<PAGE> PAGE 1
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<PAGE> PAGE 2
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<PAGE> PAGE 3
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<PAGE> PAGE 4
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<PAGE> PAGE 5
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<PAGE> PAGE 6
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<PAGE> PAGE 7
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<PAGE> PAGE 8
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<PAGE> PAGE 9
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<PAGE> PAGE 10
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<PAGE> PAGE 11
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<PAGE> PAGE 12
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<PAGE> PAGE 13
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<PAGE> PAGE 14
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<PAGE> PAGE 15
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SIGNATURE MARIANTHE S. MEWKILL
TITLE TREASURER
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<SERIES>
<NUMBER> 1
<NAME> SMITH BREEDEN SHORT DURATION US GOVT SERIES
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> MAR-31-1996
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<PER-SHARE-NAV-END> 9.74
<EXPENSE-RATIO> 0.78
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
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<SERIES>
<NUMBER> 2
<NAME> SMITH BREEDEN INTERMEDIATE DURATION US GOVT SERIES
<S> <C>
<PERIOD-TYPE> YEAR
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<PERIOD-END> MAR-31-1996
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</TABLE>
The Board of Trustees,
Smith Breeden Short Duration U.S. Government Series of the Smith
Breeden Series Fund:
In planning and performing our audit of the financial statements of Smith
Breeden Short Duration U.S. Government Series of the Smith Breeden
Series Fund for the year ended March 31, 1996 (on which we have
issued our report dated May 10, 1996), we considered its internal control
structure, including procedures for safeguarding securities, in order to
determine our auditing procedures for the purpose of expressing our
opinion on the financial statements and to comply with the requirements
of Form N-SAR, not to provide assurance on the internal control
structure.
The management of Smith Breeden Short Duration U.S. Government
Series of the Smith Breeden Series Fund is responsible for establishing
and maintaining an internal control structure. In fulfilling this
responsibility, estimates and judgments by management are required to
assess the expected benefits and related costs of internal control
structure policies and procedures. Two of the objectives of an internal
control structure are to provide management with reasonable, but not
absolute, assurance that assets are safeguarded against loss from
unauthorized use or disposition and that transactions are executed in
accordance with management's authorization and recorded properly to
permit preparation of financial statements in conformity with generally
accepted accounting principles.
Because of inherent limitations in any internal control structure, errors or
irregularities may occur and not be detected. Also, projection of any
evaluation of the structure to future periods is subject to the risk that it
may become inadequate because of changes in conditions or that the
effectiveness of the design and operation may deteriorate.
Our consideration of the internal control structure would not necessarily
disclose all matters in the internal control structure that might be material
weaknesses under standards established by the American Institute of
Certified Public Accountants. A material weakness is a condition in
which the design or operation of the specific internal control structure
elements does not reduce to a relatively low level the risk that errors or
irregularities, in amounts that would be material in relation to the financial
statements being audited, may occur and not be detected within a timely
period by employees in the normal course of performing their assigned
functions. However, we noted no matters involving the internal control
structure, including procedures for safeguarding securities, that we
consider to be material weaknesses as defined above as of March 31,
1996.
This report is intended solely for the information and use of the Board of
Trustees, management and the Securities and Exchange Commission.
May 10, 1996
The Board of Trustees,
Smith Breeden Intermediate Duration U.S. Government Series of the
Smith Breeden Series Fund:
In planning and performing our audit of the financial statements of Smith
Breeden Intermediate Duration U.S. Government Series of the Smith
Breeden Series Fund for the year ended March 31, 1996 (on which we
have issued our report dated May 10, 1996), we considered its internal
control structure, including procedures for safeguarding securities, in
order to determine our auditing procedures for the purpose of expressing
our opinion on the financial statements and to comply with the
requirements of Form N-SAR, not to provide assurance on the internal
control structure.
The management of Smith Breeden Intermediate Duration U.S.
Government Series of the Smith Breeden Series Fund is responsible for
establishing and maintaining an internal control structure. In fulfilling this
responsibility, estimates and judgments by management are required to
assess the expected benefits and related costs of internal control
structure policies and procedures. Two of the objectives of an internal
control structure are to provide management with reasonable, but not
absolute, assurance that assets are safeguarded against loss from
unauthorized use or disposition and that transactions are executed in
accordance with management's authorization and recorded properly to
permit preparation of financial statements in conformity with generally
accepted accounting principles.
Because of inherent limitations in any internal control structure, errors or
irregularities may occur and not be detected. Also, projection of any
evaluation of the structure to future periods is subject to the risk that it
may become inadequate because of changes in conditions or that the
effectiveness of the design and operation may deteriorate.
Our consideration of the internal control structure would not necessarily
disclose all matters in the internal control structure that might be material
weaknesses under standards established by the American Institute of
Certified Public Accountants. A material weakness is a condition in
which the design or operation of the specific internal control structure
elements does not reduce to a relatively low level the risk that errors or
irregularities, in amounts that would be material in relation to the financial
statements being audited, may occur and not be detected within a timely
period by employees in the normal course of performing their assigned
functions. However, we noted no matters involving the internal control
structure, including procedures for safeguarding securities, that we
consider to be material weaknesses as defined above as of March 31,
1996.
This report is intended solely for the information and use of the Board of
Trustees, management and the Securities and Exchange Commission.
May 10, 1996
THE SMITH BREEDEN SERIES FUND
RESPONSE TO NSAR-A SUB-ITEM 77 (H)
CHANGES IN CONTROL OF REGISTRANT
SERIES #1
Carver Federal Savings Bank may be deemed to control the Smith
Breeden Short Duration U.S. Government Series by virtue of it owning
more than 25.0% of the outstanding shares of the fund on March 31,
1996.
