<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
FEBRUARY 28, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P RATING DATE RATE VALUE
- -------------- --------------------------------- -------- -------------- ------------ ------- -------------
<C> <S> <C> <C> <C> <C> <C>
LONG-TERM INVESTMENTS (98.7%)
ALABAMA (1.1%)
$ 6,760 Alabama Public School & College
Authority, (Capital
Improvement)................... RB Aa3/AA 11/01/08 5.000% $ 7,160,462
1,185 Childersburg Industrial
Development Board, (PCR,
Kimberly Clark Corp. Project,
Callable, Escrowed to Maturity,
due 11/15/99).................. RB Aa2/AA 05/15/99(a) 7.400 1,208,499
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(v) 1,089,680
-------------
TOTAL ALABAMA................ 9,458,641
-------------
ALASKA (1.1%)
2,000 Anchorage, (Prerefunded, due
07/01/02), MBIA Insured........ GO Aaa/AAA 07/01/01(a) 6.600 2,139,640
1,075 Anchorage, (Callable, Refunding,
due 06/01/03), AMBAC Insured... GO Aaa/AAA 06/01/99(a) 7.100 1,095,167
1,000 Anchorage, (Series A), AMBAC
Insured........................ GO Aaa/AAA 02/01/00 6.850 1,033,850
3,000 North Slope Borough, (Series A),
MBIA Insured................... GO Aaa/AAA 06/30/00 5.550 3,086,670
2,200 North Slope Borough, Zero Coupon,
(Capital Appreciation, Series
B), MBIA Insured............... GO Aaa/AAA 06/30/01 3.570(y) 2,024,858
-------------
TOTAL ALASKA................. 9,380,185
-------------
ARIZONA (1.8%)
8,880 Arizona Transportation Board,
(Excise Tax Revenue, Maricopa
County Regional Area, Series
A)............................. RB Aa2/AA- 07/01/02 5.000 9,232,270
1,000 Maricopa County School District
#11, (Peoria Unified School
Improvement, Callable,
Prerefunded, Series H, due
07/01/05), MBIA Insured........ GO Aaa/AAA 07/01/99(a) 7.000 1,078,690
1,750 Phoenix, (Refunding, Series C)... GO Aa1/AA+ 07/01/02 6.375 1,896,912
3,315 Salt River Project, (Agricultural
Improvement & Power District,
Electric System Revenue,
Refunding, Series A)........... RB Aa2/AA 01/01/06 6.000 3,690,788
-------------
TOTAL ARIZONA................ 15,898,660
-------------
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P RATING DATE RATE VALUE
- -------------- --------------------------------- -------- -------------- ------------ ------- -------------
<C> <S> <C> <C> <C> <C> <C>
CALIFORNIA (3.4%)
$ 6,000 California....................... GO Aa3/A+ 02/01/08 6.500% $ 7,033,620
5,210 California....................... GO Aa3/A+ 10/01/09 6.000 5,964,043
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 3,177,997
2,750 California Pollution Control
Financing Authority, (PCR,
Laidlaw Environmental,
Refunding, Series A)........... RB NR/NR 07/01/07 6.700 2,925,037
542 Kaweah Delta Hospital District,
Tulare County, (Series D)...... PP NR/A+ 06/01/14 4.250 543,355
1,049 Kaweah Delta Hospital District,
Tulare County, (Series E)...... PP NR/A+ 06/01/14 5.250 1,070,273
1,541 Kaweah Delta Hospital District,
Tulare County, (Series G)...... PP NR/A+ 06/01/04 6.400 1,675,145
2,500 Los Angeles County Public Works
Financing Authority, (Lease
Revenue, Refunding, Series A),
MBIA Insured................... RB Aaa/AAA 09/01/06 6.000 2,826,525
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 4,594,506
-------------
TOTAL CALIFORNIA............. 29,810,501
-------------
COLORADO (0.2%)
1,295 Adams County School District #12,
FGIC Insured................... GO Aaa/AAA 12/15/06 6.000 1,457,678
-------------
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 3,126,902
-------------
DELAWARE (0.3%)
2,650 Delaware Transportation
Authority, (Transportation
System Revenue, Refunding),
AMBAC Insured(t)............... RB Aaa/AAA 07/01/00 5.250 2,719,589
-------------
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P RATING DATE RATE VALUE
- -------------- --------------------------------- -------- -------------- ------------ ------- -------------
<C> <S> <C> <C> <C> <C> <C>
DISTRICT OF COLUMBIA (4.2%)
$ 220 District of Columbia, (Escrowed
to Maturity, Prerefunded,
Series A), MBIA-IBC Insured.... GO NR/AAA 06/01/07 6.000% $ 246,525
60 District of Columbia, (Escrowed
to Maturity, Prerefunded,
Series B), MBIA Insured........ GO NR/AAA 06/01/02 6.000 64,273
910 District of Columbia, (Escrowed
to Maturity, Prerefunded,
Series C), FGIC Insured........ GO Aaa/AAA 12/01/03 5.250 966,738
6,590 District of Columbia, (Unrefunded
Balance, Refunding, Series C),
FGIC Insured................... GO Aaa/AAA 12/01/03 5.250 6,986,784
2,780 District of Columbia, (Unrefunded
Balance, Series A), MBIA-IBC
Insured........................ GO Aaa/AAA 06/01/07 6.000 3,105,538
2,540 District of Columbia, (Unrefunded
Balance, Series B), MBIA
Insured........................ GO Aaa/AAA 06/01/02 6.000 2,711,298
5,000 Metropolitan Airport, (General
Airport Revenue, Callable,
Refunding, Series B, due
10/01/09), MBIA Insured........ RB Aaa/AAA 10/01/08(a) 5.250 5,289,150
3,665 Metropolitan Airport, (General
Airport Revenue, Callable,
Series A, due 10/01/10), FGIC
Insured........................ RB Aaa/AAA 10/01/00(a) 7.250 3,903,005
1,200 Metropolitan Airport, (General
Airport Revenue, Series B),
FGIC Insured................... RB Aaa/AAA 10/01/00 5.250 1,233,420
1,000 Metropolitan Airport, (General
Airport Revenue, Series B),
FGIC Insured................... RB Aaa/AAA 10/01/03 5.750 1,076,020
4,015 Metropolitan Airport, (General
Airport Revenue, Series B),
FGIC Insured................... RB Aaa/AAA 10/01/05 6.000 4,436,013
5,745 Metropolitan Airport, (General
Airport Revenue, Series B),
FGIC Insured................... RB Aaa/AAA 10/01/06 6.000 6,387,061
-------------
TOTAL DISTRICT OF COLUMBIA... 36,405,825
-------------
FLORIDA (4.9%)
5,765 Dade County School District,
(Refunding), MBIA Insured...... GO Aaa/AAA 07/15/05 6.000 6,427,341
1,535 Florida Board of Education,
(Capital Outlay, Callable,
Escrowed to Maturity,
Refunding, Series C, due
06/01/01)...................... GO Aaa/AAA 03/31/99(a) 7.000 1,629,326
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P RATING DATE RATE VALUE
- -------------- --------------------------------- -------- -------------- ------------ ------- -------------
<C> <S> <C> <C> <C> <C> <C>
FLORIDA (CONTINUED)
$ 465 Florida Board of Education,
(Capital Outlay, Callable,
Unrefunded Balance, Series C,
due 06/01/01).................. GO Aa2/AA+ 04/01/99(a) 7.000% $ 472,049
2,625 Florida Board of Education,
(Lottery Revenue, Series C),
FGIC Insured................... RB Aaa/AAA 07/01/00 4.000 2,655,397
2,000 Jacksonville Health Facilities
Authority, (Hospital Revenue,
Charity Obligated Group,
Refunding, Series A), MBIA
Insured........................ RB Aaa/AAA 08/15/06 5.500 2,186,380
10,000 Miami, Dade County School
District, (Refunding), FSA
Insured........................ GO Aaa/AAA 08/01/11 5.375 10,842,000
10,830 Miami, Dade County, (Aviation
Revenue, Callable, Series W,
due 10/01/05), AMBAC Insured... RB Aaa/AAA 10/01/02(a) 5.900 11,708,530
2,310 Miami, Dade County, (Aviation
Revenue, Refunding, Series A),
FGIC Insured................... RB Aaa/AAA 10/01/05 5.000 2,436,750
2,000 Tampa, (Health System Revenue,
Catholic Health, Refunding,
Series A-1), MBIA Insured...... RB Aaa/AAA 11/15/04 5.250 2,142,640
2,000 Volusia County School District,
(Callable, Refunding, due
08/01/02), FGIC Insured........ GO Aaa/AAA 08/01/01(a) 6.100 2,150,140
-------------
TOTAL FLORIDA................ 42,650,553
-------------
GEORGIA (4.0%)
2,630 Fulton County School District,
(Refunding).................... GO Aa2/AA 05/01/14 6.375 3,087,778
1,250 Georgia Municipal Electric
Authority, (Power General
Revenue, Refunding, Series
A)............................. RB A3/A 01/01/12 6.500 1,461,937
4,500 Georgia Municipal Electric
Authority, (Power Revenue,
Crossover Refunding, Series
DD), AMBAC-TCRS Insured........ RB Aaa/AAA 01/01/08 7.000 5,389,695
6,000 Georgia, (Series B).............. GO Aaa/AAA 03/01/07 7.200 7,263,120
3,000 Georgia, (Series B).............. GO Aaa/AAA 03/01/10 6.300 3,517,530
4,470 Georgia, (Series C).............. GO Aaa/AAA 07/01/11 5.700 5,026,113
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P RATING DATE RATE VALUE
- -------------- --------------------------------- -------- -------------- ------------ ------- -------------
<C> <S> <C> <C> <C> <C> <C>
GEORGIA (CONTINUED)
$ 2,500 Gwinnett County School District,
(Refunding, Series B).......... GO Aa1/AA+ 02/01/08 6.400% $ 2,918,300
5,000 Metropolitan Atlanta Rapid
Transit Authority, (Sales Tax
Revenue, Refunding, Series P),
AMBAC Insured.................. RB Aaa/AAA 07/01/11 6.250 5,840,250
-------------
TOTAL GEORGIA................ 34,504,723
-------------
HAWAII (1.1%)
5,000 Hawaii, (Refunding, Series CO),
FGIC Insured................... GO Aaa/AAA 03/01/02 6.000 5,318,750
2,000 Hawaii, (Series BZ).............. GO A1/A+ 10/01/12 6.000 2,262,660
510 Honolulu, (Escrowed to Maturity,
Prerefunded, Series B)......... GO NR/AA 10/01/11 5.500 560,500
1,490 Honolulu, (Unrefunded Balance,
Series B)...................... GO Aa2/AA 10/01/11 5.500 1,625,501
-------------
TOTAL HAWAII................. 9,767,411
-------------
ILLINOIS (8.0%)
3,000 Chicago Board of Education,
(Chicago School Reform), AMBAC
Insured........................ GO Aaa/AAA 12/01/09 6.750 3,580,230
1,000 Chicago Board of Education,
(Lease Certificates, Series A),
MBIA Insured................... RB Aaa/AAA 01/01/06 6.125 1,113,180
4,130 Chicago Board of Education,
(Lease Certificates, Series A),
MBIA Insured................... RB Aaa/AAA 01/01/07 6.125 4,626,839
3,000 Chicago, (Refunding, Series A-2),
AMBAC Insured.................. GO Aaa/AAA 01/01/11 6.000 3,399,360
3,280 Cook County, (Refunding, Series
C), FGIC Insured............... GO Aaa/AAA 11/15/04 5.800 3,577,430
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) 3.882(y) 5,162,100
1,375 Du Page County, (Alternative
Revenue, Jail Project,
Prerefunded, due 01/01/21)..... GO Aaa/AAA 01/01/02(a) 6.550 1,507,907
4,440 Hoffman Estates, Tax Increment
Revenue, (Economic Development
Project Area, Refunding), AMBAC
Insured........................ RB Aaa/AAA 11/15/04 5.500 4,775,309
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P RATING DATE RATE VALUE
- -------------- --------------------------------- -------- -------------- ------------ ------- -------------
<C> <S> <C> <C> <C> <C> <C>
ILLINOIS (CONTINUED)
$ 3,000 Illinois Development Finance
Authority...................... PP NR/NR 08/01/28 4.900% $ 3,000,000
3,000 Illinois Sales Tax Revenue,
(Refunding, Series Q).......... RB Aa2/AAA 06/15/09 6.000 3,386,970
4,175 Illinois Sales Tax Revenue,
(Refunding, Series Q).......... RB Aa2/AAA 06/15/12 6.000 4,745,597
8,705 Illinois, (Refunding)............ GO Aa2/AA 06/01/04 5.000 9,160,707
180 Metropolitan Pier & Exposition
Authority, (Dedicated State Tax
Revenue, McCormick Place
Expansion Project, Escrowed to
Maturity, Prerefunded, Series
A)............................. RB NR/AA- 06/15/06 8.500 230,069
2,320 Metropolitan Pier & Exposition
Authority, (Dedicated State Tax
Revenue, McCormick Place
Expansion Project, Unrefunded
Balance, Series A)............. RB A1/AA- 06/15/06 8.500 2,942,270
5,420 Metropolitan Pier & Exposition
Authority, Zero Coupon,
(Dedicated State Tax Revenue,
Capital Appreciation, McCormick
Place Expansion Project,
Refunding), MBIA Insured....... RB Aaa/AAA 06/15/14 4.971(y) 2,556,506
11,000 Metropolitan Pier & Exposition
Authority, Zero Coupon,
(Dedicated State Tax Revenue,
Capital Appreciation, McCormick
Place Expansion Project,
Refunding, Series A), MBIA
Insured........................ RB Aaa/AAA 12/15/11 4.701(y) 6,067,930
9,705 Metropolitan Pier & Exposition
Authority, Zero Coupon,
(Dedicated State Tax Revenue,
Capital Appreciation, McCormick
Place Expansion Project,
Refunding, Series A), MBIA
Insured........................ RB Aaa/AAA 06/15/12 4.801(y) 5,163,060
2,810 Regional Transportation
Authority, (Series D), FGIC
Insured........................ RB Aaa/AAA 06/01/07 7.750 3,466,585
1,000 University of Illinois,
(Callable, Escrowed to
Maturity, due 10/01/01)........ RB Aaa/AAA 04/01/99(a) 6.000 1,063,620
-------------
TOTAL ILLINOIS............... 69,525,669
-------------
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P RATING DATE RATE VALUE
- -------------- --------------------------------- -------- -------------- ------------ ------- -------------
<C> <S> <C> <C> <C> <C> <C>
INDIANA (2.0%)
$ 3,955 Indiana Health Facilities
Financing Authority, (Hospital
Revenue, Sisters of St. Francis
Health Services, Refunding,
Series A), MBIA Insured........ RB Aaa/AAA 11/01/05 5.500% $ 4,269,739
2,000 Indiana Municipal Power Agency,
(Power Supply System Revenue,
Refunding, Series B), MBIA
Insured........................ RB Aaa/AAA 01/01/13 6.000 2,261,720
3,915 Indiana Transportation Finance
Authority, (Highway Revenue,
Series A), AMBAC Insured....... RB Aaa/AAA 06/01/09 5.250 4,148,725
6,000 Indiana Transportation Finance
Authority, (Highway Revenue,
Series A), MBIA Insured........ RB Aaa/AAA 12/01/07 5.250 6,426,480
-------------
TOTAL INDIANA................ 17,106,664
-------------
KENTUCKY (0.3%)
2,765 Kentucky Turnpike Authority,
(Road Recovery Revenue,
Callable, Escrowed to Maturity,
due 07/01/02).................. RB Aaa/NR 03/31/99(a) 7.100 2,921,637
-------------
LOUISIANA (0.4%)
3,385 Louisiana Public Facilities
Authority, (Hospital Revenue,
Pendleton Memorial,
Prerefunded, due 06/01/22)..... RB NR/AAA 06/01/02(a) 6.750 3,757,756
-------------
MARYLAND (1.1%)
5,435 Maryland Health & Higher
Educational Facilities
Authority, (John Hopkins
University, Refunding)......... RB Aa2/AA- 07/01/03 5.750 5,890,073
3,000 Maryland, (Callable, 3rd Series,
due 07/15/03).................. GO Aaa/AAA 07/15/01(a) 6.400 3,194,820
-------------
TOTAL MARYLAND............... 9,084,893
-------------
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P RATING DATE RATE VALUE
- -------------- --------------------------------- -------- -------------- ------------ ------- -------------
<C> <S> <C> <C> <C> <C> <C>
MASSACHUSETTS (4.2%)
$ 5,650 Massachusetts Bay Transportation
Authority, (General
Transportation System,
Refunding, Series A)........... RB Aa3/AA- 03/01/08 7.000% $ 6,841,415
3,700 Massachusetts Bay Transportation
Authority, (General
Transportation System,
Refunding, Series A), MBIA
Insured........................ RB Aaa/AAA 03/01/10 5.500 4,074,292
1,495 Massachusetts State College
Building Authority, (Refunding,
Series A)...................... RB Aa3/AA- 05/01/11 7.500 1,917,681
2,000 Massachusetts State Water
Resource Authority, (General
Series A), FSA Insured......... RB Aaa/AAA 08/01/10 5.500 2,193,120
10,000 Massachusetts State Water
Resource Authority, (Series
A)............................. RB A1/A 07/15/08 6.500 11,651,600
7,300 Massachusetts, (Refunding, Series
A), AMBAC Insured.............. GO Aaa/AAA 08/01/10 5.750 8,223,231
1,060 Wareham, (Prerefunded, due
01/15/03), AMBAC Insured....... GO Aaa/AAA 01/15/01(a) 6.800 1,155,474
-------------
TOTAL MASSACHUSETTS.......... 36,056,813
-------------
MICHIGAN (1.6%)
3,700 Kent County, (Refuse Disposal
System, Callable, Refunding,
Series A, due 11/01/08)........ GO Aa2/AAA 11/01/06(a) 5.000 3,916,487
6,045 Michigan State Building
Authority, (Facilites Program,
Refunding, Series I), AMBAC
Insured........................ RB Aaa/AAA 10/01/04 6.000 6,671,262
2,905 Michigan State Hospital Finance
Authority Revenue, (Mercy
Health Services, Refunding,
Series T)...................... RB Aa3/AA- 08/15/04 5.750 3,149,514
-------------
TOTAL MICHIGAN............... 13,737,263
-------------
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P RATING DATE RATE VALUE
- -------------- --------------------------------- -------- -------------- ------------ ------- -------------
<C> <S> <C> <C> <C> <C> <C>
MINNESOTA (1.9%)
$ 5,075 Minneapolis & St. Paul,
(Metropolitan Community Airport
Revenue, Callable, Series B,
due 01/01/09), AMBAC Insured... RB Aaa/AAA 01/01/08(a) 5.500% $ 5,507,644
5,000 University of Minnesota,
(Refunding, Series A).......... RB Aa2/AA 07/01/10 5.750 5,609,500
5,000 University of Minnesota,
(Refunding, Series A).......... RB Aa2/AA 07/01/15 5.750 5,514,800
-------------
TOTAL MINNESOTA.............. 16,631,944
-------------
MISSISSIPPI (2.1%)
10,940 Mississippi, (Escrowed to
Maturity, Callable,
Refunding)..................... GO Aaa/AAA 02/01/08 6.200 12,399,068
5,065 Mississippi, (Gaming County
Highway Improvement, Series
A)............................. GO Aa3/AA 07/01/05 5.250 5,432,668
-------------
TOTAL MISSISSIPPI............ 17,831,736
-------------
MISSOURI (0.5%)
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 4,536,920
-------------
NEBRASKA (2.2%)
4,000 Nebraska Public Power District,
(Nuclear Facilities,
Refunding)..................... RB A1/A+ 07/01/00 5.200 4,090,400
2,350 Nebraska Public Power District,
(Refunding, General Series A),
MBIA Insured................... RB Aaa/AAA 01/01/04 5.250 2,491,681
7,955 Nebraska Public Power District,
(Refunding, General Series A),
MBIA Insured................... RB Aaa/AAA 01/01/07 5.250 8,529,828
3,720 University of Nebraska
(Facilities Corporation,
Deferred Maintenance
Project)....................... RB Aa2/AA- 07/15/06 5.250 4,001,939
-------------
TOTAL NEBRASKA............... 19,113,848
-------------
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P RATING DATE RATE VALUE
- -------------- --------------------------------- -------- -------------- ------------ ------- -------------
<C> <S> <C> <C> <C> <C> <C>
NEVADA (4.4%)
$ 500 Carson City School District,
(Prerefunded, due 04/01/03),
FGIC Insured................... GO Aaa/AAA 04/01/00(a) 6.750% $ 528,305
8,000 Clark County School District,
(Refunding).................... GO Aaa/AAA 06/15/14 5.500 8,690,720
8,200 Clark County School District,
(Series A), MBIA Insured....... GO Aaa/AAA 06/01/11 7.000 10,146,598
3,000 Clark County, (Passenger
Facilities Charge Revenue, Las
Vegas McCarran International
Airport, Series A)............. RB A/A 07/01/08 6.250 3,424,320
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 1,816,076
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 1,295,916
1,280 Las Vegas, (Clark County Library
District, Callable, Refunding,
Series B, due 08/01/04), FGIC
Insured........................ GO Aaa/AAA 08/01/01(a) 6.700 1,375,770
1,330 Nevada, (Prison Facilities,
Prerefunded, due 08/01/04)..... GO Aa2/AA 08/01/00(a) 7.000 1,422,648
6,015 Nevada, (Refunding, Series
A-1)........................... GO Aa2/AA 05/15/10 6.000 6,868,107
1,985 Nevada, (Refunding, Series
A-2)........................... GO Aa2/AA 05/15/10 6.000 2,266,533
-------------
TOTAL NEVADA................. 37,834,993
-------------
NEW HAMPSHIRE (0.9%)
4,900 New Hampshire Higher Educational
& Health Facilities Authority,
(Dartmouth College,
Refunding)..................... RB Aaa/NR 06/01/07 6.750 5,805,422
1,720 New Hampshire, (Prerefunded,
Series A, due 06/15/03)........ GO Aa/AA+ 06/15/01(a) 6.600 1,869,692
-------------
TOTAL NEW HAMPSHIRE.......... 7,675,114
-------------
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P RATING DATE RATE VALUE
- -------------- --------------------------------- -------- -------------- ------------ ------- -------------
<C> <S> <C> <C> <C> <C> <C>
NEW JERSEY (5.5%)
$ 4,180 Jersey City, (Refunding, Series
A)............................. GO Aa3/AA 10/01/11 6.250% $ 4,862,594
5,000 New Jersey....................... GO Aa1/AA+ 02/01/03 4.500 5,135,100
7,000 New Jersey Economic Development
Authority, (Market Transition
Facilities Revenue, Sr. Lien,
Series A), MBIA Insured(t)..... RB Aaa/AAA 07/01/02 5.400 7,375,760
1,500 New Jersey Sports & Exposition
Authority, (Sports Complex,
Callable, Escrowed to Maturity,
Refunding)..................... RB Aa1/NR 01/01/00 8.100 1,561,350
6,000 New Jersey Transportation
Authority, (Refunding, Series
B), MBIA Insured(t)............ RB Aaa/AAA 06/15/05 6.000 6,681,180
7,500 New Jersey Transportation
Authority, (Refunding, Series
B), MBIA Insured............... RB Aaa/AAA 06/15/10 6.500 8,923,200
8,500 New Jersey Transportation
Authority, (Series A).......... RB Aa2/AA- 06/15/06 5.000 8,982,800
2,500 New Jersey Turnpike Authority,
(Refunding, Series A), MBIA-IBC
Insured........................ RB Aaa/AAA 01/01/00 6.200 2,563,750
1,000 New Jersey Turnpike Authority,
(Refunding, Series A), MBIA-IBC
Insured........................ RB Aaa/AAA 01/01/01 5.700 1,039,290
-------------
TOTAL NEW JERSEY............. 47,125,024
-------------
NEW MEXICO (0.5%)
4,390 New Mexico, (Highway Commission
Tax Revenue, Subordinated Lien,
Series B)...................... RB A1/AA 06/15/07 4.500 4,454,094
-------------
NEW YORK (8.8%)
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 4,416,000
1,970 Monroe County, (Public
Improvement, Prerefunded,
Series 1995, due 06/01/09),
AMBAC Insured.................. GO Aaa/AAA 06/01/08(a) 6.000 2,252,616
1,340 Monroe County, (Public
Improvement, Prerefunded,
Series 1995, due 06/01/10),
AMBAC Insured.................. GO Aaa/AAA 06/01/08(a) 6.000 1,532,236
130 Monroe County, (Public
Improvement, Callable,
Unrefunded Balance, due
06/01/09), AMBAC Insured....... GO Aaa/AAA 06/01/08(a) 6.000 148,650
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P RATING DATE RATE VALUE
- -------------- --------------------------------- -------- -------------- ------------ ------- -------------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 75 Monroe County, (Public
Improvement, Callable,
Unrefunded Balance, Series
1995, due 06/01/10), AMBAC
Insured........................ GO Aaa/AAA 06/01/08(a) 6.000% $ 85,760
2,000 Municipal Assistance Corp. for
City of New York, (Refunding,
Series E)...................... RB Aa2/AA 07/01/06 6.000 2,237,140
95 New York City, (Escrowed to
Maturity, Refunding, Series H,
Subseries H-1)................. GO Aaa/A- 08/01/01 5.500 99,578
1,465 New York City, (Escrowed to
Maturity, Series B)............ GO Aaa/AAA 06/01/01 8.000 1,609,317
805 New York City, (Escrowed to
Maturity, Series F)............ GO Aaa/A- 02/15/02 6.100 861,994
2,645 New York City, (Refunding, Series
A)............................. GO A3/A- 08/01/02 5.750 2,807,588
7,000 New York City, (Refunding, Series
A)............................. GO A3/A- 08/01/04 6.750 7,908,320
1,000 New York City, (Refunding, Series
E), FGIC-TCRS Insured.......... GO Aaa/AAA 02/15/06 6.500 1,140,000
3,000 New York City, (Refunding, Series
F)............................. GO A3/A- 08/01/06 5.500 3,226,470
4,480 New York City, (Refunding, Series
G)............................. GO A3/A- 08/01/03 5.000 4,670,355
3,425 New York City, (Series F)........ GO A3/A- 02/15/03 6.200 3,702,905
2,000 New York City, (Series G), AMBAC
Insured........................ GO Aaa/AAA 10/15/07 6.000 2,249,260
4,580 New York City, (Unrefunded
Balance, Refunding, Series H,
Subseries H-1)................. GO A3/A- 08/01/01 5.500 4,777,993
5,000 New York State Dormitory
Authority, (FHA Hospital New
York & Presbyterian, Callable,
Refunding, due 08/01/13),
AMBAC/FHA Insured.............. RB Aaa/AAA 02/01/08(a) 4.400 5,062,900
2,850 New York State Dormitory
Authority, (Secured Hospital,
Interfaith Medical Center,
Series D)...................... RB Baa1/BBB+ 02/15/04 5.500 3,026,102
5,290 New York State Local Government
Assistance Corp., (Callable,
Refunding, Series A, due
04/01/08)...................... RB A3/A+ 04/01/07(a) 6.000 5,936,650
2,000 New York State Local Government
Assistance Corp., (Refunding,
Series A), AMBAC-TCRS
Insured........................ RB Aaa/AAA 04/01/06 6.000 2,237,960
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 1,586,355
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P RATING DATE RATE VALUE
- -------------- --------------------------------- -------- -------------- ------------ ------- -------------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 4,000 Triborough Bridge & Tunnel
Authority, (Callable,
Refunding, Series V, due
01/01/05), FGIC-TCRS Insured... RB Aaa/AAA 01/01/01(a) 6.875% $ 4,282,960
8,700 Triborough Bridge & Tunnel
Authority, (General Purpose,
Refunding, Series X)(t)........ RB Aa3/A+ 01/01/12 6.625 10,428,168
-------------
TOTAL NEW YORK............... 76,287,277
-------------
NORTH CAROLINA (0.4%)
3,280 University of North Carolina,
(System Pool Revenue, Callable,
Series B, due 10/01/09), MBIA
Insured........................ RB Aaa/AAA 10/01/08(a) 5.000 3,443,639
-------------
OHIO (0.9%)
2,000 Ohio State Building Authority,
(State Facilities, Admin
Building Fund Project,
Callable, Series A, due
10/01/09)...................... RB Aa3/AA- 10/01/08(a) 5.250 2,148,740
2,000 Ohio State Building Authority,
(State Facilities, Admin
Building Fund Project, Series
A)............................. RB Aa3/AA- 10/01/06 5.500 2,182,320
3,005 Ohio Water Development Authority,
(Callable, Escrowed to
Maturity, Refunding, due
12/01/10)...................... RB Aaa/AAA 06/01/99(a) 9.375 3,776,774
-------------
TOTAL OHIO................... 8,107,834
-------------
OREGON (0.6%)
5,000 Portland, (Portland International
Airport Revenue, Series 12C),
FGIC Insured................... RB Aaa/AAA 07/01/05 5.000 5,250,600
-------------
PENNSYLVANIA (4.4%)
1,175 Bethel Park School District,
(Prerefunded, Series B, due
02/01/02), AMBAC Insured....... GO Aaa/AAA 02/01/00(a) 6.550 1,211,637
970 Pennsylvania Higher Education
Assistance Agency, (Student
Loan Revenue, Refunding, Series
A), FGIC Insured............... RB Aaa/AAA 12/01/00 6.800(v) 1,018,597
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P RATING DATE RATE VALUE
- -------------- --------------------------------- -------- -------------- ------------ ------- -------------
<C> <S> <C> <C> <C> <C> <C>
PENNSYLVANIA (CONTINUED)
$ 1,310 Pennsylvania Higher Education
Facilities Authority, (College
& University Revenue,
University of Pennsylvania,
Refunding, Series A)........... RB Aa2/AA 09/01/02 6.500% $ 1,435,053
2,800 Pennsylvania Higher Education
Facilities Authority, (Health
Services Revenue, University of
Pennsylvania Health Services,
Refunding, Series A)........... RB A1/AA 01/01/06 6.000 3,066,700
1,500 Pennsylvania, (2nd Series A,
Prerefunded, due 11/01/04),
MBIA Insured................... GO Aaa/AAA 11/01/01(a) 6.500 1,635,825
14,525 Pennsylvania, (2nd Series)....... GO Aa3/AA 08/01/04 5.000 15,329,830
1,000 Pennsylvania, (Refunding and
Projects, 1st Series A),
AMBAC-TCRS Insured............. GO Aaa/AAA 01/01/01 6.600 1,054,910
4,250 Philadelphia Authority for
Industrial Development,
(Academy of Natural Sciences,
due 01/01/18).................. PP NR/NR 07/01/01(a) 4.750 4,308,693
8,785 Philadelphia Authority for
Industrial Development,
(Airport Revenue, Philadelphia
Airport System Project, Series
A), FGIC Insured............... RB Aaa/AAA 07/01/04 5.000 9,144,219
-------------
TOTAL PENNSYLVANIA........... 38,205,464
-------------
RHODE ISLAND (1.0%)
4,580 Rhode Island, (Construction
Capital Development Loan,
Refunding, Series A), FGIC
Insured........................ GO Aaa/AAA 07/15/07 5.000 4,853,518
3,785 Rhode Island, (Construction
Capital Development Loan,
Series B)...................... GO A1/AA- 05/15/00 6.000 3,912,668
-------------
TOTAL RHODE ISLAND........... 8,766,186
-------------
SOUTH CAROLINA (1.6%)
1,620 Charleston County, (Callable, due
06/01/07)...................... GO Aa3/AA 06/01/04(a) 5.625 1,751,560
5,000 Greenville County School
District, (Refunding) (WI)..... GO Aa1/AA 03/01/01 4.000 5,049,650
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P RATING DATE RATE VALUE
- -------------- --------------------------------- -------- -------------- ------------ ------- -------------
<C> <S> <C> <C> <C> <C> <C>
SOUTH CAROLINA (CONTINUED)
$ 5,700 Greenville County School
District, (Refunding) (WI)..... GO Aa1/AA 03/01/02 4.000% $ 5,751,243
1,000 Piedmont Municipal Power Agency,
(Electric Power Revenue,
Escrowed to Maturity,
Refunding), MBIA Insured....... RB Aaa/AAA 01/01/08 6.200 1,146,180
-------------
TOTAL SOUTH CAROLINA......... 13,698,633
-------------
TENNESSEE (0.5%)
3,500 Rutherford County, (Capital
Outlay Notes, Series A)........ GO Aa2/AA 05/01/07 6.500 4,073,020
-------------
TEXAS (7.9%)
1,500 Addison, (Callable, Refunding,
due 09/01/00), FGIC Insured.... GO Aaa/AAA 04/01/99(a) 6.250 1,503,000
1,000 Arlington, (Callable, due
08/01/00), AMBAC Insured....... GO Aaa/AAA 08/01/99(a) 6.850 1,014,110
1,500 Austin Utilities System,
(Callable, Escrowed to
Maturity, due 10/01/01)........ RB Aaa/AAA 04/01/99(a) 6.500 1,611,870
7,500 Austin Utilities System,
(Refunding, Series A), FSA
Insured........................ RB Aaa/AAA 11/15/03 5.750 8,134,425
2,260 Corpus Christi Independent School
District, (Refunding), PSFG
Insured........................ GO Aaa/AAA 08/15/05 6.000 2,509,142
1,305 Dallas County Flood Control
District #1, (Prerefunded, due
04/01/10)...................... GO Aaa/NR 04/01/08(a) 9.250 1,781,012
1,650 El Paso Independent School
District, (Prerefunded, due
07/01/03), PSFG Insured........ GO Aaa/AAA 07/01/01(a) 6.550 1,763,372
1,700 Harris County, (Prerefunded, due
11/01/03), MBIA Insured........ GO Aaa/AAA 11/01/99(a) 7.000 1,744,659
3,000 Houston Independent School
District, (Refunding, Series
A), PSFG Insured............... GO Aaa/AAA 08/15/01 5.400 3,139,860
13,775 Houston, (Airport System Revenue,
Subordinated Lien, Refunding,
Series B), FGIC Insured........ RB Aaa/AAA 07/01/08 5.000 14,372,973
3,805 Lewisville Independent School
District, (Refunding), PSFG
Insured........................ GO Aaa/NR 08/15/03 6.000 4,136,644
2,325 Northwest Independent School
District, Zero Coupon, (Capital
Appreciation, Refunding), PSFG
Insured........................ GO Aaa/NR 08/15/03 4.036(y) 1,944,700
2,320 Northwest Independent School
District, Zero Coupon, (Capital
Appreciation, Refunding), PSFG
Insured........................ GO Aaa/NR 08/15/04 4.134(y) 1,854,747
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P RATING DATE RATE VALUE
- -------------- --------------------------------- -------- -------------- ------------ ------- -------------
<C> <S> <C> <C> <C> <C> <C>
TEXAS (CONTINUED)
$ 2,000 Plano Independent School
District, (Prerefunded, Series
B, due 02/15/04), FGIC
Insured........................ GO Aaa/AAA 02/15/01(a) 6.550% $ 2,117,840
1,500 San Antonio, (General
Improvement, Refunding)........ GO Aa2/AA+ 08/01/07 6.000 1,685,460
2,000 Tarrant County Health Facilities
Development Corp., (Texas
Health Resources System, Health
System Revenue, Refunding,
Series A), MBIA Insured........ RB Aaa/AAA 02/15/04 5.500 2,136,520
2,000 Texas, (Public Finance Authority,
Prerefunded, due 10/01/02)..... GO NR/AA 10/01/00(a) 6.300 2,091,440
1,000 Texas, (Public Finance Authority,
Prerefunded, due 10/01/05)..... GO NR/AA 10/01/00(a) 6.500 1,047,980
4,000 Texas, (Public Finance Authority,
Refunding, Series B)........... GO Aa2/AA 10/01/03 6.000 4,359,680
6,180 University of Texas, (Financing
System Revenue, Series A)...... RB Aa1/AAA 08/15/07 6.000 7,017,761
2,500 University of Texas, (Permanent
University Fund, Refunding).... RB Aaa/AAA 07/01/01 6.300 2,656,750
-------------
TOTAL TEXAS.................. 68,623,945
-------------
UTAH (2.6%)
1,625 Intermountain Power Agency, (Utah
Power Supply Revenue,
Refunding, Series B), MBIA
Insured........................ RB Aaa/AAA 07/01/09 6.500 1,905,118
4,155 Intermountain Power Agency, (Utah
Power Supply Revenue,
Refunding, Series C), MBIA
Insured(t)..................... RB Aaa/AAA 07/01/01 6.000 4,381,240
6,645 Intermountain Power Agency, (Utah
Power Supply Revenue,
Refunding, Series C), MBIA
Insured........................ RB Aaa/AAA 07/01/02 6.000 7,110,416
5,000 Utah Building Ownership
Authority, (State Facilities
Master Lease PG-C, Refunding),
FSA Insured.................... RB Aaa/AAA 05/15/11 5.500 5,439,250
3,300 Utah, (Callable, Series F, due
07/01/08)...................... GO Aaa/AAA 07/01/07(a) 5.000 3,505,821
-------------
TOTAL UTAH................... 22,341,845
-------------
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P RATING DATE RATE VALUE
- -------------- --------------------------------- -------- -------------- ------------ ------- -------------
<C> <S> <C> <C> <C> <C> <C>
VIRGINIA (2.7%)
$ 10,000 Fairfax County, (Industrial
Development Authority Revenue,
Prerefunded, due 08/29/23)..... RB Aaa/AA 08/28/01(a) 6.801% $ 10,943,500
5,000 Virginia Public Building
Authority, (Facilities Revenue,
Refunding, Series A)........... RB Aa2/AA 08/01/08 5.000 5,293,900
2,000 Virginia Public School Authority,
(Prerefunded, Series A, due
08/01/04)...................... RB Aa2/AA 08/01/01(a) 6.500 2,176,720
5,000 Virginia Public School Authority,
(Refunding).................... RB Aa/AA 01/01/02 6.000 5,315,450
-------------
TOTAL VIRGINIA............... 23,729,570
-------------
WASHINGTON (5.7%)
1,555 King & Snohomish Counties School
District #417, (Callable, due
12/01/02), FGIC Insured........ GO Aaa/AAA 12/01/00(a) 6.600 1,627,976
605 King County, (Escrowed to
Maturity, Prerefunded, Series
B)............................. GO Aa1/AA+ 01/01/01 6.700 639,503
5,750 King County, (Unrefunded Balance,
Series B)(t)................... GO Aa1/AA+ 01/01/01 6.700 6,075,795
1,000 Pierce County School District
#320, (Prerefunded, due
12/01/02), MBIA-IBC Insured.... GO Aaa/AAA 12/01/01(a) 6.600 1,081,740
3,270 Seattle, (Limited Tax, Refunding,
Series B)...................... GO Aa1/AA+ 03/01/11 5.500 3,591,964
2,955 Seattle, (Municipal Sewer
Revenue, Prerefunded, Series T,
due 01/01/31).................. RB Aaa/AA- 01/01/00(a) 6.875 3,104,168
1,250 Snohomish County School District
#2, (Callable, Refunding,
Series A, due 12/01/02),
MBIA-IBC Insured............... GO Aaa/AAA 06/01/01(a) 6.700 1,327,463
4,815 Washington Public Power Supply
System, (Nuclear Project #1,
Refunding, Series A), MBIA
Insured........................ RB Aaa/AAA 07/01/06 6.000 5,385,915
4,000 Washington Public Power Supply
System, (Nuclear Project #1,
Refunding, Series B)........... RB Aa1/AA- 07/01/03 5.750 4,291,760
2,000 Washington Public Power Supply
System, (Nuclear Project #2,
Callable, Refunding, Series C,
due 07/01/01), FGIC Insured.... RB Aaa/AAA 01/01/01(a) 7.000 2,155,520
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P RATING DATE RATE VALUE
- -------------- --------------------------------- -------- -------------- ------------ ------- -------------
<C> <S> <C> <C> <C> <C> <C>
WASHINGTON (CONTINUED)
$ 1,500 Washington Public Power Supply
System, (Nuclear Project #2,
Callable, Refunding, Series C,
due 07/01/02).................. RB Aa1/AA- 01/01/01(a) 7.500% $ 1,624,440
2,000 Washington Public Power Supply
System, (Nuclear Project #2,
Refunding, Series A)........... RB Aa1/AA- 07/01/06 7.250 2,375,900
5,265 Washington Public Power Supply
System, (Nuclear Project #2,
Refunding, Series A)........... RB Aa1/AA- 07/01/01 6.300 5,576,951
4,000 Washington Public Power Supply
System, (Nuclear Project #2,
Refunding, Series A)........... RB Aa1/AA- 07/01/09 5.750 4,397,160
1,000 Washington, (Prerefunded, Series
B, due 08/01/02)............... GO Aa1/AA+ 08/01/00(a) 6.750 1,047,150
1,750 Washington, (Callable, Refunding,
Series R-92-A, due 09/01/02)... GO Aa1/AA+ 09/01/01(a) 6.300 1,870,838
3,075 Washington, (Series A)........... GO Aa1/AA+ 01/01/07 5.250 3,290,834
-------------
TOTAL WASHINGTON............. 49,465,077
-------------
WEST VIRGINIA (0.5%)
1,000 Berkeley County Board of
Education, (Escrowed to
Maturity), BIG Insured......... GO Aaa/AAA 04/01/01 7.300 1,077,560
3,000 West Virginia Public Energy
Authority, (Morgantown
Association Project, Callable,
Series A, due 07/01/08), LOC
Swiss Bank Corp................ RB Aa1/AA+ 01/01/06(a) 5.050(v) 3,067,530
-------------
TOTAL WEST VIRGINIA.......... 4,145,090
-------------
WISCONSIN (2.6%)
4,160 Milwaukee County Wisconsin, Zero
Coupon (Capital Appreciation,
Refunding, Series A), FGIC
Insured........................ GO Aaa/AAA 12/01/10 4.461(y) 2,475,699
1,500 Racine Unified School District,
(Prerefunded, due 04/01/01),
AMBAC Insured.................. GO Aaa/AAA 04/01/99(a) 6.500 1,504,035
7,000 Wisconsin, (Refunding, Series
2)............................. GO Aa2/AA 05/01/06 5.000 7,391,790
5,470 Wisconsin, (Series A) (WI)....... GO Aa2/AA 05/01/02 4.000 5,531,373
5,000 Wisconsin, (Transportation
Revenue, Refunding, Series
A)............................. RB A1/AA- 07/01/06 4.600 5,143,950
-------------
TOTAL WISCONSIN.............. 22,046,847
-------------
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P RATING DATE RATE VALUE
- -------------- --------------------------------- -------- -------------- ------------ ------- -------------
<C> <S> <C> <C> <C> <C> <C>
WYOMING (0.4%)
$ 3,600 Platte County, (PCR, Basin
Electric Power Cooperative,
Refunding)..................... RB A2/A 01/01/06 4.950% $ 3,717,395
-------------
TOTAL LONG TERM INVESTMENTS (COST $816,301,812).................................. 854,477,458
-------------
SHORT-TERM INVESTMENTS (0.4%)
OTHER (0.4%)
2,290 Puttable Floating Options (Tax
Exempt Receipts, Callable,
Series SG P-5, due 07/02/27),
LIQ FAC-Societe Generale....... VRDN NR/A-1+C 03/04/99(b) 3.450 2,290,000
1,130 Puttable Floating Options (Tax
Exempt Receipts, Callable,
Series SG P-6, due 01/01/28),
LIQ FAC-Societe Generale....... VRDN NR/A-1+C 03/04/99(b) 3.450 1,130,000
-------------
TOTAL SHORT-TERM INVESTMENTS (COST $3,420,000)................................... 3,420,000
-------------
TOTAL INVESTMENTS (COST $819,721,812) (99.1%)........................................ 857,897,458
OTHER ASSETS IN EXCESS OF LIABILITIES (0.9%)......................................... 7,755,440
-------------
NET ASSETS (100.0%).................................................................. $ 865,652,898
-------------
-------------
</TABLE>
- ------------------------------
Note: Based on the cost of the investments of $819,721,812, for federal income
tax purposes at February 28, 1999, the aggregate gross unrealized appreciation
and depreciation was $38,851,016 and $675,370, respectively, resulting in net
unrealized appreciation of investments of $38,175,646.
(a) The date listed under the heading maturity date represents an optional
tender date. The actual maturity date is indicated in the security description.
(b) Variable Rate Demand Note tender dates and/or interest rates are reset at
specified intervals which coincide with their tender feature. The actual
maturity date is indicated in the security description.
(t) All or a portion of the security has been segregated as collateral for when
issued securities.
(v) Rate shown reflects current rate on variable or floating rate instrument.
(y) Yield to maturity.
AMBAC - Ambac Indemnity Corp., BIG-Bond Investors Guaranty Insurance Co., FGIC -
Financial Guaranty Insurance Co., FHA - Federal Housing Authority, FSA -
Financial Securities Assurance, GO - General Obligation, LIQ FAC - Liquidity
Facility, LOC - Letter of Credit, MBIA - Municipal Bond 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, WI - When and if issued securities.
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.
The Accompanying Notes are an Integral Part of the Financial Statements.
36
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
FEBRUARY 28, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $819,721,812 ) $857,897,458
Cash 57,203
Receivable for Investments Sold 14,521,833
Interest Receivable 9,844,685
Prepaid Expenses and Other Assets 4,236
Prepaid Trustees' Fees 3,541
------------
Total Assets 882,328,956
------------
LIABILITIES
Payable for Investments Purchased 16,374,759
Advisory Fee Payable 200,877
Administrative Services Fee Payable 17,341
Administration Fee Payable 1,177
Fund Services Fee Payable 585
Accrued Expenses 81,319
------------
Total Liabilities 16,676,058
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $865,652,898
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
37
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED FEBRUARY 28, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $20,270,520
EXPENSES
Advisory Fee $1,242,479
Administrative Services Fee 113,026
Custodian Fees and Expenses 107,705
Professional Fees and Expenses 23,097
Fund Services Fee 10,177
Administration Fee 4,553
Trustees' Fees and Expenses 4,498
Miscellaneous 5,723
----------
Total Expenses 1,511,258
-----------
NET INVESTMENT INCOME 18,759,262
NET REALIZED GAIN ON INVESTMENTS 1,500,713
NET CHANGE IN UNREALIZED APPRECIATION OF
INVESTMENTS (719,377)
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $19,540,598
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
38
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FISCAL
FEBRUARY 28, 1999 YEAR ENDED
(UNAUDITED) AUGUST 31, 1998
----------------- ---------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 18,759,262 $ 31,583,373
Net Realized Gain on Investments 1,500,713 680,094
Net Change in Unrealized Appreciation of
Investments (719,377) 15,917,500
----------------- ---------------
Net Increase in Net Assets Resulting from
Operations 19,540,598 48,180,967
----------------- ---------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 275,258,701 337,310,680
Withdrawals (186,125,372) (232,110,590)
----------------- ---------------
Net Increase from Investors' Transactions 89,133,329 105,200,090
----------------- ---------------
Total Increase in Net Assets 108,673,927 153,381,057
NET ASSETS
Beginning of Period 756,978,971 603,597,914
----------------- ---------------
End of Period $ 865,652,898 $ 756,978,971
----------------- ---------------
----------------- ---------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS ENDED FOR THE FISCAL YEAR ENDED
FEBRUARY 28, AUGUST 31,
1999 --------------------------------
(UNAUDITED) 1998 1997 1996 1995 1994
---------------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Net Expenses 0.36%(a) 0.37% 0.38% 0.38% 0.42% 0.41%
Net Investment Income 4.53%(a) 4.70% 4.93% 4.92% 5.15% 4.68%
Portfolio Turnover 10%(b) 16% 25% 25% 47% 33%
</TABLE>
- ------------------------
(a) Annualized.
(b) Not annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
39
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
FEBURARY 28,1999
- --------------------------------------------------------------------------------
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 $865,660,724 on that date from the J.P.
Morgan 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. 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) The value of each security for which readily available market quotations
exist is based on a decision as to the broadest and most representative
market for such security. The value of such security will be based either
on the last sale price on a national securities exchange or, in the
absence of recorded sales, at the average of readily available closing bid
and asked prices on such exchanges. Securities listed on a foreign
exchange are valued at the last quoted price available before the time
when net assets are valued. Unlisted securities are valued at the average
of the quoted bid and asked prices in the over-the-counter market.
Securities or other assets for which market quotations are not readily
available are valued at fair value in accordance with procedures
established by the portfolio's trustees. Such procedures include the use
of independent pricing services, which use prices based upon yields or
prices of securities of comparable quality, coupon, maturity and type;
indications as to values from dealers; and general market conditions. All
short-term portfolio securities with a remaining maturity of less than 60
days are valued by the amortized cost method.
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.
40
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
FEBURARY 28,1999
- --------------------------------------------------------------------------------
2. TRANSACTIONS WITH AFFILIATES
a) Prior to October 28, 1998, the portfolio had an Investment Advisory
Agreement with Morgan Guaranty Trust Company of New York ("Morgan"), a
wholly owned subsidiary of J.P. Morgan & Co. Incorporated ("J.P. Morgan").
Under the terms of the agreement, the portfolio paid 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 is J.P. Morgan
Investment Management Inc. ("JPMIM"), an affiliate of Morgan and a wholly
owned subsidiary of J.P. Morgan, and the terms of the agreement remain the
same. For the six months ended February 28, 1999, such fees amounted to
$1,242,479.
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 portfolio's
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, 1999,
the fee for these services amounted to $4,553.
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 the other portfolios for which JPMIM 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, 1999, the fee
for these services amounted to $113,026.
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 $10,177 for the six months ended February 28, 1999.
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, the 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
41
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
FEBURARY 28,1999
- --------------------------------------------------------------------------------
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 $2,100.
3. INVESTMENT TRANSACTIONS
Investments transactions (excluding short-term investments) for the six months
ended February 28, 1999 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
- ----------------- -----------
<S> <C>
$179,728,919...... $78,020,157
</TABLE>
4. CREDIT AGREEMENT
The portfolio is party to a revolving line of credit agreement (the "Agreement")
as discussed more fully in Note 4 of the fund's Notes to the Financial
Statements which are included elsewhere in this report.
42
