<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
JANUARY 31, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P RATINGS DATE RATE VALUE
- -------------- ------------------------------------- -------- ----------- ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
LONG-TERM INVESTMENTS (96.8%)
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% $ 1,041,770
------------
ALASKA (0.3%)
2,000 Anchorage, (Prerefunded, due
07/01/02), MBIA Insured............ GO Aaa/AAA 07/01/01(a) 6.600 2,058,080
------------
ARIZONA (0.8%)
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 1,034,870
1,750 Phoenix, (Refunding, Series C)....... GO Aa1/AA+ 07/01/02 6.375 1,817,200
3,315 Salt River Project, (Agricultural
Improvement & Power District,
Electric System Revenue, Refunding,
Series A).......................... RB Aa2/AA 01/01/06 6.000 3,463,015
------------
TOTAL ARIZONA.................... 6,315,085
------------
CALIFORNIA (4.5%)
6,000 California........................... GO Aa3/AA- 02/01/08 6.500 6,558,960
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 2,904,048
2,750 California Pollution Control
Financing Authority, (PCR, Laidlaw
Environmental, Refunding,
Series A).......................... RB NR/NR 07/01/07 6.700 2,720,795
13,675 California Statewide Community
Development Authority, (Catholic
Healthcare West)................... RB Baa1/BBB+ 07/01/09 6.000 13,237,126
1,049 Kaweah Delta Hospital District,
Tulare County, (Series E).......... PP NR/A+ 06/01/14 5.250 1,052,583
1,479 Kaweah Delta Hospital District,
Tulare County, (Series G).......... PP NR/A+ 06/01/04 6.400 1,540,260
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
16
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
JANUARY 31, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P RATINGS DATE RATE VALUE
- -------------- ------------------------------------- -------- ----------- ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
CALIFORNIA (CONTINUED)
$ 2,500 Los Angeles County Public Works
Financing Authority, (Lease
Revenue, Refunding, Series A), MBIA
Insured............................ RB Aaa/AAA 09/01/06 6.000% $ 2,668,625
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 4,334,148
------------
TOTAL CALIFORNIA................. 35,016,545
------------
CONNECTICUT (0.6%)
2,000 Connecticut Health & Educational
Facilities Authority, (St. Mary's
Hospital, Series D)................ RB Baa1/NR 07/01/01 5.750 2,016,300
2,815 Connecticut, (Special Tax Obligation,
Transportation Infrastructure,
Prerefunded, Series A, due
06/01/04).......................... RB NR/AAA 06/01/03(a) 6.600 2,960,057
------------
TOTAL CONNECTICUT................ 4,976,357
------------
DISTRICT OF COLUMBIA (7.4%)
220 District of Columbia, (Escrowed to
Maturity, Series A), MBIA-IBC
Insured............................ GO Aaa/AAA 06/01/07 6.000 230,184
2,600 District of Columbia, (Escrowed to
Maturity, Series B), MBIA
Insured............................ GO NR/AAA 06/01/02 6.000 2,671,786
6,795 District of Columbia, (Escrowed to
Maturity, Series C), FGIC
Insured............................ GO Aaa/AAA 12/01/03 5.250 6,888,431
10,645 District of Columbia, (Escrowed to
Maturity, Series A)................ GO Aaa/BBB 06/01/04 5.800 10,946,892
18,520 District of Columbia, (Refunding,
Series B), FSA Insured............. GO Aaa/AAA 06/01/09 5.500 18,535,557
705 District of Columbia, (Unrefunded
Balance, Refunding, Series C), FGIC
Insured............................ GO Aaa/AAA 12/01/03 5.250 711,507
2,780 District of Columbia, (Unrefunded
Balance, Series A), MBIA-IBC
Insured............................ GO Aaa/AAA 06/01/07 6.000 2,881,220
3,665 Metropolitan Airport, (General
Airport Revenue, Series A), FGIC
Insured............................ RB Aaa/AAA 10/01/10 7.250 3,787,594
1,000 Metropolitan Airport, (General
Airport Revenue, Series B), FGIC
Insured............................ RB Aaa/AAA 10/01/03 5.750 1,030,460
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
JANUARY 31, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P RATINGS DATE RATE VALUE
- -------------- ------------------------------------- -------- ----------- ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
DISTRICT OF COLUMBIA (CONTINUED)
$ 4,015 Metropolitan Airport, (General
Airport Revenue, Series B), FGIC
Insured............................ RB Aaa/AAA 10/01/05 6.000% $ 4,189,412
5,745 Metropolitan Airport, (General
Airport Revenue, Series B), FGIC
Insured............................ RB Aaa/AAA 10/01/06 6.000 5,990,024
------------
TOTAL DISTRICT OF COLUMBIA....... 57,863,067
------------
FLORIDA (1.6%)
5,765 Dade County School District,
(Refunding), MBIA Insured.......... GO Aaa/AAA 07/15/05 6.000 6,038,088
465 Florida State Board of Education,
(Capital Outlay, Unrefunded
Balance, Series C)................. GO Aa2/AA+ 06/01/01 7.000 470,115
2,000 Jacksonville Health Facilities
Authority, (Hospital Revenue,
Charity Obligated Group, Refunding,
Series A), MBIA Insured............ RB Aaa/AAA 08/15/06 5.500 2,042,560
2,000 Tampa, (Health System Revenue,
Catholic Health, Refunding,
Series A-1), MBIA Insured.......... RB Aaa/AAA 11/15/04 5.250 2,027,720
2,000 Volusia County School District,
(Refunding), FGIC Insured.......... GO Aaa/AAA 08/01/02 6.100 2,068,040
------------
TOTAL FLORIDA.................... 12,646,523
------------
GEORGIA (7.1%)
3,200 De Kalb County (Water & Sewer
Revenue, Refunding)................ RB Aa/AA 10/01/02 6.000 3,302,688
2,630 Fulton County School District,
(Refunding)........................ GO Aa2/AA 05/01/14 6.375 2,821,990
4,500 Georgia Municipal Electric Authority,
(Power Revenue, Crossover
Refunding, Series DD), AMBAC-TCRS
Insured............................ RB Aaa/AAA 01/01/08 7.000 4,986,270
1,250 Georgia Municipal Electric Authority,
(Power Revenue, Refunding,
Series A).......................... RB A3/A 01/01/12 6.500 1,342,937
4,000 Georgia Municipal Electric Authority,
(Power Revenue, Series A), MBIA-IBC
Insured............................ RB Aaa/AAA 01/01/12 6.500 4,286,600
4,895 Georgia, (Refunding, Series E)....... GO Aaa/AAA 07/01/03 5.500 5,010,669
5,820 Georgia, (Refunding, Series E)....... GO Aaa/AAA 02/01/05 5.000 5,830,534
6,000 Georgia, (Series B).................. GO Aaa/AAA 03/01/07 7.200 6,729,120
3,000 Georgia, (Series B).................. GO Aaa/AAA 03/01/10 6.300 3,228,000
4,470 Georgia, (Series C).................. GO Aaa/AAA 07/01/11 5.700 4,596,501
5,265 Georgia, (Series C).................. GO Aaa/AAA 09/01/10 5.750 5,448,117
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
JANUARY 31, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P RATINGS 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% $ 2,692,750
5,000 Metropolitan Atlanta Rapid Transit
Authority, (Sales Tax Revenue,
Refunding, Series P), AMBAC
Insured............................ RB Aaa/AAA 07/01/11 6.250 5,334,400
------------
TOTAL GEORGIA.................... 55,610,576
------------
HAWAII (0.5%)
2,000 Hawaii, (Series BZ).................. GO A1/A+ 10/01/12 6.000 2,078,400
510 Honolulu, City & County, (Escrowed to
Maturity, Series B)................ GO Aaa/AA- 10/01/11 5.500 514,131
1,490 Honolulu, City & County, (Unrefunded
Balance, Series B)................. GO Aa3/AA- 10/01/11 5.500 1,480,419
------------
TOTAL HAWAII..................... 4,072,950
------------
ILLINOIS (6.8%)
4,130 Chicago Board of Education, (Lease
Certificates, Refunding,
Series A), MBIA Insured............ RB Aaa/AAA 01/01/07 6.125 4,326,918
7,000 Chicago, (City Colleges Capital
Improvement), FGIC Insured......... GO Aaa/AAA 01/01/10 6.000 7,260,960
5,500 Chicago, (City Colleges Capital
Improvement), FGIC Insured......... GO Aaa/AAA 01/01/11 6.000 5,679,685
4,000 Chicago, (Equipment Notes), AMBAC
Insured............................ GO Aaa/AAA 01/01/04 5.600 4,085,520
3,000 Chicago, (Refunding, Series A-2),
AMBAC Insured...................... GO Aaa/AAA 01/01/11 6.000 3,098,010
3,280 Cook County, (Refunding, Series C),
FGIC Insured....................... GO Aaa/AAA 11/15/04 5.800 3,394,505
4,440 Hoffman Estates, Tax Increment
Revenue, (Economic Development
Project Area, Refunding), AMBAC
Insured............................ RB Aaa/AAA 11/15/04 5.500 4,544,562
3,000 Illinois Development Finance
Authority, (Industrial Development
Revenue Bonds, Riverside Health &
Fitness Center Project,
Series 1998-C)..................... PP NR/NR 08/01/28 4.900 2,802,690
3,000 Illinois Sales Tax Revenue,
(Refunding, Series Q).............. RB Aa2/AAA 06/15/09 6.000 3,102,450
4,175 Illinois Sales Tax Revenue,
(Refunding, Series Q).............. RB Aa2/AAA 06/15/12 6.000 4,260,212
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
JANUARY 31, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P RATINGS 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,
Series A).......................... RB NR/AAA 06/15/06 8.500% $ 212,256
940 Metropolitan Pier & Exposition
Authority, (Dedicated State Tax
Revenue, Escrowed to Maturity,
Series A).......................... RB Aaa/NR 06/15/06 8.500 1,108,448
3,300 Metropolitan Pier & Exposition
Authority, (Dedicated State Tax
Revenue, Refunding)................ RB Aa3/AA- 06/01/04 6.500 3,491,334
1,380 Metropolitan Pier & Exposition
Authority, (Dedicated State Tax
Revenue, Unrefunded Balance,
Series A).......................... RB Aa3/AA- 06/15/06 8.500 1,618,202
2,810 Regional Transportation Authority,
(Series D), FGIC Insured........... RB Aaa/AAA 06/01/07 7.750 3,216,073
1,000 University of Illinois, (Escrowed to
Maturity).......................... RB Aaa/AAA 10/01/01 6.000 1,021,910
------------
TOTAL ILLINOIS................... 53,223,735
------------
INDIANA (2.0%)
2,065 Indiana Bond Bank, (Special Program,
Refunding, Series A)............... GO NR/A+ 02/01/03 5.500 2,089,945
1,610 Indiana Bond Bank, (Special Program,
Refunding, Series A)............... GO NR/A+ 02/01/04 5.500 1,629,529
1,035 Indiana Bond Bank, (Special Program,
Refunding, Series A)............... GO NR/A+ 02/01/06 5.500 1,042,628
45 Indiana Health Facilities Financing
Authority, (Hospital Revenue,
Sisters of St. Frances Health
Services, Escrowed to Maturity,
Refunding, Series A), MBIA
Insured............................ RB Aaa/AAA 11/01/05 5.500 45,972
3,910 Indiana Health Facilities Financing
Authority, (Hospital Revenue,
Sisters of St. Frances Health
Services, Unrefunded Balance,
Series A), MBIA Insured............ RB Aaa/AAA 11/01/05 5.500 3,972,091
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
JANUARY 31, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P RATINGS DATE RATE VALUE
- -------------- ------------------------------------- -------- ----------- ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
INDIANA (CONTINUED)
$ 5,000 Indiana Municipal Power Agency,
(Power Supply System Revenue,
Refunding, Series B), MBIA
Insured............................ RB Aaa/AAA 01/01/07 5.750% $ 5,148,500
2,000 Indiana Municipal Power Agency,
(Power Supply System Revenue,
Refunding, Series B), MBIA
Insured............................ RB Aaa/AAA 01/01/13 6.000 2,042,500
------------
TOTAL INDIANA.................... 15,971,165
------------
KENTUCKY (0.3%)
2,150 Kentucky Turnpike Authority, (Road
Recovery Revenue, Escrowed to
Maturity).......................... RB Aaa/NR 07/01/02 7.100 2,202,245
------------
MAINE (0.6%)
4,050 Maine Municipal Bond Bank,
(Prerefunded, Series E, due
11/01/12).......................... RB Aa3/NR 11/01/02(a) 6.250 4,274,370
------------
MARYLAND (1.1%)
5,435 Maryland Health & Higher Educational
Facilities Authority, (John Hopkins
University, Refunding)............. RB Aa2/AA- 07/01/03 5.750 5,628,269
3,000 Maryland, (3rd Series)............... GO Aaa/AAA 07/15/03 6.400 3,084,180
------------
TOTAL MARYLAND................... 8,712,449
------------
MASSACHUSETTS (3.4%)
5,650 Massachusetts Bay Transportation
Authority, (General Transportation
System, Refunding, Series A)....... RB Aa3/AA- 03/01/08 7.000 6,282,856
1,495 Massachusetts State College Building
Authority, (Refunding,
Series A).......................... RB Aa3/AA- 05/01/11 7.500 1,749,464
8,250 Massachusetts State Water Resource
Authority, (Series A).............. RB A1/A 07/15/08 6.500 8,860,170
9,500 Massachusetts State Water Resource
Authority, (Pollution Abatement
Trust, Abatement MWRA Progaram,
Sub-Series A)...................... RB Aa1/AA 08/01/15 6.000 9,583,790
------------
TOTAL MASSACHUSETTS.............. 26,476,280
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
JANUARY 31, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P RATINGS DATE RATE VALUE
- -------------- ------------------------------------- -------- ----------- ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
MICHIGAN (6.0%)
$10,000 Detroit Water Supply System,
(Prerefunded, due 07/01/22), FGIC
Insured............................ RB Aaa/AAA 07/01/02(a) 6.375% $ 10,553,600
4,575 Michigan Building Authority,
(Prerefunded, Series I, due
10/01/03).......................... RB Aa2/AA 10/01/02(a) 5.400 4,727,805
3,045 Michigan Building Authority,
Facilites Program, (Refunding,
Series I), AMBAC Insured........... RB Aaa/AAA 10/01/04 6.000 3,177,732
13,050 Michigan Hospital Finance Authority,
(Ascension Health Credit Corp.,
Series A).......................... RB Aaa/AAA 11/15/15 6.250 13,340,493
10,500 Michigan Hospital Finance Authority,
(Genesys Health System,
Prerefunded, Refunding, Series A,
due 10/01/21)...................... RB Baa2/AAA 10/01/05(a) 8.125 12,252,555
2,905 Michigan Hospital Finance Authority,
(Mercy Health Services, Refunding,
Series T).......................... RB Aa3/AA- 08/15/04 5.750 2,955,721
------------
TOTAL MICHIGAN................... 47,007,906
------------
MINNESOTA (1.3%)
5,000 University of Minnesota, (Refunding,
Series A).......................... RB Aa2/AA 07/01/10 5.750 5,163,650
5,000 University of Minnesota, (Refunding,
Series A).......................... RB Aa2/AA 07/01/15 5.750 5,013,750
------------
TOTAL MINNESOTA.................. 10,177,400
------------
MISSISSIPPI (1.5%)
10,895 Mississippi, (Escrowed to Maturity,
Refunding)......................... GO Aaa/AAA 02/01/08 6.200 11,501,960
------------
MISSOURI (1.2%)
5,000 Missouri Convention & Sports Complex
Authority, (Prerefunded, Series A,
due 08/15/21)...................... RB Aaa/AAA 08/15/03(a) 6.900 5,320,700
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 4,282,800
------------
TOTAL MISSOURI................... 9,603,500
------------
NEBRASKA (0.7%)
5,245 Nebhelp Inc. (Sub-Series A-5B), MBIA
Insured............................ RB Aaa/NR 06/01/13 6.200 5,362,278
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
JANUARY 31, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P RATINGS DATE RATE VALUE
- -------------- ------------------------------------- -------- ----------- ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
NEVADA (3.0%)
$ 500 Carson City School District,
(Prerefunded, due 04/01/03), FGIC
Insured............................ GO Aaa/AAA 04/01/00(a) 6.750% $ 512,150
8,200 Clark County School District,
(Series A), MBIA Insured........... GO Aaa/AAA 06/01/11 7.000 9,178,916
3,000 Clark County, (Passenger Facilities
Charge Revenue, Las Vegas McCarran
International Airport,
Series A).......................... RB A/A 07/01/08 6.250 3,154,200
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 1,247,244
1,280 Las Vegas, (Clark County Library
District, Refunding, Series B),
FGIC Insured....................... GO Aaa/AAA 08/01/04 6.700 1,324,339
1,330 Nevada, (Prison Facilities,
Prerefunded, due 08/01/04)......... GO Aa2/AA 08/01/00(a) 7.000 1,375,087
1,985 Nevada, (Refunding, Series A-2)...... GO Aa2/AA 05/15/10 6.000 2,069,005
4,730 Washoe County School District, FSA
Insured............................ GO Aaa/AAA 06/01/09 5.625 4,804,356
------------
TOTAL NEVADA..................... 23,665,297
------------
NEW HAMPSHIRE (1.7%)
4,900 New Hampshire Higher Educational &
Health Facilities Authority,
(Dartmouth College, Refunding)..... RB Aaa/AAA 06/01/07 6.750 5,395,194
5,775 New Hampshire Municipal Bond Bank,
(Series B), FSA Insured............ GO Aaa/AAA 08/15/04 5.000 5,793,249
1,720 New Hampshire, (Prerefunded,
Series A, due 06/15/03)............ GO Aa2/AA+ 06/15/01(a) 6.600 1,799,602
------------
TOTAL NEW HAMPSHIRE.............. 12,988,045
------------
NEW JERSEY (4.1%)
4,180 Jersey City, (Refunding,
Series A).......................... GO Aa3/AA 10/01/11 6.250 4,434,228
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 7,108,570
4,100 New Jersey Economic Development
Authority, (Transition Project
Sublease, Series A), FSA Insured... RB Aaa/AAA 05/01/11 5.750 4,200,327
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
JANUARY 31, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P RATINGS DATE RATE VALUE
- -------------- ------------------------------------- -------- ----------- ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
NEW JERSEY (CONTINUED)
$10,000 New Jersey Transportation Authority,
(Refunding, Series A).............. RB Aa2/AA- 06/15/08 5.500% $ 10,161,100
6,000 New Jersey Transportation Authority,
(Refunding, Series B), MBIA
Insured............................ RB Aaa/AAA 06/15/05 6.000 6,277,200
------------
TOTAL NEW JERSEY................. 32,181,425
------------
NEW YORK (7.4%)
75 Monroe County, (Public Improvement,
Unrefunded Balance, Series 1995),
AMBAC Insured...................... GO Aaa/AAA 06/01/10 6.000 79,496
7,000 Municipal Assistance Corp for City of
New York, (Series H)............... RB Aa2/AA 07/01/06 6.250 7,414,610
3,090 Nassau County Tobacco Settlement
Corp., Asset Backed A Plan......... RB A1/A+ 07/15/03 4.200 3,045,195
1,465 New York City, (Escrowed to Maturity,
Series B).......................... GO Aaa/AAA 06/01/01 8.000 1,534,089
805 New York City, (Escrowed to Maturity,
Series F).......................... GO Aaa/A- 02/15/02 6.100 827,693
50 New York City, (Escrowed to Maturity,
Series A).......................... GO A3/A- 08/01/02 5.750 51,210
7,000 New York City, (Refunding,
Series A).......................... GO A3/A1 08/01/04 6.750 7,452,830
4,480 New York City, (Refunding,
Series G).......................... GO A3/A- 08/01/03 5.000 4,477,133
3,425 New York City, (Series F)............ GO A3/A- 02/15/03 6.200 3,537,340
2,595 New York City, (Unrefunded Balance,
Series A).......................... GO A3/A- 08/01/02 5.750 2,646,199
10,000 New York Convention Center Operating
Corp., (Yale Building Acquisition
Project)........................... PP NR/NR 12/01/04 6.500 9,885,200
5,000 New York State Dormitory Authority,
(FHA Hospital New York &
Presbyterian, Refunding), AMBAC-FHA
Insured............................ RB Aaa/AAA 08/01/13 4.400 4,924,000
2,850 New York State Dormitory Authority,
(Secured Hospital, Interfaith
Medical Center, Series D).......... RB Baa1/BBB+ 02/15/04 5.500 2,846,380
8,700 Triborough Bridge & Tunnel Authority,
(General Purpose, Refunding,
Series X).......................... RB Aa3/A+ 01/01/12 6.625 9,433,932
------------
TOTAL NEW YORK................... 58,155,307
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
JANUARY 31, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P RATINGS DATE RATE VALUE
- -------------- ------------------------------------- -------- ----------- ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
NORTH CAROLINA (2.0%)
$ 6,275 North Carolina Municipal Power
Agency, (No. 1 Catawba Electric
Revenue, Series B)................. RB Baa1/BBB+ 01/01/07 6.250% $ 6,386,381
8,900 North Carolina Municipal Power
Agency, (No.1 Catawba Electric
Revenue, Series B)................. RB Baa1/BBB+ 01/01/06 6.125 9,026,914
------------
TOTAL NORTH CAROLINA............. 15,413,295
------------
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 2,037,520
2,795 Ohio Water Development Authority,
(Escrowed to Maturity,
Refunding)......................... RB Aaa/AAA 12/01/10 9.375 3,315,429
------------
TOTAL OHIO....................... 5,352,949
------------
OREGON (0.7%)
5,535 Washington County, (Criminal Justice
Facilities, Prerefunded, due
12/01/10).......................... GO Aa1/AAA 12/01/04(a) 6.000 5,778,983
------------
PENNSYLVANIA (3.2%)
1,175 Bethel Park School District,
(Prerefunded, Series B, due
02/01/02), AMBAC Insured........... GO Aaa/AAA 02/01/00(a) 6.550 1,175,000
1,310 Pennsylvania Higher Education
Facilities Authority, (College &
University Revenue, University of
Pennsylvania, Refunding,
Series A).......................... RB A1/AA 09/01/02 6.500 1,365,911
2,800 Pennsylvania Higher Education
Facilities Authority, (Health
Services Revenue, University of
Pennsylvania Health Services,
Refunding, Series A)............... RB A3/A 01/01/06 6.000 2,781,212
1,500 Pennsylvania, (2nd Series A,
Prerefunded, due 11/01/04), MBIA
Insured............................ GO Aaa/AAA 11/01/01(a) 6.500 1,568,925
4,250 Philadelphia Authority for Industrial
Development, (Academy of Natural
Sciences).......................... PP NR/NR 01/01/18 4.750 4,226,667
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
JANUARY 31, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P RATINGS DATE RATE VALUE
- -------------- ------------------------------------- -------- ----------- ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
PENNSYLVANIA (CONTINUED)
$ 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% $ 8,770,153
5,000 Philadelphia Water & Waste, (Water
Revenue), AMBAC-TCRS Insured....... RB Aaa/AAA 06/15/09 5.625 5,101,050
------------
TOTAL PENNSYLVANIA............... 24,988,918
------------
PUERTO RICO (0.6%)
5,000 Puerto Rico Municipal Finance Agency,
(Refunding, Series B).............. GO Baa1/A- 08/01/02 5.500 5,016,250
------------
SOUTH CAROLINA (3.9%)
1,620 Charleston County, (Prerefunded, due
06/01/07).......................... GO Aa3/AA 06/01/06(a) 5.625 1,664,501
1,000 Piedmont Municipal Power Agency,
(Electric Power Revenue, Escrowed
to Maturity, Refunding), MBIA
Insured............................ RB Aaa/AAA 01/01/08 6.200 1,060,800
15,000 Piedmont Municipal Power Agency,
(Electric Revenue, Refunding), FGIC
Insured............................ RB Aaa/AAA 01/01/20 6.750 16,222,500
5,385 South Carolina, (Capital Improvement,
Series A).......................... GO Aaa/AAA 10/01/09 5.500 5,482,953
5,655 South Carolina, (Capital Improvement,
Series A).......................... GO Aaa/AAA 10/01/10 5.500 5,738,694
------------
TOTAL SOUTH CAROLINA............. 30,169,448
------------
TEXAS (8.6%)
1,500 Austin Utilities System, (Escrowed to
Maturity).......................... RB Aaa/AAA 10/01/01 6.500 1,545,930
7,500 Austin Utilities System, (Refunding,
Series A), FSA Insured............. RB Aaa/AAA 11/15/03 5.750 7,730,175
4,040 Austin, Public Improvement........... GO Aa2/AA 09/01/12 5.750 4,085,167
2,260 Austin, Public Improvement........... GO Aa2/AA 09/01/13 5.750 2,275,255
4,500 Austin, Public Improvement........... GO Aa2/AA 09/01/14 5.750 4,500,720
2,260 Corpus Christi Independent School
District, (Refunding), PSFG
Insured............................ GO Aaa/AAA 08/15/05 6.000 2,367,418
1,305 Dallas County Flood Control District
#1, (Prerefunded, due 04/01/10).... GO Aaa/NR 04/01/08(a) 9.250 1,642,134
1,650 El Paso Independent School District,
(Prerefunded, due 07/01/03), PSFG
Insured............................ GO Aaa/AAA 07/01/01(a) 6.550 1,696,794
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
JANUARY 31, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P RATINGS DATE RATE VALUE
- -------------- ------------------------------------- -------- ----------- ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
TEXAS (CONTINUED)
$ 3,805 Lewisville Independent School
District, (Refunding), PSFG
Insured............................ GO Aaa/NR 08/15/03 6.000% $ 3,954,194
10,000 Lower Colorado River Authority,
(Refunding, Series B).............. RB Aaa/AAA 05/15/10 6.000 10,423,200
2,000 Plano Independent School District,
(Prerefunded, Series B, due
02/15/04), FGIC Insured............ GO Aaa/AAA 02/15/01(a) 6.550 2,047,000
1,500 San Antonio, (General Improvement,
Refunding)......................... GO Aa2/AA+ 08/01/07 6.000 1,573,710
7,000 Texas Water Development Board,
(Revolving Fund, Sr. Lien,
Series B).......................... RB Aa1/AAA 07/15/12 5.750 7,091,630
2,000 Texas, (Public Finance Authority,
Prerefunded, due 10/01/02)......... GO NR/AA 10/01/00(a) 6.300 2,028,920
1,000 Texas, (Public Finance Authority,
Prerefunded, due 10/01/05)......... GO NR/AA 10/01/00(a) 6.500 1,015,750
4,000 Texas, (Public Finance Authority,
Refunding, Series B)............... GO Aa2/AA 10/01/03 6.000 4,159,120
6,180 University of Texas, (Financing
System Revenue, Series A).......... RB Aa1/AAA 08/15/07 6.000 6,500,680
2,500 University of Texas, (Permanent
University Fund, Refunding)........ RB Aaa/AAA 07/01/01 6.300 2,561,775
------------
TOTAL TEXAS...................... 67,199,572
------------
UTAH (2.2%)
1,625 Intermountain Power Agency, (Utah
Power Supply Revenue, Refunding,
Series B), MBIA Insured............ RB Aaa/AAA 07/01/09 6.500 1,742,244
4,155 Intermountain Power Agency, (Utah
Power Supply Revenue, Refunding,
Series C), MBIA Insured............ RB Aaa/AAA 07/01/01 6.000 4,239,679
6,645 Intermountain Power Agency, (Utah
Power Supply Revenue, Refunding,
Series C), MBIA Insured............ RB Aaa/AAA 07/01/02 6.000 6,819,631
4,180 Jordan School District,
(Refunding)........................ GO Aa3/AA 06/15/06 6.050 4,311,545
------------
TOTAL UTAH....................... 17,113,099
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
JANUARY 31, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P RATINGS DATE RATE VALUE
- -------------- ------------------------------------- -------- ----------- ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
VIRGINIA (2.3%)
$10,000 Fairfax County, (Industrial
Development Authority Revenue,
Prerefunded, due 08/29/23)......... RB Aaa/AA 08/28/01(a) 6.801% $ 10,517,500
2,000 Virginia Public School Authority,
(Prerefunded, Series A)............ RB Aa2/AA 08/01/04 6.500 2,094,620
5,000 Virginia Public School Authority,
(Refunding)........................ RB Aa/AA 01/01/02 6.000 5,121,850
------------
TOTAL VIRGINIA................... 17,733,970
------------
WASHINGTON (5.5%)
1,555 King & Snohomish Counties School
District #417, FGIC Insured........ GO Aaa/AAA 12/01/02 6.600 1,578,201
1,000 Pierce County School District #320,
(Prerefunded, due 12/01/02),
MBIA-IBC Insured................... GO Aaa/AAA 12/01/01(a) 6.600 1,035,310
1,250 Snohomish County School District #2,
(Refunding, Series A), MBIA-IBC
Insured............................ GO Aaa/AAA 12/01/02 6.700 1,281,225
4,815 Washington Public Power Supply
System, (Nuclear Project #1,
Refunding, Series A), MBIA
Insured............................ RB Aaa/AAA 07/01/06 6.000 4,989,881
4,000 Washington Public Power Supply
System, (Nuclear Project #1,
Refunding, Series B)............... RB Aa1/AA- 07/01/03 5.750 4,085,280
2,000 Washington Public Power Supply
System, (Nuclear Project #2,
Refunding, Series A)............... RB Aa1/AA- 07/01/06 7.250 2,210,460
5,265 Washington Public Power Supply
System, (Nuclear Project #2,
Refunding, Series A)............... RB Aa1/AA- 07/01/01 6.300 5,383,515
4,000 Washington Public Power Supply
System, (Nuclear Project #2,
Refunding, Series A)............... RB Aa1/AA- 07/01/09 5.750 4,052,800
1,500 Washington Public Power Supply
System, (Nuclear Project #2,
Refunding, Series C)............... RB Aa1/AA- 07/01/02 7.500 1,563,765
2,000 Washington Public Power Supply
System, (Nuclear Project #2,
Refunding, Series C), FGIC
Insured............................ RB Aaa/AAA 07/01/01 7.000 2,062,260
5,000 Washington Public Power Supply
System, (Nuclear Project #3,
Refunding, Series A)............... RB Aa1/AA- 07/01/03 5.000 4,990,500
1,000 Washington, (Prerefunded, Series B,
due 08/01/02)...................... GO Aa1/AA+ 08/01/00(a) 6.750 1,013,080
1,750 Washington, (Refunding,
Series R-92-A)..................... GO Aa1/AA+ 09/01/02 6.300 1,808,013
3,075 Washington, (Series A)............... GO Aa1/AA+ 01/01/07 5.250 3,076,292
4,000 Washington, (Series B & AT-7)........ GO Aa1/AA+ 06/01/17 6.400 4,224,760
------------
TOTAL WASHINGTON................. 43,355,342
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
28
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
JANUARY 31, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P RATINGS DATE RATE VALUE
- -------------- ------------------------------------- -------- ----------- ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
WEST VIRGINIA (0.5%)
$ 1,000 Berkeley County Board of Education,
(Escrowed to Maturity), BIG
Insured............................ GO Aaa/AAA 04/01/01 7.300% $ 1,032,970
2,790 West Virginia Public Energy
Authority, (Morgantown Association
Project, Series A), LOC Swiss Bank
Corp............................... RB Aa1/AA+ 07/01/08 5.050 2,788,968
------------
TOTAL WEST VIRGINIA.............. 3,821,938
------------
WISCONSIN (2.6%)
6,250 Wisconsin Health & Educational
Facilities......................... PP NR/NR 05/01/19 5.950 5,456,438
6,250 Wisconsin Health & Educational
Facilities......................... PP NR/NR 05/01/14 5.700 5,602,125
4,000 Wisconsin, (Series A)................ GO Aa2/AA 05/01/05 6.000 4,162,200
5,270 Wisconsin, (Series C)................ GO Aa2/AA 05/01/10 5.750 5,398,272
------------
TOTAL WISCONSIN.................. 20,619,035
------------
TOTAL LONG TERM INVESTMENTS (COST $759,148,398).............................. 757,667,114
------------
SHORT-TERM INVESTMENTS (2.6%)
ALASKA (0.5%)
1,000 Anchorage, (Series A), AMBAC
Insured............................ GO Aaa/AAA 02/01/00 6.850 1,000,000
3,000 North Slope Borough, (Series A), MBIA
Insured............................ GO Aaa/AAA 06/30/00 5.550 3,019,170
------------
TOTAL ALASKA..................... 4,019,170
------------
PENNSYLVANIA (0.3%)
970 Pennsylvania Higher Education
Assistance Agency, (Student Loan
Revenue, Refunding, Series A), FGIC
Insured............................ RB Aaa/AAA 12/01/00 6.800 989,914
1,000 Pennsylvania, (Refunding and
Projects, 1st Series A), AMBAC-TCRS
Insured............................ GO Aaa/AAA 01/01/01 6.600 1,021,910
------------
2,011,824
------------
RHODE ISLAND (0.5%)
3,785 Rhode Island, (Construction Capital
Development Loan, Series B)........ GO Aa3/AA- 05/15/00 6.000 3,805,325
------------
TEXAS (0.3%)
1,500 Addison, (Refunding), FGIC Insured... GO Aaa/AAA 09/01/00 6.250 1,501,680
1,000 Arlington, AMBAC Insured............. GO Aaa/AAA 08/01/00 6.850 1,014,110
------------
2,515,790
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
29
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
JANUARY 31, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P RATINGS DATE RATE VALUE
- -------------- ------------------------------------- -------- ----------- ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
WASHINGTON (0.8%)
$ 605 King County, (Escrowed to Maturity,
Series B).......................... GO Aa1/AA+ 01/01/01 6.700% $ 618,625
5,750 King County, (Unrefunded Balance,
Series B).......................... GO Aa1/AA+ 01/01/01 6.700 5,879,490
------------
6,498,115
------------
OTHER INVESTMENT COMPANIES (0.2%)
</TABLE>
<TABLE>
<CAPTION>
SHARES
- ------------
<C> <S> <C> <C> <C> <C> <C>
1,154,128 J.P. Morgan Institutional Tax Exempt
Money Market Fund..................... Aaa/AAA 3.200(y) 1,154,128
------------
TOTAL SHORT TERM INVESTMENTS (COST $19,824,460)........................... 20,004,352
------------
TOTAL INVESTMENTS (COST $778,972,858) (99.4%)................................. 777,671,466
OTHER ASSETS IN EXCESS OF LIABILITIES (0.6%).................................. 4,753,480
------------
NET ASSETS (100.0%)........................................................... $782,424,946
============
</TABLE>
- ------------------------------
Note: Based on the cost of the investments of $779,266,429 for federal income
tax purposes at January 31, 2000, the aggregate gross unrealized appreciation
and depreciation was $7,160,096 and $8,755,059, respectively, resulting in net
unrealized depreciation of investments of $1,301,392.
(a) The date listed under the heading maturity date represents an optional
tender date. The actual maturity date is indicated in the security description.
(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, IBC - IBC
Financial Data, Inc., 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, 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.
30
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
JANUARY 31, 2000
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $778,972,858 ) $777,671,466
Interest Receivable 10,497,635
Receivable for Investments Sold 2,438,273
Prepaid Expenses and Other Assets 3,243
Prepaid Trustees' Fees 3,090
------------
Total Assets 790,613,707
------------
LIABILITIES
Payable for Investments Purchased 7,872,819
Advisory Fee Payable 194,811
Administrative Services Fee Payable 16,314
Administration Fee Payable 478
Fund Services Fee Payable 264
Accrued Expenses 104,075
------------
Total Liabilities 8,188,761
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $782,424,946
============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
31
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED JANUARY 31, 2000
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $ 20,047,387
EXPENSES
Advisory Fee $1,212,075
Custodian Fees and Expenses 121,858
Administrative Services Fee 101,868
Professional Fees and Expenses 25,333
Fund Services Fee 6,815
Trustees' Fees and Expenses 3,657
Administration Fee 3,199
Miscellaneous 5,684
----------
Total Expenses 1,480,489
------------
NET INVESTMENT INCOME 18,566,898
NET REALIZED GAIN (LOSS) ON INVESTMENTS (9,967,427)
NET CHANGE IN UNREALIZED DEPRECIATION OF
INVESTMENTS (10,037,520)
------------
NET DECREASE IN NET ASSETS RESULTING FROM
OPERATIONS $ (1,438,049)
============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
32
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE ELEVEN
JANUARY 31, 2000 MONTHS ENDED
(UNAUDITED) JULY 31, 1999
---------------- --------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 18,566,898 $ 34,387,277
Net Realized Gain (Loss) on Investments (9,967,427) 4,500,130
Net Change in Unrealized Depreciation of
Investments (10,037,520) (30,158,895)
--------------- ------------
Net Increase (Decrease) in Net Assets
Resulting from Operations (1,438,049) 8,728,512
--------------- ------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 167,219,900 417,545,311
Withdrawals (205,226,661) (361,383,038)
--------------- ------------
Net Increase (Decrease) from Investors'
Transactions (38,006,761) 56,162,273
--------------- ------------
Total Increase (Decrease) in Net Assets (39,444,810) 64,890,785
NET ASSETS
Beginning of Period 821,869,756 756,978,971
--------------- ------------
End of Period $ 782,424,946 $821,869,756
=============== ============
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS ENDED FOR THE ELEVEN FOR THE FISCAL YEAR ENDED AUGUST 31,
JANUARY 31, 2000 MONTHS ENDED --------------------------------------
(UNAUDITED) JULY 31, 1999 1998 1997 1996 1995
---------------- -------------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Net Expenses 0.37%(a) 0.37% 0.37% 0.38% 0.38% 0.42%
Net Investment Income 4.58%(a) 4.49% 4.70% 4.93% 4.92% 5.15%
Portfolio Turnover 43%(b) 29% 16% 25% 25% 47%
</TABLE>
- ------------------------
(a) Annualized.
(b) Not Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
33
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
JANUARY 31, 2000
- --------------------------------------------------------------------------------
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 (formerly The Pierpont Tax Exempt Bond Fund) in
exchange for a beneficial interest in the portfolio. The portfolio's investment
objective is to provide a high level of current income that is exempt from
federal income tax consistent with moderate risk of capital. 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 portfolio values securities that are listed on an exchange using
prices supplied 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 such security. Independent pricing services
procedures may also included the use of prices based upon yields or prices
of securities of comparable quality, coupon, maturity and type:
indications as to value 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
portfolios independent pricing service or principal market maker or dealer
such securities are priced using fair values in accordance with procedures
adopted by the portfolios trustees. All short-term portfolio securities
with a remaining maturity of less than 60 days are valued by 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) The portfolio has an Investment Advisory Agreement with J.P. Morgan
Investment Management Inc. ("JPMIM"), a wholly owned subsidiary of J.P.
Morgan & Co. Incorporated ("J.P. Morgan"). Under the terms of the
Agreement, the portfolio pays JPMIM at an annual rate of 0.30% of the
portfolio's average daily net assets. For the six months ended
January 31, 2000, such fees amounted to $1,216,143.
34
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
JANUARY 31, 2000
- --------------------------------------------------------------------------------
The portfolio may invest in one or more affiliated money market funds:
J.P. Morgan Institutional Prime Money Market Fund, J.P. Morgan
Institutional Tax Exempt Money Market Fund, J.P. Morgan Institutional
Federal Money Market Fund and J.P. Morgan Institutional Treasury Money
Market Fund. The Advisor has agreed to reimburse its advisory fee from the
portfolio in an amount to offset any doubling of investment advisory and
shareholder servicing fees. For the six months ended January 31, 2000,
J.P. Morgan has agreed to reimburse the portfolio $4,068 under this
agreement.
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 January 31, 2000,
the fee for these services amounted to $3,199.
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 January 31, 2000, the fee
for these services amounted to $101,868.
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 $6,815 for the six months ended January 31, 2000.
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 $1,300.
35
<PAGE>
THE TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
JANUARY 31, 2000
- --------------------------------------------------------------------------------
3. INVESTMENT TRANSACTIONS
Investments transactions (excluding short-term investments) for the six months
ended January 31, 2000 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
- --------- ------------
<S> <C>
$351,349,345 $338,054,049
</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.
36