<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
AUGUST 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S
AMOUNT SECURITY SECURITY S&P MATURITY
(IN THOUSANDS) DESCRIPTION TYPE (UNAUDITED) DATE RATE
- -------------- ------------------------------------------------- -------- ------------ ------------ -------
<C> <S> <C> <C> <C> <C>
LONG-TERM INVESTMENTS (95.2%)
ALABAMA (0.6%)
$ 1,000 Alabama Mental Health Finance Authority, Special RB Aaa/AAA 05/01/99(a) 7.375%
Tax Obligation, (Prerefunded, Series 1989, due
05/01/01), MBIA Insured........................
1,630 Childersburg Industrial Development Board, PCR, RB Aa2/AA 11/15/99(a) 7.400
(Kimberly Clark Corp. Project, Escrowed to
Maturity, due 11/15/99)........................
1,000 Daphne Special Care Facilities Financing RB NR/NR 08/15/01(a) 7.300
Authority, (Presbyterian Retirement,
Prerefunded, Series A, due 08/15/18)...........
TOTAL ALABAMA................................
ALASKA (1.9%)
2,000 Anchorage, (Prerefunded, Series 1991, due GO Aaa/AAA 07/01/01(a) 6.600
07/01/02), MBIA Insured........................
1,075 Anchorage, (Refunding, Series 1989, due GO Aaa/AAA 06/01/99(a) 7.100
06/01/03), AMBAC Insured.......................
1,000 Anchorage, (Series 1990A), AMBAC Insured......... GO Aaa/AAA 02/01/00 6.850
3,000 North Slope Borough, (Series 1992A), MBIA GO Aaa/AAA 06/30/00 5.550
Insured........................................
2,200 North Slope Borough, Zero Coupon, (Capital GO Aaa/AAA 06/30/01 0.000
Appreciation, Series 1996B), MBIA Insured......
2,500 North Slope Borough, Zero Coupon, (Capital GO Aaa/AAA 01/01/99 0.000
Appreciation, Series B), MBIA Insured..........
TOTAL ALASKA.................................
ARIZONA (0.7%)
1,000 Maricopa County School District #11, (Peoria GO Aaa/AAA 07/01/99(a) 7.000
Unified School Improvement, Prerefunded, Series
1990H, due 07/01/05), MBIA Insured.............
1,325 Maricopa County School District #3, (Tempe GO A1/AA 07/01/06(a) 6.000
Elementary, Projects of 1991, Prerefunded,
Series C, due 07/01/08)........................
1,750 Phoenix, (Refunding, Series C)................... GO Aa1/AA+ 07/01/02 6.375
TOTAL ARIZONA................................
<CAPTION>
PRINCIPAL
AMOUNT
(IN THOUSANDS) VALUE
- -------------- -------------
<C> <C>
LONG-TERM INVE
ALABAMA (0.6%)
$ 1,000 $ 1,071,520
1,630 1,689,006
1,000 1,101,290
-------------
3,861,816
-------------
ALASKA (1.9%)
2,000 2,158,100
1,075 1,134,501
1,000 1,059,200
3,000 3,102,990
2,200 1,844,964
2,500 2,358,800
-------------
11,658,555
-------------
ARIZONA (0.7%)
1,000 1,094,900
1,325 1,448,318
1,750 1,901,427
-------------
4,444,645
-------------
</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, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S
AMOUNT SECURITY SECURITY S&P MATURITY
(IN THOUSANDS) DESCRIPTION TYPE (UNAUDITED) DATE RATE
- -------------- ------------------------------------------------- -------- ------------ ------------ -------
<C> <S> <C> <C> <C> <C>
CALIFORNIA (4.2%)
$ 2,520 California Department of Water Resources, RB Aa2/AA 12/01/12 7.000%
(Central Valley Project, Water Systems Service,
Refunding, Series J-1).........................
2,750 California Pollution Control Financing Authority RB NR/NR 07/01/07 6.700
(PCR, Laidlaw Environmental, Refunding, Series
A).............................................
6,000 California State................................. GO A1/A+ 02/01/08 6.500
1,000 California State, AMBAC/MBIA Insured............. GO Aaa/AAA 09/01/06 6.500
569 Kaweah Delta Hospital District, Tulare County, PP NR/A+ 06/01/14 4.350
(Series D).....................................
1,049 Kaweah Delta Hospital District, Tulare County, PP NR/A+ 06/01/14 5.250
(Series E).....................................
1,618 Kaweah Delta Hospital District, Tulare County, PP NR/A+ 06/01/14 6.400
(Series G).....................................
2,500 Los Angeles County Public Works, (Refunding, RB Aaa/AAA 09/01/06 6.000
Series A), MBIA Insured........................
2,000 Los Angeles Department of Water & Power, RB Aa3/A+ 05/15/00(a) 7.125
(California Electric Plant, Crossover Refunded,
due 05/15/30)..................................
3,000 Riverside County California School, Financing GO MIG1/NR 10/01/98 4.500
Authority (Revenue Anticipation Notes, Series
A).............................................
TOTAL CALIFORNIA.............................
COLORADO (0.2%)
1,295 Adams County School District #12, FGIC Insured... GO Aaa/AAA 12/15/06 6.000
CONNECTICUT (0.8%)
1,545 Connecticut Housing Finance Authority, (Housing RB Aa/AA 11/15/97 8.100
Mortgage Finance Program, Refunding, Series
1987B).........................................
2,815 Connecticut Transportation Infrastructure, RB NR/AA- 06/01/03(a) 6.600
Special Tax Obligation, (Prerefunded, Series
1991A, due 06/01/04)...........................
TOTAL CONNECTICUT............................
DELAWARE (0.5%)
2,650 Delaware Transportation Authority, RB Aaa/AAA 07/01/00 5.250
(Transportation System Revenue) AMBAC
Insured........................................
<CAPTION>
PRINCIPAL
AMOUNT
(IN THOUSANDS) VALUE
- -------------- -------------
<C> <C>
CALIFORNIA (4.
$ 2,520 $ 3,041,111
2,750 2,800,792
6,000 6,844,380
1,000 1,141,970
569 570,013
1,049 1,049,049
1,618 1,783,310
2,500 2,744,100
2,000 2,167,160
3,000 3,018,570
-------------
25,160,455
-------------
COLORADO (0.2%
1,295 1,418,452
-------------
CONNECTICUT (0
1,545 1,553,436
2,815 3,105,564
-------------
4,659,000
-------------
DELAWARE (0.5%
2,650 2,721,444
-------------
</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, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S
AMOUNT SECURITY SECURITY S&P MATURITY
(IN THOUSANDS) DESCRIPTION TYPE (UNAUDITED) DATE RATE
- -------------- ------------------------------------------------- -------- ------------ ------------ -------
<C> <S> <C> <C> <C> <C>
DISTRICT OF COLUMBIA (4.4%)
$ 3,000 District of Columbia, (Refunding, Series A), MBIA GO Aaa/AAA 06/01/07 6.000%
Insured........................................
7,500 District of Columbia, (Refunding, Series C), FGIC GO Aaa/AAA 12/01/03 5.250
Insured........................................
2,600 District of Columbia, (Series B), MBIA Insured... GO Aaa/AAA 06/01/02 6.000
4,015 Metropolitan Airport, (Series B), FGIC Insured... RB Aaa/AAA 10/01/05 6.000
5,745 Metropolitan Airport, (Series B), FGIC Insured... RB Aaa/AAA 10/01/06 6.000
1,200 Metropolitan Airports Authority, (Series B), FGIC RB Aaa/AAA 10/01/00 5.250
Insured........................................
1,000 Metropolitan Airports, (Series B), FGIC RB Aaa/AAA 10/01/03 5.750
Insured........................................
TOTAL DISTRICT OF COLUMBIA...................
FLORIDA (3.5%)
5,765 Dade County School District, (Refunding), MBIA GO Aaa/AAA 07/15/05 6.000
Insured........................................
1,535 Florida Board of Education, Capital Outlay, GO Aaa/AA+ 06/01/00(a) 7.000
(Escrowed to Maturity, Series 1986C, due
06/01/01)......................................
465 Florida Board of Education, Capital Outlay, GO Aa2/AA+ 06/01/00(a) 7.000
(Unrefunded Balance, Series 1986C, due
06/01/01)......................................
6,765 Florida Division Board Financial Department, RB Aaa/AAA 07/01/99 5.500
(General Services Revenue, Department of
Environmental Preservation, Series 2000A),
AMBAC Insured..................................
3,200 Jacksonville Electric Authority, (St. Johns RB Aa1/AA 10/01/99(a) 7.000
River, Issue 2, Crossover Refunded, Series 5,
due 10/01/09)..................................
2,000 Volusia County School District, (Refunding, GO Aaa/AAA 08/01/01(a) 6.100
Series 1991, due 08/01/02), FGIC Insured.......
TOTAL FLORIDA................................
<CAPTION>
PRINCIPAL
AMOUNT
(IN THOUSANDS) VALUE
- -------------- -------------
<C> <C>
DISTRICT OF CO
$ 3,000 $ 3,241,140
7,500 7,724,850
2,600 2,754,804
4,015 4,329,053
5,745 6,221,318
1,200 1,230,852
1,000 1,057,700
-------------
26,559,717
-------------
FLORIDA (3.5%)
5,765 6,281,025
1,535 1,597,382
465 473,110
6,765 6,940,349
3,200 3,413,280
2,000 2,150,760
-------------
20,855,906
-------------
</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, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S
AMOUNT SECURITY SECURITY S&P MATURITY
(IN THOUSANDS) DESCRIPTION TYPE (UNAUDITED) DATE RATE
- -------------- ------------------------------------------------- -------- ------------ ------------ -------
<C> <S> <C> <C> <C> <C>
GEORGIA (6.4%)
$ 2,630 Fulton County School District, (Refunding)....... GO Aa3/AA 05/01/14 6.375%
1,000 Georgia Municipal Electric Authority, (Refunding, RB A/A 01/01/12 6.500
Series A)......................................
1,000 Georgia Municipal Electric Authority, (Refunding, RB A3/A 01/01/06 6.000
Series D)......................................
1,155 Georgia Residential Finance Authority, (Single RB Aa/AA+ 12/01/97 6.600
Family Insured Mortgages, Refunding, Series
1986A, due 12/01/98), FHA Insured..............
6,000 Georgia, (Series B).............................. GO Aaa/AAA 03/01/07 7.200
3,000 Georgia, (Series B).............................. GO Aaa/AAA 03/01/10 6.300
4,470 Georgia, (Series C).............................. GO Aaa/AAA 07/01/11 5.700
2,500 Gwinnett County School District, (Refunding, GO Aa1/AA+ 02/01/08 6.400
Series B)......................................
5,000 Metropolitan Atlanta Rapid Transit Authority, RB Aaa/AAA 07/01/11 6.250
Sales Tax Revenue, (Refunding, Series P).......
3,000 Municipal Electric Authority, (General RB Aaa/AAA 01/01/03 5.250
Resolution, Series A) AMBAC Insured............
4,500 Municipal Electric Authority, (Project 1, Sixth RB Aaa/AAA 01/01/08 7.000
Crossover), AMBAC Insured......................
TOTAL GEORGIA................................
HAWAII (1.6%)
5,000 Hawaii State, (Refunding, Series CO), FGIC GO Aaa/AAA 03/01/02 6.000
Insured........................................
2,000 Hawaii, (Series BZ).............................. GO Aa3/A+ 10/01/12 6.000
2,000 Honolulu City & County Improvement, (Refunding, GO Aa/AA 10/01/11 5.500
Series B)......................................
TOTAL HAWAII.................................
ILLINOIS (9.7%)
2,000 Chicago Board of Education, (Chicago School GO Aaa/AAA 12/01/09 6.750
Reform), AMBAC Insured.........................
1,000 Chicago Board of Education, (Lease Certificates, RB Aaa/AAA 01/01/06 6.125
Series A), MBIA Insured........................
4,130 Chicago Board of Education, (Lease Certificates, RB Aaa/AAA 01/01/07 6.125
Series A), MBIA Insured........................
3,000 Chicago, (Refunding, Series A-2), AMBAC GO Aaa/AAA 01/01/11 6.000
Insured........................................
<CAPTION>
PRINCIPAL
AMOUNT
(IN THOUSANDS) VALUE
- -------------- -------------
<C> <C>
GEORGIA (6.4%)
$ 2,630 $ 2,981,000
1,000 1,114,040
1,000 1,067,430
1,155 1,192,018
6,000 7,133,220
3,000 3,383,250
4,470 4,793,404
2,500 2,824,900
5,000 5,597,200
3,000 3,101,220
4,500 5,259,015
-------------
38,446,697
-------------
HAWAII (1.6%)
5,000 5,311,150
2,000 2,187,760
2,000 2,063,340
-------------
9,562,250
-------------
ILLINOIS (9.7%
2,000 2,323,620
1,000 1,090,100
4,130 4,521,400
3,000 3,264,810
</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, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S
AMOUNT SECURITY SECURITY S&P MATURITY
(IN THOUSANDS) DESCRIPTION TYPE (UNAUDITED) DATE RATE
- -------------- ------------------------------------------------- -------- ------------ ------------ -------
<C> <S> <C> <C> <C> <C>
<CAPTION>
PRINCIPAL
AMOUNT
(IN THOUSANDS) VALUE
- -------------- -------------
<C> <C>
ILLINOIS (CONTINUED)
$ 1,500 Chicago, O'Hare International Airport, RB Aaa/AAA 01/01/09 5.750%
(Refunding, Series C-1), MBIA Insured..........
3,280 Cook County, (Refunding, Series C), FGIC GO Aaa/AAA 11/15/04 5.800
Insured........................................
10,000 Cook County, Community School District #54, GO Aaa/AAA 01/01/03(a) 0.000
Schaumburg Township, Zero Coupon, (Capital
Appreciation, Prerefunded, Series B, due
01/01/11), FGIC Insured........................
1,375 Du Page County, (Illinois Alternative Revenue GO Aaa/AAA 01/01/02(a) 6.550
Jail Project, Prerefunded, due 01/01/21).......
3,000 Illinois, Sales Tax Revenue, (Refunding, Series RB Aa3/AAA 06/15/09 6.000
Q).............................................
4,175 Illinois, Sales Tax Revenue, (Refunding, Series RB Aa3/AAA 06/15/12 6.000
Q).............................................
3,350 Illinois, Sales Tax Revenue, (Series R).......... RB Aa3/AAA 06/15/01 4.600
950 Kendall Kane & Will Counties Community Unit GO Aaa/AAA 03/01/99 6.200
School District #308, FGIC Insured.............
2,500 Metropolitan Pier & Exposition Authority, RB A2/AA- 06/15/06 8.500
(McCormick Place Expansion Project, Series
A).............................................
9,585 Metropolitan Pier & Exposition Authority, Zero RB Aaa/AAA 06/15/13 0.000
Coupon (Illinois Dedicated State Tax Revenue,
Capital Appreciation, McCormick Place
Expansion, Series A)...........................
5,420 Metropolitan Pier & Exposition Authority, Zero RB Aaa/AAA 06/15/14 0.000
Coupon, (Capital Appreciation, McCormick Place
Expansion Project, Refunding), MBIA Insured....
11,000 Metropolitan Pier & Exposition Authority, Zero RB Aaa/AAA 12/15/11 0.000
Coupon, (Capital Appreciation, McCormick Place
Expansion Project, Refunding, Series A), MBIA
Insured........................................
9,705 Metropolitan Pier & Exposition Authority, Zero RB Aaa/AAA 06/15/12 0.000
Coupon, (Capital Appreciation, McCormick Place
Expansion Project, Refunding, Series A), MBIA
Insured........................................
<CAPTION>
ILLINOIS (CONT
$ 1,500 $ 1,607,100
3,280 3,510,682
10,000 4,689,600
1,375 1,510,988
3,000 3,264,630
4,175 4,507,414
3,350 3,374,154
950 979,080
2,500 3,132,425
9,585 4,068,353
5,420 2,161,279
11,000 5,135,790
9,705 4,380,352
</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, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S
AMOUNT SECURITY SECURITY S&P MATURITY
(IN THOUSANDS) DESCRIPTION TYPE (UNAUDITED) DATE RATE
- -------------- ------------------------------------------------- -------- ------------ ------------ -------
<C> <S> <C> <C> <C> <C>
<CAPTION>
PRINCIPAL
AMOUNT
(IN THOUSANDS) VALUE
- -------------- -------------
<C> <C>
ILLINOIS (CONTINUED)
$ 2,810 Regional Transportation Authority, (Series D), RB Aaa/AAA 06/01/07 7.750%
FGIC Insured...................................
1,000 University of Illinois, Auxiliary Facilities, RB Aaa/AAA 04/01/98(a) 6.000
(Escrowed to Maturity, due 10/01/01)...........
TOTAL ILLINOIS...............................
INDIANA (1.0%)
2,000 Indiana Municipal Power Agency, Power Supply RB Aaa/AAA 01/01/13 6.000
System Revenue, (Refunding, Series B), MBIA
Insured........................................
3,915 Indiana, Transportation Finance Authority, RB Aaa/AAA 06/01/09 5.250
Highway Revenue, (Refunding, Series A), AMBAC
Insured........................................
TOTAL INDIANA................................
KENTUCKY (0.6%)
3,350 Kentucky Turnpike Authority, (Escrowed to RB Aaa/AAA 07/01/98 (a) 7.100
Maturity, Series A, due 07/01/02)..............
LOUISIANA (1.0%)
6,000 Louisiana, (Refunding, Series A), FGIC Insured... GO Aaa/AAA 08/01/00 6.000
MARYLAND (1.0%)
1,560 Anne Arundel County.............................. GO Aa2/AA+ 09/01/06 6.000
1,000 Maryland Department of Transportation, RB Aaa/AAA 08/15/99 (a) 6.700
(Prerefunded, Series 1990, due 08/15/05).......
3,000 Maryland, (3rd Series, due 07/15/03)............. GO Aaa/AAA 07/15/01 (a) 6.400
TOTAL MARYLAND...............................
<CAPTION>
ILLINOIS (CONT
$ 2,810 $ 3,434,663
1,000 1,026,260
-------------
57,982,700
-------------
INDIANA (1.0%)
2,000 2,178,600
3,915 4,032,528
-------------
6,211,128
-------------
KENTUCKY (0.6%
3,350 3,619,206
-------------
LOUISIANA (1.0
6,000 6,287,160
-------------
MARYLAND (1.0%
1,560 1,712,318
1,000 1,067,940
3,000 3,224,250
-------------
6,004,508
-------------
</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, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S
AMOUNT SECURITY SECURITY S&P MATURITY
(IN THOUSANDS) DESCRIPTION TYPE (UNAUDITED) DATE RATE
- -------------- ------------------------------------------------- -------- ------------ ------------ -------
<C> <S> <C> <C> <C> <C>
MASSACHUSETTS (4.8%)
$ 5,650 Massachusetts Bay Transportation Authority, RB A1/A+ 03/01/08 7.000%
(General Transportation System, Refunding,
Series A)......................................
7,300 Massachusetts State (Refunding, Series A, due GO Aaa/AAA 08/01/10 5.750
08/01/10) AMBAC Insured........................
10,000 Massachusetts State Water Resource Authority RB A/A 07/15/08 6.500
(Series A, due 07/15/08).......................
1,495 Massachusetts, College Building Authority, RB A1/A+ 05/01/11 7.500
(Refunding, Series A)..........................
1,060 Wareham, School Project Loan Bonds, (due GO Aaa/AAA 01/15/01(a) 6.800
01/15/03), AMBAC Insured.......................
TOTAL MASSACHUSETTS..........................
MICHIGAN (0.5%)
2,905 Michigan State Hospital Finance Authority RB Aa3/AA- 08/15/04 5.750
Revenue, (Mercy Health Services, Refunding,
Series T)......................................
MINNESOTA (2.6%)
5,000 University of Minnesota, (Series A).............. RB Aa3/AA 07/01/10 5.750
5,000 University of Minnesota, (Series A).............. RB Aa3/AA 07/01/15 5.750
4,800 Western Minnesota Municipal Power Agency, RB Aaa/AAA 01/01/98(a) 10.125
(Prerefunded, Series 1983A, due 01/01/04), MBIA
Insured(c).....................................
TOTAL MINNESOTA..............................
MISSISSIPPI (2.4%)
6,000 Mississippi Home Corp Residual Revenue, Zero RB AAA/NR 09/01/13 0.000
Coupon, (Capital Appreciation, Refunded, Series
C).............................................
11,000 Mississippi, (Escrowed to Maturity).............. GO Aaa/AAA 02/01/08 6.200
TOTAL MISSISSIPPI............................
MISSOURI (0.7%)
4,000 St. Louis County Regional Convention & Sports RB Aaa/AAA 08/15/03(a) 7.000
Complex Authority, (Prerefunded, Series B, due
08/15/21)......................................
<CAPTION>
PRINCIPAL
AMOUNT
(IN THOUSANDS) VALUE
- -------------- -------------
<C> <C>
MASSACHUSETTS
$ 5,650 $ 6,620,331
7,300 7,823,410
10,000 11,309,000
1,495 1,841,631
1,060 1,161,145
-------------
28,755,517
-------------
MICHIGAN (0.5%
2,905 3,064,862
-------------
MINNESOTA (2.6
5,000 5,346,900
5,000 5,269,000
4,800 5,137,008
-------------
15,752,908
-------------
MISSISSIPPI (2
6,000 2,557,200
11,000 12,176,560
-------------
14,733,760
-------------
MISSOURI (0.7%
4,000 4,513,240
-------------
</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, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S
AMOUNT SECURITY SECURITY S&P MATURITY
(IN THOUSANDS) DESCRIPTION TYPE (UNAUDITED) DATE RATE
- -------------- ------------------------------------------------- -------- ------------ ------------ -------
<C> <S> <C> <C> <C> <C>
NEBRASKA (0.7%)
$ 4,000 Nebraska Public Power District, (Nuclear RB A1/A+ 07/01/00 5.200%
Facilities, Refunding).........................
NEVADA (5.2%)
500 Carson City School District, (Prerefunded, Series GO Aaa/AAA 04/01/00(a) 6.750
1990, due 04/01/03), FGIC Insured..............
8,200 Clark County School District, (Series A), MBIA GO Aaa/AAA 06/01/11 7.000
Insured........................................
3,000 Clark County School District, FGIC Insured....... GO Aaa/AAA 06/15/03 6.000
3,000 Clark County, (Passenger Facilities, Las Vegas RB Aaa/AAA 07/01/08 6.250
McCarran International Airport, Series A),
AMBAC Insured..................................
1,685 Las Vegas, Clark County Library District, GO Aaa/AAA 06/01/01(a) 6.600
(Prerefunded, Series 1991A, due 06/01/03), FGIC
Insured........................................
1,200 Las Vegas, Clark County Library District, GO Aaa/AAA 06/01/01(a) 6.700
(Prerefunded, Series 1991A, due 06/01/04), FGIC
Insured........................................
1,280 Las Vegas, Clark County Library District, GO Aaa/AAA 08/01/01(a) 6.700
(Refunding, Series 1991B, due 08/01/04), FGIC
Insured........................................
6,015 Nevada State, (Refunding)........................ GO Aa2/AA 05/15/10 6.000
1,985 Nevada State, (Refunding, Series A-2)............ GO Aa2/AA 05/15/10 6.000
1,330 Nevada, (Prison Facilities, Prerefunded, Series GO NR/AA 08/01/00(a) 7.000
1990A, due 08/01/04)...........................
TOTAL NEVADA.................................
NEW HAMPSHIRE (1.2%)
4,900 New Hampshire Higher Educational & Health RB Aaa/NR 06/01/07 6.750
Facilities Authority, (Dartmouth College,
Refunding).....................................
1,720 New Hampshire, (Prerefunded, Series 1991A, due GO A3/AA 06/15/01(a) 6.600
06/15/03)......................................
TOTAL NEW HAMPSHIRE..........................
<CAPTION>
PRINCIPAL
AMOUNT
(IN THOUSANDS) VALUE
- -------------- -------------
<C> <C>
NEBRASKA (0.7%
$ 4,000 $ 4,098,240
-------------
NEVADA (5.2%)
500 539,565
8,200 9,770,956
3,000 3,212,850
3,000 3,347,910
1,685 1,828,646
1,200 1,306,404
1,280 1,391,872
6,015 6,575,297
1,985 2,169,903
1,330 1,451,828
-------------
31,595,231
-------------
NEW HAMPSHIRE
4,900 5,628,679
1,720 1,882,471
-------------
7,511,150
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S
AMOUNT SECURITY SECURITY S&P MATURITY
(IN THOUSANDS) DESCRIPTION TYPE (UNAUDITED) DATE RATE
- -------------- ------------------------------------------------- -------- ------------ ------------ -------
<C> <S> <C> <C> <C> <C>
NEW JERSEY (6.7%)
$ 4,180 Jersey City, (Refunding, Series H)............... GO A/AA 10/01/11 6.250%
7,000 New Jersey Economic Development Authority, RB Aaa/AAA 07/01/02 5.400
(Market Transition Facilities, Series A), MBIA
Insured........................................
1,325 New Jersey Economic Development Authority, (New RB Aaa/AAA 06/15/07 6.000
Jersey Performing Arts Center, Series PJ-A),
AMBAC Insured..................................
1,500 New Jersey Sports & Exposition Authority, (Sports RB Aa1/NR 01/01/00 8.100
Complex, Refunding, Escrowed to Maturity)......
6,000 New Jersey Transportation Authority, (Refunding, RB Aaa/AAA 06/15/05 6.000
Series B), MBIA Insured........................
7,500 New Jersey Transportation Authority, (Refunding, RB Aaa/AAA 06/15/10 6.500
Series B), MBIA Insured........................
2,500 New Jersey Turnpike Authority, (Refunding, Series RB Aaa/AAA 01/01/00 6.200
A), MBIA Insured...............................
1,000 New Jersey Turnpike Authority, (Refunding, Series RB Aaa/AAA 01/01/01 5.700
A), MBIA Insured...............................
5,275 Ocean County Utilities Authority, (Wastewater RB Aa2/NR 01/01/99 5.000
Revenue, Refunding)............................
1,000 Ocean County, (General Improvement).............. GO Aa2/NR 04/15/00 6.375
TOTAL NEW JERSEY.............................
NEW YORK (7.1%)
1,990 Monroe County, Public Improvement, (Partially GO Aaa/AAA 06/01/08(a) 6.000
Prerefunded, due 06/01/09), AMBAC Insured......
1,295 Monroe County, Public Improvement, (Partially GO Aaa/AAA 06/01/08(a) 6.000
Prerefunded, due 06/01/10), AMBAC Insured......
110 Monroe County, Public Improvement, (Prerefunded, GO Aaa/AAA 06/01/08(a) 6.000
due 06/01/09), AMBAC Insured...................
120 Monroe County, Public Improvement, (Prerefunded, GO Aaa/AAA 06/01/08(a) 6.000
due 06/01/10), AMBAC Insured...................
2,000 Municipal Assistance Corp. for the City of New RB Aa2/AA- 07/01/06 6.000
York, (Series E)...............................
1,465 New York City, (Escrowed to Maturity, Series GO NR/NR 06/01/01 8.000
B).............................................
1,195 New York City, (Escrowed to Maturity, Series GO Aaa/BBB+ 02/15/02 6.100
F).............................................
<CAPTION>
PRINCIPAL
AMOUNT
(IN THOUSANDS) VALUE
- -------------- -------------
<C> <C>
NEW JERSEY (6.
$ 4,180 $ 4,690,085
7,000 7,267,680
1,325 1,449,060
1,500 1,628,790
6,000 6,511,800
7,500 8,583,825
2,500 2,608,975
1,000 1,042,730
5,275 5,342,151
1,000 1,054,030
-------------
40,179,126
-------------
NEW YORK (7.1%
1,990 2,179,468
1,295 1,410,760
110 121,640
120 132,698
2,000 2,180,100
1,465 1,648,828
1,195 1,275,949
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S
AMOUNT SECURITY SECURITY S&P MATURITY
(IN THOUSANDS) DESCRIPTION TYPE (UNAUDITED) DATE RATE
- -------------- ------------------------------------------------- -------- ------------ ------------ -------
<C> <S> <C> <C> <C> <C>
<CAPTION>
PRINCIPAL
AMOUNT
(IN THOUSANDS) VALUE
- -------------- -------------
<C> <C>
NEW YORK (CONTINUED)
$ 2,645 New York City, (Refunding, Series A)............. GO Baa1/BBB+ 08/01/02 5.750%
4,675 New York City, (Refunding, Series H, Subseries GO Baa1/BBB+ 08/01/01 5.500
H-1)...........................................
1,000 New York City, (Series E), FGIC Insured.......... GO Aaa/AAA 02/15/06 6.500
3,425 New York City, (Series F)........................ GO Baa1/BBB+ 02/15/03 6.200
2,000 New York City, (Series G), AMBAC Insured......... GO Aaa/AAA 10/15/07 6.000
2,000 New York State Local Government Assistance Corp, RB Aaa/AAA 04/01/06 6.000
(Refunding, Series A), AMBAC Insured...........
1,500 New York State Urban Development Corp., RB Aaa/NR 01/01/00(a) 7.750
(Correctional Capital Facilities, Prerefunded,
Series 1, due 01/01/14)........................
805 New York, (Partially Escrowed to Maturity, Series GO Baa1/BBB+ 02/15/02 6.100
F).............................................
4,000 Triborough Bridge & Tunnel Authority, (Refunding, RB Aaa/AAA 01/01/01(a) 6.875
Series V, due 01/01/05), FGIC Insured..........
8,700 Triborough Bridge & Tunnel Authority, (Refunding, RB Aa/A+ 01/01/12 6.625
Series X)......................................
TOTAL NEW YORK...............................
OHIO (1.0%)
2,000 Ohio State Building Authority, (Admin Building RB Aa3/AA- 10/01/06 5.500
Fund, Series A)................................
3,365 Ohio Water Development Authority, (Refunding, RB Aaa/AAA 06/01/98(a) 9.375
Escrowed to Maturity, due 12/01/10)............
TOTAL OHIO...................................
PENNSYLVANIA (1.6%)
1,175 Bethel Park School District, (Prerefunded, Series GO Aaa/AAA 02/01/00 (a) 6.550
1991B, due 02/01/02), AMBAC Insured............
970 Pennsylvania Higher Education Assistance Agency, RB Aaa/AAA 12/01/00 6.800
Student Loan Revenue, (Refunding, Series
1985A), FGIC Insured...........................
1,310 Pennsylvania Higher Education Facilities RB Aa2/AA 09/01/02 6.500
Authority, College & University Revenue,
University of Pennsylvania, (Refunding, Series
A).............................................
<CAPTION>
NEW YORK (CONT
$ 2,645 $ 2,764,501
4,675 4,822,543
1,000 1,114,840
3,425 3,651,187
2,000 2,177,200
2,000 2,180,440
1,500 1,646,310
805 849,533
4,000 4,361,400
8,700 10,056,330
-------------
42,573,727
-------------
OHIO (1.0%)
2,000 2,109,580
3,365 4,214,898
-------------
6,324,478
-------------
PENNSYLVANIA (
1,175 1,237,827
970 1,036,775
1,310 1,429,931
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
28
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S
AMOUNT SECURITY SECURITY S&P MATURITY
(IN THOUSANDS) DESCRIPTION TYPE (UNAUDITED) DATE RATE
- -------------- ------------------------------------------------- -------- ------------ ------------ -------
<C> <S> <C> <C> <C> <C>
<CAPTION>
PRINCIPAL
AMOUNT
(IN THOUSANDS) VALUE
- -------------- -------------
<C> <C>
PENNSYLVANIA (CONTINUED)
$ 2,800 Pennsylvania Higher Educational Facilities RB Aa/AA 01/01/06 6.000%
Authority, Health Services Revenue, University
of Pennsylvania, (Series A)....................
1,500 Pennsylvania, (2nd Series 1991A, due 11/01/04), GO Aaa/AAA 11/01/01(a) 6.500
MBIA Insured...................................
1,000 Pennsylvania, (Refunding and Projects, 1st Series GO Aaa/AAA 01/01/01 6.600
A), AMBAC Insured..............................
TOTAL PENNSYLVANIA...........................
RHODE ISLAND (1.8%)
5,000 Rhode Island Public Buildings Authority, RB Aaa/AAA 02/01/00 4.700
(Refunding, Series A), AMBAC Insured...........
2,000 Rhode Island, (Prerefunded, Series 1990B, due GO A1/AA- 10/15/99(a) 6.700
10/15/01)......................................
3,785 Rhode Island, (Series 1991B)..................... GO A1/AA- 05/15/00 6.000
TOTAL RHODE ISLAND...........................
SOUTH CAROLINA (0.2%)
1,000 Piedmont Municipal Power Agency, (Escrowed to RB Aaa/AAA 01/01/08 6.200
Maturity, Refunding), MBIA Insured.............
TENNESSEE (0.3%)
2,000 Chattanooga, Industrial Development Board, IDR, RB A2/NR 11/01/97 (a) 4.000
(Gerber/Buster Brown Manufacturing, Inc., due
11/01/05)......................................
TEXAS (6.0%)
1,500 Addison, (Refunding, Series 1991, due 09/01/00), GO Aaa/AAA 09/01/98 (a) 6.250
FGIC Insured...................................
1,000 Arlington, (Series 1989, due 08/01/00), AMBAC GO Aaa/AAA 08/01/99 (a) 6.850
Insured........................................
1,050 Austin Independent School District, (Refunding, GO Aaa/AAA 08/01/99 6.200
Series 1991), PSFG Insured.....................
1,500 Austin, Utilities System, (Escrowed to Maturity, RB Aaa/AAA 04/01/98 (a) 6.500
due 10/01/01)..................................
205 Austin, Water Sewer & Electric Revenue, (Escrowed RB A/NR 11/15/97 13.500
to Maturity, Refunding)........................
25 Conroe Independent School District, (Partially GO Aaa/AAA 02/01/99 (a) 7.100
Prerefunded, Series 1989, due 02/01/01), MBIA
Insured........................................
<CAPTION>
PENNSYLVANIA (
$ 2,800 $ 3,028,452
1,500 1,641,135
1,000 1,071,080
-------------
9,445,200
-------------
RHODE ISLAND (
5,000 5,039,650
2,000 2,141,060
3,785 3,940,828
-------------
11,121,538
-------------
SOUTH CAROLINA
1,000 1,110,390
-------------
TENNESSEE (0.3
2,000 2,003,020
-------------
TEXAS (6.0%)
1,500 1,528,485
1,000 1,048,030
1,050 1,091,559
1,500 1,620,120
205 209,077
25 25,962
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
29
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S
AMOUNT SECURITY SECURITY S&P MATURITY
(IN THOUSANDS) DESCRIPTION TYPE (UNAUDITED) DATE RATE
- -------------- ------------------------------------------------- -------- ------------ ------------ -------
<C> <S> <C> <C> <C> <C>
<CAPTION>
PRINCIPAL
AMOUNT
(IN THOUSANDS) VALUE
- -------------- -------------
<C> <C>
TEXAS (CONTINUED)
$ 975 Conroe Independent School District, (Prerefunded, GO Aaa/AAA 02/01/99(a) 7.100%
Series 1989, due 02/01/01), MBIA Insured.......
2,260 Corpus Christi Independent School District, GO Aaa/AAA 08/15/05 6.000
(Refunding), PSFG Insured......................
1,305 Dallas County, Flood Control District #1, GO Aaa/NR 04/01/08(a) 9.250
(Prerefunded, due 04/01/10)....................
1,650 El Paso Independent School District, GO Aaa/NR 07/01/01(a) 6.550
(Prerefunded, Series 1991, due 07/01/03), PSFG
Insured........................................
1,700 Harris County, Road Improvement Authority, GO Aaa/AAA 11/01/99(a) 7.000
(Prerefunded, Series 1989, due 11/01/03), MBIA
Insured........................................
3,805 Lewisville Independent School District, GO Aaa/AAA 08/15/03 6.000
(Refunding), PSFG Insured......................
2,325 Northwest Independent School District, Zero GO Aaa/NR 08/15/03 0.000
Coupon, (Capital Appreciation, Refunding), PSFG
Insured........................................
2,320 Northwest Independent School District, Zero GO Aaa/NR 08/15/04 0.000
Coupon, (Capital Appreciation, Refunding), PSFG
Insured........................................
2,000 Plano Independent School District, (Prerefunded, GO Aaa/AAA 02/15/01(a) 6.550
Series 1991B, due 02/15/04), FGIC Insured......
1,500 San Antonio, (Refunding), WI..................... GO Aa/AA 08/01/07 6.000
700 Texas A & M University, (Refunding, Series 1989, RB Aaa/AAA 11/24/97(a) 6.500
due 07/01/98)..................................
2,000 Texas, Public Finance Authority, (Prerefunded, GO NR/AA 10/01/00(a) 6.300
Series 1988A, due 10/01/02)....................
1,000 Texas, Public Finance Authority, (Prerefunded, GO NR/AA 10/01/00(a) 6.500
Series 1991A, due 10/01/05)....................
4,000 Texas, Public Finance Authority,(Series B, GO Aa2/AA 10/01/03 6.000
Refunding).....................................
2,500 University of Texas, Permanent University Fund, RB Aaa/AAA 07/01/01 6.300
(Refunding, Series 1991).......................
TOTAL TEXAS..................................
<CAPTION>
TEXAS (CONTINU
$ 975 $ 1,016,428
2,260 2,454,767
1,305 1,766,944
1,650 1,777,545
1,700 1,801,694
3,805 4,096,311
2,325 1,753,376
2,320 1,657,431
2,000 2,143,380
1,500 1,608,255
700 714,483
2,000 2,116,820
1,000 1,064,140
4,000 4,320,680
2,500 2,675,950
-------------
36,491,437
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
30
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S
AMOUNT SECURITY SECURITY S&P MATURITY
(IN THOUSANDS) DESCRIPTION TYPE (UNAUDITED) DATE RATE
- -------------- ------------------------------------------------- -------- ------------ ------------ -------
<C> <S> <C> <C> <C> <C>
UTAH (3.1%)
$ 1,625 Intermountain Power Agency, (Refunding, Series RB Aaa/AAA 07/01/09 6.500%
B), MBIA Insured...............................
5,130 Intermountain Power Agency, (Refunding, Series RB Aaa/AAA 07/01/00 6.000
C), MBIA Insured...............................
4,155 Intermountain Power Agency, (Refunding, Series RB Aaa/AAA 07/01/01 6.000
C), MBIA Insured...............................
6,645 Intermountain Power Agency, (Refunding, Series RB Aaa/AAA 07/01/02 6.000
C), MBIA Insured...............................
TOTAL UTAH...................................
VIRGINIA (1.2%)
5,000 Virginia Public School Authority, (Refunding, RB Aa/AA 01/01/02 6.000
Series 1991)...................................
2,000 Virginia Public School Authority, (Series A, due RB Aa/AA 08/01/01(a) 6.500
08/01/04)......................................
TOTAL VIRGINIA...............................
WASHINGTON (6.5%)
1,555 King & Snohomish Counties, School District #417, GO Aaa/AAA 12/01/00(a) 6.600
(due 12/01/02), FGIC Insured...................
6,355 King County, (Refunding, Series B)............... GO Aa1/AA+ 01/01/01 6.700
1,000 Pierce County School District #320, Sumner GO Aaa/AAA 12/01/01(a) 6.600
Washington, (Series 1991, due 12/01/02), MBIA
Insured........................................
2,955 Seattle, Municipal Sewer Revenue, (Prerefunded, RB Aaa/AA- 01/01/00(a) 6.875
Series T, due 01/01/31)........................
1,250 Snohomish County School District #2, (Refunding, GO Aaa/AAA 06/01/01(a) 6.700
Series A, due 12/01/02), MBIA Insured..........
1,000 Snohomish County Washington School District #15 GO NR/AAA 12/01/99(a) 7.150
(Prerefunded, due 12/01/06)....................
4,815 Washington Public Power Supply System, (Nuclear RB Aaa/AAA 07/01/06 6.000
Project #1, Refunding, Series A), MBIA
Insured........................................
4,000 Washington Public Power Supply System, (Nuclear RB Aa1/AA- 07/01/03 5.750
Project #1, Refunding, Series B)...............
2,000 Washington Public Power Supply System, (Nuclear RB Aa1/AA- 07/01/06 7.250
Project #2, Refunding, Series 1990A)...........
<CAPTION>
PRINCIPAL
AMOUNT
(IN THOUSANDS) VALUE
- -------------- -------------
<C> <C>
UTAH (3.1%)
$ 1,625 $ 1,854,759
5,130 5,365,980
4,155 4,391,710
6,645 7,082,573
-------------
18,695,022
-------------
VIRGINIA (1.2%
5,000 5,312,500
2,000 2,176,620
-------------
7,489,120
-------------
WASHINGTON (6.
1,555 1,656,604
6,355 6,826,223
1,000 1,082,030
2,955 3,182,742
1,250 1,345,725
1,000 1,065,210
4,815 5,194,470
4,000 4,191,200
2,000 2,309,640
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
31
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S
AMOUNT SECURITY SECURITY S&P MATURITY
(IN THOUSANDS) DESCRIPTION TYPE (UNAUDITED) DATE RATE
- -------------- ------------------------------------------------- -------- ------------ ------------ -------
<C> <S> <C> <C> <C> <C>
<CAPTION>
PRINCIPAL
AMOUNT
(IN THOUSANDS) VALUE
- -------------- -------------
<C> <C>
WASHINGTON (CONTINUED)
$ 5,265 Washington Public Power Supply System, (Nuclear RB Aa1/AA- 07/01/01 6.300%
Project #2, Refunding, Series 1990A)...........
2,000 Washington Public Power Supply System, (Nuclear RB Aaa/AAA 01/01/01(a) 7.000
Project #2, Refunding, Series 1990C, due
07/01/01), FGIC Insured........................
1,500 Washington Public Power Supply System, (Nuclear RB Aa1/AA- 01/01/01(a) 7.500
Project #2, Refunding, Series 1990C, due
07/01/02)......................................
1,000 Washington, (Prerefunded, Series 1990B, due GO Aa1/AA+ 08/01/00(a) 6.750
08/01/02)......................................
1,750 Washington, (Refunding, Series R-92-A, due GO Aa1/AA+ 09/01/01(a) 6.300
09/01/02)......................................
TOTAL WASHINGTON.............................
WEST VIRGINIA (0.2%)
1,000 Berkeley County Board of Education, (Escrowed to GO Aaa/AAA 04/01/01 7.300
Maturity, Series 1988), MBIA Insured...........
WISCONSIN (2.3%)
4,160 Milwaukee County Wisconsin, Zero Coupon (Capital GO Aaa/AAA 12/01/10 0.000
Appreciation, Refunding, Series A) FGIC
Insured........................................
1,500 Racine Unified School District, (due 04/01/01), GO Aaa/AAA 04/01/99 (a) 6.500
AMBAC Insured..................................
5,000 Wisconsin, (Series A)............................ GO Aa/AA 05/01/99 5.750
5,000 Wisconsin, Transportation Revenue, (Refunding, RB A1/AA- 07/01/06 4.600
Series A)......................................
TOTAL WISCONSIN..............................
<CAPTION>
WASHINGTON (CO
$ 5,265 $ 5,578,215
2,000 2,175,060
1,500 1,653,210
1,000 1,067,690
1,750 1,882,913
-------------
39,210,932
-------------
WEST VIRGINIA
1,000 1,098,490
-------------
WISCONSIN (2.3
4,160 2,068,768
1,500 1,548,450
5,000 5,135,800
5,000 4,916,350
-------------
13,669,368
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
32
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S
AMOUNT SECURITY SECURITY S&P MATURITY
(IN THOUSANDS) DESCRIPTION TYPE (UNAUDITED) DATE RATE
- -------------- ------------------------------------------------- -------- ------------ ------------ -------
<C> <S> <C> <C> <C> <C>
WYOMING (1.0%)
$ 3,600 Platte County, PCR, (Basin Electric Power RB A2/A 01/01/06 4.950%
Cooperative, Refunding)........................
2,115 Platte County, PCR, (Basin Electric Power RB A2/A 01/01/07 5.050
Cooperative, Refunding)........................
TOTAL WYOMING................................
TOTAL LONG TERM INVESTMENTS (COST $551,654,799)................................................
SHORT-TERM INVESTMENTS (3.9%)
CALIFORNIA (1.2%)
7,000 Los Angeles County California (Tax & Revenue GO MIG1/Sp1+ 06/30/98 4.500
Anticipation Notes, Series A)..................
200 Los Angeles Regional Airports Improvement Corp., VRDN NR/A-1+ 09/02/97(b) 3.750
(Los Angeles International Airport, Series
1985, due 12/01/25), LOC Societe Generale......
FLORIDA (0.6%)
3,900 St. Lucie County (Power & Light Company Project, VRDN VMIG1/A-1+ 09/02/97(b) 3.650
PCR, Refunding, due 03/01/27)..................
GEORGIA (0.2%)
300 Burke County,(Development Authority, PCR, Georgia VRDN VMIG1/A-1 09/02/97(b) 3.750
Power Co., Series 1994, Vogtle Project-4th.
Series, due 07/01/24)..........................
700 Monroe County Development Authority, (PCR, VRDN VMIG1/A-1 09/02/97(b) 3.750
Georgia Power Co., Scherer Project-2nd. Series,
due 07/01/25)..................................
TENNESSEE (1.0%)
6,100 Tennessee State (Adjustable Bond, Anticipation VRDN VMIG1/A-1+ 09/03/97(b) 3.250
Notes, Series A, due 07/02/01).................
WASHINGTON (0.4%)
2,200 Washington State Health Care Facilities Authority VRDN VMIG1/A-1+ 09/02/97(b) 3.750
(VA Mason Medical Center, Refunding, Series B,
due 02/15/27)..................................
<CAPTION>
PRINCIPAL
AMOUNT
(IN THOUSANDS) VALUE
- -------------- -------------
<C> <C>
WYOMING (1.0%)
$ 3,600 $ 3,609,504
2,115 2,128,938
-------------
5,738,442
-------------
574,628,837
-------------
SHORT-TERM INV
CALIFORNIA (1.
7,000 7,038,150
200 200,000
-------------
7,238,150
-------------
FLORIDA (0.6%)
3,900 3,900,000
-------------
GEORGIA (0.2%)
300 300,000
700 700,000
-------------
1,000,000
-------------
TENNESSEE (1.0
6,100 6,100,000
-------------
WASHINGTON (0.
2,200 2,200,000
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
33
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S
AMOUNT SECURITY SECURITY S&P MATURITY
(IN THOUSANDS) DESCRIPTION TYPE (UNAUDITED) DATE RATE
- -------------- ------------------------------------------------- -------- ------------ ------------ -------
<C> <S> <C> <C> <C> <C>
WEST VIRGINIA (0.5%)
$ 3,400 Marshall County West Virginia (Bayer Corporation VRDN P-1/A-1+ 09/02/97(b) 3.700%
Project, Refunding, due 03/01/09)..............
TOTAL SHORT-TERM INVESTMENTS (COST $23,834,665)....................................................
TOTAL INVESTMENTS (COST $575,489,464) (99.1%)......................................................
OTHER ASSETS IN EXCESS OF LIABILITIES (0.9%).......................................................
NET ASSETS (100.0%)................................................................................
<CAPTION>
PRINCIPAL
AMOUNT
(IN THOUSANDS) VALUE
- -------------- -------------
<C> <C>
WEST VIRGINIA
$ 3,400 $ 3,400,000
-------------
23,838,150
-------------
598,466,987
-------------
5,130,927
-------------
$ 603,597,914
-------------
-------------
</TABLE>
- ------------------------------
Note: Based on the cost of investments of $575,489,464 for federal income tax
purposes at August 31, 1997, the aggregate gross unrealized appreciation and
depreciation was $23,588,777 and $611,254, respectively, resulting in net
unrealized appreciation of investments of $22,977,523.
(a) The date listed under the heading maturity date represents an optional
tender date. The actual maturity date is indicated in the security description.
(b) Variable Rate Demand Note tender dates and/or interest rates are reset at
specified intervals which coincide with their tender feature. The actual
maturity date is indicated in the security description.
(c) $4,800,000 par is segregated as collateral for when-issued security.
AMBAC -- Ambac Indemnity Corp., FHA -- Federal Housing Authority, FGIC --
Financial Guaranty Insurance Company, GO -- General Obligation, IDR --
Industrial Development Revenue, MBIA -- Municipal Bond Investors Assurance
Corp., PCR -- Pollution Control Revenue, PP -- Private Placement, RB -- Revenue
Bond, VRDN -- Variable Rate Demand Note, WI -- When Issued.
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.
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 concides with the first call date of the first 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 cancelled the
old issue.
When-issued -- A conditional transaction in a security authorized for issuance
but not yet actually issued.
The Accompanying Notes are an Integral Part of the Financial Statements.
34
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
AUGUST 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $575,489,464 ) $598,466,987
Cash 47,700
Interest Receivable 6,896,005
Prepaid Trustees' Fees 1,289
Prepaid Expenses and Other Assets 124
------------
Total Assets 605,412,105
------------
LIABILITIES
Payable for Investments Purchased 1,564,635
Advisory Fee Payable 152,974
Custody Fee Payable 28,405
Administrative Services Fee Payable 15,471
Fund Services Fee Payable 1,640
Administration Fee Payable 1,422
Accrued Expenses 49,644
------------
Total Liabilities 1,814,191
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $603,597,914
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
35
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE FISCAL YEAR ENDED AUGUST 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $28,680,999
EXPENSES
Advisory Fee $1,620,498
Administrative Services Fee 169,209
Custodian Fees and Expenses 158,218
Professional Fees and Expenses 38,714
Fund Services Fee 18,912
Administration Fee 10,663
Trustees' Fees and Expenses 7,384
Insurance Expense 3,838
Miscellaneous 9,818
----------
Total Expenses 2,037,254
-----------
NET INVESTMENT INCOME 26,643,745
NET REALIZED GAIN ON INVESTMENTS 829,545
NET CHANGE IN UNREALIZED APPRECIATION OF
INVESTMENTS 9,668,350
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $37,141,640
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
36
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FISCAL FOR THE FISCAL
YEAR ENDED YEAR ENDED
AUGUST 31, 1997 AUGUST 31, 1996
--------------- ---------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 26,643,745 $ 22,197,847
Net Realized Gain on Investments 829,545 605,789
Net Change in Unrealized Appreciation
(Depreciation) of Investments 9,668,350 (4,888,459)
--------------- ---------------
Net Increase in Net Assets Resulting from
Operations 37,141,640 17,915,177
--------------- ---------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 284,352,430 224,578,237
Withdrawals (209,280,115) (163,747,318)
--------------- ---------------
Net Increase from Investors' Transactions 75,072,315 60,830,919
--------------- ---------------
Total Increase in Net Assets 112,213,955 78,746,096
NET ASSETS
Beginning of Fiscal Year 491,383,959 412,637,863
--------------- ---------------
End of Fiscal Year $ 603,597,914 $ 491,383,959
--------------- ---------------
--------------- ---------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
JULY 12, 1993
FOR THE FISCAL YEAR ENDED (COMMENCEMENT OF
------------------------- OPERATIONS) TO
1997 1996 1995 1994 AUGUST 31, 1993
---- ---- ---- ---- ----------------
<S> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.38% 0.38% 0.42% 0.41% 0.40%(a)
Net Investment Income 4.93% 4.92% 5.15% 4.68% 4.58%(a)
Decrease Reflected in Expense Ratio due to
Expense Reimbursement -- -- -- -- 0.01%(a)
Portfolio Turnover 25% 25% 47% 33% 43%(b)+
</TABLE>
- ------------------------
(a) Annualized.
(b) Not Annualized.
+ Portfolio's turnover is for the twelve month period ended August 31, 1993,
and includes the portfolio activity of the Portfolio's predecessor entity, The
JPM Pierpont Tax Exempt Bond Fund, for the period September 1, 1992 through July
11, 1993.
The Accompanying Notes are an Integral Part of the Financial Statements.
37
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
AUGUST 31,1997
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Tax Exempt Bond Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940, as amended, as a diversified, 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 $466,873,082 on that date from The
Pierpont Tax Exempt Bond Fund in exchange for a beneficial interest in the
Portfolio. The Portfolio's investment objective is to provide a high level of
current income exempt from federal income tax 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.
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)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 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 cost of securities is substantially the
same for book and tax purposes.
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 fiscal year ended August 31, 1997, such
fees amounted to $1,620,498.
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
38
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
AUGUST 31,1997
- --------------------------------------------------------------------------------
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
JPM Pierpont Funds, The JPM Institutional Funds, The JPM Advisor Funds,
the Portfolio and the other portfolios in which The JPM Pierpont Funds and
The JPM Institutional Funds invest (the "Master Portfolios"), JPM Series
Trust, JPM Series Trust II and certain other investment companies subject
to similar agreement with FDI. For the fiscal year ended August 31, 1997,
the fee for these services amounted to $10,663.
On November 15, 1996, The JPM Advisor Funds terminated operations and were
liquidated. Subsequent to that date, the net assets of The JPM Advisor
Funds are no longer included in the calculation of the allocation of FDI's
fees.
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 average daily net assets of the
Master Portfolios and 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, other investors in the Master Portfolios for which
Morgan provides similar services, and JPM Series Trust. For the fiscal
year ended August 31, 1997, the fee for these services amounted to
$169,209.
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 $18,912 for the fiscal year ended August 31, 1997.
e)An aggregate annual fee of $75,000 is paid to each Trustee for serving as
a Trustee of The JPM Pierpont Funds, The JPM Institutional Funds, the
Master Portfolios and JPM Series Trust. The Trustees' Fees and Expenses
shown in the financial statements represents the Portfolio's allocated
portion of the total fees and expenses. Prior to April 1, 1997, the
aggregate annual Trustee Fee was $65,000. 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 $3,800.
3. INVESTMENT TRANSACTIONS
Investments transactions (excluding short-term investments) for the fiscal year
ended August 31, 1997 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
------------ ------------
<S> <C> <C>
$227,671,356 $135,110,171
</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.
39
<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, 1997, 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 the supplementary data for each of the four 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, 1997 by correspondence with the custodian and brokers, provide a reasonable
basis for the opinion expressed above.
PRICE WATERHOUSE LLP
New York, New York
October 23, 1997
40
