<PAGE> PAGE 1
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007 C020100 SMITH BREEDEN EQUITY PLUS FUND
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010 A00AA01 SMITH BREEDEN ASSOCIATES, INC
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011 A00AA01 FPS BROKER SERVICES, INC.
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011 C01AA01 KING OF PRUSSIA
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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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SIGNATURE MARIANTHE S. MEWKILL
TITLE TREASURER
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 1
<NAME> SMITH BREEDEN EQUITY PLUS FUND
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> MAR-31-1997
<PERIOD-END> MAR-31-1997
<INVESTMENTS-AT-COST> 16394418
<INVESTMENTS-AT-VALUE> 16422411
<RECEIVABLES> 3162428
<ASSETS-OTHER> 69576
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 19654415
<PAYABLE-FOR-SECURITIES> 5876144
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 270894
<TOTAL-LIABILITIES> 6147038
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 13094357
<SHARES-COMMON-STOCK> 1075509
<SHARES-COMMON-PRIOR> 388529
<ACCUMULATED-NII-CURRENT> 36234
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 865097
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (488311)
<NET-ASSETS> 13507377
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 473488
<OTHER-INCOME> 0
<EXPENSES-NET> 67402
<NET-INVESTMENT-INCOME> 406086
<REALIZED-GAINS-CURRENT> 1374343
<APPREC-INCREASE-CURRENT> (526585)
<NET-CHANGE-FROM-OPS> 1253844
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 382446
<DISTRIBUTIONS-OF-GAINS> 808371
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 695525
<NUMBER-OF-SHARES-REDEEMED> 102037
<SHARES-REINVESTED> 93492
<NET-CHANGE-IN-ASSETS> 8740843
<ACCUMULATED-NII-PRIOR> 12594
<ACCUMULATED-GAINS-PRIOR> 299125
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 53341
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 199367
<AVERAGE-NET-ASSETS> 7655310
<PER-SHARE-NAV-BEGIN> 12.270
<PER-SHARE-NII> 0.592
<PER-SHARE-GAIN-APPREC> 1.813
<PER-SHARE-DIVIDEND> 0.590
<PER-SHARE-DISTRIBUTIONS> 1.525
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 12.560
<EXPENSE-RATIO> 0.88
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
The Board of Trustees
Smith Breeden Equity Plus Fund of the Smith Breeden Trust:
In planning and performing our audit of the financial statements of the Smith
Breeden Equity Plus Fund of the Smith Breeden Trust for the year ended March
31, 1997 (on which we have issued our report dated May 12, 1997), 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, and not to provide assurance on
the internal control structure.
The management of the Smith Breeden Equity Plus Fund of the Smith Breeden
Trust 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 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, 1997.
This report is intended solely for the information and use of management,
the Board of Trustees and the Securities and Exchange Commission.
May 12, 1997
