<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
JULY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL SECURITY S&P
AMOUNT TYPE RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- ---------------- ---------- ------------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
LONG-TERM INVESTMENTS (94.0%)
ALABAMA (0.1%)
$ 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% $ 1,062,920
------------
ALASKA (0.4%)
1,075 Anchorage, (Callable, Refunding, due
06/01/03), AMBAC Insured.............. GO Aaa/AAA 09/13/99(a) 7.100 1,088,437
2,000 Anchorage, (Prerefunded, due 07/01/02),
MBIA Insured.......................... GO Aaa/AAA 07/01/01(a) 6.600 2,093,040
------------
TOTAL ALASKA........................ 3,181,477
------------
ARIZONA (1.9%)
8,880 Arizona Transportation Board, (Excise
Tax Revenue, Maricopa County Regional
Area, Series A)....................... RB Aa2/AA 07/01/02 5.000 9,050,318
1,000 Maricopa County School District #11,
(Peoria Unified School Improvement,
Prerefunded, Series H, due 07/01/05),
MBIA Insured.......................... GO Aaa/AAA 07/01/01(a) 7.000 1,053,790
1,750 Phoenix, (Refunding, Series C).......... GO Aa1/AA+ 07/01/02 6.375 1,852,112
3,315 Salt River Project, (Agricultural
Improvement & Power District, Electric
System Revenue, Refunding, Series
A).................................... RB Aa2/AA 01/01/06 6.000 3,569,559
------------
TOTAL ARIZONA....................... 15,525,779
------------
CALIFORNIA (2.7%)
6,000 California.............................. GO Aa3/A+ 02/01/08 6.500 6,772,920
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 3,008,048
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JULY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL SECURITY S&P
AMOUNT TYPE RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- ---------------- ---------- ------------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
CALIFORNIA (CONTINUED)
$ 2,750 California Pollution Control Financing
Authority, (PCR, Laidlaw
Environmental, Refunding, Series A)... RB NR/NR 07/01/07 6.700% $ 2,869,763
1,049 Kaweah Delta Hospital District, Tulare
County, (Series E).................... PP NR/A+ 06/01/14 5.250 1,061,203
1,479 Kaweah Delta Hospital District, Tulare
County, (Series G).................... PP NR/A+ 06/01/14 6.400 1,576,925
2,500 Los Angeles County Public Works
Financing Authority, (Lease Revenue,
Refunding, Series A), MBIA Insured.... RB Aaa/AAA 09/01/06 6.000 2,744,075
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 4,454,898
------------
TOTAL CALIFORNIA.................... 22,487,832
------------
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 3,035,752
------------
DISTRICT OF COLUMBIA (4.3%)
220 District of Columbia, (Escrowed to
Maturity, Prerefunded, Series A),
MBIA-IBC Insured...................... GO Aaa/AAA 06/01/07 6.000 237,780
60 District of Columbia, (Escrowed to
Maturity, Prerefunded, Series B), MBIA
Insured............................... GO Aaa/AAA 06/01/02 6.000 62,796
910 District of Columbia, (Escrowed to
Maturity, Prerefunded, Series C), FGIC
Insured............................... GO Aaa/AAA 12/01/03 5.250 941,914
6,590 District of Columbia, (Unrefunded
Balance, Refunding,Series C), FGIC
Insured............................... GO Aaa/AAA 12/01/03 5.250 6,794,554
2,780 District of Columbia, (Unrefunded
Balance, Series A), MBIA-IBC
Insured............................... GO Aaa/AAA 06/01/07 6.000 2,982,412
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JULY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL SECURITY S&P
AMOUNT TYPE RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- ---------------- ---------- ------------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
DISTRICT OF COLUMBIA (CONTINUED)
$ 2,540 District of Columbia, (Unrefunded
Balance, Series B), MBIA Insured...... GO Aaa/AAA 06/01/02 6.000% $ 2,650,109
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 5,112,050
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 3,844,255
1,200 Metropolitan Airport, (General Airport
Revenue, Series B), FGIC Insured...... RB Aaa/AAA 10/01/00 5.250 1,218,108
1,000 Metropolitan Airport, (General Airport
Revenue, Series B), FGIC Insured...... RB Aaa/AAA 10/01/03 5.750 1,050,640
4,015 Metropolitan Airport, (General Airport
Revenue, Series B), FGIC Insured...... RB Aaa/AAA 10/01/05 6.000 4,299,302
5,745 Metropolitan Airport, (General Airport
Revenue, Series B), FGIC Insured...... RB Aaa/AAA 10/01/06 6.000 6,172,485
------------
TOTAL DISTRICT OF COLUMBIA.......... 35,366,405
------------
FLORIDA (5.3%)
5,765 Dade County School District,
(Refunding), MBIA Insured............. GO Aaa/AAA 07/15/05 6.000 6,173,393
4,500 Florida Board of Finance, (General
Services Revenue, Natural Resources
Preservation, Prerefunded, Series
2000-A, due 07/01/10), MBIA Insured... RB Aaa/AAA 07/01/02(a) 6.250 4,792,320
1,535 Florida State Board of Education,
(Capital Outlay, Callable, Escrowed to
Maturity, Refunding, Series C, due
06/01/01)............................. GO Aaa/AAA 09/03/99(a) 7.000 1,594,343
465 Florida State Board of Education,
(Capital Outlay, Callable, Unrefunded
Balance, Series C, due 06/01/01)...... GO Aa2/AA+ 09/03/99(a) 7.000 470,487
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JULY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL SECURITY S&P
AMOUNT TYPE RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- ---------------- ---------- ------------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
FLORIDA (CONTINUED)
$ 2,000 Jacksonville Health Facilities
Authority, (Hospital Revenue, Charity
Obligated Group, Refunding, Series A),
MBIA Insured.......................... RB Aaa/AAA 08/15/06 5.500% $ 2,095,980
10,000 Miami, Dade County School District,
(Refunding), FSA Insured.............. GO Aaa/AAA 08/01/11 5.375 10,222,900
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 11,413,196
2,310 Miami, Dade County, (Aviation Revenue,
Refunding, Series A), FGIC Insured.... RB Aaa/AAA 10/01/05 5.000 2,346,128
2,000 Tampa, (Health System Revenue, Catholic
Health, Refunding, Series A-1), MBIA
Insured............................... RB Aaa/AAA 11/15/04 5.250 2,074,780
2,000 Volusia County School District,
(Callable, Refunding, due 08/01/02),
FGIC Insured.......................... GO Aaa/AAA 08/01/01(a) 6.100 2,102,340
------------
TOTAL FLORIDA....................... 43,285,867
------------
GEORGIA (5.1%)
3,200 Cobb County School District,
(Refunding)........................... GO Aa1/AA 02/01/02 4.750 3,242,720
2,630 Fulton County School District,
(Refunding)........................... GO Aa2/AA 05/01/14 6.375 2,956,409
4,500 Georgia Municipal Electric Authority,
(Power Revenue, Crossover Refunding,
Series DD), AMBAC-TCRS Insured........ RB Aaa/AAA 01/01/08 7.000 5,148,990
1,250 Georgia Municipal Electric Authority,
(Power Revenue, Refunding, Series
A).................................... RB A3/A 01/01/12 6.500 1,391,938
5,820 Georgia, (Refunding, Series E).......... GO Aaa/AAA 02/01/05 5.000 5,969,981
6,000 Georgia, (Series B)..................... GO Aaa/AAA 03/01/07 7.200 6,943,080
3,000 Georgia, (Series B)..................... GO Aaa/AAA 03/01/10 6.300 3,342,150
4,470 Georgia, (Series C)..................... GO Aaa/AAA 07/01/11 5.700 4,746,559
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JULY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL SECURITY S&P
AMOUNT TYPE RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) 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% $ 2,782,375
5,000 Metropolitan Atlanta Rapid Transit
Authority, (Sales Tax Revenue,
Refunding, Series P), AMBAC Insured... RB Aaa/AAA 07/01/11 6.250 5,544,500
------------
TOTAL GEORGIA....................... 42,068,702
------------
HAWAII (1.6%)
5,000 Hawaii, (Refunding, Series CO), FGIC
Insured............................... GO Aaa/AAA 03/01/02 6.000 5,211,100
2,000 Hawaii, (Series BZ)..................... GO A1/A+ 10/01/12 6.000 2,156,380
510 Honolulu, City & County (Escrowed to
Maturity, Prerefunded, Series B)...... GO Aaa/AA- 10/01/11 5.500 533,297
3,925 Honolulu, City & County (Refunding,
Series C), FGIC Insured............... GO Aaa/AAA 07/01/07 5.000 3,983,993
1,490 Honolulu, City & County (Unrefunded
Balance, Series B).................... GO Aa3/AA- 10/01/11 5.500 1,538,798
------------
TOTAL HAWAII........................ 13,423,568
------------
ILLINOIS (5.2%)
4,130 Chicago Board of Education, (Lease
Certificates, Refunding, Series A),
MBIA Insured.......................... RB Aaa/AAA 01/01/07 6.125 4,475,805
3,000 Chicago, (Refunding, Series A-2), AMBAC
Insured............................... GO Aaa/AAA 01/01/11 6.000 3,222,060
3,280 Cook County, (Refunding, Series C), FGIC
Insured............................... GO Aaa/AAA 11/15/04 5.800 3,478,834
4,440 Hoffman Estates, Tax Increment Revenue,
(Economic Development Project Area,
Refunding), AMBAC Insured............. RB Aaa/AAA 11/15/04 5.500 4,659,913
3,000 Illinois Development Finance
Authority............................. PP NR/NR 08/01/28 4.900 2,932,950
3,000 Illinois Sales Tax Revenue, (Refunding,
Series Q)............................. RB Aa2/AAA 06/15/09 6.000 3,234,660
4,175 Illinois Sales Tax Revenue, (Refunding,
Series Q)(t).......................... RB Aa2/AAA 06/15/12 6.000 4,507,664
8,705 Illinois, (Refunding)................... GO Aa2/AA 06/01/04 5.000 8,895,640
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JULY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL SECURITY S&P
AMOUNT TYPE RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- ---------------- ---------- ------------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
ILLINOIS (CONTINUED)
$ 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% $ 220,309
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 2,829,008
2,810 Regional Transportation Authority,
(Series D), FGIC Insured.............. RB Aaa/AAA 06/01/07 7.750 3,341,680
1,000 University of Illinois, (Callable,
Escrowed to Maturity, due 10/01/01)... RB Aaa/AAA 10/01/99(a) 6.000 1,039,010
------------
TOTAL ILLINOIS...................... 42,837,533
------------
INDIANA (0.8%)
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 4,165,090
2,000 Indiana Municipal Power Agency, (Power
Supply System Revenue, Refunding,
Series B), MBIA Insured............... RB Aaa/AAA 01/01/13 6.000 2,140,480
------------
TOTAL INDIANA....................... 6,305,570
------------
KENTUCKY (0.3%)
2,150 Kentucky Turnpike Authority, (Road
Recovery Revenue, Callable, Escrowed
to Maturity, due 07/01/02)............ RB Aaa/NR 09/07/99(a) 7.100 2,240,644
------------
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 3,665,075
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JULY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL SECURITY S&P
AMOUNT TYPE RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- ---------------- ---------- ------------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
MARYLAND (1.1%)
$ 5,435 Maryland Health & Higher Educational
Facilities Authority, (John Hopkins
University, Refunding)................ RB Aa2/AA- 07/01/03 5.750% $ 5,713,489
3,000 Maryland, (Callable, 3rd Series, due
07/15/03)............................. GO Aaa/AAA 07/15/01(a) 6.400 3,132,480
------------
TOTAL MARYLAND...................... 8,845,969
------------
MASSACHUSETTS (4.0%)
5,650 Massachusetts Bay Transportation
Authority, (General Transportation
System, Refunding, Series A).......... RB Aa3/AA- 03/01/08 7.000 6,508,009
3,700 Massachusetts Bay Transportation
Authority, (General Transportation
System, Refunding, Series A), MBIA
Insured............................... RB Aaa/AAA 03/01/10 5.500 3,864,317
1,495 Massachusetts State College Building
Authority, (Refunding, Series A)...... RB Aa3/AA- 05/01/11 7.500 1,817,397
2,000 Massachusetts State Water Resource
Authority, (General Series A), FSA
Insured............................... RB Aaa/AAA 08/01/10 5.500 2,089,880
10,000 Massachusetts State Water Resource
Authority, (Series A)................. RB A1/A+ 07/15/08 6.500 11,165,700
7,300 Massachusetts, (Refunding, Series A),
AMBAC Insured......................... GO Aaa/AAA 08/01/10 5.750 7,787,713
------------
TOTAL MASSACHUSETTS................. 33,233,016
------------
MICHIGAN (1.2%)
6,045 Michigan State Building Authority,
(Facilites Program, Refunding, Series
I), AMBAC Insured..................... RB Aaa/AAA 10/01/04 6.000 6,479,031
2,905 Michigan State Hospital Finance
Authority Revenue, (Mercy Health
Services, Refunding, Series T)........ RB Aa3/AA- 08/15/04 5.750 3,031,280
------------
TOTAL MICHIGAN...................... 9,510,311
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JULY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL SECURITY S&P
AMOUNT TYPE RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) 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% $ 5,256,990
5,000 University of Minnesota, (Refunding,
Series A)............................. RB Aa2/AA 07/01/10 5.750 5,336,250
5,000 University of Minnesota, (Refunding,
Series A)............................. RB Aa2/AA 07/01/15 5.750 5,322,200
------------
TOTAL MINNESOTA..................... 15,915,440
------------
MISSISSIPPI (2.7%)
10,940 Mississippi, (Escrowed to Maturity,
Refunding)............................ GO Aaa/AAA 02/01/08 6.200 11,976,127
5,065 Mississippi, (Gaming County Highway
Improvement, Series A)................ GO Aa3/AA 07/01/05 5.250 5,242,984
5,000 Mississippi, (Highway Revenue, Four Lane
Highway Program, Refunding, Series
#39).................................. RB Aa1/AAA 06/01/04 5.250 5,153,350
------------
TOTAL MISSISSIPPI................... 22,372,461
------------
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 4,395,680
------------
NEBRASKA (1.8%)
2,350 Nebraska Public Power District,
(Refunding, General Series A), MBIA
Insured............................... RB Aaa/AAA 01/01/04 5.250 2,427,174
7,955 Nebraska Public Power District,
(Refunding, General Series A), MBIA
Insured............................... RB Aaa/AAA 01/01/07 5.250 8,210,753
3,720 University of Nebraska (Facilities
Corporation, Deferred Maintenance
Project).............................. RB Aa2/AA- 07/15/06 5.250 3,855,408
------------
TOTAL NEBRASKA...................... 14,493,335
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JULY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL SECURITY S&P
AMOUNT TYPE RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- ---------------- ---------- ------------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
NEVADA (4.2%)
$ 500 Carson City School District,
(Prerefunded, due 04/01/03), FGIC
Insured............................... GO Aaa/AAA 04/01/00(a) 6.750% $ 520,230
8,000 Clark County School District,
(Refunding), FSA Insured.............. GO Aaa/AAA 06/15/14 5.500 8,219,040
8,200 Clark County School District, (Series
A), MBIA Insured...................... GO Aaa/AAA 06/01/11 7.000 9,583,668
3,000 Clark County, (Passenger Facilities
Charge Revenue, Las Vegas McCarran
International Airport, Series A)...... RB A/A 07/01/08 6.250 3,283,350
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 1,345,779
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 1,267,116
1,330 Nevada, (Prison Facilities, Prerefunded,
due 08/01/04)......................... GO Aa2/AA 08/01/00(a) 7.000 1,400,011
6,015 Nevada, (Refunding, Series A-1)......... GO Aa2/AA 05/15/10 6.000 6,482,726
1,985 Nevada, (Refunding, Series A-2)......... GO Aa2/AA 05/15/10 6.000 2,139,354
------------
TOTAL NEVADA........................ 34,241,274
------------
NEW HAMPSHIRE (1.6%)
4,900 New Hampshire Higher Educational &
Health Facilities Authority,
(Dartmouth College, Refunding)........ RB Aaa/NR 06/01/07 6.750 5,579,238
1,720 New Hampshire, (Prerefunded, Series A,
due 06/15/03)......................... GO Aa2/AA+ 06/15/01(a) 6.600 1,829,151
5,825 New Hampshire, (Series B), FSA
Insured............................... GO Aaa/AAA 08/15/04 5.000 5,968,528
------------
TOTAL NEW HAMPSHIRE................. 13,376,917
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JULY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL SECURITY S&P
AMOUNT TYPE RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- ---------------- ---------- ------------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
NEW JERSEY (5.7%)
$ 4,180 Jersey City, (Refunding, Series A)...... GO Aa3/AA 10/01/11 6.250% $ 4,642,141
7,000 New Jersey Economic Development
Authority, (Market Transition
Facilities Revenue, Sr. Lien, Series
A), MBIA Insured...................... RB Aaa/AAA 07/01/02 5.400 7,223,580
6,000 New Jersey Transportation Authority,
(Refunding, Series B), MBIA Insured... RB Aaa/AAA 06/15/05 6.000 6,457,860
7,500 New Jersey Transportation Authority,
(Refunding, Series B), MBIA Insured... RB Aaa/AAA 06/15/10 6.500 8,471,325
8,500 New Jersey Transportation Authority,
(Series A)(t)......................... RB Aa2/AA- 06/15/06 5.000 8,667,025
10,000 New Jersey Transportation Authority,
(Series A)(WI)........................ RB Aa2/AA- 06/15/08 5.500 10,363,100
1,000 New Jersey Turnpike Authority, (Series
A), MBIA-IBC Insured.................. RB Aaa/AAA 01/01/01 5.700 1,021,770
------------
TOTAL NEW JERSEY.................... 46,846,801
------------
NEW MEXICO (0.7%)
5,180 Chaves County, (New Mexico Hospital
Revenue, Eastern New Mexico Medical
Center Project, Prerefunded, due
12/01/22)............................. RB Aaa/NR 12/01/02(a) 7.250 5,758,761
------------
NEW YORK (6.2%)
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 4,314,560
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 82,184
50 New York City, (Escrowed to Maturity,
Prerefunded, Series A)................ GO A3/A- 08/01/02 5.750 52,186
1,465 New York City, (Escrowed to Maturity,
Series B)............................. GO Aaa/AAA 06/01/01 8.000 1,567,828
805 New York City, (Escrowed to Maturity,
Series F)............................. GO Aaa/A- 02/15/02 6.100 842,722
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JULY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL SECURITY S&P
AMOUNT TYPE RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- ---------------- ---------- ------------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 7,000 New York City, (Refunding, Series A).... GO A3/A- 08/01/04 6.750% $ 7,658,910
4,480 New York City, (Refunding, Series G).... GO A3/A- 08/01/03 5.000 4,565,926
3,425 New York City, (Series F)............... GO A3/A- 02/15/03 6.200 3,610,772
2,595 New York City, (Unrefunded Balance,
Series A)............................. GO A3/A- 08/01/02 5.750 2,695,141
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 4,811,400
2,850 New York State Dormitory Authority,
(Secured Hospital, Interfaith Medical
Center, Series D)..................... RB Baa1/BBB+ 02/15/04 5.500 2,932,593
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 5,704,948
2,000 New York State Local Government
Assistance Corp., (Refunding, Series
A), AMBAC-TCRS Insured................ RB Aaa/AAA 04/01/06 6.000 2,159,960
8,700 Triborough Bridge & Tunnel Authority,
(General Purpose, Refunding, Series
X)(t)................................. RB Aa3/A+ 01/01/12 6.625 9,854,838
------------
TOTAL NEW YORK...................... 50,853,968
------------
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 3,322,673
------------
OHIO (0.7%)
2,000 Ohio State Building Authority, (State
Facilities, Administration Building
Fund Project, Series A)............... RB Aa2/AA- 10/01/06 5.500 2,099,880
3,005 Ohio Water Development Authority,
(Callable, Escrowed to Maturity,
Refunding, due 12/01/10).............. RB Aaa/AAA 12/01/99(a) 9.375 3,660,481
------------
TOTAL OHIO.......................... 5,760,361
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JULY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL SECURITY S&P
AMOUNT TYPE RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- ---------------- ---------- ------------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
OREGON (0.6%)
$ 5,000 Portland, (Portland International
Airport Revenue, Series 12C), FGIC
Insured............................... RB Aaa/AAA 07/01/05 5.000% $ 5,080,450
------------
PENNSYLVANIA (7.3%)
4,055 Allegheny County Port Authority,
(Special Revenue, Subordinated Lien),
MBIA Insured.......................... RB Aaa/AAA 06/01/03 5.000 4,135,248
1,175 Bethel Park School District,
(Prerefunded, Series B, due 02/01/02),
AMBAC Insured......................... GO Aaa/AAA 02/01/00(a) 6.550 1,192,308
970 Pennsylvania Higher Education Assistance
Agency, (Student Loan Revenue,
Refunding, Series A), FGIC Insured.... RB Aaa/AAA 12/01/00 6.800 1,003,242
1,310 Pennsylvania Higher Education Facilities
Authority, (College & University
Revenue, University of Pennsylvania,
Refunding, Series A).................. RB Aa3/AA 09/01/02 6.500 1,391,351
2,800 Pennsylvania Higher Education Facilities
Authority, (Health Services Revenue,
University of Pennsylvania Health
Services, Refunding, Series A)........ RB A2/A 01/01/06 6.000 2,943,556
7,000 Pennsylvania Intergovermental Coop
Authority, (Special Tax Revenue,
Philadelphia Funding Program,
Refunding), FGIC Insured.............. RB Aaa/AAA 06/15/03 5.000 7,164,850
11,550 Pennsylvania, (1st Series, Callable, due
03/01/09), MBIA insured............... GO Aaa/AAA 03/01/08(a) 5.000 11,622,534
1,500 Pennsylvania, (2nd Series A,
Prerefunded, due 11/01/04), MBIA
Insured............................... GO Aaa/AAA 11/01/01(a) 6.500 1,598,775
14,525 Pennsylvania, (2nd Series).............. GO Aa3/AA 08/01/04 5.000 14,893,499
1,000 Pennsylvania, (Refunding and Projects,
1st Series A), AMBAC-TCRS Insured..... GO Aaa/AAA 01/01/01 6.600 1,033,410
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
28
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JULY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL SECURITY S&P
AMOUNT TYPE RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- ---------------- ---------- ------------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
PENNSYLVANIA (CONTINUED)
$ 4,250 Philadelphia Authority for Industrial
Development, (Academy of Natural
Sciences, due 01/01/18)............... PP NR/NR 07/01/01(a) 4.750% $ 4,252,125
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 8,949,719
------------
TOTAL PENNSYLVANIA.................. 60,180,617
------------
RHODE ISLAND (1.2%)
4,580 Rhode Island, (Construction Capital
Development Loan, Refunding, Series
A), FGIC Insured...................... GO Aaa/AAA 07/15/07 5.000 4,649,204
5,000 Rhode Island, (Depositors Economic
Corp., Prerefunded, Series A, due
08/01/13)............................. RB Aaa/AAA 08/01/02(a) 6.900 5,459,700
------------
TOTAL RHODE ISLAND.................. 10,108,904
------------
SOUTH CAROLINA (1.2%)
1,620 Charleston County, (Callable, due
06/01/07)............................. GO Aa3/AA 06/01/04(a) 5.625 1,708,355
6,700 Greenville County School District,
(Refunding)........................... GO Aa1/AA 03/01/02 4.000 6,667,438
1,000 Piedmont Municipal Power Agency,
(Electric Power Revenue, Escrowed to
Maturity, Refunding), MBIA Insured.... RB Aaa/AAA 01/01/08 6.200 1,095,870
------------
TOTAL SOUTH CAROLINA................ 9,471,663
------------
TENNESSEE (1.1%)
5,000 Memphis, (Electric System Revenue,
Refunding)............................ RB Aa3/AA 01/01/02 5.625 5,156,750
3,500 Rutherford County, (Capital Outlay
Notes, Series A)...................... GO Aa2/AA 05/01/07 6.500 3,909,850
------------
TOTAL TENNESSEE..................... 9,066,600
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
29
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JULY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL SECURITY S&P
AMOUNT TYPE RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- ---------------- ---------- ------------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
TEXAS (7.2%)
$ 1,500 Addison, (Callable, Refunding, due
09/01/00), FGIC Insured............... GO Aaa/AAA 09/03/99(a) 6.250% $ 1,502,880
1,000 Arlington, (Callable, due 08/01/00),
AMBAC Insured......................... GO Aaa/AAA 08/01/99(a) 6.850 1,015,940
1,500 Austin Utilities System, (Callable,
Escrowed to Maturity, due 10/01/01)... RB Aaa/AAA 10/01/99(a) 6.500 1,575,435
7,500 Austin Utilities System, (Refunding,
Series A), FSA Insured................ RB Aaa/AAA 11/15/03 5.750 7,899,150
2,260 Corpus Christi Independent School
District, (Refunding), PSFG Insured... GO Aaa/AAA 08/15/05 6.000 2,424,573
1,305 Dallas County Flood Control District #1,
(Prerefunded, due 04/01/10)........... GO Aaa/NR 04/01/08(a) 9.250 1,702,033
1,650 El Paso Independent School District,
(Prerefunded, due 07/01/03), PSFG
Insured............................... GO Aaa/AAA 07/01/01(a) 6.550 1,725,257
3,000 Houston Independent School District,
(Refunding, Series A), PSFG Insured... GO Aaa/AAA 08/15/01 5.400 3,073,440
13,775 Houston, (Airport System Revenue,
Subordinated Lien, Refunding, Series
B), FGIC Insured...................... RB Aaa/AAA 07/01/08 5.000 13,816,187
3,805 Lewisville Independent School District,
(Refunding), PSFG Insured............. GO Aaa/NR 08/15/03 6.000 4,029,990
2,000 Plano Independent School District,
(Prerefunded, Series B, due 02/15/04),
FGIC Insured.......................... GO Aaa/AAA 02/15/01(a) 6.550 2,074,360
1,500 San Antonio, (General Improvement,
Refunding)............................ GO Aa2/AA+ 08/01/07 6.000 1,620,570
2,000 Texas, (Public Finance Authority,
Prerefunded, due 10/01/02)............ GO NR/AA 10/01/00(a) 6.300 2,056,020
1,000 Texas, (Public Finance Authority,
Prerefunded, due 10/01/05)............ GO NR/AA 10/01/00(a) 6.500 1,030,250
4,000 Texas, (Public Finance Authority,
Refunding, Series B).................. GO Aa1/AA 10/01/03 6.000 4,249,560
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
30
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JULY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL SECURITY S&P
AMOUNT TYPE RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- ---------------- ---------- ------------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
TEXAS (CONTINUED)
$ 6,180 University of Texas, (Financing System
Revenue, Series A).................... RB Aa1/AAA 08/15/07 6.000% $ 6,721,677
2,500 University of Texas, (Permanent
University Fund, Refunding)........... RB Aaa/AAA 07/01/01 6.300 2,599,400
------------
TOTAL TEXAS......................... 59,116,722
------------
UTAH (2.0%)
1,625 Intermountain Power Agency, (Utah Power
Supply Revenue, Refunding, Series B),
MBIA Insured.......................... RB Aaa/AAA 07/01/09 6.500 1,820,975
4,155 Intermountain Power Agency, (Utah Power
Supply Revenue, Refunding, Series C),
MBIA Insured(t)....................... RB Aaa/AAA 07/01/01 6.000 4,297,558
6,645 Intermountain Power Agency, (Utah Power
Supply Revenue, Refunding, Series C),
MBIA Insured.......................... RB Aaa/AAA 07/01/02 6.000 6,955,986
3,300 Utah, (Callable, Series F, due
07/01/08)............................. GO Aaa/AAA 07/01/07(a) 5.000 3,345,243
------------
TOTAL UTAH.......................... 16,419,762
------------
VIRGINIA (2.2%)
10,000 Fairfax County, (Industrial Development
Authority Revenue, Prerefunded, due
08/29/23)(t).......................... RB Aaa/AA 08/28/01(a) 6.801 10,726,600
2,000 Virginia Public School Authority,
(Prerefunded, Series A, due
08/01/04)............................. RB Aa2/AA 08/01/01(a) 6.500 2,128,180
5,000 Virginia Public School Authority,
(Refunding)........................... RB Aa/AA 01/01/02 6.000 5,203,900
------------
TOTAL VIRGINIA...................... 18,058,680
------------
WASHINGTON (6.1%)
1,555 King & Snohomish Counties School
District #417, (Callable, due
12/01/02), FGIC Insured............... GO Aaa/AAA 12/01/00(a) 6.600 1,601,681
605 King County, (Escrowed to Maturity,
Prerefunded, Series B)................ GO Aa1/AA+ 01/01/01 6.700 626,538
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
31
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JULY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL SECURITY S&P
AMOUNT TYPE RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- ---------------- ---------- ------------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
WASHINGTON (CONTINUED)
$ 5,750 King County, (Unrefunded Balance, Series
B).................................... GO Aa1/AA+ 01/01/01 6.700% $ 5,949,065
1,000 Pierce County School District #320,
(Prerefunded, due 12/01/02), MBIA-IBC
Insured............................... GO Aaa/AAA 12/01/01(a) 6.600 1,056,190
2,955 Seattle, (Municipal Sewer Revenue,
Prerefunded, Series T, due
01/01/31)............................. RB Aaa/AA- 01/01/00(a) 6.875 3,051,924
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 1,303,363
4,815 Washington Public Power Supply System,
(Nuclear Project #1, Refunding, Series
A), MBIA Insured...................... RB Aaa/AAA 07/01/06 6.000 5,183,155
4,000 Washington Public Power Supply System,
(Nuclear Project #1, Refunding, Series
B).................................... RB Aa1/AA- 07/01/03 5.750 4,171,360
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 2,103,440
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 1,590,525
2,000 Washington Public Power Supply System,
(Nuclear Project #2, Refunding, Series
A).................................... RB Aa1/AA- 07/01/06 7.250 2,283,860
5,265 Washington Public Power Supply System,
(Nuclear Project #2, Refunding, Series
A).................................... RB Aa1/AA- 07/01/01 6.300 5,456,699
4,000 Washington Public Power Supply System,
(Nuclear Project #2, Refunding, Series
A).................................... RB Aa1/AA- 07/01/09 5.750 4,214,160
5,000 Washington Public Power Supply System,
(Nuclear Project #3, Refunding, Series
A).................................... RB Aa1/AA- 07/01/03 5.000 5,081,300
1,750 Washington, (Callable, Refunding, Series
R-92-A, due 09/01/02)................. GO Aa1/AA+ 09/01/01(a) 6.300 1,835,085
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
32
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JULY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL SECURITY S&P
AMOUNT TYPE RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- ---------------- ---------- ------------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
WASHINGTON (CONTINUED)
$ 1,000 Washington, (Prerefunded, Series B, due
08/01/02)............................. GO Aa1/AA+ 08/01/00(a) 6.750% $ 1,030,910
3,075 Washington, (Series A).................. GO Aa1/AA+ 01/01/07 5.250 3,150,645
------------
TOTAL WASHINGTON.................... 49,689,900
------------
WEST VIRGINIA (0.5%)
1,000 Berkeley County Board of Education,
(Escrowed to Maturity), BIG Insured... GO Aaa/AAA 04/01/01 7.300 1,052,040
2,790 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 2,819,574
------------
TOTAL WEST VIRGINIA................. 3,871,614
------------
WISCONSIN (3.0%)
6,250 Wisconsin Health & Education Facilities,
(Carthage College Project, Series
1999C)................................ PP NR/NR 05/01/14 5.700 5,998,125
6,250 Wisconsin Health & Education Facilities,
(Carthage College Project, Series
1999D)................................ PP NR/NR 05/01/19 5.950 5,998,313
5,000 Wisconsin, (Prerefunded, Series A, due
05/01/09)............................. GO Aaa/AA 05/01/02(a) 6.300 5,271,500
7,000 Wisconsin, (Refunding, Series 2)........ GO Aa2/AA 05/01/06 5.000 7,151,480
------------
TOTAL WISCONSIN..................... 24,419,418
------------
WYOMING (0.4%)
3,600 Platte County, (PCR, Basin Electric
Power Cooperative, Refunding)......... RB A2/A 01/01/06 4.950 3,614,976
------------
TOTAL LONG-TERM INVESTMENTS (COST $763,999,470)............................................ 772,513,397
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
33
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JULY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL SECURITY S&P
AMOUNT TYPE RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- ---------------- ---------- ------------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
SHORT-TERM INVESTMENTS (6.7%)
ALABAMA (0.3%)
$ 1,185 Childersburg Industrial Development
Board, (PCR, Kimberly Clark Corp.
Project, Callable, Escrowed to
Maturity.............................. RB Aa2/AA 11/15/99 7.400% $ 1,193,840
900 Columbia Industrial Development Board,
(PCR, Alabama Power Co. Project,
Refunding, Series C, due 10/01/22).... VRDN VMIG1/A-1 08/02/99(a) 3.450 900,000
------------
2,093,840
------------
ALASKA (0.5%)
1,000 Anchorage, (Series A), AMBAC Insured.... GO Aaa/AAA 02/01/00 6.850 1,015,940
3,000 North Slope Borough, (Series A), MBIA
Insured............................... GO Aaa/AAA 06/30/00 5.550 3,050,220
------------
4,066,160
------------
ARIZONA (0.3%)
2,450 Maricopa County, (PCR, Callable,
Refunding, Series D, due 05/01/29),
LOC - Bank of America................. VRDN P-1/A-1+ 08/02/99(a) 3.400 2,450,000
------------
CALIFORNIA (1.0%)
6,950 California Pollution Control Financing
Authority, (PCR, Refunding, Southern
California Edison Project, Series A,
due 02/28/08)......................... VRDN VMIG1/A-1 08/02/99(a) 3.450 6,950,000
1,300 Chula Vista, (IDR, San Diego Gas &
Electric Project, Callable, Series A,
due 07/01/21)......................... VRDN VMIG1/A-1 08/02/99(a) 3.000 1,300,000
------------
8,250,000
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
34
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JULY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL SECURITY S&P
AMOUNT TYPE RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- ---------------- ---------- ------------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
FLORIDA (0.7%)
$ 3,500 Hillsborough County Industrial
Development Authority, (PCR, Tampa
Electric Co., Refunding, due
05/15/18)............................. VRDN VMIG1/A-1+ 08/02/99(a) 3.400% $ 3,500,000
2,700 Jacksonville, (PCR, Florida Power &
Light Co. Project, Refunding, due
05/01/29)............................. VRDN VMIG1/A-1+ 08/02/99(a) 3.400 2,700,000
------------
6,200,000
------------
GEORGIA (0.7%)
2,000 Appling County Development Authority,
(PCR, Georgia Power Co. Plant, Hatch
Project, Callable, due 09/01/29)...... VRDN VMIG1/A-1 08/02/99(a) 3.450 2,000,000
1,400 Burke County Development Authority,
(PCR, Georgia Power Co., Vogtle
Project-1st Series, Callable, due
04/01/32)............................. VRDN VMIG1/A-1 08/02/99(a) 3.450 1,400,000
450 Burke County Development Authority,
(PCR, Georgia Power Co., Vogtle
Project-4th Series, Callable, due
09/01/25)............................. VRDN VMIG1/A-1 08/02/99(a) 3.450 450,000
2,000 Monroe County Development Authority,
(PCR, Georgia Power Co., Scherer
Project-2nd Series, Refunding, due
07/01/25)............................. VRDN VMIG1/A-1 08/02/99(a) 3.450 2,000,000
------------
5,850,000
------------
MISSOURI (0.2%)
2,000 Missouri Development Board,
(Infrastructure Facilities Revenue,
Callable, Series C, due 12/01/03),
LOC-Canadian Imperial Bank............ VRDN VMIG1/A-1+ 08/02/99(a) 3.500 2,000,000
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
35
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JULY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL SECURITY S&P
AMOUNT TYPE RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- ---------------- ---------- ------------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
NEW JERSEY (0.5%)
$ 1,500 New Jersey Sports & Exposition
Authority, (Sports Complex, Escrowed
to Maturity, Refunding)............... RB Aa1/NR 01/01/00 8.100% $ 1,526,685
2,500 New Jersey Turnpike Authority,
(Refunding, Series A), MBIA-IBC
Insured............................... RB Aaa/AAA 01/01/00 6.200 2,525,225
------------
4,051,910
------------
NEW YORK (1.9%)
1,550 New York City Municipal Water Finance
Authority, (Water & Sewer Systems
Revenue, Callable, Refunding, Series
A, due 06/15/25), FGIC Insured........ VRDN VMIGI/A-1+ 08/02/99(a) 3.500 1,550,000
7,630 New York City Municipal Water Finance
Authority, (Water & Sewer Systems
Revenue, Callable, Series C, due
06/15/22), FGIC Insured............... VRDN VMIG1/A-1+ 08/02/99(a) 3.400 7,630,000
6,500 New York City Municipal Water Finance
Authority, (Water & Sewer Systems
Revenue, Callable, Series C, due
06/15/23), FGIC Insured............... VRDN VMIG1/A-1+ 08/02/99(a) 3.400 6,500,000
------------
15,680,000
------------
RHODE ISLAND (0.5%)
3,785 Rhode Island, (Construction Capital
Development Loan, Series B)........... GO A1/AA- 05/15/00 6.000 3,853,773
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
36
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JULY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL SECURITY S&P
AMOUNT TYPE RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- ---------------- ---------- ------------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
WYOMING (0.1%)
$ 850 Uinta County, (PCR, Chevron U.S.A. Inc.
Project, Callable, Refunding, due
12/01/22)............................. VRDN VMIG1/NR 08/02/99(a) 3.400% $ 850,000
------------
TOTAL SHORT-TERM INVESTMENTS (COST $55,123,482)............................................ 55,345,683
------------
TOTAL INVESTMENTS (COST $819,122,952) (100.7%)................................................. 827,859,080
LIABILITIES IN EXCESS OF OTHER ASSETS (-0.7%).................................................. (5,989,324)
------------
NET ASSETS (100.0%)............................................................................ $821,869,756
------------
------------
</TABLE>
- ------------------------------
Note: Based on the cost of investments of $819,122,952 for federal income tax
purposes at July 31, 1999, the aggregate gross unrealized appreciation and
depreciation was $16,168,376 and $7,432,248, respectively, resulting in net
unrealized appreciation of investments of $8,736,128.
(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.
(t) All or a portion of the security has been segregated as collateral for when
issued securities.
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, IBC - IBC Financial
Data, Inc., IDR - Industrial Developer 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, WI - When 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.
37
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JULY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $819,122,952 ) $827,859,080
Cash 8,244
Interest Receivable 10,039,096
Prepaid Trustees' Fees 3,650
Prepaid Expenses and Other Assets 3,521
------------
Total Assets 837,913,591
------------
LIABILITIES
Payable for Investments Purchased 15,716,664
Advisory Fee Payable 208,053
Custody Fee Payable 42,733
Administrative Services Fee Payable 17,741
Administration Fee Payable 1,133
Fund Services Fee Payable 542
Accrued Expenses 56,969
------------
Total Liabilities 16,043,835
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $821,869,756
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
38
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
ELEVEN
MONTHS ENDED FOR THE FISCAL
JULY 31, YEAR ENDED
1999 AUGUST 31, 1998
------------ ---------------
<S> <C> <C>
INVESTMENT INCOME
Interest Income $ 37,203,561 $ 34,098,515
------------ ---------------
EXPENSES
Advisory Fee 2,295,351 2,017,415
Custodian Fees and Expenses 222,988 199,584
Administrative Services Fee 203,283 198,156
Professional Fees and Expenses 48,365 50,007
Fund Services Fee 17,915 21,294
Trustees' Fees and Expenses 8,159 7,398
Administration Fee 7,665 9,832
Miscellaneous 12,558 11,456
------------ ---------------
Total Expenses 2,816,284 2,515,142
------------ ---------------
NET INVESTMENT INCOME 34,387,277 31,583,373
NET REALIZED GAIN ON INVESTMENTS 4,500,130 680,094
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) OF INVESTMENTS (30,158,895) 15,917,500
------------ ---------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $ 8,728,512 $ 48,180,967
------------ ---------------
------------ ---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
39
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
ELEVEN FOR THE FISCAL FOR THE FISCAL
MONTHS ENDED YEAR ENDED YEAR ENDED
JULY 31, 1999 AUGUST 31, 1998 AUGUST 31, 1997
------------- --------------- ---------------
<S> <C> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 34,387,277 $ 31,583,373 $ 26,643,745
Net Realized Gain on Investments 4,500,130 680,094 829,545
Net Change in Unrealized Appreciation
(Depreciation) of Investments (30,158,895) 15,917,500 9,668,350
------------- --------------- ---------------
Net Increase in Net Assets Resulting from
Operations 8,728,512 48,180,967 37,141,640
------------- --------------- ---------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 417,545,311 337,310,680 284,352,430
Withdrawals (361,383,038) (232,110,590) (209,280,115)
------------- --------------- ---------------
Net Increase from Investors' Transactions 56,162,273 105,200,090 75,072,315
------------- --------------- ---------------
Total Increase in Net Assets 64,890,785 153,381,057 112,213,955
NET ASSETS
Beginning of Period 756,978,971 603,597,914 491,383,959
------------- --------------- ---------------
End of Period $ 821,869,756 $ 756,978,971 $ 603,597,914
------------- --------------- ---------------
------------- --------------- ---------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
ELEVEN FOR THE FISCAL YEAR ENDED AUGUST
MONTHS ENDED 31,
JULY 31, --------------------------------
1999 1998 1997 1996 1995 1994
------------ ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Net Expenses 0.37%(a) 0.37% 0.38% 0.38% 0.42% 0.41%
Net Investment Income 4.49%(a) 4.70% 4.93% 4.92% 5.15% 4.68%
Portfolio Turnover 29%(b) 16% 25% 25% 47% 33%
</TABLE>
- ------------------------
(a) Annualized.
(b) Not Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
40
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
JULY 31, 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. 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. At a meeting on
November 12, 1998, the trustees elected to change the portfolio's fiscal year
end from August 31 to July 31.
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 portfolio values securities that are listed on an exchange using
prices supplied daily by an independent pricing service that are based on
the last traded price on a national securities exchange or, in the absence
of recorded trades, at the readily available mean of the bid and asked
prices on such exchange, if such exchange or market constitutes the
broadest and most representative market for the security. Independent
pricing service procedures may also include the use of prices based upon
yields or prices of securities of comparable quality, coupon, maturity and
type; indications as to values from dealers, operating data, and general
market conditions. Unlisted securities are valued at the average of the
quoted bid and asked prices in the over-the-counter market provided by a
principal market maker or dealer. If prices are not supplied by the
portfolio's independent pricing service or principal market maker or
dealer such securities are priced using fair values in accordance with
procedures adopted by the portfolio's trustees. All short-term securities
with a remaining maturity of 60 days or less are valued using the
amortized cost method.
b) Securities transactions are recorded on a trade date basis. Interest
income, which includes the amortization of premiums and discounts, if any,
is recorded on an accrual basis. For financial and tax reporting purposes,
realized gains and losses are determined on the basis of specific lot
identification.
c) The portfolio intends to be treated as a partnership for federal income
tax purposes. As such, each investor in the portfolio will be taxed on its
share of the portfolio's ordinary income and capital gains. It is intended
that the portfolio's assets will be managed in such a way that an investor
in the portfolio will be able to satisfy the requirements of Subchapter M
of the Internal Revenue Code. The cost of securities is substantially the
same for book and tax purposes.
2. TRANSACTIONS WITH AFFILIATES
a) 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
41
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JULY 31, 1999
- --------------------------------------------------------------------------------
Morgan and a wholly owned subsidiary of J.P. Morgan, and the terms of the
agreement will remain the same. For the eleven months ended July 31, 1999
and the fiscal year ended August 31, 1998, such fees amounted to
$2,295,351 and $2,017,415, respectively.
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 eleven months ended July 31, 1999 and
the fiscal year ended August 31, 1998, the fee for these services amounted
to $7,665 and $9,832, respectively.
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 eleven months ended July 31, 1999 and the
fiscal year ended August 31, 1998, the fee for these services amounted to
$203,283 and $198,156, respectively.
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 $17,915 and $21,294, for the eleven months ended July 31, 1999
and the fiscal year ended August 31, 1998, respectively.
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
as Chairman of Group and receives compensation and employee benefits from
Group in his role as Group's Chairman. The allocated portion of such
compensation and benefits included in the Fund Services Fee shown in the
financial statements was $3,400 and $4,500 for the eleven months ended
July 31, 1999 and the fiscal year ended August 31, 1998, respectively.
42
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JULY 31, 1999
- --------------------------------------------------------------------------------
3. INVESTMENT TRANSACTIONS
Investments transactions (excluding short-term investments) were as follows:
<TABLE>
<CAPTION>
FOR THE
ELEVEN
MONTHS ENDED FOR THE FISCAL
JULY 31, YEAR ENDED
1999 AUGUST 31, 1998
------------ ------------------
<S> <C> <C>
Cost of Purchases................................ $295,413,653 $265,777,265
Proceeds from Sales.............................. $234,597,010 $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.
43
<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 July 31, 1999, the results of its operations for the eleven
months ended July 31, 1999 and for the year ended August 31, 1998, and the
changes in its net assets for the eleven months ended July 31, 1999 and for the
two years ended August 31, 1998 and supplementary data for the eleven months
ended July 31, 1999 and for the five years ended August 31, 1998, 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 July 31, 1999 by
correspondence with the custodian, provide a reasonable basis for the opinion
expressed above.
PricewaterhouseCoopers LLP
New York, New York
September 15, 1999
44
