<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
AUGUST 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
PRINCIPAL TYPE OF MOODY'S/S&P MATURITY
AMOUNT SECURITY DESCRIPTION SECURITY (UNAUDITED) DATE RATE VALUE
- ---------- ---------------------------------------- ------------------ ----------- ----------- ------- -----------
<C> <S> <C> <C> <C> <C> <C>
ALABAMA (1.2%)
$1,000,000 Alabama Mental Health Finance Authority
(Series 1989) MBIA Insured............ Prerefunded Aaa/AAA 05/01/99(A) 7.375% $ 1,120,670
2,010,000 Childersburg Industrial Development
Board, PCR, (Kimberly Clark Corp.
Project, Escrowed to Maturity)........ Revenue Bond Aa2/AA 11/15/99 7.400 2,170,941
1,000,000 Daphne Special Care Facilities Financing
Authority (Presbyterian Retirement,
Series A)............................. Prerefunded NR/NR 08/15/01(A) 7.300 1,134,210
500,000 Stevenson Alabama Industrial Development
Board (Refunding) LOC-Credit Suisse... Revenue Bond NR/A-1+ 09/01/95(B) 3.500 500,000
-----------
Total Alabama 4,925,821
-----------
ALASKA (1.8%)
2,000,000 Anchorage (Refunding, Series 1991)
MBIA Insured.......................... Insured Aaa/AAA 07/01/01(A) 6.600 2,180,040
1,075,000 Anchorage (Refunding, Series 1989)
AMBAC Insured......................... Insured Aaa/AAA 06/01/99(A) 7.100 1,162,817
1,000,000 Anchorage (Series 1990A)
AMBAC Insured......................... Insured Aaa/AAA 02/01/00 6.850 1,088,540
3,000,000 North Slope Borough (Series 1992A)
MBIA Insured.......................... Insured Aaa/AAA 06/30/00 5.550 3,126,000
-----------
Total Alaska 7,557,397
-----------
ARIZONA (1.9%)
1,000,000 Maricopa County, School District #11
(Peoria Unified School Improvement,
Series 1990H) MBIA Insured............ Prerefunded Aaa/AAA 07/01/01(A) 7.000 1,125,290
1,325,000 Maricopa County, School District #3
(Projects of 1991 Series C)........... Prerefunded A1/AA 07/01/06(A) 6.000 1,432,378
1,750,000 Phoenix (Refunding, Series C)........... General Obligation Aa/AA+ 07/01/02 6.375 1,934,555
1,575,000 Pima County, School District #1
(Tuscon Project of 1989 Series G)
MBIA Insured.......................... Insured Aaa/AAA 07/01/00 8.000 1,817,078
1,235,000 Salt River Electric Agricultural Impt
and Power District Electric System
(Series A)............................ Prerefunded Aaa/AAA 01/01/98(A) 7.875 1,360,661
-----------
Total Arizona 7,669,962
-----------
CALIFORNIA (7.2%)
2,520,000 California Department of Water Resources
Revenue, Water Systems Service,
(Refunding Series J-1)................ Revenue Bond Aa/AA 12/01/12 7.000 2,885,476
1,757,000 Kaweah Delta Hospital District, Tubre
County, Series G...................... Private Placement NR/NR 06/01/14 6.400 1,901,004
4,000,000 Los Angeles Department of Water & Power
(California Electric Plant, Crossover
Refunded)............................. Revenue Bond Aa/AA- 05/15/00(A) 7.125 4,474,520
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
17
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
PRINCIPAL TYPE OF MOODY'S/S&P MATURITY
AMOUNT SECURITY DESCRIPTION SECURITY (UNAUDITED) DATE RATE VALUE
- ---------- ---------------------------------------- ------------------ ----------- ----------- ------- -----------
<C> <S> <C> <C> <C> <C> <C>
CALIFORNIA (7.2%) (CONTINUED)
$1,175,000 Los Angeles County Metropolitan
Transportation Authority and Sales Tax
Revenue AMBAC Insured................. Insured Aaa/AAA 07/01/06 5.900% $ 1,241,376
16,640,000 Paramount Redevelopment Agency
Redevelopment Project Area #1......... Prerefunded NR/AAA 08/01/01(A) 7.350 19,372,121
-----------
Total California 29,874,497
-----------
COLORADO (1.3%)
4,000,000 Colorado State General Fund Revenue Tax
Anticipation Notes (Series A)......... Revenue Bond NR/Sp1+ 06/27/96 4.500 4,017,840
1,515,000 Denver City & County Airport (Stapleton
International Airport Management,
Escrowed to Maturity)................. Prerefunded Aaa/AAA 12/01/95 10.000 1,539,619
-----------
Total Colorado 5,557,459
-----------
CONNECTICUT (1.3%)
2,000,000 Connecticut Housing Finance Authority
(Housing Mortgage Finance Program,
Series 1987B)......................... Revenue Bond Aa/AA 11/15/97 8.100 2,108,900
2,815,000 Connecticut (Special Tax Obligation,
Transportation Infrastructure,
Series 1991A)......................... Revenue Bond A1/AA- 06/01/04 6.600 3,106,831
-----------
Total Connecticut 5,215,731
-----------
DISTRICT OF COLUMBIA (3.5%)
3,000,000 District of Columbia (Refunding, Series
A) MBIA Insured....................... Insured Aaa/AAA 06/01/07 6.000 3,094,140
7,500,000 District of Columbia (Refunding, Series
C) FGIC Insured....................... Insured Aaa/AAA 12/01/03 5.250 7,534,200
2,600,000 District of Columbia (Series B) MBIA
Insured............................... Insured Aaa/AAA 06/01/02 6.000 2,724,410
1,000,000 Washington, D.C. Transportation
Authority (Refunding, Series 1993)
FGIC Insured.......................... Insured Aaa/AAA 07/01/07 6.000 1,075,450
-----------
Total District of Columbia 14,428,200
-----------
FLORIDA (2.4%)
1,535,000 Florida Board of Education (Capital
Outlay, Series 1986C, Escrowed to
Maturity)............................. Prerefunded Aaa/AA 06/01/96(A) 7.000 1,641,529
465,000 Florida Board of Education (Capital
Outlay, Series 1986C)................. General Obligation Aa/AA 06/01/96(A) 7.000 484,753
5,475,000 Florida State Turnpike Authority Revenue
Department of Transportation (Series
A) AMBAC Insured...................... Insured Aaa/AAA 07/01/01 5.500 5,761,397
2,000,000 Volusia County, School District
(Refunding, Series 1991) FGIC
Insured............................... Insured Aaa/AAA 08/01/01(A) 6.100 2,175,920
-----------
Total Florida 10,063,599
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
18
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
PRINCIPAL TYPE OF MOODY'S/S&P MATURITY
AMOUNT SECURITY DESCRIPTION SECURITY (UNAUDITED) DATE RATE VALUE
- ---------- ---------------------------------------- ------------------ ----------- ----------- ------- -----------
<C> <S> <C> <C> <C> <C> <C>
GEORGIA (5.2%)
$ 600,000 Burke County Development Authority (PCR,
Georgia Power Authority, Vogtle
Project).............................. Revenue Bond VMIG1/A-1 09/01/95(B) 3.400% $ 600,000
2,630,000 Fulton County Georgia School District
(Refunding)........................... General Obligation Aa/AA 05/01/14 6.375 2,835,245
1,000,000 Georgia Municipal Electric Power
Authority Revenue (Series D).......... Revenue Bond A/A 01/01/06 6.000 1,036,530
1,250,000 Georgia Municipal Electric Authority
Power (Series O, Crossover
Refunded)............................. Revenue Bond A/A 01/01/98(A) 8.125 1,367,325
1,155,000 Georgia Residential Finance Authority
(Single Family Insured Mortgages,
1986A) FHA Insured.................... Insured Aa/AA+ 12/01/96(A) 6.600 1,219,449
3,000,000 Georgia (Series B)...................... General Obligation Aaa/AA+ 03/01/10 6.300 3,291,330
6,000,000 Georgia (Series B)...................... General Obligation Aaa/AA+ 03/01/07 7.200 7,138,080
2,500,000 Gwinnett County Georgia School District
(Refunding, Series B)................. Revenue Bond Aa1/AA 02/01/08 6.400 2,779,050
1,000,000 Georgia Municipal Electric Authority
(Crossover Refunded).................. Special Obligation A/A 01/01/97(A) 6.500 1,054,700
-----------
Total Georgia 21,321,709
-----------
HAWAII (1.0%)
2,000,000 Hawaii.................................. General Obligation Aa/AA 10/01/12 6.000 2,080,400
2,000,000 Honolulu (City & County Refunding and
Improvement, Series B)................ General Obligation Aa/AA 10/01/11 5.500 1,974,700
-----------
Total Hawaii 4,055,100
-----------
IDAHO (0.9%)
3,500,000 Idaho State Tax Anticipation Notes...... Revenue Bond MIG1/SP1+ 06/27/96 4.500 3,515,610
-----------
ILLINOIS (7.3%)
1,500,000 Chicago O'Hare International Airport
(Refunding, Series C-1) MBIA
Insured............................... Insured Aaa/AAA 01/01/09 5.750 1,534,965
3,280,000 Cook County (Refunding, Series C)
FGIC Insured.......................... Insured Aaa/AAA 11/15/04 5.800 3,501,334
2,500,000 Cook County (Series 1991) AMBAC
Insured............................... Insured Aaa/AAA 11/01/98 6.100 2,639,300
1,375,000 Du Page County Illinois (Refunding,
Illinois Alternative Revenue Jail
Project Series C-1)................... Prerefunded Aaa/AAA 01/01/02(A) 6.550 1,538,941
1,640,000 Illinois (Building Sales Tax Revenue,
Series 1991O)......................... Prerefunded A1/AAA 06/01/97(A) 7.500 1,768,560
2,000,000 Illinois (Refunding, Series 1987)....... General Obligation A1/AA- 04/01/97(A) 6.500 2,087,920
3,350,000 Illinois Sales Tax Revenue (Series R)... Revenue Bond A1/AAA 06/15/01 4.600 3,332,949
3,250,000 Illinois Sales Tax Revenue (Refunding,
Series Q)............................. Revenue Bond A1/AAA 06/15/12 6.000 3,315,293
2,000,000 Illinois (Series 1986).................. General Obligation A1/AA- 12/01/96(A) 6.250 2,074,760
950,000 Kendall Kane & Will Counties Community
Unit School District #308 FGIC
Insured............................... Insured Aaa/AAA 03/01/99 6.200 1,003,333
2,500,000 Metropolitan Pier & Exposition
Authority, McCormick Place Expansion
Project Series A FGIC Insured......... General Obligation A/A+ 06/15/06 8.500 3,143,550
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
19
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
PRINCIPAL TYPE OF MOODY'S/S&P MATURITY
AMOUNT SECURITY DESCRIPTION SECURITY (UNAUDITED) DATE RATE VALUE
- ---------- ---------------------------------------- ------------------ ----------- ----------- ------- -----------
<C> <S> <C> <C> <C> <C> <C>
ILLINOIS (7.3%) (CONTINUED)
$2,810,000 Illinois Regional Transportation
Authority, Series D FGIC Insured...... Insured Aaa/AAA 06/01/07 7.750% $ 3,417,127
1,000,000 University of Illinois (Auxiliary
Facilities, Series 1992N, Escrowed to
Maturity)............................. Revenue Bond Aaa/AAA 10/01/01 6.000 1,036,990
-----------
Total Illinois 30,395,022
-----------
INDIANA (1.9%)
4,175,000 Indiana Bond Bank Common School Fund
AMBAC Insured......................... Insured Aaa/AAA 02/01/97 4.100 4,173,706
3,915,000 Indiana Transportation Finance Authority
(Highway Revenue Refunding, Series A)
AMBAC Insured......................... Insured Aaa/AAA 06/01/09 5.250 3,806,359
-----------
Total Indiana 7,980,065
-----------
KENTUCKY (1.2%)
4,400,000 Kentucky Turnpike Authority, (Series A
Escrowed to Maturity)................. Revenue Bond Aaa/AAA 07/01/02 7.100 4,864,508
-----------
LOUISIANA (0.5%)
2,200,000 Louisiana State Recovery District Sales
Tax Revenue, FGIC Insured............. Insured VMIG1/A-1+ 09/01/95(B) 3.500 2,200,000
-----------
MARYLAND (1.1%)
1,000,000 Maryland Department of Transportation,
(Series 1990)......................... Prerefunded Aaa/AAA 08/15/99(A) 6.700 1,104,470
3,000,000 Maryland (3rd Series)................... General Obligation Aaa/AAA 07/15/01(A) 6.400 3,286,410
-----------
Total Maryland 4,390,880
-----------
MASSACHUSETTS (2.1%)
4,950,000 Massachusetts Bay Transportation
Authority (General Transportation
System, Refunding, Series A).......... Revenue Bond A1/A+ 03/01/08 7.000 5,692,401
1,495,000 Massachusetts State College Building
Authority............................. Revenue Bond A1/A+ 05/01/11 7.500 1,767,748
1,060,000 Wareham School Project Loan Bonds AMBAC
Insured............................... Insured Aaa/AAA 01/15/01(A) 6.800 1,182,833
-----------
Total Massachusetts 8,642,982
-----------
MINNESOTA (1.6%)
5,685,000 Western Minnesota Municipal Power Agency
(Series 1983A)........................ Prerefunded Aaa/AAA 01/01/99(A) 10.125 6,523,424
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
20
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
PRINCIPAL TYPE OF MOODY'S/S&P MATURITY
AMOUNT SECURITY DESCRIPTION SECURITY (UNAUDITED) DATE RATE VALUE
- ---------- ---------------------------------------- ------------------ ----------- ----------- ------- -----------
<C> <S> <C> <C> <C> <C> <C>
MISSISSIPPI (2.6%)
$10,000,000 Mississippi (Refunding Bonds, Escrowed
to Maturity).......................... General Obligation AAA/AAA 02/01/08 6.200% $10,915,400
-----------
MISSOURI (1.1%)
4,000,000 St. Louis County Regional Convention
Sports Complex Authority, Refunding,
Series B.............................. Prerefunded Aaa/AAA 08/15/03(A) 7.000 4,593,200
-----------
NEBRASKA (1.0%)
4,000,000 Nebraska Public Power District (Nuclear
Facilities, Refunding)................ Revenue Bond A1/A+ 07/01/00 5.200 4,120,160
-----------
NEVADA (4.7%)
500,000 Carson City School District, (Series
1990) FGIC Insured.................... Prerefunded Aaa/AAA 04/01/00(A) 6.750 555,350
3,000,000 Clark County Nevada Passenger Facilities
(Las Vegas Mc.Carran International
Airport, Series A) AMBAC Insured...... Insured Aaa/AAA 07/01/08 6.250 3,233,610
8,200,000 Clark County Nevada School District
(Series A) MBIA Insured............... Insured Aaa/AAA 06/01/11 7.000 9,418,028
1,280,000 Las Vegas (Clark County Library
District, Refunding, Series B) FGIC
Insured............................... Insured Aaa/AAA 08/01/01(A) 6.700 1,400,422
1,685,000 Las Vegas (Clark County Library
District, Series 1991A) FGIC
Insured............................... Prerefunded Aaa/AAA 06/01/01(A) 6.600 1,871,782
1,200,000 Las Vegas (Clark County Library
District, Series 1991A) FGIC
Insured............................... Prerefunded Aaa/AAA 06/01/01(A) 6.700 1,339,044
1,330,000 Nevada Prison Facilities, (Series
1990A)................................ Prerefunded NR/AA 08/01/00(A) 7.000 1,495,851
-----------
Total Nevada 19,314,087
-----------
NEW HAMPSHIRE (0.5%)
1,720,000 New Hampshire (Series 1991A)............ General Obligation Aa/AA 06/15/01(A) 6.600 1,910,077
-----------
NEW JERSEY (4.6%)
2,200,000 New Jersey Economic Development
Authority (Market Transition
Facilities, Series A) MBIA Insured.... Insured Aaa/AAA 07/01/00 5.125 2,261,864
7,000,000 New Jersey Economic Development
Authority (Market Transition
Facilities, Series A) MBIA Insured.... Insured Aaa/AAA 07/01/02 5.400 7,287,210
1,500,000 New Jersey Sports & Exposition Authority
(Sports Complex Refunding, Escrowed to
Maturity)............................. Revenue Bond Aa1/NR 01/01/00 8.100 1,709,655
6,000,000 New Jersey State Transportation
Authority (Series B, Refunding) MBIA
Insured............................... Insured Aaa/AAA 06/15/05 6.000 6,507,780
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
21
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
PRINCIPAL TYPE OF MOODY'S/S&P MATURITY
AMOUNT SECURITY DESCRIPTION SECURITY (UNAUDITED) DATE RATE VALUE
- ---------- ---------------------------------------- ------------------ ----------- ----------- ------- -----------
<C> <S> <C> <C> <C> <C> <C>
NEW JERSEY (4.6%) (CONTINUED)
$1,000,000 Ocean County, General Improvement....... General Obligation Aa/NR 04/15/00 6.375% $ 1,080,860
-----------
Total New Jersey 18,847,369
-----------
NEW YORK (7.0%)
2,100,000 Monroe County Public Improvement AMBAC
Insured............................... Insured Aaa/AAA 06/01/09 6.000 2,214,702
1,415,000 Monroe County Public Improvement AMBAC
Insured............................... Insured Aaa/AAA 06/01/10 6.000 1,485,693
1,000,000 Municipal Assistance Corp. for the City
of New York, Custodial Receipt
Certificates, Series 1987-61 MBIA
Insured............................... Insured Aaa/AAA 07/01/97(A) 6.875 1,065,540
2,645,000 New York City (Refunding, Series A)..... General Obligation Baa1/BBB+ 08/01/02 5.750 2,664,335
3,425,000 New York City (Series F)................ General Obligation Baa1/BBB+ 02/15/03 6.200 3,521,414
1,465,000 New York City (Refunded, Series B)...... General Obligation AAA/BBB+ 06/01/01 8.000 1,642,499
4,675,000 New York City (Series H1)............... General Obligation Baa1/BBB+ 08/01/01 5.500 4,681,732
1,000,000 New York Dormitory Authority, (Iona
College Series 1988) MBIA Insured..... Insured Aaa/AAA 07/01/98(A) 7.625 1,108,280
1,500,000 New York State Urban Development
Correctional Capital Facilities
(Series 1)............................ Prerefunded AAA/NR 01/01/00(A) 7.750 1,722,585
2,000,000 New York (Series F)..................... General Obligation Baa1/BBB+ 02/15/02 6.100 2,051,300
400,000 New York State Energy Research &
Development Authority PCR, Niagra
Mohawk Power Series A
LOC-Toronto Dominion Bank............. Revenue Bond NR/A-1+ 09/01/95(B) 3.500 400,000
400,000 New York City Municipal Water Authority
(Series A, Refunding) FGIC Insured.... Insured VMIG1/A-1+ 08/31/95(B) 3.600 400,000
5,500,000 Triborough Bridge & Tunnel Authority
(Refunding, Series X)................. Revenue Bond Aa/A+ 01/01/12 6.625 6,082,010
-----------
Total New York 29,040,090
-----------
NORTH CAROLINA (0.9%)
3,500,000 North Carolina Eastern Municipal Power
Agency Systems Revenue (Series A)..... Prerefunded AAA/BBB+ 01/01/99(A) 7.250 3,889,480
-----------
OHIO (2.5%)
3,000,000 Cleveland (Ohio Waterworks Revenue,
Series E) MBIA Insured................ Prerefunded Aaa/NR 01/01/97(A) 7.750 3,204,120
3,675,000 Ohio Water Development Authority (Series
Safe Water II, Escrowed to
Maturity)............................. Revenue Bond Aaa/AAA 12/01/10 9.375 4,695,327
2,200,000 Ohio Water Development Authority
Pollution Control Facilities, MBIA
Insured............................... Insured Aaa/AAA 06/01/05 6.500 2,451,988
-----------
Total Ohio 10,351,435
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
22
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
PRINCIPAL TYPE OF MOODY'S/S&P MATURITY
AMOUNT SECURITY DESCRIPTION SECURITY (UNAUDITED) DATE RATE VALUE
- ---------- ---------------------------------------- ------------------ ----------- ----------- ------- -----------
<C> <S> <C> <C> <C> <C> <C>
PENNSYLVANIA (1.6%)
$1,175,000 Bethel Park School District, (Series
1991B) AMBAC Insured.................. Prerefunded Aaa/AAA 02/01/00(A) 6.550% $ 1,272,878
970,000 Pennsylvania Higher Education Assistance
Agency, (Student Loan Refunding,
Series 1985A) FGIC Insured............ Insured Aaa/AAA 12/01/00 6.800 1,043,846
1,310,000 Pennsylvania Higher Education Facs
Authority College (Series A,
Refunding)............................ Revenue Bond Aa/AA 09/01/02 6.500 1,449,266
1,000,000 Pennsylvania (Refunding and Projects,
Custodial Receipt Certificates, 1st
Series A) AMBAC Insured............... Insured Aaa/AAA 01/01/01 6.600 1,093,550
1,500,000 Pennsylvania (2nd Series 1991A)
MBIA Insured.......................... Insured Aaa/AAA 11/01/01(A) 6.500 1,642,965
-----------
Total Pennsylvania 6,502,505
-----------
RHODE ISLAND (2.7%)
3,785,000 Rhode Island (Series 1991B)............. General Obligation A1/AA- 05/15/00 6.000 4,000,026
2,000,000 Rhode Island (Series 1990B)............. Prerefunded A1/AA- 10/15/99(A) 6.700 2,212,160
5,000,000 Rhode Island State Public Buildings
Authority (Public Projects Refunding,
Series A) AMBAC Insured............... Insured Aaa/AAA 02/01/00 4.700 5,053,400
-----------
Total Rhode Island 11,265,586
-----------
SOUTH CAROLINA (0.3%)
1,000,000 Piedmont Municipal Power Agency Electric
(Refunding) MBIA Insured.............. Insured Aaa/AAA 01/01/08 6.200 1,084,410
-----------
TENNESSEE (0.5%)
2,000,000 Chattanooga Industrial Development
Board, (IDR, Gerber/Buster Brown
Manufacturing, Inc.).................. Revenue Bond A2/NR 11/01/96(A) 4.000 1,992,920
-----------
TEXAS (8.0%)
1,500,000 Addison (Refunding Series 1991)
FGIC Insured.......................... Insured Aaa/AAA 09/01/00 6.250 1,568,610
1,000,000 Arlington Permanent Improvement School
Fund Guarantee (Series 1989)
AMBAC Insured......................... Insured Aaa/AAA 08/01/00 6.850 1,085,700
1,050,000 Austin Independent School District,
(Permanent School Fund Guarantee,
Refunding, Series 1991) PSFG
Insured............................... Insured Aaa/AAA 08/01/99 6.200 1,119,216
335,000 Austin Water Sewer & Electric
(Refunding, Escrowed to Maturity)..... Revenue Bond A/A- 11/15/97 13.500 401,179
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
23
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
PRINCIPAL TYPE OF MOODY'S/S&P MATURITY
AMOUNT SECURITY DESCRIPTION SECURITY (UNAUDITED) DATE RATE VALUE
- ---------- ---------------------------------------- ------------------ ----------- ----------- ------- -----------
<C> <S> <C> <C> <C> <C> <C>
TEXAS (8.0%) (CONTINUED)
$1,500,000 Austin Utilities System (Series 6,
Escrowed to Maturity)................. Revenue Bond Aaa/AAA 10/01/01 6.500% $ 1,654,665
1,000,000 Austin Utility System (Prerefunded)..... Revenue Bond AAA/AAA 11/15/99(A) 11.300 1,265,670
1,100,000 Conroe Independent School District
(Schoolhouse and Refunding)
PSFG Insured.......................... Insured Aaa/AAA 02/01/02 6.500 1,214,928
1,265,000 Conroe Independent School District
(Schoolhouse and Refunding, Series
1993) PSFG Insured.................... Insured Aaa/AAA 02/01/03 6.500 1,406,136
975,000 Conroe Independent School District
(Schoolhouse and Refunding, Series
1989) MBIA Insured.................... Prerefunded Aaa/AAA 02/01/99(A) 7.100 1,061,161
25,000 Conroe Independent School District
(Schoolhouse and Partially Prerefunded
Series 1989) MBIA Insured............. Insured Aaa/AAA 02/01/99(A) 7.100 26,848
1,305,000 Dallas County Tax Flood Control
District #1........................... Prerefunded Aaa/NR 04/01/08(A) 9.250 1,778,271
1,650,000 El Paso Independent School District,
(Permanent School Fund Guarantee,
Series 1991) PSFG Insured............. Prerefunded Aaa/NR 07/01/01(A) 6.550 1,818,135
3,805,000 Fort Worth Independent School District
(Refunding, Series 1987).............. General Obligation Aa/AA 02/15/98 6.000 3,959,521
1,700,000 Harris County Road Improvement Authority
(Series 1989) MBIA Insured............ Prerefunded Aaa/AAA 11/01/99(A) 7.000 1,873,927
2,000,000 Plano Independent School District
(Series 1991B) FGIC Insured........... Prerefunded Aaa/AAA 02/15/01(A) 6.550 2,192,260
700,000 Texas A&M University (Refunding, Series
1989)................................. Revenue Bond Aaa/AA+ 07/01/97(A) 6.500 740,915
750,000 Texas A&M University (Series 1989)...... Prerefunded Aaa/AAA 07/01/97(A) 6.600 799,140
1,000,000 Texas Public Finance Authority
(Refunding, Series 1991A)............. Prerefunded NR/AA 10/01/00(A) 6.500 1,090,390
2,000,000 Texas Public Finance Authority (Series
1988A)................................ Prerefunded NR/AA 10/01/00(A) 6.300 2,163,720
3,000,000 Texas Public Finance Authority Revenue
(Refunding, Series A)................. Revenue Bond A/A+ 02/01/96 3.800 3,001,080
2,500,000 University of Texas (Permanent
University Fund, Refunding, Series
1991)................................. Revenue Bond Aaa/AA+ 07/01/01 6.300 2,715,075
-----------
Total Texas 32,936,547
-----------
VIRGINIA (1.8%)
5,000,000 Virginia Public School Authority
(Refunding, Series 1991C)............. Revenue Bond Aa/AA 01/01/02 6.000 5,374,750
2,000,000 Virginia Public School Authority,
(Series A)............................ Revenue Bond Aa/AA 08/01/01(A) 6.500 2,201,240
-----------
Total Virginia 7,575,990
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
24
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
PRINCIPAL TYPE OF MOODY'S/S&P MATURITY
AMOUNT SECURITY DESCRIPTION SECURITY (UNAUDITED) DATE RATE VALUE
- ---------- ---------------------------------------- ------------------ ----------- ----------- ------- -----------
<C> <S> <C> <C> <C> <C> <C>
WASHINGTON (9.2%)
$6,355,000 King County Washington (Refunding,
Series B)............................. General Obligation Aa1/AA+ 01/01/01 6.700% $ 6,982,429
1,555,000 North Shore School District #417, (King
& Snohomish Counties, Series 1991)
FGIC Insured.......................... Insured Aaa/AAA 12/01/02 6.600 1,682,634
1,000,000 Pierce County School District #320,
(Sumner Washington, Custodial Receipt
Certificates, Series 1991) MBIA
Insured............................... Insured Aaa/AAA 12/01/02 6.600 1,101,200
5,480,000 Seattle Municipal Light & Power (Light
and Power Revenue, Refunding)......... Revenue Bond Aa/AA 05/01/00 4.600 5,513,976
2,955,000 Seattle Municipal Sewer Revenue (Series
T).................................... Prerefunded AAA/AA- 01/01/00(A) 6.875 3,281,912
1,250,000 Snohomish County Washington School
District #2, (Everett, Custodial
Receipt Certificates, Series A) MBIA
Insured............................... Prerefunded Aaa/AAA 06/01/01(A) 6.700 1,366,675
5,265,000 Washington Public Power Supply System
(Nuclear Project #2, Refunding, Series
A).................................... Revenue Bond Aa/AA 07/01/01 6.300 5,566,263
2,000,000 Washington Public Power Supply System
(Nuclear Project #2, Refunding, Series
1990A)................................ Revenue Bond Aa/AA 07/01/06 7.250 2,260,740
1,500,000 Washington Public Power Supply System
(Nuclear Project #2, Refunding, Series
1990C)................................ Revenue Bond Aa/AA 01/01/01(A) 7.500 1,674,105
1,750,000 Washington (Series R-92A)............... General Obligation Aa/AA 09/01/01(A) 6.300 1,908,148
3,000,000 Washington Series 1995C AT-8 and
R -95 B (Refunding)................... General Obligation Aa/AA 07/01/02 5.750 3,185,670
2,000,000 Washington Public Power Supply System
(Nuclear Project #2, Refunding, Series
C) FGIC Insured....................... Insured Aaa/AAA 07/01/01 7.000 2,198,980
1,000,000 Washington (Series 1990B)............... General Obligation Aa/AA 08/01/02 6.750 1,088,550
-----------
Total Washington 37,811,282
-----------
WEST VIRGINIA (0.3%)
1,000,000 Berkeley County, Board of Education
Escrowed to Maturity (Series 1988)
MBIA Insured.......................... Insured Aaa/AAA 04/01/01 7.300 1,133,670
-----------
WISCONSIN (3.8%)
1,500,000 Racine Unified School District
AMBAC Insured......................... Insured Aaa/AAA 04/01/01 6.500 1,592,580
5,000,000 Wisconsin Transportation (Refunding,
Series A)............................. Revenue Bond A1/AA- 07/01/06 4.600 4,670,900
4,000,000 Wisconsin (Refunding)................... General Obligation Aa/AA 05/01/03 6.000 4,315,160
5,000,000 Wisconsin (Series A).................... General Obligation Aa/AA 05/01/99 5.750 5,244,900
-----------
Total Wisconsin 15,823,540
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
25
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
PRINCIPAL TYPE OF MOODY'S/S&P MATURITY
AMOUNT SECURITY DESCRIPTION SECURITY (UNAUDITED) DATE RATE VALUE
- ---------- ---------------------------------------- ------------------ ----------- ----------- ------- -----------
<C> <S> <C> <C> <C> <C> <C>
WYOMING (1.4%)
$3,600,000 Platte County Pollution Control (Basin
Electric Power Cooperative,
Refunding)............................ Revenue Bond A2/A 01/01/06 4.950% $ 3,542,544
2,115,000 Platte County Pollution Control (Basin
Electric Power Cooperative,
Refunding)............................ Revenue Bond A2/A 01/01/07 5.050 2,116,650
-----------
Total Wyoming 5,659,194
-----------
</TABLE>
<TABLE>
<C> <S> <C> <C>
TOTAL INVESTMENTS (97.9%) (COST $385,751,276) 403,948,908
OTHER ASSETS NET OF LIABILITIES (2.1%) 8,688,955
-----------
NET ASSETS (100.0%) $412,637,863
-----------
-----------
<FN>
(A) The date shown represents the next mandatory/optional put date or call date, or interest reset date.
(B) Variable rate demand note tender dates and/or interest rates are reset at specified intervals which coincide with
their tender feature. The rates shown are the current rates at August 31, 1995.
1. Based on the cost of investments of $385,751,276 for federal income tax purposes at August 31, 1995, the aggregate
gross unrealized appreciation and depreciation was $18,653,343 and $455,711, respectively, resulting in net
unrealized appreciation of investments of $18,197,632.
2. Abbreviations used in the schedule of investments are as follows: AMBAC - Ambac Indemnity Corp., FHA - Federal
Housing Authority, FGIC - Financial Guaranty Insurance Company, IDR - Industrial Development Revenue, LOC - Letter
of Credit, MBIA - Municipal Bond Investors Assurance Corp., PCR - Pollution Control Revenue, TRAN - Tax Revenue
Anticipation Note.
3. Crossover Refunded - Bonds for which the issuer of the bond invests the proceeds from a subsequent bond issue in
cash and/or securities which have been deposited with a third party to cover the payments of principal and interest
at the maturity of the bond.
Escrowed to Maturity - Bonds for which cash and/or securities have been deposited with a third party to cover the
payments of principal and interest at the maturity of the bond.
Prerefunded - Bonds for which the issuer of the bond invests the proceeds from a subsequent bond issuance in
treasury securities, whose maturity coincides with the first call date of the first bond.
Refunding - Bonds for which the issuer has issued new bonds and canceled the old issue.
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
26
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
AUGUST 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $385,751,276) $ 403,948,908
Cash 58,763
Receivable for Investments Sold 7,542,271
Interest Receivable 5,220,846
Prepaid Expenses 922
--------------
Total Assets 416,771,710
--------------
LIABILITIES
Payables for Investments Purchased 3,486,115
Financial and Fund Accounting Services Fee Payable 407,764
Advisory Fee Payable 103,320
Custody Fee Payable 78,015
Fund Services Fee Payable 2,664
Administration Fee Payable 2,014
Accrued Expenses 53,955
--------------
Total Liabilities 4,133,847
--------------
NET ASSETS
Applicable to Investors' Beneficial Interests $ 412,637,863
--------------
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
27
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE FISCAL YEAR ENDED AUGUST 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest $21,883,711
EXPENSES
Advisory Fee $ 1,178,720
Financial and Fund Accounting Services Fee 189,892
Custodian Fees and Expenses 127,415
Professional Fees 49,420
Fund Services Fee 38,804
Administration Fee 28,290
Printing Expenses 12,000
Trustees' Fees and Expenses 8,979
Insurance Premium Expenses 4,950
Registration Fees 610
Miscellaneous 2,000
-----------
Total Expenses (1,641,080)
-----------
NET INVESTMENT INCOME 20,242,631
NET REALIZED GAIN ON INVESTMENTS 377,206
NET CHANGE IN UNREALIZED APPRECIATION OF INVESTMENTS 9,384,271
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $30,004,108
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
28
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FISCAL FOR THE FISCAL
YEAR ENDED YEAR ENDED
AUGUST 31, AUGUST 31,
INCREASE (DECREASE) IN NET ASSETS 1995 1994
-------------- --------------
<S> <C> <C>
FROM OPERATIONS
Net Investment Income $ 20,242,631 $ 21,579,695
Net Realized Gain on Investments 377,206 1,199,109
Net Change in Unrealized Appreciation (Depreciation) of
Investments 9,384,271 (16,878,531)
-------------- --------------
Net Increase in Net Assets Resulting from Operations 30,004,108 5,900,273
-------------- --------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 221,887,625 246,505,829
Withdrawals (248,866,727) (328,342,574)
-------------- --------------
Net Decrease from Investors' Transactions (26,979,102) (81,836,745)
-------------- --------------
Total Increase (Decrease) in Net Assets 3,025,006 (75,936,472)
NET ASSETS
Beginning of Fiscal Year 409,612,857 485,549,329
-------------- --------------
End of Fiscal Year $ 412,637,863 $ 409,612,857
-------------- --------------
-------------- --------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
JULY 12, 1993
FOR THE FISCAL FOR THE FISCAL (COMMENCEMENT OF
YEAR ENDED YEAR ENDED OPERATIONS) TO
AUGUST 31, 1995 AUGUST 31, 1994 AUGUST 31, 1993
--------------- --------------- -----------------
<S> <C> <C> <C>
Ratios to Average Net Assets:
Expenses 0.42% 0.41% 0.40%(a)
Net Investment Income 5.15% 4.68% 4.58%(a)
Decrease Reflected in Expense Ratio due to Expense
Reimbursement -- -- 0.01%(a)
Portfolio Turnover 47% 33% 43%+
<FN>
- ------------------------
(a) Annualized
(+) Portfolio turnover is for the twelve month period ended August 31, 1993,
and includes the portfolio activity of the Portfolio's predecessor entity,
The Pierpont Tax Exempt Bond Fund, for the period September 1, 1992 through
July 11, 1993.
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
29
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
AUGUST 31, 1995
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Tax Exempt Portfolio (the "Portfolio") is registered under the Investment
Company Act of 1940, as amended, ("The Act") as a no-load, diversified, open-end
management investment company which was organized as a trust under the laws of
the State of New York. The Portfolio commenced operations on July 12, 1993 and
received a contribution of certain assets and liabilities, including securities,
with a value of $466,873,082 on that date from The Pierpont Tax Exempt Bond Fund
in exchange for a beneficial interest in the Portfolio. The Declaration of Trust
permits the Trustees to issue an unlimited number of beneficial interests in the
Portfolio.
The following is a summary of the significant accounting policies of the
Portfolio:
a)Portfolio securities with a maturity of 60 days or more, including
securities that are listed on an exchange or traded over the counter, are
valued using prices supplied daily by an independent pricing service or
services that (i) are based on the last sale price on a national
securities exchange, or in the absence of recorded sales, at the readily
available bid price on such exchange or at the quoted bid price in the
over-the-counter market, if such exchange or market constitutes the
broadest and most representative market for the security and (ii) in other
cases, take into account various factors affecting market value, including
yields and prices of comparable securities, indication as to value from
dealers and general market conditions. If such prices are not supplied by
the Portfolio's independent pricing services, such securities are priced
in accordance with procedures adopted by the Trustees. All portfolio
securities with a remaining maturity of less than 60 days are valued by
the amortized cost method. Because of the large number of municipal bond
issues outstanding and the varying maturity dates, coupons and risk
factors applicable to each issuer's books, no readily available market
quotations exist for most municipal securities.
b)Securities transactions are recorded on a trade date basis. 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.
c)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 Portfolios 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.
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 investment
advisory agreement, the Portfolio pays Morgan at an annual rate of 0.30%
of the Portfolio's average daily net assets. For the fiscal year ended
August 31, 1995, such fees amounted to $1,178,720.
b)The Portfolio retains Signature Broker-Dealer Services, Inc. ("Signature")
to serve as Administrator and exclusive placement agent. Signature
provides administrative services necessary for the operations of the
Portfolio, furnishes office space and facilities required for conducting
the business of the
30
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
AUGUST 31, 1995
- --------------------------------------------------------------------------------
Portfolio and pays the compensation of the Portfolio's officers affiliated
with Signature. The agreement provides for a fee to be paid to Signature
at an annual rate determined by the following schedule: 0.01% of the first
$1 billion of the aggregate average daily net assets of the Portfolio and
the other portfolios subject to the Administrative Services Agreement,
0.008% of the next $2 billion of such net assets, 0.006% of the next $2
billion of such net assets, and 0.004% of such net assets in excess of $5
billion. The daily equivalent of the fee rate is applied to the daily net
assets of the Portfolio. For the fiscal year ended August 31, 1995, such
expenses amounted to $28,290.
c)During the fiscal year ended August 31, 1995, the Portfolio had a
Financial and Fund Accounting Services Agreement ("Services Agreement")
with Morgan Guaranty Trust Company of New York ("Morgan") under which
Morgan would receive a fee, based on the percentages described below, for
overseeing certain aspects of the administration and operation of the
Portfolio and was also designed to provide an expense limit for certain
expenses of the Portfolio. This fee was calculated exclusive of the
advisory fee, custody expenses, fund services fee and brokerage costs at
0.10% of the Portfolio's average daily net assets up to and including $200
million, 0.05% of the next $200 million of average daily net assets, and
0.03% on any excess over $400 million. For the fiscal year ended August
31, 1995, the fee for these services amounted to $189,892. Effective
September 1, 1995, the Services Agreement was terminated and an interim
agreement was entered into between the Portfolio, and Morgan, which
provides for the continuation of the oversight services that were outlined
under the prior agreement without any compensation to Morgan.
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 $38,804 for the fiscal year ended August 31, 1995.
e)An aggregate annual fee of $65,000 is paid to each Trustee for serving as
a Trustee of The Pierpont Funds, The JPM Institutional Funds, their
corresponding Portfolios and The Series Portfolio. The Trustees' Fees and
Expenses shown in the financial statements represents the Portfolio's
allocated portion of these total fees and expenses. Prior to April 1,
1995, the aggregate annual Trustee Fee was $55,000. The Trustee who serves
as Chairman and Chief Executive Officer of these Funds and Portfolios also
serves as Chairman of Group and received 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 $4,500.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the period were
as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
-------------- --------------
<S> <C> <C>
$ 180,361,813 $ 190,816,587
</TABLE>
31
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Investors of
The Tax Exempt Bond Portfolio
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the supplementary data present fairly, in all material
respects, the financial position of The Tax Exempt Bond Portfolio (the
"Portfolio") at August 31, 1995, the results of its operations for the year then
ended, the changes in its net assets for each of the two years in the period
then ended, and its supplementary data for each of the two years in the period
then ended and for the period July 12, 1993 (commencement of operations) through
August 31, 1993, in conformity with generally accepted accounting principles.
These financial statements and supplementary data (hereafter referred to as
"financial statements") are the responsibility of the Portfolio's management;
our responsibility is to express an opinion on these financial statements based
on our audits. We conducted our audits of these financial statements in
accordance with generally accepted auditing standards which require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at August
31, 1995 by correspondence with the custodian and brokers and the application of
alternative auditing procedures where confirmations from brokers were not
received, provide a reasonable basis for the opinion expressed above.
PRICE WATERHOUSE LLP
New York, New York
October 24, 1995
32
