<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ -----------
<C> <S> <C> <C> <C> <C> <C>
LONG-TERM INVESTMENTS (97.2%)
ALABAMA (0.5%)
$ 1,000 Alabama Mental Health Finance Authority,
(Special Tax Obligation, Prerefunded,
Series 1989, due 05/01/01), MBIA
Insured............................... RB Aaa/AAA 05/01/99(a) 7.375% $ 1,060,620
1,410 Childersburg Industrial Development
Board, (PCR, Kimberly Clark Corp.
Project, Escrowed to Maturity, due
11/15/99)............................. RB Aa2/AA 05/15/98(a) 7.400 1,470,165
1,000 Daphne Special Care Facilities Financing
Authority, (Presbyterian Retirement,
Prerefunded, Series A, due
08/15/18)............................. RB NR/NR 08/15/01(a) 7.300 1,102,540
-----------
TOTAL ALABAMA....................... 3,633,325
-----------
ALASKA (1.7%)
2,000 Anchorage, (Prerefunded, Series 1991,
due 07/01/02), MBIA Insured........... GO Aaa/AAA 07/01/01(a) 6.600 2,158,300
1,075 Anchorage, (Refunding, Series 1989, due
06/01/03), AMBAC Insured.............. GO Aaa/AAA 06/01/99(a) 7.100 1,127,127
1,000 Anchorage, (Series A), AMBAC Insured.... GO Aaa/AAA 02/01/00 6.850 1,053,130
3,000 North Slope Borough, (Series A), MBIA
Insured............................... GO Aaa/AAA 06/30/00 5.550 3,107,340
2,500 North Slope Borough, Zero Coupon,
(Capital Appreciation, Series B), MBIA
Insured............................... GO Aaa/AAA 01/01/99 0.000 2,424,925
2,200 North Slope Borough, Zero Coupon,
(Capital Appreciation, Series B), MBIA
Insured............................... GO Aaa/AAA 06/30/01 0.000 1,918,114
-----------
TOTAL ALASKA........................ 11,788,936
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ -----------
<C> <S> <C> <C> <C> <C> <C>
ARIZONA (1.0%)
$ 1,000 Maricopa County School District #11,
(Peoria Unified School Improvement,
Prerefunded, Series H, due 07/01/05),
MBIA Insured.......................... GO Aaa/AAA 07/01/99(a) 7.000% $ 1,091,480
1,750 Phoenix, (Refunding, Series C).......... GO Aa1/AA+ 07/01/02 6.375 1,909,792
3,315 Salt River Project, (Agricultural
Improvement & Power District, Salt
River Project, Refunding, Series A)... RB Aa2/AA 01/01/06 6.000 3,693,374
-----------
TOTAL ARIZONA....................... 6,694,646
-----------
CALIFORNIA (4.9%)
5,210 California.............................. GO A1/A+ 10/01/09 6.000 5,907,411
2,520 California Department of Water
Resources, (Central Valley Project,
Water Systems Service, Refunding,
Series J-1)........................... RB Aa2/AA 12/01/12 7.000 3,124,976
2,750 California Pollution Control Financing
Authority (PCR, Laidlaw Environmental,
Refunding, Series A).................. RB NR/NR 07/01/07 6.700 2,888,792
6,000 California State........................ GO A1/A+ 02/01/08 6.500 6,984,780
1,000 California State, AMBAC/MBIA Insured.... GO Aaa/AAA 09/01/06 6.500 1,163,150
569 Kaweah Delta Hospital District, Tulare
County, (Series D).................... PP NR/A+ 06/01/14 4.350 570,656
1,049 Kaweah Delta Hospital District, Tulare
County, (Series E).................... PP NR/A+ 06/01/14 5.250 1,068,879
1,618 Kaweah Delta Hospital District, Tulare
County, (Series G).................... PP NR/A+ 06/01/04 6.400 1,676,816
4,200 Los Angeles County Public Works
Financing Authority, (Regional Park
and Open Space District, Series A).... RB Aa3/AA 10/01/07 5.375 4,539,066
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ -----------
<C> <S> <C> <C> <C> <C> <C>
CALIFORNIA (CONTINUED)
$ 2,500 Los Angeles County Public Works,
(Refunding, Series A), MBIA Insured... RB Aaa/AAA 09/01/06 6.000% $ 2,811,675
2,000 Los Angeles Department of Water & Power,
(California Electric Plant, Crossover
Refunded, due 05/15/30)............... RB Aa3/A+ 05/15/00(a) 7.125 2,164,500
-----------
TOTAL CALIFORNIA.................... 32,900,701
-----------
COLORADO (0.2%)
1,295 Adams County School District #12, FGIC
Insured............................... GO Aaa/AAA 12/15/06 6.000 1,457,911
-----------
CONNECTICUT (0.5%)
2,815 Connecticut Transportation
Infrastructure, (Special Tax
Obligation, Prerefunded, Series 1991A,
due 06/01/04)......................... RB NR/AA- 06/01/03(a) 6.600 3,136,670
-----------
DELAWARE (0.4%)
2,650 Delaware Transportation Authority,
(Transportation System Revenue), AMBAC
Insured............................... RB Aaa/AAA 07/01/00 5.250 2,728,016
-----------
DISTRICT OF COLUMBIA (4.6%)
3,000 District of Columbia, (Refunding, Series
A), MBIA Insured...................... GO Aaa/AAA 06/01/07 6.000 3,323,610
7,500 District of Columbia, (Refunding, Series
C), FGIC Insured...................... GO Aaa/AAA 12/01/03 5.250 7,841,400
2,600 District of Columbia, (Series B), MBIA
Insured............................... GO Aaa/AAA 06/01/02 6.000 2,769,364
1,200 Metropolitan Airport, (Series B), FGIC
Insured............................... RB Aaa/AAA 10/01/00 5.250 1,236,012
1,000 Metropolitan Airport, (Series B), FGIC
Insured............................... RB Aaa/AAA 10/01/03 5.750 1,071,960
4,015 Metropolitan Airport, (Series B), FGIC
Insured............................... RB Aaa/AAA 10/01/05 6.000 4,417,102
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ -----------
<C> <S> <C> <C> <C> <C> <C>
DISTRICT OF COLUMBIA (CONTINUED)
$ 5,745 Metropolitan Airport, (Series B), FGIC
Insured............................... RB Aaa/AAA 10/01/06 6.000% $ 6,362,300
3,665 Metropolitan Airport, (Series B, due
10/01/10), FGIC Insured............... RB Aaa/AAA 10/01/00(a) 7.250 3,988,583
-----------
TOTAL DISTRICT OF COLUMBIA.......... 31,010,331
-----------
FLORIDA (3.7%)
5,765 Dade County School District,
(Refunding), MBIA Insured............. GO Aaa/AAA 07/15/05 6.000 6,408,893
1,535 Florida Board of Education, (Capital
Outlay, Escrowed to Maturity,
Refunded, Series C, due 06/01/01)..... GO Aaa/AAA 04/06/98(a) 7.000 1,561,832
465 Florida Board of Education, (Capital
Outlay, Unrefunded Balance, Series C,
due 06/01/01)......................... GO Aa2/AA+ 04/06/98(a) 7.000 473,031
6,765 Florida Division Board Financial
Department, (General Services Revenue,
Department of Environmental
Preservation, Series 2000A), AMBAC
Insured............................... RB Aaa/AAA 07/01/99 5.500 6,925,939
3,200 Jacksonville Electric Authority, (St.
Johns River, Issue 2, Crossover
Refunded, Series 5, due 10/01/09)..... RB Aa1/AA 10/01/99(a) 7.000 3,395,136
2,000 Jacksonville Health Facilities
Authority, (Charity Obligated Group,
Refunding, Series A), MBIA Insured.... RB Aaa/AAA 08/15/06 5.500 2,160,040
2,000 Tampa (Health System Revenue, Catholic
Health East, Refunding, Series A-1),
MBIA Insured.......................... RB Aaa/AAA 11/15/04 5.250 2,106,900
2,000 Volusia County School District,
(Refunding, due 08/01/02), FGIC
Insured............................... GO Aaa/AAA 08/01/01(a) 6.100 2,149,700
-----------
TOTAL FLORIDA....................... 25,181,471
-----------
GEORGIA (5.0%)
2,630 Fulton County School District,
(Refunding)........................... GO Aa3/AA 05/01/14 6.375 3,095,010
1,000 Georgia Municipal Electric Authority,
(Power General Revenue, Refunding,
Series A)............................. RB A3/A 01/01/12 6.500 1,159,070
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ -----------
<C> <S> <C> <C> <C> <C> <C>
GEORGIA (CONTINUED)
$ 6,000 Georgia, (Series B)..................... GO Aaa/AAA 03/01/07 7.200% $ 7,283,700
3,000 Georgia, (Series B)..................... GO Aaa/AAA 03/01/10 6.300 3,483,360
4,470 Georgia, (Series C)..................... GO Aaa/AAA 07/01/11 5.700 4,964,024
2,500 Gwinnett County School District,
(Refunding, Series B)................. GO Aa1/AA+ 02/01/08 6.400 2,888,275
5,000 Metropolitan Atlanta Rapid Transit
Authority, (Sales Tax Revenue,
Refunding, Series P), AMBAC Insured... RB Aaa/AAA 07/01/11 6.250 5,786,700
4,500 Municipal Electric Authority, (Project
1, Sixth Crossover), AMBAC Insured.... RB Aaa/AAA 01/01/08 7.000 5,399,235
-----------
TOTAL GEORGIA....................... 34,059,374
-----------
HAWAII (1.5%)
5,000 Hawaii State, (Refunding, Series CO),
FGIC Insured.......................... GO Aaa/AAA 03/01/02 6.000 5,348,400
2,000 Hawaii, (Series BZ)..................... GO Aa3/A+ 10/01/12 6.000 2,274,080
2,000 Honolulu City & County Improvement,
(Refunding, Series B)................. GO Aa2/AA 10/01/11 5.500 2,167,120
-----------
TOTAL HAWAII........................ 9,789,600
-----------
ILLINOIS (9.0%)
2,000 Chicago Board of Education, (Chicago
School Reform), AMBAC Insured......... GO Aaa/AAA 12/01/09 6.750 2,394,140
1,000 Chicago Board of Education, (Lease
Certificates, Series A), MBIA
Insured............................... RB Aaa/AAA 01/01/06 6.125 1,118,150
4,130 Chicago Board of Education, (Lease
Certificates, Series A), MBIA
Insured............................... RB Aaa/AAA 01/01/07 6.125 4,644,102
3,000 Chicago, (Refunding, Series A-2), AMBAC
Insured............................... GO Aaa/AAA 01/01/11 6.000 3,390,150
1,500 Chicago, O'Hare International Airport,
(Refunding, Second Lien, Series C),
MBIA Insured.......................... RB Aaa/AAA 01/01/09 5.750 1,643,805
3,280 Cook County, (Refunding, Series C), FGIC
Insured............................... GO Aaa/AAA 11/15/04 5.800 3,573,265
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ -----------
<C> <S> <C> <C> <C> <C> <C>
ILLINOIS (CONTINUED)
$10,000 Cook County, Community School District
#54, Schaumburg Township, Zero Coupon,
(Capital Appreciation, Prerefunded,
Series B, due 01/01/11), FGIC
Insured............................... GO Aaa/AAA 01/01/03(a) 0.000% $ 4,873,900
1,375 Du Page County, (Illinois Alternative
Revenue Jail Project, Prerefunded, due
01/01/21)............................. GO Aaa/AAA 01/01/02(a) 6.550 1,516,584
4,440 Hoffman Estates, Tax Increment Revenue,
(Economic Development Project Area,
Refunding), AMBAC Insured............. RB Aaa/AAA 11/15/04 5.500 4,738,679
3,000 Illinois Municipal Electric Agency,
Power Supply, (Refunding), FSA
Insured............................... RB Aaa/AAA 02/01/06 5.000 3,113,220
3,000 Illinois, Sales Tax Revenue, (Refunding,
Series Q)............................. RB Aa3/AAA 06/15/09 6.000 3,365,220
4,175 Illinois, Sales Tax Revenue, (Refunding,
Series Q)............................. RB Aa3/AAA 06/15/12 6.000 4,682,972
950 Kendall Kane & Will Counties Community
Unit School District #308, FGIC
Insured............................... GO Aaa/AAA 03/01/99 6.200 973,845
2,500 Metropolitan Pier & Exposition
Authority, (McCormick Place Expansion
Project, Series A).................... RB A2/A+ 06/15/06 8.500 3,173,575
5,420 Metropolitan Pier & Exposition
Authority, Zero Coupon, (Capital
Appreciation, McCormick Place
Expansion Project, Refunding), MBIA
Insured............................... RB Aaa/AAA 06/15/14 0.000 2,376,778
11,000 Metropolitan Pier & Exposition
Authority, Zero Coupon, (Capital
Appreciation, McCormick Place
Expansion Project, Refunding, Series
A), MBIA Insured...................... RB Aaa/AAA 12/15/11 0.000 5,563,360
9,705 Metropolitan Pier & Exposition
Authority, Zero Coupon, (Capital
Appreciation, McCormick Place
Expansion Project, Refunding, Series
A), MBIA Insured...................... RB Aaa/AAA 06/15/12 0.000 4,775,248
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ -----------
<C> <S> <C> <C> <C> <C> <C>
ILLINOIS (CONTINUED)
$ 2,810 Regional Transportation Authority,
(Series D), FGIC Insured.............. RB Aaa/AAA 06/01/07 7.750% $ 3,507,414
1,000 University of Illinois, Auxiliary
Facilities, (Escrowed to Maturity, due
10/01/01)............................. RB Aaa/AAA 10/01/98(a) 6.000 1,068,030
-----------
TOTAL ILLINOIS...................... 60,492,437
-----------
INDIANA (1.6%)
3,955 Indiana Health Facility Financing
Authority, (Sisters of Francis Health
Services, Refunding, Series A), MBIA
Insured............................... RB Aaa/AAA 11/01/05 5.500 4,214,171
2,000 Indiana Municipal Power Agency, Power
Supply System Revenue, (Refunding,
Series B), MBIA Insured............... RB Aaa/AAA 01/01/13 6.000 2,247,560
3,915 Indiana Transportation Finance
Authority, Highway Revenue,
(Refunding, Series A), AMBAC
Insured............................... RB Aaa/AAA 06/01/09 5.250 4,131,225
-----------
TOTAL INDIANA....................... 10,592,956
-----------
KENTUCKY (0.5%)
3,350 Kentucky Turnpike Authority, (Escrowed
to Maturity, Series A, due
07/01/02)............................. RB Aaa/NR 04/06/98(a) 7.100 3,566,477
-----------
LOUISIANA (0.9%)
6,000 Louisiana, (Refunding, Series A), FGIC
Insured............................... GO Aaa/AAA 08/01/00 6.000 6,283,860
-----------
MARYLAND (1.8%)
1,560 Anne Arundel County..................... GO Aa/AA+ 09/01/06 6.000 1,747,387
1,000 Maryland Department of Transportation,
(Prerefunded, due 08/15/05)........... RB Aaa/AAA 08/15/99(a) 6.700 1,061,120
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ -----------
<C> <S> <C> <C> <C> <C> <C>
MARYLAND (CONTINUED)
$ 5,435 Maryland Health & Higher Educational
Facilities Authority, (John Hopkins
University, Refunding)................ RB Aa2/AA- 07/01/03 5.750% $ 5,804,689
3,000 Maryland, (3rd Series, due 07/15/03).... GO Aaa/AAA 07/15/01(a) 6.400 3,239,400
-----------
TOTAL MARYLAND...................... 11,852,596
-----------
MASSACHUSETTS (5.3%)
5,650 Massachusetts Bay Transportation
Authority, (General Transportation
System, Refunding, Series A).......... RB A1/AA- 03/01/08 7.000 6,754,462
3,700 Massachusetts Bay Transportation
Authority, (General Transportation
System, Series A), MBIA Insured....... RB Aaa/AAA 03/01/10 5.500 3,999,663
7,300 Massachusetts State (Refunding, Series
A), AMBAC Insured..................... GO Aaa/AAA 08/01/10 5.750 8,092,123
2,000 Massachusetts State Water Authority,
(General Series A), FSA Insured....... RB Aaa/AAA 08/01/10 5.500 2,176,040
10,000 Massachusetts State Water Resource
Authority, (Series A)................. RB A2/A 07/15/08 6.500 11,692,200
1,495 Massachusetts, State College Building
Authority, (Refunding, Series A)...... RB A1/AA- 05/01/11 7.500 1,902,014
1,060 Wareham, (due 01/15/03), AMBAC
Insured............................... GO Aaa/AAA 01/15/01(a) 6.800 1,168,491
-----------
TOTAL MASSACHUSETTS................. 35,784,993
-----------
MICHIGAN (1.5%)
6,045 Michigan State Building Authority,
(Facilites Program, Refunding, Series
I), AMBAC Insured..................... RB Aaa/AAA 10/01/04 6.000 6,653,067
2,905 Michigan State Hospital Finance
Authority Revenue, (Mercy Health
Services, Refunding, Series T)........ RB Aa3/AA- 08/15/04 5.750 3,139,666
-----------
TOTAL MICHIGAN...................... 9,792,733
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ -----------
<C> <S> <C> <C> <C> <C> <C>
MINNESOTA (2.3%)
$ 5,000 University of Minnesota, (Series A)..... RB Aa2/AA 07/01/10 5.750% $ 5,524,750
5,000 University of Minnesota, (Series A)..... RB Aa2/AA 07/01/15 5.750 5,522,900
4,290 Western Minnesota Municipal Power
Agency, (Prerefunded, due 01/01/04),
MBIA Insured.......................... RB Aaa/AAA 04/06/98(a) 10.125 4,484,165
-----------
TOTAL MINNESOTA..................... 15,531,815
-----------
MISSISSIPPI (2.2%)
6,000 Mississippi Home Corp Residual Revenue,
Zero Coupon, (Capital Appreciation,
Refunded, Series C)................... RB AAA/NR 09/01/13 0.000 2,749,920
10,995 Mississippi, (Escrowed to Maturity)..... GO Aaa/AAA 02/01/08 6.200 12,354,972
-----------
TOTAL MISSISSIPPI................... 15,104,892
-----------
MISSOURI (0.7%)
4,000 St. Louis County Regional Convention &
Sports Complex Authority,
(Prerefunded, Series B, due
08/15/21)............................. RB Aaa/AAA 08/15/03(a) 7.000 4,571,520
-----------
NEBRASKA (0.6%)
4,000 Nebraska Public Power District, (Nuclear
Facilities, Refunding)................ RB A1/A+ 07/01/00 5.200 4,105,320
-----------
NEVADA (4.7%)
500 Carson City School District,
(Prerefunded, due 04/01/03), FGIC
Insured............................... GO Aaa/AAA 04/01/00(a) 6.750 537,555
8,200 Clark County School District, (Series
A), MBIA Insured...................... GO Aaa/AAA 06/01/11 7.000 10,069,108
3,000 Clark County School District, FGIC
Insured............................... GO Aaa/AAA 06/15/03 6.000 3,262,710
3,000 Clark County, (Passenger Facilities, Las
Vegas McCarran International Airport,
Series A), AMBAC Insured.............. RB Aaa/AAA 07/01/08 6.250 3,214,170
1,685 Las Vegas, Clark County Library
District, (Prerefunded, Series A, due
06/01/03), FGIC Insured............... GO Aaa/AAA 06/01/01(a) 6.600 1,830,028
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ -----------
<C> <S> <C> <C> <C> <C> <C>
NEVADA (CONTINUED)
$ 1,200 Las Vegas, Clark County Library
District, (Prerefunded, Series A, due
06/01/04), FGIC Insured............... GO Aaa/AAA 06/01/01(a) 6.700% $ 1,306,896
1,280 Las Vegas, Clark County Library
District, (Refunding, Series B, due
08/01/04), FGIC Insured............... GO Aaa/AAA 08/01/01(a) 6.700 1,400,218
6,015 Nevada State, (Refunding, Series A-1)... GO Aa2/AA 05/15/10 6.000 6,756,409
1,985 Nevada State, (Refunding, Series A-2)... GO Aa2/AA 05/15/10 6.000 2,229,671
1,330 Nevada, (Prison Facilities, Prerefunded,
due 08/01/04)......................... GO Aa2/AA 08/01/00(a) 7.000 1,445,497
-----------
TOTAL NEVADA........................ 32,052,262
-----------
NEW HAMPSHIRE (1.1%)
4,900 New Hampshire Higher Educational &
Health Facilities Authority,
(Dartmouth College, Refunding)........ RB Aaa/NR 06/01/07 6.750 5,796,896
1,720 New Hampshire, (Prerefunded, Series A,
due 06/15/03)......................... GO Aa/AA+ 06/15/01(a) 6.600 1,881,818
-----------
TOTAL NEW HAMPSHIRE................. 7,678,714
-----------
NEW JERSEY (5.9%)
4,180 Jersey City, (Refunding, Series A)...... GO Aa3/AA 10/01/11 6.250 4,805,704
7,000 New Jersey Economic Development
Authority, (Market Transition
Facilities, Series A), MBIA Insured... RB Aaa/AAA 07/01/02 5.400 7,348,110
1,325 New Jersey Economic Development
Authority, (New Jersey Performing Arts
Center, Series PJ-A), AMBAC Insured... RB Aaa/AAA 06/15/07 6.000 1,491,950
1,500 New Jersey Sports & Exposition
Authority, (Sports Complex, Refunding,
Escrowed to Maturity)................. RB Aa1/NR 01/01/00 8.100 1,610,355
6,000 New Jersey Transportation Authority,
(Refunding, Series B), MBIA Insured... RB Aaa/AAA 06/15/05 6.000 6,671,400
7,500 New Jersey Transportation Authority,
(Refunding, Series B), MBIA Insured... RB Aaa/AAA 06/15/10 6.500 8,948,325
2,500 New Jersey Turnpike Authority,
(Refunding, Series A), MBIA Insured... RB Aaa/AAA 01/01/00 6.200 2,602,850
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ -----------
<C> <S> <C> <C> <C> <C> <C>
NEW JERSEY (CONTINUED)
$ 1,000 New Jersey Turnpike Authority,
(Refunding, Series A), MBIA Insured... RB Aaa/AAA 01/01/01 5.700% $ 1,044,100
5,275 Ocean County Utilities Authority,
(Wastewater Revenue, Refunding)....... RB Aa2/NR 01/01/99 5.000 5,328,225
-----------
TOTAL NEW JERSEY.................... 39,851,019
-----------
NEW YORK (9.7%)
1,990 Monroe County, Public Improvement,
(Partially Prerefunded, due 06/01/09),
AMBAC Insured......................... GO Aaa/AAA 06/01/08(a) 6.000 2,271,684
1,295 Monroe County, Public Improvement,
(Partially Prerefunded, due 06/01/10),
AMBAC Insured......................... GO Aaa/AAA 06/01/08(a) 6.000 1,478,307
110 Monroe County, Public Improvement,
(Prerefunded, due 06/01/09), AMBAC
Insured............................... GO Aaa/AAA 06/01/08(a) 6.000 125,570
120 Monroe County, Public Improvement,
(Prerefunded, due 06/01/10), AMBAC
Insured............................... GO Aaa/AAA 06/01/08(a) 6.000 136,986
2,000 Municipal Assistance Corp. for the City
of New York, (Series E)............... RB Aa2/AA 07/01/06 6.000 2,225,760
95 New York City, (Escrowed to Maturity,
Refunding, Series H, Subseries H-1)... GO A3/BBB+ 08/01/01 5.500 99,247
1,465 New York City, (Escrowed to Maturity,
Series B)............................. GO Aaa/AAA 06/01/01 8.000 1,642,309
2,645 New York City, (Refunding, Series A).... GO A3/BBB+ 08/01/02 5.750 2,794,099
7,000 New York City, (Refunding, Series A).... GO A3/BBB+ 08/01/04 6.750 7,859,250
3,000 New York City, (Refunding, Series F).... GO A3/BBB+ 08/01/06 5.500 3,171,900
4,480 New York City, (Refunding, Series G).... GO A3/BBB+ 08/01/03 5.000 4,604,499
1,000 New York City, (Series E), FGIC
Insured............................... GO Aaa/AAA 02/15/06 6.500 1,140,430
3,425 New York City, (Series F)............... GO A3/BBB+ 02/15/03 6.200 3,692,013
2,000 New York City, (Series G), AMBAC
Insured............................... GO Aaa/AAA 10/15/07 6.000 2,242,700
4,580 New York City, (Unrefunded Balance,
Series H, Subseries H-1).............. GO A3/BBB+ 08/01/01 5.500 4,759,673
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
28
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ -----------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 5,000 New York State Dormitory Authority,
(Refunding, due 08/01/13), AMBAC
Insured............................... RB Aaa/AAA 02/01/08(a) 4.400% $ 4,964,050
2,850 New York State Dormitory Authority,
(Secured Hospital, Interfaith Medical
Center, Series D)..................... RB Baa1/BBB+ 02/15/04 5.500 2,981,499
2,000 New York State Local Government
Assistance Corp, (Refunding, Series
A), AMBAC Insured..................... RB Aaa/AAA 04/01/06 6.000 2,224,420
1,500 New York State Urban Development Corp.,
(Correctional Capital Facilities,
Prerefunded, Series 1, due
01/01/14)............................. RB Aaa/NR 01/01/00(a) 7.750 1,630,560
805 New York, (Unrefunded Balance, Series
F).................................... GO A3/BBB+ 02/15/02 6.100 855,562
8,700 Triborough Bridge & Tunnel Authority,
(Refunding, General Purpose, Series
X).................................... RB Aa/A+ 01/01/12 6.625 10,279,224
4,000 Triborough Bridge & Tunnel Authority,
(Refunding, Series V, due 01/01/05),
FGIC Insured.......................... RB Aaa/AAA 01/01/01(a) 6.875 4,330,680
-----------
TOTAL NEW YORK...................... 65,510,422
-----------
OHIO (1.2%)
2,000 Ohio State Building Authority, (Admin
Building Fund, Series A).............. RB Aa3/AA- 10/01/06 5.500 2,160,580
2,000 Ohio State Building Authority, (Admin
Building Fund, Series A, due
10/01/09)............................. RB Aa3/AA- 10/01/08(a) 5.250 2,107,560
3,195 Ohio Water Development Authority,
(Refunding, Escrowed to Maturity, due
12/01/10)............................. RB Aaa/AAA 06/01/98(a) 9.375 4,062,570
-----------
TOTAL OHIO.......................... 8,330,710
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
29
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ -----------
<C> <S> <C> <C> <C> <C> <C>
PENNSYLVANIA (1.4%)
$ 1,175 Bethel Park School District,
(Prerefunded, Series B, due 02/01/02),
AMBAC Insured......................... GO Aaa/AAA 02/01/00(a) 6.550% $ 1,232,117
970 Pennsylvania Higher Education Assistance
Agency, Student Loan Revenue,
(Refunding, Series A), FGIC Insured... RB Aaa/AAA 12/01/00 6.800 1,034,844
1,310 Pennsylvania Higher Education Facilities
Authority, College & University
Revenue, (University of Pennsylvania,
Refunding, Series A).................. RB Aa2/AA 09/01/02 6.500 1,443,476
2,800 Pennsylvania Higher Educational
Facilities Authority, Health Services
Revenue, (University of Pennsylvania,
Series A)............................. RB Aa3/AA 01/01/06 6.000 3,096,016
1,500 Pennsylvania, (2nd Series A, due
11/01/04), MBIA Insured............... GO Aaa/AAA 11/01/01(a) 6.500 1,641,510
1,000 Pennsylvania, (Refunding and Projects,
1st Series A), AMBAC Insured.......... GO Aaa/AAA 01/01/01 6.600 1,069,000
-----------
TOTAL PENNSYLVANIA.................. 9,516,963
-----------
RHODE ISLAND (0.9%)
2,000 Rhode Island, (Prerefunded, Series B,
due 10/15/01)......................... GO A1/AA- 10/15/99(a) 6.700 2,126,520
3,785 Rhode Island, Construction Capital
Development, (Series B)............... GO A1/AA- 05/15/00 6.000 3,944,878
-----------
TOTAL RHODE ISLAND.................. 6,071,398
-----------
SOUTH CAROLINA (0.2%)
1,000 Piedmont Municipal Power Agency,
(Escrowed to Maturity, Refunding),
MBIA Insured.......................... RB Aaa/AAA 01/01/08 6.200 1,141,010
-----------
TENNESSEE (0.6%)
3,500 Rutherford County, (Capital Outlay
Notes, Series A)...................... GO Aa3/AA- 05/01/07 6.500 4,041,625
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
30
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ -----------
<C> <S> <C> <C> <C> <C> <C>
TEXAS (6.9%)
$ 1,500 Addison, (Refunding, due 09/01/00), FGIC
Insured............................... GO Aaa/AAA 09/01/98(a) 6.250% $ 1,518,150
1,000 Arlington, (due 08/01/00), AMBAC
Insured............................... GO Aaa/AAA 08/01/99(a) 6.850 1,042,930
1,050 Austin Independent School District,
(Refunding, Series 1991), PSFG
Insured............................... GO Aaa/AAA 08/01/99 6.200 1,085,500
1,500 Austin, Utilities System, (Escrowed to
Maturity, due 10/01/01)............... RB Aaa/AAA 10/01/98(a) 6.500 1,619,550
7,500 Austin, Utilities System, (Refunding,
Series A), FSA Insured................ RB Aaa/AAA 11/15/03 5.750 7,999,275
975 Conroe Independent School District,
(Prerefunded, due 02/01/01), MBIA
Insured............................... GO Aaa/AAA 02/01/99(a) 7.100 1,004,474
25 Conroe Independent School District,
(Unrefunded Balance, due 02/01/01),
MBIA Insured.......................... GO Aaa/AAA 02/01/99(a) 7.100 25,697
2,260 Corpus Christi Independent School
District, (Refunding), PSFG Insured... GO Aaa/AAA 08/15/05 6.000 2,505,798
1,305 Dallas County, Flood Control District
#1, (Prerefunded, due 04/01/10)....... GO Aaa/NR 04/01/08(a) 9.250 1,806,146
1,650 El Paso Independent School District,
(Prerefunded, due 07/01/03), PSFG
Insured............................... GO Aaa/AAA 07/01/01(a) 6.550 1,775,400
1,700 Harris County, (Road Improvement
Authority, Prerefunded, due 11/01/03),
MBIA Insured.......................... GO Aaa/AAA 11/01/99(a) 7.000 1,787,057
3,805 Lewisville Independent School District,
(Refunding), PSFG Insured............. GO Aaa/NR 08/15/03 6.000 4,142,123
2,325 Northwest Independent School District,
Zero Coupon, (Capital Appreciation,
Refunding), PSFG Insured.............. GO Aaa/NR 08/15/03 0.000 1,842,121
2,320 Northwest Independent School District,
Zero Coupon, (Capital Appreciation,
Refunding), PSFG Insured.............. GO Aaa/NR 08/15/04 0.000 1,753,874
2,000 Plano Independent School District,
(Prerefunded, Series B, due 02/15/04),
FGIC Insured.......................... GO Aaa/AAA 02/15/01(a) 6.550 2,138,680
1,500 San Antonio, (Refunding)................ GO Aa/AA 08/01/07 6.000 1,671,525
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
31
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ -----------
<C> <S> <C> <C> <C> <C> <C>
TEXAS (CONTINUED)
$ 2,000 Tarrant County, Health Facilities
Development Corp., (Texas Health
Resources System, Refunding, Series
A), MBIA Insured...................... RB Aaa/AAA 02/15/04 5.500% $ 2,121,120
700 Texas A & M University, (Permanent
University Fund, Refunding, due
07/01/98)............................. RB Aaa/AAA 04/06/98(a) 6.500 706,790
2,000 Texas, Public Finance Authority,
(Prerefunded, due 10/01/02)........... GO NR/AA 10/01/00(a) 6.300 2,112,420
1,000 Texas, Public Finance Authority,
(Prerefunded, due 10/01/05)........... GO NR/AA 10/01/00(a) 6.500 1,061,050
4,000 Texas, Public Finance Authority,
(Refunding, Series B)................. GO Aa2/AA 10/01/03 6.000 4,374,360
2,500 University of Texas, (Permanent
University Fund, Refunding)........... RB Aaa/AAA 07/01/01 6.300 2,681,200
-----------
TOTAL TEXAS......................... 46,775,240
-----------
UTAH (2.8%)
1,625 Intermountain Power Agency, (Refunding,
Series B), MBIA Insured............... RB Aaa/AAA 07/01/09 6.500 1,900,844
5,130 Intermountain Power Agency, (Refunding,
Series C), MBIA Insured............... RB Aaa/AAA 07/01/00 6.000 5,365,723
4,155 Intermountain Power Agency, (Refunding,
Series C), MBIA Insured............... RB Aaa/AAA 07/01/01 6.000 4,403,054
6,645 Intermountain Power Agency, (Refunding,
Series C), MBIA Insured............... RB Aaa/AAA 07/01/02 6.000 7,142,843
-----------
TOTAL UTAH.......................... 18,812,464
-----------
VIRGINIA (1.1%)
5,000 Virginia Public School Authority,
(Refunding)........................... RB Aa/AA 01/01/02 6.000 5,332,800
2,000 Virginia Public School Authority,
(Series A, due 08/01/04).............. RB Aa2/AA 08/01/01(a) 6.500 2,187,300
-----------
TOTAL VIRGINIA...................... 7,520,100
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
32
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ -----------
<C> <S> <C> <C> <C> <C> <C>
WASHINGTON (7.0%)
$ 1,555 King & Snohomish Counties, School
District #417, (due 12/01/02), FGIC
Insured............................... GO Aaa/AAA 12/01/00(a) 6.600% $ 1,660,538
6,355 King County, (Refunding, Series B)...... GO Aa1/AA+ 01/01/01 6.700 6,812,052
1,000 Pierce County School District #320,
Sumner Washington, (due 12/01/02),
MBIA Insured.......................... GO Aaa/AAA 12/01/01(a) 6.600 1,086,540
2,955 Seattle, Municipal Sewer Revenue,
(Prerefunded, Series T, due
01/01/31)............................. RB Aaa/AA- 01/01/00(a) 6.875 3,164,362
1,000 Snohomish County School District #15
(Prerefunded, due 12/01/06)........... GO NR/AAA 12/01/99(a) 7.150 1,056,200
1,250 Snohomish County School District #2,
(Refunding, Series A, due 12/01/02),
MBIA Insured.......................... GO Aaa/AAA 06/01/01(a) 6.700 1,340,938
4,815 Washington Public Power Supply System,
(Nuclear Project #1, Refunding, Series
A), MBIA Insured...................... RB Aaa/AAA 07/01/06 6.000 5,319,564
4,000 Washington Public Power Supply System,
(Nuclear Project #1, Refunding, Series
B).................................... RB Aa1/AA- 07/01/03 5.750 4,238,840
2,000 Washington Public Power Supply System,
(Nuclear Project #2, Refunding, Series
A).................................... RB Aa1/AA- 07/01/06 7.250 2,360,460
5,265 Washington Public Power Supply System,
(Nuclear Project #2, Refunding, Series
A).................................... RB Aa1/AA- 07/01/01 6.300 5,587,587
4,000 Washington Public Power Supply System,
(Nuclear Project #2, Refunding, Series
A).................................... RB Aa1/AA- 07/01/09 5.750 4,320,040
2,000 Washington Public Power Supply System,
(Nuclear Project #2, Refunding, Series
C, due 07/01/01), FGIC Insured........ RB Aaa/AAA 01/01/01(a) 7.000 2,181,000
1,500 Washington Public Power Supply System,
(Nuclear Project #2, Refunding, Series
C, due 07/01/02)...................... RB Aa1/AA- 01/01/01(a) 7.500 1,654,995
1,000 Washington, (Prerefunded, Series B, due
08/01/02)............................. GO Aa1/AA+ 08/01/00(a) 6.750 1,062,960
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
33
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ -----------
<C> <S> <C> <C> <C> <C> <C>
WASHINGTON (CONTINUED)
$ 1,750 Washington, (Refunding, Series R-92-A,
due 09/01/02)......................... GO Aa1/AA+ 09/01/01(a) 6.300% $ 1,889,843
3,075 Washington, (Series A).................. GO Aa1/AA+ 01/01/07 5.250 3,260,392
-----------
TOTAL WASHINGTON.................... 46,996,311
-----------
WEST VIRGINIA (0.6%)
1,000 Berkeley County Board of Education,
(Escrowed to Maturity), MBIA
Insured............................... GO Aaa/AAA 04/01/01 7.300 1,093,640
3,000 West Virginia Public Energy Authority,
(Morgantown Association Project,
Series A, due 07/01/08), LOC Swiss
Bank Corp............................. RB Aa1/AA+ 01/01/06(a) 5.050 3,016,350
-----------
TOTAL WEST VIRGINIA................. 4,109,990
-----------
WISCONSIN (2.1%)
4,160 Milwaukee County Wisconsin, Zero Coupon
(Capital Appreciation, Refunding,
Series A) FGIC Insured................ GO Aaa/AAA 12/01/10 0.000 2,302,061
1,500 Racine Unified School District, (due
04/01/01), AMBAC Insured.............. GO Aaa/AAA 04/01/99(a) 6.500 1,538,850
5,000 Wisconsin, (Series A)................... GO Aa2/AA 05/01/99 5.750 5,115,450
5,000 Wisconsin, Transportation Revenue,
(Refunding, Series A)................. RB A1/AA- 07/01/06 4.600 5,048,600
-----------
TOTAL WISCONSIN..................... 14,004,961
-----------
WYOMING (0.6%)
3,600 Platte County, (PCR, Basin Electric
Power Cooperative, Refunding)......... RB A2/A 01/01/06 4.950 3,705,912
-----------
TOTAL LONG TERM INVESTMENTS (COST $622,297,563).................................... 656,179,681
-----------
SHORT-TERM INVESTMENTS (4.5%)
ALASKA (1.1%)
7,100 Valdez Alaska Marine Terminal, (Exxon
Pipeline Co. Project, Refunding,
Series C, due 12/01/33)............... VRDN VMIG1/A-1+ 03/02/98(b) 3.650 7,100,000
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
34
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ -----------
<C> <S> <C> <C> <C> <C> <C>
ARIZONA (0.3%)
$ 1,800 Maricopa County, (PCR, Refunding, Series
D, due 05/01/29), LOC Bank of
America............................... VRDN P-1/A-1+ 03/02/98(b) 3.550% $ 1,800,000
-----------
CALIFORNIA (0.2%)
1,300 Los Angeles Regional Airports
Improvement Corp., (Los Angeles
International Airport, due 12/01/25),
LOC Societe Generale.................. VRDN NR/A-1+ 03/02/98(b) 3.700 1,300,000
-----------
GEORGIA (0.5%)
800 Appling County Development Authority,
(PCR Georgia Power Co. Plant, Hatch
Project, due 09/01/29)................ VRDN VMIG1/A-1 03/02/98(b) 3.550 800,000
1,200 Burke County Development Authority,
(PCR, Georgia Power Co., Vogtle
Project #1, due 04/01/32)............. VRDN VMIG1/A-1 03/02/98(b) 3.550 1,200,000
Burke County Development Authority,
(PCR, Georgia Power Co., Vogtle
Project-4th. Series, due 07/01/24).... VRDN VMIG1/A-1 03/02/98(b) 3.900 500,000
1,100 Burke County Development Authority,
(PCR, Georgia Power Co., Vogtle
Project-5th Series, due 07/01/24)..... VRDN VMIG1/A-1 03/02/98(b) 3.650 1,100,000
-----------
3,600,000
-----------
ILLINOIS (0.1%)
500 Illinois Development Finance Authority,
(Olin Corp. Project, Refunding, Series
A, due 06/01/04), LOC Wachovia Bank... VRDN NR/A-1+ 03/02/98(b) 3.600 500,000
200 Illinois Educational Facilities
Authority, (University Pooled
Financing Program, due 12/01/05), FGIC
Insured............................... VRDN VMIG1/A-1+ 03/04/98(b) 3.350 200,000
-----------
700,000
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
35
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ -----------
<C> <S> <C> <C> <C> <C> <C>
INDIANA (0.0%)*
$ 200 Indiana Development Finance Authority,
(Bayer Corp. Project, Refunding, due
03/01/09)............................. VRDN P-1/A-1+ 03/02/98(b) 3.600% $ 200,000
-----------
KANSAS (0.0%)*
100 Kansas City, (Industry Revenue
Development Corp., Refunding, IDR, due
08/01/15), LOC Credit Suisse First
Boston................................ VRDN VMIG1/NR 03/02/98(b) 3.900 100,000
-----------
LOUISIANA (0.0%)*
100 Calcasieu Parish, (Industrial
Development Board, Refunding, Olin
Corp. Project, Series B, due
02/01/16), LOC Wachovia Bank.......... VRDN NR/A-1+ 03/02/98(b) 3.600 100,000
-----------
MISSOURI (0.2%)
1,100 Missouri Environmental Impact Authority
& Energy Resource Authority, (Bayer
Corp. Project, Refunding, due
03/01/09)............................. VRDN P-1/NR 03/02/98(b) 3.000 1,100,000
-----------
NEW YORK (0.7%)
4,950 New York State Energy Research and
Development Authority, (PCR, New York
Electric and Gas, Series D, due
10/01/29), LOC Union Bank of
Switzerland........................... VRDN VMIGI/A-1+ 03/02/98(b) 3.600 4,950,000
-----------
NORTH CAROLINA (0.2%)
1,300 Winston Salem Water & Sewer System, (due
12/01/08), SPA-Wachovia Bank & Trust
Insured............................... VRDN VMIG1/A-1 03/04/98(b) 3.500 1,300,000
-----------
SOUTH DAKOTA (0.2%)
1,100 Lawrence County, (PCR, Homestake Mining,
Refunding, Series B, due 07/01/32),
LOC Chase Manhattan Bank.............. VRDN P-1/NR 03/02/98(b) 3.600 1,100,000
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
36
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ -----------
<C> <S> <C> <C> <C> <C> <C>
TEXAS (0.7%)
$ 5,000 Texas, (Series A)....................... TAN MIG1/Sp1+ 08/31/98 4.750% $ 5,029,600
-----------
WEST VIRGINIA (0.0%)*
200 Marshall County, (Bayer Corp. Project,
Refunding, due 03/01/09).............. VRDN P-1/A-1+ 03/02/98(b) 3.600 200,000
-----------
WYOMING (0.3%)
300 Lincoln County, (PCR, Exxon Project,
Series B, due 11/01/14)............... VRDN P-1/A-1+ 03/02/98(b) 3.600 300,000
1,550 Platte County, (PCR, Tri-State G&T,
Series A, due 07/01/14), LOC Societe
Generale.............................. VRDN P-1/NR 03/02/98(b) 3.900 1,550,000
-----------
1,850,000
-----------
TOTAL SHORT-TERM INVESTMENTS (COST $30,421,641).................................... 30,429,600
-----------
TOTAL INVESTMENTS (COST $652,719,204) (101.7%)..................................... 686,609,281
LIABILITIES IN EXCESS OF OTHER ASSETS (-1.7%)...................................... (11,529,486)
-----------
NET ASSETS (100.0%)................................................................ $675,079,795
-----------
-----------
</TABLE>
- ------------------------------
Note: Based on the cost of the investments of $652,719,204 for federal income
tax purposes at February 28, 1998, the aggregate gross unrealized appreciation
and depreciation was $34,114,856 and $224,779, respectively, resulting in net
unrealized appreciation of investments of $33,890,077.
(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 feature. The actual maturity date
is indicated in the security description
* Less than 0.1%.
AMBAC - Ambac Indemnity Corp., FGIC - Financial Guaranty Insurance Company, FSA
- -Financial Securities Assurance, GO - General Obligation, IDR Industrial
Development Revenue, LOC-Letter of Credit, MBIA-Municipal Bond Investors
Assurance Corp., NR - Not Rated, PCR - Pollution Control Revenue, PP - Private
Placement, PSFG - Permanent School Fund Guarantee, RB - Revenue Bond, SPA -
Standby Purchase Agreement, TAN - Tax Anticipation Note, VRDN - Variable Rate
Demand Note.
Crossover Refunded: Bonds for which the issuer of the bond invest 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 coincides 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 canceled the old
issue.
The Accompanying Notes are an Integral Part of the Financial Statements.
37
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $652,719,204) $686,609,281
Cash 74,023
Interest Receivable 7,744,225
Prepaid Trustees' Fees 2,141
Prepaid Expenses and Other Assets 2,850
------------
Total Assets 694,432,520
------------
LIABILITIES
Payable for Investments Purchased 19,125,014
Advisory Fee Payable 154,605
Custody Fee Payable 19,638
Administrative Services Fee Payable 15,464
Administration Fee Payable 1,358
Fund Services Fee Payable 125
Accrued Expenses 36,521
------------
Total Liabilities 19,352,725
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $675,079,795
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
38
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $16,141,271
EXPENSES
Advisory Fee $940,061
Administrative Services Fee 94,569
Custodian Fees and Expenses 81,145
Professional Fees and Expenses 22,141
Fund Services Fee 11,153
Administration Fee 5,075
Trustees' Fees and Expenses 4,121
Miscellaneous 4,753
--------
Total Expenses 1,163,018
-----------
NET INVESTMENT INCOME 14,978,253
NET REALIZED GAIN ON INVESTMENTS 325,883
NET CHANGE IN UNREALIZED APPRECIATION OF
INVESTMENTS 10,912,554
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $26,216,690
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
39
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FISCAL
FEBRUARY 28, 1998 YEAR ENDED
(UNAUDITED) AUGUST 31, 1997
----------------- ---------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 14,978,253 $ 26,643,745
Net Realized Gain on Investments 325,883 829,545
Net Change in Unrealized Appreciation of
Investments 10,912,554 9,668,350
----------------- ---------------
Net Increase in Net Assets Resulting from
Operations 26,216,690 37,141,640
----------------- ---------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 163,066,517 284,352,430
Withdrawals (117,801,326) (209,280,115)
----------------- ---------------
Net Increase from Investors' Transactions 45,265,191 75,072,315
----------------- ---------------
Total Increase in Net Assets 71,481,881 112,213,955
NET ASSETS
Beginning of Period 603,597,914 491,383,959
----------------- ---------------
End of Period $ 675,079,795 $ 603,597,914
----------------- ---------------
----------------- ---------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
PERIOD
JULY 12, 1993
(COMMENCEMENT
FOR THE OF
SIX MONTHS FOR THE FISCAL YEAR OPERATIONS)
ENDED ENDED AUGUST 31, TO
FEBRUARY 28, 1998 ------------------------- AUGUST 31,
(UNAUDITED) 1997 1996 1995 1994 1993
----------------- ---- ---- ---- ---- -------------
<S> <C> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.37%(a) 0.38% 0.38% 0.42% 0.41% 0.40%(a)
Net Investment Income 4.78%(a) 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 6%(b) 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.
40
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
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 J.P.
Morgan Tax Exempt Bond Fund (formerly The JPM 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 that is 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, varying maturity dates, and the 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.
41
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
2. TRANSACTIONS WITH AFFILIATES
a) The portfolio has an Investment Advisory agreement with Morgan Guaranty
Trust Company of New York ("Morgan"). Under the terms of the agreement,
the portfolio pays Morgan at an annual rate of 0.30% of the portfolio's
average daily net assets. For the six months ended February 28, 1998, this
fee amounted to $940,061.
b) The portfolio has retained Funds Distributor Inc. ("FDI"), a registered
broker-dealer, to serve as the co-administrator and exclusive placement
agent. Under a Co-Administration agreement between FDI and the portfolio,
FDI provides administrative services necessary for the operations of the
portfolio, furnishes office space and facilities required for conducting
the business of the portfolio and pays the compensation of the officers
affiliated with FDI. The portfolio has agreed to pay FDI fees equal to its
allocable share of an annual complex-wide charge of $425,000 plus FDI's
out-of-pocket expenses. The amount allocable to the portfolio is based on
the ratio of the portfolio's net assets to the aggregate net assets of the
portfolio and certain other investment companies subject to similar
agreements with FDI. For the six months ended February 28,1998, the fee
for these services amounted to $5,075.
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
portfolio and certain other portfolios for which Morgan acts as investment
advisor (the "master portfolios") and J.P. Morgan 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 J.P.
Morgan Series Trust. For the six months ended February 28, 1998, the fee
for these services amounted to $94,569.
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 $11,153 for the six months ended February 28, 1998.
e) An aggregate annual fee of $75,000 is paid to each trustee for serving as
a trustee of the J.P. Morgan Funds, J.P. Morgan Institutional Funds, the
master portfolios and J.P. Morgan Series Trust. The Trustees' Fees and
Expenses shown in the financial statements represents the portfolio's
allocated portion of the total fees and expenses. The portfolio's Chairman
and Chief Executive Officer also serves as Chairman of group and receives
compensation and employee benefits from group in his role as group's
Chairman. The allocated portion of such compensation and benefits included
in the Fund Services Fee shown in the financial statements was $2,300.
42
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
3. INVESTMENT TRANSACTIONS
Investments transactions (excluding short-term investments) for the six months
ended February 28,1998 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
- ----------------- -----------
<S> <C>
$107,083,546...... $36,249,435
</TABLE>
4. CREDIT AGREEMENT
The portfolio is party to a revolving line of credit agreement as discussed more
fully in Note 4 of the fund's Notes to the Financial Statements which are
included elsewhere in this report.
43