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<PAGE> PAGE 2
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<PAGE> PAGE 3
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<PAGE> PAGE 4
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022 C000006 12684
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022 C000007 19268
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<PAGE> PAGE 5
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<PAGE> PAGE 6
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<PAGE> PAGE 7
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<PAGE> PAGE 8
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<PAGE> PAGE 9
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<PAGE> PAGE 10
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SIGNATURE LENORE J. MCCABE
TITLE ASST. TREASURER
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summery financial data extracted from the annual
report dated May 31, 1999 for the U.S. Small Company Portfolio and is qualified
in its entirety by reference to such annual report.
</LEGEND>
<MULTIPLIER> 1000
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> MAY-31-1999
<PERIOD-END> MAY-31-1999
<INVESTMENTS-AT-COST> 468100
<INVESTMENTS-AT-VALUE> 520598
<RECEIVABLES> 14537
<ASSETS-OTHER> 7
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 535142
<PAYABLE-FOR-SECURITIES> 2921
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 354
<TOTAL-LIABILITIES> 3275
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 0
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 531867
<DIVIDEND-INCOME> 6635
<INTEREST-INCOME> 984
<OTHER-INCOME> 0
<EXPENSES-NET> 3837
<NET-INVESTMENT-INCOME> 3782
<REALIZED-GAINS-CURRENT> (62701)
<APPREC-INCREASE-CURRENT> (25375)
<NET-CHANGE-FROM-OPS> (84294)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 0
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 0
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 3368
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 3837
<AVERAGE-NET-ASSETS> 561251
<PER-SHARE-NAV-BEGIN> 0
<PER-SHARE-NII> 0
<PER-SHARE-GAIN-APPREC> 0
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 0
<EXPENSE-RATIO> .68
[AVG-DEBT-OUTSTANDING] 0
[AVG-DEBT-PER-SHARE] 0
</TABLE>
TRANSACTIONS SUBJECT TO RULE 10f-3 PROCEDURES
Portfolio: U.S. Small Company Portfolio Security
---------------------------- Description: Common Stock -
5,587,000 Shares
----------------
Issuer: Mettler - Toledo International,Inc. Offering Type: Secondary - U.S.
---------------------------------- Registered
----------------
(US Registered, Eligible Muni,
Eligible Foreign, Eligible 144A)
<TABLE>
<CAPTION>
- -------- ------------------------------------------- ---------------- -------------------------------------- -----------------
In Compliance
REQUIRED INFORMATION ANSWER APPLICABLE RESTRICTION (Yes/No)
- -------- ------------------------------------------- ---------------- -------------------------------------- -----------------
- -------- ------------------------------------------- ---------------- --------------------------------------
<S> <C> <C>
1. Offering Date Jan. 28,1999 None N/A
2. Trade Date Jan. 28,1999 Must be the same as #1 YES
------------ ---
3. Unit Price of Offering $26.375 None N/A
------- ---
4. Price Paid per Share $26.375 Must not exceed #3 YES
------- ---
5. Years of Issuer's Operations 54 Must be at least three years * YES
-- ---
6. Underwriting Type Firm Must be firm YES
7. Underwriting Spread $1.25 Investment Adviser determination to YES
----- be made ---
8. Total Price paid by Portfolio $1,756,575 None N/A
---------- ---
9. Total Size of Offering $147,357,125 None N/A
------------ ---
10. Total Price Paid by Portfolio plus Total #10 divided by #9 must not exceed
Price Paid for same securities purchased 25% ** YES
by the same investment adviser for other $2,110,000 ---
investment companies ----------
11. Underwriter(s) from whom the Portfolio Merrill Lynch
purchased (attach a prospectus or Must not include Investment Adviser
offering circular for a list of all affiliates *** YES
syndicate members)
12. If the affiliate was lead or co-lead N/A
manager, was the instruction listed below Must be "Yes" or "N/A" YES
given to the broker(s) named in #11? ****
- -------- ------------------------------------------- ---------------- -------------------------------------- -----------------
</TABLE>
The Investment Adviser has no reasonable cause to believe that the underwriting
commission, spread or profit is NOT reasonable and fair compared to
underwritings of similar securities during a comparable period of time. In
determining which securities are comparable, the Investment Adviser has
considered the factors set forth in the Portfolio's 10f-3 procedures.
* Not applicable to munis. In the case of munis, (i) the issue must have
one investment grade rating or (ii) if the issuer or the revenue source
has been in operation for less than three years, the issue must have
one of the three highest ratings. Circle (i) or (ii), whichever is met.
** If an eligible Rule 144A offering, must not exceed 25% of the total
amount of same class sold to QIBs in the Rule 144A offering PLUS the
amount of the offering of the same class in any concurrent public
offering
*** For munis purchased from syndicate manager, check box to confirm that
the purchase was not designated as a group sale. [ ]
**** No credit for the purchase made for the Portfolio can be credited to
the Investment Adviser's affiliate.
<PAGE>
TRANSACTIONS SUBJECT TO RULE 10f-3 PROCEDURES
Portfolio: U.S. Small Company Portfolio Security
-------------------------- Description: Class A Common Stock
- 4,200,000 Shares
Issuer: i Turf Inc. --------------------
Offering Type: U.S. Registered
(US Registered, Eligible Muni,
Eligible Foreign, Eligible 144A)
<TABLE>
<CAPTION>
- -------- ------------------------------------------- ---------------- -------------------------------------- -----------------
In Compliance
REQUIRED INFORMATION ANSWER APPLICABLE RESTRICTION (Yes/No)
- -------- ------------------------------------------- ---------------- -------------------------------------- -----------------
- -------- ------------------------------------------- ---------------- --------------------------------------
<S> <C> <C>
1. Offering Date April 9, 1999 None N/A
------------- ---
2. Trade Date April 9, 1999 Must be the same as #1 YES
-------------- ---
3. Unit Price of Offering $22.00 None N/A
------ ---
4. Price Paid per Share $22.00 Must not exceed #3 YES
------ ---
5. Years of Issuer's Operations 4 Must be at least three years * YES
- ---
6. Underwriting Type Firm Must be firm YES
7. Underwriting Spread $1.54 Investment Adviser determination to YES
----- be made ---
8. Total Price paid by Portfolio $321,200 None N/A
-------- ---
9. Total Size of Offering $92,400,000 None N/A
----------- ---
10. Total Price Paid by Portfolio plus Total #10 divided by #9 must not exceed
Price Paid for same securities purchased 25% ** YES
by the same investment adviser for other $635,800 ---
investment companies ---------
11. Underwriter(s) from whom the Portfolio BT Alex Brown
purchased (attach a prospectus or Must not include Investment Adviser
offering circular for a list of all affiliates *** YES
syndicate members)
12. If the affiliate was lead or co-lead N/A
manager, was the instruction listed below Must be "Yes" or "N/A" N/A
given to the broker(s) named in #11? ****
- -------- ------------------------------------------- ---------------- -------------------------------------- -----------------
</TABLE>
The Investment Adviser has no reasonable cause to believe that the underwriting
commission, spread or profit is NOT reasonable and fair compared to
underwritings of similar securities during a comparable period of time. In
determining which securities are comparable, the Investment Adviser has
considered the factors set forth in the Portfolio's 10f-3 procedures.
* Not applicable to munis. In the case of munis, (i) the issue must have
one investment grade rating or (ii) if the issuer or the revenue source
has been in operation for less than three years, the issue must have
one of the three highest ratings. Circle (i) or (ii), whichever is met.
** If an eligible Rule 144A offering, must not exceed 25% of the total
amount of same class sold to QIBs in the Rule 144A offering PLUS the
amount of the offering of the same class in any concurrent public
offering
*** For munis purchased from syndicate manager, check box to confirm that
the purchase was not designated as a group sale. [ ]
**** No credit for the purchase made for the Portfolio can be credited to
the Investment Adviser's affiliate.
<PAGE>
TRANSACTIONS SUBJECT TO RULE 10f-3 PROCEDURES
Portfolio: U.S. Small Company Portfolio Security
---------------------------- Description: Common Stock -
7,000,000 Shares
Issuer: American Axle & Mfg. Hldgs.,Inc. ----------------
Offering Type: U.S. Registered
(US Registered, Eligible Muni,
Eligible Foreign, Eligible 144A)
<TABLE>
<CAPTION>
- -------- ------------------------------------------- ---------------- -------------------------------------- -----------------
In Compliance
REQUIRED INFORMATION ANSWER APPLICABLE RESTRICTION (Yes/No)
- -------- ------------------------------------------- ---------------- -------------------------------------- -----------------
- -------- ------------------------------------------- ---------------- --------------------------------------
<S> <C> <C>
1. Offering Date Jan. 28,1999 None N/A
2. Trade Date Jan. 28,1999 Must be the same as #1 YES
------------ ---
3. Unit Price of Offering $17.00 None N/A
------ ---
4. Price Paid per Share $17.00 Must not exceed #3 YES
------ ---
5. Years of Issuer's Operations 75 Must be at least three years * YES
-- ---
6. Underwriting Type Firm Must be firm YES
7. Underwriting Spread $1.19 Investment Adviser determination to YES
----- be made ---
8. Total Price paid by Portfolio $1,026,800 None N/A
---------- ---
9. Total Size of Offering $119,000,000 None N/A
------------ ---
10. Total Price Paid by Portfolio plus Total #10 divided by #9 must not exceed
Price Paid for same securities purchased 25% ** YES
by the same investment adviser for other $1,237,600 ---
investment companies ----------
11. Underwriter(s) from whom the Portfolio Merrill Lynch
purchased (attach a prospectus or Must not include Investment Adviser
offering circular for a list of all affiliates *** YES
syndicate members)
12. If the affiliate was lead or co-lead N/A
manager, was the instruction listed below Must be "Yes" or "N/A" YES
given to the broker(s) named in #11? ****
- -------- ------------------------------------------- ---------------- -------------------------------------- -----------------
</TABLE>
The Investment Adviser has no reasonable cause to believe that the underwriting
commission, spread or profit is NOT reasonable and fair compared to
underwritings of similar securities during a comparable period of time. In
determining which securities are comparable, the Investment Adviser has
considered the factors set forth in the Portfolio's 10f-3 procedures.
* Not applicable to munis. In the case of munis, (i) the issue must have
one investment grade rating or (ii) if the issuer or the revenue source
has been in operation for less than three years, the issue must have
one of the three highest ratings. Circle (i) or (ii), whichever is met.
** If an eligible Rule 144A offering, must not exceed 25% of the total
amount of same class sold to QIBs in the Rule 144A offering PLUS the
amount of the offering of the same class in any concurrent public
offering
*** For munis purchased from syndicate manager, check box to confirm that
the purchase was not designated as a group sale. [ ]
**** No credit for the purchase made for the Portfolio can be credited to
the Investment Adviser's affiliate.
<PAGE>
TRANSACTIONS SUBJECT TO RULE 10f-3 PROCEDURES
Portfolio: U.S. Small Company Portfolio Security
---------------------------- Description: Common Stock -
16,200,000 Shares
Issuer: Keebler Foods Company ------------------
Offering Type: U.S. Registered
(US Registered, Eligible Muni,
Eligible Foreign, Eligible 144A)
<TABLE>
<CAPTION>
- -------- ------------------------------------------- ---------------- -------------------------------------- -----------------
In Compliance
REQUIRED INFORMATION ANSWER APPLICABLE RESTRICTION (Yes/No)
- -------- ------------------------------------------- ---------------- -------------------------------------- -----------------
- -------- ------------------------------------------- ---------------- --------------------------------------
<S> <C> <C>
1. Offering Date Jan. 20,1999 None N/A
2. Trade Date Jan. 20,1999 Must be the same as #1 YES
------------ ---
3. Unit Price of Offering $33.4375 None N/A
-------- ---
4. Price Paid per Share $33.4375 Must not exceed #3 YES
-------- ---
5. Years of Issuer's Operations 146 Must be at least three years * YES
--- ---
6. Underwriting Type Firm Must be firm YES
7. Underwriting Spread $1.00 Investment Adviser determination to YES
----- be made ---
8. Total Price paid by Portfolio $4,771,531 None N/A
---------- ---
9. Total Size of Offering $541,687,500 None N/A
------------ ---
10. Total Price Paid by Portfolio plus Total #10 divided by #9 must not exceed
Price Paid for same securities purchased 25% **
by the same investment adviser for other $5,687,719
investment companies ----------
11. Underwriter(s) from whom the Portfolio Donaldson
purchased (attach a prospectus or Lufkin Jenrette Must not include Investment Adviser
offering circular for a list of all Lehman Bros. affiliates *** YES
syndicate members) First Boston
Corp.
12. If the affiliate was lead or co-lead
manager, was the instruction listed below N/A Must be "Yes" or "N/A" YES
given to the broker(s) named in #11? **** --- ---
- -------- ------------------------------------------- ---------------- -------------------------------------- -----------------
The Investment Adviser has no reasonable cause to believe that the underwriting
commission, spread or profit is NOT reasonable and fair compared to
underwritings of similar securities during a comparable period of time. In
determining which securities are comparable, the Investment Adviser has
considered the factors set forth in the Portfolio's 10f-3 procedures.
* Not applicable to munis. In the case of munis, (i) the issue must have
one investment grade rating or (ii) if the issuer or the revenue source
has been in operation for less than three years, the issue must have
one of the three highest ratings. Circle (i) or (ii), whichever is met.
** If an eligible Rule 144A offering, must not exceed 25% of the total
amount of same class sold to QIBs in the Rule 144A offering PLUS the
amount of the offering of the same class in any concurrent public
offering
*** For munis purchased from syndicate manager, check box to confirm that
the purchase was not designated as a group sale. [ ]
**** No credit for the purchase made for the Portfolio can be credited to
the Investment Adviser's affiliate.
<PAGE>
TRANSACTIONS SUBJECT TO RULE 10f-3 PROCEDURES
Portfolio: U.S. Small Company Portfolio Security
---------------------------- Description: Common Stock -
3,500,000 Shares
Issuer: 24/7 Media,Inc. ----------------
Offering Type: U.S. Registered
(US Registered, Eligible Muni,
Eligible Foreign, Eligible 144A)
</TABLE>
<TABLE>
<CAPTION>
- -------- ------------------------------------------- ---------------- -------------------------------------- -----------------
In Compliance
REQUIRED INFORMATION ANSWER APPLICABLE RESTRICTION (Yes/No)
- -------- ------------------------------------------- ---------------- -------------------------------------- -----------------
- -------- ------------------------------------------- ---------------- --------------------------------------
<S> <C> <C>
1. Offering Date April 27,1999 None N/A
2. Trade Date April 27,1999 Must be the same as #1 YES
------------- ---
3. Unit Price of Offering $46.00 None N/A
------ ---
4. Price Paid per Share $46.00 Must not exceed #3 YES
------ ---
5. Years of Issuer's Operations 5 Must be at least three years * YES
- ---
6. Underwriting Type Firm Must be firm YES
7. Underwriting Spread $2.53 Investment Adviser determination to YES
----- be made ---
8. Total Price paid by Portfolio $998,200 None N/A
-------- ---
9. Total Size of Offering $161,000,000 None N/A
------------ ---
10. Total Price Paid by Portfolio plus Total #10 divided by #9 must not exceed
Price Paid for same securities purchased 25% ** YES
by the same investment adviser for other $1,223,600 ---
investment companies ----------
11. Underwriter(s) from whom the Portfolio Merrill Lynch
purchased (attach a prospectus or Must not include Investment Adviser
offering circular for a list of all affiliates *** YES
syndicate members)
12. If the affiliate was lead or co-lead N/A
manager, was the instruction listed below Must be "Yes" or "N/A" N/A
given to the broker(s) named in #11? ****
- -------- ------------------------------------------- ---------------- -------------------------------------- -----------------
</TABLE>
The Investment Adviser has no reasonable cause to believe that the underwriting
commission, spread or profit is NOT reasonable and fair compared to
underwritings of similar securities during a comparable period of time. In
determining which securities are comparable, the Investment Adviser has
considered the factors set forth in the Portfolio's 10f-3 procedures.
* Not applicable to munis. In the case of munis, (i) the issue must have
one investment grade rating or (ii) if the issuer or the revenue source
has been in operation for less than three years, the issue must have
one of the three highest ratings. Circle (i) or (ii), whichever is met.
** If an eligible Rule 144A offering, must not exceed 25% of the total
amount of same class sold to QIBs in the Rule 144A offering PLUS the
amount of the offering of the same class in any concurrent public
offering
*** For munis purchased from syndicate manager, check box to confirm that
the purchase was not designated as a group sale. [ ]
**** No credit for the purchase made for the Portfolio can be credited to
the Investment Adviser's affiliate.
Report of Independent Accountants
To the Trustees and Investors of
The U.S. Small Company Portfolio
In planning and performing our audit of the financial statements of The U.S.
Small Company Portfolio (the "Portfolio") for the year ended May 31, 1999, we
considered its internal control, including control activities for safeguarding
securities, in order to determine our auditing procedures for the purpose of
expressing our opinion on the financial statements and to comply with the
requirements of Form N-SAR, not to provide assurance on internal control.
The management of the Portfolio is responsible for establishing and maintaining
internal control. In fulfilling this responsibility, estimates and judgments by
management are required to assess the expected benefits and related costs of
controls. Generally, controls that are relevant to an audit pertain to the
entity's objective of preparing financial statements for external purposes that
are fairly presented in conformity with generally accepted accounting
principles. Those controls include the safeguarding of assets against
unauthorized acquisition, use or disposition.
Because of inherent limitations in internal control, errors or fraud may occur
and not be detected. Also, projection of any evaluation of internal control to
future periods is subject to the risk that it may become inadequate because of
changes in conditions or that the effectiveness of the design and operation may
deteriorate.
Our consideration of internal control would not necessarily disclose all matters
in internal control that might be material weaknesses under standards
established by the American Institute of Certified Public Accountants. A
material weakness is a condition in which the design or operation of one or more
of the internal control components does not reduce to a relatively low level the
risk that misstatements caused by error or fraud in amounts that would be
material in relation to the financial statements being audited may occur and not
be detected within a timely period by employees in the normal course of
performing their assigned functions. However, we noted no matters involving
internal control and its operation, including controls for safeguarding
securities, that we consider to be material weaknesses as defined above as of
May 31, 1999.
This report is intended solely for the information and use of management and the
Trustees of the Portfolio and the Securities and Exchange Commission.
PricewaterhouseCoopers LLP
New York, New York
July 14, 1999
