that this fundamental restriction be reclassified as a
non-fundamental restriction: "Each Portfolio is prohibited from
purchasing or retaining securities of any issuer if the officers,
directors or trustees of the Fund, or its advisors, or managers own
beneficially more than one half of one percent of the securities of an
issuer, or together own beneficially more than five percent of the
securities of that issuer."
<TABLE>
<CAPTION>
PASS/FAIL
---------
<S> <C>
U.S. SHORT-TERM PORTFOLIO Pass
LIMITED DURATION PORTFOLIO Fail
MORTGAGE-BACKED PORTFOLIO Pass
GLOBAL TACTICAL EXPOSURE PORTFOLIO Pass
WORLDWIDE PORTFOLIO Pass
WORLDWIDE-HEDGED PORTFOLIO Pass
INTERNATIONAL PORTFOLIO Fail
EMERGING MARKETS PORTFOLIO Pass
</TABLE>
PROPOSAL 2G: Investing in Other Investment Companies
Proposed that this fundamental restriction be eliminated: "Each Portfolio
is prohibited from the investment in securities of other investment
companies, except by purchase in the open market where no commission or
profit to sponsor or dealer results from the purchase other than the
customary broker's commission, or except when the purchase is part of a
plan of merger, consolidation, reorganization or acquisition."
<TABLE>
<CAPTION>
PASS/FAIL
---------
<S> <C>
U.S. SHORT-TERM PORTFOLIO Pass
LIMITED DURATION PORTFOLIO Fail
MORTGAGE-BACKED PORTFOLIO Pass
GLOBAL TACTICAL EXPOSURE PORTFOLIO Pass
WORLDWIDE PORTFOLIO Pass
WORLDWIDE-HEDGED PORTFOLIO Pass
INTERNATIONAL PORTFOLIO Fail
EMERGING MARKETS PORTFOLIO Pass
</TABLE>
77
<PAGE>
FFTW FUNDS, INC.
SHAREHOLDERS MEETING RESULTS (UNAUDITED) (CONTINUED)
PROPOSAL 2H: Investing in Unseasoned Issuers or Restricted Securities
Proposed that this fundamental restriction be reclassified as a
non-fundamental restriction: "Each Portfolio is prohibited from the
investment of more than fifteen percent (15%) of (the Portfolio's) total
assets in the securities of issuers which together with any predecessors
have a record of less than three years continuous operation or securities
of issuers which are restricted as to disposition."
<TABLE>
<CAPTION>
PASS/FAIL
---------
<S> <C>
U.S. SHORT-TERM PORTFOLIO Pass
LIMITED DURATION PORTFOLIO Fail
MORTGAGE-BACKED PORTFOLIO Pass
GLOBAL TACTICAL EXPOSURE PORTFOLIO Pass
WORLDWIDE PORTFOLIO Pass
WORLDWIDE-HEDGED PORTFOLIO Pass
INTERNATIONAL PORTFOLIO Fail
EMERGING MARKETS PORTFOLIO Pass
</TABLE>
PROPOSAL 3:
Ratification of the selection of KPMG LLP as Independent Auditors.
<TABLE>
<CAPTION>
PASS/FAIL
---------
<S> <C>
U.S. SHORT-TERM PORTFOLIO Pass
LIMITED DURATION PORTFOLIO Pass
MORTGAGE-BACKED PORTFOLIO Pass
GLOBAL TACTICAL EXPOSURE PORTFOLIO Pass
WORLDWIDE PORTFOLIO Pass
WORLDWIDE-HEDGED PORTFOLIO Pass
INTERNATIONAL PORTFOLIO Pass
EMERGING MARKETS PORTFOLIO Pass
</TABLE>
78
<PAGE>
OFFICERS & DIRECTORS AND OTHER PERTINENT INFORMATION
--------------------------------------------------------------------------------
OFFICERS AND DIRECTORS
Stephen P. Casper
DIRECTOR OF THE FUND AND
VICE PRESIDENT OF THE FUND
John C Head III
DIRECTOR OF THE FUND
Saul H. Hymans
DIRECTOR OF THE FUND
Lawrence B. Krause
DIRECTOR OF THE FUND
Andrea Redmond
DIRECTOR OF THE FUND
Onder John Olcay
CHAIRMAN OF THE BOARD AND
PRESIDENT OF THE FUND
William E. Vastardis
TREASURER OF THE FUND
Timothy F. Osborne
ASSISTANT TREASURER OF THE FUND
Robin Meister
SECRETARY OF THE FUND
Jill Grossberg
ASSISTANT SECRETARY 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, 26th Floor
New York, NY 10020
DISTRIBUTOR
First Fund Distributors, Inc.
4455 East Camelback Rd.
Suite 261E
Phoenix, AZ 85018
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
1775 Eye Street, N.W.
Washington, D.C. 20006-2401
INDEPENDENT AUDITORS
KPMG LLP
757 Third Avenue
New York, NY 10017
--------------------------------------------------------------------------------
