<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
AUGUST 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY MOODY'S/
AMOUNT TYPE S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------- -------------
<C> <S> <C> <C> <C> <C> <C>
LONG-TERM INVESTMENTS (99.5%)
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% $ 1,045,130
1,410 Childersburg Industrial Development
Board, (PCR, Kimberly Clark Corp.
Project, Escrowed to Maturity, due
11/15/99)............................. RB Aa2/AA 11/15/98(a) 7.400 1,454,485
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 1,096,190
-------------
TOTAL ALABAMA....................... 3,595,805
-------------
ALASKA (1.2%)
2,000 Anchorage, (Prerefunded, Series 1991,
due 07/01/02), MBIA Insured........... GO Aaa/AAA 07/01/01(a) 6.600 2,150,340
1,075 Anchorage, (Refunding, Series 1989, due
06/01/03), AMBAC Insured.............. GO Aaa/AAA 06/01/99(a) 7.100 1,112,378
1,000 Anchorage, (Series A), AMBAC Insured.... GO Aaa/AAA 02/01/00 6.850 1,042,320
3,000 North Slope Borough, (Series A), MBIA
Insured............................... GO Aaa/AAA 06/30/00 5.550 3,092,070
2,200 North Slope Borough, Zero Coupon,
(Capital Appreciation, Series B), MBIA
Insured............................... GO Aaa/AAA 06/30/01 0.000 1,974,214
-------------
TOTAL ALASKA........................ 9,371,322
-------------
ARIZONA (0.9%)
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 1,085,800
1,750 Phoenix, (Refunding, Series C).......... GO Aa1/AA+ 07/01/02 6.375 1,905,102
3,315 Salt River Project, (Agricultural
Improvement & Power District, Salt
River Project, Refunding, Series A)... RB Aa2/AA 01/01/06 6.000 3,699,175
-------------
TOTAL ARIZONA....................... 6,690,077
-------------
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY MOODY'S/
AMOUNT TYPE S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------- -------------
<C> <S> <C> <C> <C> <C> <C>
CALIFORNIA (4.2%)
$ 5,210 California.............................. GO A1/A+ 10/01/09 6.000% $ 5,957,531
6,000 California.............................. GO A1/A+ 02/01/08 6.500 7,035,480
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 3,164,717
2,750 California Pollution Control Financing
Authority, (PCR, Laidlaw
Environmental, Refunding, Series A)... RB NR/NR 07/01/07 6.700 2,909,995
542 Kaweah Delta Hospital District, Tulare
County, (Series D, due 06/01/14)...... PP NR/A+ 06/01/99(a) 4.350 543,642
1,049 Kaweah Delta Hospital District, Tulare
County, (Series E, due 06/01/14)...... PP NR/A+ 06/01/00(a) 5.250 1,069,445
1,541 Kaweah Delta Hospital District, Tulare
County, (Series G, due 06/01/14)...... PP NR/A+ 06/01/04(a) 6.400 1,667,517
2,500 Los Angeles County Public Works
Financing Authority, (Refunding,
Series A), MBIA Insured............... RB Aaa/AAA 09/01/06 6.000 2,819,700
4,200 Los Angeles County Public Works
Financing Authority, (Regional Park
and Open Space District, Refunding,
Series A)............................. RB Aa3/AA 10/01/07 5.375 4,583,796
2,000 Los Angeles Department of Water & Power,
(Electric Plant, Crossover Refunded,
due 05/15/30)......................... RB Aa3/A+ 05/15/00(a) 7.125 2,142,060
-------------
TOTAL CALIFORNIA.................... 31,893,883
-------------
COLORADO (0.2%)
1,295 Adams County School District #12, FGIC
Insured............................... GO Aaa/AAA 12/15/06 6.000 1,462,677
-------------
CONNECTICUT (0.4%)
2,815 Connecticut, (Special Tax Obligation,
Transportation Infrastructure,
Prerefunded, Series A, due
06/01/04)............................. RB NR/AA- 06/01/03(a) 6.600 3,128,225
-------------
DELAWARE (0.4%)
2,650 Delaware Transportation Authority,
(Transportation System Revenue,
Refunding), AMBAC Insured............. RB Aaa/AAA 07/01/00 5.250 2,722,742
-------------
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY MOODY'S/
AMOUNT TYPE S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------- -------------
<C> <S> <C> <C> <C> <C> <C>
DISTRICT OF COLUMBIA (4.8%)
$ 910 District of Columbia, (Escrowed to
Maturity, Prerefunded, Series C), FGIC
Insured............................... GO Aaa/AAA 12/01/03 5.250% $ 959,495
220 District of Columbia, (Prerefunded,
Series A), MBIA Insured............... GO NR/NR 06/01/07 6.000 245,304
60 District of Columbia, (Prerefunded,
Series B), MBIA Insured............... GO NR/AAA 06/01/02 6.000 64,195
6,590 District of Columbia, (Unrefunded
Balance, Refunding, Series C), FGIC
Insured............................... GO Aaa/AAA 12/01/03 5.250 6,942,038
2,780 District of Columbia, (Unrefunded
Balance, Series A), MBIA Insured...... GO NR/NR 06/01/07 6.000 3,081,380
2,540 District of Columbia, (Unrefunded
Balance, Series B), MBIA Insured...... GO Aaa/AAA 06/01/02 6.000 2,711,221
5,000 Metropolitan Airport, (Refunding, Series
B, due 10/01/09), MBIA Insured........ RB Aaa/AAA 10/01/08(a) 5.250 5,313,400
3,665 Metropolitan Airport, (Series A, due
10/01/10), FGIC Insured............... RB Aaa/AAA 10/01/00(a) 7.250 3,959,923
1,200 Metropolitan Airport, (Series B), FGIC
Insured............................... RB Aaa/AAA 10/01/00 5.250 1,233,924
4,015 Metropolitan Airport, (Series B), FGIC
Insured............................... RB Aaa/AAA 10/01/05 6.000 4,432,841
5,745 Metropolitan Airport, (Series B), FGIC
Insured............................... RB Aaa/AAA 10/01/06 6.000 6,394,013
1,000 Metropolitan Airports, (Airport and
Marina Improvements and Revenue,
Series B), FGIC Insured............... RB Aaa/AAA 10/01/03 5.750 1,076,030
-------------
TOTAL DISTRICT OF COLUMBIA.......... 36,413,764
-------------
FLORIDA (5.2%)
5,765 Dade County School District,
(Refunding), MBIA Insured............. GO Aaa/AAA 07/15/05 6.000 6,429,186
1,535 Florida Board of Education, (Capital
Outlay, Escrowed to Maturity,
Prerefunded, Series C, due
06/01/01)............................. GO Aaa/AAA 10/14/98(a) 7.000 1,562,553
7,305 Florida Board of Education, (Capital
Outlay, Series A)..................... GO Aa2/AA+ 01/01/06 5.500 7,927,459
465 Florida Board of Education, (Capital
Outlay, Unrefunded Balance, Series C,
due 06/01/01)......................... GO Aa2/AA+ 10/05/98(a) 7.000 472,254
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY MOODY'S/
AMOUNT TYPE S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------- -------------
<C> <S> <C> <C> <C> <C> <C>
FLORIDA (CONTINUED)
$ 3,200 Jacksonville Electric Authority, (St.
Johns River, Issue 2, Crossover
Refunded, Series 5, due 10/01/09)..... RB Aa2/AA 10/01/99(a) 7.000% $ 3,352,736
2,000 Jacksonville Health Facilities
Authority, (Charity Obligated Group,
Refunding, Series A), MBIA Insured.... RB Aaa/AAA 08/15/06 5.500 2,168,840
10,000 Miami, Dade County School District,
(Refunding), FSA Insured.............. GO Aaa/AAA 08/01/11 5.375 10,755,500
2,310 Miami, Dade County, (Aviation Revenue,
Refunding, Series A), FGIC Insured.... RB Aaa/AAA 10/01/05 5.000 2,426,401
2,000 Tampa (Health System Revenue, Catholic
Health East, Refunding, Series A-1),
MBIA Insured.......................... RB Aaa/AAA 11/15/04 5.250 2,125,540
2,000 Volusia County School District,
(Refunding, due 08/01/02), FGIC
Insured............................... GO Aaa/AAA 08/01/01(a) 6.100 2,159,680
-------------
TOTAL FLORIDA....................... 39,380,149
-------------
GEORGIA (4.6%)
2,630 Fulton County School District,
(Refunding)........................... GO Aa2/AA 05/01/14 6.375 3,127,201
1,250 Georgia Municipal Electric Authority,
(Power General Revenue, Refunding,
Series A)............................. RB A3/A 01/01/12 6.500 1,474,775
4,500 Georgia Municipal Electric Authority,
(Power Revenue, Crossover Refunding,
Series DD), AMBAC-TCRS Insured........ RB NR/AAA 01/01/08 7.000 5,377,455
6,000 Georgia, (Series B)..................... GO Aaa/AAA 03/01/07 7.200 7,286,520
3,000 Georgia, (Series B)..................... GO Aaa/AAA 03/01/10 6.300 3,518,040
4,470 Georgia, (Series C)..................... GO Aaa/AAA 07/01/11 5.700 5,005,774
2,500 Gwinnett County School District,
(Refunding, Series B)................. GO Aa1/AA+ 02/01/08 6.400 2,905,900
5,000 Metropolitan Atlanta Rapid Transit
Authority, (Sales Tax Revenue,
Refunding, Series P), AMBAC Insured... RB Aaa/AAA 07/01/11 6.250 5,876,600
-------------
TOTAL GEORGIA....................... 34,572,265
-------------
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY MOODY'S/
AMOUNT TYPE S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------- -------------
<C> <S> <C> <C> <C> <C> <C>
HAWAII (1.3%)
$ 5,000 Hawaii, (Refunding, Series CO), FGIC
Insured............................... GO Aaa/AAA 03/01/02 6.000% $ 5,329,800
2,000 Hawaii, (Series BZ)..................... GO A1/A+ 10/01/12 6.000 2,267,400
2,000 Honolulu City & County Improvement,
(Refunding, Series B)................. GO Aa2/AA 10/01/11 5.500 2,172,840
-------------
TOTAL HAWAII........................ 9,770,040
-------------
ILLINOIS (8.1%)
3,000 Chicago Board of Education, (Chicago
School Reform), AMBAC Insured......... GO Aaa/AAA 12/01/09 6.750 3,610,140
1,000 Chicago Board of Education, (Lease
Certificates, Series A), MBIA
Insured............................... RB Aaa/AAA 01/01/06 6.125 1,115,680
4,130 Chicago Board of Education, (Lease
Certificates, Series A), MBIA
Insured............................... RB Aaa/AAA 01/01/07 6.125 4,647,489
1,500 Chicago O'Hare International Airport,
(Refunding, Second Lien, Series C),
MBIA Insured.......................... RB Aaa/AAA 01/01/09 5.750 1,676,550
3,000 Chicago, (Refunding, Series A-2), AMBAC
Insured............................... GO Aaa/AAA 01/01/11 6.000 3,393,930
3,280 Cook County, (Refunding, Series C), FGIC
Insured............................... GO Aaa/AAA 11/15/04 5.800 3,576,348
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 5,009,900
1,375 Du Page County, (Illinois Alternative
Revenue Jail Project, Prerefunded, due
01/01/21)............................. GO Aaa/AAA 01/01/02(a) 6.550 1,513,146
4,440 Hoffman Estates, Tax Increment Revenue,
(Economic Development Project Area,
Refunding), AMBAC Insured............. RB Aaa/AAA 11/15/04 5.500 4,768,915
3,000 Illinois Development Finance Authority,
(Series C, due 08/01/28).............. PP NR/NR 06/01/05(a) 4.900 3,003,750
3,000 Illinois Sales Tax Revenue, (Refunding,
Series Q)............................. RB Aa2/AAA 06/15/09 6.000 3,396,360
4,175 Illinois Sales Tax Revenue, (Refunding,
Series Q)............................. RB Aa2/AAA 06/15/12 6.000 4,761,212
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY MOODY'S/
AMOUNT TYPE S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------- -------------
<C> <S> <C> <C> <C> <C> <C>
ILLINOIS (CONTINUED)
$ 2,500 Metropolitan Pier & Exposition
Authority, (McCormick Place Expansion
Project, Prerefunded, Series A)....... RB A1/AA- 06/15/06 8.500% $ 3,196,400
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 2,525,503
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 5,967,280
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 5,014,865
2,810 Regional Transportation Authority,
(Series D), FGIC Insured.............. RB Aaa/AAA 06/01/07 7.750 3,494,966
1,000 University of Illinois, (Auxiliary
Facilities, Escrowed to Maturity, due
10/01/01)............................. RB Aaa/AAA 04/01/99(a) 6.000 1,063,600
-------------
TOTAL ILLINOIS...................... 61,736,034
-------------
INDIANA (2.3%)
3,955 Indiana Health Facility Financing
Authority, (Sisters of St. Francis
Health Services, Refunding, Series A),
MBIA Insured.......................... RB Aaa/AAA 11/01/05 5.500 4,234,618
2,000 Indiana Municipal Power Agency, (Power
Supply System Revenue, Refunding,
Series B), MBIA Insured............... RB Aaa/AAA 01/01/13 6.000 2,259,500
3,915 Indiana Transportation Finance
Authority, (Highway Revenue, Series
A), AMBAC Insured..................... RB Aaa/AAA 06/01/09 5.250 4,202,752
6,000 Indiana Transportation Finance
Authority, (Highway Revenue, Series
A), MBIA Insured...................... RB Aaa/AAA 12/01/07 5.250 6,413,700
-------------
TOTAL INDIANA....................... 17,110,570
-------------
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY MOODY'S/
AMOUNT TYPE S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------- -------------
<C> <S> <C> <C> <C> <C> <C>
KENTUCKY (0.4%)
$ 2,765 Kentucky Turnpike Authority, (Road
Recovery Revenue, Escrowed to
Maturity, Series A, due 07/01/02)..... RB Aaa/NR 10/05/98(a) 7.100% $ 2,932,172
-------------
LOUISIANA (0.8%)
6,000 Louisiana, (Refunding, Series A), FGIC
Insured............................... GO Aaa/AAA 08/01/00 6.000 6,249,900
-------------
MARYLAND (1.2%)
5,435 Maryland Health & Higher Educational
Facilities Authority, (John Hopkins
University, Refunding)................ RB Aa2/AA- 07/01/03 5.750 5,826,863
3,000 Maryland, (3rd Series, due 07/15/03).... GO Aaa/AAA 07/15/01(a) 6.400 3,215,670
-------------
TOTAL MARYLAND...................... 9,042,533
-------------
MASSACHUSETTS (4.8%)
5,650 Massachusetts Bay Transportation
Authority, (General Transportation
System, Refunding, Series A).......... RB Aa3/AA- 03/01/08 7.000 6,807,176
3,700 Massachusetts Bay Transportation
Authority, (General Transportation
System, Refunding, Series A), MBIA
Insured............................... RB Aaa/AAA 03/01/10 5.500 4,062,970
2,000 Massachusetts State Water Authority,
(General Series A), FSA Insured....... RB Aaa/AAA 08/01/10 5.500 2,203,580
10,000 Massachusetts State Water Resource
Authority, (Series A)................. RB A1/A 07/15/08 6.500 11,670,500
7,300 Massachusetts State, (Refunding, Series
A), AMBAC Insured..................... GO Aaa/AAA 08/01/10 5.750 8,203,813
1,495 Massachusetts, State College Building
Authority, (Refunding, Series A)...... RB Aa3/AA- 05/01/11 7.500 1,929,058
1,060 Wareham, (Prerefunded, due 01/15/03),
AMBAC Insured......................... GO Aaa/AAA 01/15/01(a) 6.800 1,162,396
-------------
TOTAL MASSACHUSETTS................. 36,039,493
-------------
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY MOODY'S/
AMOUNT TYPE S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------- -------------
<C> <S> <C> <C> <C> <C> <C>
MICHIGAN (1.3%)
$ 6,045 Michigan State Building Authority,
(Facilites Program, Refunding, Series
I), AMBAC Insured..................... RB Aaa/AAA 10/01/04 6.000% $ 6,653,006
2,905 Michigan State Hospital Finance
Authority Revenue, (Mercy Health
Services, Refunding, Series T)........ RB Aa3/AA- 08/15/04 5.750 3,131,445
-------------
TOTAL MICHIGAN...................... 9,784,451
-------------
MINNESOTA (2.8%)
5,075 Minneapolis & St Paul, (Metropolitan
Community Airport Revenue, Series B),
AMBAC Insured......................... RB NR/AAA 01/01/09 5.500 5,470,799
5,000 University of Minnesota, (Refunding,
Series A)............................. RB Aa2/AA 07/01/10 5.750 5,645,200
5,000 University of Minnesota, (Refunding,
Series A)............................. RB Aa2/AA 07/01/15 5.750 5,562,100
4,290 Western Minnesota Municipal Power
Agency, (Prerefunded, due 01/01/04),
MBIA Insured.......................... RB Aaa/AAA 10/05/98(a) 10.125 4,371,724
-------------
TOTAL MINNESOTA..................... 21,049,823
-------------
MISSISSIPPI (2.7%)
6,000 Mississippi Home Corp. Residual Revenue,
Zero Coupon, (Capital Appreciation,
Prerefunded, Series C)................ RB AAA/NR 09/01/13 0.000 2,882,220
10,960 Mississippi State, (Escrowed to
Maturity, Refunding).................. GO Aaa/AAA 02/01/08 6.200 12,362,442
5,065 Mississippi State, (Gaming County
Highway Improvement, Series A)........ GO Aa3/AA 07/01/05 5.250 5,414,637
-------------
TOTAL MISSISSIPPI................... 20,659,299
-------------
MISSOURI (0.6%)
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 4,553,200
-------------
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY MOODY'S/
AMOUNT TYPE S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------- -------------
<C> <S> <C> <C> <C> <C> <C>
NEBRASKA (0.9%)
$ 4,000 Nebraska Public Power District, (Nuclear
Facilities, Refunding)................ RB A1/A+ 07/01/00 5.200% $ 4,095,640
2,350 Nebraska Public Power District,
(Nuclear-Source Electric Revenue,
Refunding, Series A), MBIA Insured.... RB Aaa/AAA 01/01/04 5.250 2,477,394
-------------
TOTAL NEBRASKA...................... 6,573,034
-------------
NEVADA (4.3%)
500 Carson City School District,
(Prerefunded, due 04/01/03), FGIC
Insured............................... GO Aaa/AAA 04/01/00(a) 6.750 532,820
8,200 Clark County School District, (Series
A), MBIA Insured...................... GO Aaa/AAA 06/01/11 7.000 10,251,886
3,000 Clark County School District, FGIC
Insured............................... GO Aaa/AAA 06/15/03 6.000 3,261,720
3,000 Clark County, (Passenger Facilities, Las
Vegas McCarran International Airport,
Series A)............................. RB A/A 07/01/08 6.250 3,466,140
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 1,823,305
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 1,301,592
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 1,391,693
6,015 Nevada State, (Refunding, Series A-1)... GO Aa2/AA 05/15/10 6.000 6,867,927
1,985 Nevada State, (Refunding, Series A-2)... GO Aa2/AA 05/15/10 6.000 2,266,473
1,330 Nevada, (Prison Facilities, Prerefunded,
due 08/01/04)......................... GO Aa2/AA 08/01/00(a) 7.000 1,433,208
-------------
TOTAL NEVADA........................ 32,596,764
-------------
NEW HAMPSHIRE (1.0%)
4,900 New Hampshire Higher Educational &
Health Facilities Authority,
(Dartmouth College, Refunding)........ RB Aaa/NR 06/01/07 6.750 5,756,863
1,720 New Hampshire, (Prerefunded, Series A,
due 06/15/03)......................... GO Aa/AA+ 06/15/01(a) 6.600 1,875,952
-------------
TOTAL NEW HAMPSHIRE................. 7,632,815
-------------
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY MOODY'S/
AMOUNT TYPE S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------- -------------
<C> <S> <C> <C> <C> <C> <C>
NEW JERSEY (4.6%)
$ 4,180 Jersey City, (Refunding, Series A)...... GO Aa3/AA 10/01/11 6.250% $ 4,878,227
7,000 New Jersey Economic Development
Authority, (Market Transition
Facilities, Series A), MBIA Insured... RB Aaa/AAA 07/01/02 5.400 7,379,820
1,325 New Jersey Economic Development
Authority, (New Jersey Performing Arts
Center Project, Refunding, Series A),
AMBAC Insured......................... RB Aaa/AAA 06/15/07 6.000 1,494,852
1,500 New Jersey Sports & Exposition
Authority, (Sports Complex, Refunding,
Escrowed to Maturity)................. RB Aa1/NR 01/01/00 8.100 1,585,230
6,000 New Jersey Transportation Authority,
(Refunding, Series B), MBIA Insured... RB Aaa/AAA 06/15/05 6.000 6,664,980
7,500 New Jersey Transportation Authority,
(Refunding, Series B), MBIA Insured... RB Aaa/AAA 06/15/10 6.500 8,949,075
2,500 New Jersey Turnpike Authority,
(Refunding, Series A), MBIA Insured... RB Aaa/AAA 01/01/00 6.200 2,581,425
1,000 New Jersey Turnpike Authority,
(Refunding, Series A), MBIA Insured... RB Aaa/AAA 01/01/01 5.700 1,040,530
-------------
TOTAL NEW JERSEY.................... 34,574,139
-------------
NEW YORK (10.8%)
4,000 Metropolitan Transportation Authority,
(Transportation Facilities Revenue,
Prerefunded, Series J, due 07/01/10),
FGIC Insured.......................... RB Aaa/AAA 07/01/02(a) 6.375 4,422,120
130 Monroe County, (Public Improvement,
Unrefunded Balance, due 06/01/09),
AMBAC Insured......................... GO Aaa/AAA 06/01/08(a) 6.000 148,291
75 Monroe County, (Public Improvement,
Unrefunded Balance, due 06/01/10),
AMBAC Insured......................... GO Aaa/AAA 06/01/08(a) 6.000 85,553
1,970 Monroe County, (Public Improvement,
Prerefunded, due 06/01/09), AMBAC
Insured............................... GO Aaa/AAA 06/01/08(a) 6.000 2,247,179
1,340 Monroe County, (Public Improvement,
Prerefunded, due 06/01/10), AMBAC
Insured............................... GO Aaa/AAA 06/01/08(a) 6.000 1,528,538
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY MOODY'S/
AMOUNT TYPE S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------- -------------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 2,000 Municipal Assistance Corp. for City of
New York, (Refunding, Series E)....... RB Aa2/AA 07/01/06 6.000% $ 2,242,500
95 New York City, (Escrowed to Maturity,
Refunding, Series H, Subseries H-1)... GO Aaa/A- 08/01/01 5.500 99,354
1,465 New York City, (Escrowed to Maturity,
Series B)............................. GO Aaa/AAA 06/01/01 8.000 1,627,029
805 New York City, (Escrowed to Maturity,
Series F)............................. GO Aaa/A- 02/15/02 6.100 863,781
2,645 New York City, (Refunding, Series A).... GO A3/A- 08/01/02 5.750 2,800,156
7,000 New York City, (Refunding, Series A).... GO A3/A- 08/01/04 6.750 7,904,960
1,000 New York City, (Refunding, Series E),
FGIC Insured.......................... GO Aaa/AAA 02/15/06 6.500 1,140,430
3,000 New York City, (Refunding, Series F).... GO A3/A- 08/01/06 5.500 3,208,380
4,480 New York City, (Refunding, Series G).... GO A3/A- 08/01/03 5.000 4,649,926
3,425 New York City, (Series F)............... GO A3/A- 02/15/03 6.200 3,709,035
2,000 New York City, (Series G), AMBAC
Insured............................... GO Aaa/AAA 10/15/07 6.000 2,249,980
4,580 New York City, (Unrefunded Balance,
Refunding, Series H, Subseries H-1)... GO A3/A- 08/01/01 5.500 4,769,383
5,000 New York State Dormitory Authority,
(Hospital-New York & Presbyterian,
Refunding, due 08/01/13), AMBAC
Insured............................... RB Aaa/AAA 02/01/08(a) 4.400 5,152,250
2,850 New York State Dormitory Authority,
(Secured Hospital, Interfaith Medical
Center, Series D)..................... RB Baa1/BBB+ 02/15/04 5.500 2,995,407
2,000 New York State Local Government
Assistance Corp, (Refunding, Series
A), AMBAC-TCRS Insured................ RB Aaa/AAA 04/01/06 6.000 2,233,140
5,290 New York State Local Government
Assistance Corp, (Refunding, Series A,
due 04/01/08)......................... RB A3/A+ 04/01/07(a) 6.000 5,930,989
5,000 New York State Thruway Authority,
(Service Contract Revenue, Series A-2,
due 04/01/09), MBIA Insured........... RB Aaa/AAA 04/01/08(a) 5.375 5,384,800
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 1,608,090
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY MOODY'S/
AMOUNT TYPE S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------- -------------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 8,700 Triborough Bridge & Tunnel Authority,
(General Purpose, Refunding, Series
X).................................... RB Aa3/A+ 01/01/12 6.625% $ 10,371,444
4,000 Triborough Bridge & Tunnel Authority,
(Refunding, Series V, due 01/01/05),
FGIC-TCRS Insured..................... RB Aaa/AAA 01/01/01(a) 6.875 4,305,400
-------------
TOTAL NEW YORK...................... 81,678,115
-------------
OHIO (1.1%)
2,000 Ohio State Building Authority, (Admin
Building Fund, Series A).............. RB Aa3/AA- 10/01/06 5.500 2,168,280
2,000 Ohio State Building Authority, (Admin
Building Fund, Series A, due
10/01/09)............................. RB Aa3/AA- 10/01/08(a) 5.250 2,139,780
3,195 Ohio Water Development Authority,
(Refunding, Escrowed to Maturity, due
12/01/10)............................. RB Aaa/AAA 12/01/98(a) 9.375 4,068,481
-------------
TOTAL OHIO.......................... 8,376,541
-------------
PENNSYLVANIA (5.0%)
1,175 Bethel Park School District,
(Prerefunded, Series B, due 02/01/02),
AMBAC Insured......................... GO Aaa/AAA 02/01/00(a) 6.550 1,221,072
970 Pennsylvania Higher Education Assistance
Agency, (Student Loan Revenue,
Refunding, Series A), FGIC Insured.... RB Aaa/AAA 12/01/00 6.800 1,022,545
1,310 Pennsylvania Higher Education Facilities
Authority, College & University
Revenue, (University of Pennsylvania,
Refunding, Series A).................. RB Aa2/AA 09/01/02 6.500 1,426,773
2,800 Pennsylvania Higher Educational
Facilities Authority, Health Services
Revenue, (University of Pennsylvania,
Refunding, Series A).................. RB A1/AA 01/01/06 6.000 3,090,948
14,525 Pennsylvania State, (2nd Series)........ GO Aa3/AA- 08/01/04 5.000 15,303,395
1,500 Pennsylvania, (2nd Series A,
Prerefunded, due 11/01/04), MBIA
Insured............................... GO Aaa/AAA 11/01/01(a) 6.500 1,638,510
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY MOODY'S/
AMOUNT TYPE S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------- -------------
<C> <S> <C> <C> <C> <C> <C>
PENNSYLVANIA (CONTINUED)
$ 1,000 Pennsylvania, (Refunding and Projects,
1st Series A), AMBAC-TCRS Insured..... GO Aaa/AAA 01/01/01 6.600% $ 1,060,600
4,250 Philadelphia Authority for Industrial
Development, (Academy of Natural
Sciences, due 1/1/18)................. PP NR/NR 07/01/01(a) 4.750 4,291,183
8,785 Philadelphia Authority for Industrial
Development, (Airport and Marina
Improvements and Revenue, Series A),
FGIC Insured.......................... RB Aaa/AAA 07/01/04 5.000 9,101,260
-------------
TOTAL PENNSYLVANIA.................. 38,156,286
-------------
RHODE ISLAND (0.8%)
3,785 Rhode Island, (Construction Capital
Development, Series B)................ GO A1/AA- 05/15/00 6.000 3,923,758
2,000 Rhode Island, (Prerefunded, Series B,
due 10/15/01)......................... GO A1/AA- 10/15/99(a) 6.700 2,106,280
-------------
TOTAL RHODE ISLAND.................. 6,030,038
-------------
SOUTH CAROLINA (0.4%)
1,620 Charleston County, (due 06/01/07)....... GO Aa3/AA 06/01/04(a) 5.625 1,768,829
1,000 Piedmont Municipal Power Agency,
(Escrowed to Maturity, Refunding),
MBIA Insured.......................... RB Aaa/AAA 01/01/08 6.200 1,155,900
-------------
TOTAL SOUTH CAROLINA................ 2,924,729
-------------
TENNESSEE (0.5%)
3,500 Rutherford County, (Capital Outlay
Notes, Series A)...................... GO Aa3/AA- 05/01/07 6.500 4,074,805
-------------
TEXAS (7.0%)
1,500 Addison, (Refunding, due 09/01/00), FGIC
Insured............................... GO Aaa/AAA 10/05/98(a) 6.250 1,502,700
1,000 Arlington, (due 08/01/00), AMBAC
Insured............................... GO Aaa/AAA 08/01/99(a) 6.850 1,028,010
1,050 Austin Independent School District,
(Refunding, Series 1991), PSFG
Insured............................... GO Aaa/AAA 08/01/99 6.200 1,074,308
1,500 Austin Utilities System, (Escrowed to
Maturity, due 10/01/01)............... RB Aaa/AAA 04/01/99(a) 6.500 1,615,635
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
34
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY MOODY'S/
AMOUNT TYPE S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------- -------------
<C> <S> <C> <C> <C> <C> <C>
TEXAS (CONTINUED)
$ 7,500 Austin Utilities System, (Refunding,
Series A), FSA Insured................ RB Aaa/AAA 11/15/03 5.750% $ 8,108,175
975 Conroe Independent School District,
(Prerefunded, due 02/01/01), MBIA
Insured............................... GO Aaa/AAA 02/01/99(a) 7.100 989,255
25 Conroe Independent School District,
(Unrefunded Balance, due 02/01/01),
MBIA Insured.......................... GO Aaa/AAA 02/01/99(a) 7.100 25,352
2,260 Corpus Christi Independent School
District, (Refunding), PSFG Insured... GO Aaa/AAA 08/15/05 6.000 2,513,075
1,305 Dallas County, Flood Control District
#1, (Prerefunded, due 04/01/10)....... GO Aaa/NR 04/01/08(a) 9.250 1,804,802
1,650 El Paso Independent School District,
(Prerefunded, due 07/01/03), PSFG
Insured............................... GO Aaa/AAA 07/01/01(a) 6.550 1,769,543
1,700 Harris County, (Road Improvement
Authority, Prerefunded, due 11/01/03),
MBIA Insured.......................... GO Aaa/AAA 11/01/99(a) 7.000 1,766,623
3,805 Lewisville Independent School District,
(Refunding), PSFG Insured............. GO Aaa/NR 08/15/03 6.000 4,147,754
2,325 Northwest Independent School District,
Zero Coupon, (Capital Appreciation,
Refunding), PSFG Insured.............. GO Aaa/NR 08/15/03 0.000 1,907,267
2,320 Northwest Independent School District,
Zero Coupon, (Capital Appreciation,
Refunding), PSFG Insured.............. GO Aaa/NR 08/15/04 0.000 1,820,434
2,000 Plano Independent School District,
(Prerefunded, Series B, due 02/15/04),
FGIC Insured.......................... GO Aaa/AAA 02/15/01(a) 6.550 2,128,900
1,500 San Antonio, (General Improvement,
Refunding)............................ GO Aa2/AA 08/01/07 6.000 1,704,210
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 2,133,980
2,000 Texas, (Public Finance Authority,
Prerefunded, due 10/01/02)............ GO NR/AA 10/01/00(a) 6.300 2,100,140
1,000 Texas, (Public Finance Authority,
Prerefunded, due 10/01/05)............ GO NR/AA 10/01/00(a) 6.500 1,054,030
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
35
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY MOODY'S/
AMOUNT TYPE S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------- -------------
<C> <S> <C> <C> <C> <C> <C>
TEXAS (CONTINUED)
$ 4,000 Texas, (Public Finance Authority,
Refunding, Series B).................. GO Aa2/AA 10/01/03 6.000% $ 4,382,280
6,180 University of Texas, (Financing System
Revenue, Series A).................... RB Aa1/AAA 08/15/07 6.000 6,940,882
2,500 University of Texas, (Permanent
University Fund, Refunding)........... RB Aaa/AAA 07/01/01 6.300 2,671,450
-------------
TOTAL TEXAS......................... 53,188,805
-------------
UTAH (3.7%)
5,000 Building Ownership Authority, (State
Facilities Master Lease PG-C,
Refunding), FSA Insured............... RB Aaa/AAA 05/15/11 5.500 5,473,100
5,130 Intermountain Power Agency, (Refunding,
Series C), MBIA Insured............... RB Aaa/AAA 07/01/00 6.000 5,339,150
1,625 Intermountain Power Agency, (Utah Power
Supply Revenue, Refunding, Series B),
MBIA Insured.......................... RB Aaa/AAA 07/01/09 6.500 1,931,296
4,155 Intermountain Power Agency, (Utah Power
Supply Revenue, Refunding, Series C),
MBIA Insured.......................... RB Aaa/AAA 07/01/01 6.000 4,391,918
6,645 Intermountain Power Agency, (Utah Power
Supply Revenue, Refunding, Series C),
MBIA Insured.......................... RB Aaa/AAA 07/01/02 6.000 7,124,105
3,300 Utah State, (Highway Improvements,
Series F, due 07/01/08)............... GO Aaa/AAA 07/01/07(a) 5.000 3,473,811
-------------
TOTAL UTAH.......................... 27,733,380
-------------
VIRGINIA (2.4%)
10,000 Fairfax County, (Industrial Development
Authority, Prerefunded, Refunding, due
08/29/23)............................. RB AAA/AA 08/28/01(a) 6.801 11,025,000
2,000 Virginia Public School Authority,
(Prerefunded, Series A, due
08/01/04)............................. RB Aa2/AA 08/01/01(a) 6.500 2,182,100
5,000 Virginia Public School Authority,
(Refunding)........................... RB Aa/AA 01/01/02 6.000 5,326,000
-------------
TOTAL VIRGINIA...................... 18,533,100
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
36
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY MOODY'S/
AMOUNT TYPE S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------- -------------
<C> <S> <C> <C> <C> <C> <C>
WASHINGTON (6.1%)
$ 1,555 King & Snohomish Counties, (School
District #417, due 12/01/02), FGIC
Insured............................... GO Aaa/AAA 12/01/00(a) 6.600% $ 1,651,503
605 King County, (Refunding, Series B)...... GO Aa1/AA+ 01/01/01 6.700 643,418
5,750 King County, (Unrefunded Balance,
Refunding, Series B).................. GO Aa1/AA+ 01/01/01 6.700 6,116,448
1,000 Pierce County School District #320,
(Prerefunded, due 12/01/02), MBIA
Insured............................... GO Aaa/AAA 12/01/01(a) 6.600 1,084,000
2,955 Seattle, (Municipal Sewer Revenue,
Prerefunded, Series T, due
01/01/31)............................. RB Aaa/AA- 01/01/00(a) 6.875 3,134,753
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 1,336,800
4,815 Washington Public Power Supply System,
(Nuclear Project #1, Refunding, Series
A), MBIA Insured...................... RB Aaa/AAA 07/01/06 6.000 5,344,457
4,000 Washington Public Power Supply System,
(Nuclear Project #1, Refunding, Series
B).................................... RB Aa1/AA- 07/01/03 5.750 4,288,400
2,000 Washington Public Power Supply System,
(Nuclear Project #2, Refunding, Series
A).................................... RB Aa1/AA- 07/01/06 7.250 2,384,500
5,265 Washington Public Power Supply System,
(Nuclear Project #2, Refunding, Series
A).................................... RB Aa1/AA- 07/01/01 6.300 5,591,167
4,000 Washington Public Power Supply System,
(Nuclear Project #2, Refunding, Series
A).................................... RB Aa1/AA- 07/01/09 5.750 4,415,960
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 2,165,460
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 1,641,765
1,000 Washington, (Prerefunded, Series B, due
08/01/02)............................. GO Aa1/AA+ 08/01/00(a) 6.750 1,054,410
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
37
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY MOODY'S/
AMOUNT TYPE S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) 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% $ 1,882,178
3,075 Washington, (Series A).................. GO Aa1/AA+ 01/01/07 5.250 3,286,960
-------------
TOTAL WASHINGTON.................... 46,022,179
-------------
WEST VIRGINIA (0.5%)
1,000 Berkeley County Board of Education,
(Escrowed to Maturity)................ GO Aaa/AAA 04/01/01 7.300 1,085,900
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 3,020,130
-------------
TOTAL WEST VIRGINIA................. 4,106,030
-------------
WISCONSIN (1.2%)
4,160 Milwaukee County Wisconsin, Zero Coupon
(Capital Appreciation, Refunding,
Series A) FGIC Insured................ GO Aaa/AAA 12/01/10 0.000 2,389,920
1,500 Racine Unified School District,
(Prerefunded, due 04/01/01), AMBAC
Insured............................... GO Aaa/AAA 04/01/99(a) 6.500 1,525,725
5,000 Wisconsin, (Transportation Revenue,
Refunding, Series A).................. RB A1/AA- 07/01/06 4.600 5,139,200
-------------
TOTAL WISCONSIN..................... 9,054,845
-------------
WYOMING (0.5%)
3,600 Platte County, (PCR, Basin Electric
Power Cooperative, Refunding)......... RB A2/A 01/01/06 4.950 3,709,044
-------------
TOTAL LONG TERM INVESTMENTS (COST $714,228,049).................................... 753,123,073
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
38
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY MOODY'S/
AMOUNT TYPE S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------- -------------
<C> <S> <C> <C> <C> <C> <C>
SHORT-TERM INVESTMENTS (1.8%)
ALABAMA (0.1%)
$ 300 North Alabama Environmental Improvement
Authority (Reynolds Metals Inc.
Project, PCR, Refunding, Series 1985,
due 12/01/00), LOC Bank of Nova
Scotia................................ VRDN P-1/NR 09/01/98(b) 3.375% $ 300,000
250 West Jefferson Industrial Development
Board, (PCR, Alabama Power Co.
Project, Refunding, due 06/01/28)..... VRDN VMIG1/A-1 09/01/98(b) 3.250 250,000
-------------
550,000
-------------
CALIFORNIA (0.0%)
200 Los Angeles Airport Improvement Corp.,
(American Airlines, LA International,
Lease Revenue, Series A, due
12/01/24), LOC Wachovia Bank.......... VRDN P-1/NR 09/01/98(b) 3.375 200,000
-------------
FLORIDA (0.8%)
3,700 Hillsborough County Industrial
Development Authority, (PCR,
Refunding, due 05/15/18).............. VRDN VMIG1/A-1+ 09/01/98(b) 3.200 5,800,000
-------------
GEORGIA (0.3%)
400 Bartow County Development Authority,
(PCR, Georgia Power Co., 1st Series,
due 06/01/23)......................... VRDN VMIG1/A 09/01/98(b) 3.250 400,000
500 Burke County Development Authority,
(PCR, Georgia Power Co., Vogtle
Project-4th Series, due 09/01/25)..... VRDN VMIG1/A+ 09/01/98(b) 3.250 500,000
500 Burke County Development Authority,
(PCR, Georgia Power Co., Vogtle
Project-4th. Series, due 07/01/24).... VRDN VMIG1/A-1 09/01/98(b) 3.850 500,000
250 Burke County Development Authority,
(PCR, Georgia Power Co., Vogtle
Project-5th Series, due 07/01/24)..... VRDN VMIG1/A-1 09/01/98(b) 3.300 250,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
39
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY MOODY'S/
AMOUNT TYPE S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------- -------------
<C> <S> <C> <C> <C> <C> <C>
GEORGIA (CONTINUED)
$ 400 Coweta County Development Authority,
(PCR, Georgia Power Co., Yates Plant,
due 03/01/24)......................... VRDN VMIGI/A-1 09/01/98(b) 3.250% $ 400,000
300 Heard County Development Authority,
(PCR, Georgia Power Co., Wansley
Plant, Refunding, due 09/01/29)....... VRDN VMIG1/A-1 09/01/98(b) 3.250 300,000
-------------
2,350,000
-------------
ILLINOIS (0.1%)
500 Illinois Development Finance Authority,
(Olin Project, Refunding, Series D,
due 03/01/16), LOC Wachovia Bank...... VRDN NR/A-1+ 09/01/98(b) 3.300 500,000
200 Illinois Educational Facilities
Authority, (University Pooled
Financing Program, due 12/01/05), FGIC
Insured............................... VRDN VMIG1/A-1+ 09/02/98(b) 3.250 200,000
-------------
700,000
-------------
INDIANA (0.0%)
200 Indiana Development Finance Authority,
(Bayer Corp. Project, Refunding, due
03/01/09)............................. VRDN P-1/A-1+ 09/01/98(b) 3.300 200,000
-------------
KANSAS (0.0%)
100 Kansas City, (Industry Revenue
Development Corp. Project, Refunding,
IDR, due 08/01/15), LOC Bank Of New
York.................................. VRDN VMIG1/NR 09/01/98(b) 3.400 100,000
-------------
LOUISIANA (0.0%)
300 Calcasieu Parish, (Industrial
Development Board, Refunding, Olin
Corp. Project, Series B, due
02/01/16), LOC Wachovia Bank.......... VRDN NR/A-1+ 09/01/98(b) 3.300 300,000
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
40
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY MOODY'S/
AMOUNT TYPE S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------- -------------
<C> <S> <C> <C> <C> <C> <C>
MICHIGAN (0.1%)
$ 800 Midland County Economic Development
Corp., (Dow Chemical Co. Project,
Refunding, Series B, due 12/01/15).... VRDN P-1/A-1 09/01/98(b) 3.300% $ 800,000
-------------
MISSOURI (0.1%)
500 Missouri Environmental Impact Authority
& Energy Resource Authority, (Bayer
Corp. Project, Refunding, due
03/01/09)............................. VRDN P-1/NR 09/01/98(b) 3.300 500,000
-------------
NEW YORK (0.1%)
700 New York City, (Sub-Series B-4, due
08/15/21), LOC Union Bank of
Switzerland........................... VRDN VMIG1/A-1+ 09/01/98(b) 3.750 700,000
-------------
TENNESSEE (0.0%)
350 Bradley County Industrial Development
Board, (Olin Corp. Project, Series C,
due 11/01/17), LOC Wachovia Bank...... VRDN NR/A-1+ 09/01/98(b) 3.300 350,000
-------------
TEXAS (0.1%)
1,000 North Central Health Facilities
Development Corp., (Hospital Revenue,
Presbyterian Medical Center, Series D,
due 12/01/15), MBIA Insured........... VRDN VMIG1/A-1+ 09/01/98(b) 3.375 1,000,000
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
41
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY MOODY'S/
AMOUNT TYPE S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------- -------------
<C> <S> <C> <C> <C> <C> <C>
WYOMING (0.1%)
$ 300 Lincoln County, (PCR, Exxon Project,
Series B, due 11/01/14)............... VRDN P-1/A-1+ 09/01/98(b) 3.300% $ 300,000
200 Platte County, (PCR, Tri-State G&T,
Series A, due 07/01/14), LOC Societe
Generale.............................. VRDN P-1/NR 09/01/98(b) 3.850 200,000
-------------
500,000
-------------
TOTAL SHORT-TERM INVESTMENTS (COST $14,050,000).................................... 14,050,000
-------------
TOTAL INVESTMENTS (COST $728,278,050) (101.3%)......................................... 767,173,073
LIABILITIES IN EXCESS OF OTHER ASSETS (-1.3%).......................................... (10,194,102)
-------------
NET ASSETS (100.0%).................................................................... $ 756,978,971
-------------
-------------
</TABLE>
- ------------------------------
Note: Based on the cost of investments of $728,278,050 for federal income tax
purposes at August 31,1998, the aggregate gross unrealized appreciation and
depreciation was $39,041,575 and $146,552, respectively, resulting in net
unrealized appreciation of $38,895,023.
(a) The date listed under the heading maturity date represents an optional
tender date or the next interest rate reset 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.
Abbreviations used in the Schedule of Investments are as follows:
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, TCRS -
Transferable Custodial Receipts, 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 which 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.
Unrefunded Balance: Bonds for which the issuer of the bond invests the proceeds
from a subsequent smaller bond issuance in treasury securities, whose maturity
coincides with the first call date of the first bond.
The Accompanying Notes are an Integral Part of the Financial Statements.
42
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
AUGUST 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $728,278,050) $767,173,073
Cash 42,014
Receivable for Investments Sold 3,218,638
Interest Receivable 8,393,019
Prepaid Trustees' Fees 3,425
Prepaid Expenses and Other Assets 259
------------
Total Assets 778,830,428
------------
LIABILITIES
Payable for Investments Purchased 21,559,569
Advisory Fee Payable 189,500
Custody Fee Payable 32,221
Administrative Services Fee Payable 18,010
Administration Fee Payable 2,090
Fund Services Fee Payable 692
Accrued Expenses 49,375
------------
Total Liabilities 21,851,457
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $756,978,971
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
43
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE FISCAL YEAR ENDED AUGUST 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $34,098,515
EXPENSES
Advisory Fee $2,017,415
Custodian Fees and Expenses 199,584
Administrative Services Fee 198,156
Professional Fees and Expenses 50,007
Fund Services Fee 21,294
Administration Fee 9,832
Trustees' Fees and Expenses 7,398
Miscellaneous 11,456
----------
Total Expenses 2,515,142
-----------
NET INVESTMENT INCOME 31,583,373
NET REALIZED GAIN ON INVESTMENTS 680,094
NET CHANGE IN UNREALIZED APPRECIATION OF
INVESTMENTS 15,917,500
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $48,180,967
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
44
<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, 1998 AUGUST 31, 1997
--------------- ---------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 31,583,373 $ 26,643,745
Net Realized Gain on Investments 680,094 829,545
Net Change in Unrealized Appreciation of
Investments 15,917,500 9,668,350
--------------- ---------------
Net Increase in Net Assets Resulting from
Operations 48,180,967 37,141,640
--------------- ---------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 337,310,680 284,352,430
Withdrawals (232,110,590) (209,280,115)
--------------- ---------------
Net Increase from Investors' Transactions 105,200,090 75,072,315
--------------- ---------------
Total Increase in Net Assets 153,381,057 112,213,955
NET ASSETS
Beginning of Fiscal Year 603,597,914 491,383,959
--------------- ---------------
End of Fiscal Year $ 756,978,971 $ 603,597,914
--------------- ---------------
--------------- ---------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FISCAL YEAR ENDED AUGUST 31,
1998
-------------------------------------
1998 1997 1996 1995 1994
----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.37% 0.38% 0.38% 0.42% 0.41%
Net Investment Income 4.70% 4.93% 4.92% 5.15% 4.68%
Portfolio Turnover 16% 25% 25% 47% 33%
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
45
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
AUGUST 31, 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 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.
46
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
AUGUST 31, 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. Effective October 28, 1998 the portfolio's
Investment Advisor will be J.P. Morgan Investment Management Inc., a
wholly owned subsidiary of J.P. Morgan & Co. Inc., and the terms of the
Agreement will remain the same. For the fiscal year ended August 31, 1998,
such fees amounted to $2,017,415.
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 fiscal year ended August 31, 1998, the fee
for these services amounted to $9,832.
c) The portfolio has an Administrative Services Agreement (the "Services
Agreement") with Morgan under which Morgan is responsible for 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 (formerly
JPM Series Trust) in accordance with the following annual schedule: 0.09%
on the first $7 billion of their aggregate average daily net assets and
0.04% of their aggregate average daily net assets in excess of $7 billion
less the complex-wide fees payable to FDI. The portion of this charge
payable by the portfolio is determined by the proportionate share that its
net assets bear to the net assets of the master portfolios, other
investors in the master portfolios for which Morgan provides similar
services, and J.P. Morgan Series Trust. For the fiscal year ended August
31, 1998, the fee for these services amounted to $198,156.
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 $21,294 for the fiscal year ended August 31, 1998.
e) An aggregate annual fee of $75,000 is paid to each trustee for serving as
a trustee of the trust, the J.P. Morgan Funds (formerly The JPM Pierpont
Funds), the J.P. Morgan Institutional Funds (formerly The JPM
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
47
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
AUGUST 31, 1998
- --------------------------------------------------------------------------------
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
$4,500.
3. INVESTMENT TRANSACTIONS
Investments transactions (excluding short-term investments) for the fiscal year
ended August 31, 1998 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
- ----------------- ------------
<S> <C>
$265,777,265...... $102,490,137
</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.
48
<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, 1998, the results of its operations for the year then
ended, the changes in its net assets for each of the two years in the period
then ended and its supplementary data for each of the five years in the period
then ended, 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, 1998 by correspondence with the custodian and brokers, provide a reasonable
basis for the opinion expressed above.
PricewaterhouseCoopers LLP
New York, New York
October 15, 1998
49
