<PAGE>
THE INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
COMMON STOCK (93.1%)
AUSTRALIA (2.0%)
AMP Ltd. (Insurance)(s).......................... 80,200 $ 814,950
Broken Hill Proprietary Co. Ltd. (Metals &
Mining)(s)..................................... 101,105 1,044,191
CSR Ltd. (Building Materials)(s)................. 228,300 512,098
Foster's Brewing Group Ltd. (Food, Beverages &
Tobacco)(s).................................... 139,405 370,263
Lend Lease Corp. Ltd. (Financial Services)(s).... 58,100 668,020
National Australia Bank Ltd. (Banking)(s)........ 131,105 2,021,806
Pioneer International Ltd. (Building
Materials)(s).................................. 283,972 620,690
Santos Ltd. (Oil-Production)(s).................. 197,100 506,170
Southcorp Ltd. (Food, Beverages & Tobacco)(s).... 208,800 725,157
Telstra Corp. Ltd. (Telecommunication
Services)(s)................................... 329,200 1,673,417
Telstra Corp. Ltd. Installment Receipt
(Telecommunication Services)+(s)............... 138,596 444,246
Westpac Banking Corp. Ltd. (Banking)(s).......... 141,600 907,930
Woolworths Ltd. (Retail)(s)...................... 163,900 556,687
------------
10,865,625
------------
AUSTRIA (0.4%)
Bank Austria AG (Banking)(s)..................... 40,083 1,991,450
------------
DENMARK (0.1%)
Ratin A/S (Holding Companies)(s)................. 6,113 635,333
------------
FINLAND (1.9%)
Nokia OYJ (Telecommunications-Equipment)(s)...... 55,768 6,377,897
Stora Enso OYJ, R Shares (Forest Products &
Paper)(s)...................................... 208,524 2,771,639
Tietoenator Oyj Abp (Computer Software)(s)....... 24,633 854,387
------------
10,003,923
------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
FRANCE (10.4%)
Alcatel (Telecommunications-Equipment)........... 9,325 $ 1,428,904
Alstom SA (Railroads)(s)......................... 59,251 1,793,543
AXA (Insurance)(s)............................... 27,531 3,880,381
Banque Nationale de Paris (Financial
Services)(s)................................... 27,828 2,442,261
Carrefour SA (Retail)(s)......................... 18,840 3,485,116
Castorama Dubois Investissement SA (Retail)(s)... 5,442 1,629,004
Christian Dior SA (Retail)(s).................... 5,943 1,063,136
CNP Assurances (Insurance)(s).................... 21,900 644,504
Coflexip SA (Oil-Services)(s).................... 6,413 505,529
Compagnie de Saint Gobain SA (Building
Materials)(s).................................. 10,831 1,878,348
Credit Lyonnais (Banking)+(s).................... 56,847 1,717,786
France Telecom SA (Telecommunication
Services)(s)................................... 11,430 1,103,441
Groupe Danone (Food, Beverages & Tobacco)(s)..... 11,400 2,905,629
Lagardere S.C.A. (Multi - Industry)(s)........... 30,205 1,222,259
Louis Vuitton Moet Hennessy (Food, Beverages &
Tobacco)(s).................................... 3,161 953,520
Pinault-Printemps-Redoute SA (Retail)(s)......... 9,494 1,809,134
Renault SA (Automotive)(s)....................... 19,140 989,762
Rhodia SA (Chemicals)(s)......................... 87,462 1,686,860
Rhone-Poulenc SA, A Shares
(Pharmaceuticals)(s)........................... 57,342 3,206,329
Sanofi-Synthelabo SA (Pharmaceuticals)+(s)....... 27,651 1,219,176
SEITA (Food, Beverages & Tobacco)(s)............. 21,689 1,208,200
Total SA, B Shares (Oil-Services)(s)............. 90,456 12,216,998
Usinor SA (Metals & Mining)(s)................... 43,104 598,472
Vivendi (Utilities)(s)........................... 83,465 6,320,654
------------
55,908,946
------------
GERMANY (8.4%)
BASF AG (Chemicals)(s)........................... 52,881 2,376,071
Bayerische Hypo-Und Vereinsbank AG (Banking)(s).. 27,504 1,803,865
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
GERMANY (CONTINUED)
Bilfinger & Berger Bau AG (Construction &
Housing)(s).................................... 30,340 $ 621,833
Celanese AG (Chemicals)+(s)...................... 2,986 47,081
DaimlerChrysler AG (Automotive)(s)............... 63,806 4,962,687
Deutsche Telekom AG (Utilities)(s)............... 81,111 3,725,502
Dresdener Bank AG (Banking)(s)................... 30,161 1,545,411
Entrium Direct Bankers AG (Banking)+(s).......... 25,900 428,750
Hochtief AG (Construction & Housing)(s).......... 20,419 839,141
Hoechst AG (Holding Companies)(s)................ 29,863 1,313,568
Karstadt AG (Retail)(s).......................... 14,110 637,704
Mannesman AG (Diversified Manufacturing)(s)...... 52,444 8,240,634
Merck KgAA (Pharmaceuticals)(s).................. 13,000 448,168
Muenchener Rueckversicherungs-Gesellschaft AG
(Insurance)(s)................................. 11,165 2,558,226
Reckitt & Colman Deutshhland (Household
Products)(s)................................... 59,200 716,902
SAP AG (Computer Software)(s).................... 6,839 2,538,849
Schering AG (Pharmaceuticals)(s)................. 7,207 856,724
SGL Carbon AG (Chemicals)+(s).................... 10,500 671,542
Siemens AG (Diversified Manufacturing)(s)........ 44,514 3,993,225
Stinnes AG (Transport & Services)(s)............. 70,423 1,347,130
VEBA AG (Utilities)(s)........................... 80,467 4,347,149
Volkswagen AG (Automotive)(s).................... 15,200 897,849
------------
44,918,011
------------
HONG KONG (1.4%)
Cheung Kong Holdings Ltd. (Real Estate)(s)....... 166,000 1,511,613
Hongkong Electric Holdings Ltd. (Electric)(s).... 260,500 796,301
HSBC Holding PLC (Financial Services(s).......... 92,400 1,111,961
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
HONG KONG (CONTINUED)
Hutchison Whampoa Ltd. (Multi - Industry)(s)..... 238,000 $ 2,389,338
Sun Hung Kai Properties Ltd. (Real Estate)(s).... 210,000 1,702,809
------------
7,512,022
------------
IRELAND (0.8%)
Bank of Ireland (Banking)(s)..................... 91,222 711,422
CRH PLC (Building Materials)(s).................. 51,400 969,731
Eircom PLC (Telecommunication Services)(s)....... 122,200 507,332
Irish Life and Permanent PLC (Financial
Services)(s)................................... 71,498 728,936
Jefferson Smurfit Group PLC (Forest Products &
Paper)(s)...................................... 570,629 1,481,407
------------
4,398,828
------------
ITALY (2.4%)
Assicurazioni Generali SPA (Insurance)(s)........ 23,563 755,360
Banca Fideuram SPA (Financial Services)(s)....... 243,480 1,471,481
ENI SPA (Oil-Services)(s)........................ 436,006 2,547,950
Mediaset SpA (Broadcasting & Publishing)(s)...... 102,527 1,022,652
Mediolanum SPA (Financial Services)(s)........... 115,400 937,581
Saipem SpA (Oil-Services)(s)..................... 136,800 582,324
Telecom Italia SPA (Telecommunication
Services)(s)................................... 78,260 675,315
Telecom Italia SPA - RNC (Telecommunication
Services)(s)................................... 269,883 1,324,695
Unicredito Italiano SPA (Financial
Services)(s)................................... 722,108 3,377,426
------------
12,694,784
------------
JAPAN (24.6%)
Aiful Corp. (Banking)(s)......................... 2,800 434,649
Ajinomoto Co., Inc. (Food, Beverages &
Tobacco)(s).................................... 90,000 1,008,144
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
JAPAN (CONTINUED)
Asahi Bank Ltd. (Banking)(s)..................... 280,000 $ 2,484,476
Bank of Fukuoka Ltd. (Banking)(s)................ 125,000 961,814
Bank of Tokyo - Mitsubishi Ltd. (Banking)(s)..... 191,000 3,162,590
Bridgestone Corp. (Chemicals)(s)................. 59,000 1,622,556
Citizen Watch Co. (Retail)(s).................... 144,000 1,016,941
DDI Corp. (Telecommunications)(s)................ 255 2,785,549
Denso Corp. (Automotive Supplies)(s)............. 33,000 705,155
Ebara Corp. (Machinery)(s)....................... 155,000 1,847,642
Fanuc Ltd. (Machinery)(s)........................ 6,800 527,788
Fuji Bank Ltd. (Banking)(s)...................... 258,000 3,535,261
Fuji Heavy Industries, Ltd. (Truck & Freight
Carriers)(s)................................... 121,000 1,027,271
Fujitsu Ltd. (Computer Systems)(s)............... 135,000 4,061,899
Hitachi Ltd. (Electrical Equipment)(s)........... 198,000 2,138,232
Hitachi Software Engineering Co. (Computer
Software)(s)................................... 12,600 1,157,857
Honda Motor Co. Ltd. (Automotive)(s)............. 65,000 2,740,512
Ito - Yokado Co. Ltd. (Retail)(s)................ 36,000 2,876,963
Japan Tobacco, Inc. (Food, Beverages &
Tobacco)(s).................................... 121 1,333,365
Kaken Pharmaceuticals (Pharmaceuticals)(s)....... 58,000 427,942
Kawasaki Steel Corp. (Metals & Mining)(s)........ 559,000 1,264,124
Kyocera Corp. (Electronics)(s)................... 31,000 2,970,485
Matsushita Electric Industrial Co. Ltd.
(Electronics)(s)............................... 181,000 3,806,965
Minebea Co. Ltd. (Capital Goods)(s).............. 235,000 3,163,807
Mitsubishi Chemical Corp. (Chemicals)(s)......... 956,000 4,332,961
Mitsubishi Corp. (Wholesale & International
Trade)(s)...................................... 237,000 1,703,238
Mitsubishi Estate Co. Ltd. (Real Estate)(s)...... 112,000 1,121,502
Mitsui Marine & Fire Insurance Co. Ltd.
(Insurance)(s)................................. 137,000 907,119
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
JAPAN (CONTINUED)
Mitsui Mining & Smelting Co. Ltd. (Metals &
Mining)(s)..................................... 30,000 $ 168,168
Mitsui Trust & Banking Co. Ltd. (Banking)(s)..... 161,000 499,846
NAMCO Ltd. (Entertainment, Leisure & Media)(s)... 52,900 2,493,943
Nichiei Co. Ltd. (Financial Services)(s)......... 25,200 1,303,947
Nintendo Co. Ltd. (Retail)(s).................... 8,400 1,332,119
Nippon Telegraph & Telephone Corp.
(Telecommunications)(s)........................ 705 10,808,734
Nippon Yusen Kabushiki Kaisha (Transport &
Services)(s)................................... 811,000 3,497,028
Nishimatsu Construction Co. Ltd. (Construction &
Housing)(s).................................... 423,000 2,225,248
Omron Corp. (Electrical Equipment)(s)............ 51,000 1,065,350
Osaka Gas Co. Ltd. (Natural Gas)(s).............. 562,000 1,879,436
Pioneer Corp. (Electronics)(s)................... 59,000 1,052,117
Ricoh Co. Ltd. (Electrical Equipment)(s)......... 159,000 2,591,595
Rohm Co. Ltd. (Electronics)(s)................... 9,400 2,107,703
Sakura Bank Ltd. (Banking)(s).................... 77,000 661,096
Sanyo Electric Co. Ltd. (Electronics)(s)......... 248,000 1,188,194
Sekisui Chemical Co. Ltd. (Chemicals)(s)......... 217,000 1,066,701
Shohkoh Fund & Co. Ltd. (Financial
Services)(s)................................... 3,610 2,206,956
Snow Brand Milk Products Co. Ltd. (Food,
Beverages & Tobacco)(s)........................ 165,000 795,276
Softbank Corp. (Wholesale & International
Trade)(s)...................................... 9,400 3,900,152
Sony Corp. (Electronics)(s)...................... 2,200 342,775
Sony Music Entertainment, Inc. (Entertainment,
Leisure & Media)(s)............................ 54,100 7,045,024
Sumitomo Bakelite Co. Ltd. (Chemicals)(s)........ 70,000 690,207
Sumitomo Bank Ltd. (Banking)(s).................. 91,000 1,463,184
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
JAPAN (CONTINUED)
Sumitomo Rubber Industries Ltd. (Automotive
Supplies)(s)................................... 253,000 $ 1,500,641
Suzuki Motor Corp. (Automotive)(s)............... 84,000 1,274,971
Taiheiyo Cement Corp. (Building Materials)(s).... 239,000 522,154
Takeda Chemical Industries (Chemicals)(s)........ 79,000 4,534,398
Takefuji Corp. (Financial Services)(s)........... 6,900 892,583
The Sanwa Bank Ltd. (Banking)(s)................. 46,000 683,652
Tokuyama Corp. (Chemicals)(s).................... 170,000 733,039
Tokyo Electric Power Co., Inc. (Electric)(s)..... 34,100 761,335
Tokyo Gas Co. Ltd. (Natural Gas)(s).............. 387,000 915,954
Tokyo Steel Manufacturing Co. Ltd. (Metals &
Mining)(s)..................................... 153,000 587,897
Tostem Corp. (Construction & Housing)(s)......... 81,000 1,812,331
Toyo Trust & Banking Co. Ltd. (Banking)(s)....... 274,000 1,732,847
Toyota Motor Corp. Ltd. (Automotive)(s).......... 107,000 3,701,321
Uny Co. Ltd. (Retail)(s)......................... 63,000 814,967
West Japan Railway Co. (Railroads)(s)............ 881 3,672,239
Yamaha Corp. (Electronics)(s).................... 68,000 456,113
York - Benimaru Co., Ltd. (Retail)(s)............ 15,000 618,053
Yoshitomi Pharmaceutical Industries Ltd.
(Pharmaceuticals)(s)........................... 86,000 1,170,180
------------
131,896,281
------------
NETHERLANDS (7.2%)
ABN Amro Holding NV (Banking)(s)................. 159,123 3,844,993
Aegon NV (Insurance)(s).......................... 32,061 2,956,976
Akzo Nobel NV (Chemicals)(s)..................... 23,500 1,011,205
Equant NV (Information Processing)+(s)........... 17,287 1,680,680
Fortis (NL) NV (Financial Services)(s)........... 66,680 2,293,851
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
NETHERLANDS (CONTINUED)
Getronics NV (Computer Systems)(s)............... 25,518 $ 1,271,302
Heineken NV (Food, Beverages & Tobacco)(s)....... 52,270 2,663,964
ING Groep NV (Financial Services)(s)............. 81,624 4,811,157
Koninklijke Ahold NV (Retail)(s)................. 18,485 567,317
Koninklijke Numico NV (Food, Beverages &
Tobacco)(s).................................... 37,345 1,520,995
KPN NV (Telecommunication Services)(s)........... 44,163 2,264,712
Laurus NV (Retail)(s)............................ 36,367 808,428
Philips Electronics NV (Electronics)(s).......... 38,931 3,989,549
Royal Dutch Petroleum Co. (Oil-Services)(s)...... 39,170 2,339,671
STMicroelectronics NV (Semiconductors)(s)........ 10,961 961,967
TNT Post Group NV (Transport & Services)(s)...... 75 1,908
United Pan-Europe Communications NV
(Telecommunication Services)+(s)............... 15,773 1,211,868
Vedior NV (Business & Public Services)(s)........ 53,938 907,065
Vendex NV (Retail)(s)............................ 43,990 1,283,041
Wolters Kluwer NV (Broadcasting &
Publishing)(s)................................. 70,893 2,367,250
------------
38,757,899
------------
NEW ZEALAND (0.4%)
Fletcher Challenge Building (Building
Materials)(s).................................. 252,500 311,861
Fletcher Challenge Energy (Gas Exploration)(s)... 141,100 324,973
Fletcher Challenge Paper (Forest Products &
Paper)(s)...................................... 700,500 457,412
Telecom Corp. of New Zealand Ltd.
(Telecommunications)(s)........................ 287,300 1,154,690
------------
2,248,936
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
NORWAY (0.1%)
Nycomed Amersham PLC (Medical Supplies)(s)....... 71,577 $ 437,970
------------
PORTUGAL (0.7%)
Banco Pinto & Sotto Mayor SA (Banking)(s)........ 150,339 3,128,675
Portugal Telecom SA (Telecommunications)(s)...... 13,524 602,691
------------
3,731,366
------------
SINGAPORE (0.9%)
DBS Group Holdings Ltd. (Financial
Services)(s)................................... 124,265 1,404,088
Neptune Orient Lines Ltd. (Transport &
Services)(s)................................... 703,000 1,018,263
Singapore Press Holdings Ltd. (Broadcasting &
Publishing)(s)................................. 38,000 650,903
Singapore Telecommunications Ltd.
(Telecommunications)(s)........................ 383,000 727,400
Venture Manufacturing Ltd. (Manufacturing)(s).... 102,000 907,297
------------
4,707,951
------------
SPAIN (3.7%)
Banco Santander Central Hispano, SA
(Banking)(s)................................... 431,756 4,478,980
Centros Comerciales Continente, S.A.
(Retail)(s).................................... 31,918 764,210
Endesa SA (Electric)(s).......................... 185,657 3,713,417
Iberdrola SA (Electric)(s)....................... 99,400 1,448,016
Indra Sistemas SA (Electronics)(s)............... 77,483 813,571
Repsol-YFP, SA (Oil-Production)(s)............... 120,800 2,488,551
Telefonica SA (Telecommunication Services)+(s)... 384,647 6,322,993
------------
20,029,738
------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
SWEDEN (2.2%)
Autoliv, Inc. (SDR) (Automotive Supplies)(s)..... 60,849 $ 1,935,179
Electrolux AB (Appliances & Household
Durables)(s)................................... 32,575 648,477
Ericsson LM, B Shares (Telecommunications-
Equipment)(s).................................. 175,363 7,279,986
Forenings Sparbanken AB (Banking)(s)............. 64,232 1,021,384
Skandia Forsakrings AB (Insurance)(s)............ 43,043 956,137
------------
11,841,163
------------
SWITZERLAND (6.4%)
ABB AG (Electrical Equipment)+(s)................ 11,565 1,149,730
Compagnie Financiere Richemont AG (Food,
Beverages & Tobacco)(s)........................ 487 930,701
Geberit International AG (Construction &
Housing)+(s)................................... 2,740 807,397
Holderbank Financiere Glarus AG (Building
Materials)(s).................................. 562 692,294
Nestle SA (Food, Beverages & Tobacco)(s)......... 2,634 5,082,216
Novartis AG (Pharmaceuticals)(s)................. 2,226 3,330,811
Roche Holding AG (Pharmaceuticals)(s)............ 716 8,599,122
Schweizerische Lebensversicherungs-und
Rentenanstalt (Insurance)(s)................... 1,272 751,311
SGS-Thomson Microelectronics NV (Electronics).... 590 642,762
Swisscom AG (Telecommunication Services)(s)...... 11,000 3,353,269
UBS AG (Banking)(s).............................. 16,975 4,940,756
Zurich Allied AG (Insurance)(s).................. 6,799 3,850,754
------------
34,131,123
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
UNITED KINGDOM (19.1%)
Allied Zurich PLC (Insurance)(s)................. 105,550 $ 1,281,657
Arriva PLC (Transport & Services)(s)............. 41,300 216,861
AstraZeneca Group PLC (Pharmaceuticals)(s)....... 70,600 3,188,122
Barclays PLC (Banking)(s)........................ 80,000 2,450,847
Bass PLC (Food, Beverages & Tobacco)(s).......... 65,428 716,096
BG PLC (Gas Exploration)(s)...................... 153,200 849,684
Billiton PLC (Metals & Mining)(s)................ 285,300 1,240,594
BP Amoco PLC (Oil-Production)(s)................. 1,181,512 11,457,965
British Aerospace PLC (Aerospace)(s)............. 174,100 1,028,450
British American Tobacco PLC (Food, Beverages &
Tobacco)(s).................................... 116,750 773,963
British Sky Broadcasting Group PLC
(Broadcasting & Publishing)(s)................. 154,900 1,667,390
British Telecommunications PLC
(Telecommunications)(s)........................ 255,500 4,628,517
Cable & Wireless Communications PLC
(Telecommunications)(s)........................ 338,600 3,944,820
Cadbury Schweppes PLC (Food, Beverages &
Tobacco)(s).................................... 181,000 1,176,131
Compass Group PLC (Food, Beverages &
Tobacco)(s).................................... 233,400 2,489,408
Corus Group PLC (Metals & Mining)(s)............. 494,000 940,301
Diageo PLC (Food, Beverages & Tobacco)(s)........ 148,161 1,504,896
Dixons Group PLC (Retail)(s)..................... 22,400 396,231
Glaxo Wellcome PLC (Pharmaceuticals)(s).......... 239,600 7,061,143
Glynwed International PLC (Metals & Mining)(s)... 269,000 900,460
Great Universal Stores PLC (Retail)(s)........... 135,700 1,026,509
Hanson PLC (Building Materials)(s)............... 83,000 645,563
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
UNITED KINGDOM (CONTINUED)
Hays PLC (Commercial Services)(s)................ 72,100 $ 818,697
HSBC Holdings PLC (Banking)(s)................... 344,100 4,226,281
Imperial Chemical Industries plc
(Chemicals)(s)................................. 70,000 695,495
Invensys PLC (Diversified Manufacturing)(s)...... 92,500 453,832
Kingfisher PLC (Retail)(s)....................... 123,800 1,352,934
Lloyds TSB Group PLC (Banking)(s)................ 611,150 8,443,875
MEPC PLC (Real Estate)(s)........................ 163,565 1,132,621
MFI Furniture Group PLC (Household
Products)(s)................................... 500,634 334,757
National Power PLC (Electric)(s)................. 208,589 1,413,590
Northern Foods PLC (Food, Beverages &
Tobacco)(s).................................... 94,900 147,935
Nycomed Amersham PLC (Medical Supplies)(s)....... 88,064 540,445
Ocean Group PLC (Transport & Services)(s)........ 56,700 862,471
Pearson PLC (Broadcasting & Publishing)(s)....... 74,000 1,663,543
Pilkington PLC (Building Materials)(s)........... 255,300 382,266
Prudential Corp. PLC (Insurance)(s).............. 184,000 2,880,369
Racal Electronic PLC (Telecommunications-
Equipment)(s).................................. 166,600 1,227,448
Reuters Group PLC (Broadcasting &
Publishing)(s)................................. 82,100 754,420
RMC Group PLC (Building Materials)(s)............ 89,000 1,277,850
Royal & Sun Alliance Insurance Group PLC
(Insurance)(s)................................. 195,454 1,329,386
Royal Bank of Scotland Group PLC (Banking)(s).... 69,300 1,592,000
Sainsbury (J.) PLC (Retail)(s)................... 138,300 829,452
Securicor PLC (Commercial Services)(s)........... 33,300 325,120
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
UNITED KINGDOM (CONTINUED)
Shell Transport & Trading Co. PLC
(Oil-Services)(s).............................. 64,900 $ 496,264
Smith & Nephew PLC (Medical Supplies)(s)......... 120,300 386,904
SmithKline Beecham PLC (Pharmaceuticals)(s)...... 313,400 4,036,923
Sottish Power PLC (Electric)(s).................. 93,000 859,158
Tate & Lyle PLC (Food, Beverages & Tobacco)(s)... 85,000 555,814
Tesco PLC (Retail)(s)............................ 458,700 1,360,470
Thames Water PLC (Water)(s)...................... 36,200 522,725
TI Group PLC (Diversified Manufacturing)(s)...... 68,000 457,483
Unilever PLC (Food, Beverages & Tobacco)(s)...... 152,521 1,414,034
Vodafone Group PLC (Telecommunications)(s)....... 1,771,100 8,239,067
Williams PLC (Diversified Manufacturing)(s)...... 95,000 475,450
Woolwich PLC (Financial Services)(s)............. 249,000 1,465,795
------------
102,540,482
------------
TOTAL COMMON STOCK (COST $377,395,950)......... 499,251,831
------------
</TABLE>
<TABLE>
<CAPTION>
CONVERTIBLE PREFERRED STOCKS (0.2%)
<S> <C> <C>
AB International Cayman Trust, 0.500% (Banking)
(cost $340,223)................................ 56,000,000 1,002,108
------------
</TABLE>
<TABLE>
<CAPTION>
PREFERRED STOCK (0.9%)
<S> <C> <C>
AUSTRALIA (0.5%)
News Corp. Ltd. (Broadcasting &
Publishing)(s)................................. 413,163 2,795,297
------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
GERMANY (0.4%)
ProSieben Media AG (Broadcasting &
Publishing)(s)................................. 18,307 $ 750,422
Volkswagen AG (Automotive)(s).................... 30,361 1,075,399
------------
1,825,821
------------
TOTAL PREFERRED STOCK (COST $5,000,768)........ 4,621,118
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
-------------
<S> <C> <C>
CONVERTIBLE BONDS (1.2%)
(IN JPY)
------------
JAPAN (1.2%)
Nichiei Construction Co. Ltd., 1.75% due 03/31/14
(Construction & Housing)....................... 20,000,000 169,126
Sanwa International Finance Trust, 1.25% due
07/31/05 (Financial Services).................. 204,000,000 2,541,202
Yamanouchi Pharmaceutical Co. Ltd., 1.25% due
03/31/14 (Commercial Services)................. 160,000,000 3,664,238
------------
6,374,566
------------
TOTAL CONVERTIBLE BONDS (COST $3,486,829)...... 6,374,566
------------
</TABLE>
<TABLE>
<CAPTION>
SHORT-TERM INVESTMENTS (2.7%)
<S> <C> <C>
EURO DOLLAR TIME DEPOSITS (2.4%)
(IN USD)
------------
State Street Bank Euro Dollar, 4.875% due
11/01/99....................................... $ 13,246,000 13,246,000
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS (0.3%)
United States Treasury Bills, 5.092%(y) due
03/02/00(s).................................... $ 1,580,000 $ 1,553,063
------------
TOTAL SHORT-TERM INVESTMENTS
(COST $14,800,763)............................ 14,799,063
------------
TOTAL INVESTMENTS (COST $401,024,533) (98.1%)...................
526,048,686
OTHER ASSETS IN EXCESS OF LIABILITIES (1.9%)....................
10,006,930
------------
NET ASSETS (100.0%)............................................. $536,055,616
============
</TABLE>
- ------------------------------
Note: Based on the cost of the investments of $402,506,981 for federal income
tax purposes at October 31, 1999, the aggregate gross unrealized appreciation
and depreciation was $138,094,975 and $14,553,270, respectively, resulting in
net unrealized appreciation of investments of $123,541,705.
+ - Non-income producing security.
(s) - Security is fully or partially segregated with custodian as collateral for
futures contracts or with broker as initial margin for futures contracts.
$195,740,044 of the market value has been segregated.
(y) - Yield to maturity.
SDR - Swedish Depositary Receipt.
JPY - Japanese Yen.
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
INDUSTRY DIVERSIFICATION
<TABLE>
<CAPTION>
PERCENT OF
TOTAL INVESTMENTS
-----------------
<S> <C>
Banking........................................... 11.8%
Pharmaceuticals................................... 6.4%
Telecommunications................................ 6.2%
Food, Beverage & Tobacco.......................... 5.4%
Financial Services................................ 5.3%
Retail............................................ 4.6%
Insurance......................................... 4.5%
Chemicals......................................... 3.7%
Telecommunication Services........................ 3.6%
Oil - Services.................................... 3.5%
Electronics....................................... 3.3%
Telecommunications - Equipment.................... 3.1%
Short - Term...................................... 3.0%
Automotive........................................ 3.0%
Oil - Production.................................. 2.7%
Utilities......................................... 2.7%
Diversified Manufacturing......................... 2.6%
Broadcasting & Publishing......................... 2.2%
Computer Systems.................................. 1.9%
Entertainment, Leisure & Media.................... 1.8%
Electric.......................................... 1.7%
Building Materials................................ 1.5%
Electrical Equipment.............................. 1.3%
Transport & Services.............................. 1.3%
Metals & Mining................................... 1.3%
Construction & Housing............................ 1.2%
Wholesale & International Trade................... 1.1%
Real Estate....................................... 1.0%
Railroads......................................... 1.0%
Commercial Services............................... 0.9%
Forest Products & Paper........................... 0.9%
Automotive Supplies............................... 0.8%
Multi - Industry.................................. 0.7%
Capital Goods..................................... 0.6%
Natural Gas....................................... 0.5%
Machinery......................................... 0.5%
Holding Companies................................. 0.4%
Information Processing............................ 0.3%
Medical Supplies.................................. 0.3%
Gas Exploration................................... 0.2%
Household Products................................ 0.2%
Aerospace......................................... 0.2%
Truck & Freight Carriers.......................... 0.2%
Manufacturing..................................... 0.2%
Business & Public Services........................ 0.2%
Appliances & Household Durables................... 0.1%
Water............................................. 0.1%
-----
100.0%
=====
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE INTERNATIONAL EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $401,024,533) $526,048,686
Cash 3,482
Foreign Currency at Value (Cost $9,872,283) 9,673,849
Receivable for Investments Sold 9,999,166
Unrealized Appreciation of Forward Foreign
Currency Contracts 962,872
Dividends and Interest Receivable 645,698
Foreign Tax Reclaim Receivable 694,608
Variation Margin Receivable 377,384
Prepaid Trustees' Fees 444
Prepaid Expenses and Other Assets 6,468
------------
Total Assets 548,412,657
------------
LIABILITIES
Payable for Investments Purchased 11,429,770
Unrealized Depreciation of Forward Foreign
Currency Contract 458,172
Advisory Fee Payable 264,455
Administrative Services Fee Payable 11,079
Administration Fee Payable 482
Fund Services Fee Payable 293
Accrued Expenses 192,790
------------
Total Liabilities 12,357,041
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $536,055,616
============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE INTERNATIONAL EQUITY PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE FISCAL YEAR ENDED OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividend Income (Net of Foreign Withholding Tax
of $1,173,744) $ 7,862,840
Interest Income (Net of Foreign Withholding Tax
of $1,866) 558,200
------------
Investment Income 8,421,040
EXPENSES
Advisory Fee $ 2,881,754
Custodian Fees and Expenses 761,522
Administrative Services Fee 124,528
Professional Fees and Expenses 52,555
Fund Services Fee 9,765
Printing Expenses 8,415
Administration Fee 6,065
Trustees' Fees and Expenses 5,663
Insurance Expense 1,582
-----------
Total Expenses 3,851,849
------------
NET INVESTMENT INCOME 4,569,191
NET REALIZED GAIN ON
Investment Transactions 23,241,397
Futures Contracts 5,013,962
Foreign Currency Transactions 560,419
-----------
Net Realized Gain 28,815,778
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) OF
Investments 70,761,167
Futures Contracts 267,324
Foreign Currency Contracts and Translations (37,614)
-----------
Net Change in Unrealized Appreciation 70,990,877
------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $104,375,846
============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE INTERNATIONAL EQUITY PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FISCAL FOR THE FISCAL
YEAR ENDED YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998
---------------- ----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 4,569,191 $ 6,512,087
Net Realized Gain on Investments, Futures and
Foreign Currency Contracts and Transactions 28,815,778 4,786,051
Net Change in Unrealized Appreciation of
Investments, Futures and Foreign Currency
Contracts and Translations 70,990,877 22,380,408
--------------- ---------------
Net Increase in Net Assets Resulting from
Operations 104,375,846 33,678,546
--------------- ---------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 281,385,364 190,933,942
Withdrawals (293,180,212) (544,746,196)
--------------- ---------------
Net Decrease from Investors' Transactions (11,794,848) (353,812,254)
--------------- ---------------
Total Increase (Decrease) in Net Assets 92,580,998 (320,133,708)
NET ASSETS
Beginning of Fiscal Year 443,474,618 763,608,326
--------------- ---------------
End of Fiscal Year $ 536,055,616 $ 443,474,618
=============== ===============
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FISCAL YEAR ENDED OCTOBER 31,
--------------------------------------
1999 1998 1997 1996 1995
------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.80% 0.79% 0.77% 0.79% 0.82%
Net Investment Income 0.95% 1.09% 1.47% 1.39% 1.31%
Portfolio Turnover 70% 74% 67% 57% 59%
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
28
<PAGE>
THE INTERNATIONAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The International Equity Portfolio (the "portfolio") is registered under the
Investment Company Act of 1940, as amended, as a no-load, diversified, open-end
management investment company which was organized as a trust under the laws of
the State of New York. The portfolio's investment objective is to provide a high
total return from a portfolio of equity securities of foreign companies. The
portfolio commenced operations on October 4, 1993 and received a contribution of
certain assets and liabilities, including securities, with a value of
$160,213,973 on that date from The Pierpont International Equity Fund, Inc. in
exchange for a beneficial interest in the portfolio. At that date, net
unrealized appreciation of $11,116,204 was included in the contributed
securities. The Declaration of Trust permits the trustees to issue an unlimited
number of beneficial interests in the portfolio.
Investments in international markets may involve certain considerations and
risks not typically associated with investments in the United States. Future
economic and political developments in foreign countries could adversely affect
the liquidity or value, or both, of such securities in which the portfolio is
invested. The ability of the issuers of debt securities held by the portfolio to
meet their obligations may be affected by economic and political developments in
a specific industry or region.
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. Securities
listed on a foreign exchange are valued at the last traded price or, in
the absence of recorded trades, at the readily available mean of the bid
and asked prices on such exchange available before the time when net
assets are valued. Independent pricing service procedures may also include
the use of prices based on 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 price 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 sixty days or less
are valued using the amortized cost method.
Trading in securities on most foreign exchanges and over-the-counter
markets is normally completed before the close of the domestic market and
may also take place on days on which the domestic market is closed. If
events materially affecting the value of foreign securities occur between
the time when the exchange on which they are traded closes and the time
when the portfolio's net assets are calculated, such securities will be
valued at fair value in accordance with procedures established by and
under the general supervision of the portfolio's trustees.
29
<PAGE>
THE INTERNATIONAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
b) The books and records of the portfolio are maintained in U.S. dollars. The
market value of investment securities, other assets and liabilities and
foreign currency contracts are translated at the prevailing exchange rates
at the end of the period. Purchases, sales, income and expenses are
translated at the exchange rates prevailing on the respective dates of
such transactions. Translation gains and losses resulting from changes in
the exchange rates during the reporting period and gains and losses
realized upon settlement of foreign currency transactions are reported in
the Statement of Operations. Although the net assets of the portfolio are
presented at the exchange rates and market values prevailing at the end of
the period, the portfolio does not isolate the portion of the results of
operations arising as a result of changes in foreign exchange rates from
the fluctuations arising from changes in the market prices of securities
during the period.
c) Securities transactions are recorded on a trade-date basis. Dividend
income is recorded on the ex-dividend date or at the time that the
relevant ex-dividend date and amount become known. Interest income, which
includes the amortization of premiums and discounts, if any, is recorded
on an accrual basis. Amortization is calculated using the scientific
method. For financial and tax reporting purposes, realized gains and
losses are determined on the basis of specific lot identification.
d) The portfolio may enter into forward and spot foreign currency contracts
to protect securities and related receivables and payables against
fluctuations in future foreign currency rates. A forward contract is an
agreement to buy or sell currencies of different countries on a specified
future date at a specified rate. Risks associated with such contracts
include the movement in the value of the foreign currency relative to the
U.S. dollar and the ability of the counterparty to perform.
The market value of the contract will fluctuate with changes in currency
exchange rates. Contracts are valued daily at the current foreign exchange
rates, and the change in the market value is recorded by the portfolio as
unrealized appreciation or depreciation of forward foreign currency
contract translations.
e) A futures contract is an agreement to purchase/sell a specified quantity
of an underlying instrument at a specified future date or to make/receive
a cash payment based on the value of a securities index. The price at
which the purchase and sale will take place is fixed when the portfolio
enters into the contract. Upon entering into such a contract, the
portfolio is required to pledge to the broker an amount of cash and/or
liquid securities equal to the minimum "initial margin" requirements of
the exchange. Pursuant to the contract, the portfolio agrees to receive
from, or pay to, the broker an amount of cash equal to the daily
fluctuation in the value of the contract. Such receipts or payments are
known as "variation margin" and are recorded by the portfolio as
unrealized gains or losses. When the contract is closed, the portfolio
records a realized gain or loss equal to the difference between the value
of the contract at the time it was opened and the value at the time when
it was closed. The portfolio invests in futures contracts for the purpose
of hedging its existing portfolio securities, or securities the portfolio
intends to purchase, against fluctuations in value caused by changes in
prevailing market interest rates or securities movements. The use of
futures transactions involves the risk of imperfect correlation in
movements in the price of futures contracts, interest rates and the
underlying hedged assets, and the possible inability of counterparties to
meet the terms of their contracts.
f) 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
30
<PAGE>
THE INTERNATIONAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
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 portfolio earns foreign
income which may be subject to foreign withholding taxes at various rates.
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 0.60% of the
portfolio's average daily net assets. For the fiscal year ended
October 31, 1999, such fees amounted to $2,881,754
b) The portfolio has retained Funds Distributor, Inc. ("FDI"), a registered
broker-dealer, to serve as the co-administrator and exclusive placement
agent for the portfolio. Under a Co-Administration Agreement between FDI
and the portfolio, FDI provides administrative services necessary for the
operation of the portfolio, furnishes office space and facilities required
for conducting the business of the portfolio and pays the compensation of
the officers affiliated with FDI. The portfolio has agreed to pay FDI fees
equal to its allocable share of an annual complex-wide charge of $425,000
plus FDI's out-of-pocket expenses. The amount allocable to the portfolio
is based on the ratio of the portfolio's net assets to the aggregate net
assets of the portfolio and certain other investment companies subject to
similar agreements with FDI. For the fiscal year ended October 31, 1999,
the fee for these services amounted to $6,065.
c) The portfolio has an Administrative Services Agreement (the "Services
Agreement") with Morgan Guaranty Trust Co. of New York ("Morgan"), a
wholly owned subsidiary of J.P. 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 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 fiscal year ended October 31, 1999, the fee for these services
amounted to $124,528.
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 $9,765 for the fiscal year ended October 31, 1999.
e) An aggregate annual fee of $75,000 is paid to each trustee for serving as
a trustee of 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 represent the portfolio's
allocated portion of the total fees and expenses. The portfolio's Chairman
and Chief Executive Officer also serves as
31
<PAGE>
THE INTERNATIONAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
Chairman of Group and received 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 $1,900.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the fiscal year
ended October 31, 1999 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
- --------- ------------
<S> <C>
$327,214,797 $329,098,647
</TABLE>
At October 31, 1999, the portfolio had open forward currency contracts as
follows:
<TABLE>
<CAPTION>
U.S. DOLLAR NET UNREALIZED
CONTRACTUAL VALUE AT APPRECIATION/
PURCHASE CONTRACTS VALUE 10/31/99 (DEPRECIATION)
- ------------------ ----------- ----------- --------------
<S> <C> <C> <C>
British Pound 3,615,711, expiring 12/15/99....... $ 5,880,908 $ 5,935,062 $ 54,154
Euro 7,000,000, expiring 12/15/99................ 7,395,780 7,383,655 (12,125)
Euro, 12,655,000 for Japanese Yen 1,405,797,466,
expiring 12/15/99............................... 13,574,106 13,348,593 (225,513)
Japanese Yen 1,671,705,822, expiring
12/15/99........................................ 15,922,297 16,141,665 219,368
Japanese Yen 1,081,331,430 for Euro 9,550,000,
expiring 12/15/99............................... 10,073,415 10,441,125 367,710
Japanese Yen 216,890,397 for Swedish Krona
16,747,000, expiring 12/15...................... 2,039,342 2,094,251 54,909
</TABLE>
<TABLE>
<CAPTION>
U.S. DOLLAR NET UNREALIZED
SETTLEMENT VALUE AT APPRECIATION/
SALES CONTRACTS VALUE 10/31/99 (DEPRECIATION)
- --------------- ----------- ----------- --------------
<S> <C> <C> <C>
Australian Dollar 4,272,623, expiring
12/15/99........................................ $ 2,787,118 $ 2,725,696 $ 61,422
British Pound 2,129,793, expiring 12/15/99....... 3,469,933 3,495,980 (26,047)
Euro 9,338,062, expiring 12/15/99................ 9,796,110 9,849,861 (53,751)
Japanese Yen 454,926,514, expiring 12/15/99...... 4,337,000 4,392,681 (55,681)
New Zealand Dollar 3,887,563, expiring
12/15/99........................................ 2,051,467 1,970,897 80,570
Swiss Franc 2,287,253, expiring 12/15/99......... 1,549,000 1,509,316 39,684
-------------
NET UNREALIZED APPRECIATION ON FORWARD FOREIGN
CURRENCY CONTRACTS.............................. $ 504,700
=============
</TABLE>
32
<PAGE>
THE INTERNATIONAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
At October 31, 1999, the fund had open future contracts as follows:
<TABLE>
<CAPTION>
NET UNREALIZED
APPRECIATION/ MARKET VALUE
CONTRACTS LONG (DEPRECIATION) OF CONTRACTS
-------------- -------------- ------------
<S> <C> <C> <C>
Australian All Ord. Index, expiring
December 99..................................... 60 $ (12,209) $ 2,752,888
CAC 40 Index, expiring November 99............... 89 173,302 4,571,471
DAX Index 10 Euro, expiring December 99.......... 39 218,155 5,675,200
IBEX Plus Index, expiring November 99............ 32 150,195 3,294,917
Topix Index, expiring December 99................ 34 99,214 5,101,953
------------- ------------- -----------
Totals........................................... 254 $ 628,657 21,396,429
============= ============= ===========
</TABLE>
<TABLE>
<CAPTION>
NET UNREALIZED MARKET VALUE
APPRECIATION/ AMOUNT
CONTRACTS SHORT (DEPRECIATION) OF CONTRACTS
--------------- -------------- ------------
<S> <C> <C> <C>
FTSE 100 Index, expiring
December 99..................................... 3 $ (11,089) $ 310,196
Hang Seng Index, expiring
November 99..................................... 5 (14,396) 429,402
-------------- ------------- -----------
Totals........................................... 8 $ (25,485) $ 739,598
============== ============= ===========
</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.
33
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Investors of
The International Equity 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 International Equity Portfolio (the
"portfolio") at October 31, 1999, and the results of its operations for the year
then ended, the changes in its net assets for each of the two years in the
period then ended and the supplementary data for each of the five years in the
period then ended, in conformity with generally accepted accounting principles.
These financial statements and supplementary data (hereafter referred to as
"financial statements") are the responsibility of the portfolio's management;
our responsibility is to express an opinion on these financial statements based
on our audits. We conducted our audits of these financial statements in
accordance with generally accepted auditing standards, which require that we
plan and perform the audit to obtain reasonable assurance about whether the
financial statements, are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audits, which included confirmation
of securities at October 31, 1999 by correspondence with the custodians and
brokers, provide a reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
New York, New York
December 17, 1999
34
