<PAGE>
THE U.S. FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
APRIL 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
PRINCIPAL RATING
AMOUNTu SECURITY DESCRIPTION (UNAUDITED) VALUE
- -------------- ------------------------------------------------------------ ----------- --------------
<C> <S> <C> <C>
CERTIFICATE OF DEPOSIT-DOMESTIC (0.4%)
BANKING (0.4%)
$ 5,000,000 Mercantile Safe Deposit & Trust, 6.16% due 08/16/99
(cost $5,000,000)......................................... A1/AA- $ 5,020,000
--------------
COLLATERALIZED MORTGAGE OBLIGATIONS AND ASSET BACKED SECURITIES (14.0%)
BANKING (0.4%)
5,000,000 Amsouth Bank of Alabama, Callable 02/01/08, 6.45% due
02/01/18.................................................. A1/A- 4,972,550
--------------
FINANCIAL SERVICES (13.6%)
38,000 Advanta Home Equity Loan Trust, Sequential Payer, Series
1992-2, Class A1, Callable, 7.15% due 06/25/08............ Aaa/AAA 38,549
2,788,272 American Southwest Financial Corp., Support Bond, Series 60,
Class D, Callable, 8.90% due 03/01/18..................... NR/AAA 2,916,532
28,113,000 Associates Manufactured Housing Pass Through, Sequential
Payer, Series 1997-1, Class A3, Callable, 6.60% due
06/15/28.................................................. Aaa/AAA 28,459,352
674,425 BA Mortgage Securities, Inc., Remic: Subordinated Bond, NAS,
Series 1997-1, Class B2, Callable, 7.50% due 07/25/26..... NR/NR 675,268
834,441 BA Mortgage Securities, Inc., Remic: Subordinated Bond, NAS,
Series 1997-1, Class B3, Callable, (144A), 7.50% due
07/25/26.................................................. NR/NR 772,640
529,594 Banc One Auto Grantor Trust, Sequential Payer, Series
1997-A, Class A, Callable, 6.27% due 11/20/03............. Aaa/AAA 534,821
2,253,150 Bear Stearns Structured Securities, Inc., Remic: Sequential
Payer, Series 1997-2, Class 1A5, Callable, (144A), 7.00%
due 08/25/36.............................................. Aaa/NR 2,188,372
850,000 Caterpillar Financial Asset Trust, Sequential Payer, Series
1997-A, Class A3, Callable, 6.45% due 05/25/03............ Aaa/AAA 861,203
2,000,000 Chase Commercial Mortgage Securities Corp., Subordinated
Bond, Series 1996-2, Class F, Callable, (144A), 6.90% due
11/19/06.................................................. NR/NR 1,853,125
15,699,000 Chemical Mortgage Securities, Inc., Remic: Sequential Payer,
AS, Series 1996-1, Class A7, Callable, 7.25% due
01/25/26.................................................. Aaa/AAA 15,804,968
38,624 Chevy Chase Auto Receivables Trust, Series 1995-1, Class A,
Callable, 6.00% due 12/15/01.............................. Aaa/AAA 38,682
550,000 Citibank Credit Card Master Trust I, Series 1998-1, Class A,
Callable, 5.75% due 01/15/03.............................. Aaa/AAA 547,250
5,352,336 Collateralized Mortgage Obligation Trust, Remic: Accrual
Bond, Series 62, Class Z, Callable, 9.50% due 06/25/20.... Aaa/AAA 5,577,294
279,757 Countrywide Home Loans, Remic: Sequential Payer, Series
1997-4, Class A, Callable, 8.00% due 07/25/27............. Aaa/NR 286,882
2,250,000 Countrywide Home Loans, Remic: Sequential Payer, Series
1998-5, Class A, Callable, 6.75% due 05/25/28............. NR/AAA 2,224,512
2,556,275 Criimi Mae Financial Corp., Sequential Payer, Series 1,
Class A, Callable, 7.00% due 01/01/33..................... NR/AAA 2,533,908
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
16
<PAGE>
THE U.S. FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
PRINCIPAL RATING
AMOUNTu SECURITY DESCRIPTION (UNAUDITED) VALUE
- -------------- ------------------------------------------------------------ ----------- --------------
<C> <S> <C> <C>
FINANCIAL SERVICES (CONTINUED)
$ 5,089,000 CS First Boston Mortgage Securities Corp., Series 1997-C2,
Class B, Callable, 6.72% due 11/19/07..................... Aa2/NR $ 5,163,745
4,979,992 Deutsche Mortgage & Asset Receiving Corp., Sequential Payer,
Series 1998-C1, Class A1, Callable, 6.22% due 06/15/31.... NR/NR 4,981,159
5,000,000 Deutsche Mortgage & Asset Receiving Corp., Sequential Payer,
Series 1998-C1, Class A2, Callable, 6.538% due 06/15/31... Aaa/NR 5,034,766
2,452,000 First Union-Lehman Brothers Commercial Mortgage,
Subordinated Bond, Series 1997-C2, Class E, Callable,
7.12% due 11/18/12........................................ Baa3/BBB- 2,341,277
500,000 First USA Credit Card Master Trust, Series 1997-6, Class A,
Callable, 6.42% due 03/17/05.............................. Aaa/AAA 507,165
1,248,546 Fleetwood Credit Corp. Grantor Trust, Sequential Payer,
Series 1995-B, Class A, Callable, 6.55% due 05/15/11...... Aaa/AAA 1,257,061
445,784 GE Capital Mortgage Services, Inc., 6.75% due 01/25/28...... NR/NR 413,563
8,855,000 GE Capital Mortgage Services, Inc., Remic: PAC-1(11), AS,
Series 1994-17, Class A5, Callable, 7.00% due 05/25/24.... Aaa/AAA 8,911,761
2,519,566 GE Capital Mortgage Services, Inc., Remic: Subordinated
Bond, NAS, Series 1997-12, Class B3, Callable, (144A),
7.00% due 12/25/27........................................ NR/NR 2,286,506
695,881 GE Capital Mortgage Services, Inc., Remic: Subordinated
Bond, NAS, Series 1997-13, Class B3, Callable, (144A),
6.75% due 12/25/12........................................ NR/NR 654,346
244,592 GE Capital Mortgage Services, Inc., Remic: Subordinated
Bond, NAS, Series 1997-IO, Class B2, Callable, 6.75% due
09/25/12.................................................. NR/NR 241,034
1,775,628 GE Capital Mortgage Services, Inc., Remic: Subordinated
Bond, NAS, Series 1998-5, Class B3, Callable, (144A),
6.75% due 05/25/28........................................ NR/NR 1,580,864
2,000,000 Green Tree Financial Corp., Sequential Payer, Series 1992-1,
Class A3, Callable, 6.70% due 10/15/17.................... Aaa/NR 2,010,700
5,000,000 Green Tree Home Improvement Loan Trust, Sequential Payer,
AS, Series 1997-E, Class HEA2, Callable, 6.39% due
01/15/29.................................................. NR/AAA 5,013,200
1,397,220 Green Tree Recreational, Equipment & Consumer Trust,
Sequential Payer, Series 1996-A, Class A1, Callable, 5.55%
due 02/15/18.............................................. Aaa/AAA 1,393,350
1,500,000 J.P. Morgan Commercial Mortgage Finance Corp., Subordinated
Bond, CSTR, Series 1996-C2, Class E, Callable, 8.731% due
11/25/27.................................................. NR/BB 1,553,437
2,500,000 Merrill Lynch Mortgage Investors, Inc., Sequential Payer,
Series 1996-C2, Class A3, Callable, 6.96% due 11/21/28.... NR/AAA 2,582,812
3,163,678 Merrill Lynch Mortgage Investors, Inc., Subordinated Bond,
CSTR, Series 1995-C2, Class E, Callable, 8.17% due
06/15/21.................................................. Ba3/NR 3,143,905
2,000,000 Merrill Lynch Mortgage Investors, Inc., Subordinated Bond,
Series 1997-C1, Class F, Callable, 7.12% due 06/18/29..... NR/BB 1,845,312
9,249,064 Midland Realty Acceptance Corp., Sequential Payer, Series
1996-C2, Class A1, Callable, 7.02% due 01/25/29........... Aaa/NR 9,481,735
6,677,184 Morgan Stanley Capital, Inc., Sequential Payer, AFC, Series
1998-WF1, Class A1, 6.25% due 07/15/07.................... NR/AAA 6,652,144
5,000,000 Morgan Stanley Capital, Inc., Subordinated Bond, CSTR,
Series 1997-RR, Class D, Callable, (144A), 7.77% due
04/30/39.................................................. NR/NR 4,768,750
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE U.S. FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
PRINCIPAL RATING
AMOUNTu SECURITY DESCRIPTION (UNAUDITED) VALUE
- -------------- ------------------------------------------------------------ ----------- --------------
<C> <S> <C> <C>
FINANCIAL SERVICES (CONTINUED)
$ 1,000,000 Morgan Stanley Capital, Inc., Subordinated Bond, Series
1995-GAL1, Class E, Callable, (144A), 8.25% due
08/15/05.................................................. NR/NR $ 1,014,375
2,000,000 Morgan Stanley Capital, Inc., Subordinated Bond, Series
1997-HF1, Class F, Callable, (144A), 6.86% due 02/15/10... NR/NR 1,821,250
427,158 Morgan Stanley Mortgage Trust, Remic: Sequential Payer,
Series V, Class 4, Callable, 8.95% due 05/01/17........... NR/AAA 441,314
1,948,511 Mortgage Capital Funding, Inc., Sequential Payer, Series
1997-MC2, Class A1, Callable, 6.525% due 01/20/07......... Aaa/NR 1,960,081
1,500,000 Niantic Bay Fuel Trust, Secured Notes, 9.02% due 06/05/98... NR/NR 1,488,750
1,014,902 Norwest Asset Securities Corp., Remic: Subordinated Bond,
NAS, Series 1997-9, Class B3, Callable, (144A), 7.00% due
06/25/12.................................................. NR/NR 980,015
521,017 Norwest Asset Securities Corp., Remic: Subordinated Bond,
NAS, Series 1998-3, Class B3, Callable, (144A), 6.75% due
02/25/13.................................................. NR/NR 488,616
809,222 Norwest Asset Securities Corp., Remic: Subordinated Bond,
NAS, Series 1998-4, Class 2B3, Callable, (144A), 6.75% due
02/25/28.................................................. NR/NR 708,207
800,000 Norwest Asset Securities Corp., Remic: Subordinated Bond,
NAS, Series 1998-5, Class B3, Callable, (144A), 6.75% due
03/25/28.................................................. NR/NR 699,704
721,786 Paine Webber Mortgage Acceptance Corp., Remic: PAC (11), AS,
Series 1993-5, Class A2, Callable, 5.50% due 06/25/08..... NR/AAA 718,899
119,930 Prudential Home Mortgage Securities, Remic: PAC (11), AS,
Series 1993-54, Class A2, Callable, 6.50% due 01/25/24.... Aaa/NR 119,539
4,489,400 Residential Funding Mortgage Securities I, Inc., Remic: PAC
(11), AS, Series 1994-S12, Class A3, Callable, 6.50% due
04/25/09.................................................. Aa1/AAA 4,499,905
493,475 Residential Funding Mortgage Securities I, Remic: NAS,
Series 1996-S2, Class M3, Callable, 6.75% due 01/25/11.... NR/BBB 491,230
3,000,000 Safeco Capital Trust I, Callable 07/15/07, 8.072% due
07/15/37.................................................. NR/NR 3,140,940
150,000 Sears Roebuck Acceptance, Series III, 6.60% due 10/09/01.... A2/A- 151,725
51,120 The Money Store Home Equity Trust, Sequential Payer, Series
1992-A, Class A, Callable, 6.95% due 01/15/07............. Aaa/AAA 51,916
19,450 Western Financial Grantor Trust, Sequential Payer, Series
1995-3, Class A1, Callable, 6.05% due 11/01/00............ Aaa/AAA 19,463
942,312 World Omni Automobile Lease Securitization Trust, Sequential
Payer, Series 1996-A, Class A1, Callable, 6.30% due
06/25/02.................................................. Aaa/AAA 943,867
2,600,000 World Omni Automobile Lease Securitization Trust, Sequential
Payer, Series 1997-A, Class A2, Callable, 6.75% due
06/25/03.................................................. Aaa/AAA 2,649,192
--------------
159,520,938
--------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS AND ASSET
BACKED SECURITIES (COST $162,735,598)................. 164,493,488
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE U.S. FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
PRINCIPAL RATING
AMOUNTu SECURITY DESCRIPTION (UNAUDITED) VALUE
- -------------- ------------------------------------------------------------ ----------- --------------
<C> <S> <C> <C>
CONVERTIBLE BONDS (0.1%)
RETAIL (0.1%)
$ 1,100,000 Corporate Express, Inc., Callable 07/01/99, 4.50% due
07/01/00 (cost $934,625).................................. B3/B $ 999,625
--------------
CORPORATE OBLIGATIONS (23.3%)
APPARELS & TEXTILES (0.1%)
1,050,000 Fruit of the Loom, Inc., 7.875% due 10/15/99................ Ba1/BBB- 1,063,230
300,000 Pillowtex Corp., Series B, Callable 12/15/02, 9.00% due
12/15/07.................................................. B2/B+ 310,125
--------------
1,373,355
--------------
BANKING (2.7%)
500,000 ABN Amro, 7.125% due 06/18/07............................... Aa2/AA- 523,450
8,300,000 First Union Corp., 6.55% due 10/15/35....................... A2/A- 8,474,715
4,875,000 Mellon Capital I, Series A, Callable 12/01/06, 7.72% due
12/01/26.................................................. A2/BBB+ 5,070,585
2,500,000 Swiss Bank Corp., 7.00% due 10/15/15........................ Aa2/AA 2,559,700
11,235,000 Swiss Bank Corp., 7.75% due 09/01/26........................ Aa2/AA 12,462,199
2,500,000 Wachovia Bank North Carolina, 5.60% due 03/08/99............ Aa2/AA+ 2,491,875
--------------
31,582,524
--------------
BROADCASTING & PUBLISHING (0.7%)
1,700,000 Capstar Broadcasting Partners, Callable 07/01/02, 9.25% due
07/01/07.................................................. B2/B- 1,780,750
2,700,000 Fox Kids Worldwide, Inc., Callable 11/01/02, (144A), 9.25%
due 11/01/07.............................................. B1/B 2,666,250
2,000,000 Lenfest Communications, Inc., 10.50% due 06/15/06........... B2/BB- 2,280,000
1,000,000 Lenfest Communications, Inc., (144A), 7.625% due 02/15/08... Ba3/BB+ 997,500
--------------
7,724,500
--------------
BUSINESS & PUBLIC SERVICES (0.0%)
200,000 U.S. Department of Veterans Affairs, 7.50% due 09/15/17..... Aaa/AAA 203,536
--------------
ELECTRIC (0.9%)
5,000,000 Pacific Corp., Series H, Callable, 6.75% due 07/15/04....... A2/A 5,087,950
5,000,000 Philadelphia Electric Co., 8.00% due 04/01/02............... Baa1/BBB+ 5,296,850
--------------
10,384,800
--------------
ELECTRONICS (0.6%)
7,000,000 Sensormatic Electronics Corp., Callable, (144A), 7.74% due
03/29/06.................................................. NR/NR 6,515,950
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE U.S. FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
PRINCIPAL RATING
AMOUNTu SECURITY DESCRIPTION (UNAUDITED) VALUE
- -------------- ------------------------------------------------------------ ----------- --------------
<C> <S> <C> <C>
ENTERTAINMENT, LEISURE & MEDIA (0.8%)
$ 2,500,000 Fox/Liberty Networks LLC, Callable 08/15/02, 8.875% due
08/15/07.................................................. B1/B $ 2,556,250
2,000,000 Jacor Communications Co., Callable 12/15/01, 9.75% due
12/15/06.................................................. B2/B 2,175,000
1,090,000 Jacor Communications Co., Series B, Callable 06/15/02, 8.75%
due 06/15/07.............................................. B2/B 1,136,325
1,250,000 Lamar Advertising Co., Callable 09/15/02, 8.625% due
09/15/07.................................................. B1/B 1,268,750
2,700,000 Outdoor Systems, Inc., Callable 06/15/02, 8.875% due
06/15/07.................................................. B1/B 2,794,500
--------------
9,930,825
--------------
FINANCIAL SERVICES (4.2%)
3,060,000 Associates Corp. North America, 5.96% due 05/15/37.......... Aa3/AA- 3,077,442
25,000 Chrysler Financial Corp., Series Q, 6.35% due 06/22/99...... A3/A 25,094
3,400,000 Commercial Credit, 8.70% due 06/15/10....................... A1/A+ 4,101,114
4,000,000 FCB/NC Capital Trust 1, Callable 03/01/08, (144A), 8.05% due
03/01/28.................................................. Baa3/BB+ 4,043,400
2,750,000 FCB/SC Capital Trust I, Callable 03/15/08, (144A), 8.25% due
03/15/28.................................................. NR/NR 2,733,582
2,875,000 First Union Institutional Capital I, Callable 12/01/06,
8.04% due 12/01/26........................................ A1/BBB+ 3,074,209
750,000 Ford Motor Credit Co., 6.50% due 02/28/02................... A1/A+ 758,205
2,000,000 General Motors Acceptance Corp., 6.70% due 06/24/99......... A2/A 2,017,140
750,000 General Motors Acceptance Corp., 6.75% due 02/07/02......... A2/A 761,782
450,000 Nationwide Financial Services, Inc., Callable 03/01/07,
8.00% due 03/01/27........................................ A1/A+ 480,789
4,400,000 Phillips 66 Capital Trust II, Callable 01/15/07, 8.00% due
01/15/37.................................................. Baa1/BBB+ 4,578,464
4,100,000 Provident Companies, Inc., 7.405% due 03/15/38.............. A3/BBB 4,097,048
750,000 Sears Roebuck Acceptance Corp., Series I, 6.40% due
10/11/00.................................................. A2/A- 754,132
10,600,000 Southern Co. Capital Trust I, Callable 02/01/07, 8.19% due
02/01/37.................................................. A3/A- 11,209,818
1,800,000 Southern Co. Capital Trust II, Callable 02/15/07, (144A),
8.14% due 02/15/27........................................ NR/NR 1,873,620
1,400,000 Sun Healthcare Group, Inc., 9.375% due 05/01/08............. B2/B- 1,407,000
2,450,000 Sun World International, Inc., Series B, Callable 04/15/01,
11.25% due 04/15/04....................................... B2/B 2,627,625
1,500,000 US Bancorp Capital I, Callable 12/15/06, (144A), 8.27% due
12/15/26.................................................. NR/NR 1,642,695
100,000 US West Capital Funding Inc., 7.30% due 01/15/07............ Baa1/BBB+ 106,353
--------------
49,369,512
--------------
FOOD, BEVERAGES & TOBACCO (0.6%)
750,000 Coca Cola Enterprises, 6.625% due 08/01/04.................. A3/A+ 768,600
2,000,000 Panamerican Beverages, (144A), 7.25% due 07/01/09........... Baa3/BBB- 1,977,860
1,000,000 Smithfield Foods, Inc., (144A), 7.625% due 02/15/08......... Ba3/BB+ 987,500
2,900,000 Tricon Global Restaurants, Callable, 7.45% due 05/15/05..... Ba1/BB 2,894,896
--------------
6,628,856
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE U.S. FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
PRINCIPAL RATING
AMOUNTu SECURITY DESCRIPTION (UNAUDITED) VALUE
- -------------- ------------------------------------------------------------ ----------- --------------
<C> <S> <C> <C>
FOREST PRODUCTS & PAPER (1.9%)
$ 1,100,000 Buckeye Technologies, Inc., Callable 12/15/00, 8.50% due
12/15/05.................................................. Ba3/BB- $ 1,124,750
5,000,000 Champion International Corp., 7.10% due 09/01/05............ Baa1/BBB 5,162,350
5,600,000 Georgia-Pacific Corp., 9.95% due 06/15/02................... Baa2/BBB- 6,278,944
9,150,000 Georgia-Pacific Corp., Callable 04/30/05, 8.625% due
04/30/25.................................................. Baa2/BBB- 10,083,025
--------------
22,649,069
--------------
GAS EXPLORATION (0.4%)
5,000,000 National Fuel Gas Co., Series D, 6.214% due 08/12/27........ A2/A- 5,030,400
--------------
HEALTH SERVICES (0.7%)
2,675,000 Genesis Health Ventures, Inc., Callable 06/15/00, 9.75% due
06/15/05.................................................. B2/B- 2,795,375
2,000,000 Mariner Health Group, Inc., Series B, Callable 04/01/01,
9.50% due 04/01/06........................................ B2/B 2,090,000
1,670,000 Tenet Healthcare Corp., 8.00% due 01/15/05.................. Ba1/BB+ 1,711,499
1,480,000 Tenet Healthcare Corp., Callable 01/15/02, 8.625% due
01/15/07.................................................. Ba3/B+ 1,535,411
--------------
8,132,285
--------------
METALS & MINING (0.1%)
1,000,000 Ryerson Tull, Inc., Callable, 8.50% due 07/15/01............ Ba1/BB 1,040,000
--------------
MULTI-INDUSTRY (0.1%)
750,000 Lasmo (USA) Inc., Callable 06/01/03, 8.375% due 06/01/23.... Baa2/BBB 809,190
--------------
NATURAL GAS (0.7%)
200,000 BP America, Inc., 7.875% due 05/15/02....................... Aa2/AA 212,076
3,166,000 Columbia Gas Systems, Series G, Callable 11/28/05, 7.62% due
11/28/25.................................................. Baa1/BBB+ 3,296,724
684,000 Consolidated Natural Gas Co., Callable 12/10/97, 8.625% due
12/01/11.................................................. A1/AA- 716,976
500,000 Ferrellgas Partners, L.P., Series B, Callable 06/15/01,
(144A), 9.375% due 06/15/06............................... B1/B+ 533,125
3,000,000 William Companies, Inc., 6.125% due 02/01/01................ Baa2/BBB- 2,995,530
--------------
7,754,431
--------------
OIL-PRODUCTION (0.5%)
2,500,000 Ocean Energy, Inc., Series B, Callable 07/15/02, 8.875% due
07/15/07.................................................. B3/BB- 2,625,000
2,500,000 Plains Resources Inc., Series D, Callable, 10.25% due
03/15/06.................................................. NR/B 2,693,750
--------------
5,318,750
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE U.S. FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
PRINCIPAL RATING
AMOUNTu SECURITY DESCRIPTION (UNAUDITED) VALUE
- -------------- ------------------------------------------------------------ ----------- --------------
<C> <S> <C> <C>
OIL-SERVICES (0.3%)
$ 4,000,000 Oil Purchase Co., Sinking Fund, (144A), 7.10% due
04/30/02.................................................. Baa3/BBB $ 4,010,000
--------------
PACKAGING & CONTAINERS (0.1%)
710,000 Stone Container Corp., Series B, Callable 12/05/97, 12.25%
due 04/01/02.............................................. B3/B- 732,187
--------------
RAILROADS (0.9%)
750,000 Norfolk Southern Corp., 6.70% due 05/01/00.................. Baa1/BBB+ 758,437
5,300,000 Union Pacific Corp., 6.625% due 02/01/08.................... Baa3/BBB 5,235,552
5,000,000 Union Pacific Corp., 7.125% due 02/01/28.................... Baa3/BBB 4,934,900
--------------
10,928,889
--------------
RETAIL (0.7%)
2,500,000 Federated Department Stores, Inc., 8.50% due 06/15/03....... Baa2/BB+ 2,712,475
2,500,000 Fred Meyer, Inc., Callable, 7.45% due 03/01/08.............. Ba2/BB+ 2,493,750
2,350,000 Sears Roebuck & Co., Series VI, 8.00% due 02/16/99.......... A2/A- 2,384,991
--------------
7,591,216
--------------
TELECOMMUNICATIONS (0.6%)
2,500,000 McLeodUSA, Inc., Callable 07/15/02, 9.25% due 07/15/07...... B2/B+ 2,656,250
1,000,000 NEXTLINK Communications, Inc., Callable 10/01/02, 9.625% due
10/01/07.................................................. B3/B 1,050,000
2,500,000 Qwest Communications International, Inc., Series B, Callable
04/01/02, 10.875% due 04/01/07............................ B2/B+ 2,906,250
--------------
6,612,500
--------------
TELEPHONE (1.5%)
16,075,000 New York Telephone Co., Callable 02/15/04, 7.25% due
02/15/24.................................................. A2/A+ 16,315,643
1,825,000 New York Telephone Co., Callable 08/15/03, 7.00% due
08/15/25.................................................. A2/A+ 1,809,159
--------------
18,124,802
--------------
TEXTILES (0.4%)
2,000,000 Collins & Aikman Products Co., Callable 04/15/01, 11.50% due
04/15/06.................................................. B3/B 2,250,000
2,570,000 Polymer Group, Inc., Series B, Callable 07/01/02, 9.00% due
07/01/07.................................................. B2/B 2,653,525
--------------
4,903,525
--------------
TRANSPORTATION (0.2%)
2,500,000 Atlantic Express Transportation Corp., Callable 02/01/01,
10.75% due 02/01/04....................................... B2/B 2,671,875
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE U.S. FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
PRINCIPAL RATING
AMOUNTu SECURITY DESCRIPTION (UNAUDITED) VALUE
- -------------- ------------------------------------------------------------ ----------- --------------
<C> <S> <C> <C>
UTILITIES (3.6%)
$ 2,750,000 Boston Edison, Callable 03/16/03, 7.80% due 03/15/23........ Baa2/BBB $ 2,819,355
2,500,000 Calpine Corp., (144A), 7.875% due 04/01/08.................. Ba2/BB- 2,487,500
2,950,000 Central Power & Light Co., Series KK, 6.625% due 07/01/05... A3/A 2,988,350
500,000 Commonwealth Edison, 6.50% due 04/15/00..................... Baa2/BBB 503,680
4,000,000 Consolidated Edison, 6.45% due 12/01/07..................... A1/A+ 4,035,240
5,300,000 Consolidated Natural Gas Co., Callable, 6.80% due
12/15/27.................................................. A1/AA- 5,319,981
6,700,000 Jersey Central Power & Light, Series C, 6.04% due
03/15/00.................................................. Baa1/A- 6,693,568
4,350,000 Pacificorp, Series B, 8.90% due 02/15/01.................... A2/A 4,634,533
5,000,000 Potomac Electric Power, Callable 09/15/05, 7.375% due
09/15/25.................................................. A1/A 5,121,150
7,000,000 Waterford 3 Funding, SLOBS, Sinking Fund, 8.09% due
01/02/17.................................................. Baa3/BBB- 7,285,460
--------------
41,888,817
--------------
TOTAL CORPORATE OBLIGATIONS (COST $264,798,029)......... 271,911,794
--------------
FOREIGN CORPORATE OBLIGATIONS (7.3%)
BERMUDA (0.1%)
ENTERTAINMENT, LEISURE & MEDIA
1,250,000 Central European Media Enterprises, Callable 08/15/01,
9.375% due 08/15/04....................................... B1/B+ 1,237,075
--------------
BRAZIL (0.1%)
UTILITIES
1,000,000 Furnas Centrais Eletricas SA de CV, Callable 05/23/02, 9.00%
due 05/23/05.............................................. NR/NR 978,750
--------------
CANADA (2.8%)
BANKING
4,000,000 Canadian Imperial Bank, 6.20% due 08/01/00.................. Aa3/AA- 4,017,720
--------------
FINANCIAL SERVICES
5,000,000 McKesson Finance of Canada, (144A), 6.55% due 11/01/02...... A3/A 5,033,700
--------------
FOOD, BEVERAGES & TOBACCO
1,000,000 Cott Corp., Callable 07/01/00, 8.50% due 05/01/07........... Ba3/B+ 1,027,500
--------------
FOREST PRODUCTS & PAPER
1,000,000 Avenor, Inc., Series E, (144A), 9.86% due 06/30/01.......... NR/BB+ 1,072,790
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE U.S. FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
PRINCIPAL RATING
AMOUNTu SECURITY DESCRIPTION (UNAUDITED) VALUE
- -------------- ------------------------------------------------------------ ----------- --------------
<C> <S> <C> <C>
OIL PRODUCTION
$ 1,500,000 Express Pipeline LP, Series B, Sinking Fund, Callable,
(144A), 7.39% due 12/31/17................................ Baa3/BBB- $ 1,477,500
--------------
TELECOMMUNICATIONS
1,600,000 Rogers Cablesystems Ltd., (144A), 11.09% due 06/01/00....... NR/NR 1,668,000
900,000 Rogers Cablesystems Ltd., Callable 12/01/02, 10.00% due
12/01/07.................................................. Ba3/BB+ 996,750
--------------
TELECOMMUNICATION EQUIPMENT
1,250,000 Rogers Cantel, Inc., Callable 10/01/02, 8.30% due
10/01/07.................................................. Ba3/BB+ 1,214,062
--------------
TELECOMMUNICATION SERVICES
300,000 Microcell Telecommunications, Inc., Series B, Callable
12/01/01, 0.00% due 06/01/06 (v).......................... B3/NR 225,000
--------------
TELEPHONE
600,000 Call-Net Enterprises, Inc., Callable 08/15/02, 0.00% due
08/15/07 (v).............................................. B1/BB- 424,500
--------------
TRANSPORT & SERVICES
7,000,000 Laidlaw, Inc., 6.72% due 10/01/27........................... Baa3/BBB+ 7,314,580
2,500,000 Teekay Shipping Corp., Sinking Fund, 8.32% due 02/01/08..... Ba2/BB 2,590,625
--------------
WATER
4,500,000 Hydro Quebec, Series GF, 8.875% due 03/01/26................ A2/A+ 5,600,745
--------------
32,663,472
--------------
CAYMAN ISLANDS (0.0%)
FINANCIAL SERVICES
500,000 Santander Finance Issuances, 7.875% due 04/15/05............ A1/A+ 535,785
--------------
CHILE (0.4%)
FOREST PRODUCTS & PAPER
5,000,000 Celulosa Arauco y Constitucion SA, 6.75% due 12/15/03....... Baa2/BBB+ 4,880,100
--------------
CHINA (0.1%)
FINANCIAL SERVICES
1,400,000 Guangdong International Trust & Investment Corp., (144A),
8.75% due 10/24/16........................................ Baa2/BBB- 1,297,800
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE U.S. FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
PRINCIPAL RATING
AMOUNTu SECURITY DESCRIPTION (UNAUDITED) VALUE
- -------------- ------------------------------------------------------------ ----------- --------------
<C> <S> <C> <C>
FRANCE (0.1%)
ELECTRICAL EQUIPMENT
$ 1,320,000 Legrand S.A., 8.50% due 02/15/25............................ A2/A $ 1,588,963
--------------
KOREA (0.3%)
BANKING
1,500,000 Export Import Bank of Korea, 7.10% due 03/15/07............. Ba1/BB+ 1,412,910
1,000,000 Export Import Bank of Korea, 7.125% due 09/20/01............ NR/NR 916,250
--------------
UTILITIES
1,500,000 Korea Electric Power Corp., 6.00% due 12/01/26.............. Ba1/BB+ 1,353,540
--------------
3,682,700
--------------
MALAYSIA (0.3%)
GAS EXPLORATION
3,240,000 Petroliam Nasional Berhad, (144A), 7.75% due 08/15/15....... A2/A 2,970,011
--------------
MEXICO (1.6%)
BROADCASTING & PUBLISHING
2,570,000 Grupo Televisa SA de CV, Series A, 11.375% due 05/15/03..... Ba2/BB 2,816,360
--------------
ELECTRICAL EQUIPMENT
1,800,000 Axa SA de CV, (144A), 9.00% due 08/04/04.................... B1/BB 1,764,000
--------------
FOREST PRODUCTS & PAPER
7,000,000 Copamex Industrias SA de CV, Callable 04/30/02, 11.375% due
04/30/04.................................................. NR/NR 7,630,000
--------------
INDUSTRIAL
2,450,000 Grupo Imsa SA de CV, Callable 09/30/02, 8.93% due
09/30/04.................................................. NR/BB 2,443,875
--------------
OIL SERVICES
3,814,000 Petroleos Mexicanos, (144A), 7.75% due 10/29/99............. Ba2/BB 3,823,535
--------------
18,477,770
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE U.S. FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
PRINCIPAL RATING
AMOUNTu SECURITY DESCRIPTION (UNAUDITED) VALUE
- -------------- ------------------------------------------------------------ ----------- --------------
<C> <S> <C> <C>
NETHERLANDS (0.1%)
FINANCIAL SERVICES
$ 450,000 Ford Capital BV, 9.00% due 08/15/98......................... A1/A+ $ 453,920
400,000 Montell Finance Co., 8.10% due 03/15/27..................... A3/A 468,896
--------------
922,816
--------------
NETHERLANDS ANTILLES (0.5%)
BANKING
6,000,000 Bank Tokyo Curacao Holdings, 6.406% due 09/29/49............ NR/NR 5,730,000
--------------
PHILIPPINES (0.3%)
TELEPHONE
1,250,000 Philippine Long Distance Telephone, 10.625% due 06/02/04.... Ba2/BB+ 1,322,656
2,570,000 Philippine Long Distance Telephone, Series EMTN, 7.85% due
03/06/07.................................................. Ba2/BB+ 2,355,996
--------------
3,678,652
--------------
SWEDEN (0.1%)
TRANSPORTATION
1,500,000 Stena AB, Callable 06/15/02, 8.75% due 06/15/07............. Ba2/BB- 1,546,875
--------------
UNITED KINGDOM (0.5%)
BANKING
500,000 Abbey National First Capital, 8.20% due 10/15/04............ Aa3/AA- 548,655
--------------
ELECTRIC
5,000,000 National Power Co. PLC, 6.25% due 12/01/03.................. A2/A 4,937,500
--------------
TELEPHONE
150,000 Cable & Wireless Communication, Callable, 6.625% due
03/06/05.................................................. Baa1/A- 150,794
--------------
5,636,949
--------------
VENEZUELA (0.0%)
FINANCIAL SERVICES
200,000 Corporacion Andina De Fomento, 6.75% due 03/15/05........... A3/BBB+ 198,396
--------------
TOTAL FOREIGN CORPORATE OBLIGATIOS (COST $84,615,097)... 86,026,114
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE U.S. FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
PRINCIPAL RATING
AMOUNTu SECURITY DESCRIPTION (UNAUDITED) VALUE
- -------------- ------------------------------------------------------------ ----------- --------------
<C> <S> <C> <C>
FOREIGN GOVERNMENT OBLIGATIONS (4.5%)
CANADA (0.6%)
$ 6,450,000 Province of Ontario, 7.625% due 06/22/04.................... Aa3/AA- $ 6,926,591
500,000 Province of Quebec, 7.50% due 07/15/23...................... A2/A+ 543,155
--------------
7,469,746
--------------
FRANCE (0.4%)
FRF 25,000,000 Government of France, 4.75% due 03/12/02 (WI)............... NR/NR 4,178,878
--------------
GERMANY (3.5%)
DEM 67,000,000 German Unity Fund, 8.50% due 02/20/01....................... NR/NR 41,260,397
--------------
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (COST
$53,097,784).......................................... 52,909,021
--------------
SOVEREIGN BONDS (1.8%)
ARGENTINA (0.3%)
3,000,000 Province of Mendoza, (144A), 10.00% due 09/04/07............ B1/NR 2,897,730
42,760 Republic of Argentina Bearer, FRB, Callable 09/30/98,
Sinking Fund, 6.625% due 03/31/05......................... Ba3/BB 39,232
--------------
2,936,962
--------------
KOREA (0.4%)
1,500,000 Republic of Korea, 8.75% due 04/15/03....................... Ba1/BB+ 1,494,000
3,000,000 Republic of Korea, 8.875% due 04/15/08...................... NR/BB+ 2,925,000
--------------
4,419,000
--------------
MEXICO (0.4%)
1,300,000 United Mexican States Global Bonds, 11.375% due 09/15/16.... Ba2/BB 1,525,940
2,650,000 United Mexican States Global Bonds, 11.50% due 05/15/26..... Ba2/BB 3,196,430
--------------
4,722,370
--------------
POLAND (0.3%)
3,970,000 Republic of Poland, Series DISC, Callable 10/29/98, (144A),
4.00% due 10/27/14........................................ Baa3/BBB- 3,627,786
--------------
RUSSIA (0.2%)
1,500,000 City of Moscow, (144A), 9.50% due 05/31/00.................. Ba3/BB- 1,466,250
1,000,000 Ministry of Finance Russia, (144A), 10.00% due 06/26/07..... Ba2/BB- 963,800
--------------
2,430,050
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE U.S. FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
PRINCIPAL RATING
AMOUNTu SECURITY DESCRIPTION (UNAUDITED) VALUE
- -------------- ------------------------------------------------------------ ----------- --------------
<C> <S> <C> <C>
VENEZUELA (0.2%)
$ 2,750,000 Republic of Venezuela Global Bonds, 9.25% due 09/15/27...... Ba2/B+ $ 2,432,375
--------------
TOTAL SOVEREIGN BONDS (COST $19,577,755)................ 20,568,543
--------------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS (29.6%)
FEDERAL HOME LOAN MORTGAGE CORP. (12.4%)
230,661 6.00% due 03/01/11....................................................... 227,851
439,558 6.00% due 04/01/11....................................................... 434,156
500,000 6.70% due 01/15/23....................................................... 504,620
300,000 6.85% due 10/15/21....................................................... 301,149
97,318 7.00% due 09/01/09....................................................... 99,140
586,725 7.00% due 10/01/10....................................................... 597,773
7,830,000 7.00% due 03/15/11....................................................... 7,981,824
366,919 7.00% due 03/01/27....................................................... 371,355
12,858,539 7.50% due 10/01/26....................................................... 13,179,617
1,320,875 8.00% due 11/01/26....................................................... 1,367,739
2,249,083 8.00% due 12/01/26....................................................... 2,328,723
204,818 8.00% due 03/01/27....................................................... 212,042
9,493 9.00% due 04/01/03....................................................... 9,805
6,767,254 9.25% due 06/01/16....................................................... 7,178,297
112,663 9.50% due 08/01/04....................................................... 117,587
266,363 9.50% due 11/01/05....................................................... 278,043
1,438,624 9.50% due 12/01/05....................................................... 1,501,750
262,535 9.50% due 02/01/06....................................................... 274,047
397,039 9.50% due 03/01/06....................................................... 414,505
16,855 10.00% due 04/01/09...................................................... 18,200
1,049 12.50% due 08/01/14...................................................... 1,176
4,033,156 Gold, 6.50% due 06/01/04................................................. 4,033,156
11,000,000 Gold, 8.506% due 12/01/04................................................ 11,899,766
300,000 Remic: Accretion Directed, Series 1290, Class L, 7.50% due 10/15/09...... 313,380
300,000 Remic: PAC, Series 102, Class I, 7.00% due 12/15/20...................... 299,709
32,000 Remic: PAC-1(11), Series 1168, Class H, 7.50% due 11/15/21............... 33,794
250,000 Remic: PAC-1(11), Series 1199, Class E, 7.50% due 10/15/19............... 254,083
415,000 Remic: PAC-1(11), Series 1207, Class J, 6.75% due 07/15/19............... 414,664
162,244 Remic: PAC-1(11), Series 1215, Class F, 6.75% due 05/15/05............... 162,646
35,760,000 Remic: PAC-1(11), Series 1542, Class J, 7.00% due 02/15/22 (s)........... 36,666,874
13,000,000 Remic: PAC-1(11), Series 1594, Class H, 6.00% due 10/15/08............... 12,832,300
31,500,000 Remic: PAC-1(11), Series 1684, Class G, 6.50% due 03/15/23 (t)........... 31,689,000
7,500,000 Remic: PAC-1(11), Series 1714, Class K, 7.00% due 04/15/24............... 7,674,150
192,806 Remic: PAC-2(11), Series 39, Class F, 10.00% due 05/15/20................ 209,601
1,600,000 Remic: SCH(22), Series 1701, Class B, 6.50% due 03/15/09................. 1,594,912
--------------
145,477,434
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
28
<PAGE>
THE U.S. FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNTu SECURITY DESCRIPTION VALUE
- -------------- ------------------------------------------------------------------------- --------------
<C> <S> <C>
FEDERAL NATIONAL MORTGAGE ASSOCIATION (7.7%)
$ 200,000 6.00% due 04/25/19....................................................... $ 199,625
2,837,439 6.88% due 11/01/05....................................................... 2,919,469
186,711 7.00% due 11/01/26....................................................... 188,738
14,533,799 7.00% due 04/01/28....................................................... 14,692,799
319,588 7.50% due 03/01/27....................................................... 327,802
35,451 8.00% due 01/01/02....................................................... 36,456
145,522 8.00% due 02/01/02....................................................... 149,646
39,755 8.00% due 05/01/02....................................................... 40,889
236,648 8.00% due 07/01/02....................................................... 243,380
230,373 8.00% due 12/01/11....................................................... 237,485
4,394 8.00% due 08/01/22....................................................... 4,540
2,522,858 8.00% due 12/01/26....................................................... 2,610,703
3,182,100 8.00% due 05/01/27....................................................... 3,294,047
19,875,325 8.50% due 01/01/05....................................................... 20,642,115
277,889 8.50% due 12/01/26....................................................... 289,952
4,297,127 8.70% due 01/01/05....................................................... 4,514,669
283,977 9.00% due 12/01/24....................................................... 299,329
1,422,935 9.50% due 07/01/05....................................................... 1,497,681
348,165 10.00% due 06/01/20...................................................... 374,782
6,261,280 10.00% due 06/01/26...................................................... 6,766,378
23,739,669 IO, 7.50% due 12/31/99................................................... 5,779,126
23,739,669 PO, 0.00% due 12/31/99................................................... 18,583,858
7,000,000 TBA May, 7.00% due 01/01/13.............................................. 7,129,063
--------------
90,822,532
--------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (9.5%)
368,354 7.00% due 12/15/08....................................................... 377,135
6,544,420 7.00% due 03/15/26....................................................... 6,589,381
203,441 7.00% due 12/15/27....................................................... 205,856
7,766,682 7.00% due 05/15/35....................................................... 7,820,039
5,921,512 7.125% due 01/15/99...................................................... 6,073,044
5,221,264 7.125% due 01/15/31...................................................... 5,276,661
5,131,877 7.25% due 02/15/27....................................................... 5,207,110
2,587,110 7.25% due 01/15/31....................................................... 2,625,063
393,831 7.50% due 03/15/24....................................................... 404,366
144,292 7.50% due 04/15/24....................................................... 148,149
29,607 7.50% due 05/15/24....................................................... 30,391
859,842 7.50% due 01/15/26....................................................... 883,032
269,772 7.50% due 03/15/26....................................................... 277,075
2,882,862 7.50% due 04/15/26....................................................... 2,948,017
6,315,612 7.50% due 05/15/26....................................................... 6,457,461
948,263 7.50% due 07/15/26....................................................... 974,226
877,454 7.50% due 10/15/26....................................................... 901,285
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
29
<PAGE>
THE U.S. FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNTu SECURITY DESCRIPTION VALUE
- -------------- ------------------------------------------------------------------------- --------------
<C> <S> <C>
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (CONTINUED)
$ 8,359,716 7.50% due 01/15/27....................................................... $ 8,588,104
4,772,852 7.50% due 02/15/27....................................................... 4,903,342
1,934,265 7.50% due 05/15/27....................................................... 1,987,051
999,278 7.50% due 07/15/27....................................................... 1,026,708
1,484,343 7.50% due 08/15/27....................................................... 1,524,821
1,092,481 7.50% due 09/15/27....................................................... 1,122,241
886,167 7.50% due 11/15/27....................................................... 910,244
2,360,819 7.50% due 12/15/27....................................................... 2,425,507
967,108 7.50% due 01/15/28....................................................... 993,686
1,802,707 7.50% due 02/15/28....................................................... 1,852,246
3,606,457 7.50% due 03/15/28....................................................... 3,705,635
3,542,050 7.50% due 04/15/28....................................................... 3,639,456
5,480,372 7.625% due 04/15/26...................................................... 5,658,265
1,500,152 7.75% due 06/15/23....................................................... 1,552,538
8,545,894 7.75% due 07/15/31....................................................... 8,844,744
3,312,826 7.875% due 12/15/99...................................................... 3,430,762
203,759 8.00% due 08/15/26....................................................... 211,302
353,715 8.00% due 12/15/26....................................................... 366,922
2,290,035 8.00% due 06/15/31....................................................... 2,393,705
149,278 9.00% due 12/15/26....................................................... 160,091
17,525 11.00% due 05/15/16...................................................... 19,430
14,505 11.50% due 07/15/13...................................................... 16,272
8,300,948 12.00% due 07/15/26...................................................... 9,432,118
--------------
111,963,481
--------------
OTHER GOVERNMENT AGENCY
104,100 Resolution Trust Corp., Remic: Collateral Strip Interest, Series 1991-6,
Class A1, Callable, 6.89% due 05/25/19................................. 104,970
--------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (COST $343,168,643)......... 348,368,417
--------------
U.S. TREASURY OBLIGATIONS (14.8%)
U.S. TREASURY BONDS (5.7%)
26,940,000 6.50% due 11/15/26 (s)................................................... 28,691,639
1,050,000 6.625% due 02/15/27...................................................... 1,137,780
31,358,000 6.75% due 08/15/26....................................................... 34,446,449
1,925,000 8.50% due 02/15/20....................................................... 2,491,508
--------------
66,767,376
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
30
<PAGE>
THE U.S. FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNTu SECURITY DESCRIPTION VALUE
- -------------- ------------------------------------------------------------------------- --------------
<C> <S> <C>
U.S. TREASURY NOTES (9.1%)
$ 7,910,000 5.50% due 02/15/08....................................................... $ 7,809,227
15,700,000 5.75% due 09/30/99 (s)................................................... 15,741,134
10,550,000 5.875% due 10/31/98...................................................... 10,571,733
240,000 5.875% due 11/15/99...................................................... 241,022
100,000 5.875% due 02/15/00...................................................... 100,502
5,590,000 6.25% due 02/28/02....................................................... 5,701,409
885,000 7.875% due 11/15/04...................................................... 985,827
42,370,000 8.50% due 11/15/00 (t)................................................... 45,249,042
20,500,000 8.875% due 11/15/98...................................................... 20,871,255
--------------
107,271,151
--------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $171,905,070).................. 174,038,527
--------------
</TABLE>
<TABLE>
<CAPTION>
MOODY'S/S&P
RATING
SHARES (UNAUDITED)
- -------------- -----------
<C> <S> <C> <C>
CONVERTIBLE PREFERRED STOCKS (1.1%)
INDUSTRIAL PRODUCTS & SERVICES (1.0%)
12,575 Home Ownership Funding, (144A), 13.331%..................... Aaa/NR 12,188,897
--------------
BASIC INDUSTRIES (0.1%)
36,000 Lasmo PLC, 10.00%, Series A................................. Baa3/BBB- 956,250
--------------
TOTAL CONVERTIBLE PREFERRED STOCKS (COST $13,389,078)... 13,145,147
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNTu
- --------------
<C> <S> <C>
SHORT-TERM INVESTMENTS (3.0%)
REPURCHASE AGREEMENT (3.0%)
$ 35,352,000 Goldman Sachs Repurchase Agreement, 5.52% dated 4/30/98 due 5/1/98,
proceeds $35,357,421 (collateralized by $7,106,000 Tennessee Valley
Authority Development Bond, 6.375% due 06/15/05, valued at $7,225,914;
$14,850,000 Federal National Mortgage Association, coupon rates ranging
from 6.65% to 7.10%, maturities ranging from 09/04/01 to 01/22/04,
valued at $14,991,847; $13,475,000 First Home Mortgage Acceptance
Corporation, coupon rates ranging from 6.20% to 6.75%, maturities
ranging from 08/01/01 to 09/08/08, valued at $13,288,165) (cost
$35,352,000)........................................................... 35,352,000
--------------
TOTAL INVESTMENTS (COST $1,154,573,679) (99.9%).......................... 1,172,832,676
OTHER ASSETS IN EXCESS OF LIABILITIES (0.1%)............................. 943,657
--------------
NET ASSETS (100.0%)...................................................... $1,173,776,333
--------------
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
31
<PAGE>
THE U.S. FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1998
- --------------------------------------------------------------------------------
Note: Based on the cost of investments of $1,154,659,893 for Federal Income Tax
purposes at April 30, 1998, the aggregate gross unrealized appreciation and
depreciation was $22,244,207 and $4,071,424, respectively, resulting in net
unrealized appreciation of $18,172,783.
u Denominated in USD unless otherwise indicated.
(s) Security is fully or partially segregated with custodian as collateral for
futures contracts or with broker as initial margin for futures contracts.
$79,651,220 of the market value has been segregated.
(t) All or a portion of the security has been segregated as collateral for TBA
securities and when issued securities.
(v) Rate shown reflects current rate on instrument with step coupon rate.
Abbreviations used in the schedule of investments are as follows:
144A - Securities restricted for resale to Qualified Institutional Buyers.
AFC - Available Funds
AS - Accelerated Security
CSTR - Collateral Strip Rate
DEM - German Marc
FRB - Floating Rate Bond
FRF - French Franc
IO - Interest Only
NAS - Non-accelerated Security
NR - Not Rated
PAC - Planned Amortization Class
PO - Principal Only
Remic - Real Estate Mortgage Investment Conduit
SCH - Scheduled Payment
SLOBS - Secured Lease Obligation Bonds
TBA - Security purchased on a forward commitment basis with an appropriate
amount and no definitive maturity date. The actual principal amount and maturity
will be determined upon settlement date.
USD - United States Dollar
WI - When and if issued securities
The Accompanying Notes are an Integral Part of the Financial Statements.
32
<PAGE>
THE U.S. FIXED INCOME PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
APRIL 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $1,154,573,679) $1,172,832,676
Foreign Currency at Value (Cost $1,565,539) 1,564,301
Receivable for Investments Sold 8,622,533
Interest Receivable 15,308,885
Other Assets 168,105
Foreign Tax Reclaim Receivable 38,228
Unrealized Appreciation of Forward Foreign
Currency Contracts 11,462
Prepaid Trustees' Fees 4,687
Prepaid Expenses and Other Assets 2,190
--------------
Total Assets 1,198,553,067
--------------
LIABILITIES
Payable to Custodian 17,394
Payable for Investments Purchased 23,920,841
Variation Margin Payable 438,275
Advisory Fee Payable 284,784
Custody Fee Payable 35,904
Administrative Services Fee Payable 27,620
Unrealized Depreciation of Spot Foreign Currency
Contracts 22,342
Fund Services Fee Payable 3,727
Administration Fee Payable 605
Accrued Expenses 25,242
--------------
Total Liabilities 24,776,734
--------------
NET ASSETS
Applicable to Investors' Beneficial Interests $1,173,776,333
--------------
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
33
<PAGE>
THE U.S. FIXED INCOME PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED APRIL 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $38,207,689
Dividend Income (Net of Foreign Withholding Tax
of $6,749 ) 876,433
-----------
Investment Income 39,084,122
EXPENSES
Advisory Fee $1,657,846
Administrative Services Fee 165,103
Custodian Fees and Expenses 118,438
Fund Services Fee 17,465
Administration Fee 11,478
Trustees' Fees and Expenses 7,668
Miscellaneous 28,651
----------
Total Expenses 2,006,649
-----------
NET INVESTMENT INCOME 37,077,473
NET REALIZED GAIN ON
Investment Transactions 2,234,088
Futures Contracts 1,775,222
Foreign Currency Contracts and Transactions 21
----------
Net Realized Gain 4,009,331
NET CHANGE IN UNREALIZED APPRECIATION OF
Investments (407,700)
Futures Contracts 21,868
Foreign Currency Contracts and Translations (10,064)
----------
Net Change in Unrealized Appreciation (395,896)
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $40,690,908
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
34
<PAGE>
THE U.S. FIXED INCOME PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FISCAL
APRIL 30, 1998 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1997
-------------- ----------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 37,077,473 $ 65,021,206
Net Realized Gain on Investments, Futures and
Foreign Currency Contracts and Transactions 4,009,331 7,026,218
Net Change in Unrealized Appreciation of
Investments, Futures and Foreign Currency
Contracts and Translations (395,896) 10,966,639
-------------- ----------------
Net Increase in Net Assets Resulting from
Operations 40,690,908 83,014,063
-------------- ----------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 225,862,656 464,045,823
Withdrawals (174,332,170) (451,810,195)
-------------- ----------------
Net Increase from Investors' Transactions 51,530,486 12,235,628
-------------- ----------------
Total Increase in Net Assets 92,221,394 95,249,691
NET ASSETS
Beginning of Period 1,081,554,939 986,305,248
-------------- ----------------
End of Period $1,173,776,333 $ 1,081,554,939
-------------- ----------------
-------------- ----------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE FOR THE FISCAL YEAR ENDED JULY 12, 1993
SIX MONTHS ENDED OCTOBER 31, (COMMENCEMENT OF
APRIL 30, 1998 ------------------------- OPERATIONS) THROUGH
(UNAUDITED) 1997 1996 1995 1994 OCTOBER 31, 1993
---------------- ---- ---- ---- ---- -------------------
<S> <C> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.36%(a) 0.37% 0.37% 0.39% 0.46% 0.48%(a)
Net Investment Income 6.71%(a) 6.70% 6.38% 6.68% 5.88% 4.91%(a)
Portfolio Turnover 53%(b) 93% 186% 293% 234% 295%+
</TABLE>
- ------------------------
(a) Annualized.
(b) Not annualized.
+ Portfolio turnover is for the twelve month period ended October 31, 1993, and
includes the portfolio activity of the Portfolio's predecessor entity, The
Pierpont Bond Fund, for the period November 1, 1992 through July 11, 1993.
The Accompanying Notes are an Integral Part of the Financial Statements.
35
<PAGE>
THE U.S. FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
APRIL 30, 1998
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The U.S. Fixed Income Portfolio (the "portfolio") is registered under the
Investment Company Act of 1940, as amended (the "Act"), as a no load, open-end
management investment company which was organized as a trust under the laws of
the State of New York on January 29, 1993. The portfolio commenced operations on
July 12, 1993 and received a contribution of certain assets and liabilities,
including securities, with a value of $91,653,371 on that date from J.P. Morgan
Bond Fund (formerly The JPM Pierpont Bond Fund) in exchange for a beneficial
interest in the portfolio. The portfolio's investment objective is to provide a
high total return consistent with moderate risk of capital and maintenance of
liquidity. The Declaration of Trust permits the trustees to issue an unlimited
number of beneficial interests in the portfolio.
Investments in emerging and international markets may involve certain
considerations and risks not typically associated with investments in the United
States. Future economic and political developments in emerging market and
foreign countries could adversely affect the liquidity or value, or both, of
such securities in which the portfolio is invested. The ability of the issuers
of debt, asset-backed and mortgage securities held by the portfolio to meet
their obligations may be affected by economic and political developments in a
specific industry or region. The value of asset-backed and mortgage securities
can be significantly affected by changes in interest rates or rapid principal
payments including pre-payments.
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. Actual amounts could differ from
those estimates. The following is a summary of the significant accounting
policies of the portfolio:
a) The value of each security for which readily available market quotations
exist is based on a decision as to the broadest and most representative
market for such security. The value of such security will be based either
on the last sale price on a national securities exchange or, in the
absence of recorded sales, at the average of readily available closing bid
and asked prices on such exchanges. Securities listed on a foreign
exchange are valued at the last quoted sale price available before the
time when net assets are valued. Unlisted securities are valued at the
average of the quoted bid and asked prices in the over-the-counter market.
Securities or other assets for which market quotations are not readily
available are valued at fair value in accordance with procedures
established by the portfolio's trustees. Such procedures include the use
of independent pricing services, which use prices based upon yields or
prices of securities of comparable quality, coupon, maturity and type;
indications as to values from dealers; and general market conditions. All
short-term portfolio securities with a remaining maturity of less than 60
days are valued by the amortized cost method.
Trading in securities on most foreign exchanges and over-the-counter
markets is normally completed before the close of the domestic market and
may also take place on days on which the domestic market is closed. If
events materially affecting the value of foreign securities occur between
the time when the exchange on which they are traded closes and the time
when the portfolio's net assets are calculated, such securities will be
valued at fair value in accordance with procedures established by and
under the general supervision of the portfolio's trustees.
36
<PAGE>
THE U.S. FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1998
- --------------------------------------------------------------------------------
The portfolio's custodian or designated subcustodians, as the case may be,
under triparty repurchase agreements,takes possession of the collateral
pledged for investments in repurchase agreements on behalf of the
portfolio. It is the policy of the portfolio to value the underlying
collateral daily on a mark-to-market basis to determine that the value,
including accrued interest, is at least equal to the repurchase price plus
accrued interest. In the event of default of the obligation to repurchase,
the portfolio has the right to liquidate the collateral and apply the
proceeds in satisfaction of the obligation. Under certain circumstances,
in the event of default or bankruptcy by the other party to the agreement,
realization and/or retention of the collateral or proceeds may be subject
to legal proceedings.
b) The books and records of the portfolio are maintained in U.S. dollars. The
market value of investment securities, other assets and liabilities and
foreign currency contracts are translated at the prevailing exchange rates
at the end of the period. Purchases, sales, income and expenses are
translated at the exchange rates prevailing on the respective dates of
such transactions. Translation gains and losses resulting from changes in
exchange rates during the reporting period and gains and losses realized
upon settlement of foreign currency transactions are reported in the
Statement of Operations. Although the net assets of the portfolio are
presented at the exchange rates and market values prevailing at the end of
the period, the portfolio does not isolate the portion of the results of
operations arising as a result of changes in foreign exchange rates from
the fluctuations arising from changes in the market prices of securities
during the period.
c) Securities transactions are recorded on a trade date basis. Dividend
income is recorded on the ex-dividend date or as of the time that the
relevant ex-dividend date and amount becomes known. Interest income, which
includes the amortization of premiums and discounts, if any, is recorded
on an accrual basis. For financial and tax reporting purposes, realized
gains and losses are determined on the basis of specific lot
identification.
d) The portfolio may enter into forward and spot foreign currency contracts
to protect securities and related receivables and payables against
fluctuations in future foreign currency rates. A forward contract is an
agreement to buy or sell currencies of different countries on a specified
future date at a specified rate. Risks associated with such contracts
include the movement in the value of the foreign currency relative to the
U.S. dollar and the ability of the counterparty to perform.
37
<PAGE>
THE U.S. FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1998
- --------------------------------------------------------------------------------
The market value of the contract will fluctuate with changes in currency
exchange rates. Contracts are valued daily at the current foreign exchange
rates, and the change in the market value is recorded by the portfolio as
unrealized appreciation or depreciation of forward foreign currency
contract translations. At April 30, 1998, the portfolio had open forward
currency contracts as follows:
SUMMARY OF OPEN FORWARD FOREIGN CURRENCY CONTRACTS
<TABLE>
<CAPTION>
U.S. DOLLAR NET UNREALIZED
CONTRACTUAL VALUE AT APPRECIATION/
PURCHASE CONTRACTS VALUE 4/30/98 (DEPRECIATION)
- ------------------------------------------------- ----------- ----------- --------------
<S> <C> <C> <C>
German Mark 31,643,820, expiring 05/19/98........ $17,632,251 $17,652,677 $ 20,426
French Franc 126,801,563, expiring 05/19/98...... 20,869,234 21,094,094 224,860
</TABLE>
<TABLE>
<CAPTION>
SETTLEMENT
SALES CONTRACTS VALUE
- ------------------------------------------------- -----------
<S> <C> <C> <C>
German Mark 31,643,820, expiring 05/19/98........ $17,485,672 $17,652,678 $ (167,006)
German Mark 75,410,361, expiring 07/30/98........ 42,339,207 42,231,606 107,601
French Franc 126,801,563, expiring 05/19/98...... 20,897,799 21,094,095 (196,296)
French Franc 25,400,000, expiring 07/31/98....... 4,264,464 4,242,587 21,877
--------------
Net Unrealized Appreciation on Forward Foreign
Currency Contracts.............................. $ 11,462
--------------
--------------
</TABLE>
SUMMARY OF OPEN SPOT FOREIGN CURRENCY CONTRACTS
<TABLE>
<CAPTION>
U.S. DOLLAR
CONTRACTUAL VALUE AT NET UNREALIZED
PURCHASE CONTRACTS VALUE 4/30/98 DEPRECIATION
- ------------------------------------------------- ----------- ----------- --------------
<S> <C> <C> <C>
French Franc 25,337,931, expiring 05/04/98....... $ 4,232,865 $ 4,210,523 $ (22,342)
</TABLE>
e) Futures -- A futures contract is an agreement to purchase/sell a specified
quantity of an underlying instrument at a specified future date or to
make/receive a cash payment based on the value of a securities index. The
price at which the purchase and sale will take place is fixed when the
portfolio enters into the contract. Upon entering into such a contract,
the portfolio is required to pledge to the broker an amount of cash and/or
liquid securities equal to the minimum "initial margin" requirements of
the exchange. Pursuant to the contract, the portfolio agrees to receive
from, or pay to, the broker an amount of cash equal to the daily
fluctuation in the value of the contract. Such receipts or payments are
known as "variation margin" and are recorded by the portfolio as
unrealized gains or losses. When the contract is closed, the portfolio
records a realized gain or loss equal to the difference between the value
of the contract at the time it was opened and the value at the time when
it was closed. The portfolio invests in futures contracts for the purpose
of hedging its existing portfolio securities, or securities the portfolio
intends to purchase, against fluctuations in value caused by changes in
prevailing market interest rates or securities movements. The use of
futures transactions involves the risk of imperfect
38
<PAGE>
THE U.S. FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1998
- --------------------------------------------------------------------------------
correlation in movements in the price of futures contracts, interest rates
and the underlying hedged assets, and the possible inability of
counterparties to meet the terms of their contracts. Futures open at April
30, 1998 are summarized as follows:
SUMMARY OF OPEN CONTRACTS AT APRIL 30, 1998
<TABLE>
<CAPTION>
NET UNREALIZED PRINCIPAL AMOUNT
CONTRACTS SHORT APPRECIATION OF CONTRACTS
--------------- -------------- ----------------
<S> <C> <C> <C>
U.S. Long Bond, expiring June 1998............... 94 $ 100,811 $ 11,401,374
</TABLE>
f) The fund may enter into commitments to buy and sell investments to settle
on future dates as part of its normal investment activities. These
commitments are reported at market value in the financial statements.
Credit risk exists on these commitments to the extent of any unrealized
gains on the underlying securities purchased and any unrealized losses on
the underlying securities sold. Market risk exists on these commitments to
the same extent as if the security were owned on a settled basis and gains
and losses are recorded and reported in the same manner. However, during
the commitment period, these investments earn no interest or dividends.
g) The portfolio intends to be treated as a partnership for federal income
tax purposes. As such, each investor in the portfolio will be taxed on its
share of the portfolio's ordinary income and capital gains. It is intended
that the portfolio's assets will be managed in such a way that an investor
in the portfolio will be able to satisfy the requirements of Subchapter M
of the Internal Revenue Code. The portfolio earns foreign income which may
be subject to foreign withholding taxes at various rates.
2. TRANSACTIONS WITH AFFILIATES
a) The portfolio has an Investment advisory agreement with Morgan Guaranty
Trust Company of New York ("Morgan"). Under the terms of the agreement,
the portfolio pays Morgan at an annual rate of 0.30% of the portfolio's
average daily net assets. For the six months ended April 30, 1998, this
fee amounted to $1,657,846.
b) The portfolio has retained Funds Distributor, Inc. ("FDI"), a registered
broker-dealer, to serve as the co-administrator and exclusive placement
agent. Under a Co-Administration Agreement between FDI and the portfolio,
FDI provides administrative services necessary for the operations of the
portfolio, furnishes office space and facilities required for conducting
the business of the portfolio and pays the compensation of the officers
affiliated with FDI. The portfolio has agreed to pay FDI fees equal to its
allocable share of an annual complex-wide charge of $425,000 plus FDI's
out-of-pocket expenses. The amount allocable to the portfolio is based on
the ratio of the portfolio's net assets to the aggregate net assets of the
portfolio and certain other investment companies subject to similar
agreements with FDI. For the six months ended April 30, 1998, the fee for
these services amounted to $11,478.
c) The portfolio has an Administrative Services Agreement (the "Services
Agreement") with Morgan under which Morgan is responsible for overseeing
certain aspects of the administration and operation of the portfolio.
Under the Services Agreement, the portfolio has agreed to pay Morgan a fee
equal to its allocable share of an annual complex-wide charge. This charge
is calculated based on the aggregate
39
<PAGE>
THE U.S. FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1998
- --------------------------------------------------------------------------------
average daily net assets of the portfolio and the other portfolios for
which Morgan acts as investment advisor (the "master portfolios") and J.P.
Morgan Series Trust (formerly JPM Series Trust) in accordance with the
following annual schedule: 0.09% on the first $7 billion of their
aggregate average daily net assets and 0.04% of their aggregate average
daily net assets in excess of $7 billion, less the complex-wide fees
payable to FDI. The portion of this charge payable by the portfolio is
determined by the proportionate share that its net assets bear to the net
assets of the master portfolios, and certain other investors in the master
portfolios for which Morgan provides similar services and J.P. Morgan
Series Trust. For the six months ended April 30, 1998, the fee for these
services amounted to $165,103.
d) The portfolio has a Fund Services Agreement with Pierpont Group, Inc.
("Group") to assist the trustees in exercising their overall supervisory
responsibilities for the portfolio's affairs. The trustees of the
portfolio represent all the existing shareholders of Group. The
portfolio's allocated portion of Group's costs in performing its services
amounted to $17,465 for the six months ended April 30, 1998.
e) An aggregate annual fee of $75,000 is paid to each trustee for serving as
a trustee of J.P. Morgan Funds (formerly The JPM Pierpont Funds), J.P.
Morgan Institutional Funds (formerly The JPM Institutional Funds), and the
master portfolios and J.P. Morgan Series Trust. The Trustees' Fees and
Expenses shown in the financial statements represents the portfolio's
allocated portion of the total fees and expenses. The portfolio's Chairman
and Chief Executive Officer also serves as Chairman of Group and receives
compensation and employee benefits from Group in his role as Group's
Chairman. The allocated portion of such compensation and benefits included
in the Fund Services Fee shown in the financial statements was $3,700.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the six months
ended April 30, 1998, were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
------------ ------------
<S> <C> <C>
U.S. Government and Agency Obligations........... $331,248,442 $344,952,944
Corporate and Collateralized Obligations......... 334,346,650 230,317,983
------------ ------------
$665,595,092 $575,270,927
------------ ------------
------------ ------------
</TABLE>
4. CREDIT AGREEMENT
The portfolio is party to a revolving line of credit agreement (the "Agreement")
as discussed more fully in Note 4 of the fund's Notes to the Financial
Statements which are included elsewhere in this report.
40
